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: 811-01545
Eaton Vance Special Investment Trust
(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
April 30, 2018
Date of Reporting Period
Item 1. Reports to Stockholders
Eaton Vance
Commodity Strategy Fund
Semiannual Report
April 30, 2018
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund is considered to be a commodity pool operator under CFTC regulations. The Fund’s adviser is registered with the CFTC as a commodity pool operator and a commodity trading advisor. The CFTC has neither reviewed nor approved the Fund’s investment strategies.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested.
This report must be preceded or accompanied by a current summary prospectus or prospectus. Before investing, investors should consider carefully the investment objective, risks, and charges and expenses of a mutual fund. This and other important information is contained in the summary prospectus and prospectus, which can be obtained from a financial advisor. Prospective investors should read the prospectus carefully before investing. For further information, please call 1-800-262-1122.
Semiannual Report April 30, 2018
Eaton Vance
Commodity Strategy Fund
Table of Contents
Performance | 2 | |||
Fund Profile | 2 | |||
Endnotes and Additional Disclosures | 3 | |||
Fund Expenses | 4 | |||
Financial Statements | 5 | |||
Board of Trustees’ Contract Approval | 87 | |||
Officers and Trustees | 90 | |||
Important Notices | 91 |
Eaton Vance
Commodity Strategy Fund
April 30, 2018
Performance1,2
Portfolio Managers John R. Baur, Michael A. Cirami, CFA and Eric A. Stein, CFA
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Since Inception | ||||||||||||||||||
Class A at NAV | 04/08/2010 | 04/08/2010 | 3.91 | % | 7.77 | % | –6.78 | % | –4.58 | % | ||||||||||||||
Class A with 4.75% Maximum Sales Charge | — | — | –1.05 | 2.63 | –7.69 | –5.15 | ||||||||||||||||||
Class C at NAV | 04/08/2010 | 04/08/2010 | 3.55 | 6.91 | –7.48 | –5.31 | ||||||||||||||||||
Class C with 1% Maximum Sales Charge | — | — | 2.55 | 5.91 | –7.48 | –5.31 | ||||||||||||||||||
Class I at NAV | 04/08/2010 | 04/08/2010 | 4.01 | 7.87 | –6.57 | –4.38 | ||||||||||||||||||
Bloomberg Commodity Index Total Return | — | — | 4.74 | % | 8.02 | % | –7.32 | % | –4.70 | % | ||||||||||||||
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | |||||||||||||||||||||
Gross | 2.60 | % | 3.35 | % | 2.35 | % | ||||||||||||||||||
Net | 1.25 | 2.00 | 1.00 |
Fund Profile
Commodity Exposure (% of net assets)4
Energy | 31.69 | % | Industrial Metals | 16.85 | % | |||||
Crude Oil-Brent | 8.17 | Copper | 6.66 | |||||||
Natural Gas | 7.92 | Aluminum | 4.48 | |||||||
Crude Oil-WTI | 7.80 | Nickel | 2.92 | |||||||
Unleaded Gas | 4.07 | Zinc | 2.79 | |||||||
ULS Diesel | 3.73 | |||||||||
Precious Metals | 14.97 | % | ||||||||
Agriculture | 31.23 | % | Gold | 11.59 | ||||||
Corn | 6.92 | Silver | 3.38 | |||||||
Soybeans | 6.23 | |||||||||
Chicago Wheat | 3.89 | Livestock | 5.68 | % | ||||||
Soybean Meal | 3.56 | Live Cattle | 3.70 | |||||||
Sugar | 2.68 | Lean Hogs | 1.98 | |||||||
Soybean Oil | 2.45 | |||||||||
Coffee | 2.41 | |||||||||
Kansas City Wheat | 1.62 | |||||||||
Cotton | 1.47 |
Asset Allocation (% of net assets)5
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to eatonvance.com.
2 |
Eaton Vance
Commodity Strategy Fund
April 30, 2018
Endnotes and Additional Disclosures
1 | Bloomberg Commodity Index Total Return is designed to provide diversified commodity exposure, with weightings based on each underlying commodity’s liquidity and economic significance. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. |
3 | The Gross expense ratios are as stated in the Fund’s most recent prospectus. Net expense ratios exclude interest expense associated with certain investment transactions. Net expense ratios reflect a contractual expense reimbursement that continues through 2/29/20. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
4 | Commodity Exposure reflects the Fund’s net exposure to commodities through its investment in commodity-linked derivative instruments. |
5 | Cash Equivalents are short-term, high quality instruments, including U.S. Treasurys, and may be held as collateral for the Fund’s derivative positions. Other Net Assets represents other assets less liabilities and includes any investment type that represents less than 1% of net assets. |
Fund profile subject to change due to active management. |
3 |
Eaton Vance
Commodity Strategy Fund
April 30, 2018
Fund Expenses
Example: As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (November 1, 2017 – April 30, 2018).
Actual Expenses: The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes: The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees (if applicable). Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.
Beginning Account Value (11/1/17) | Ending Account Value (4/30/18) | Expenses Paid During Period* (11/1/17 – 4/30/18) | Annualized Expense Ratio | |||||||||||||
Actual | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,039.10 | $ | 7.03 | ** | 1.39 | % | |||||||
Class C | $ | 1,000.00 | $ | 1,035.50 | $ | 10.80 | ** | 2.14 | % | |||||||
Class I | $ | 1,000.00 | $ | 1,040.10 | $ | 5.82 | ** | 1.15 | % | |||||||
Hypothetical | ||||||||||||||||
(5% return per year before expenses) | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,017.90 | $ | 6.95 | ** | 1.39 | % | |||||||
Class C | $ | 1,000.00 | $ | 1,014.20 | $ | 10.69 | ** | 2.14 | % | |||||||
Class I | $ | 1,000.00 | $ | 1,019.10 | $ | 5.76 | ** | 1.15 | % |
* | Expenses are equal to the Fund’s annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2017. The Example reflects the expenses of both the Fund and the Portfolio. |
** | Absent an allocation of certain expenses to an affiliate, expenses would be higher. |
4 |
Eaton Vance
Commodity Strategy Fund
April 30, 2018
Consolidated Portfolio of Investments (Unaudited)
Investment in Affiliated Portfolio — 53.6% | ||||||||
Description | Value | |||||||
Global Macro Absolute Return Advantage Portfolio (identified cost, $11,419,633) | $ | 12,512,799 | ||||||
Total Investment in Affiliated Portfolio |
| $ | 12,512,799 | |||||
Short-Term Investments — 45.7% | ||||||||
U.S. Treasury Obligations — 26.5% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
U.S. Treasury Bills: | ||||||||
0.00%, 5/24/18(1) | $ | 3,200 | $ | 3,196,744 | ||||
0.00%, 5/31/18 | 3,000 | 2,995,906 | ||||||
Total U.S. Treasury Obligations |
| $ | 6,192,650 |
Other — 19.2% | ||||||||
Description | Units | Value | ||||||
Eaton Vance Cash Reserves Fund, LLC, | 4,473,574 | $ | 4,473,127 | |||||
Total Other |
| $ | 4,473,127 | |||||
Total Short-Term Investments |
| $ | 10,665,777 | |||||
Total Investments — 99.3% |
| $ | 23,178,576 | |||||
Other Assets, Less Liabilities — 0.7% |
| $ | 156,148 | |||||
Net Assets — 100.0% |
| $ | 23,334,724 |
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 to cover collateral requirements on open derivative contracts. |
(2) | 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 April 30, 2018. |
Total Return Swaps | ||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Fund Pays/Receives Return on Reference Index | Reference Index | Fund Pays/Receives Rate | Annual Rate | Termination Date | Net Unrealized Appreciation (Depreciation) | |||||||||||
Barclays Bank PLC | $ | 5,400 | Receives (upon termination) | Excess Return on Bloomberg Commodity 1 Month Forward Index | Pays (upon termination) | 0.14% | 5/24/18 | $ | (19,549 | ) | ||||||||
Citibank, N.A. | 6,100 | Receives (upon termination) | Excess Return on Bloomberg Roll Select Commodity Index | Pays (upon termination) | 0.19% | 6/28/18 | 81,594 | |||||||||||
Credit Suisse International | 5,700 | Receives (upon termination) | Excess Return on Bloomberg Roll Select Commodity Index | Pays (upon termination) | 0.17% | 8/30/18 | 12,084 | |||||||||||
Merrill Lynch International | 6,000 | Receives (upon termination) | Excess Return on Bloomberg Commodity 1 Month Forward Index | Pays (upon termination) | 0.15% | 7/26/18 | 153,210 | |||||||||||
$ | 227,339 |
5 | See Notes to Consolidated Financial Statements. |
Eaton Vance
Commodity Strategy Fund
April 30, 2018
Consolidated Statement of Assets and Liabilities (Unaudited)
Assets | April 30, 2018 | |||
Investment in Global Macro Absolute Return Advantage Portfolio, at value (identified cost, $11,419,633) | $ | 12,512,799 | ||
Unaffiliated investments, at value (identified cost, $6,192,911) | 6,192,650 | |||
Affiliated investment, at value (identified cost, $4,473,127) | 4,473,127 | |||
Dividends receivable from affiliated investment | 6,023 | |||
Receivable for Fund shares sold | 13,088 | |||
Receivable for open swap contracts | 246,888 | |||
Receivable for closed swap contracts | 264,282 | |||
Receivable from affiliate | 11,290 | |||
Total assets | $ | 23,720,147 | ||
Liabilities | ||||
Payable for Fund shares redeemed | $ | 14,823 | ||
Payable for open swap contracts | 19,549 | |||
Due to custodian | 260,953 | |||
Payable to affiliates: | ||||
Investment adviser and administration fee | 6,709 | |||
Distribution and service fees | 3,578 | |||
Trustees’ fees | 120 | |||
Accrued expenses | 79,691 | |||
Total liabilities | $ | 385,423 | ||
Net Assets | $ | 23,334,724 | ||
Sources of Net Assets | ||||
Paid-in capital | $ | 37,896,836 | ||
Accumulated undistributed net investment income | 309,187 | |||
Accumulated net realized loss | (16,191,543 | ) | ||
Net unrealized appreciation | 1,320,244 | |||
Total | $ | 23,334,724 | ||
Class A Shares | ||||
Net Assets | $ | 8,118,102 | ||
Shares Outstanding | 1,466,527 | |||
Net Asset Value and Redemption Price Per Share | ||||
(net assets ÷ shares of beneficial interest outstanding) | $ | 5.54 | ||
Maximum Offering Price Per Share | ||||
(100 ÷ 95.25 of net asset value per share) | $ | 5.82 | ||
Class C Shares | ||||
Net Assets | $ | 2,333,790 | ||
Shares Outstanding | 433,715 | |||
Net Asset Value and Offering Price Per Share* | ||||
(net assets ÷ shares of beneficial interest outstanding) | $ | 5.38 | ||
Class I Shares | ||||
Net Assets | $ | 12,882,832 | ||
Shares Outstanding | 2,328,054 | |||
Net Asset Value, Offering Price and Redemption Price Per Share | ||||
(net assets ÷ shares of beneficial interest outstanding) | $ | 5.53 |
On sales of $50,000 or more, the offering price of Class A shares is reduced.
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
6 | See Notes to Consolidated Financial Statements. |
Eaton Vance
Commodity Strategy Fund
April 30, 2018
Consolidated Statement of Operations (Unaudited)
Investment Income | Six Months Ended April 30, 2018 | |||
Interest | $ | 38,300 | ||
Dividends from affiliated investment | 30,966 | |||
Dividends allocated from affiliated Portfolio (net of foreign taxes, $2,638) | 20,476 | |||
Interest and other income allocated from affiliated Portfolio (net of foreign taxes, $10,741) | 371,043 | |||
Expenses, excluding interest expense, allocated from affiliated Portfolio | (65,057 | ) | ||
Interest expense allocated from affiliated Portfolio | (4,261 | ) | ||
Net investment income | $ | 391,467 | ||
Expenses | ||||
Investment adviser and administration fee | $ | 38,712 | ||
Distribution and service fees | ||||
Class A | 9,507 | |||
Class C | 11,489 | |||
Trustees’ fees and expenses | 690 | |||
Custodian fee | 18,020 | |||
Transfer and dividend disbursing agent fees | 17,976 | |||
Legal and accounting services | 35,734 | |||
Printing and postage | 10,781 | |||
Registration fees | 44,668 | |||
Miscellaneous | 8,633 | |||
Total expenses | $ | 196,210 | ||
Deduct — | ||||
Allocation of expenses to affiliate | $ | 113,964 | ||
Total expense reductions | $ | 113,964 | ||
Net expenses | $ | 82,246 | ||
Net investment income | $ | 309,221 |
7 | See Notes to Consolidated Financial Statements. |
Eaton Vance
Commodity Strategy Fund
April 30, 2018
Consolidated Statement of Operations (Unaudited) — continued
Realized and Unrealized Gain (Loss) | Six Months Ended April 30, 2018 | |||
Net realized gain (loss) — | ||||
Investment transactions | $ | 1,357 | ||
Investment transactions — affiliated investment | (929 | ) | ||
Swap contracts | 1,137,178 | |||
Net realized gain (loss) allocated from affiliated Portfolio — | ||||
Investment transactions (net of foreign capital gains taxes of $2,391) | 115,392 | |||
Written options | 8,453 | |||
Securities sold short | 260 | |||
Futures contracts | (184,233 | ) | ||
Swap contracts | (94,960 | ) | ||
Forward volatility agreements | (1,441 | ) | ||
Foreign currency transactions | 6,580 | |||
Forward foreign currency exchange contracts | (49,452 | ) | ||
Net realized gain | $ | 938,205 | ||
Change in unrealized appreciation (depreciation) — | ||||
Investments | $ | 1,228 | ||
Investments — affiliated investment | 14 | |||
Swap contracts | (199,120 | ) | ||
Change in unrealized appreciation (depreciation) allocated from affiliated Portfolio — | ||||
Investments (including net decrease of $1,237 in accrued foreign capital gains taxes) | (21,669 | ) | ||
Written options | (7,624 | ) | ||
Securities sold short | (219 | ) | ||
Futures contracts | 1,624 | |||
Swap contracts | (19,779 | ) | ||
Forward volatility agreements | (285 | ) | ||
Foreign currency | (10,161 | ) | ||
Forward foreign currency exchange contracts | (148,355 | ) | ||
Net change in unrealized appreciation (depreciation) | $ | (404,346 | ) | |
Net realized and unrealized gain | $ | 533,859 | ||
Net increase in net assets from operations | $ | 843,080 |
8 | See Notes to Consolidated Financial Statements. |
Eaton Vance
Commodity Strategy Fund
April 30, 2018
Consolidated Statements of Changes in Net Assets
Increase (Decrease) in Net Assets | Six Months Ended April 30, 2018 | Year Ended October 31, 2017 | ||||||
From operations — | ||||||||
Net investment income | $ | 309,221 | $ | 611,509 | ||||
Net realized gain | 938,205 | 334,034 | ||||||
Net change in unrealized appreciation (depreciation) | (404,346 | ) | 427,950 | |||||
Net increase in net assets from operations | $ | 843,080 | $ | 1,373,493 | ||||
Distributions to shareholders — | ||||||||
From net investment income | ||||||||
Class A | $ | (329,406 | ) | $ | (139,122 | ) | ||
Class C | (88,553 | ) | (26,073 | ) | ||||
Class I | (619,109 | ) | (463,229 | ) | ||||
Total distributions to shareholders | $ | (1,037,068 | ) | $ | (628,424 | ) | ||
Transactions in shares of beneficial interest — | ||||||||
Proceeds from sale of shares | ||||||||
Class A | $ | 1,237,455 | $ | 2,463,587 | ||||
Class C | 226,768 | 302,812 | ||||||
Class I | 6,841,242 | 7,512,326 | ||||||
Net asset value of shares issued to shareholders in payment of distributions declared | ||||||||
Class A | 326,667 | 132,686 | ||||||
Class C | 77,804 | 19,874 | ||||||
Class I | 558,846 | 401,060 | ||||||
Cost of shares redeemed | ||||||||
Class A | (944,470 | ) | (2,749,506 | ) | ||||
Class C | (292,507 | ) | (914,435 | ) | ||||
Class I | (5,641,246 | ) | (23,498,364 | ) | ||||
Net increase (decrease) in net assets from Fund share transactions | $ | 2,390,559 | $ | (16,329,960 | ) | |||
Net increase (decrease) in net assets | $ | 2,196,571 | $ | (15,584,891 | ) | |||
Net Assets | ||||||||
At beginning of period | $ | 21,138,153 | $ | 36,723,044 | ||||
At end of period | $ | 23,334,724 | $ | 21,138,153 | ||||
Accumulated undistributed net investment income included in net assets | ||||||||
At end of period | $ | 309,187 | $ | 1,037,034 |
9 | See Notes to Consolidated Financial Statements. |
Eaton Vance
Commodity Strategy Fund
April 30, 2018
Consolidated Financial Highlights
Class A | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | Period Ended October 31, 2016(1) | Year Ended December 31, | |||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||||
Net asset value — Beginning of period | $ | 5.590 | $ | 5.400 | $ | 4.890 | $ | 6.640 | $ | 8.080 | $ | 9.180 | $ | 9.280 | ||||||||||||||
Income (Loss) From Operations | ||||||||||||||||||||||||||||
Net investment income (loss)(2) | $ | 0.073 | $ | 0.117 | $ | 0.088 | $ | (0.025 | ) | $ | (0.079 | ) | $ | (0.054 | ) | $ | 0.035 | |||||||||||
Net realized and unrealized gain (loss) | 0.133 | 0.171 | 0.476 | (1.592 | ) | (1.305 | ) | (1.010 | ) | (0.120 | ) | |||||||||||||||||
Total income (loss) from operations | $ | 0.206 | $ | 0.288 | $ | 0.564 | $ | (1.617 | ) | $ | (1.384 | ) | $ | (1.064 | ) | $ | (0.085 | ) | ||||||||||
Less Distributions | ||||||||||||||||||||||||||||
From net investment income | $ | (0.256 | ) | $ | (0.098 | ) | $ | (0.054 | ) | $ | (0.133 | ) | $ | (0.056 | ) | $ | — | $ | — | |||||||||
From net realized gain | — | — | — | — | — | (0.036 | ) | (0.015 | ) | |||||||||||||||||||
Total distributions | $ | (0.256 | ) | $ | (0.098 | ) | $ | (0.054 | ) | $ | (0.133 | ) | $ | (0.056 | ) | $ | (0.036 | ) | $ | (0.015 | ) | |||||||
Net asset value — End of period | $ | 5.540 | $ | 5.590 | $ | 5.400 | $ | 4.890 | $ | 6.640 | $ | 8.080 | $ | 9.180 | ||||||||||||||
Total Return(3) | 3.91 | %(4)(5) | 5.40 | %(5) | 11.53 | %(4)(5) | (24.83 | )%(5) | (17.16 | )%(5) | (11.60 | )% | (0.92 | )%(5) | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 8,118 | $ | 7,557 | $ | 7,443 | $ | 7,165 | $ | 13,203 | $ | 43,845 | $ | 40,990 | ||||||||||||||
Ratios (as a percentage of average daily net assets): | ||||||||||||||||||||||||||||
Expenses(6) | 1.39 | %(5)(7)(8) | 1.38 | %(5)(7) | 1.37 | %(5)(7)(8) | 1.49 | %(5) | 1.50 | %(5) | 1.48 | % | 1.50 | %(5) | ||||||||||||||
Net investment income (loss) | 2.65 | %(8) | 2.16 | % | 2.04 | %(8) | (0.42 | )% | (0.96 | )% | (0.63 | )% | 0.37 | % | ||||||||||||||
Portfolio Turnover | 20 | %(4)(9) | 22 | %(9) | 15 | %(4)(9) | 50 | %(9) | 111 | % | 264 | % | 355 | % |
(1) | For the ten months ended October 31, 2016. Effective January 1, 2016, the Fund changed its fiscal year-end from December 31 to October 31. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(4) | Not annualized. |
(5) | The investment adviser and administrator and/or sub-adviser reimbursed operating expenses (equal to 1.00%, 0.69%, 0.57%, 0.14%, 0.01% and 0.09% of average daily net assets for the six months ended April 30, 2018, the year ended October 31, 2017, the ten months ended October 31, 2016 and the years ended December 31, 2015, 2014 and 2012, respectively). Absent this reimbursement, total return would be lower. |
(6) | Excludes the effect of custody fee credits, if any, of less than 0.005%. Effective September 1, 2015, custody fee credits, which were earned on cash deposit balances, were discontinued by the custodian. |
(7) | Includes interest expense, including allocated from the Portfolio, of 0.04%, 0.03% and 0.02% for the six months ended April 30, 2018, the year ended October 31, 2017 and the ten months ended October 31, 2016, respectively. |
(8) | Annualized. |
(9) | Percentage includes both purchases and sales of securities held directly by the Fund and the Fund’s contributions to and withdrawals from the Portfolio. |
10 | See Notes to Consolidated Financial Statements. |
Eaton Vance
Commodity Strategy Fund
April 30, 2018
Consolidated Financial Highlights — continued
Class C | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | Period Ended October 31, 2016(1) | Year Ended December 31, | |||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||||
Net asset value — Beginning of period | $ | 5.410 | $ | 5.220 | $ | 4.720 | $ | 6.460 | $ | 7.850 | $ | 8.990 | $ | 9.150 | ||||||||||||||
Income (Loss) From Operations | ||||||||||||||||||||||||||||
Net investment income (loss)(2) | $ | 0.050 | $ | 0.074 | $ | 0.054 | $ | (0.071 | ) | $ | (0.137 | ) | $ | (0.113 | ) | $ | (0.035 | ) | ||||||||||
Net realized and unrealized gain (loss) | 0.132 | 0.168 | 0.446 | (1.538 | ) | (1.253 | ) | (0.991 | ) | (0.115 | ) | |||||||||||||||||
Total income (loss) from operations | $ | 0.182 | $ | 0.242 | $ | 0.500 | $ | (1.609 | ) | $ | (1.390 | ) | $ | (1.104 | ) | $ | (0.150 | ) | ||||||||||
Less Distributions | ||||||||||||||||||||||||||||
From net investment income | $ | (0.212 | ) | $ | (0.052 | ) | $ | (0.000 | )(3) | $ | (0.131 | ) | $ | — | $ | — | $ | — | ||||||||||
From net realized gain | — | — | — | — | — | (0.036 | ) | (0.010 | ) | |||||||||||||||||||
Total distributions | $ | (0.212 | ) | $ | (0.052 | ) | $ | (0.000 | )(3) | $ | (0.131 | ) | $ | — | $ | (0.036 | ) | $ | (0.010 | ) | ||||||||
Net asset value — End of period | $ | 5.380 | $ | 5.410 | $ | 5.220 | $ | 4.720 | $ | 6.460 | $ | 7.850 | $ | 8.990 | ||||||||||||||
Total Return(4) | 3.55 | %(5)(6) | 4.66 | %(5) | 10.83 | %(5)(6) | (25.56 | )%(5) | (17.71 | )%(5) | (12.29 | )% | (1.64 | )%(5) | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 2,334 | $ | 2,331 | $ | 2,839 | $ | 3,026 | $ | 6,077 | $ | 11,911 | $ | 18,731 | ||||||||||||||
Ratios (as a percentage of average daily net assets): | ||||||||||||||||||||||||||||
Expenses(7) | 2.14 | %(5)(8)(9) | 2.13 | %(5)(8) | 2.12 | %(5)(8)(9) | 2.24 | %(5) | 2.25 | %(5) | 2.23 | % | 2.25 | %(5) | ||||||||||||||
Net investment income (loss) | 1.89 | %(9) | 1.40 | % | 1.30 | %(9) | (1.22 | )% | (1.74 | )% | (1.34 | )% | (0.38 | )% | ||||||||||||||
Portfolio Turnover | 20 | %(6)(10) | 22 | %(10) | 15 | %(6)(10) | 50 | %(10) | 111 | % | 264 | % | 355 | % |
(1) | For the ten months ended October 31, 2016. Effective January 1, 2016, the Fund changed its fiscal year-end from December 31 to October 31. |
(2) | Computed using average shares outstanding. |
(3) | Amount is less than $(0.0005). |
(4) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(5) | The investment adviser and administrator and/or sub-adviser reimbursed operating expenses (equal to 1.00%, 0.69%, 0.57%, 0.14%, 0.01% and 0.09% of average daily net assets for the six months ended April 30, 2018, the year ended October 31, 2017, the ten months ended October 31, 2016 and the years ended December 31, 2015, 2014 and 2012, respectively). Absent this reimbursement, total return would be lower. |
(6) | Not annualized. |
(7) | Excludes the effect of custody fee credits, if any, of less than 0.005%. Effective September 1, 2015, custody fee credits, which were earned on cash deposit balances, were discontinued by the custodian. |
(8) | Includes interest expense, including allocated from the Portfolio, of 0.04%, 0.03% and 0.02% for the six months ended April 30, 2018, the year ended October 31, 2017 and the ten months ended October 31, 2016, respectively. |
(9) | Annualized. |
(10) | Percentage includes both purchases and sales of securities held directly by the Fund and the Fund’s contributions to and withdrawals from the Portfolio. |
11 | See Notes to Consolidated Financial Statements. |
Eaton Vance
Commodity Strategy Fund
April 30, 2018
Consolidated Financial Highlights — continued
Class I | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | Period Ended October 31, 2016(1) | Year Ended December 31, | |||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||||
Net asset value — Beginning of period | $ | 5.590 | $ | 5.400 | $ | 4.910 | $ | 6.650 | $ | 8.120 | $ | 9.190 | $ | 9.300 | ||||||||||||||
Income (Loss) From Operations | ||||||||||||||||||||||||||||
Net investment income (loss)(2) | $ | 0.079 | $ | 0.128 | $ | 0.099 | $ | (0.041 | ) | $ | (0.062 | ) | $ | (0.035 | ) | $ | 0.059 | |||||||||||
Net realized and unrealized gain (loss) | 0.132 | 0.173 | 0.469 | (1.565 | ) | (1.310 | ) | (0.999 | ) | (0.128 | ) | |||||||||||||||||
Total income (loss) from operations | $ | 0.211 | $ | 0.301 | $ | 0.568 | $ | (1.606 | ) | $ | (1.372 | ) | $ | (1.034 | ) | $ | (0.069 | ) | ||||||||||
Less Distributions | ||||||||||||||||||||||||||||
From net investment income | $ | (0.271 | ) | $ | (0.111 | ) | $ | (0.078 | ) | $ | (0.134 | ) | $ | (0.098 | ) | $ | — | $ | (0.012 | ) | ||||||||
From net realized gain | — | — | — | — | — | (0.036 | ) | (0.029 | ) | |||||||||||||||||||
Total distributions | $ | (0.271 | ) | $ | (0.111 | ) | $ | (0.078 | ) | $ | (0.134 | ) | $ | (0.098 | ) | $ | (0.036 | ) | $ | (0.041 | ) | |||||||
Net asset value — End of period | $ | 5.530 | $ | 5.590 | $ | 5.400 | $ | 4.910 | $ | 6.650 | $ | 8.120 | $ | 9.190 | ||||||||||||||
Total Return(3) | 4.01 | %(4)(5) | 5.65 | %(5) | 11.78 | %(4)(5) | (24.79 | )%(5) | (16.95 | )%(5) | (11.26 | )% | (0.74 | )%(5) | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 12,883 | $ | 11,250 | $ | 26,442 | $ | 49,072 | $ | 315,158 | $ | 574,341 | $ | 289,409 | ||||||||||||||
Ratios (as a percentage of average daily net assets): | ||||||||||||||||||||||||||||
Expenses(6) | 1.15 | %(5)(7)(8) | 1.13 | %(5)(7) | 1.12 | %(5)(7)(8) | 1.24 | %(5) | 1.25 | %(5) | 1.23 | % | 1.25 | %(5) | ||||||||||||||
Net investment income (loss) | 2.89 | %(8) | 2.36 | % | 2.31 | %(8) | (0.65 | )% | (0.76 | )% | (0.41 | )% | 0.63 | % | ||||||||||||||
Portfolio Turnover | 20 | %(4)(9) | 22 | %(9) | 15 | %(4)(9) | 50 | %(9) | 111 | % | 264 | % | 355 | % |
(1) | For the ten months ended October 31, 2016. Effective January 1, 2016, the Fund changed its fiscal year-end from December 31 to October 31. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(4) | Not annualized. |
(5) | The investment adviser and administrator and/or sub-adviser reimbursed operating expenses (equal to 1.00%, 0.69%, 0.57%, 0.12%, 0.01% and 0.09% of average daily net assets for the six months ended April 30, 2018, the year ended October 31, 2017, the ten months ended October 31, 2016 and the years ended December 31, 2015, 2014 and 2012, respectively). Absent this reimbursement, total return would be lower. |
(6) | Excludes the effect of custody fee credits, if any, of less than 0.005%. Effective September 1, 2015, custody fee credits, which were earned on cash deposit balances, were discontinued by the custodian. |
(7) | Includes interest expense, including allocated from the Portfolio, of 0.05%, 0.03% and 0.02% for the six months ended April 30, 2018, the year ended October 31, 2017 and the ten months ended October 31, 2016, respectively. |
(8) | Annualized. |
(9) | Percentage includes both purchases and sales of securities held directly by the Fund and the Fund’s contributions to and withdrawals from the Portfolio. |
12 | See Notes to Consolidated Financial Statements. |
Eaton Vance
Commodity Strategy Fund
April 30, 2018
Notes to Consolidated Financial Statements (Unaudited)
1 Significant Accounting Policies
Eaton Vance Commodity Strategy Fund (the Fund) is a non-diversified series of Eaton Vance Special Investment Trust (the Trust). The Trust is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The Fund offers three classes of shares. Class A shares are generally sold subject to a sales charge imposed at time of purchase. Class C shares are sold at net asset value and are generally subject to a contingent deferred sales charge (see Note 5). Class I shares are sold at net asset value and are not subject to a sales charge. Each class represents a pro-rata interest in the Fund, but votes separately on class-specific matters and (as noted below) is subject to different expenses. Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based on the relative net assets of each class to the total net assets of the Fund. Each class of shares differs in its distribution plan and certain other class-specific expenses. The Fund’s investment objective is total return. The Fund currently pursues its objective by investing directly in securities and commodity-linked derivatives and in interests in Global Macro Absolute Return Advantage Portfolio (the Portfolio), a Massachusetts business trust managed by an affiliate of Eaton Vance Management (EVM). The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in its net assets (0.2% at April 30, 2018). The performance of the Fund is affected by the performance of the Portfolio. The Portfolio’s consolidated financial statements as of April 30, 2018, including the consolidated portfolio of investments, are included elsewhere in this report and should be read in conjunction with the Fund’s financial statements.
The Fund seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance CSF 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 April 30, 2018 were $4,568,867 or 19.6% of the Fund’s consolidated net assets. The accompanying consolidated financial statements include the accounts of the Subsidiary. Intercompany balances and transactions have been eliminated in consolidation.
The following is a summary of significant accounting policies of the Fund. The policies are in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Fund 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 — Valuation of securities by the Portfolio is discussed in Note 1A of the Portfolio’s Notes to Financial Statements, which are included elsewhere in this report. The valuation policies of the Fund for its direct investments in securities and commodity-linked derivatives are consistent with the valuation policies of the Portfolio.
B Income — The Fund’s net investment income or loss includes the Fund’s pro-rata share of the net investment income or loss of the Portfolio, less all actual and accrued expenses of the Fund. Interest income on direct investments is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Dividend income on direct investments is recorded on the ex-dividend date for dividends received in cash and/or securities.
C Federal Taxes — The Fund’s policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders each year substantially all of its net investment income, and all or substantially all of its net realized capital gains. Accordingly, no provision for federal income or excise tax is necessary.
In addition to the requirements of the Internal Revenue Code, the Fund may also be required to recognize its pro-rata share of the capital gains taxes incurred by the Portfolio. In doing so, the daily net asset value would reflect the Fund’s pro-rata share of the estimated reserve for such taxes incurred by the Portfolio.
The Subsidiary is treated as a controlled foreign corporation under the Internal Revenue Code and is not expected to be subject to U.S. federal income tax. The Fund is treated as a U.S. shareholder of the Subsidiary. As a result, the Fund is required to include in gross income for U.S. federal income tax purposes all of the Subsidiary’s income, whether or not such income is distributed by the Subsidiary. If a net loss is realized by the Subsidiary, such loss is not generally available to offset the income earned by the Fund.
As of April 30, 2018, the Fund had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Fund 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.
D Expenses — The majority of expenses of the Trust are directly identifiable to an individual fund. Expenses which are not readily identifiable to a specific fund are allocated taking into consideration, among other things, the nature and type of expense and the relative size of the funds.
E Use of Estimates — The preparation of the consolidated 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 consolidated financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.
F Indemnifications — Under the Trust’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 Fund. Under Massachusetts law, if certain conditions prevail, shareholders of a Massachusetts business
13 |
Eaton Vance
Commodity Strategy Fund
April 30, 2018
Notes to Consolidated Financial Statements (Unaudited) — continued
trust (such as the Trust) could be deemed to have personal liability for the obligations of the Trust. However, the Trust’s Declaration of Trust contains an express disclaimer of liability on the part of Fund shareholders and the By-laws provide that the Trust shall assume the defense on behalf of any Fund shareholders. Moreover, the By-laws also provide for indemnification out of Fund property of any shareholder held personally liable solely by reason of being or having been a shareholder for all loss or expense arising from such liability. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
G 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 Fund 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.
H Other — 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.
I Interim Consolidated Financial Statements — The interim consolidated financial statements relating to April 30, 2018 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Fund’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the consolidated financial statements.
2 Distributions to Shareholders and Income Tax Information
It is the present policy of the Fund to make at least one distribution annually (normally in December) of all or substantially all of its net investment income and to distribute annually all or substantially all of its net realized capital gains. Distributions to shareholders are recorded on the ex-dividend date. Distributions are declared separately for each class of shares. Shareholders may reinvest income and capital gain distributions in additional shares of the same class of the Fund at the net asset value as of the ex-dividend date or, at the election of the shareholder, receive distributions in cash. Distributions to shareholders are determined in accordance with income tax regulations, which may differ from U.S. GAAP. As required by U.S. GAAP, only distributions in excess of tax basis earnings and profits are reported in the consolidated financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid-in capital. For tax purposes, distributions from short-term capital gains are considered to be from ordinary income.
At October 31, 2017, the Fund, for federal income tax purposes, had deferred capital losses of $7,646,711 which would reduce its taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Fund’s next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at October 31, 2017, $4,657,072 are short-term and $2,989,639 are long-term.
The cost and unrealized appreciation (depreciation) of investments of the Fund, including open derivatives contracts and the Fund’s investment in the Subsidiary, at April 30, 2018, as determined on a federal income tax basis, were as follows:
Aggregate cost | $ | 235,756,988 | ||
Gross unrealized appreciation | $ | 1,340,060 | ||
Gross unrealized depreciation | (213,478,385 | ) | ||
Net unrealized depreciation | $ | (212,138,325 | ) |
3 Investment Adviser and Administration Fee and Other Transactions with Affiliates
The investment adviser and administration fee is earned by EVM as compensation for investment advisory and administrative services rendered to the Fund and Subsidiary. Pursuant to the investment advisory and administration agreement and subsequent fee reduction agreement between the Trust and EVM and the investment advisory agreement and subsequent fee reduction agreement between the Subsidiary and EVM, the Fund and Subsidiary pay EVM an aggregate fee at an annual rate of 0.85% of the Fund’s consolidated average daily net assets up to $500 million, 0.80% from $500 million but less than $1 billion and at reduced rates on consolidated net assets of $1 billion and over, and is payable monthly. The fee reductions cannot be terminated or reduced without the approval of a majority vote of the Trustees of the Fund who are not interested persons of EVM or the Fund and by the vote of a majority of shareholders. To the extent the Fund’s assets are invested in the Portfolio, the Fund is allocated its share of the Portfolio’s investment adviser fee. The advisory fee payable by the Fund is reduced by the Fund’s allocable share of any fee paid pursuant to an investment advisory agreement by any
14 |
Eaton Vance
Commodity Strategy Fund
April 30, 2018
Notes to Consolidated Financial Statements (Unaudited) — continued
investment company advised by EVM or its affiliates in which the Fund invests its assets. The Portfolio has engaged Boston Management and Research (BMR), a subsidiary of EVM, to render investment advisory services. For the six months ended April 30, 2018, the investment adviser and administration fee amounted to $38,712 and the Fund’s allocated portion of the investment adviser fee paid by the Portfolio totaled $58,000. For the six months ended April 30, 2018, the Fund’s investment adviser and administration fee, including the investment adviser fee allocated from the Portfolio, was 0.85% (annualized) of the Fund’s consolidated average daily net assets.
EVM has agreed to reimburse the Fund’s expenses, including expenses of the Subsidiary, to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding such expenses as interest, taxes or litigation expenses) exceed 1.35%, 2.10% and 1.10% of the Fund’s consolidated average daily net assets for Class A, Class C and Class I, respectively. Pursuant to this agreement, EVM was allocated $113,964 of the Fund’s operating expenses for the six months ended April 30, 2018. Effective May 1, 2018, EVM has agreed to reimburse the Fund’s expenses, including expenses of the Subsidiary, to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding such expenses as interest, taxes or litigation expenses) exceed 1.25%, 2.00% and 1.00% of the Fund’s consolidated average daily net assets for Class A, Class C and Class I, respectively. This agreement may be changed or terminated at any time after February 29, 2020.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the six months ended April 30, 2018, EVM earned $1,889 from the Fund pursuant to such agreement, which is included in transfer and dividend disbursing agent fees on the Consolidated Statement of Operations. The Fund was informed that Eaton Vance Distributors, Inc. (EVD), an affiliate of EVM and the Fund’s principal underwriter, received $1,991 as its portion of the sales charge on sales of Class A shares for the six months ended April 30, 2018. EVD also received distribution and service fees from Class A and Class C shares (see Note 4).
Trustees and officers of the Fund and the Portfolio who are members of EVM’s or BMR’s organizations receive remuneration for their services to the Fund out of the investment adviser and administration fee. Trustees of the Fund and the Portfolio who are not affiliated with EVM 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 six months ended April 30, 2018, no significant amounts have been deferred. Certain officers and Trustees of the Fund are officers of the above organizations.
4 Distribution Plans
The Fund has in effect a distribution plan for Class A shares (Class A Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class A Plan, the Fund pays EVD a distribution and service fee of 0.25% per annum of its average daily net assets attributable to Class A shares for distribution services and facilities provided to the Fund by EVD, as well as for personal services and/or the maintenance of shareholder accounts. Distribution and service fees paid or accrued to EVD for the six months ended April 30, 2018 amounted to $9,507 for Class A shares. The Fund also has in effect a distribution plan for Class C shares (Class C Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class C Plan, the Fund pays EVD amounts equal to 0.75% per annum of its average daily net assets attributable to Class C shares for providing ongoing distribution services and facilities to the Fund. For the six months ended April 30, 2018, the Fund paid or accrued to EVD $8,617 for Class C shares.
Pursuant to the Class C Plan, the Fund also makes payments of service fees to EVD, financial intermediaries and other persons in amounts equal to 0.25% per annum of its average daily net assets attributable to that class. Service fees paid or accrued are for personal services and/or the maintenance of shareholder accounts. They are separate and distinct from the sales commissions and distribution fees payable to EVD. Service fees paid or accrued for the six months ended April 30, 2018 amounted to $2,872 for Class C shares.
Distribution and service fees are subject to the limitations contained in the Financial Industry Regulatory Authority Rule 2341(d).
5 Contingent Deferred Sales Charges
A contingent deferred sales charge (CDSC) of 1% generally is imposed on redemptions of Class C shares made within one year of purchase. Class A shares may be subject to a 1% CDSC if redeemed within 18 months of purchase (depending on the circumstances of purchase). Generally, the CDSC is based upon the lower of the net asset value at date of redemption or date of purchase. No charge is levied on shares acquired by reinvestment of dividends or capital gain distributions. For the six months ended April 30, 2018, the Fund was informed that EVD received no CDSCs paid by Class A shareholders and Class C shareholders.
6 Investment Transactions
For the six months ended April 30, 2018, increases and decreases in the Fund’s investment in the Portfolio aggregated $3,144,094 and $2,447,306, respectively.
7 Purchases and Sales of Investments
There were no purchases and sales of investments, other than short-term obligations, for the six months ended April 30, 2018.
15 |
Eaton Vance
Commodity Strategy Fund
April 30, 2018
Notes to Consolidated Financial Statements (Unaudited) — continued
8 Shares of Beneficial Interest
The Fund’s Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Such shares may be issued in a number of different series (such as the Fund) and classes. Transactions in Fund shares were as follows:
Class A | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||
Sales | 224,045 | 457,228 | ||||||
Issued to shareholders electing to receive payments of distributions in Fund shares | 61,869 | 24,663 | ||||||
Redemptions | (172,272 | ) | (508,128 | ) | ||||
Net increase (decrease) | 113,642 | (26,237 | ) | |||||
Class C | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||
Sales | 42,526 | 57,219 | ||||||
Issued to shareholders electing to receive payments of distributions in Fund shares | 15,137 | 3,793 | ||||||
Redemptions | (54,723 | ) | (173,558 | ) | ||||
Net increase (decrease) | 2,940 | (112,546 | ) | |||||
Class I | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||
Sales | 1,236,382 | 1,388,056 | ||||||
Issued to shareholders electing to receive payments of distributions in Fund shares | 106,043 | 74,685 | ||||||
Redemptions | (1,026,202 | ) | (4,344,187 | ) | ||||
Net increase (decrease) | 316,223 | (2,881,446 | ) |
9 Financial Instruments
The Fund may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include 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 Fund 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 April 30, 2018 is included in the Consolidated Portfolio of Investments. At April 30, 2018, the Fund had sufficient cash and/or securities to cover commitments under these contracts.
The Fund is subject to commodity risk in the normal course of pursuing its investment objective and its use of derivatives. 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 commodity-linked derivative instruments, including total return swap contracts based on a commodity index that provide exposure to the investment returns of the commodities markets, without investing directly in physical commodities.
The Fund enters into over-the-counter (OTC) derivatives that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Fund’s net assets below a certain level over a certain period of time, which would trigger a payment by the Fund for those derivatives in a liability position. At April 30, 2018, the fair value of derivatives with credit-related contingent features in a net liability position was $19,549.
16 |
Eaton Vance
Commodity Strategy Fund
April 30, 2018
Notes to Consolidated Financial Statements (Unaudited) — continued
The OTC derivatives in which the Fund 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 Fund (and Subsidiary) 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 Fund 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 Fund (and Subsidiary) 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 Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the counterparty to accelerate payment by the Fund 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 Fund (and Subsidiary) and/or counterparty is held in segregated accounts by the Fund’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 deposits for derivatives collateral and, in the case of cash pledged by a counterparty for the benefit of the Fund, a corresponding liability on the Consolidated Statement of Assets and Liabilities. Securities pledged by the Fund as collateral, if any, are identified as such in the Consolidated Portfolio of Investments. Because the Subsidiary is not registered under the 1940 Act, it may not be able to negotiate terms with its counterparties that are equivalent to those a registered portfolio may negotiate. As a result, the Subsidiary may have greater exposure to those counterparties than a registered portfolio.
The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is commodity risk at April 30, 2018 was as follows:
Fair Value | ||||||||
Derivative | Asset Derivative | Liability Derivative | ||||||
Swap contracts | $ | 246,888 | (1) | $ | (19,549 | )(2) |
(1) | Consolidated Statement of Assets and Liabilities location: Receivable for open swap contracts; Net unrealized appreciation. |
(2) | Consolidated Statement of Assets and Liabilities location: Payable for open swap contracts; Net unrealized appreciation. |
The Fund’s derivative assets and liabilities at fair value by type, which are reported gross in the Consolidated Statement of Assets and Liabilities, are presented in the table above. The following tables present the Fund’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 Fund (and Subsidiary) for such assets and pledged by the Fund (and Subsidiary) for such liabilities as of April 30, 2018.
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) | |||||||||||||||
Citibank, N.A. | $ | 81,594 | $ | — | $ | — | $ | — | $ | 81,594 | ||||||||||
Credit Suisse International | 12,084 | — | — | — | 12,084 | |||||||||||||||
Merrill Lynch International | 153,210 | — | — | — | 153,210 | |||||||||||||||
$ | 246,888 | $ | — | $ | — | $ | — | $ | 246,888 |
17 |
Eaton Vance
Commodity Strategy Fund
April 30, 2018
Notes to Consolidated Financial Statements (Unaudited) — 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) | |||||||||||||||
Barclays Bank PLC | $ | (19,549 | ) | $ | — | $ | — | $ | — | $ | (19,549 | ) |
(a) | In some instances, the total 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 Consolidated Statement of Operations and whose primary underlying risk exposure is commodity risk for the six months ended April 30, 2018 was as follows:
Derivative | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||
Swap contracts | $ | 1,137,178 | (1) | $ | (199,120 | )(2) |
(1) | Consolidated Statement of Operations location: Net realized gain (loss) – Swap contracts. |
(2) | Consolidated Statement of Operations location: Change in unrealized appreciation (depreciation) – Swap contracts. |
The average notional amount of swap contracts outstanding during the six months ended April 30, 2018, which is indicative of the volume of this derivative type, was approximately $22,591,000.
10 Line of Credit
The Fund 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 October 30, 2018. Borrowings are made by the Fund solely to facilitate the handling of unusual and/or unanticipated short-term cash requirements. Interest is charged to the Fund 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 0.15% 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 Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund did not have any significant borrowings or allocated fees during the six months ended April 30, 2018.
11 Overdraft Advances
Pursuant to the custodian agreement, State Street Bank and Trust Company (SSBT) may, in its discretion, advance funds to the Fund to make properly authorized payments. When such payments result in an overdraft, the Fund is obligated to repay SSBT at the current rate of interest charged by SSBT for secured loans (currently, the Federal Funds rate plus 2%). This obligation is payable on demand to SSBT. SSBT has a lien on the Fund’s assets to the extent of any overdraft. At April 30, 2018, the Fund had a payment due to SSBT pursuant to the foregoing arrangement of $260,953. Based on the short-term nature of these payments and the variable interest rate, the carrying value of the overdraft advances approximated its fair value at April 30, 2018. If measured at fair value, overdraft advances would have been considered as Level 2 in the fair value hierarchy (see Note 13) at April 30, 2018. The Fund’s average overdraft advances during the six months ended April 30, 2018 were not significant.
12 Risks Associated with Commodities
The commodities which underlie commodity-linked derivatives in which the Fund invests may be subject to additional economic and non-economic variables, such as drought, floods, weather, livestock disease, embargoes, tariffs, and international economic, political and regulatory developments. These factors may have a larger impact on commodity prices and commodity-linked instruments than on traditional securities. Certain commodities are also subject to limited pricing flexibility because of supply and demand factors. Others are subject to broad price fluctuations as a result of the volatility of the prices for certain raw materials and the instability of supplies of other materials. These additional variables may create additional investment risks which subject the Fund’s investments to greater volatility than investments in traditional securities.
18 |
Eaton Vance
Commodity Strategy Fund
April 30, 2018
Notes to Consolidated Financial Statements (Unaudited) — continued
13 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 April 30, 2018, 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 | ||||||||||||
Investment in Affiliated Portfolio | $ | 12,512,799 | $ | — | $ | — | $ | 12,512,799 | ||||||||
Short-Term Investments — | ||||||||||||||||
U.S. Treasury Obligations | — | 6,192,650 | — | 6,192,650 | ||||||||||||
Other | — | 4,473,127 | — | 4,473,127 | ||||||||||||
Total Investments | $ | 12,512,799 | $ | 10,665,777 | $ | — | $ | 23,178,576 | ||||||||
Swap Contracts | $ | — | $ | 246,888 | $ | — | $ | 246,888 | ||||||||
Total | $ | 12,512,799 | $ | 10,912,665 | $ | — | $ | 23,425,464 | ||||||||
Liability Description | ||||||||||||||||
Swap Contracts | $ | — | $ | (19,549 | ) | $ | — | $ | (19,549 | ) | ||||||
Total | $ | — | $ | (19,549 | ) | $ | — | $ | (19,549 | ) |
At April 30, 2018, there were no investments transferred between Level 1 and Level 2 during the six months then ended.
19 |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited)
Foreign Government Bonds — 51.9% | ||||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||
Albania — 1.0% | ||||||||||
Republic of Albania, 5.75%, 11/12/20(1) | EUR | 39,250 | $ | 52,774,675 | ||||||
Total Albania |
| $ | 52,774,675 | |||||||
Argentina — 2.0% | ||||||||||
City of Buenos Aires, 26.134%, (Badlar + 3.25%), 3/29/24(2) | ARS | 383,356 | $ | 18,264,489 | ||||||
City of Buenos Aires, 27.908%, (Badlar + 5.00%), 1/23/22(2) | ARS | 85,359 | 4,347,921 | |||||||
Provincia de Buenos Aires/Argentina, 27.00%, (Badlar + 3.75%), 4/12/25(1)(2) | ARS | 260,600 | 12,925,201 | |||||||
Provincia de Buenos Aires/Argentina, 27.50%, (Badlar + 3.83%), 5/31/22(2) | ARS | 266,612 | 13,169,970 | |||||||
Republic of Argentina, 5.00%, 1/15/27(1) | EUR | 1,946 | 2,291,169 | |||||||
Republic of Argentina, 6.25%, 11/9/47 | EUR | 21,878 | 24,510,079 | |||||||
Republic of Argentina, 6.875%, 1/11/48 | USD | 30,547 | 27,198,285 | |||||||
Republic of Argentina, 7.625%, 4/22/46 | USD | 1,458 | 1,410,615 | |||||||
Total Argentina |
| $ | 104,117,729 | |||||||
Australia — 2.2% | ||||||||||
Australia Government Bond, 3.00%, 3/21/47(1)(3) | AUD | 119,004 | $ | 84,744,589 | ||||||
Australia Government Bond, 3.25%, 6/21/39(1)(3) | AUD | 34,500 | 26,360,428 | |||||||
Total Australia |
| $ | 111,105,017 | |||||||
Barbados — 1.5% | ||||||||||
Barbados Government International Bond, 6.625%, 12/5/35(1) | USD | 29,459 | $ | 22,830,725 | ||||||
Barbados Government International Bond, 7.00%, 8/4/22(1) | USD | 29,435 | 25,461,275 | |||||||
Barbados Government International Bond, 7.25%, 12/15/21(1) | USD | 30,909 | 27,199,920 | |||||||
Total Barbados |
| $ | 75,491,920 | |||||||
Dominican Republic — 3.7% | ||||||||||
Dominican Republic, | DOP | 4,187,800 | $ | 87,597,948 | ||||||
Dominican Republic, 10.375%, 3/4/22(1) | DOP | 210,500 | 4,456,860 | |||||||
Dominican Republic, 10.375%, 3/6/26(1) | DOP | 913,000 | 19,650,629 | |||||||
Dominican Republic, 11.375%, 7/6/29(1) | DOP | 1,782,000 | 40,340,728 | |||||||
Dominican Republic, | DOP | 341,000 | 7,805,589 | |||||||
Dominican Republic, | DOP | 1,008,800 | 20,466,525 | |||||||
Dominican Republic, | DOP | 393,400 | 8,516,989 | |||||||
Dominican Republic, | DOP | 98,000 | 2,550,688 | |||||||
Total Dominican Republic |
| $ | 191,385,956 |
Security | Principal Amount (000’s omitted) | Value | ||||||||
El Salvador — 4.8% | ||||||||||
Republic of El Salvador, 5.875%, 1/30/25(1) | USD | 4,109 | $ | 4,047,365 | ||||||
Republic of El Salvador, 6.375%, 1/18/27(1)(3) | USD | 17,931 | 17,774,104 | |||||||
Republic of El Salvador, 7.625%, 9/21/34(1) | USD | 1,741 | 1,832,402 | |||||||
Republic of El Salvador, 7.65%, 6/15/35(1) | USD | 27,000 | 28,215,000 | |||||||
Republic of El Salvador, 7.75%, 1/24/23(1) | USD | 30,500 | 32,979,650 | |||||||
Republic of El Salvador, 8.25%, 4/10/32(1) | USD | 33,712 | 37,319,858 | |||||||
Republic of El Salvador, 8.625%, 2/28/29(1)(3) | USD | 107,904 | 123,550,080 | |||||||
Total El Salvador |
| $ | 245,718,459 | |||||||
Georgia — 0.1% | ||||||||||
Georgia Treasury Bond, 6.75%, 10/6/18 | GEL | 335 | $ | 136,400 | ||||||
Georgia Treasury Bond, 8.00%, 6/9/18 | GEL | 4,325 | 1,766,277 | |||||||
Georgia Treasury Bond, 10.50%, 2/5/25 | GEL | 1,969 | 899,712 | |||||||
Total Georgia |
| $ | 2,802,389 | |||||||
Iceland — 1.8% | ||||||||||
Republic of Iceland, 5.00%, 11/15/28 | ISK | 1,753,946 | $ | 16,917,201 | ||||||
Republic of Iceland, 6.25%, 2/5/20 | ISK | 72,674 | 737,800 | |||||||
Republic of Iceland, 6.50%, 1/24/31 | ISK | 5,991,265 | 65,934,115 | |||||||
Republic of Iceland, 7.25%, 10/26/22 | ISK | 552,876 | 5,951,658 | |||||||
Republic of Iceland, 8.00%, 6/12/25 | ISK | 351,832 | 4,064,901 | |||||||
Total Iceland |
| $ | 93,605,675 | |||||||
India — 1.9% | ||||||||||
India Government Bond, 6.97%, 9/6/26 | INR | 3,840,000 | $ | 54,309,303 | ||||||
India Government Bond, 7.59%, 3/20/29 | INR | 2,046,000 | 29,866,879 | |||||||
India Government Bond, 7.61%, 5/9/30 | INR | 1,113,060 | 16,102,179 | |||||||
Total India |
| $ | 100,278,361 | |||||||
Kazakhstan — 0.2% | ||||||||||
Kazakhstan Government International Bond, 9.60%, 4/3/21 | KZT | 2,974,820 | $ | 9,398,879 | ||||||
Total Kazakhstan |
| $ | 9,398,879 | |||||||
Macedonia — 4.7% | ||||||||||
Republic of Macedonia, | EUR | 30,173 | $ | 36,162,535 | ||||||
Republic of Macedonia, 3.975%, 7/24/21(1) | EUR | 88,774 | 114,433,682 | |||||||
Republic of Macedonia, 4.875%, 12/1/20(1) | EUR | 52,370 | 68,890,390 | |||||||
Republic of Macedonia, 5.625%, 7/26/23(1) | EUR | 16,719 | 23,352,540 | |||||||
Total Macedonia |
| $ | 242,839,147 |
20 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000’s omitted) | Value | ||||||||
New Zealand — 4.7% | ||||||||||
New Zealand Government Bond, 2.00%, 9/20/25(1)(4) | NZD | 41,301 | $ | 30,321,655 | ||||||
New Zealand Government Bond, 2.50%, 9/20/35(1)(4) | NZD | 103,262 | 78,703,265 | |||||||
New Zealand Government Bond, 2.50%, 9/20/40(4) | NZD | 104,294 | 78,205,102 | |||||||
New Zealand Government Bond, 3.00%, 9/20/30(1)(4) | NZD | 67,122 | 53,842,924 | |||||||
Total New Zealand |
| $ | 241,072,946 | |||||||
Serbia — 14.6% | ||||||||||
Serbia Treasury Bond, 5.75%, 7/21/23 | RSD | 20,863,180 | $ | 230,378,108 | ||||||
Serbia Treasury Bond, 5.875%, 2/8/28 | RSD | 21,873,110 | 239,148,908 | |||||||
Serbia Treasury Bond, 6.00%, 2/22/19 | RSD | 1,964,380 | 20,613,276 | |||||||
Serbia Treasury Bond, 10.00%, 6/5/21 | RSD | 1,665,610 | 20,127,938 | |||||||
Serbia Treasury Bond, 10.00%, 9/11/21 | RSD | 2,364,370 | 28,847,512 | |||||||
Serbia Treasury Bond, 10.00%, 2/5/22 | RSD | 12,091,930 | 149,908,675 | |||||||
Serbia Treasury Bond, 10.00%, 10/23/24 | RSD | 4,493,850 | 60,069,700 | |||||||
Total Serbia |
| $ | 749,094,117 | |||||||
Sri Lanka — 6.9% | ||||||||||
Sri Lanka Government Bond, 8.00%, 11/15/18 | LKR | 6,287,550 | $ | 39,777,665 | ||||||
Sri Lanka Government Bond, 8.00%, 11/1/19 | LKR | 120,000 | 743,801 | |||||||
Sri Lanka Government Bond, 8.50%, 5/1/19 | LKR | 368,000 | 2,314,370 | |||||||
Sri Lanka Government Bond, 8.75%, 10/15/18 | LKR | 2,088,000 | 13,237,179 | |||||||
Sri Lanka Government Bond, 9.00%, 5/1/21 | LKR | 4,424,000 | 27,475,312 | |||||||
Sri Lanka Government Bond, 9.25%, 5/1/20 | LKR | 2,452,740 | 15,425,417 | |||||||
Sri Lanka Government Bond, 9.45%, 10/15/21 | LKR | 1,369,000 | 8,572,110 | |||||||
Sri Lanka Government Bond, 10.00%, 10/1/22 | LKR | 2,176,900 | 13,773,386 | |||||||
Sri Lanka Government Bond, 10.25%, 3/15/25 | LKR | 4,623,500 | 29,372,096 | |||||||
Sri Lanka Government Bond, 10.60%, 7/1/19 | LKR | 596,930 | 3,834,153 | |||||||
Sri Lanka Government Bond, 10.60%, 9/15/19 | LKR | 1,720,000 | 11,047,123 | |||||||
Sri Lanka Government Bond, 10.75%, 3/1/21 | LKR | 3,373,000 | 21,824,315 | |||||||
Sri Lanka Government Bond, 11.00%, 8/1/21 | LKR | 6,436,720 | 42,158,190 | |||||||
Sri Lanka Government Bond, 11.00%, 8/1/24 | LKR | 1,262,000 | 8,268,917 | |||||||
Sri Lanka Government Bond, 11.00%, 8/1/25 | LKR | 100,000 | 659,171 | |||||||
Sri Lanka Government Bond, 11.00%, 6/1/26 | LKR | 5,923,870 | 39,065,274 | |||||||
Sri Lanka Government Bond, 11.20%, 7/1/22 | LKR | 515,580 | 3,395,413 | |||||||
Sri Lanka Government Bond, 11.20%, 9/1/23 | LKR | 704,000 | 4,654,458 | |||||||
Sri Lanka Government Bond, 11.40%, 1/1/24 | LKR | 692,000 | 4,627,589 | |||||||
Sri Lanka Government Bond, 11.50%, 12/15/21 | LKR | 3,650,000 | 24,322,887 | |||||||
Sri Lanka Government Bond, 11.50%, 5/15/23 | LKR | 1,823,000 | 12,170,103 | |||||||
Sri Lanka Government Bond, 11.50%, 8/1/26 | LKR | 3,105,000 | 20,907,302 | |||||||
Sri Lanka Government Bond, 11.50%, 9/1/28 | LKR | 1,346,000 | 9,118,582 | |||||||
Total Sri Lanka |
| $ | 356,744,813 |
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Tanzania — 0.0% | ||||||||||||
United Republic of Tanzania, 8.241%, (6 mo. USD LIBOR + 6.00%), 3/9/20(1)(2) | USD | 0 | (5) | $ | 252 | |||||||
Total Tanzania |
| $ | 252 | |||||||||
Thailand — 1.0% | ||||||||||||
Thailand Government Bond, 1.25%, 3/12/28(1)(4) | THB | 1,644,655 | $ | 50,484,008 | ||||||||
Total Thailand |
| $ | 50,484,008 | |||||||||
Turkey — 0.8% | ||||||||||||
Republic of Turkey, 6.00%, 3/25/27 | USD | 42,000 | $ | 42,233,730 | ||||||||
Total Turkey |
| $ | 42,233,730 | |||||||||
Total Foreign Government Bonds |
| $ | 2,669,148,073 | |||||||||
Foreign Corporate Bonds — 2.0% | ||||||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Argentina — 0.3% | ||||||||||||
Banco Hipotecario SA, 25.229%, (Badlar + 2.50%), 1/12/20(1)(2) | ARS | 165,870 | $ | 8,022,076 | ||||||||
YPF SA, 26.563%, (Badlar + 4.00%), 7/7/20(1)(2) | USD | 10,071 | 7,654,665 | |||||||||
Total Argentina |
| $ | 15,676,741 | |||||||||
China — 0.3% | ||||||||||||
21Vianet Group, Inc., 7.00%, 8/17/20(1) | USD | 3,282 | $ | 3,302,513 | ||||||||
CIFI Holdings Group Co., Ltd., 5.50%, 1/23/22(1) | USD | 5,377 | 5,038,975 | |||||||||
KWG Property Holding, Ltd., 6.00%, 9/15/22(1) | USD | 5,375 | 5,034,891 | |||||||||
Logan Property Holdings Co., Ltd., 5.25%, 2/23/23(1) | USD | 1,000 | 894,597 | |||||||||
Logan Property Holdings Co., Ltd., 6.875%, 4/24/21(1) | USD | 2,835 | 2,829,273 | |||||||||
Total China |
| $ | 17,100,249 | |||||||||
Ecuador — 0.5% | ||||||||||||
EP PetroEcuador via Noble Sovereign Funding I, Ltd., 7.925%, (3 mo. USD LIBOR + 5.63%), 9/24/19(1)(2) | USD | 3,998 | $ | 4,017,402 | ||||||||
Petroamazonas EP, 4.625%, 11/6/20(1) | USD | 22,000 | 20,385,530 | |||||||||
Total Ecuador |
| $ | 24,402,932 |
21 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Georgia — 0.1% | ||||||||||||
Bank of Georgia JSC, 11.00%, 6/1/18 | GEL | 16,810 | $ | 6,862,940 | ||||||||
Total Georgia |
| $ | 6,862,940 | |||||||||
Honduras — 0.3% | ||||||||||||
Inversiones Atlantida SA, 8.25%, 7/28/22(1) | USD | 13,133 | $ | 13,773,234 | ||||||||
Total Honduras | $ | 13,773,234 | ||||||||||
Iceland — 0.4% | ||||||||||||
Heimavellir HF, 7.91%, 4/25/23(6) | ISK | 1,963,167 | $ | 19,400,800 | ||||||||
Total Iceland | $ | 19,400,800 | ||||||||||
Indonesia — 0.0%(7) | ||||||||||||
Jasa Marga (Persero) Tbk PT, 7.50%, 12/11/20(1) | IDR | 27,880,000 | $ | 1,983,671 | ||||||||
Total Indonesia | $ | 1,983,671 | ||||||||||
Singapore — 0.1% | ||||||||||||
ABJA Investment Co. Pte., Ltd., 5.45%, 1/24/28(1) | USD | 5,376 | $ | 4,882,026 | ||||||||
Total Singapore | $ | 4,882,026 | ||||||||||
Total Foreign Corporate Bonds |
| $ | 104,082,593 | |||||||||
Sovereign Loans — 2.4% | ||||||||||||
Borrower | Principal Amount (000’s omitted) | Value | ||||||||||
Barbados — 0.4% | ||||||||||||
Government of Barbados, Term Loan, 11.78%, (6 mo. USD LIBOR + 10.00%), Maturing December 20, 2019(2)(8) | $ | 21,920 | $ | 22,059,214 | ||||||||
Total Barbados | $ | 22,059,214 | ||||||||||
Ethiopia — 0.1% | ||||||||||||
Ethiopian Railways Corporation (Federal Democratic Republic of Ethiopia guaranteed), Term Loan, 5.72%, (6 mo. USD LIBOR + 3.75%), Maturing August 1, 2021(2)(8) | $ | 7,544 | $ | 7,306,493 | ||||||||
Total Ethiopia | $ | 7,306,493 |
Borrower | Principal Amount (000’s omitted) | Value | ||||||||||
Iceland — 0.8% | ||||||||||||
Almenna Leigufelagid EHF, Term Loan, 6.75%, Maturing January 25, 2028(6)(9) | ISK | 4,000,000 | $ | 39,087,538 | ||||||||
Total Iceland | $ | 39,087,538 | ||||||||||
Kenya — 0.1% | ||||||||||||
Government of Kenya, Term Loan, 7.50%, (6 mo. USD LIBOR + 5.00%), Maturing April 18, 2019(2) | $ | 3,134 | $ | 3,134,000 | ||||||||
Total Kenya | $ | 3,134,000 | ||||||||||
Tanzania — 1.0% | ||||||||||||
Government of the United Republic of Tanzania, Term Loan, 7.03%, (6 mo. USD LIBOR + 5.20%), Maturing June 23, 2022(2) | $ | 50,800 | $ | 51,542,493 | ||||||||
Total Tanzania | $ | 51,542,493 | ||||||||||
Total Sovereign Loans |
| $ | 123,129,738 | |||||||||
Credit Linked Notes — 0.1% | ||||||||||||
Security | Principal Amount | Value | ||||||||||
Argentina — 0.1% | ||||||||||||
Desarrolladora Energética S.A. (Deutsche Bank AG), 9.50%, 7/27/20(10)(11) | $ | 3,000 | $ | 3,022,500 | ||||||||
Total Argentina | $ | 3,022,500 | ||||||||||
Total Credit Linked Notes |
| $ | 3,022,500 | |||||||||
Collateralized Mortgage Obligations — 0.9% | ||||||||||||
Security | Principal Amount | Value | ||||||||||
Federal Home Loan Mortgage Corp.: | ||||||||||||
Interest Only:(12) | ||||||||||||
Series 362, Class C6, 3.50%, 12/15/47 | $ | 35,009 | $ | 7,948,142 | ||||||||
Series 2770, Class SH, 5.203%, (7.10% - 1 mo. USD LIBOR), 3/15/34(13) | 1,884 | 319,843 | ||||||||||
Series 4791, Class JI, 4.00%, 5/15/48 | 65,698 | 15,846,762 | ||||||||||
$ | 24,114,747 |
22 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount | Value | ||||||||||
Federal National Mortgage Association: | ||||||||||||
Interest Only:(12) | ||||||||||||
Series 424, Class C8, 3.50%, 2/25/48 | $ | 49,565 | $ | 11,283,871 | ||||||||
Series 2010-67, Class BI, 5.50%, 6/25/25 | 263 | 7,302 | ||||||||||
Series 2010-109, Class PS, 4.703%, (6.60% - 1 mo. USD LIBOR), 10/25/40(13) | 4,552 | 703,628 | ||||||||||
Series 2018-21, Class IO, 3.00%, 4/25/48 | 51,481 | 10,322,102 | ||||||||||
$ | 22,316,903 | |||||||||||
Total Collateralized Mortgage Obligations |
| $ | 46,431,650 | |||||||||
Small Business Administration Loans (Interest Only)(14) — 1.1% | ||||||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||||
1.63%, 11/20/42 | $ | 1,286 | $ | 100,583 | ||||||||
1.88%, 10/30/42 to 12/28/42 | 11,193 | 967,893 | ||||||||||
2.13%, 1/25/43 | 1,762 | 172,703 | ||||||||||
2.24%, 8/15/40 | 65,845 | 6,523,902 | ||||||||||
2.38%, 11/30/42 to 3/1/43 | 6,384 | 709,025 | ||||||||||
2.48%, 10/12/42 | 263 | 28,813 | ||||||||||
2.63%, 10/27/42 to 3/22/43 | 11,947 | 1,485,823 | ||||||||||
2.803%, 10/1/40 | 140,338 | 18,294,725 | ||||||||||
2.88%, 10/27/42 to 2/13/43 | 10,785 | 1,482,663 | ||||||||||
3.028%, 10/12/39 | 151,702 | 21,020,537 | ||||||||||
3.13%, 12/11/42 to 2/15/43 | 7,801 | 1,190,626 | ||||||||||
3.134%, 10/12/42 | 1,060 | 146,501 | ||||||||||
3.38%, 12/18/42 | 686 | 116,997 | ||||||||||
3.63%, 10/27/42 to 3/28/43 | 24,043 | 4,279,526 | ||||||||||
3.634%, 11/22/42 | 3,340 | 592,314 | ||||||||||
Total Small Business Administration Loans (Interest Only) |
| $ | 57,112,631 | |||||||||
Common Stocks — 6.9% | ||||||||||||
Security | Shares | Value | ||||||||||
Cyprus — 0.3% | ||||||||||||
Bank of Cyprus Holdings PLC(15)(16) | 6,951,689 | $ | 15,908,036 | |||||||||
Bank of Cyprus Holdings PLC(15)(16) | 1,075,268 | 2,476,524 | ||||||||||
Total Cyprus |
| $ | 18,384,560 | |||||||||
Iceland — 2.7% | ||||||||||||
Eik Fasteignafelag HF | 99,681,305 | $ | 9,841,054 | |||||||||
Eimskipafelag Islands HF | 6,347,970 | 14,020,865 |
Security | Shares | Value | ||||||||
Iceland (continued) | ||||||||||
Hagar HF(15) | 40,218,755 | $ | 16,295,770 | |||||||
Heimavellir HF(15) | 143,296,854 | 1,940,080 | ||||||||
Icelandair Group HF | 62,006,300 | 8,272,409 | ||||||||
N1 HF(15) | 4,045,400 | 4,417,597 | ||||||||
Reginn HF(15) | 56,412,638 | 13,547,061 | ||||||||
Reitir Fasteignafelag HF | 27,213,913 | 24,231,382 | ||||||||
Siminn HF | 477,902,040 | 20,780,403 | ||||||||
Sjova-Almennar Tryggingar HF | 54,050,814 | 8,866,919 | ||||||||
Tryggingamidstodin HF | 851,393 | 298,484 | ||||||||
Tryggingamidstodin HF | 16,591,329 | 5,820,656 | ||||||||
Vatryggingafelag Islands HF | 65,137,096 | 8,915,395 | ||||||||
Total Iceland |
| $ | 137,248,075 | |||||||
Japan — 1.0% | ||||||||||
Mitsubishi UFJ Financial Group, Inc. | 2,574,900 | $ | 17,255,286 | |||||||
Mizuho Financial Group, Inc. | 5,368,600 | 9,713,068 | ||||||||
Resona Holdings, Inc. | 730,800 | 4,152,463 | ||||||||
Sumitomo Mitsui Financial Group, Inc. | 319,700 | 13,324,534 | ||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 165,100 | 7,001,408 | ||||||||
Total Japan |
| $ | 51,446,759 | |||||||
Serbia — 0.0%(7) | ||||||||||
Komercijalna Banka AD Beograd(15) | 32,745 | $ | 620,789 | |||||||
Total Serbia |
| $ | 620,789 | |||||||
Singapore — 0.5% | ||||||||||
Yoma Strategic Holdings, Ltd. | 79,369,266 | $ | 25,567,857 | |||||||
Total Singapore |
| $ | 25,567,857 | |||||||
South Korea — 0.6% | ||||||||||
Hana Financial Group, Inc. | 21,300 | $ | 946,427 | |||||||
Hyundai Heavy Industries Co., Ltd.(15) | 669 | 74,060 | ||||||||
Hyundai Mobis Co., Ltd. | 5,080 | 1,176,444 | ||||||||
Hyundai Motor Co. | 9,247 | 1,379,169 | ||||||||
KB Financial Group, Inc. | 20,997 | 1,192,946 | ||||||||
Korea Electric Power Corp. | 21,500 | 752,108 | ||||||||
Korea Zinc Co., Ltd. | 1,431 | 579,165 | ||||||||
KT&G Corp. | 6,856 | 626,928 | ||||||||
LG Chem, Ltd. | 2,199 | 736,068 | ||||||||
LG Corp. | 8,624 | 652,360 | ||||||||
LG Electronics, Inc. | 8,600 | 815,442 | ||||||||
LG Household & Health Care, Ltd. | 727 | 928,291 | ||||||||
Lotte Chemical Corp. | 1,700 | 654,631 | ||||||||
Naver Corp. | 2,544 | 1,696,447 |
23 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Shares | Value | ||||||||
South Korea (continued) | ||||||||||
POSCO | 2,756 | $ | 949,609 | |||||||
S-Oil Corp. | 6,100 | 625,608 | ||||||||
Samsung Biologics Co., Ltd.(10)(15) | 1,812 | 822,994 | ||||||||
Samsung C&T Corp. | 7,800 | 1,017,373 | ||||||||
Samsung Electronics Co., Ltd. | 1,881 | 4,662,259 | ||||||||
Samsung Fire & Marine Insurance Co., Ltd. | 2,300 | 574,287 | ||||||||
Samsung Life Insurance Co., Ltd. | 9,200 | 1,004,336 | ||||||||
Samsung SDI Co., Ltd. | 4,297 | 731,692 | ||||||||
Samsung SDS Co., Ltd. | 4,524 | 1,027,573 | ||||||||
Shinhan Financial Group Co., Ltd. | 16,666 | 742,081 | ||||||||
SK Holdings Co., Ltd. | 2,500 | 684,322 | ||||||||
SK Hynix, Inc. | 28,089 | 2,209,031 | ||||||||
SK Innovation Co., Ltd. | 3,677 | 673,797 | ||||||||
SK Telecom Co., Ltd. | 4,000 | 854,652 | ||||||||
Woori Bank | 45,755 | 683,096 | ||||||||
Total South Korea |
| $ | 29,473,196 | |||||||
Turkey — 0.4% | ||||||||||
Akbank Turk AS | 3,692,941 | $ | 7,683,804 | |||||||
Turkiye Garanti Bankasi AS | 2,835,020 | 6,419,703 | ||||||||
Turkiye Is Bankasi AS, Class C | 5,394,867 | 8,174,661 | ||||||||
Total Turkey |
| $ | 22,278,168 | |||||||
Vietnam — 1.4% | ||||||||||
Bank for Foreign Trade of Vietnam JSC | 1,526,750 | $ | 4,002,294 | |||||||
Bank for Investment and Development of Vietnam JSC | 845,160 | 1,332,937 | ||||||||
Bao Viet Holdings | 283,140 | 1,140,098 | ||||||||
Binh Minh Plastics JSC | 460,800 | 1,077,058 | ||||||||
Coteccons Construction JSC | 239,670 | 1,416,804 | ||||||||
Danang Rubber JSC | 120,210 | 128,502 | ||||||||
Domesco Medical Import Export JSC | 195,910 | 844,017 | ||||||||
FPT Corp. | 26,960 | 72,234 | ||||||||
HA TIEN 1 Cement JSC | 388,990 | 225,127 | ||||||||
Ho Chi Minh City Infrastructure | 1,400,400 | 1,930,296 | ||||||||
Hoa Phat Group JSC(15) | 1,569,170 | 3,698,985 | ||||||||
Hoa Sen Group | 255,450 | 187,276 | ||||||||
KIDO Group Corp. | 673,920 | 1,078,908 | ||||||||
Kinh Bac City Development | 921,600 | 536,656 | ||||||||
Masan Group Corp.(15) | 1,399,400 | 5,620,458 | ||||||||
Mobile World Investment Corp. | 279,000 | 1,247,879 | ||||||||
PetroVietnam Drilling & Well Services JSC(15) | 465,230 | 346,140 | ||||||||
PetroVietnam Fertilizer & Chemical JSC | 695,170 | 582,254 | ||||||||
PetroVietnam Gas JSC | 297,000 | 1,448,393 | ||||||||
PetroVietnam Nhon Trach 2 Power JSC | 1,590,240 | 2,198,749 | ||||||||
PetroVietnam Technical Services Corp. | 1,128,300 | 899,458 |
Security | Shares | Value | ||||||||||
Vietnam (continued) | ||||||||||||
Pha Lai Thermal Power JSC |
| 400,170 | $ | 322,527 | ||||||||
Refrigeration Electrical Engineering Corp. |
| 703,160 | 1,186,570 | |||||||||
Saigon - Hanoi Commercial Joint Stock Bank(15) |
| 1,719,602 | 859,597 | |||||||||
Saigon Securities, Inc. |
| 1,202,580 | 1,893,550 | |||||||||
Saigon Thuong Tin Commercial JSB(15) |
| 2,163,900 | 1,310,761 | |||||||||
Tan Tao Investment & Industry JSC(15) |
| 1,920,000 | 208,439 | |||||||||
Viet Capital Securities JSC(15) |
| 597,140 | 2,422,829 | |||||||||
Vietnam Construction and Import-Export JSC |
| 562,200 | 451,668 | |||||||||
Vietnam Dairy Products JSC |
| 820,400 | 6,652,880 | |||||||||
Vietnam Joint Stock Commercial Bank for Industry and Trade |
| 216,000 | 276,642 | |||||||||
Vietnam Prosperity JSC Bank(15) |
| 1,144,060 | 2,877,049 | |||||||||
Vietnam Technological & Commercial Joint Stock Bank(15) |
| 469,400 | 2,639,454 | |||||||||
Vingroup JSC(15) |
| 3,470,160 | 19,120,016 | |||||||||
Total Vietnam |
| $ | 70,236,505 | |||||||||
Total Common Stocks |
| $ | 355,255,909 | |||||||||
Warrants — 0.0%(7) | ||||||||||||
Security | Shares | Value | ||||||||||
Almenna Leigufelagid EHF, Exp. 1/25/22, Strike ISK 10.95(6)(15) | 22,753,484 | $ | 266,301 | |||||||||
Total Warrants |
| $ | 266,301 | |||||||||
Short-Term Investments — 30.9% | ||||||||||||
Foreign Government Securities — 22.1% | ||||||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Argentina — 3.0% | ||||||||||||
Banco Central Del Argentina, 0.00%, 5/16/18 | ARS | 209,580 | $ | 10,102,543 | ||||||||
Banco Central Del Argentina, 0.00%, 6/21/18 | ARS | 771,500 | 36,104,620 | |||||||||
Banco Central Del Argentina, 0.00%, 7/18/18 | ARS | 1,612,051 | 73,869,104 | |||||||||
Banco Central Del Argentina, 0.00%, 8/15/18 | ARS | 724,191 | 32,555,942 | |||||||||
Total Argentina |
| $ | 152,632,209 | |||||||||
Egypt — 9.3% | ||||||||||||
Egypt Treasury Bill, 0.00%, 5/1/18 | EGP | 490,725 | $ | 27,795,242 | ||||||||
Egypt Treasury Bill, 0.00%, 5/8/18 | EGP | 978,300 | 55,517,348 | |||||||||
Egypt Treasury Bill, 0.00%, 5/15/18 | EGP | 264,450 | 14,870,913 |
24 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000’s omitted) | Value | ||||||||
Egypt (continued) | ||||||||||
Egypt Treasury Bill, 0.00%, 5/22/18 | EGP | 262,350 | $ | 14,703,636 | ||||||
Egypt Treasury Bill, 0.00%, 5/29/18 | EGP | 202,000 | 11,283,739 | |||||||
Egypt Treasury Bill, 0.00%, 6/5/18 | EGP | 289,400 | 16,112,638 | |||||||
Egypt Treasury Bill, 0.00%, 7/10/18 | EGP | 908,800 | 49,784,018 | |||||||
Egypt Treasury Bill, 0.00%, 7/17/18 | EGP | 1,246,450 | 68,270,513 | |||||||
Egypt Treasury Bill, 0.00%, 7/24/18 | EGP | 1,042,375 | 56,739,326 | |||||||
Egypt Treasury Bill, 0.00%, 7/31/18 | EGP | 530,350 | 28,977,056 | |||||||
Egypt Treasury Bill, 0.00%, 8/7/18 | EGP | 180,025 | 9,804,913 | |||||||
Egypt Treasury Bill, 0.00%, 8/14/18 | EGP | 1,235,375 | 67,070,821 | |||||||
Egypt Treasury Bill, 0.00%, 8/21/18 | EGP | 71,125 | 3,849,339 | |||||||
Egypt Treasury Bill, 0.00%, 9/4/18 | EGP | 439,200 | 23,521,567 | |||||||
Egypt Treasury Bill, 0.00%, 9/11/18 | EGP | 287,425 | 15,344,995 | |||||||
Egypt Treasury Bill, 0.00%, 9/18/18 | EGP | 52,600 | 2,799,440 | |||||||
Egypt Treasury Bill, 0.00%, 9/25/18 | EGP | 53,600 | 2,843,793 | |||||||
Egypt Treasury Bill, 0.00%, 10/2/18 | EGP | 149,475 | 7,905,962 | |||||||
Total Egypt |
| $ | 477,195,259 | |||||||
Georgia — 0.1% | ||||||||||
Georgia Treasury Bill, 0.00%, 5/3/18 | GEL | 1,562 | $ | 637,328 | ||||||
Georgia Treasury Bill, 0.00%, 5/10/18 | GEL | 870 | 354,463 | |||||||
Georgia Treasury Bill, 0.00%, 6/14/18 | GEL | 186 | 75,258 | |||||||
Georgia Treasury Bill, 0.00%, 7/19/18 | GEL | 7,625 | 3,063,849 | |||||||
Georgia Treasury Bill, 0.00%, 2/7/19 | GEL | 700 | 270,543 | |||||||
Total Georgia |
| $ | 4,401,441 | |||||||
Kazakhstan — 3.6% | ||||||||||
National Bank of Kazakhstan Note, 0.00%, 5/18/18 | KZT | 9,975,476 | $ | 30,361,425 | ||||||
National Bank of Kazakhstan Note, 0.00%, 7/27/18 | KZT | 25,428,238 | 76,171,343 | |||||||
National Bank of Kazakhstan Note, 0.00%, 9/28/18 | KZT | 13,987,849 | 41,317,599 | |||||||
National Bank of Kazakhstan Note, 0.00%, 2/8/19 | KZT | 5,972,050 | 17,131,677 | |||||||
National Bank of Kazakhstan Note, 0.00%, 3/15/19 | KZT | 7,703,382 | 21,930,336 | |||||||
Total Kazakhstan |
| $ | 186,912,380 | |||||||
Nigeria — 6.1% | ||||||||||
Nigeria Treasury Bill, 0.00%, 5/3/18 | NGN | 8,809,529 | $ | 24,451,264 | ||||||
Nigeria Treasury Bill, 0.00%, 6/7/18 | NGN | 1,558,159 | 4,286,686 | |||||||
Nigeria Treasury Bill, 0.00%, 6/14/18 | NGN | 3,635,710 | 9,982,357 | |||||||
Nigeria Treasury Bill, 0.00%, 6/21/18 | NGN | 5,713,240 | 15,654,238 | |||||||
Nigeria Treasury Bill, 0.00%, 6/28/18 | NGN | 2,465,978 | 6,741,700 | |||||||
Nigeria Treasury Bill, 0.00%, 7/5/18 | NGN | 18,698,464 | 51,035,255 | |||||||
Nigeria Treasury Bill, 0.00%, 7/12/18 | NGN | 1,235,480 | 3,361,714 | |||||||
Nigeria Treasury Bill, 0.00%, 7/19/18 | NGN | 1,399,450 | 3,798,366 | |||||||
Nigeria Treasury Bill, 0.00%, 7/26/18 | NGN | 4,820,545 | 13,056,895 |
Security | Principal Amount (000’s omitted) | Value | ||||||||
Nigeria (continued) | ||||||||||
Nigeria Treasury Bill, 0.00%, 8/9/18 | NGN | 6,564,636 | $ | 17,707,458 | ||||||
Nigeria Treasury Bill, 0.00%, 8/16/18 | NGN | 2,294,020 | 6,179,585 | |||||||
Nigeria Treasury Bill, 0.00%, 8/23/18 | NGN | 1,226,546 | 3,294,746 | |||||||
Nigeria Treasury Bill, 0.00%, 8/30/18 | NGN | 489,805 | 1,314,098 | |||||||
Nigeria Treasury Bill, 0.00%, 9/6/18 | NGN | 3,991,350 | 10,676,795 | |||||||
Nigeria Treasury Bill, 0.00%, 9/13/18 | NGN | 2,985,060 | 7,975,106 | |||||||
Nigeria Treasury Bill, 0.00%, 9/20/18 | NGN | 5,178,361 | 13,797,745 | |||||||
Nigeria Treasury Bill, 0.00%, 9/27/18 | NGN | 3,685,257 | 9,795,945 | |||||||
Nigeria Treasury Bill, 0.00%, 10/4/18 | NGN | 1,752,191 | 4,651,743 | |||||||
Nigeria Treasury Bill, 0.00%, 10/11/18 | NGN | 2,675,000 | 7,080,480 | |||||||
Nigeria Treasury Bill, 0.00%, 10/18/18 | NGN | 3,670,848 | 9,704,136 | |||||||
Nigeria Treasury Bill, 0.00%, 10/25/18 | NGN | 1,995,675 | 5,258,191 | |||||||
Nigeria Treasury Bill, 0.00%, 11/1/18 | NGN | 4,973,247 | 13,082,271 | |||||||
Nigeria Treasury Bill, 0.00%, 11/22/18 | NGN | 2,394,810 | 6,246,143 | |||||||
Nigeria Treasury Bill, 0.00%, 11/29/18 | NGN | 1,995,680 | 5,191,548 | |||||||
Nigeria Treasury Bill, 0.00%, 12/6/18 | NGN | 15,300,882 | 39,624,524 | |||||||
Nigeria Treasury Bill, 0.00%, 12/27/18 | NGN | 484,060 | 1,238,096 | |||||||
Nigeria Treasury Bill, 0.00%, 1/17/19 | NGN | 7,509,386 | 19,158,853 | |||||||
Total Nigeria |
| $ | 314,345,938 | |||||||
Total Foreign Government Securities |
| $ | 1,135,487,227 | |||||||
U.S. Treasury Obligations — 3.2% | ||||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||
U.S. Treasury Bill, | $ | 29,000 | $ | 28,997,486 | ||||||
U.S. Treasury Bill, | 36,000 | 35,974,600 | ||||||||
U.S. Treasury Bill, | 100,000 | 99,898,257 | ||||||||
Total U.S. Treasury Obligations |
| $ | 164,870,343 |
25 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Other — 5.6% | ||||||||||||
Description | Units | Value | ||||||||||
Eaton Vance Cash Reserves Fund, LLC, 1.95%(18) | 290,954,373 | $ | 290,925,278 | |||||||||
Total Other |
| $ | 290,925,278 | |||||||||
Total Short-Term Investments |
| $ | 1,591,282,848 | |||||||||
Total Purchased Options — 0.3% |
| $ | 17,238,462 | |||||||||
Total Investments — 96.5% |
| $ | 4,966,970,705 | |||||||||
Other Assets, Less Liabilities — 3.5% |
| $ | 182,148,743 | |||||||||
Net Assets — 100.0% |
| $ | 5,149,119,448 |
The percentage shown for each investment category in the Consolidated Portfolio of Investments is based on net assets.
(1) | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At April 30, 2018, the aggregate value of these securities is $1,225,702,501 or 23.8% of the Portfolio’s net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2018. |
(3) | Security (or a portion thereof) has been pledged for the benefit of the counterparty for reverse repurchase agreements. |
(4) | Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal. |
(5) | Principal amount is less than $500. |
(6) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 9). |
(7) | Amount is less than 0.05%. |
(8) | Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date. |
(9) | Fixed-rate loan. |
(10) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2018, the aggregate value of these securities is $3,845,494 or 0.1% of the Portfolio’s net assets. |
(11) | Security whose performance, including redemption at maturity, is linked to the price of the underlying security. The investment is subject to credit risk of the issuing financial institution (Deutsche Bank AG) in addition to the market risk of the underlying security. |
(12) | Interest only security that entitles the holder to receive only interest payments on the underlying mortgages. Principal amount shown is the notional amount of the underlying mortgages on which coupon interest is calculated. |
(13) | Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at April 30, 2018. |
(14) | Interest only security that entitles the holder to receive only a portion of the interest payments on the underlying loans. Principal amount shown is the notional amount of the underlying loans on which coupon interest is calculated. |
(15) | Non-income producing security. |
(16) | Securities are traded on separate exchanges for the same entity. |
(17) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
(18) | 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 April 30, 2018. |
26 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Purchased Currency Options — 0.2% | ||||||||||||||||||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||||
Call SEK/Put EUR | BNP Paribas | EUR | 47,210,000 | SEK | 9.96 | 4/15/19 | $ | 342,464 | ||||||||||||||
Call SEK/Put EUR | BNP Paribas | EUR | 30,685,000 | SEK | 9.96 | 4/15/19 | 222,591 | |||||||||||||||
Call SEK/Put EUR | Citibank, N.A. | EUR | 70,810,000 | SEK | 9.58 | 4/12/19 | 190,431 | |||||||||||||||
Call SEK/Put EUR | Citibank, N.A. | EUR | 47,190,000 | SEK | 9.96 | 4/12/19 | 339,526 | |||||||||||||||
Call SEK/Put EUR | Citibank, N.A. | EUR | 23,610,000 | SEK | 9.96 | 4/12/19 | 169,871 | |||||||||||||||
Call SEK/Put EUR | Citibank, N.A. | EUR | 23,610,000 | SEK | 9.96 | 4/12/19 | 169,871 | |||||||||||||||
Call SEK/Put EUR | Deutsche Bank AG | EUR | 110,720,000 | SEK | 9.56 | 4/23/19 | 299,233 | |||||||||||||||
Put CNH/Call USD | Bank of America, N.A. | USD | 170,000,000 | CNH | 7.40 | 11/12/18 | 45,390 | |||||||||||||||
Put CNH/Call USD | BNP Paribas | USD | 197,300,000 | CNH | 6.86 | 8/9/18 | 53,468 | |||||||||||||||
Put CNH/Call USD | Citibank, N.A. | USD | 182,000,000 | CNH | 6.85 | 7/23/18 | 29,848 | |||||||||||||||
Put CNH/Call USD | Citibank, N.A. | USD | 171,500,000 | CNH | 7.45 | 11/9/18 | 37,387 | |||||||||||||||
Put CNH/Call USD | Deutsche Bank AG | USD | 38,410,000 | CNH | 7.40 | 11/12/18 | 10,256 | |||||||||||||||
Put CNH/Call USD | Goldman Sachs International | USD | 120,200,000 | CNH | 7.40 | 11/12/18 | 32,093 | |||||||||||||||
Put CNH/Call USD | JPMorgan Chase Bank, N.A. | USD | 156,760,000 | CNH | 7.45 | 11/9/18 | 34,174 | |||||||||||||||
Put CNH/Call USD | Standard Chartered Bank | USD | 108,580,000 | CNH | 6.96 | 8/20/18 | 23,779 | |||||||||||||||
Put EUR/Call USD | BNP Paribas | EUR | 99,218,000 | USD | 1.22 | 2/27/20 | 2,484,856 | |||||||||||||||
Put EUR/Call USD | BNP Paribas | USD | 103,555,000 | USD | 0.88 | 2/28/22 | 390,609 | |||||||||||||||
Put EUR/Call USD | Citibank, N.A. | EUR | 198,955,000 | USD | 1.21 | 2/27/20 | 4,363,806 | |||||||||||||||
Put EUR/Call USD | Goldman Sachs International | EUR | 99,217,000 | USD | 1.21 | 2/27/20 | 2,229,627 | |||||||||||||||
Put EUR/Call USD | Goldman Sachs International | USD | 103,630,000 | USD | 0.87 | 2/24/22 | 388,716 | |||||||||||||||
Total |
| $ | 11,857,996 |
Purchased Call Options — 0.1% | ||||||||||||||||||||||||||
Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||||
FTSE 100 Index | Goldman Sachs International | 3,562 | GBP | 26,748,127 | GBP | 6,275.00 | 2/15/22 | $ | 5,380,466 | |||||||||||||||||
Total | $ | 5,380,466 |
Forward Foreign Currency Exchange Contracts | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
USD | 1,738,833 | AUD | 2,301,870 | Citibank, N.A. | 5/1/18 | $ | 5,870 | $ | — | |||||||||||||||
AUD | 41,650,000 | USD | 33,740,457 | Australia and New Zealand Banking Group Limited | 5/2/18 | — | (2,384,258 | ) | ||||||||||||||||
AUD | 25,820,000 | USD | 20,298,419 | Goldman Sachs International | 5/2/18 | — | (859,834 | ) | ||||||||||||||||
AUD | 9,294,648 | USD | 7,151,553 | JPMorgan Chase Bank, N.A. | 5/2/18 | — | (154,078 | ) | ||||||||||||||||
EUR | 9,293,763 | HUF | 2,884,333,425 | Credit Agricole Corporate and Investment Bank | 5/2/18 | 120,503 | — | |||||||||||||||||
EUR | 8,826,442 | PLN | 36,815,559 | Bank of America, N.A. | 5/2/18 | 169,597 | — | |||||||||||||||||
HUF | 2,884,333,425 | EUR | 9,294,156 | Credit Agricole Corporate and Investment Bank | 5/2/18 | — | (120,976 | ) | ||||||||||||||||
KRW | 6,640,700,000 | USD | 6,170,507 | Australia and New Zealand Banking Group Limited | 5/2/18 | 47,085 | — | |||||||||||||||||
KRW | 3,832,400,000 | USD | 3,561,048 | Australia and New Zealand Banking Group Limited | 5/2/18 | 27,173 | — |
27 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
KRW | 6,640,700,000 | USD | 6,220,214 | Bank of America, N.A. | 5/2/18 | $ | — | $ | (2,621 | ) | ||||||||||||||
KRW | 1,828,400,000 | USD | 1,698,941 | BNP Paribas | 5/2/18 | 12,964 | — | |||||||||||||||||
KRW | 58,055,000,000 | USD | 54,460,600 | Goldman Sachs International | 5/2/18 | — | (104,531 | ) | ||||||||||||||||
KRW | 18,493,900,000 | USD | 17,494,939 | JPMorgan Chase Bank, N.A. | 5/2/18 | — | (179,364 | ) | ||||||||||||||||
KRW | 99,909,000,000 | USD | 92,834,975 | Nomura International PLC | 5/2/18 | 708,399 | — | |||||||||||||||||
KRW | 35,082,000,000 | USD | 32,894,515 | Nomura International PLC | 5/2/18 | — | (47,738 | ) | ||||||||||||||||
KRW | 12,580,600,000 | USD | 11,689,835 | Standard Chartered Bank | 5/2/18 | 89,202 | — | |||||||||||||||||
KRW | 3,832,400,000 | USD | 3,550,261 | Standard Chartered Bank | 5/2/18 | 37,961 | — | |||||||||||||||||
KRW | 2,687,100,000 | USD | 2,522,862 | Standard Chartered Bank | 5/2/18 | — | (6,968 | ) | ||||||||||||||||
KZT | 1,696,950,000 | USD | 4,937,156 | Deutsche Bank AG | 5/2/18 | 246,665 | — | |||||||||||||||||
KZT | 1,061,553,000 | USD | 3,089,053 | Goldman Sachs International | 5/2/18 | 153,766 | — | |||||||||||||||||
KZT | 567,380,000 | USD | 1,647,684 | Standard Chartered Bank | 5/2/18 | 85,541 | — | |||||||||||||||||
NZD | 20,000,000 | USD | 14,075,400 | Australia and New Zealand Banking Group Limited | 5/2/18 | — | (3,399 | ) | ||||||||||||||||
NZD | 68,032,700 | USD | 47,929,037 | Australia and New Zealand Banking Group Limited | 5/2/18 | — | (61,227 | ) | ||||||||||||||||
PHP | 209,491,000 | USD | 4,058,016 | BNP Paribas | 5/2/18 | — | (9,841 | ) | ||||||||||||||||
PHP | 1,219,000,000 | USD | 23,571,498 | Deutsche Bank AG | 5/2/18 | — | (15,714 | ) | ||||||||||||||||
PHP | 1,204,000,000 | USD | 23,281,446 | Goldman Sachs International | 5/2/18 | — | (15,521 | ) | ||||||||||||||||
PHP | 938,670,000 | USD | 18,189,517 | JPMorgan Chase Bank, N.A. | 5/2/18 | — | (50,791 | ) | ||||||||||||||||
PHP | 1,209,640,000 | USD | 23,455,136 | Nomura International PLC | 5/2/18 | — | (80,224 | ) | ||||||||||||||||
PHP | 865,280,000 | USD | 16,731,703 | Standard Chartered Bank | 5/2/18 | — | (11,155 | ) | ||||||||||||||||
PHP | 930,479,000 | USD | 18,009,852 | UBS AG | 5/2/18 | — | (29,408 | ) | ||||||||||||||||
PLN | 36,815,559 | EUR | 8,824,983 | Bank of America, N.A. | 5/2/18 | — | (167,834 | ) | ||||||||||||||||
USD | 36,748,195 | AUD | 48,770,000 | Australia and New Zealand Banking Group Limited | 5/2/18 | 31,705 | — | |||||||||||||||||
USD | 14,099,239 | AUD | 18,700,000 | Australia and New Zealand Banking Group Limited | 5/2/18 | 20,946 | — | |||||||||||||||||
USD | 7,003,517 | AUD | 9,294,648 | Australia and New Zealand Banking Group Limited | 5/2/18 | 6,042 | — | |||||||||||||||||
USD | 3,582,352 | KRW | 3,832,400,000 | Australia and New Zealand Banking Group Limited | 5/2/18 | — | (5,870 | ) | ||||||||||||||||
USD | 6,207,422 | KRW | 6,640,700,000 | Australia and New Zealand Banking Group Limited | 5/2/18 | — | (10,171 | ) | ||||||||||||||||
USD | 6,170,507 | KRW | 6,640,700,000 | Bank of America, N.A. | 5/2/18 | — | (47,085 | ) | ||||||||||||||||
USD | 1,712,803 | KRW | 1,828,400,000 | BNP Paribas | 5/2/18 | 898 | — | |||||||||||||||||
USD | 53,944,434 | KRW | 58,055,000,000 | Goldman Sachs International | 5/2/18 | — | (411,635 | ) | ||||||||||||||||
USD | 17,184,445 | KRW | 18,493,900,000 | JPMorgan Chase Bank, N.A. | 5/2/18 | — | (131,130 | ) | ||||||||||||||||
USD | 93,574,038 | KRW | 99,909,000,000 | Nomura International PLC | 5/2/18 | 30,664 | — | |||||||||||||||||
USD | 32,598,030 | KRW | 35,082,000,000 | Nomura International PLC | 5/2/18 | — | (248,747 | ) | ||||||||||||||||
USD | 2,496,841 | KRW | 2,687,100,000 | Standard Chartered Bank | 5/2/18 | — | (19,053 | ) | ||||||||||||||||
USD | 3,561,048 | KRW | 3,832,400,000 | Standard Chartered Bank | 5/2/18 | — | (27,173 | ) | ||||||||||||||||
USD | 11,654,423 | KRW | 12,580,600,000 | Standard Chartered Bank | 5/2/18 | — | (124,614 | ) | ||||||||||||||||
USD | 47,795,991 | NZD | 64,450,000 | Australia and New Zealand Banking Group Limited | 5/2/18 | 2,448,968 | — | |||||||||||||||||
USD | 17,194,052 | NZD | 23,582,700 | Goldman Sachs International | 5/2/18 | 601,264 | — | |||||||||||||||||
USD | 4,050,875 | PHP | 209,491,000 | BNP Paribas | 5/2/18 | 2,701 | — | |||||||||||||||||
USD | 23,424,289 | PHP | 1,219,000,000 | Deutsche Bank AG | 5/2/18 | — | (131,494 | ) | ||||||||||||||||
USD | 23,138,272 | PHP | 1,204,000,000 | Goldman Sachs International | 5/2/18 | — | (127,653 | ) | ||||||||||||||||
USD | 18,150,827 | PHP | 938,670,000 | JPMorgan Chase Bank, N.A. | 5/2/18 | 12,101 | — | |||||||||||||||||
USD | 23,390,506 | PHP | 1,209,640,000 | Nomura International PLC | 5/2/18 | 15,594 | — | |||||||||||||||||
USD | 16,663,714 | PHP | 865,280,000 | Standard Chartered Bank | 5/2/18 | — | (56,834 | ) | ||||||||||||||||
USD | 17,992,439 | PHP | 930,479,000 | UBS AG | 5/2/18 | 11,995 | — | |||||||||||||||||
USD | 5,102,952 | UYU | 145,230,000 | Citibank, N.A. | 5/2/18 | — | (1,794 | ) |
28 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
USD | 5,078,682 | UYU | 145,230,000 | Citibank, N.A. | 5/2/18 | $ | — | $ | (26,063 | ) | ||||||||||||||
UYU | 145,230,000 | USD | 5,039,209 | Citibank, N.A. | 5/2/18 | 65,536 | — | |||||||||||||||||
UYU | 145,230,000 | USD | 5,078,682 | Citibank, N.A. | 5/2/18 | 26,063 | — | |||||||||||||||||
CZK | 472,437,000 | EUR | 18,728,905 | Citibank, N.A. | 5/7/18 | — | (328,330 | ) | ||||||||||||||||
EUR | 18,666,161 | CZK | 472,437,000 | Citibank, N.A. | 5/7/18 | 252,539 | — | |||||||||||||||||
EUR | 13,079,410 | HUF | 4,050,870,000 | Goldman Sachs International | 5/7/18 | 202,652 | — | |||||||||||||||||
EUR | 8,076,065 | PLN | 33,657,000 | BNP Paribas | 5/7/18 | 165,878 | — | |||||||||||||||||
HUF | 4,050,870,000 | EUR | 13,056,793 | Goldman Sachs International | 5/7/18 | — | (175,331 | ) | ||||||||||||||||
PLN | 33,657,000 | EUR | 8,057,120 | BNP Paribas | 5/7/18 | — | (142,994 | ) | ||||||||||||||||
RUB | 2,416,325,606 | USD | 41,635,661 | BNP Paribas | 5/7/18 | — | (3,283,022 | ) | ||||||||||||||||
RUB | 2,416,618,859 | USD | 41,644,302 | Deutsche Bank AG | 5/7/18 | — | (3,287,008 | ) | ||||||||||||||||
RUB | �� | 1,284,156,000 | USD | 22,213,389 | Goldman Sachs International | 5/7/18 | — | (1,830,882 | ) | |||||||||||||||
RUB | 1,088,751,000 | USD | 18,810,975 | Standard Chartered Bank | 5/7/18 | — | (1,529,995 | ) | ||||||||||||||||
SGD | 95,282,821 | USD | 72,283,619 | Deutsche Bank AG | 5/7/18 | — | (420,714 | ) | ||||||||||||||||
SGD | 6,731,486 | USD | 5,142,072 | Nomura International PLC | 5/7/18 | — | (65,142 | ) | ||||||||||||||||
USD | 24,691,399 | CLP | 14,742,000,000 | JPMorgan Chase Bank, N.A. | 5/7/18 | 656,799 | — | |||||||||||||||||
USD | 37,668,361 | COP | 105,248,000,000 | BNP Paribas | 5/7/18 | 200,614 | — | |||||||||||||||||
USD | 15,479,924 | COP | 43,091,000,000 | BNP Paribas | 5/7/18 | 139,749 | — | |||||||||||||||||
USD | 5,160,072 | COP | 14,345,000,000 | BNP Paribas | 5/7/18 | 53,326 | — | |||||||||||||||||
USD | 56,760,345 | COP | 158,640,000,000 | Standard Chartered Bank | 5/7/18 | 285,320 | — | |||||||||||||||||
USD | 10,320,158 | COP | 28,721,000,000 | Standard Chartered Bank | 5/7/18 | 95,630 | — | |||||||||||||||||
USD | 209,801,873 | EUR | 167,903,959 | Standard Chartered Bank | 5/7/18 | 6,984,513 | — | |||||||||||||||||
USD | 19,734,018 | RUB | 1,223,064,282 | BNP Paribas | 5/7/18 | 321,177 | — | |||||||||||||||||
USD | 12,294,149 | RUB | 798,505,000 | Goldman Sachs International | 5/7/18 | — | (379,960 | ) | ||||||||||||||||
USD | 21,520,130 | RUB | 1,381,248,000 | Goldman Sachs International | 5/7/18 | — | (403,450 | ) | ||||||||||||||||
USD | 18,331,313 | RUB | 1,191,847,000 | Standard Chartered Bank | 5/7/18 | — | (586,037 | ) | ||||||||||||||||
USD | 39,736,754 | RUB | 2,553,301,000 | Standard Chartered Bank | 5/7/18 | — | (790,000 | ) | ||||||||||||||||
UYU | 405,243,408 | USD | 14,022,263 | JPMorgan Chase Bank, N.A. | 5/7/18 | 213,037 | — | |||||||||||||||||
RUB | 3,772,477,606 | USD | 65,231,664 | BNP Paribas | 5/8/18 | — | (5,360,986 | ) | ||||||||||||||||
RUB | 1,932,264,513 | USD | 33,388,591 | Credit Suisse International | 5/8/18 | — | (2,722,806 | ) | ||||||||||||||||
USD | 11,231,277 | RUB | 699,147,000 | BNP Paribas | 5/8/18 | 135,544 | — | |||||||||||||||||
USD | 46,868,244 | RUB | 2,924,719,000 | Credit Suisse International | 5/8/18 | 451,822 | — | |||||||||||||||||
USD | 35,449,055 | RUB | 2,185,745,119 | Goldman Sachs International | 5/8/18 | 760,435 | — | |||||||||||||||||
UYU | 301,650,000 | USD | 10,018,266 | Citibank, N.A. | 5/8/18 | 576,399 | — | |||||||||||||||||
AUD | 156,671,451 | USD | 123,175,878 | Australia and New Zealand Banking Group Limited | 5/9/18 | — | (5,224,223 | ) | ||||||||||||||||
AUD | 18,886,554 | USD | 14,791,798 | Goldman Sachs International | 5/9/18 | — | (572,869 | ) | ||||||||||||||||
COP | 69,795,160,000 | USD | 24,354,937 | Standard Chartered Bank | 5/9/18 | 491,453 | — | |||||||||||||||||
ILS | 58,261,000 | USD | 16,901,208 | Goldman Sachs International | 5/9/18 | — | (705,991 | ) | ||||||||||||||||
ILS | 822,735,000 | USD | 238,073,673 | Goldman Sachs International | 5/9/18 | — | (9,372,271 | ) | ||||||||||||||||
NZD | 9,523,483 | USD | 6,861,460 | Australia and New Zealand Banking Group Limited | 5/9/18 | — | (161,023 | ) | ||||||||||||||||
USD | 54,021,534 | AUD | 68,976,105 | Goldman Sachs International | 5/9/18 | 2,092,189 | — | |||||||||||||||||
USD | 15,480,127 | COP | 43,107,000,000 | BNP Paribas | 5/9/18 | 134,460 | — | |||||||||||||||||
USD | 23,220,571 | COP | 64,708,000,000 | Standard Chartered Bank | 5/9/18 | 185,160 | — | |||||||||||||||||
USD | 136,844,763 | NZD | 187,692,553 | Australia and New Zealand Banking Group Limited | 5/9/18 | 4,789,906 | — | |||||||||||||||||
CZK | 460,503,000 | EUR | 18,015,069 | JPMorgan Chase Bank, N.A. | 5/10/18 | — | (30,504 | ) | ||||||||||||||||
CZK | 1,944,655,000 | EUR | 76,022,479 | JPMorgan Chase Bank, N.A. | 5/10/18 | — | (64,497 | ) |
29 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
EUR | 109,767,504 | CZK | 2,796,876,000 | JPMorgan Chase Bank, N.A. | 5/10/18 | $ | 611,213 | $ | — | |||||||||||||||
EUR | 48,575,087 | CZK | 1,230,917,000 | JPMorgan Chase Bank, N.A. | 5/10/18 | 590,307 | — | |||||||||||||||||
EUR | 30,908,513 | CZK | 782,279,000 | JPMorgan Chase Bank, N.A. | 5/10/18 | 420,839 | — | |||||||||||||||||
THB | 812,910,000 | USD | 25,587,347 | Citibank, N.A. | 5/10/18 | 173,115 | — | |||||||||||||||||
THB | 271,828,000 | USD | 8,218,534 | Deutsche Bank AG | 5/10/18 | 395,476 | — | |||||||||||||||||
THB | 206,890,000 | USD | 6,372,218 | Deutsche Bank AG | 5/10/18 | 183,959 | — | |||||||||||||||||
THB | 187,581,000 | USD | 5,773,944 | Deutsche Bank AG | 5/10/18 | 170,347 | — | |||||||||||||||||
THB | 103,737,762 | USD | 3,330,533 | Deutsche Bank AG | 5/10/18 | — | (43,167 | ) | ||||||||||||||||
THB | 346,073,163 | USD | 11,130,797 | Deutsche Bank AG | 5/10/18 | — | (164,018 | ) | ||||||||||||||||
THB | 161,026,000 | USD | 4,869,247 | Standard Chartered Bank | 5/10/18 | 233,537 | — | |||||||||||||||||
THB | 172,970,418 | USD | 5,573,398 | Standard Chartered Bank | 5/10/18 | — | (92,105 | ) | ||||||||||||||||
TRY | 41,202,769 | USD | 10,104,677 | Standard Chartered Bank | 5/10/18 | 14,157 | — | |||||||||||||||||
USD | 221,674 | EUR | 181,866 | Bank of America, N.A. | 5/10/18 | 1,946 | — | |||||||||||||||||
USD | 35,490,963 | EUR | 28,678,060 | JPMorgan Chase Bank, N.A. | 5/10/18 | 842,428 | — | |||||||||||||||||
USD | 216,533 | EUR | 176,576 | JPMorgan Chase Bank, N.A. | 5/10/18 | 3,196 | — | |||||||||||||||||
USD | 62,592,045 | EUR | 52,439,716 | JPMorgan Chase Bank, N.A. | 5/10/18 | — | (765,078 | ) | ||||||||||||||||
USD | 25,884,732 | THB | 812,910,000 | Citibank, N.A. | 5/10/18 | 124,270 | — | |||||||||||||||||
USD | 19,123,828 | THB | 594,416,395 | Deutsche Bank AG | 5/10/18 | 287,253 | — | |||||||||||||||||
USD | 20,588,703 | THB | 647,000,000 | Deutsche Bank AG | 5/10/18 | 85,796 | — | |||||||||||||||||
USD | 6,588,854 | THB | 206,890,000 | Deutsche Bank AG | 5/10/18 | 32,676 | — | |||||||||||||||||
USD | 5,773,944 | THB | 187,581,000 | Deutsche Bank AG | 5/10/18 | — | (170,347 | ) | ||||||||||||||||
USD | 8,218,534 | THB | 271,828,000 | Deutsche Bank AG | 5/10/18 | — | (395,476 | ) | ||||||||||||||||
USD | 20,546,639 | THB | 646,500,000 | Standard Chartered Bank | 5/10/18 | 59,576 | — | |||||||||||||||||
USD | 4,869,247 | THB | 161,026,000 | Standard Chartered Bank | 5/10/18 | — | (233,537 | ) | ||||||||||||||||
USD | 105,057,330 | TRY | 431,927,452 | Goldman Sachs International | 5/10/18 | — | (1,018,113 | ) | ||||||||||||||||
USD | 142,929,196 | TRY | 588,864,000 | Standard Chartered Bank | 5/10/18 | — | (1,687,704 | ) | ||||||||||||||||
AUD | 42,429,000 | USD | 31,897,061 | Australia and New Zealand Banking Group Limited | 5/11/18 | 46,130 | — | |||||||||||||||||
AUD | 24,223,000 | USD | 18,210,246 | Australia and New Zealand Banking Group Limited | 5/11/18 | 26,336 | — | |||||||||||||||||
EUR | 32,773,797 | SEK | 329,103,000 | Credit Suisse International | 5/11/18 | 1,994,478 | — | |||||||||||||||||
SEK | 329,103,000 | EUR | 33,016,869 | Credit Suisse International | 5/11/18 | — | (2,288,176 | ) | ||||||||||||||||
USD | 1,879,047 | NZD | 2,621,000 | Australia and New Zealand Banking Group Limited | 5/11/18 | 35,002 | — | |||||||||||||||||
USD | 6,110,174 | NZD | 8,944,000 | Australia and New Zealand Banking Group Limited | 5/11/18 | — | (182,517 | ) | ||||||||||||||||
USD | 17,322,863 | NZD | 25,357,000 | Australia and New Zealand Banking Group Limited | 5/11/18 | — | (517,450 | ) | ||||||||||||||||
EUR | 3,283,302 | SEK | 32,983,000 | Deutsche Bank AG | 5/14/18 | 198,332 | — | |||||||||||||||||
EUR | 3,271,353 | SEK | 33,036,500 | Deutsche Bank AG | 5/14/18 | 177,777 | — | |||||||||||||||||
KZT | 1,107,185,000 | USD | 3,210,628 | Goldman Sachs International | 5/14/18 | 163,615 | — | |||||||||||||||||
RUB | 1,231,074,000 | USD | 21,500,472 | Bank of America, N.A. | 5/14/18 | — | (1,976,957 | ) | ||||||||||||||||
SEK | 66,019,500 | EUR | 6,662,766 | Deutsche Bank AG | 5/14/18 | — | (506,765 | ) | ||||||||||||||||
SGD | 8,296,000 | USD | 6,274,296 | Bank of America, N.A. | 5/14/18 | — | (16,553 | ) | ||||||||||||||||
USD | 16,769,790 | RUB | 1,045,282,000 | Bank of America, N.A. | 5/14/18 | 192,738 | — | |||||||||||||||||
USD | 7,858,367 | SGD | 10,320,000 | Goldman Sachs International | 5/14/18 | 73,903 | — | |||||||||||||||||
USD | 1,822,628 | SGD | 2,385,000 | Goldman Sachs International | 5/14/18 | 23,602 | — | |||||||||||||||||
USD | 1,950,486 | SGD | 2,570,000 | Goldman Sachs International | 5/14/18 | 11,914 | — | |||||||||||||||||
COP | 28,911,300,000 | USD | 9,922,538 | BNP Paribas | 5/15/18 | 369,275 | — | |||||||||||||||||
COP | 71,692,671,000 | USD | 24,585,964 | Citibank, N.A. | 5/15/18 | 935,115 | — | |||||||||||||||||
COP | 72,392,339,000 | USD | 24,806,339 | JPMorgan Chase Bank, N.A. | 5/15/18 | 963,807 | — |
30 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
COP | 28,911,300,000 | USD | 9,928,331 | Standard Chartered Bank | 5/15/18 | $ | 363,482 | $ | — | |||||||||||||||
KZT | 736,348,000 | USD | 2,153,379 | Deutsche Bank AG | 5/15/18 | 90,225 | — | |||||||||||||||||
THB | 193,030,000 | USD | 6,153,331 | Deutsche Bank AG | 5/15/18 | — | (35,436 | ) | ||||||||||||||||
USD | 2,198,054 | KZT | 736,348,000 | Goldman Sachs International | 5/15/18 | — | (45,550 | ) | ||||||||||||||||
USD | 6,153,331 | THB | 193,030,000 | Deutsche Bank AG | 5/15/18 | 35,436 | — | |||||||||||||||||
USD | 11,260,215 | THB | 349,776,067 | JPMorgan Chase Bank, N.A. | 5/15/18 | 174,408 | — | |||||||||||||||||
USD | 26,968,484 | ZAR | 376,507,000 | BNP Paribas | 5/15/18 | — | (3,187,520 | ) | ||||||||||||||||
ZAR | 376,507,000 | USD | 31,405,942 | BNP Paribas | 5/15/18 | — | (1,249,938 | ) | ||||||||||||||||
COP | 176,389,600,000 | USD | 60,160,164 | Citibank, N.A. | 5/16/18 | 2,630,500 | — | |||||||||||||||||
PEN | 71,094,200 | USD | 21,739,351 | Standard Chartered Bank | 5/16/18 | 106,950 | — | |||||||||||||||||
PEN | 134,222,200 | USD | 41,067,895 | The Bank of Nova Scotia | 5/16/18 | 176,801 | — | |||||||||||||||||
RSD | 980,000,000 | EUR | 8,243,274 | Citibank, N.A. | 5/16/18 | 46,503 | — | |||||||||||||||||
RSD | 3,347,471,852 | EUR | 28,285,108 | Citibank, N.A. | 5/16/18 | 4,328 | — | |||||||||||||||||
RSD | 1,193,579,000 | EUR | 10,040,200 | Deutsche Bank AG | 5/16/18 | 56,147 | — | |||||||||||||||||
RSD | 924,871,000 | EUR | 7,803,502 | Deutsche Bank AG | 5/16/18 | 14,944 | — | |||||||||||||||||
USD | 15,477,914 | PEN | 50,458,000 | Bank of America, N.A. | 5/16/18 | — | (27,158 | ) | ||||||||||||||||
USD | 15,477,795 | PEN | 50,535,000 | Bank of America, N.A. | 5/16/18 | — | (50,938 | ) | ||||||||||||||||
USD | 19,045,682 | PEN | 62,037,500 | BNP Paribas | 5/16/18 | — | (17,616 | ) | ||||||||||||||||
USD | 11,423,400 | PEN | 37,297,400 | Deutsche Bank AG | 5/16/18 | — | (37,595 | ) | ||||||||||||||||
USD | 1,543,949 | PEN | 4,988,500 | Standard Chartered Bank | 5/16/18 | 11,050 | — | |||||||||||||||||
USD | 5,371,945 | AED | 19,895,000 | Standard Chartered Bank | 5/17/18 | — | (44,468 | ) | ||||||||||||||||
USD | 8,745,037 | AED | 32,375,000 | Standard Chartered Bank | 5/17/18 | — | (69,057 | ) | ||||||||||||||||
USD | 84,815,174 | EUR | 71,201,456 | Standard Chartered Bank | 5/17/18 | — | (1,252,895 | ) | ||||||||||||||||
AUD | 12,561,995 | USD | 9,871,505 | Australia and New Zealand Banking Group Limited | 5/18/18 | — | (413,952 | ) | ||||||||||||||||
USD | 6,004,264 | INR | 394,270,000 | Goldman Sachs International | 5/18/18 | 96,712 | — | |||||||||||||||||
USD | 10,066,575 | NZD | 13,806,567 | Australia and New Zealand Banking Group Limited | 5/18/18 | 352,964 | — | |||||||||||||||||
EGP | 120,004,000 | USD | 6,469,218 | Citibank, N.A. | 5/21/18 | 308,773 | — | |||||||||||||||||
EUR | 9,283,206 | SEK | 93,176,000 | Deutsche Bank AG | 5/21/18 | 570,162 | — | |||||||||||||||||
INR | 1,036,170,000 | USD | 15,846,001 | Citibank, N.A. | 5/21/18 | — | (320,529 | ) | ||||||||||||||||
INR | 65,150,000 | USD | 990,508 | Deutsche Bank AG | 5/21/18 | — | (14,332 | ) | ||||||||||||||||
INR | 6,345,319,124 | USD | 96,793,824 | Deutsche Bank AG | 5/21/18 | — | (1,718,620 | ) | ||||||||||||||||
INR | 2,567,020,000 | USD | 39,065,896 | Goldman Sachs International | 5/21/18 | — | (602,905 | ) | ||||||||||||||||
INR | 1,635,828,000 | USD | 24,900,342 | JPMorgan Chase Bank, N.A. | 5/21/18 | — | (389,884 | ) | ||||||||||||||||
SEK | 93,176,000 | EUR | 9,402,884 | Deutsche Bank AG | 5/21/18 | — | (714,870 | ) | ||||||||||||||||
USD | 14,159,292 | INR | 928,000,000 | Bank of America, N.A. | 5/21/18 | 254,587 | — | |||||||||||||||||
USD | 20,266,965 | INR | 1,338,025,000 | Bank of America, N.A. | 5/21/18 | 218,643 | — | |||||||||||||||||
USD | 5,031,958 | INR | 332,235,000 | Bank of America, N.A. | 5/21/18 | 53,908 | — | |||||||||||||||||
USD | 25,480,830 | INR | 1,681,480,000 | Citibank, N.A. | 5/21/18 | 286,344 | — | |||||||||||||||||
USD | 25,300,326 | INR | 1,670,960,000 | Citibank, N.A. | 5/21/18 | 263,466 | — | |||||||||||||||||
USD | 20,268,010 | INR | 1,337,790,000 | Citibank, N.A. | 5/21/18 | 223,209 | — | |||||||||||||||||
USD | 20,263,481 | INR | 1,337,795,000 | Citibank, N.A. | 5/21/18 | 218,605 | — | |||||||||||||||||
USD | 10,960,678 | INR | 717,622,976 | Citibank, N.A. | 5/21/18 | 208,161 | — | |||||||||||||||||
USD | 12,651,099 | INR | 834,340,000 | Citibank, N.A. | 5/21/18 | 149,751 | — | |||||||||||||||||
USD | 24,426,884 | INR | 1,612,785,000 | Deutsche Bank AG | 5/21/18 | 261,690 | — | |||||||||||||||||
USD | 25,081,409 | INR | 1,656,000,000 | Goldman Sachs International | 5/21/18 | 268,703 | — | |||||||||||||||||
USD | 25,317,541 | INR | 1,669,945,000 | JPMorgan Chase Bank, N.A. | 5/21/18 | 295,890 | — |
31 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
USD | 17,537,968 | INR | 1,149,000,000 | Société Générale | 5/21/18 | $ | 321,906 | $ | — | |||||||||||||||
USD | 50,277,517 | INR | 3,320,830,000 | Standard Chartered Bank | 5/21/18 | 519,800 | — | |||||||||||||||||
USD | 25,076,504 | INR | 1,655,300,000 | Standard Chartered Bank | 5/21/18 | 274,286 | — | |||||||||||||||||
USD | 25,143,117 | INR | 1,660,200,000 | Standard Chartered Bank | 5/21/18 | 267,480 | — | |||||||||||||||||
USD | 1,035,233 | INR | 68,315,000 | Standard Chartered Bank | 5/21/18 | 11,634 | — | |||||||||||||||||
USD | 3,689,162 | KZT | 1,210,045,000 | Citibank, N.A. | 5/21/18 | 6,967 | — | |||||||||||||||||
USD | 3,784,448 | KZT | 1,267,790,000 | Citibank, N.A. | 5/21/18 | — | (73,466 | ) | ||||||||||||||||
USD | 11,353,371 | KZT | 3,812,840,000 | Citibank, N.A. | 5/21/18 | — | (249,188 | ) | ||||||||||||||||
USD | 15,137,836 | KZT | 5,062,660,000 | Citibank, N.A. | 5/21/18 | — | (267,953 | ) | ||||||||||||||||
USD | 5,222,340 | OMR | 2,115,100 | Standard Chartered Bank | 5/21/18 | — | (272,381 | ) | ||||||||||||||||
EUR | 11,184,310 | HUF | 3,490,017,000 | Société Générale | 5/22/18 | 75,602 | — | |||||||||||||||||
EUR | 11,513,489 | PLN | 48,055,000 | Société Générale | 5/22/18 | 228,611 | — | |||||||||||||||||
HUF | 3,490,017,000 | EUR | 11,244,336 | Société Générale | 5/22/18 | — | (148,187 | ) | ||||||||||||||||
KZT | 1,377,031,186 | USD | 3,954,146 | Standard Chartered Bank | 5/22/18 | 235,295 | — | |||||||||||||||||
KZT | 2,280,000,000 | USD | 6,740,577 | Standard Chartered Bank | 5/22/18 | 196,031 | — | |||||||||||||||||
PLN | 48,055,000 | EUR | 11,533,218 | Société Générale | 5/22/18 | — | (252,469 | ) | ||||||||||||||||
USD | 10,932,829 | KZT | 3,657,031,186 | Standard Chartered Bank | 5/22/18 | — | (193,219 | ) | ||||||||||||||||
ARS | 203,848,000 | USD | 9,758,162 | BNP Paribas | 5/23/18 | — | (14,576 | ) | ||||||||||||||||
KZT | 688,516,000 | USD | 1,977,074 | Standard Chartered Bank | 5/23/18 | 117,200 | — | |||||||||||||||||
USD | 6,395,924 | ARS | 132,587,495 | BNP Paribas | 5/23/18 | 58,468 | — | |||||||||||||||||
USD | 3,445,866 | ARS | 71,260,505 | Citibank, N.A. | 5/23/18 | 39,735 | — | |||||||||||||||||
EUR | 8,266,479 | USD | 10,204,059 | Standard Chartered Bank | 5/24/18 | — | (206,547 | ) | ||||||||||||||||
JPY | 703,000,000 | USD | 6,560,284 | Standard Chartered Bank | 5/24/18 | — | (120,717 | ) | ||||||||||||||||
JPY | 2,316,537,208 | USD | 21,755,609 | Standard Chartered Bank | 5/24/18 | — | (535,842 | ) | ||||||||||||||||
USD | 24,970,083 | EUR | 20,225,241 | Standard Chartered Bank | 5/24/18 | 509,597 | — | |||||||||||||||||
USD | 6,141,711 | EUR | 4,977,035 | Standard Chartered Bank | 5/24/18 | 122,465 | — | |||||||||||||||||
USD | 135,280,731 | EUR | 112,124,267 | Standard Chartered Bank | 5/24/18 | — | (322,795 | ) | ||||||||||||||||
USD | 16,958,794 | JPY | 1,869,333,944 | Standard Chartered Bank | 5/24/18 | — | (164,535 | ) | ||||||||||||||||
USD | 28,705,199 | JPY | 3,219,001,028 | Standard Chartered Bank | 5/24/18 | — | (781,247 | ) | ||||||||||||||||
USD | 19,919,001 | NZD | 27,364,347 | Credit Suisse International | 5/24/18 | 667,178 | — | |||||||||||||||||
NOK | 250,325,000 | EUR | 25,881,945 | Deutsche Bank AG | 5/28/18 | — | (81,293 | ) | ||||||||||||||||
AUD | 36,508,000 | USD | 28,545,313 | Standard Chartered Bank | 5/29/18 | — | (1,059,061 | ) | ||||||||||||||||
KRW | 26,274,500,000 | USD | 24,629,265 | Citibank, N.A. | 5/29/18 | — | (72,725 | ) | ||||||||||||||||
KRW | 26,761,000,000 | USD | 25,080,600 | Deutsche Bank AG | 5/29/18 | — | (69,370 | ) | ||||||||||||||||
USD | 139,860 | EUR | 112,701 | JPMorgan Chase Bank, N.A. | 5/29/18 | 3,510 | — | |||||||||||||||||
USD | 16,476,195 | KRW | 17,718,500,000 | Credit Agricole Corporate and Investment Bank | 5/29/18 | — | (83,780 | ) | ||||||||||||||||
USD | 12,526,664 | KRW | 13,504,370,000 | Deutsche Bank AG | 5/29/18 | — | (94,722 | ) | ||||||||||||||||
USD | 36,492,468 | KRW | 39,244,000,000 | Goldman Sachs International | 5/29/18 | — | (185,560 | ) | ||||||||||||||||
USD | 71,276,989 | NZD | 97,777,000 | Standard Chartered Bank | 5/29/18 | 2,488,367 | — | |||||||||||||||||
EUR | 6,951,781 | HUF | 2,154,427,000 | HSBC Bank USA, N.A. | 5/30/18 | 105,127 | — | |||||||||||||||||
EUR | 7,041,493 | PLN | 29,399,000 | HSBC Bank USA, N.A. | 5/30/18 | 141,317 | — | |||||||||||||||||
HUF | 2,154,427,000 | EUR | 6,940,250 | HSBC Bank USA, N.A. | 5/30/18 | — | (91,175 | ) | ||||||||||||||||
PLN | 29,399,000 | EUR | 7,053,940 | HSBC Bank USA, N.A. | 5/30/18 | — | (156,377 | ) | ||||||||||||||||
SGD | 72,670,000 | USD | 55,130,296 | Goldman Sachs International | 5/30/18 | — | (297,759 | ) | ||||||||||||||||
COP | 62,241,799,319 | USD | 21,699,135 | Citibank, N.A. | 5/31/18 | 455,861 | — | |||||||||||||||||
KZT | 4,608,285,300 | USD | 13,788,761 | Goldman Sachs International | 5/31/18 | 204,415 | — |
32 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
NOK | 216,869,000 | EUR | 22,434,415 | Citibank, N.A. | 5/31/18 | $ | — | $ | (87,619 | ) | ||||||||||||||
NOK | 500,596,000 | EUR | 51,759,378 | Goldman Sachs International | 5/31/18 | — | (171,151 | ) | ||||||||||||||||
COP | 56,497,352,000 | USD | 19,704,025 | Citibank, N.A. | 6/1/18 | 406,132 | — | |||||||||||||||||
COP | 43,371,714,000 | USD | 15,140,319 | Standard Chartered Bank | 6/1/18 | 297,785 | — | |||||||||||||||||
KZT | 1,354,544,000 | USD | 4,055,521 | Deutsche Bank AG | 6/1/18 | 56,709 | — | |||||||||||||||||
EUR | 65,114,596 | HUF | 20,361,008,495 | Goldman Sachs International | 6/4/18 | 290,767 | — | |||||||||||||||||
EUR | 65,305,565 | PLN | 272,494,000 | Goldman Sachs International | 6/4/18 | 1,381,282 | — | |||||||||||||||||
HUF | 20,361,008,495 | EUR | 65,602,373 | Goldman Sachs International | 6/4/18 | — | (881,153 | ) | ||||||||||||||||
KZT | 7,626,026,000 | USD | 23,609,988 | VTB Capital PLC | 6/4/18 | — | (473,124 | ) | ||||||||||||||||
PLN | 272,494,000 | EUR | 64,547,565 | Goldman Sachs International | 6/4/18 | — | (463,830 | ) | ||||||||||||||||
USD | 18,922,290 | KZT | 6,329,506,000 | Citibank, N.A. | 6/4/18 | — | (281,017 | ) | ||||||||||||||||
ARS | 221,094,700 | USD | 10,433,917 | BNP Paribas | 6/5/18 | 5,691 | — | |||||||||||||||||
EUR | 10,744,743 | HUF | 3,375,000,000 | Barclays Bank PLC | 6/5/18 | — | (10,365 | ) | ||||||||||||||||
EUR | 4,120,065 | HUF | 1,294,292,000 | Citibank, N.A. | 6/5/18 | — | (4,554 | ) | ||||||||||||||||
EUR | 10,775,991 | PLN | 45,000,000 | Barclays Bank PLC | 6/5/18 | 218,455 | — | |||||||||||||||||
EUR | 4,442,181 | PLN | 18,538,000 | Citibank, N.A. | 6/5/18 | 93,567 | — | |||||||||||||||||
EUR | 20,866,418 | SEK | 209,551,000 | Goldman Sachs International | 6/5/18 | 1,269,745 | — | |||||||||||||||||
HUF | 3,375,000,000 | EUR | 10,872,717 | Barclays Bank PLC | 6/5/18 | — | (144,543 | ) | ||||||||||||||||
HUF | 1,294,292,000 | EUR | 4,170,629 | Citibank, N.A. | 6/5/18 | — | (56,651 | ) | ||||||||||||||||
KZT | 1,360,626,518 | USD | 4,055,519 | Standard Chartered Bank | 6/5/18 | 71,797 | — | |||||||||||||||||
PLN | 45,000,000 | EUR | 10,697,351 | Barclays Bank PLC | 6/5/18 | — | (123,263 | ) | ||||||||||||||||
PLN | 18,538,000 | EUR | 4,407,118 | Citibank, N.A. | 6/5/18 | — | (51,124 | ) | ||||||||||||||||
SEK | 209,551,000 | EUR | 21,399,514 | Goldman Sachs International | 6/5/18 | — | (1,915,038 | ) | ||||||||||||||||
USD | 4,491,416 | ARS | 93,646,020 | BNP Paribas | 6/5/18 | 69,656 | — | |||||||||||||||||
USD | 6,155,454 | ARS | 127,448,680 | Citibank, N.A. | 6/5/18 | 137,606 | — | |||||||||||||||||
KZT | 4,136,951,040 | USD | 12,071,640 | Standard Chartered Bank | 6/6/18 | 475,123 | — | |||||||||||||||||
RUB | 2,372,906,416 | USD | 40,881,871 | BNP Paribas | 6/6/18 | — | (3,353,834 | ) | ||||||||||||||||
USD | 12,530,520 | KZT | 4,136,951,040 | Standard Chartered Bank | 6/6/18 | — | (16,243 | ) | ||||||||||||||||
USD | 13,328,324 | RUB | 833,740,000 | BNP Paribas | 6/6/18 | 142,543 | — | |||||||||||||||||
KZT | 1,356,571,000 | USD | 4,055,519 | �� | Standard Chartered Bank | 6/7/18 | 58,028 | — | ||||||||||||||||
MAD | 17,765,000 | USD | 1,750,246 | BNP Paribas | 6/7/18 | 160,795 | — | |||||||||||||||||
MAD | 23,324,000 | USD | 2,288,911 | Credit Agricole Corporate and Investment Bank | 6/7/18 | 220,131 | — | |||||||||||||||||
USD | 2,100,311 | EUR | 1,829,380 | BNP Paribas | 6/7/18 | — | (114,459 | ) | ||||||||||||||||
USD | 180,288 | EUR | 157,085 | Deutsche Bank AG | 6/7/18 | — | (9,889 | ) | ||||||||||||||||
USD | 1,643,624 | EUR | 1,377,700 | Deutsche Bank AG | 6/7/18 | — | (24,313 | ) | ||||||||||||||||
USD | 1,401,786 | EUR | 1,224,000 | Deutsche Bank AG | 6/7/18 | — | (80,071 | ) | ||||||||||||||||
USD | 5,117,784 | EUR | 4,338,760 | Deutsche Bank AG | 6/7/18 | — | (135,010 | ) | ||||||||||||||||
USD | 2,808,458 | EUR | 2,441,000 | Deutsche Bank AG | 6/7/18 | — | (146,780 | ) | ||||||||||||||||
USD | 4,118,934 | KZT | 1,356,571,000 | Standard Chartered Bank | 6/7/18 | 5,388 | — | |||||||||||||||||
MAD | 46,647,000 | USD | 4,577,723 | Credit Agricole Corporate and Investment Bank | 6/8/18 | 440,067 | — | |||||||||||||||||
USD | 7,793,945 | NZD | 10,672,047 | Australia and New Zealand Banking Group Limited | 6/8/18 | 286,041 | — | |||||||||||||||||
MAD | 23,404,000 | USD | 2,288,900 | Société Générale | 6/11/18 | 228,376 | — | |||||||||||||||||
MAD | 15,420,000 | USD | 1,508,511 | Standard Chartered Bank | 6/11/18 | 150,026 | — | |||||||||||||||||
MAD | 26,822,000 | USD | 2,768,580 | Standard Chartered Bank | 6/11/18 | 116,328 | — | |||||||||||||||||
SGD | 15,400,000 | USD | 11,729,267 | Standard Chartered Bank | 6/11/18 | — | (106,066 | ) | ||||||||||||||||
USD | 1,095,102 | EUR | 956,036 | Standard Chartered Bank | 6/11/18 | — | (62,732 | ) |
33 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
ARS | 106,715,112 | USD | 4,978,022 | Deutsche Bank AG | 6/12/18 | $ | 38,533 | $ | — | |||||||||||||||
COP | 102,972,712,000 | USD | 35,900,259 | Citibank, N.A. | 6/12/18 | 744,427 | — | |||||||||||||||||
COP | 92,929,318,000 | USD | 32,397,050 | Citibank, N.A. | 6/12/18 | 673,514 | — | |||||||||||||||||
KZT | 1,364,682,000 | USD | 4,055,519 | Goldman Sachs International | 6/12/18 | 78,937 | — | |||||||||||||||||
MAD | 69,971,000 | USD | 6,866,634 | Credit Agricole Corporate and Investment Bank | 6/12/18 | 658,995 | — | |||||||||||||||||
USD | 4,396,058 | ARS | 92,075,425 | BNP Paribas | 6/12/18 | 67,697 | — | |||||||||||||||||
USD | 700,129 | ARS | 14,639,687 | BNP Paribas | 6/12/18 | 11,934 | — | |||||||||||||||||
USD | 3,277,908 | EUR | 2,653,274 | Standard Chartered Bank | 6/12/18 | 64,315 | — | |||||||||||||||||
USD | 3,128,454 | EUR | 2,532,628 | Standard Chartered Bank | 6/12/18 | 60,985 | — | |||||||||||||||||
USD | 1,614,644 | EUR | 1,366,640 | Standard Chartered Bank | 6/12/18 | — | (40,603 | ) | ||||||||||||||||
USD | 1,403,969 | EUR | 1,204,400 | Standard Chartered Bank | 6/12/18 | — | (54,776 | ) | ||||||||||||||||
USD | 3,926,871 | EUR | 3,303,000 | Standard Chartered Bank | 6/12/18 | — | (73,658 | ) | ||||||||||||||||
USD | 5,954,318 | EUR | 4,990,000 | Standard Chartered Bank | 6/12/18 | — | (89,472 | ) | ||||||||||||||||
USD | 2,987,506 | EUR | 2,569,787 | Standard Chartered Bank | 6/12/18 | — | (124,969 | ) | ||||||||||||||||
USD | 4,204,728 | EUR | 3,667,127 | Standard Chartered Bank | 6/12/18 | — | (236,824 | ) | ||||||||||||||||
USD | 4,113,586 | KZT | 1,364,682,000 | Goldman Sachs International | 6/12/18 | — | (20,870 | ) | ||||||||||||||||
USD | 8,576,895 | NZD | 11,921,710 | Australia and New Zealand Banking Group Limited | 6/12/18 | 189,822 | — | |||||||||||||||||
USD | 5,062,330 | NZD | 7,036,535 | Australia and New Zealand Banking Group Limited | 6/12/18 | 112,038 | — | |||||||||||||||||
KZT | 323,000,000 | USD | 938,681 | Citibank, N.A. | 6/13/18 | 39,710 | — | |||||||||||||||||
KZT | 1,364,682,000 | USD | 4,055,519 | Goldman Sachs International | 6/13/18 | 78,201 | — | |||||||||||||||||
KZT | 3,560,660,000 | USD | 10,317,763 | VTB Capital PLC | 6/13/18 | 467,732 | — | |||||||||||||||||
RUB | 816,945,000 | USD | 13,449,868 | Bank of America, N.A. | 6/13/18 | — | (540,373 | ) | ||||||||||||||||
CZK | 58,317,000 | EUR | 2,290,534 | Goldman Sachs International | 6/14/18 | — | (17,081 | ) | ||||||||||||||||
KZT | 2,200,000,000 | USD | 6,344,629 | VTB Capital PLC | 6/14/18 | 318,143 | — | |||||||||||||||||
KZT | 3,210,000,000 | USD | 9,518,162 | VTB Capital PLC | 6/14/18 | 203,427 | — | |||||||||||||||||
USD | 16,307,460 | KZT | 5,410,000,000 | VTB Capital PLC | 6/14/18 | — | (76,900 | ) | ||||||||||||||||
USD | 6,853,969 | ZAR | 82,195,000 | Bank of America, N.A. | 6/14/18 | 296,659 | — | |||||||||||||||||
USD | 3,634,577 | ZAR | 43,565,000 | Standard Chartered Bank | 6/14/18 | 159,072 | — | |||||||||||||||||
ZAR | 82,195,000 | USD | 6,821,541 | Bank of America, N.A. | 6/14/18 | — | (264,231 | ) | ||||||||||||||||
ZAR | 43,565,000 | USD | 3,617,454 | Standard Chartered Bank | 6/14/18 | — | (141,948 | ) | ||||||||||||||||
AUD | 37,600,000 | USD | 29,672,040 | Australia and New Zealand Banking Group Limited | 6/15/18 | — | (1,361,755 | ) | ||||||||||||||||
COP | 36,149,401,000 | USD | 12,651,816 | Citibank, N.A. | 6/15/18 | 211,456 | — | |||||||||||||||||
USD | 29,771,161 | NZD | 40,550,000 | Australia and New Zealand Banking Group Limited | 6/15/18 | 1,243,679 | — | |||||||||||||||||
USD | 26,956,934 | NZD | 36,796,000 | Australia and New Zealand Banking Group Limited | 6/15/18 | 1,070,442 | — | |||||||||||||||||
USD | 4,012,948 | ZAR | 47,800,000 | Credit Agricole Corporate and Investment Bank | 6/15/18 | 200,067 | — | |||||||||||||||||
USD | 3,570,501 | ZAR | 42,541,000 | Standard Chartered Bank | 6/15/18 | 177,117 | — | |||||||||||||||||
USD | 45,405,152 | ZAR | 638,124,000 | Standard Chartered Bank | 6/15/18 | — | (5,496,320 | ) | ||||||||||||||||
USD | 43,455,180 | ZAR | 609,850,000 | UBS AG | 6/15/18 | — | (5,190,949 | ) | ||||||||||||||||
UYU | 338,936,000 | USD | 11,226,764 | Citibank, N.A. | 6/15/18 | 608,662 | — | |||||||||||||||||
ZAR | 47,800,000 | USD | 3,972,954 | Credit Agricole Corporate and Investment Bank | 6/15/18 | — | (160,074 | ) | ||||||||||||||||
ZAR | 25,836,000 | USD | 2,145,045 | Standard Chartered Bank | 6/15/18 | — | (84,176 | ) | ||||||||||||||||
ZAR | 654,829,000 | USD | 55,517,507 | Standard Chartered Bank | 6/15/18 | — | (3,283,522 | ) | ||||||||||||||||
ZAR | 609,850,000 | USD | 51,720,117 | UBS AG | 6/15/18 | — | (3,073,988 | ) | ||||||||||||||||
COP | 35,518,739,000 | USD | 12,449,611 | Deutsche Bank AG | 6/18/18 | 188,129 | — | |||||||||||||||||
ARS | 497,740,000 | USD | 23,348,344 | BNP Paribas | 6/19/18 | — | (53,243 | ) | ||||||||||||||||
USD | 23,860,978 | ARS | 497,740,000 | Citibank, N.A. | 6/19/18 | 565,877 | — |
34 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
USD | 16,434,664 | CLP | 10,000,000,000 | BNP Paribas | 6/20/18 | $ | 133,293 | $ | — | |||||||||||||||
CZK | 494,075,000 | EUR | 19,396,027 | JPMorgan Chase Bank, N.A. | 6/21/18 | — | (136,528 | ) | ||||||||||||||||
EUR | 7,886,536 | PLN | 32,973,607 | Société Générale | 6/21/18 | 158,135 | — | |||||||||||||||||
EUR | 16,557,863 | USD | 20,584,653 | Goldman Sachs International | 6/21/18 | — | (514,787 | ) | ||||||||||||||||
EUR | 22,542,457 | USD | 27,998,318 | Goldman Sachs International | 6/21/18 | — | (674,498 | ) | ||||||||||||||||
PLN | 32,973,607 | EUR | 7,802,736 | Société Générale | 6/21/18 | — | (56,561 | ) | ||||||||||||||||
USD | 16,965,780 | EUR | 13,731,081 | Goldman Sachs International | 6/21/18 | 322,271 | — | |||||||||||||||||
USD | 16,832,187 | EUR | 13,623,234 | Goldman Sachs International | 6/21/18 | 319,400 | — | |||||||||||||||||
USD | 7,788,465 | EUR | 6,237,358 | Goldman Sachs International | 6/21/18 | 228,133 | — | |||||||||||||||||
USD | 6,810,065 | EUR | 5,508,647 | Goldman Sachs International | 6/21/18 | 133,007 | — | |||||||||||||||||
CNH | 296,527,000 | USD | 46,660,425 | Deutsche Bank AG | 6/25/18 | 156,968 | — | |||||||||||||||||
CNH | 334,385,000 | USD | 52,604,165 | Standard Chartered Bank | 6/25/18 | 190,468 | — | |||||||||||||||||
CNH | 16,718,000 | USD | 2,629,981 | Standard Chartered Bank | 6/25/18 | 9,553 | — | |||||||||||||||||
COP | 101,919,161,000 | USD | 35,555,883 | JPMorgan Chase Bank, N.A. | 6/25/18 | 699,950 | — | |||||||||||||||||
COP | 90,793,114,000 | USD | 31,692,100 | Standard Chartered Bank | 6/25/18 | 605,850 | — | |||||||||||||||||
USD | 14,768,612 | INR | 973,487,800 | Citibank, N.A. | 6/25/18 | 218,649 | — | |||||||||||||||||
USD | 10,528,166 | INR | 695,438,000 | Goldman Sachs International | 6/25/18 | 133,997 | — | |||||||||||||||||
USD | 18,287,108 | INR | 1,200,000,000 | UBS AG | 6/25/18 | 351,644 | — | |||||||||||||||||
USD | 11,616,687 | KZT | 3,856,740,000 | Goldman Sachs International | 6/27/18 | — | (36,601 | ) | ||||||||||||||||
CZK | 2,721,194,000 | EUR | 106,671,658 | JPMorgan Chase Bank, N.A. | 6/28/18 | — | (585,063 | ) | ||||||||||||||||
USD | 52,433,111 | EUR | 42,260,910 | Deutsche Bank AG | 6/28/18 | 1,178,030 | — | |||||||||||||||||
EUR | 4,253,774 | HUF | 1,331,710,000 | Credit Agricole Corporate and Investment Bank | 6/29/18 | 14,613 | — | |||||||||||||||||
EUR | 4,304,472 | PLN | 18,000,000 | Credit Agricole Corporate and Investment Bank | 6/29/18 | 88,082 | — | |||||||||||||||||
HUF | 1,331,710,000 | EUR | 4,288,743 | Credit Agricole Corporate and Investment Bank | 6/29/18 | — | (57,028 | ) | ||||||||||||||||
NOK | 66,446,000 | EUR | 6,915,364 | Goldman Sachs International | 6/29/18 | — | (87,938 | ) | ||||||||||||||||
PLN | 18,000,000 | EUR | 4,248,322 | Credit Agricole Corporate and Investment Bank | 6/29/18 | — | (19,977 | ) | ||||||||||||||||
SGD | 112,600,000 | USD | 85,987,018 | Bank of America, N.A. | 7/6/18 | — | (946,466 | ) | ||||||||||||||||
SGD | 107,424,460 | USD | 82,053,514 | Goldman Sachs International | 7/6/18 | — | (921,761 | ) | ||||||||||||||||
USD | 13,530,605 | SGD | 17,714,268 | Goldman Sachs International | 7/6/18 | 151,998 | — | |||||||||||||||||
USD | 156 | SGD | 204 | Goldman Sachs International | 7/6/18 | 2 | — | |||||||||||||||||
KZT | 3,171,350,000 | USD | 9,779,063 | Deutsche Bank AG | 7/9/18 | — | (213,867 | ) | ||||||||||||||||
USD | 9,563,782 | KZT | 3,171,350,000 | Deutsche Bank AG | 7/9/18 | — | (1,414 | ) | ||||||||||||||||
AUD | 64,660,000 | USD | 49,695,413 | Citibank, N.A. | 7/10/18 | — | (1,003,435 | ) | ||||||||||||||||
KZT | 450,163,960 | USD | 1,297,302 | Deutsche Bank AG | 7/10/18 | 60,285 | — | |||||||||||||||||
USD | 47,913,344 | NZD | 65,960,000 | Citibank, N.A. | 7/10/18 | 1,508,481 | — | |||||||||||||||||
CNH | 66,000,000 | USD | 10,450,148 | Citibank, N.A. | 7/11/18 | — | (36,583 | ) | ||||||||||||||||
CNH | 81,000,000 | USD | 12,831,073 | Citibank, N.A. | 7/11/18 | — | (50,789 | ) | ||||||||||||||||
CNH | 132,805,600 | USD | 21,044,845 | Citibank, N.A. | 7/11/18 | — | (90,606 | ) | ||||||||||||||||
KZT | 4,000,000,000 | USD | 11,808,118 | VTB Capital PLC | 7/11/18 | 253,470 | — | |||||||||||||||||
USD | 12,075,472 | KZT | 4,000,000,000 | VTB Capital PLC | 7/11/18 | 13,884 | — | |||||||||||||||||
EUR | 509,119 | USD | 631,932 | Goldman Sachs International | 7/12/18 | — | (13,768 | ) | ||||||||||||||||
EUR | 976,256 | USD | 1,217,479 | Goldman Sachs International | 7/12/18 | — | (32,126 | ) | ||||||||||||||||
EUR | 1,795,424 | USD | 2,237,332 | Goldman Sachs International | 7/12/18 | — | (57,358 | ) | ||||||||||||||||
EUR | 3,111,266 | USD | 3,844,653 | Goldman Sachs International | 7/12/18 | — | (67,007 | ) | ||||||||||||||||
EUR | 4,210,104 | USD | 5,230,633 | Goldman Sachs International | 7/12/18 | — | (118,796 | ) | ||||||||||||||||
EUR | 5,274,703 | USD | 6,573,783 | Goldman Sachs International | 7/12/18 | — | (169,328 | ) |
35 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
KZT | 6,740,000,000 | USD | 20,000,000 | VTB Capital PLC | 7/12/18 | $ | 321,315 | $ | — | |||||||||||||||
USD | 143,095,150 | EUR | 113,943,775 | Goldman Sachs International | 7/12/18 | 4,746,548 | — | |||||||||||||||||
USD | 128,524,854 | EUR | 102,680,238 | Goldman Sachs International | 7/12/18 | 3,852,247 | — | |||||||||||||||||
USD | 20,000,000 | KZT | 6,740,000,000 | Standard Chartered Bank | 7/12/18 | — | (321,315 | ) | ||||||||||||||||
USD | 60,248,834 | NZD | 82,912,000 | Australia and New Zealand Banking Group Limited | 7/12/18 | 1,917,511 | — | |||||||||||||||||
USD | 25,619,858 | NZD | 35,517,528 | Australia and New Zealand Banking Group Limited | 7/12/18 | 632,107 | — | |||||||||||||||||
USD | 15,121,576 | NZD | 20,963,465 | Australia and New Zealand Banking Group Limited | 7/12/18 | 373,088 | — | |||||||||||||||||
USD | 6,055,258 | NZD | 8,333,000 | Australia and New Zealand Banking Group Limited | 7/12/18 | 192,718 | — | |||||||||||||||||
USD | 16,274,917 | ZAR | 198,595,000 | Barclays Bank PLC | 7/12/18 | 487,457 | — | |||||||||||||||||
ZAR | 198,595,000 | USD | 16,439,031 | Barclays Bank PLC | 7/12/18 | — | (651,571 | ) | ||||||||||||||||
ILS | 20,974,200 | USD | 5,954,858 | JPMorgan Chase Bank, N.A. | 7/13/18 | — | (101,983 | ) | ||||||||||||||||
MAD | 23,269,000 | USD | 2,288,882 | Société Générale | 7/13/18 | 208,999 | — | |||||||||||||||||
RUB | 1,223,766,000 | USD | 21,230,825 | Bank of America, N.A. | 7/13/18 | — | (1,960,626 | ) | ||||||||||||||||
USD | 19,704,854 | RUB | 1,223,766,000 | Bank of America, N.A. | 7/13/18 | 434,654 | — | |||||||||||||||||
CNH | 49,364,000 | USD | 7,830,956 | Citibank, N.A. | 7/16/18 | — | (43,767 | ) | ||||||||||||||||
CNH | 80,200,000 | USD | 12,708,373 | Citibank, N.A. | 7/16/18 | — | (56,793 | ) | ||||||||||||||||
CNH | 90,004,400 | USD | 14,273,951 | Citibank, N.A. | 7/16/18 | — | (75,723 | ) | ||||||||||||||||
CNH | 39,900,000 | USD | 6,329,315 | Deutsche Bank AG | 7/16/18 | — | (35,075 | ) | ||||||||||||||||
CNH | 105,902,000 | USD | 16,813,044 | Deutsche Bank AG | 7/16/18 | — | (106,963 | ) | ||||||||||||||||
EGP | 137,000,000 | USD | 7,606,885 | BNP Paribas | 7/16/18 | 51,055 | — | |||||||||||||||||
KRW | 41,735,300,000 | USD | 39,247,038 | Goldman Sachs International | 7/16/18 | — | (194,343 | ) | ||||||||||||||||
KZT | 2,452,093,000 | USD | 7,341,596 | Goldman Sachs International | 7/16/18 | 47,964 | — | |||||||||||||||||
KZT | 1,226,047,000 | USD | 3,670,799 | Goldman Sachs International | 7/16/18 | 23,982 | — | |||||||||||||||||
KZT | 6,710,000,000 | USD | 20,000,000 | VTB Capital PLC | 7/16/18 | 221,070 | — | |||||||||||||||||
MAD | 49,512,000 | USD | 4,906,794 | Société Générale | 7/16/18 | 406,408 | — | |||||||||||||||||
SGD | 61,047,680 | USD | 46,723,441 | Goldman Sachs International | 7/16/18 | — | (606,382 | ) | ||||||||||||||||
SGD | 59,000,000 | USD | 45,162,278 | Standard Chartered Bank | 7/16/18 | — | (592,092 | ) | ||||||||||||||||
USD | 95,381,183 | KRW | 101,428,350,000 | Goldman Sachs International | 7/16/18 | 472,307 | — | |||||||||||||||||
USD | 29,061,881 | KRW | 30,904,404,316 | Goldman Sachs International | 7/16/18 | 143,908 | — | |||||||||||||||||
USD | 11,112,205 | KZT | 3,678,140,000 | Goldman Sachs International | 7/16/18 | 27,865 | — | |||||||||||||||||
USD | 19,976,183 | KZT | 6,710,000,000 | VTB Capital PLC | 7/16/18 | — | (244,886 | ) | ||||||||||||||||
USD | 17,570,618 | ZAR | 213,097,776 | Credit Agricole Corporate and Investment Bank | 7/16/18 | 638,766 | — | |||||||||||||||||
ZAR | 213,097,776 | USD | 17,647,484 | Credit Agricole Corporate and Investment Bank | 7/16/18 | — | (715,631 | ) | ||||||||||||||||
EUR | 5,017,985 | HUF | 1,569,604,000 | Credit Agricole Corporate and Investment Bank | 7/19/18 | 23,713 | — | |||||||||||||||||
EUR | 5,043,554 | PLN | 21,120,000 | Credit Agricole Corporate and Investment Bank | 7/19/18 | 101,683 | — | |||||||||||||||||
EUR | 1,765,900 | USD | 2,189,831 | Goldman Sachs International | 7/19/18 | — | (44,545 | ) | ||||||||||||||||
HUF | 2,543,180,000 | EUR | 8,191,385 | Citibank, N.A. | 7/19/18 | — | (112,408 | ) | ||||||||||||||||
HUF | 1,569,604,000 | EUR | 5,053,930 | Credit Agricole Corporate and Investment Bank | 7/19/18 | — | (67,381 | ) | ||||||||||||||||
PLN | 21,120,000 | EUR | 4,989,366 | Credit Agricole Corporate and Investment Bank | 7/19/18 | — | (35,852 | ) | ||||||||||||||||
USD | 51,290,925 | EUR | 40,921,434 | Goldman Sachs International | 7/19/18 | 1,577,936 | — | |||||||||||||||||
EUR | 4,997,858 | PLN | 20,919,500 | Citibank, N.A. | 7/20/18 | 103,699 | — | |||||||||||||||||
EUR | 9,360,799 | SEK | 93,974,000 | State Street Bank and Trust Company | 7/20/18 | 574,970 | — | |||||||||||||||||
SEK | 93,974,000 | EUR | 9,489,573 | State Street Bank and Trust Company | 7/20/18 | — | (731,421 | ) | ||||||||||||||||
PHP | 2,461,000,000 | USD | 46,892,178 | Citibank, N.A. | 7/23/18 | 510,024 | — | |||||||||||||||||
USD | 17,377,328 | ZAR | 211,271,224 | Credit Agricole Corporate and Investment Bank | 7/23/18 | 605,363 | — | |||||||||||||||||
ZAR | 211,271,224 | USD | 17,475,886 | Credit Agricole Corporate and Investment Bank | 7/23/18 | — | (703,920 | ) |
36 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
USD | 19,747,180 | NZD | 27,364,347 | Australia and New Zealand Banking Group Limited | 7/24/18 | $ | 495,037 | $ | — | |||||||||||||||
USD | 15,997,218 | TWD | 460,000,000 | JPMorgan Chase Bank, N.A. | 7/24/18 | 363,996 | — | |||||||||||||||||
KZT | 3,602,950,000 | USD | 10,353,305 | Standard Chartered Bank | 7/25/18 | 492,631 | — | |||||||||||||||||
USD | 10,667,506 | KZT | 3,602,950,000 | Standard Chartered Bank | 7/25/18 | — | (178,431 | ) | ||||||||||||||||
AUD | 13,313,568 | USD | 10,260,261 | JPMorgan Chase Bank, N.A. | 7/26/18 | — | (233,290 | ) | ||||||||||||||||
AUD | 14,430,813 | USD | 11,121,279 | JPMorgan Chase Bank, N.A. | 7/26/18 | — | (252,867 | ) | ||||||||||||||||
DOP | 321,064,000 | USD | 6,484,831 | Citibank, N.A. | 7/26/18 | — | (80,146 | ) | ||||||||||||||||
USD | 72,901,000 | EUR | 58,162,366 | Standard Chartered Bank | 7/26/18 | 2,204,798 | — | |||||||||||||||||
USD | 22,711,693 | EUR | 18,119,996 | Standard Chartered Bank | 7/26/18 | 686,886 | — | |||||||||||||||||
USD | 8,454,245 | EUR | 6,797,000 | Standard Chartered Bank | 7/26/18 | 192,509 | — | |||||||||||||||||
USD | 2,403,150 | EUR | 1,932,072 | Standard Chartered Bank | 7/26/18 | 54,721 | — | |||||||||||||||||
USD | 17,541,928 | NZD | 23,981,549 | JPMorgan Chase Bank, N.A. | 7/26/18 | 669,685 | — | |||||||||||||||||
USD | 3,820,546 | NZD | 5,223,064 | JPMorgan Chase Bank, N.A. | 7/26/18 | 145,854 | — | |||||||||||||||||
COP | 107,445,784,000 | USD | 38,017,757 | The Toronto-Dominion Bank | 7/27/18 | 168,859 | — | |||||||||||||||||
KZT | 4,405,170,000 | USD | 12,609,618 | Citibank, N.A. | 7/27/18 | 648,030 | — | |||||||||||||||||
USD | 13,245,604 | KZT | 4,477,014,000 | Citibank, N.A. | 7/27/18 | — | (228,264 | ) | ||||||||||||||||
RUB | 3,237,699,000 | USD | 56,108,745 | Credit Suisse International | 7/30/18 | — | (5,226,426 | ) | ||||||||||||||||
RUB | 4,264,401,000 | USD | 74,607,899 | Credit Suisse International | 7/30/18 | — | (7,590,362 | ) | ||||||||||||||||
USD | 5,353,559 | KZT | 1,778,720,000 | Deutsche Bank AG | 7/30/18 | 2,325 | — | |||||||||||||||||
USD | 22,524,524 | RUB | 1,419,045,000 | Credit Suisse International | 7/30/18 | 223,408 | — | |||||||||||||||||
USD | 5,650,183 | RUB | 370,200,000 | Goldman Sachs International | 7/30/18 | — | (167,725 | ) | ||||||||||||||||
USD | 33,811,146 | RUB | 2,110,447,761 | Standard Chartered Bank | 7/30/18 | 644,234 | — | |||||||||||||||||
USD | 33,786,785 | RUB | 2,126,540,239 | Standard Chartered Bank | 7/30/18 | 366,971 | — | |||||||||||||||||
USD | 22,506,550 | RUB | 1,475,867,000 | Standard Chartered Bank | 7/30/18 | — | (687,557 | ) | ||||||||||||||||
UYU | 293,400,000 | USD | 10,000,000 | Citibank, N.A. | 7/30/18 | 175,988 | — | |||||||||||||||||
UYU | 293,300,000 | USD | 10,000,000 | Citibank, N.A. | 7/30/18 | 172,520 | — | |||||||||||||||||
AUD | 2,301,870 | USD | 1,739,500 | Citibank, N.A. | 7/31/18 | — | (5,805 | ) | ||||||||||||||||
RUB | 1,306,617,000 | USD | 22,759,397 | Deutsche Bank AG | 7/31/18 | — | (2,227,535 | ) | ||||||||||||||||
AUD | 9,294,648 | USD | 7,006,770 | Australia and New Zealand Banking Group Limited | 8/2/18 | — | (6,228 | ) | ||||||||||||||||
AUD | 48,770,000 | USD | 36,765,265 | Australia and New Zealand Banking Group Limited | 8/2/18 | — | (32,680 | ) | ||||||||||||||||
AUD | 19,973,182 | USD | 15,388,797 | Australia and New Zealand Banking Group Limited | 8/2/18 | — | (345,398 | ) | ||||||||||||||||
AUD | 21,649,291 | USD | 16,680,194 | Australia and New Zealand Banking Group Limited | 8/2/18 | — | (374,383 | ) | ||||||||||||||||
KRW | 12,580,600,000 | USD | 11,690,160 | Standard Chartered Bank | 8/2/18 | 90,566 | — | |||||||||||||||||
PHP | 1,219,000,000 | USD | 23,263,359 | Deutsche Bank AG | 8/2/18 | 198,743 | — | |||||||||||||||||
PHP | 1,204,000,000 | USD | 22,979,292 | Goldman Sachs International | 8/2/18 | 194,105 | — | |||||||||||||||||
PHP | 865,280,000 | USD | 16,545,816 | Standard Chartered Bank | 8/2/18 | 108,234 | — | |||||||||||||||||
USD | 123,474,359 | EUR | 99,311,000 | Standard Chartered Bank | 8/2/18 | 2,696,733 | — | |||||||||||||||||
USD | 14,474,824 | EUR | 11,800,000 | Standard Chartered Bank | 8/2/18 | 124,188 | — | |||||||||||||||||
USD | 3,561,147 | KRW | 3,832,400,000 | Standard Chartered Bank | 8/2/18 | — | (27,589 | ) | ||||||||||||||||
USD | 26,203,928 | NZD | 35,827,523 | Australia and New Zealand Banking Group Limited | 8/2/18 | 997,114 | — | |||||||||||||||||
USD | 5,707,088 | NZD | 7,803,060 | Australia and New Zealand Banking Group Limited | 8/2/18 | 217,167 | — | |||||||||||||||||
USD | 47,924,275 | NZD | 68,032,700 | Australia and New Zealand Banking Group Limited | 8/2/18 | 59,186 | — | |||||||||||||||||
NOK | 473,560,000 | EUR | 48,851,843 | Bank of America, N.A. | 8/6/18 | — | (189,103 | ) | ||||||||||||||||
NOK | 495,040,000 | EUR | 51,035,052 | Citibank, N.A. | 8/6/18 | — | (157,971 | ) | ||||||||||||||||
UYU | 306,350,000 | USD | 10,017,986 | Citibank, N.A. | 8/8/18 | 591,147 | — | |||||||||||||||||
AUD | 18,700,000 | USD | 14,106,065 | Australia and New Zealand Banking Group Limited | 8/9/18 | — | (20,719 | ) |
37 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
CZK | 1,022,059,000 | EUR | 40,094,896 | Goldman Sachs International | 8/9/18 | $ | — | $ | (293,937 | ) | ||||||||||||||
USD | 32,009,868 | JPY | 3,455,817,321 | Goldman Sachs International | 8/9/18 | 178,280 | — | |||||||||||||||||
USD | 14,074,900 | NZD | 20,000,000 | Australia and New Zealand Banking Group Limited | 8/9/18 | 3,304 | — | |||||||||||||||||
UYU | 247,834,223 | USD | 8,403,439 | JPMorgan Chase Bank, N.A. | 8/14/18 | 169,962 | — | |||||||||||||||||
USD | 9,996,723 | OMR | 4,148,640 | BNP Paribas | 8/15/18 | — | (769,886 | ) | ||||||||||||||||
USD | 107,596,788 | EUR | 85,559,963 | Standard Chartered Bank | 8/16/18 | 3,424,486 | — | |||||||||||||||||
USD | 53,757,090 | EUR | 43,348,122 | Standard Chartered Bank | 8/16/18 | 979,208 | — | |||||||||||||||||
USD | 29,737,534 | EUR | 24,082,290 | Standard Chartered Bank | 8/16/18 | 416,489 | — | |||||||||||||||||
USD | 10,356,359 | EUR | 8,292,816 | Standard Chartered Bank | 8/16/18 | 259,560 | — | |||||||||||||||||
UAH | 123,336,000 | USD | 4,282,500 | Citibank, N.A. | 8/22/18 | 201,242 | — | |||||||||||||||||
USD | 22,500,000 | OMR | 9,293,625 | BNP Paribas | 8/22/18 | — | (1,615,755 | ) | ||||||||||||||||
USD | 168,931,492 | EUR | 135,222,000 | Standard Chartered Bank | 8/23/18 | 4,200,108 | — | |||||||||||||||||
USD | 5,309,928 | EUR | 4,227,902 | Standard Chartered Bank | 8/23/18 | 159,374 | — | |||||||||||||||||
UYU | 141,168,000 | USD | 4,800,000 | JPMorgan Chase Bank, N.A. | 8/23/18 | 75,553 | — | |||||||||||||||||
KZT | 1,071,470,000 | USD | 3,043,949 | Deutsche Bank AG | 8/27/18 | 166,584 | — | |||||||||||||||||
USD | 3,163,478 | KZT | 1,071,470,000 | Deutsche Bank AG | 8/27/18 | — | (47,055 | ) | ||||||||||||||||
USD | 44,165,123 | EUR | 35,410,000 | Deutsche Bank AG | 8/30/18 | 1,003,041 | — | |||||||||||||||||
USD | 2,494,243 | OMR | 1,029,000 | BNP Paribas | 9/4/18 | — | (175,223 | ) | ||||||||||||||||
RSD | 851,040,000 | EUR | 6,848,039 | Deutsche Bank AG | 9/7/18 | 317,796 | — | |||||||||||||||||
RSD | 425,778,000 | EUR | 3,424,029 | Deutsche Bank AG | 9/7/18 | 161,515 | — | |||||||||||||||||
UYU | 410,870,000 | USD | 13,357,282 | Citibank, N.A. | 9/10/18 | 787,196 | — | |||||||||||||||||
RUB | 1,731,500,000 | USD | 29,967,117 | Credit Suisse International | 9/12/18 | — | (2,887,558 | ) | ||||||||||||||||
USD | 27,653,692 | RUB | 1,731,500,000 | Credit Suisse International | 9/12/18 | 574,133 | — | |||||||||||||||||
UYU | 142,950,000 | USD | 4,881,339 | JPMorgan Chase Bank, N.A. | 9/12/18 | 38,046 | — | |||||||||||||||||
RSD | 841,746,000 | EUR | 6,788,274 | Deutsche Bank AG | 9/13/18 | 290,527 | — | |||||||||||||||||
USD | 172,335,123 | EUR | 136,665,442 | JPMorgan Chase Bank, N.A. | 9/13/18 | 5,560,291 | — | |||||||||||||||||
UYU | 140,265,000 | USD | 4,783,936 | Citibank, N.A. | 9/13/18 | 42,184 | — | |||||||||||||||||
RSD | 418,835,000 | EUR | 3,394,125 | Deutsche Bank AG | 9/17/18 | 122,694 | — | |||||||||||||||||
USD | 3,358,779 | OMR | 1,386,000 | BNP Paribas | 9/17/18 | — | (235,946 | ) | ||||||||||||||||
RSD | 418,329,000 | EUR | 3,394,150 | Deutsche Bank AG | 9/18/18 | 117,054 | — | |||||||||||||||||
CZK | 2,343,059,000 | EUR | 91,848,648 | JPMorgan Chase Bank, N.A. | 9/20/18 | — | (725,283 | ) | ||||||||||||||||
USD | 65,321,977 | EUR | 52,594,184 | JPMorgan Chase Bank, N.A. | 9/20/18 | 1,103,883 | — | |||||||||||||||||
UAH | 124,192,000 | USD | 4,282,483 | Citibank, N.A. | 9/21/18 | 176,862 | — | |||||||||||||||||
RSD | 430,039,000 | EUR | 3,484,919 | Citibank, N.A. | 9/24/18 | 122,696 | — | |||||||||||||||||
UYU | 234,334,000 | USD | 7,989,567 | Citibank, N.A. | 9/24/18 | 57,323 | — | |||||||||||||||||
RSD | 414,189,000 | EUR | 3,355,115 | Deutsche Bank AG | 9/26/18 | 118,932 | — | |||||||||||||||||
USD | 5,917,956 | AED | 22,000,000 | Standard Chartered Bank | 9/26/18 | — | (70,559 | ) | ||||||||||||||||
USD | 86,586,849 | EUR | 69,386,048 | Standard Chartered Bank | 9/27/18 | 1,817,302 | — | |||||||||||||||||
USD | 7,327,243 | EUR | 5,862,263 | JPMorgan Chase Bank, N.A. | 10/5/18 | 160,585 | — | |||||||||||||||||
USD | 6,871,873 | EUR | 5,524,458 | JPMorgan Chase Bank, N.A. | 10/5/18 | 118,185 | — | |||||||||||||||||
USD | 6,179,606 | EUR | 4,966,092 | JPMorgan Chase Bank, N.A. | 10/5/18 | 108,524 | — | |||||||||||||||||
USD | 4,102,789 | EUR | 3,276,700 | JPMorgan Chase Bank, N.A. | 10/5/18 | 97,000 | — | |||||||||||||||||
USD | 2,424,840 | EUR | 1,948,930 | JPMorgan Chase Bank, N.A. | 10/5/18 | 42,259 | — | |||||||||||||||||
USD | 1,801,140 | EUR | 1,441,834 | JPMorgan Chase Bank, N.A. | 10/5/18 | 38,487 | — | |||||||||||||||||
USD | 1,524,746 | EUR | 1,219,748 | JPMorgan Chase Bank, N.A. | 10/5/18 | 33,596 | — | |||||||||||||||||
USD | 404,859 | EUR | 323,254 | JPMorgan Chase Bank, N.A. | 10/5/18 | 9,679 | — |
38 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
USD | 684,746 | EUR | 552,246 | JPMorgan Chase Bank, N.A. | 10/5/18 | $ | 9,622 | $ | — | |||||||||||||||
UYU | 412,890,000 | USD | 13,357,813 | Citibank, N.A. | 10/9/18 | 782,616 | — | |||||||||||||||||
RSD | 207,179,000 | EUR | 1,677,563 | Deutsche Bank AG | 10/10/18 | 57,158 | — | |||||||||||||||||
USD | 6,372,976 | TWD | 183,000,000 | Citibank, N.A. | 10/11/18 | 113,950 | — | |||||||||||||||||
USD | 16,959,777 | TWD | 487,000,000 | Goldman Sachs International | 10/11/18 | 303,244 | — | |||||||||||||||||
USD | 12,702,561 | TWD | 364,500,000 | Standard Chartered Bank | 10/12/18 | 234,811 | — | |||||||||||||||||
USD | 8,602,749 | TWD | 247,200,000 | Standard Chartered Bank | 10/12/18 | 147,254 | — | |||||||||||||||||
USD | 12,757,785 | TWD | 368,700,000 | Citibank, N.A. | 10/16/18 | 142,315 | — | |||||||||||||||||
USD | 10,962,733 | TWD | 317,700,000 | Citibank, N.A. | 10/16/18 | 92,283 | — | |||||||||||||||||
USD | 8,478,786 | TWD | 245,800,000 | Deutsche Bank AG | 10/16/18 | 68,472 | — | |||||||||||||||||
USD | 12,762,135 | TWD | 369,400,000 | Standard Chartered Bank | 10/16/18 | 122,714 | — | |||||||||||||||||
USD | 8,491,543 | TWD | 246,000,000 | Standard Chartered Bank | 10/16/18 | 74,386 | — | |||||||||||||||||
USD | 5,009,331 | TWD | 144,945,000 | Standard Chartered Bank | 10/16/18 | 49,881 | — | |||||||||||||||||
KZT | 6,025,800,000 | USD | 17,891,330 | VTB Capital PLC | 10/17/18 | 29,523 | — | |||||||||||||||||
USD | 17,516,860 | KZT | 6,025,800,000 | VTB Capital PLC | 10/17/18 | — | (403,992 | ) | ||||||||||||||||
RSD | 338,868,000 | EUR | 2,755,024 | Deutsche Bank AG | 10/18/18 | 76,879 | — | |||||||||||||||||
USD | 32,524,613 | TWD | 925,000,000 | Goldman Sachs International | 10/23/18 | 856,903 | — | |||||||||||||||||
USD | 29,729,065 | TWD | 846,000,000 | Standard Chartered Bank | 10/23/18 | 765,948 | — | |||||||||||||||||
UYU | 577,082,000 | USD | 19,878,815 | Citibank, N.A. | 10/23/18 | — | (164,501 | ) | ||||||||||||||||
USD | 5,467,896 | KZT | 1,838,580,000 | Citibank, N.A. | 10/25/18 | 6,315 | — | |||||||||||||||||
UYU | 713,425,000 | USD | 24,538,247 | HSBC Bank USA, N.A. | 10/26/18 | — | (179,189 | ) | ||||||||||||||||
USD | 14,114,841 | TWD | 414,200,000 | Goldman Sachs International | 10/31/18 | — | (74,583 | ) | ||||||||||||||||
USD | 23,424,583 | TWD | 687,980,000 | Goldman Sachs International | 10/31/18 | — | (143,838 | ) | ||||||||||||||||
USD | 29,388,311 | TWD | 862,400,000 | Nomura International PLC | 10/31/18 | — | (155,289 | ) | ||||||||||||||||
UYU | 145,230,000 | USD | 4,956,655 | Citibank, N.A. | 11/5/18 | — | (6,758 | ) | ||||||||||||||||
UYU | 311,270,000 | USD | 10,018,346 | Citibank, N.A. | 11/8/18 | 585,538 | — | |||||||||||||||||
MAD | 83,640,000 | USD | 8,410,256 | BNP Paribas | 11/13/18 | 471,867 | — | |||||||||||||||||
MAD | 33,450,000 | USD | 3,373,676 | BNP Paribas | 11/13/18 | 178,536 | — | |||||||||||||||||
UYU | 195,058,000 | USD | 6,278,017 | Citibank, N.A. | 11/13/18 | 361,522 | — | |||||||||||||||||
GEL | 28,184,000 | USD | 10,000,000 | VTB Capital PLC | 11/16/18 | 1,186,947 | — | |||||||||||||||||
GEL | 28,419,000 | USD | 10,000,000 | VTB Capital PLC | 12/3/18 | 1,252,855 | — | |||||||||||||||||
GEL | 28,262,000 | USD | 10,000,000 | Société Générale | 12/4/18 | 1,189,092 | — | |||||||||||||||||
USD | 10,954,264 | GEL | 28,262,000 | Société Générale | 12/4/18 | — | (234,828 | ) | ||||||||||||||||
USD | 12,153,743 | QAR | 45,218,000 | Standard Chartered Bank | 12/6/18 | — | (187,561 | ) | ||||||||||||||||
USD | 4,861,870 | QAR | 18,074,000 | Standard Chartered Bank | 12/10/18 | — | (70,835 | ) | ||||||||||||||||
USD | 4,861,477 | QAR | 18,109,000 | Standard Chartered Bank | 12/10/18 | — | (80,780 | ) | ||||||||||||||||
USD | 4,861,477 | QAR | 18,109,000 | Standard Chartered Bank | 12/10/18 | — | (80,780 | ) | ||||||||||||||||
MAD | 48,799,000 | USD | 4,904,422 | Société Générale | 12/13/18 | 267,027 | — | |||||||||||||||||
MAD | 48,627,000 | USD | 4,904,387 | Société Générale | 12/13/18 | 248,834 | — | |||||||||||||||||
USD | 3,030,307 | QAR | 11,198,500 | Credit Agricole Corporate and Investment Bank | 12/13/18 | — | (25,855 | ) | ||||||||||||||||
USD | 4,636,241 | QAR | 17,168,000 | Standard Chartered Bank | 12/13/18 | — | (49,047 | ) | ||||||||||||||||
MAD | 62,616,000 | USD | 6,315,280 | Société Générale | 12/14/18 | 319,960 | — | |||||||||||||||||
USD | 2,317,886 | QAR | 8,553,000 | BNP Paribas | 12/17/18 | — | (16,196 | ) | ||||||||||||||||
USD | 4,425,953 | OMR | 1,835,000 | BNP Paribas | 12/19/18 | — | (323,319 | ) | ||||||||||||||||
USD | 5,384,959 | QAR | 19,870,500 | BNP Paribas | 12/19/18 | — | (37,509 | ) | ||||||||||||||||
USD | 5,139,633 | QAR | 18,901,000 | BNP Paribas | 1/8/19 | — | (17,145 | ) |
39 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
USD | 5,139,905 | QAR | 18,902,000 | BNP Paribas | 1/8/19 | $ | — | $ | (17,146 | ) | ||||||||||||||
USD | 10,279,538 | QAR | 37,803,000 | BNP Paribas | 1/9/19 | — | (34,180 | ) | ||||||||||||||||
USD | 2,569,898 | QAR | 9,476,500 | BNP Paribas | 1/10/19 | — | (15,528 | ) | ||||||||||||||||
USD | 2,570,305 | QAR | 9,478,000 | BNP Paribas | 1/10/19 | — | (15,531 | ) | ||||||||||||||||
USD | 5,139,566 | QAR | 18,965,000 | BNP Paribas | 1/10/19 | — | (34,561 | ) | ||||||||||||||||
USD | 11,135,070 | QAR | 41,132,950 | Standard Chartered Bank | 1/10/19 | — | (87,028 | ) | ||||||||||||||||
UYU | 335,826,000 | USD | 11,391,655 | Citibank, N.A. | 1/14/19 | — | (74,710 | ) | ||||||||||||||||
USD | 3,240,972 | QAR | 11,936,500 | BNP Paribas | 1/16/19 | — | (15,391 | ) | ||||||||||||||||
MAD | 49,050,000 | USD | 5,109,375 | BNP Paribas | 1/22/19 | 74,342 | — | |||||||||||||||||
MAD | 51,221,000 | USD | 5,371,893 | BNP Paribas | 1/22/19 | 41,261 | — | |||||||||||||||||
EUR | 20,184,794 | RON | 97,563,200 | Citibank, N.A. | 1/23/19 | — | (336,257 | ) | ||||||||||||||||
EUR | 20,356,038 | RON | 98,441,800 | Deutsche Bank AG | 1/23/19 | — | (352,282 | ) | ||||||||||||||||
EUR | 12,366,086 | RON | 59,654,000 | JPMorgan Chase Bank, N.A. | 1/23/19 | — | (175,596 | ) | ||||||||||||||||
USD | 10,249,093 | OMR | 4,238,000 | BNP Paribas | 1/23/19 | — | (709,493 | ) | ||||||||||||||||
USD | 10,251,511 | OMR | 4,239,000 | BNP Paribas | 1/24/19 | — | (709,374 | ) | ||||||||||||||||
EUR | 11,831,231 | RON | 57,387,385 | BNP Paribas | 1/28/19 | — | (242,295 | ) | ||||||||||||||||
EUR | 16,800,744 | RON | 81,282,000 | Deutsche Bank AG | 1/28/19 | — | (289,706 | ) | ||||||||||||||||
TRY | 111,835,380 | USD | 26,831,905 | Deutsche Bank AG | 1/28/19 | — | (1,508,510 | ) | ||||||||||||||||
TRY | 111,835,050 | USD | 26,825,390 | Standard Chartered Bank | 1/28/19 | — | (1,502,070 | ) | ||||||||||||||||
USD | 1,082,219 | KZT | 370,660,000 | Deutsche Bank AG | 1/28/19 | — | (4,432 | ) | ||||||||||||||||
USD | 2,904,146 | KZT | 994,670,000 | Deutsche Bank AG | 1/28/19 | — | (11,893 | ) | ||||||||||||||||
USD | 26,819,036 | TRY | 111,835,380 | Deutsche Bank AG | 1/28/19 | 1,495,641 | — | |||||||||||||||||
USD | 26,851,152 | TRY | 111,835,050 | Standard Chartered Bank | 1/28/19 | 1,527,832 | — | |||||||||||||||||
EUR | 3,744,045 | RON | 18,075,500 | BNP Paribas | 2/1/19 | — | (52,937 | ) | ||||||||||||||||
EUR | 18,837,156 | RON | 91,102,139 | BNP Paribas | 2/1/19 | — | (307,782 | ) | ||||||||||||||||
EUR | 39,612,963 | RON | 191,598,000 | Citibank, N.A. | 2/1/19 | — | (651,854 | ) | ||||||||||||||||
EUR | 8,070,104 | RON | 39,047,200 | Deutsche Bank AG | 2/1/19 | — | (136,454 | ) | ||||||||||||||||
EUR | 1,565,434 | RON | 7,554,000 | Deutsche Bank AG | 2/14/19 | — | (18,722 | ) | ||||||||||||||||
EUR | 2,608,085 | RON | 12,581,400 | Deutsche Bank AG | 2/14/19 | — | (30,179 | ) | ||||||||||||||||
EUR | 2,088,164 | RON | 10,075,600 | Standard Chartered Bank | 2/14/19 | — | (24,757 | ) | ||||||||||||||||
EUR | 16,203,255 | RON | 78,148,300 | JPMorgan Chase Bank, N.A. | 2/19/19 | — | (173,277 | ) | ||||||||||||||||
EUR | 20,896,580 | RON | 100,826,000 | BNP Paribas | 2/20/19 | — | (231,697 | ) | ||||||||||||||||
EUR | 14,621,131 | RON | 70,576,200 | Deutsche Bank AG | 2/20/19 | — | (169,684 | ) | ||||||||||||||||
EUR | 14,630,554 | RON | 70,629,000 | Citibank, N.A. | 2/22/19 | — | (168,065 | ) | ||||||||||||||||
EUR | 9,372,848 | RON | 44,910,000 | Deutsche Bank AG | 2/22/19 | — | (20,343 | ) | ||||||||||||||||
EUR | 13,057,666 | RON | 63,062,000 | Deutsche Bank AG | 2/22/19 | — | (156,755 | ) | ||||||||||||||||
USD | 13,366,821 | QAR | 49,230,000 | Standard Chartered Bank | 2/26/19 | — | (56,536 | ) | ||||||||||||||||
USD | 25,240,506 | OMR | 9,970,000 | BNP Paribas | 4/3/19 | — | (471,937 | ) | ||||||||||||||||
USD | 3,783,852 | OMR | 1,495,000 | BNP Paribas | 4/8/19 | — | (70,954 | ) | ||||||||||||||||
USD | 3,785,611 | OMR | 1,495,506 | Standard Chartered Bank | 4/24/19 | — | (68,031 | ) | ||||||||||||||||
USD | 24,676,836 | TWD | 695,640,000 | JPMorgan Chase Bank, N.A. | 4/24/19 | 529,931 | — | |||||||||||||||||
USD | 19,806,702 | TWD | 573,305,000 | Bank of America, N.A. | 4/30/19 | — | (104,869 | ) | ||||||||||||||||
USD | 23,765,112 | TWD | 688,000,000 | Standard Chartered Bank | 4/30/19 | — | (129,955 | ) | ||||||||||||||||
USD | 12,639,900 | OMR | 5,037,000 | BNP Paribas | 5/2/19 | — | (335,371 | ) | ||||||||||||||||
USD | 6,486,584 | OMR | 2,601,250 | Standard Chartered Bank | 5/28/19 | — | (207,879 | ) | ||||||||||||||||
USD | 18,311,591 | OMR | 7,299,000 | Standard Chartered Bank | 6/5/19 | — | (467,332 | ) |
40 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
USD | 20,829,054 | OMR | 8,517,000 | BNP Paribas | 7/3/19 | $ | — | $ | (1,061,266 | ) | ||||||||||||||
USD | 10,556,778 | OMR | 4,318,250 | BNP Paribas | 7/15/19 | — | (537,116 | ) | ||||||||||||||||
USD | 11,657,482 | AED | 43,156,000 | BNP Paribas | 7/17/19 | — | (77,358 | ) | ||||||||||||||||
USD | 12,442,818 | AED | 46,077,000 | Standard Chartered Bank | 7/17/19 | — | (86,292 | ) | ||||||||||||||||
USD | 22,748,897 | OMR | 9,277,000 | BNP Paribas | 7/17/19 | — | (1,082,652 | ) | ||||||||||||||||
USD | 9,793,572 | OMR | 3,961,500 | BNP Paribas | 8/14/19 | — | (372,734 | ) | ||||||||||||||||
USD | 10,926,918 | OMR | 4,485,500 | BNP Paribas | 8/14/19 | — | (584,117 | ) | ||||||||||||||||
USD | 6,923,835 | OMR | 2,809,000 | BNP Paribas | 8/21/19 | — | (283,007 | ) | ||||||||||||||||
USD | 7,590,881 | OMR | 3,080,000 | BNP Paribas | 8/21/19 | — | (311,246 | ) | ||||||||||||||||
USD | 12,696,790 | OMR | 5,142,200 | BNP Paribas | 8/21/19 | — | (496,170 | ) | ||||||||||||||||
USD | 14,467,324 | OMR | 5,866,500 | BNP Paribas | 8/21/19 | — | (583,918 | ) | ||||||||||||||||
USD | 11,469,552 | OMR | 4,654,000 | BNP Paribas | 8/28/19 | — | (467,841 | ) | ||||||||||||||||
USD | 14,479,390 | OMR | 5,876,750 | BNP Paribas | 8/28/19 | — | (594,325 | ) | ||||||||||||||||
USD | 9,404,560 | BHD | 3,609,000 | Credit Agricole Corporate and Investment Bank | 9/18/19 | — | (85,673 | ) | ||||||||||||||||
USD | 9,416,632 | BHD | 3,619,000 | Credit Agricole Corporate and Investment Bank | 9/18/19 | — | (99,897 | ) | ||||||||||||||||
USD | 5,296,875 | BHD | 2,034,000 | Bank of America, N.A. | 9/19/19 | — | (51,569 | ) | ||||||||||||||||
USD | 9,046,875 | BHD | 3,474,000 | Bank of America, N.A. | 9/19/19 | — | (88,077 | ) | ||||||||||||||||
USD | 7,064,327 | BHD | 2,718,000 | Credit Agricole Corporate and Investment Bank | 9/23/19 | — | (81,817 | ) | ||||||||||||||||
USD | 8,588,511 | BHD | 3,304,000 | Standard Chartered Bank | 9/25/19 | — | (97,799 | ) | ||||||||||||||||
USD | 5,154,156 | BHD | 1,981,000 | Standard Chartered Bank | 10/3/19 | — | (52,651 | ) | ||||||||||||||||
USD | 8,085,516 | BHD | 3,105,000 | Standard Chartered Bank | 10/7/19 | — | (74,565 | ) | ||||||||||||||||
USD | 8,588,526 | BHD | 3,301,000 | Standard Chartered Bank | 10/7/19 | — | (86,652 | ) | ||||||||||||||||
USD | 15,044,225 | BHD | 5,783,000 | Standard Chartered Bank | 10/7/19 | — | (153,763 | ) | ||||||||||||||||
USD | 17,220,795 | OMR | 6,837,000 | Standard Chartered Bank | 10/10/19 | — | (288,649 | ) | ||||||||||||||||
USD | 3,430,799 | BHD | 1,320,000 | Bank of America, N.A. | 10/15/19 | — | (37,357 | ) | ||||||||||||||||
USD | 24,211,168 | AED | 89,315,000 | Standard Chartered Bank | 10/16/19 | — | (63,654 | ) | ||||||||||||||||
USD | 9,417,764 | BHD | 3,620,000 | Credit Agricole Corporate and Investment Bank | 10/16/19 | — | (93,095 | ) | ||||||||||||||||
USD | 20,000,000 | OMR | 7,945,600 | Credit Agricole Corporate and Investment Bank | 10/28/19 | — | (335,304 | ) | ||||||||||||||||
USD | 20,000,000 | OMR | 7,950,600 | Credit Agricole Corporate and Investment Bank | 10/28/19 | — | (348,100 | ) | ||||||||||||||||
USD | 10,970,924 | BHD | 4,226,000 | Bank of America, N.A. | 10/31/19 | — | (126,900 | ) | ||||||||||||||||
USD | 18,237,885 | OMR | 7,245,000 | Bank of America, N.A. | 10/31/19 | — | (302,350 | ) | ||||||||||||||||
USD | 15,186,916 | BHD | 5,850,000 | Bank of America, N.A. | 11/4/19 | — | (173,753 | ) | ||||||||||||||||
USD | 22,456,740 | OMR | 8,928,800 | Bank of America, N.A. | 11/4/19 | — | (389,100 | ) | ||||||||||||||||
USD | 25,000,000 | OMR | 9,930,000 | Bank of America, N.A. | 11/4/19 | — | (407,579 | ) | ||||||||||||||||
USD | 4,406,001 | AED | 16,300,000 | BNP Paribas | 12/11/19 | — | (22,875 | ) | ||||||||||||||||
USD | 73,736,855 | AED | 272,760,000 | BNP Paribas | 12/11/19 | — | (374,819 | ) | ||||||||||||||||
TRY | 87,420,000 | USD | 19,035,384 | Goldman Sachs International | 2/3/20 | — | (1,275,406 | ) | ||||||||||||||||
TRY | 120,000,000 | USD | 26,212,892 | Goldman Sachs International | 2/3/20 | — | (1,834,062 | ) | ||||||||||||||||
TRY | 162,490,400 | USD | 35,371,675 | Goldman Sachs International | 2/3/20 | — | (2,360,626 | ) | ||||||||||||||||
TRY | 34,986,750 | USD | 7,562,577 | JPMorgan Chase Bank, N.A. | 2/3/20 | — | (454,777 | ) | ||||||||||||||||
TRY | 107,525,000 | USD | 23,148,547 | JPMorgan Chase Bank, N.A. | 2/3/20 | — | (1,304,099 | ) | ||||||||||||||||
USD | 40,128,101 | AED | 148,012,500 | BNP Paribas | 2/3/20 | — | (77,184 | ) | ||||||||||||||||
USD | 74,858,208 | AED | 276,114,500 | BNP Paribas | 2/5/20 | — | (143,210 | ) | ||||||||||||||||
TRY | 111,835,380 | USD | 24,269,831 | Deutsche Bank AG | 2/10/20 | — | (1,593,746 | ) | ||||||||||||||||
TRY | 87,420,000 | USD | 19,014,682 | Standard Chartered Bank | 2/10/20 | — | (1,289,135 | ) | ||||||||||||||||
TRY | 111,835,050 | USD | 24,296,122 | Standard Chartered Bank | 2/10/20 | — | (1,620,104 | ) |
41 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
TRY | 124,118,250 | USD | 26,952,932 | Goldman Sachs International | 2/14/20 | $ | — | $ | (1,814,184 | ) | ||||||||||||||
TRY | 37,643,600 | USD | 8,158,561 | Standard Chartered Bank | 2/14/20 | — | (534,275 | ) | ||||||||||||||||
TRY | 142,827,070 | USD | 31,025,757 | Standard Chartered Bank | 2/14/20 | — | (2,097,749 | ) | ||||||||||||||||
USD | 19,215,736 | OMR | 7,620,000 | Standard Chartered Bank | 2/14/20 | — | (209,682 | ) | ||||||||||||||||
USD | 42,670,390 | AED | 157,394,000 | BNP Paribas | 2/18/20 | — | (79,920 | ) | ||||||||||||||||
USD | 20,000,000 | OMR | 7,920,600 | Credit Agricole Corporate and Investment Bank | 2/20/20 | — | (187,364 | ) | ||||||||||||||||
USD | 18,594,674 | OMR | 7,359,400 | Standard Chartered Bank | 2/20/20 | — | (162,350 | ) | ||||||||||||||||
USD | 15,893,368 | BHD | 6,111,000 | BNP Paribas | 2/24/20 | — | (96,886 | ) | ||||||||||||||||
USD | 15,891,443 | BHD | 6,119,000 | BNP Paribas | 3/2/20 | — | (116,269 | ) | ||||||||||||||||
USD | 13,020,480 | AED | 48,000,000 | BNP Paribas | 3/12/20 | — | (15,411 | ) | ||||||||||||||||
USD | 24,763,586 | OMR | 9,820,000 | Standard Chartered Bank | 3/12/20 | — | (245,895 | ) | ||||||||||||||||
USD | 16,855,444 | BHD | 6,518,000 | BNP Paribas | 3/19/20 | — | (187,095 | ) | ||||||||||||||||
USD | 21,068,217 | BHD | 8,128,750 | BNP Paribas | 3/23/20 | — | (183,296 | ) | ||||||||||||||||
USD | 16,216,935 | BHD | 6,253,250 | BNP Paribas | 3/26/20 | — | (129,819 | ) | ||||||||||||||||
USD | 28,571,429 | OMR | 11,800,000 | BNP Paribas | 12/21/20 | — | (1,019,953 | ) | ||||||||||||||||
$ | 139,047,276 | $ | (178,256,102 | ) |
Forward Volatility Agreements | ||||||||||||||||||
Reference Entity | Counterparty | Strike Volatility Rate | Settlement Date(1) | Notional Amount† (000’s omitted) | Net Unrealized Depreciation | |||||||||||||
CHF versus USD, 1 year term | Deutsche Bank AG | 8.58 | % | 6/14/18 | 43,771 | $ | (341,501 | ) | ||||||||||
CHF versus USD, 1 year term | BNP Paribas | 8.35 | 6/19/18 | 22,761 | (136,589 | ) | ||||||||||||
EUR versus USD, 1 year term | BNP Paribas | 8.55 | 6/20/18 | EUR | 21,886 | (293,209 | ) | |||||||||||
$ | (771,299 | ) |
(1) | At the settlement date, the Portfolio will purchase from the counterparty an option straddle with a strike rate to be determined on this date. |
† | Notional amount is stated in USD unless otherwise noted. |
Futures Contracts | ||||||||||||||||||||
Description | Number of Contracts | Position | Expiration Month/Year | Notional Amount | Value/Net Appreciation | |||||||||||||||
Commodity Futures | ||||||||||||||||||||
Brent Crude Oil | 429 | Long | May-18 | $ | 32,042,010 | $ | 766,051 | |||||||||||||
Interest Rate Futures | ||||||||||||||||||||
5-Year USD Deliverable Interest Rate Swap | 75 | Short | Jun-18 | (7,172,461 | ) | 38,672 | ||||||||||||||
10-Year USD Deliverable Interest Rate Swap | 362 | Short | Jun-18 | (33,773,469 | ) | 204,002 | ||||||||||||||
CME 90-Day Eurodollar | 16,600 | Long | Dec-18 | 4,040,232,500 | (7,069,027 | ) | ||||||||||||||
CME 90-Day Eurodollar | 16,600 | Short | Dec-19 | (4,026,745,000 | ) | 8,307,797 | ||||||||||||||
$ | 2,247,495 |
CME: Chicago Mercantile Exchange.
42 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Centrally Cleared Inflation Swaps | ||||||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Return on Reference Index | Reference Index | Portfolio Pays/Receives Rate | Annual Rate | Termination Date | Value/Net Unrealized Appreciation (Depreciation) | |||||||||||||||
LCH.Clearnet | EUR | 11,378 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 1.60% (pays upon termination) | 8/15/32 | $ | 153,253 | |||||||||||||
LCH.Clearnet | EUR | 11,623 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 1.57% (pays upon termination) | 8/15/32 | 227,244 | ||||||||||||||
LCH.Clearnet | EUR | 11,653 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 1.59% (pays upon termination) | 8/15/32 | 192,444 | ||||||||||||||
LCH.Clearnet | EUR | 11,446 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 1.64% (pays upon termination) | 10/15/32 | 93,182 | ||||||||||||||
LCH.Clearnet | EUR | 15,315 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 1.74% (pays upon termination) | 2/15/33 | (144,634 | ) | |||||||||||||
LCH.Clearnet | EUR | 11,378 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.79% (pays upon termination) | 8/15/42 | (287,150 | ) | |||||||||||||
LCH.Clearnet | EUR | 11,623 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.77% (pays upon termination) | 8/15/42 | (371,617 | ) | |||||||||||||
LCH.Clearnet | EUR | 11,653 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.78% (pays upon termination) | 8/15/42 | (361,114 | ) | |||||||||||||
LCH.Clearnet | EUR | 11,446 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.85% (pays upon termination) | 10/15/42 | (108,459 | ) | |||||||||||||
LCH.Clearnet | EUR | 15,315 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.93% (pays upon termination) | 2/15/43 | 274,324 | ||||||||||||||
LCH.Clearnet | EUR | 3,065 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.90% (pays upon termination) | 8/4/47 | (34,765 | ) | |||||||||||||
LCH.Clearnet | EUR | 3,065 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.89% (pays upon termination) | 8/7/47 | (47,621 | ) | |||||||||||||
LCH.Clearnet | EUR | 8,521 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.95% (pays upon termination) | 12/15/47 | 87,178 | ||||||||||||||
LCH.Clearnet | USD | 36,500 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.17% (pays upon termination) | 10/26/27 | 891,054 | ||||||||||||||
LCH.Clearnet | USD | 14,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.23% (pays upon termination) | 1/17/28 | 211,062 |
43 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Centrally Cleared Inflation Swaps (continued) | ||||||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Return on Reference Index | Reference Index | Portfolio Pays/Receives Rate | Annual Rate | Termination Date | Value/Net Unrealized Appreciation (Depreciation) | |||||||||||||||
LCH.Clearnet | USD | 14,682 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.35% (pays upon termination) | 2/6/28 | $ | 85,810 | |||||||||||||
LCH.Clearnet | USD | 27,996 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.41% (pays upon termination) | 2/6/33 | (95,039 | ) | |||||||||||||
LCH.Clearnet | USD | 27,996 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.42% (pays upon termination) | 2/6/43 | 14,057 | ||||||||||||||
LCH.Clearnet | USD | 4,128 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.16% (pays upon termination) | 8/4/47 | 308,897 | ||||||||||||||
LCH.Clearnet | USD | 4,128 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.15% (pays upon termination) | 8/7/47 | 322,414 | ||||||||||||||
LCH.Clearnet | USD | 5,209 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.13% (pays upon termination) | 8/22/47 | 430,340 | ||||||||||||||
LCH.Clearnet | USD | 5,178 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.15% (pays upon termination) | 8/25/47 | 409,685 | ||||||||||||||
LCH.Clearnet | USD | 5,163 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.15% (pays upon termination) | 9/1/47 | 405,166 | ||||||||||||||
LCH.Clearnet | USD | 4,498 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.22% (pays upon termination) | 10/5/47 | 275,241 | ||||||||||||||
LCH.Clearnet | USD | 14,130 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.26% (pays upon termination) | 12/7/47 | 657,976 | ||||||||||||||
$ | 3,588,928 |
CPI-U (NSA) | – | Consumer Price Index All Urban Non-Seasonally Adjusted | ||
HICP | – | Harmonised Indices of Consumer Prices |
Inflation Swaps | ||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Return on Reference Index | Reference Index | Portfolio Pays/Receives Rate | Annual Rate | Termination Date | Value/Net Appreciation | |||||||||||
Bank of America, N.A. | $87,363 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 1.97% (pays upon termination) | 6/23/27 | $ | 3,418,278 | ||||||||||
$ | 3,418,278 |
CPI-U (NSA) | – | Consumer Price Index All Urban Non-Seasonally Adjusted |
44 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps | ||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Appreciation | ||||||||||||
CME Group, Inc. | BRL | 368,297 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.79% (pays upon termination) | 1/2/19 | $ | (438,438 | ) | |||||||||
CME Group, Inc. | BRL | 374,865 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.80% (pays upon termination) | 1/2/19 | (427,438 | ) | ||||||||||
CME Group, Inc. | BRL | 430,869 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.82% (pays upon termination) | 1/2/19 | (546,108 | ) | ||||||||||
CME Group, Inc. | BRL | 740,517 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.77% (pays upon termination) | 1/2/19 | (844,372 | ) | ||||||||||
CME Group, Inc. | BRL | 783,790 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.77% (pays upon termination) | 1/2/19 | (892,929 | ) | ||||||||||
CME Group, Inc. | BRL | 1,133,036 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.79% (pays upon termination) | 1/2/19 | (1,350,571 | ) | ||||||||||
CME Group, Inc. | BRL | 68,512 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.31% (pays upon termination) | 1/2/23 | 384,530 | |||||||||||
CME Group, Inc. | BRL | 68,513 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.33% (pays upon termination) | 1/2/23 | 398,808 | |||||||||||
CME Group, Inc. | BRL | 77,923 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.36% (pays upon termination) | 1/2/23 | 482,236 | |||||||||||
CME Group, Inc. | BRL | 139,785 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.29% (pays upon termination) | 1/2/23 | 745,747 | |||||||||||
CME Group, Inc. | BRL | 145,947 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.26% (pays upon termination) | 1/2/23 | 711,888 | |||||||||||
CME Group, Inc. | BRL | 209,541 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.27% (pays upon termination) | 1/2/23 | 1,047,906 | |||||||||||
CME Group, Inc.(1) | KRW | 17,876,490 | Pays | 3-month Certificate of Deposit Rate (KWCDC) (pays quarterly) | 2.28% (pays quarterly) | 6/20/28 | (154,349 | ) | ||||||||||
CME Group, Inc. | MXN | 2,419,244 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.83% (pays monthly) | 6/28/19 | (1,556,682 | ) | ||||||||||
CME Group, Inc. | MXN | 1,774,345 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.83% (pays monthly) | 7/1/19 | (1,138,971 | ) | ||||||||||
CME Group, Inc. | MXN | 2,105,585 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.83% (pays monthly) | 7/1/19 | (1,346,771 | ) | ||||||||||
CME Group, Inc. | MXN | 1,037,630 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.00% (pays monthly) | 8/21/19 | (597,522 | ) | ||||||||||
CME Group, Inc. | MXN | 2,426,140 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.03% (pays monthly) | 8/23/19 | (1,339,958 | ) | ||||||||||
CME Group, Inc. | MXN | 3,557,600 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.70% (pays monthly) | 12/12/19 | (121,827 | ) | ||||||||||
CME Group, Inc. | MXN | 3,499,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.72% (pays monthly) | 12/13/19 | (73,579 | ) | ||||||||||
CME Group, Inc. | MXN | 4,187,630 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.92% (pays monthly) | 12/16/19 | 641,619 | |||||||||||
CME Group, Inc. | MXN | 1,277,918 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.70% (pays monthly) | 1/24/20 | (24,044 | ) | ||||||||||
CME Group, Inc. | MXN | 4,045,452 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.68% (pays monthly) | 1/24/20 | (112,728 | ) |
45 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Appreciation | ||||||||||||
CME Group, Inc. | MXN | 1,502,776 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.52% (pays monthly) | 4/16/20 | $ | (198,416 | ) | |||||||||
CME Group, Inc. | MXN | 13,867,130 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.53% (pays monthly) | 4/16/20 | (245,573 | ) | ||||||||||
CME Group, Inc. | MXN | 884,500 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 7.67% (pays monthly) | 12/2/27 | 296,715 | |||||||||||
CME Group, Inc. | MXN | 889,300 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 7.67% (pays monthly) | 12/3/27 | 298,955 | |||||||||||
CME Group, Inc. | MXN | 1,167,030 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 7.80% (pays monthly) | 12/6/27 | (162,697 | ) | ||||||||||
LCH.Clearnet | CAD | 30,580 | Pays | 3-month Canadian Bankers Acceptances (pays quarterly) | 2.51% (pays semi-annually) | 2/5/23 | 93,244 | |||||||||||
LCH.Clearnet | CAD | 61,100 | Pays | 3-month Canadian Bankers Acceptances (pays quarterly) | 2.51% (pays semi-annually) | 2/5/23 | 186,304 | |||||||||||
LCH.Clearnet | CAD | 183,530 | Pays | 3-month Canadian Bankers Acceptances (pays quarterly) | 2.49% (pays semi-annually) | 2/5/23 | 434,481 | |||||||||||
LCH.Clearnet | CAD | 111,865 | Pays | 3-month Canadian Bankers Acceptances (pays quarterly) | 2.46% (pays semi-annually) | 2/6/23 | 135,521 | |||||||||||
LCH.Clearnet | CAD | 38,500 | Pays | 3-month Canadian Bankers Acceptances (pays quarterly) | 2.42% (pays semi-annually) | 3/6/23 | (48,144 | ) | ||||||||||
LCH.Clearnet | CAD | 64,455 | Pays | 3-month Canadian Bankers Acceptances (pays quarterly) | 2.39% (pays semi-annually) | 3/14/23 | (197,169 | ) | ||||||||||
LCH.Clearnet | CAD | 83,791 | Pays | 3-month Canadian Bankers Acceptances (pays quarterly) | 2.40% (pays semi-annually) | 3/14/23 | (219,642 | ) | ||||||||||
LCH.Clearnet(1) | CHF | 241,194 | Pays | 3-month CHF-LIBOR-BBA (pays quarterly) | (0.45)% (pays annually) | 3/25/20 | (30,708 | ) | ||||||||||
LCH.Clearnet(1) | CHF | 241,194 | Pays | 3-month CHF-LIBOR-BBA (pays quarterly) | (0.46)% (pays annually) | 3/25/20 | (49,130 | ) | ||||||||||
LCH.Clearnet(1) | CHF | 253,334 | Pays | 3-month CHF-LIBOR-BBA (pays quarterly) | (0.46)% (pays annually) | 3/25/20 | (45,153 | ) | ||||||||||
LCH.Clearnet(1) | CHF | 121,918 | Pays | 3-month CHF-LIBOR-BBA (pays quarterly) | (0.47)% (pays annually) | 3/26/20 | (41,536 | ) | ||||||||||
LCH.Clearnet(1) | CHF | 121,917 | Pays | 3-month CHF-LIBOR-BBA (pays quarterly) | (0.49)% (pays annually) | 3/27/20 | (61,336 | ) | ||||||||||
LCH.Clearnet(1) | CHF | 121,918 | Pays | 3-month CHF-LIBOR-BBA (pays quarterly) | (0.48)% (pays annually) | 3/27/20 | (55,129 | ) | ||||||||||
LCH.Clearnet(1) | CHF | 245,839 | Pays | 3-month CHF-LIBOR-BBA (pays quarterly) | (0.47)% (pays annually) | 3/29/20 | (90,849 | ) | ||||||||||
LCH.Clearnet(1) | CHF | 367,334 | Pays | 3-month CHF-LIBOR-BBA (pays quarterly) | (0.50)% (pays annually) | 4/3/20 | (246,670 | ) | ||||||||||
LCH.Clearnet(1) | CHF | 124,028 | Pays | 3-month CHF-LIBOR-BBA (pays quarterly) | (0.49)% (pays annually) | 4/5/20 | (79,300 | ) | ||||||||||
LCH.Clearnet(1) | CHF | 245,945 | Pays | 3-month CHF-LIBOR-BBA (pays quarterly) | (0.51)% (pays annually) | 4/8/20 | (201,700 | ) | ||||||||||
LCH.Clearnet(1) | CHF | 247,527 | Pays | 3-month CHF-LIBOR-BBA (pays quarterly) | (0.49)% (pays annually) | 4/9/20 | (161,185 | ) |
46 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Appreciation | ||||||||||||
LCH.Clearnet(1) | CHF | 247,527 | Pays | 3-month CHF-LIBOR-BBA (pays quarterly) | (0.49)% (pays annually) | 4/9/20 | $ | (167,487 | ) | |||||||||
LCH.Clearnet(1) | �� | CHF | 316,396 | Pays | 3-month CHF-LIBOR-BBA (pays quarterly) | (0.47)% (pays annually) | 4/15/20 | (151,110 | ) | |||||||||
LCH.Clearnet(1) | CHF | 35,139 | Pays | 3-month CHF-LIBOR-BBA (pays quarterly) | (0.47)% (pays annually) | 4/16/20 | (17,107 | ) | ||||||||||
LCH.Clearnet(1) | EUR | 324,825 | Receives | 3-month Euro Interbank Offered Rate (pays quarterly) | (0.09)% (pays annually) | 3/25/20 | (182,000 | ) | ||||||||||
LCH.Clearnet(1) | EUR | 324,825 | Receives | 3-month Euro Interbank Offered Rate (pays quarterly) | (0.09)% (pays annually) | 3/25/20 | (187,904 | ) | ||||||||||
LCH.Clearnet(1) | EUR | 105,106 | Receives | 3-month Euro Interbank Offered Rate (pays quarterly) | (0.11)% (pays annually) | 3/26/20 | (34,224 | ) | ||||||||||
LCH.Clearnet(1) | EUR | 105,105 | Receives | 3-month Euro Interbank Offered Rate (pays quarterly) | (0.10)% (pays annually) | 3/27/20 | (36,921 | ) | ||||||||||
LCH.Clearnet(1) | EUR | 105,106 | Receives | 3-month Euro Interbank Offered Rate (pays quarterly) | (0.11)% (pays annually) | 3/27/20 | (28,646 | ) | ||||||||||
LCH.Clearnet(1) | EUR | 207,042 | Receives | 3-month Euro Interbank Offered Rate (pays quarterly) | (0.11)% (pays annually) | 3/29/20 | (43,177 | ) | ||||||||||
LCH.Clearnet(1) | EUR | 313,205 | Receives | 3-month Euro Interbank Offered Rate (pays quarterly) | (0.12)% (pays annually) | 4/3/20 | (23,310 | ) | ||||||||||
LCH.Clearnet(1) | EUR | 107,218 | Receives | 3-month Euro Interbank Offered Rate (pays quarterly) | (0.11)% (pays annually) | 4/5/20 | (17,888 | ) | ||||||||||
LCH.Clearnet(1) | EUR | 107,218 | Receives | 3-month Euro Interbank Offered Rate (pays quarterly) | (0.11)% (pays annually) | 4/6/20 | (15,246 | ) | ||||||||||
LCH.Clearnet(1) | EUR | 799,770 | Receives | 3-month Euro Interbank Offered Rate (pays quarterly) | (0.09)% (pays annually) | 4/15/20 | (233,396 | ) | ||||||||||
LCH.Clearnet | EUR | 155,901 | Receives | 6-month Euro Interbank Offered Rate (pays semi-annually) | 0.25% (pays annually)(2) | 9/20/22 | (419,967 | ) | ||||||||||
LCH.Clearnet | EUR | 240,000 | Pays | 6-month Euro Interbank Offered Rate (pays semi-annually) | 0.47% (pays annually) | 2/27/23 | 1,926,777 | |||||||||||
LCH.Clearnet | EUR | 47,035 | Receives | 6-month Euro Interbank Offered Rate (pays semi-annually) | 1.00% (pays annually) | 3/21/23 | (269,325 | ) | ||||||||||
LCH.Clearnet | EUR | 1,534 | Receives | 6-month Euro Interbank Offered Rate (pays semi-annually) | 0.95% (pays annually) | 4/12/28 | 6,634 | |||||||||||
LCH.Clearnet | EUR | 49,820 | Receives | 6-month Euro Interbank Offered Rate (pays semi-annually) | 1.64% (pays annually) | 2/27/48 | (1,793,942 | ) | ||||||||||
LCH.Clearnet | EUR | 2,886 | Receives | 6-month Euro Interbank Offered Rate (pays semi-annually) | 1.47% (pays annually) | 4/5/48 | 41,092 | |||||||||||
LCH.Clearnet | EUR | 8,085 | Receives | 6-month Euro Interbank Offered Rate (pays semi-annually) | 1.36% (pays annually) | 4/5/48 | 92,812 | |||||||||||
LCH.Clearnet | HUF | 2,149,708 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.27% (pays annually) | 12/13/21 | (214,491 | ) | ||||||||||
LCH.Clearnet | HUF | 5,785,420 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.46% (pays annually) | 1/12/22 | (722,448 | ) | ||||||||||
LCH.Clearnet | HUF | 5,322,580 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.44% (pays annually) | 1/13/22 | (643,181 | ) |
47 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Appreciation | ||||||||||||
LCH.Clearnet | HUF | 8,642,108 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.25% (pays annually) | 2/6/23 | $ | (546,650 | ) | |||||||||
LCH.Clearnet | HUF | 8,391,182 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.27% (pays annually) | 2/7/23 | (548,795 | ) | ||||||||||
LCH.Clearnet | HUF | 10,841,200 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.32% (pays annually) | 2/9/23 | (806,959 | ) | ||||||||||
LCH.Clearnet | HUF | 8,393,800 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.19% (pays annually) | 3/12/23 | (367,086 | ) | ||||||||||
LCH.Clearnet | HUF | 4,196,900 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.15% (pays annually) | 3/13/23 | (146,880 | ) | ||||||||||
LCH.Clearnet | HUF | 3,089,400 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.92% (pays annually) | 7/28/26 | (356,358 | ) | ||||||||||
LCH.Clearnet | HUF | 2,174,000 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.94% (pays annually) | 8/1/26 | (260,101 | ) | ||||||||||
LCH.Clearnet | HUF | 833,096 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.94% (pays annually) | 9/21/26 | (83,435 | ) | ||||||||||
LCH.Clearnet | HUF | 854,457 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.93% (pays annually) | 9/21/26 | (84,168 | ) | ||||||||||
LCH.Clearnet | HUF | 2,107,661 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.89% (pays annually) | 9/21/26 | (178,474 | ) | ||||||||||
LCH.Clearnet | HUF | 848,760 | Receives | 6-month HUF BUBOR (pays semi-annually) | 2.14% (pays annually) | 10/13/26 | (136,355 | ) | ||||||||||
LCH.Clearnet | HUF | 2,158,928 | Receives | 6-month HUF BUBOR (pays semi-annually) | 2.09% (pays annually) | 10/19/26 | (306,772 | ) | ||||||||||
LCH.Clearnet | HUF | 2,236,399 | Receives | 6-month HUF BUBOR (pays semi-annually) | 2.04% (pays annually) | 10/20/26 | (278,833 | ) | ||||||||||
LCH.Clearnet | HUF | 972,374 | Receives | 6-month HUF BUBOR (pays semi-annually) | 2.08% (pays annually) | 10/28/26 | (129,131 | ) | ||||||||||
LCH.Clearnet | HUF | 2,407,181 | Receives | 6-month HUF BUBOR (pays semi-annually) | 2.06% (pays annually) | 10/28/26 | (309,156 | ) | ||||||||||
LCH.Clearnet | HUF | 1,456,978 | Receives | 6-month HUF BUBOR (pays semi-annually) | 2.09% (pays annually) | 11/2/26 | (194,367 | ) | ||||||||||
LCH.Clearnet | HUF | 975,542 | Receives | 6-month HUF BUBOR (pays semi-annually) | 2.18% (pays annually) | 11/3/26 | (160,249 | ) | ||||||||||
LCH.Clearnet | HUF | 5,260,958 | Receives | 6-month HUF BUBOR (pays semi-annually) | 2.13% (pays annually) | 11/4/26 | (779,903 | ) | ||||||||||
LCH.Clearnet | HUF | 956,538 | Receives | 6-month HUF BUBOR (pays semi-annually) | 2.15% (pays annually) | 11/7/26 | (146,347 | ) | ||||||||||
LCH.Clearnet | HUF | 950,203 | Receives | 6-month HUF BUBOR (pays semi-annually) | 2.12% (pays annually) | 11/8/26 | (135,680 | ) | ||||||||||
LCH.Clearnet | HUF | 2,616,226 | Receives | 6-month HUF BUBOR (pays semi-annually) | 2.14% (pays annually) | 11/10/26 | (392,854 | ) | ||||||||||
LCH.Clearnet | HUF | 4,379,300 | Receives | 6-month HUF BUBOR (pays semi-annually) | 2.66% (pays annually) | 2/8/27 | (1,262,946 | ) | ||||||||||
LCH.Clearnet | HUF | 5,350,000 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.99% (pays annually) | 1/31/28 | (52,975 | ) |
48 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Appreciation | ||||||||||||
LCH.Clearnet | HUF | 5,400,000 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.98% (pays annually) | 1/31/28 | $ | (34,109 | ) | |||||||||
LCH.Clearnet | HUF | 2,687,485 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.94% (pays annually) | 2/1/28 | 22,589 | |||||||||||
LCH.Clearnet | HUF | 5,312,515 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.98% (pays annually) | 2/1/28 | (31,528 | ) | ||||||||||
LCH.Clearnet | HUF | 1,498,763 | Receives | 6-month HUF BUBOR (pays semi-annually) | 2.09% (pays annually) | 2/7/28 | (64,478 | ) | ||||||||||
LCH.Clearnet | HUF | 2,220,389 | Receives | 6-month HUF BUBOR (pays semi-annually) | 2.18% (pays annually) | 2/7/28 | (167,133 | ) | ||||||||||
LCH.Clearnet | HUF | 4,490,614 | Receives | 6-month HUF BUBOR (pays semi-annually) | 2.12% (pays annually) | 2/7/28 | (234,604 | ) | ||||||||||
LCH.Clearnet | HUF | 2,264,798 | Receives | 6-month HUF BUBOR (pays semi-annually) | 2.20% (pays annually) | 2/8/28 | (181,763 | ) | ||||||||||
LCH.Clearnet | HUF | 4,340,586 | Receives | 6-month HUF BUBOR (pays semi-annually) | 2.23% (pays annually) | 2/9/28 | (401,097 | ) | ||||||||||
LCH.Clearnet | JPY | 1,114,835 | Receives | 6-month JPY-LIBOR-BBA (pays semi-annually) | 0.62% (pays semi-annually) | 12/19/46 | 665,016 | |||||||||||
LCH.Clearnet | JPY | 1,206,794 | Receives | 6-month JPY-LIBOR-BBA (pays semi-annually) | 0.81% (pays semi-annually) | 12/19/46 | 149,512 | |||||||||||
LCH.Clearnet | JPY | 1,346,165 | Receives | 6-month JPY-LIBOR-BBA (pays semi-annually) | 0.61% (pays semi-annually) | 12/19/46 | 830,871 | |||||||||||
LCH.Clearnet | JPY | 1,413,260 | Receives | 6-month JPY-LIBOR-BBA (pays semi-annually) | 0.78% (pays semi-annually) | 12/19/46 | 277,851 | |||||||||||
LCH.Clearnet | JPY | 469,100 | Receives | 6-month JPY-LIBOR-BBA (pays semi-annually) | 0.85% (pays semi-annually) | 6/19/47 | 19,750 | |||||||||||
LCH.Clearnet | JPY | 469,100 | Receives | 6-month JPY-LIBOR-BBA (pays semi-annually) | 0.86% (pays semi-annually) | 6/19/47 | 16,291 | |||||||||||
LCH.Clearnet | JPY | 1,525,000 | Receives | 6-month JPY-LIBOR-BBA (pays semi-annually) | 0.89% (pays semi-annually) | 9/18/47 | (27,042 | ) | ||||||||||
LCH.Clearnet | JPY | 1,630,000 | Receives | 6-month JPY-LIBOR-BBA (pays semi-annually) | 0.89% (pays semi-annually) | 9/18/47 | (44,900 | ) | ||||||||||
LCH.Clearnet | JPY | 2,052,000 | Receives | 6-month JPY-LIBOR-BBA (pays semi-annually) | 0.92% (pays semi-annually) | 9/18/47 | (215,577 | ) | ||||||||||
LCH.Clearnet | JPY | 1,347,000 | Receives | 6-month JPY-LIBOR-BBA (pays semi-annually) | 0.95% (pays semi-annually) | 12/18/47 | (256,369 | ) | ||||||||||
LCH.Clearnet | JPY | 2,591,000 | Receives | 6-month JPY-LIBOR-BBA (pays semi-annually) | 0.95% (pays semi-annually) | 12/18/47 | (471,439 | ) | ||||||||||
LCH.Clearnet | JPY | 2,998,000 | Receives | 6-month JPY-LIBOR-BBA (pays semi-annually) | 0.95% (pays semi-annually) | 12/18/47 | (518,352 | ) | ||||||||||
LCH.Clearnet | JPY | 5,251,695 | Receives | 6-month JPY-LIBOR-BBA (pays semi-annually) | 0.96% (pays semi-annually) | 12/18/47 | (1,066,182 | ) | ||||||||||
LCH.Clearnet | JPY | 5,650,015 | Receives | 6-month JPY-LIBOR-BBA (pays semi-annually) | 0.95% (pays semi-annually) | 12/18/47 | (987,923 | ) | ||||||||||
LCH.Clearnet | JPY | 1,677,000 | Receives | 6-month JPY-LIBOR-BBA (pays semi-annually) | 0.86% (pays semi-annually) | 6/17/48 | 156,544 |
49 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Appreciation | ||||||||||||
LCH.Clearnet | NZD | 57,470 | Receives | 3-month NZD Bank Bill (pays quarterly) | 2.76% (pays semi-annually) | 2/9/23 | $ | (181,541 | ) | |||||||||
LCH.Clearnet | NZD | 79,000 | Receives | 3-month NZD Bank Bill (pays quarterly) | 2.75% (pays semi-annually) | 2/9/23 | (243,213 | ) | ||||||||||
LCH.Clearnet | NZD | 143,700 | Receives | 3-month NZD Bank Bill (pays quarterly) | 2.74% (pays semi-annually) | 2/13/23 | (366,577 | ) | ||||||||||
LCH.Clearnet | NZD | 162,900 | Receives | 3-month NZD Bank Bill (pays quarterly) | 2.73% (pays semi-annually) | 2/16/23 | (333,643 | ) | ||||||||||
LCH.Clearnet | NZD | 63,100 | Receives | 3-month NZD Bank Bill (pays quarterly) | 2.73% (pays semi-annually) | 2/20/23 | (133,527 | ) | ||||||||||
LCH.Clearnet | NZD | 63,650 | Receives | 3-month NZD Bank Bill (pays quarterly) | 2.74% (pays semi-annually) | 2/22/23 | (143,647 | ) | ||||||||||
LCH.Clearnet | NZD | 20,093 | Pays | 3-month NZD Bank Bill (pays quarterly) | 4.96% (pays semi-annually) | 4/29/24 | 1,645,006 | |||||||||||
LCH.Clearnet | NZD | 11,875 | Pays | 3-month NZD Bank Bill (pays quarterly) | 3.77% (pays semi-annually) | 3/5/25 | 450,744 | |||||||||||
LCH.Clearnet | NZD | 11,470 | Pays | 3-month NZD Bank Bill (pays quarterly) | 4.05% (pays semi-annually) | 6/16/25 | 663,178 | |||||||||||
LCH.Clearnet | NZD | 25,600 | Receives | 3-month NZD Bank Bill (pays quarterly) | 3.40% (pays semi-annually) | 4/28/27 | (360,166 | ) | ||||||||||
LCH.Clearnet | NZD | 19,400 | Receives | 3-month NZD Bank Bill (pays quarterly) | 3.40% (pays semi-annually) | 5/8/27 | (431,241 | ) | ||||||||||
LCH.Clearnet | NZD | 19,535 | Receives | 3-month NZD Bank Bill (pays quarterly) | 3.41% (pays semi-annually) | 5/8/27 | (445,785 | ) | ||||||||||
LCH.Clearnet | NZD | 45,772 | Receives | 3-month NZD Bank Bill (pays quarterly) | 3.49% (pays semi-annually) | 5/11/27 | (1,269,563 | ) | ||||||||||
LCH.Clearnet | NZD | 16,873 | Receives | 3-month NZD Bank Bill (pays quarterly) | 3.31% (pays semi-annually) | 5/18/27 | (284,982 | ) | ||||||||||
LCH.Clearnet | NZD | 82,060 | Receives | 3-month NZD Bank Bill (pays quarterly) | 3.17% (pays semi-annually) | 6/26/27 | (581,339 | ) | ||||||||||
LCH.Clearnet | NZD | 94,000 | Receives | 3-month NZD Bank Bill (pays quarterly) | 3.13% (pays semi-annually) | 1/9/28 | (214,799 | ) | ||||||||||
LCH.Clearnet | NZD | 94,000 | Receives | 3-month NZD Bank Bill (pays quarterly) | 3.13% (pays semi-annually) | 1/9/28 | (229,223 | ) | ||||||||||
LCH.Clearnet | NZD | 140,000 | Receives | 3-month NZD Bank Bill (pays quarterly) | 3.15% (pays semi-annually) | 1/11/28 | (495,309 | ) | ||||||||||
LCH.Clearnet | NZD | 86,000 | Receives | 3-month NZD Bank Bill (pays quarterly) | 3.20% (pays semi-annually) | 1/12/28 | (579,936 | ) | ||||||||||
LCH.Clearnet | PLN | 31,365 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.41% (pays annually) | 12/13/21 | 102,728 | |||||||||||
LCH.Clearnet | PLN | 84,093 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.46% (pays annually) | 1/12/22 | 298,012 | |||||||||||
LCH.Clearnet | PLN | 86,972 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.44% (pays annually) | 1/13/22 | 283,505 | |||||||||||
LCH.Clearnet | PLN | 119,081 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.73% (pays annually) | 2/6/23 | 663,573 |
50 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Appreciation | ||||||||||||
LCH.Clearnet | PLN | 117,941 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.69% (pays annually) | 2/7/23 | $ | 584,495 | ||||||||||
LCH.Clearnet | PLN | 144,938 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.63% (pays annually) | 2/9/23 | 595,728 | |||||||||||
LCH.Clearnet | PLN | 128,740 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.45% (pays annually) | 3/12/23 | 186,994 | |||||||||||
LCH.Clearnet | PLN | 43,620 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.23% (pays annually) | 7/28/26 | (302,752 | ) | ||||||||||
LCH.Clearnet | PLN | 31,466 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.22% (pays annually) | 8/1/26 | (226,190 | ) | ||||||||||
LCH.Clearnet | PLN | 11,391 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.28% (pays annually) | 9/21/26 | (71,829 | ) | ||||||||||
LCH.Clearnet | PLN | 42,148 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.30% (pays annually) | 9/21/26 | (246,225 | ) | ||||||||||
LCH.Clearnet | PLN | 12,047 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.49% (pays annually) | 10/13/26 | (20,381 | ) | ||||||||||
LCH.Clearnet | PLN | 12,246 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.47% (pays annually) | 10/19/26 | (26,895 | ) | ||||||||||
LCH.Clearnet | PLN | 18,369 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.46% (pays annually) | 10/19/26 | (44,580 | ) | ||||||||||
LCH.Clearnet | PLN | 13,442 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.43% (pays annually) | 10/20/26 | (41,967 | ) | ||||||||||
LCH.Clearnet | PLN | 18,368 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.44% (pays annually) | 10/20/26 | (51,838 | ) | ||||||||||
LCH.Clearnet | PLN | 13,914 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.47% (pays annually) | 10/28/26 | (32,564 | ) | ||||||||||
LCH.Clearnet | PLN | 34,786 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.46% (pays annually) | 10/28/26 | (89,429 | ) | ||||||||||
LCH.Clearnet | PLN | 20,872 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.50% (pays annually) | 10/31/26 | (34,375 | ) | ||||||||||
LCH.Clearnet | PLN | 13,915 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.56% (pays annually) | 11/2/26 | (38,364 | ) | ||||||||||
LCH.Clearnet | PLN | 76,529 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.51% (pays annually) | 11/4/26 | (304,671 | ) | ||||||||||
LCH.Clearnet | PLN | 13,914 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.54% (pays annually) | 11/7/26 | (47,641 | ) | ||||||||||
LCH.Clearnet | PLN | 13,914 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.50% (pays annually) | 11/8/26 | (58,713 | ) | ||||||||||
LCH.Clearnet | PLN | 38,455 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.52% (pays annually) | 11/10/26 | (154,133 | ) | ||||||||||
LCH.Clearnet | PLN | 54,047 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.00% (pays annually) | 2/8/27 | 320,717 | |||||||||||
LCH.Clearnet | PLN | 77,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.15% (pays annually) | 1/31/28 | 637,370 | |||||||||||
LCH.Clearnet | PLN | 77,500 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.15% (pays annually) | 1/31/28 | 651,217 |
51 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Appreciation | ||||||||||||
LCH.Clearnet | PLN | 49,439 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.13% (pays annually) | 2/1/28 | $ | 383,778 | ||||||||||
LCH.Clearnet | PLN | 76,061 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.11% (pays annually) | 2/1/28 | 552,328 | |||||||||||
LCH.Clearnet | PLN | 21,126 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.14% (pays annually) | 2/7/28 | 83,452 | |||||||||||
LCH.Clearnet | PLN | 31,826 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.12% (pays annually) | 2/7/28 | 240,057 | |||||||||||
LCH.Clearnet | PLN | 64,357 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.17% (pays annually) | 2/7/28 | 566,758 | |||||||||||
LCH.Clearnet | PLN | 31,825 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.10% (pays annually) | 2/8/28 | 223,664 | |||||||||||
LCH.Clearnet | PLN | 61,296 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.08% (pays annually) | 2/9/28 | 399,149 | |||||||||||
LCH.Clearnet(1) | SEK | 3,212,871 | Pays | 3-month Stockholm Interbank Offered Rate (pays quarterly) | 0.08% (pays annually) | 3/25/20 | 358,435 | |||||||||||
LCH.Clearnet(1) | SEK | 3,260,936 | Pays | 3-month Stockholm Interbank Offered Rate (pays quarterly) | 0.08% (pays annually) | 3/25/20 | 365,662 | |||||||||||
LCH.Clearnet(1) | SEK | 1,066,908 | Pays | 3-month Stockholm Interbank Offered Rate (pays quarterly) | 0.05% (pays annually) | 3/26/20 | 86,857 | |||||||||||
LCH.Clearnet(1) | SEK | 2,144,380 | Pays | 3-month Stockholm Interbank Offered Rate (pays quarterly) | 0.04% (pays annually) | 3/27/20 | 152,931 | |||||||||||
LCH.Clearnet(1) | SEK | 2,154,943 | Pays | 3-month Stockholm Interbank Offered Rate (pays quarterly) | 0.05% (pays annually) | 3/29/20 | 153,409 | |||||||||||
LCH.Clearnet(1) | SEK | 2,149,661 | Pays | 3-month Stockholm Interbank Offered Rate (pays quarterly) | 0.03% (pays annually) | 4/3/20 | 106,152 | |||||||||||
LCH.Clearnet(1) | SEK | 2,195,084 | Pays | 3-month Stockholm Interbank Offered Rate (pays quarterly) | 0.02% (pays annually) | 4/5/20 | 70,380 | |||||||||||
LCH.Clearnet(1) | SEK | 1,090,675 | Pays | 3-month Stockholm Interbank Offered Rate (pays quarterly) | 0.03% (pays annually) | 4/6/20 | 43,127 | |||||||||||
LCH.Clearnet(1) | SEK | 2,165,506 | Pays | 3-month Stockholm Interbank Offered Rate (pays quarterly) | 0.02% (pays annually) | 4/8/20 | 65,915 | |||||||||||
LCH.Clearnet(1) | SEK | 2,165,506 | Pays | 3-month Stockholm Interbank Offered Rate (pays quarterly) | 0.03% (pays annually) | 4/9/20 | 68,880 | |||||||||||
LCH.Clearnet(1) | SEK | 2,165,506 | Pays | 3-month Stockholm Interbank Offered Rate (pays quarterly) | 0.02% (pays annually) | 4/9/20 | 62,675 | |||||||||||
LCH.Clearnet(1) | SEK | 1,976,604 | Pays | 3-month Stockholm Interbank Offered Rate (pays quarterly) | 0.04% (pays annually) | 4/15/20 | 81,370 | |||||||||||
LCH.Clearnet | USD | 3,000 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.30% (pays semi-annually) | 1/30/20 | 3,443 | |||||||||||
LCH.Clearnet | USD | 6,478 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.75% (pays annually) | 7/31/20 | (58,801 | ) | ||||||||||
LCH.Clearnet | USD | 12,230 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.74% (pays semi-annually) | 7/31/20 | (220,395 | ) | ||||||||||
LCH.Clearnet | USD | 15,290 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.74% (pays semi-annually) | 7/31/20 | (275,631 | ) |
52 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Appreciation | ||||||||||||
LCH.Clearnet | USD | 16,334 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.74% (pays semi-annually) | 8/12/20 | $ | (372,577 | ) | |||||||||
LCH.Clearnet | USD | 17,380 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.62% (pays semi-annually) | 8/14/20 | (448,273 | ) | ||||||||||
LCH.Clearnet | USD | 18,431 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.68% (pays semi-annually) | 8/17/20 | (452,168 | ) | ||||||||||
LCH.Clearnet | USD | 19,667 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.69% (pays semi-annually) | 8/17/20 | (477,805 | ) | ||||||||||
LCH.Clearnet | USD | 32,698 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.70% (pays semi-annually) | 8/19/20 | (789,063 | ) | ||||||||||
LCH.Clearnet | USD | 9,452 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.56% (pays semi-annually) | 8/22/20 | (260,412 | ) | ||||||||||
LCH.Clearnet | USD | 19,470 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.55% (pays semi-annually) | 8/22/20 | (541,125 | ) | ||||||||||
LCH.Clearnet | USD | 33,453 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.57% (pays semi-annually) | 9/17/20 | (956,134 | ) | ||||||||||
LCH.Clearnet | USD | 24,270 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.65% (pays semi-annually) | 9/18/20 | (645,606 | ) | ||||||||||
LCH.Clearnet | USD | 1,310 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.55% (pays semi-annually) | 9/23/20 | (38,306 | ) | ||||||||||
LCH.Clearnet | USD | 9,330 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.43% (pays semi-annually) | 10/28/20 | (306,271 | ) | ||||||||||
LCH.Clearnet | USD | 9,330 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.42% (pays semi-annually) | 10/28/20 | (306,831 | ) | ||||||||||
LCH.Clearnet | USD | 9,622 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.54% (pays semi-annually) | 11/5/20 | (261,239 | ) | ||||||||||
LCH.Clearnet | USD | 19,245 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.53% (pays semi-annually) | 11/5/20 | (527,391 | ) | ||||||||||
LCH.Clearnet | USD | 9,312 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.56% (pays semi-annually) | 11/9/20 | (249,789 | ) | ||||||||||
LCH.Clearnet | USD | 12,726 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.67% (pays semi-annually) | 11/12/20 | (300,466 | ) | ||||||||||
LCH.Clearnet | USD | 6,834 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.11% (pays semi-annually) | 2/23/21 | (323,830 | ) | ||||||||||
LCH.Clearnet | USD | 6,626 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.17% (pays semi-annually) | 2/25/21 | (303,489 | ) | ||||||||||
LCH.Clearnet | USD | 13,253 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.17% (pays semi-annually) | 2/25/21 | (607,787 | ) | ||||||||||
LCH.Clearnet | USD | 16,620 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.27% (pays semi-annually) | 3/7/21 | (719,936 | ) | ||||||||||
LCH.Clearnet | USD | 10,838 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 2.10% (pays semi-annually) | 7/27/22 | (280,636 | ) | ||||||||||
LCH.Clearnet | USD | 11,426 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 2.06% (pays semi-annually) | 7/30/22 | (370,115 | ) | ||||||||||
LCH.Clearnet | USD | 10,104 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 1.84% (pays semi-annually) | 9/15/22 | 438,548 |
53 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Appreciation | ||||||||||||
LCH.Clearnet | USD | 7,836 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.51% (pays semi-annually) | 1/26/23 | $ | 88,303 | ||||||||||
LCH.Clearnet | USD | 4,250 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.71% (pays semi-annually) | 3/5/23 | 32,397 | |||||||||||
LCH.Clearnet | USD | 860 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.73% (pays semi-annually) | 4/5/23 | 6,625 | |||||||||||
LCH.Clearnet | USD | 5,340 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.78% (pays semi-annually) | 4/10/23 | 30,081 | |||||||||||
LCH.Clearnet | USD | 379 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.75% (pays semi-annually) | 4/12/23 | 2,701 | |||||||||||
LCH.Clearnet | USD | 3,071 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.75% (pays semi-annually) | 4/12/23 | 21,903 | |||||||||||
LCH.Clearnet | USD | 4,855 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.59% (pays semi-annually) | 4/12/26 | (468,963 | ) | ||||||||||
LCH.Clearnet | USD | 6,620 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.59% (pays semi-annually) | 4/12/26 | (639,687 | ) | ||||||||||
LCH.Clearnet | USD | 9,340 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.68% (pays semi-annually) | 5/6/26 | (808,763 | ) | ||||||||||
LCH.Clearnet | USD | 9,340 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.68% (pays semi-annually) | 5/6/26 | (811,600 | ) | ||||||||||
LCH.Clearnet | USD | 3,030 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.66% (pays semi-annually) | 5/9/26 | (267,182 | ) | ||||||||||
LCH.Clearnet | USD | 11,023 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.60% (pays semi-annually) | 5/18/26 | (1,028,598 | ) | ||||||||||
LCH.Clearnet | USD | 2,769 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.72% (pays semi-annually) | 5/20/26 | (231,973 | ) | ||||||||||
LCH.Clearnet | USD | 5,537 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.65% (pays semi-annually) | 5/20/26 | (493,473 | ) | ||||||||||
LCH.Clearnet | USD | 19,310 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.69% (pays semi-annually) | 6/3/26 | (1,683,885 | ) | ||||||||||
LCH.Clearnet | USD | 11,590 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.11% (pays semi-annually) | 9/5/27 | 808,815 | |||||||||||
LCH.Clearnet | USD | 122,717 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.18% (pays semi-annually) | 9/19/27 | 7,022,954 | |||||||||||
LCH.Clearnet | USD | 2,300 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.33% (pays semi-annually) | 11/6/27 | 105,996 | |||||||||||
LCH.Clearnet | USD | 705 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.28% (pays semi-annually) | 11/9/27 | 34,910 | |||||||||||
LCH.Clearnet | USD | 1,900 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.38% (pays semi-annually) | 11/14/27 | 79,634 | |||||||||||
LCH.Clearnet | USD | 14,740 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.32% (pays semi-annually) | 11/17/27 | 704,879 | |||||||||||
LCH.Clearnet | USD | 3,500 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.35% (pays semi-annually) | 11/21/27 | 158,823 | |||||||||||
LCH.Clearnet | USD | 4,525 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.36% (pays semi-annually) | 11/24/27 | 200,281 |
54 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Appreciation | ||||||||||||
LCH.Clearnet | USD | 2,600 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.34% (pays semi-annually) | 12/18/27 | $ | 121,709 | ||||||||||
LCH.Clearnet | USD | 4,155 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.47% (pays semi-annually) | 1/9/28 | 150,953 | |||||||||||
LCH.Clearnet | USD | 23,800 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.68% (pays semi-annually) | 1/30/28 | 448,468 | |||||||||||
LCH.Clearnet | USD | 1,010 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.72% (pays semi-annually) | 1/31/28 | 15,059 | |||||||||||
LCH.Clearnet | USD | 17,888 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.74% (pays semi-annually) | 2/1/28 | 325,910 | |||||||||||
LCH.Clearnet | USD | 603 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.84% (pays semi-annually) | 2/9/28 | 5,458 | |||||||||||
LCH.Clearnet | USD | 14,655 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.89% (pays semi-annually) | 3/15/28 | 94,709 | |||||||||||
LCH.Clearnet | USD | 3,573 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.89% (pays semi-annually) | 3/21/28 | 25,671 | |||||||||||
LCH.Clearnet | USD | 1,400 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.82% (pays semi-annually) | 4/12/28 | 18,190 | |||||||||||
LCH.Clearnet | USD | 1,700 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.80% (pays semi-annually) | 4/13/28 | 26,142 | |||||||||||
LCH.Clearnet | USD | 1,566 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.89% (pays semi-annually) | 4/18/28 | 11,610 | |||||||||||
LCH.Clearnet | USD | 8,869 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.92% (pays semi-annually) | 4/16/48 | 157,209 | |||||||||||
LCH.Clearnet | USD | 8,570 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.91% (pays semi-annually) | 4/17/48 | 173,200 | |||||||||||
$ | (22,758,082 | ) |
(1) | Effective date, which represents the date on which the Portfolio and the counterparty to the interest rate swap begin interest payment accrual, is after April 30, 2018. |
(2) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Interest Rate Swaps | ||||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Appreciation | ||||||||||||||
Bank of America, N.A. | INR | 1,289,700 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.12% (pays semi-annually) | 6/14/22 | $ | (436,726 | ) | |||||||||||
Bank of America, N.A. | INR | 530,900 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.09% (pays semi-annually) | 6/15/22 | (189,797 | ) | ||||||||||||
Bank of America, N.A. | INR | 1,553,100 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.15% (pays semi-annually) | 6/29/22 | (529,081 | ) |
55 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Interest Rate Swaps (continued) | ||||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Appreciation | ||||||||||||||
Bank of America, N.A. | INR | 3,828,300 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.21% (pays semi-annually) | 7/10/22 | $ | (1,166,801 | ) | |||||||||||
Bank of America, N.A. | INR | 3,000,000 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.24% (pays semi-annually) | 10/25/22 | (924,303 | ) | ||||||||||||
Bank of America, N.A. | INR | 3,466,000 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.33% (pays semi-annually) | 11/9/22 | (916,309 | ) | ||||||||||||
Bank of America, N.A. | INR | 2,165,500 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.69% (pays semi-annually) | 12/22/22 | (111,378 | ) | ||||||||||||
Bank of America, N.A. | INR | 1,804,600 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.61% (pays semi-annually) | 1/9/23 | (194,135 | ) | ||||||||||||
Bank of America, N.A. | KRW | 21,726,010 | Pays | 3-month Certificate of Deposit Rate (KWCDC) (pays quarterly) | 2.29% (pays quarterly) | 6/20/28 | (178,127 | ) | ||||||||||||
Bank of America, N.A. | SAR | 45,600 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 3.37% (pays annually) | 4/11/26 | 278,049 | |||||||||||||
Bank of America, N.A. | SAR | 33,371 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 3.43% (pays annually) | 5/10/26 | (83,879 | ) | ||||||||||||
Bank of America, N.A. | SAR | 33,434 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 3.57% (pays annually) | 5/23/26 | (176,691 | ) | ||||||||||||
BNP Paribas | INR | 1,100,000 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.10% (pays semi-annually) | 6/23/22 | (404,382 | ) | ||||||||||||
Citibank, N.A. | INR | 830,800 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.14% (pays semi-annually) | 6/29/22 | (290,371 | ) | ||||||||||||
Citibank, N.A. | INR | 1,683,600 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.12% (pays semi-annually) | 6/29/22 | (603,323 | ) | ||||||||||||
Citibank, N.A. | INR | 3,572,200 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.18% (pays semi-annually) | 6/30/22 | (1,148,568 | ) | ||||||||||||
Citibank, N.A. | KRW | 43,762,000 | Pays | 3-month Certificate of Deposit Rate (KWCDC) (pays quarterly) | 2.22% (pays quarterly) | 6/20/23 | (103,285 | ) | ||||||||||||
Deutsche Bank AG | INR | 927,100 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.10% (pays semi-annually) | 8/21/22 | (356,574 | ) | ||||||||||||
Deutsche Bank AG | INR | 1,834,400 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.69% (pays semi-annually) | 12/22/22 | (97,310 | ) |
56 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Interest Rate Swaps (continued) | ||||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Appreciation | ||||||||||||||
Deutsche Bank AG | INR | 2,140,200 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.70% (pays semi-annually) | 12/27/22 | $ | (89,651 | ) | |||||||||||
Deutsche Bank AG | KRW | 42,483,900 | Pays | 3-month Certificate of Deposit Rate (KWCDC) (pays quarterly) | 2.20% (pays quarterly) | 6/20/23 | (124,343 | ) | ||||||||||||
Deutsche Bank AG | KRW | 26,257,000 | Pays | 3-month Certificate of Deposit Rate (KWCDC) (pays quarterly) | 2.28% (pays quarterly) | 6/20/28 | (232,423 | ) | ||||||||||||
Deutsche Bank AG | KRW | 26,554,500 | Pays | 3-month Certificate of Deposit Rate (KWCDC) (pays quarterly) | 2.27% (pays quarterly) | 6/20/28 | (252,398 | ) | ||||||||||||
Deutsche Bank AG | SAR | 100,650 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 3.03% (pays annually) | 8/2/20 | (496,459 | ) | ||||||||||||
Deutsche Bank AG | SAR | 183,300 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 3.09% (pays annually) | 11/12/20 | (540,412 | ) | ||||||||||||
Deutsche Bank AG | SAR | 78,019 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 2.64% (pays annually) | 2/25/21 | 237,723 | |||||||||||||
Deutsche Bank AG | SAR | 65,016 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 2.76% (pays annually) | 3/7/21 | 144,386 | |||||||||||||
Goldman Sachs International | CLP | 25,906,860 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.56% (pays semi-annually) | 10/4/22 | (102,921 | ) | ||||||||||||
Goldman Sachs International | CLP | 25,166,660 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.57% (pays semi-annually) | 10/5/22 | (115,115 | ) | ||||||||||||
Goldman Sachs International | CLP | 12,583,330 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.57% (pays semi-annually) | 10/6/22 | (56,508 | ) | ||||||||||||
Goldman Sachs International | CLP | 25,166,660 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.59% (pays semi-annually) | 10/10/22 | (138,962 | ) | ||||||||||||
Goldman Sachs International | CLP | 19,818,480 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.50% (pays semi-annually) | 10/26/22 | 40,528 | |||||||||||||
Goldman Sachs International | CLP | 7,644,268 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.54% (pays semi-annually) | 10/30/22 | (2,667 | ) | ||||||||||||
Goldman Sachs International | CLP | 38,504,460 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.57% (pays semi-annually) | 12/4/22 | (353,533 | ) | ||||||||||||
Goldman Sachs International | CLP | 7,927,400 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.56% (pays semi-annually) | 12/5/22 | (66,008 | ) |
57 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Interest Rate Swaps (continued) | ||||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Appreciation | ||||||||||||||
Goldman Sachs International | CLP | 8,506,025 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.60% (pays semi-annually) | 1/4/23 | $ | (74,529 | ) | |||||||||||
Goldman Sachs International | INR | 914,286 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.10% (pays semi-annually) | 6/15/22 | (322,802 | ) | ||||||||||||
Goldman Sachs International | INR | 207,000 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.12% (pays semi-annually) | 6/19/22 | (71,444 | ) | ||||||||||||
Goldman Sachs International | INR | 1,559,500 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.16% (pays semi-annually) | 6/29/22 | (526,663 | ) | ||||||||||||
Goldman Sachs International | INR | 1,504,100 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.23% (pays semi-annually) | 7/7/22 | (446,864 | ) | ||||||||||||
Goldman Sachs International | INR | 3,750,000 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.24% (pays semi-annually) | 10/25/22 | (1,166,174 | ) | ||||||||||||
Goldman Sachs International | INR | 3,750,000 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.33% (pays semi-annually) | 11/9/22 | (991,390 | ) | ||||||||||||
Goldman Sachs International | INR | 1,426,800 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.76% (pays semi-annually) | 1/4/23 | (15,708 | ) | ||||||||||||
Goldman Sachs International | KRW | 33,758,000 | Pays | 3-month Certificate of Deposit Rate (KWCDC) (pays quarterly) | 2.21% (pays quarterly) | 6/20/23 | (82,734 | ) | ||||||||||||
Goldman Sachs International | KRW | 18,754,500 | Pays | 3-month Certificate of Deposit Rate (KWCDC) (pays quarterly) | 2.28% (pays quarterly) | 6/20/28 | (161,930 | ) | ||||||||||||
Goldman Sachs International | KRW | 18,967,400 | Pays | 3-month Certificate of Deposit Rate (KWCDC) (pays quarterly) | 2.27% (pays quarterly) | 6/20/28 | (176,155 | ) | ||||||||||||
Goldman Sachs International | SAR | 61,080 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 2.16% (pays annually) | 8/3/20 | 111,840 | |||||||||||||
Goldman Sachs International | SAR | 60,729 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 2.35% (pays annually) | 8/12/20 | 28,463 | |||||||||||||
Goldman Sachs International | SAR | 71,420 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 2.40% (pays annually) | 8/17/20 | 7,188 | |||||||||||||
Goldman Sachs International | SAR | 75,641 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 2.40% (pays annually) | 8/17/20 | 10,573 |
58 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Interest Rate Swaps (continued) | ||||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Appreciation | ||||||||||||||
Goldman Sachs International | SAR | 74,938 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 2.46% (pays annually) | 8/19/20 | $ | (22,859 | ) | |||||||||||
Goldman Sachs International | SAR | 53,447 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 3.41% (pays annually) | 8/22/20 | (412,967 | ) | ||||||||||||
Goldman Sachs International | SAR | 104,620 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 3.41% (pays annually) | 8/22/20 | (808,363 | ) | ||||||||||||
Goldman Sachs International | SAR | 126,102 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 2.26% (pays annually) | 9/17/20 | 207,050 | |||||||||||||
Goldman Sachs International | SAR | 126,102 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 2.34% (pays annually) | 9/21/20 | 142,857 | |||||||||||||
Goldman Sachs International | SAR | 74,490 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 2.56% (pays annually) | 11/5/20 | 82,113 | |||||||||||||
Goldman Sachs International | SAR | 32,508 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 2.65% (pays annually) | 2/23/21 | 96,791 | |||||||||||||
Goldman Sachs International | SAR | 43,163 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 2.64% (pays annually) | 7/27/22 | 73,038 | |||||||||||||
Goldman Sachs International | SAR | 43,698 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 2.61% (pays annually) | 7/30/22 | 93,611 | |||||||||||||
Goldman Sachs International | SAR | 72,091 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 3.46% (pays annually) | 5/9/26 | (233,630 | ) | ||||||||||||
Goldman Sachs International | SAR | 44,404 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 3.47% (pays annually) | 5/18/26 | (147,579 | ) | ||||||||||||
Goldman Sachs International | SAR | 79,780 | Receives | 3-month Saudi Riyal Interbank Offered Rate (pays quarterly) | 3.71% (pays annually) | 6/6/26 | (641,258 | ) | ||||||||||||
JPMorgan Chase Bank, N.A. | INR | 54,622 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.16% (pays semi-annually) | 6/21/22 | (17,620 | ) | ||||||||||||
JPMorgan Chase Bank, N.A. | INR | 940,000 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.22% (pays semi-annually) | 7/6/22 | (284,101 | ) | ||||||||||||
JPMorgan Chase Bank, N.A. | INR | 2,140,000 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.69% (pays semi-annually) | 12/27/22 | (110,361 | ) | ||||||||||||
JPMorgan Chase Bank, N.A. | KRW | 34,383,000 | Pays | 3-month Certificate of Deposit Rate (KWCDC) (pays quarterly) | 2.22% (pays quarterly) | 6/20/23 | (81,149 | ) |
59 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Interest Rate Swaps (continued) | ||||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Appreciation | ||||||||||||||
JPMorgan Chase Bank, N.A. | KRW | 26,256,000 | Pays | 3-month Certificate of Deposit Rate (KWCDC) (pays quarterly) | 2.28% (pays quarterly) | 6/20/28 | $ | (232,414 | ) | |||||||||||
JPMorgan Chase Bank, N.A. | NZD | 11,000 | Pays | 3-month NZD Bank Bill (pays quarterly) | 3.86% (pays semi-annually) | 2/25/23 | 431,533 | |||||||||||||
JPMorgan Chase Bank, N.A. | NZD | 5,490 | Pays | 3-month NZD Bank Bill (pays quarterly) | 4.06% (pays semi-annually) | 6/4/23 | 295,177 | |||||||||||||
Morgan Stanley & Co. International PLC | INR | 1,606,600 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.22% (pays semi-annually) | 7/11/22 | (483,075 | ) | ||||||||||||
Nomura International PLC | INR | 2,300,000 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.12% (pays semi-annually) | 6/27/22 | (800,383 | ) | ||||||||||||
Standard Chartered Bank | INR | 162,100 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.13% (pays semi-annually) | 6/19/22 | (54,990 | ) | ||||||||||||
Standard Chartered Bank | INR | 600,900 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.10% (pays semi-annually) | 8/21/22 | (227,846 | ) | ||||||||||||
Standard Chartered Bank | INR | 1,831,000 | Pays | 1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually) | 6.68% (pays semi-annually) | 12/26/22 | (61,378 | ) | ||||||||||||
Standard Chartered Bank | KRW | 10,736,000 | Pays | 3-month Certificate of Deposit Rate (KWCDC) (pays quarterly) | 2.28% (pays quarterly) | 6/20/28 | (97,371 | ) | ||||||||||||
$ | (16,955,257 | ) |
Centrally Cleared Credit Default Swaps — Sell Protection | ||||||||||||||||||||||||||
Reference Entity | Counterparty | Notional Amount* (000’s omitted) | Contract Annual Fixed Rate** | Termination Date | Current Market Annual Fixed Rate*** | Market Value | Unamortized Upfront Payments | Net Unrealized Appreciation | ||||||||||||||||||
Turkey | ICE Clear Credit | $ | 9,840 | 1.00% (pays quarterly)(1) | 6/20/20 | 1.07 | % | $ | (2,286 | ) | $ | 262,962 | $ | 260,676 | ||||||||||||
Total | $ | 9,840 | $ | (2,286 | ) | $ | 262,962 | $ | 260,676 |
60 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Centrally Cleared Credit Default Swaps — Buy Protection | ||||||||||||||||||||||||
Reference Entity | Counterparty | Notional Amount† (000’s omitted) | Contract Annual Fixed Rate** | Termination Date | Market Value | Unamortized Upfront Payments | Net Unrealized Appreciation | |||||||||||||||||
Chile | ICE Clear Credit | 12,407 | 1.00% (pays quarterly)(1) | 6/20/23 | $ | (303,846 | ) | $ | 283,670 | $ | (20,176 | ) | ||||||||||||
Chile | ICE Clear Credit | 39,016 | 1.00% (pays quarterly)(1) | 6/20/23 | (955,489 | ) | 907,046 | (48,443 | ) | |||||||||||||||
Chile | ICE Clear Credit | 39,017 | 1.00% (pays quarterly)(1) | 6/20/23 | (955,513 | ) | 866,025 | (89,488 | ) | |||||||||||||||
Colombia | ICE Clear Credit | 35,907 | 1.00% (pays quarterly)(1) | 6/20/23 | 61,736 | (161,812 | ) | (100,076 | ) | |||||||||||||||
Colombia | ICE Clear Credit | 67,323 | 1.00% (pays quarterly)(1) | 6/20/23 | 115,751 | (251,897 | ) | (136,146 | ) | |||||||||||||||
France | ICE Clear Credit | 27,737 | 0.25% (pays quarterly)(1) | 12/20/24 | (17,548 | ) | (33,544 | ) | (51,092 | ) | ||||||||||||||
France | ICE Clear Credit | 248,753 | 0.25% (pays quarterly)(1) | 6/20/28 | 2,552,418 | (3,144,900 | ) | (592,482 | ) | |||||||||||||||
Malaysia | ICE Clear Credit | 625,000 | 1.00% (pays quarterly)(1) | 6/20/23 | (8,971,299 | ) | 7,743,852 | (1,227,447 | ) | |||||||||||||||
Markit CDX Emerging Markets Index (CDX.EM.29.V1) | ICE Clear Credit | 1,000 | 1.00% (pays quarterly)(1) | 6/20/23 | 18,304 | (20,300 | ) | (1,996 | ) | |||||||||||||||
Markit iTraxx Europe Senior Financials Index (ITRAXX.FINSR.28.V1) | ICE Clear Credit | EUR | 176,060 | 1.00% (pays quarterly)(1) | 12/20/22 | (5,339,404 | ) | 4,115,758 | (1,223,646 | ) | ||||||||||||||
Mexico | ICE Clear Credit | 42,732 | 1.00% (pays quarterly)(1) | 6/20/23 | 227,049 | (403,627 | ) | (176,578 | ) | |||||||||||||||
Mexico | ICE Clear Credit | 158,268 | 1.00% (pays quarterly)(1) | 6/20/23 | 840,931 | (1,518,324 | ) | (677,393 | ) | |||||||||||||||
Qatar | ICE Clear Credit | 153,164 | 1.00% (pays quarterly)(1) | 12/20/22 | (1,483,676 | ) | (53,423 | ) | (1,537,099 | ) | ||||||||||||||
Qatar | ICE Clear Credit | 27,925 | 1.00% (pays quarterly)(1) | 6/20/23 | (183,458 | ) | 160,767 | (22,691 | ) | |||||||||||||||
Qatar | ICE Clear Credit | 61,323 | 1.00% (pays quarterly)(1) | 6/20/23 | (401,795 | ) | 254,239 | (147,556 | ) | |||||||||||||||
Qatar | ICE Clear Credit | 23,815 | 1.00% (pays quarterly)(1) | 12/20/27 | 778,473 | (1,020,617 | ) | (242,144 | ) | |||||||||||||||
Qatar | ICE Clear Credit | 23,816 | 1.00% (pays quarterly)(1) | 12/20/27 | 778,505 | (1,020,783 | ) | (242,278 | ) | |||||||||||||||
Qatar | ICE Clear Credit | 57,454 | 1.00% (pays quarterly)(1) | 12/20/27 | 1,879,295 | (2,320,543 | ) | (441,248 | ) | |||||||||||||||
Russia | ICE Clear Credit | 77,087 | 1.00% (pays quarterly)(1) | 6/20/23 | 1,053,609 | (692,343 | ) | 361,266 | ||||||||||||||||
Russia | ICE Clear Credit | 102,786 | 1.00% (pays quarterly)(1) | 6/20/23 | 1,403,988 | (1,116,766 | ) | 287,222 | ||||||||||||||||
Russia | ICE Clear Credit | 102,785 | 1.00% (pays quarterly)(1) | 6/20/23 | 1,403,975 | (1,158,214 | ) | 245,761 | ||||||||||||||||
Russia | ICE Clear Credit | 64,241 | 1.00% (pays quarterly)(1) | 6/20/23 | 878,141 | (723,398 | ) | 154,743 | ||||||||||||||||
Russia | ICE Clear Credit | 21,302 | 1.00% (pays quarterly)(1) | 6/20/23 | 290,971 | (178,723 | ) | 112,248 |
61 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Centrally Cleared Credit Default Swaps — Buy Protection (continued) | ||||||||||||||||||||||||||||
Reference Entity | Counterparty | Notional Amount† (000’s omitted) | Contract Annual Fixed Rate** | Termination Date | Market Value | Unamortized Upfront Payments | Net Unrealized Appreciation | |||||||||||||||||||||
Russia | ICE Clear Credit | 51,392 | 1.00% (pays quarterly)(1) | 6/20/23 | $ | 701,980 | $ | (596,919 | ) | $ | 105,061 | |||||||||||||||||
Russia | ICE Clear Credit | 34,902 | 1.00% (pays quarterly)(1) | 6/20/23 | 476,738 | (412,816 | ) | 63,922 | ||||||||||||||||||||
South Africa | ICE Clear Credit | 76,950 | 1.00% (pays quarterly)(1) | 6/20/21 | (141,331 | ) | (4,712,349 | ) | (4,853,680 | ) | ||||||||||||||||||
South Africa | ICE Clear Credit | 49,000 | 1.00% (pays quarterly)(1) | 12/20/27 | 5,217,781 | (5,243,929 | ) | (26,148 | ) | |||||||||||||||||||
South Africa | ICE Clear Credit | 10,300 | 1.00% (pays quarterly)(1) | 12/20/27 | 1,096,799 | (1,404,716 | ) | (307,917 | ) | |||||||||||||||||||
South Africa | ICE Clear Credit | 17,000 | 1.00% (pays quarterly)(1) | 12/20/27 | 1,810,251 | (2,323,023 | ) | (512,772 | ) | |||||||||||||||||||
South Africa | ICE Clear Credit | 18,100 | 1.00% (pays quarterly)(1) | 12/20/27 | 1,927,385 | (2,580,599 | ) | (653,214 | ) | |||||||||||||||||||
South Africa | ICE Clear Credit | 23,500 | 1.00% (pays quarterly)(1) | 12/20/27 | 2,502,405 | (3,275,746 | ) | (773,341 | ) | |||||||||||||||||||
Total | $ | 7,263,126 | $ | (20,037,954 | ) | $(12,774,828) |
† | Notional amount is stated in USD unless otherwise noted. |
Credit Default Swaps — Sell Protection | ||||||||||||||||||||||||||
Reference Entity | Counterparty | Notional Amount* (000’s omitted) | Contract Annual Fixed Rate** | Termination Date | Current Market Annual Fixed Rate*** | Market Value | Unamortized Upfront Payments Received | Net Unrealized Appreciation | ||||||||||||||||||
Argentina | Goldman Sachs International | $ | 47,240 | 5.00% (pays quarterly)(1) | 6/20/23 | 2.91 | % | $ | 4,733,533 | $ | (4,886,338 | ) | $ | (152,805 | ) | |||||||||||
Argentina | Goldman Sachs International | 47,240 | 5.00% (pays quarterly)(1) | 6/20/23 | 2.91 | 4,733,533 | (5,054,230 | ) | (320,697 | ) | ||||||||||||||||
Cyprus | Goldman Sachs International | 3,268 | 1.00% (pays quarterly)(1) | 6/20/21 | 1.04 | (125 | ) | 162,317 | 162,192 | |||||||||||||||||
Cyprus | Goldman Sachs International | 5,000 | 1.00% (pays quarterly)(1) | 12/20/21 | 1.13 | (16,467 | ) | 197,395 | 180,928 | |||||||||||||||||
Turkey | BNP Paribas | 11,545 | 1.00% (pays quarterly)(1) | 6/20/20 | 1.07 | (2,682 | ) | 319,357 | 316,675 | |||||||||||||||||
Turkey | BNP Paribas | 13,400 | 1.00% (pays quarterly)(1) | 9/20/20 | 1.15 | (32,218 | ) | 494,707 | 462,489 | |||||||||||||||||
Turkey | BNP Paribas | 9,935 | 1.00% (pays quarterly)(1) | 12/20/20 | 1.22 | (44,939 | ) | 295,131 | 250,192 | |||||||||||||||||
Turkey | BNP Paribas | 19,643 | 1.00% (pays quarterly)(1) | 6/20/23 | 1.96 | (842,927 | ) | 846,692 | 3,765 | |||||||||||||||||
Turkey | BNP Paribas | 28,837 | 1.00% (pays quarterly)(1) | 12/20/26 | 2.62 | (3,198,151 | ) | 4,164,871 | 966,720 | |||||||||||||||||
Turkey | BNP Paribas | 27,684 | 1.00% (pays quarterly)(1) | 12/20/26 | 2.62 | (3,070,225 | ) | 3,998,276 | 928,051 |
62 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Credit Default Swaps — Sell Protection (continued) | ||||||||||||||||||||||||||||
Reference Entity | Counterparty | Notional Amount* (000’s omitted) | Contract Annual Fixed Rate** | Termination Date | Current Market Annual Fixed Rate*** | Market Value | Unamortized Upfront Payments Received | Net Unrealized Appreciation | ||||||||||||||||||||
Turkey | Citibank, N.A. | $ | 43,500 | 1.00% (pays quarterly)(1) | 6/20/23 | 1.96 | % | $ | (1,866,687 | ) | $ | 1,894,122 | $ | 27,435 | ||||||||||||||
Turkey | | Goldman Sachs International | | 14,470 | 1.00% (pays quarterly)(1) | 6/20/20 | 1.07 | (3,362 | ) | 329,647 | 326,285 | |||||||||||||||||
Turkey | | Goldman Sachs International | | 11,535 | 1.00% (pays quarterly)(1) | 12/20/26 | 2.62 | (1,279,261 | ) | 1,675,908 | 396,647 | |||||||||||||||||
Turkey | | Goldman Sachs International | | 32,257 | 1.00% (pays quarterly)(1) | 12/20/27 | 2.73 | (4,127,100 | ) | 4,493,301 | 366,201 | |||||||||||||||||
Turkey | | JPMorgan Chase Bank, N.A. | | 12,290 | 1.00% (pays quarterly)(1) | 6/20/20 | 1.07 | (2,856 | ) | 330,797 | 327,941 | |||||||||||||||||
Turkey | | Nomura International PLC | | 8,100 | 1.00% (pays quarterly)(1) | 6/20/20 | 1.07 | (1,882 | ) | 193,731 | 191,849 | |||||||||||||||||
Total | $ | 335,944 | $ | (5,021,816 | ) | $ | 9,455,684 | $ | 4,433,868 |
Credit Default Swaps — Buy Protection | ||||||||||||||||||||||
Reference Entity | Counterparty | Notional Amount (000’s omitted) | Contract Annual | Termination Date | Market Value | Unamortized Upfront Payments Received (Paid) | Net Unrealized Appreciation | |||||||||||||||
Bulgaria | BNP Paribas | $ | 2,009 | 1.00% (pays quarterly)(1) | 6/20/18 | $ | (4,960 | ) | $ | (316 | ) | $ | (5,276 | ) | ||||||||
Bulgaria | BNP Paribas | 3,100 | 1.00% (pays quarterly)(1) | 9/20/18 | (14,876 | ) | (2,285 | ) | (17,161 | ) | ||||||||||||
Bulgaria | BNP Paribas | 2,160 | 1.00% (pays quarterly)(1) | 12/20/18 | (15,312 | ) | (2,865 | ) | (18,177 | ) | ||||||||||||
Colombia | Goldman Sachs International | 60,800 | 1.00% (pays quarterly)(1) | 6/20/28 | 4,116,119 | (4,143,955 | ) | (27,836 | ) | |||||||||||||
Croatia | BNP Paribas | 3,960 | 1.00% (pays quarterly)(1) | 6/20/18 | (9,368 | ) | (8,627 | ) | (17,995 | ) | ||||||||||||
Croatia | BNP Paribas | 915 | 1.00% (pays quarterly)(1) | 3/20/20 | (13,624 | ) | (28,518 | ) | (42,142 | ) | ||||||||||||
Croatia | Citibank, N.A. | 930 | 1.00% (pays quarterly)(1) | 6/20/18 | (2,200 | ) | (2,061 | ) | (4,261 | ) | ||||||||||||
Croatia | Citibank, N.A. | 1,270 | 1.00% (pays quarterly)(1) | 6/20/18 | (3,004 | ) | (3,277 | ) | (6,281 | ) | ||||||||||||
Croatia | Citibank, N.A. | 5,580 | 1.00% (pays quarterly)(1) | 6/20/18 | (13,200 | ) | (14,217 | ) | (27,417 | ) | ||||||||||||
Croatia | Citibank, N.A. | 400 | 1.00% (pays quarterly)(1) | 3/20/20 | (5,956 | ) | (11,325 | ) | (17,281 | ) | ||||||||||||
Croatia | Citibank, N.A. | 156 | 1.00% (pays quarterly)(1) | 6/20/20 | (2,542 | ) | (4,804 | ) | (7,346 | ) |
63 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Credit Default Swaps — Buy Protection (continued) | ||||||||||||||||||||||
Reference Entity | Counterparty | Notional Amount (000’s omitted) | Contract Annual | Termination Date | Market Value | Unamortized Upfront Payments Received (Paid) | Net Unrealized Appreciation | |||||||||||||||
Croatia | Citibank, N.A. | $ | 1,210 | 1.00% (pays quarterly)(1) | 6/20/20 | $ | (19,747 | ) | $ | (38,223 | ) | $ | (57,970 | ) | ||||||||
Croatia | Goldman Sachs International | 3,000 | 1.00% (pays quarterly)(1) | 3/20/19 | (25,703 | ) | (38,372 | ) | (64,075 | ) | ||||||||||||
Croatia | Goldman Sachs International | 2,670 | 1.00% (pays quarterly)(1) | 3/20/20 | (39,755 | ) | (74,635 | ) | (114,390 | ) | ||||||||||||
Croatia | Goldman Sachs International | 4,150 | 1.00% (pays quarterly)(1) | 3/20/20 | (61,792 | ) | (116,123 | ) | (177,915 | ) | ||||||||||||
Croatia | Goldman Sachs International | 2,100 | 1.00% (pays quarterly)(1) | 6/20/20 | (34,271 | ) | (66,559 | ) | (100,830 | ) | ||||||||||||
Croatia | JPMorgan Chase Bank, N.A. | 1,533 | 1.00% (pays quarterly)(1) | 6/20/18 | (3,627 | ) | (3,959 | ) | (7,586 | ) | ||||||||||||
Croatia | Morgan Stanley & Co. International PLC | 1,163 | 1.00% (pays quarterly)(1) | 6/20/18 | (2,751 | ) | (3,135 | ) | (5,886 | ) | ||||||||||||
Croatia | Morgan Stanley & Co. International PLC | 2,500 | 1.00% (pays quarterly)(1) | 6/20/18 | (5,914 | ) | (6,171 | ) | (12,085 | ) | ||||||||||||
Croatia | Morgan Stanley & Co. International PLC | 2,745 | 1.00% (pays quarterly)(1) | 6/20/18 | (6,494 | ) | (7,574 | ) | (14,068 | ) | ||||||||||||
Lebanon | Bank of America, N.A. | 3,100 | 1.00% (pays quarterly)(1) | 6/20/22 | 430,253 | (370,356 | ) | 59,897 | ||||||||||||||
Lebanon | Bank of America, N.A. | 4,190 | 1.00% (pays quarterly)(1) | 12/20/22 | 644,356 | (572,110 | ) | 72,246 | ||||||||||||||
Lebanon | Barclays Bank PLC | 5,300 | 1.00% (pays quarterly)(1) | 12/20/22 | 815,057 | (714,018 | ) | 101,039 | ||||||||||||||
Lebanon | Barclays Bank PLC | 5,000 | 1.00% (pays quarterly)(1) | 12/20/27 | 1,284,027 | (1,375,224 | ) | (91,197 | ) | |||||||||||||
Lebanon | Goldman Sachs International | 3,722 | 5.00% (pays quarterly)(1) | 12/20/18 | (30,723 | ) | 26,815 | (3,908 | ) | |||||||||||||
Lebanon | Goldman Sachs International | 3,450 | 5.00% (pays quarterly)(1) | 12/20/18 | (28,478 | ) | 22,989 | (5,489 | ) | |||||||||||||
Malaysia | BNP Paribas | 18,690 | 1.00% (pays quarterly)(1) | 6/20/23 | (268,681 | ) | 237,211 | (31,470 | ) | |||||||||||||
Oman | Bank of America, N.A. | 17,964 | 1.00% (pays quarterly)(1) | 6/20/22 | 466,783 | (742,581 | ) | (275,798 | ) | |||||||||||||
Oman | Bank of America, N.A. | 14,372 | 1.00% (pays quarterly)(1) | 12/20/22 | 547,894 | (718,411 | ) | (170,517 | ) | |||||||||||||
Poland | Bank of America, N.A. | 5,200 | 1.00% (pays quarterly)(1) | 9/20/19 | (70,750 | ) | 24,240 | (46,510 | ) | |||||||||||||
Poland | Barclays Bank PLC | 6,320 | 1.00% (pays quarterly)(1) | 9/20/18 | (30,580 | ) | 11,780 | (18,800 | ) | |||||||||||||
Poland | Barclays Bank PLC | 3,164 | 1.00% (pays quarterly)(1) | 9/20/19 | (43,048 | ) | 15,601 | (27,447 | ) | |||||||||||||
Qatar | Bank of America, N.A. | 540 | 1.00% (pays quarterly)(1) | 6/20/19 | (5,088 | ) | 3,092 | (1,996 | ) | |||||||||||||
Qatar | Bank of America, N.A. | 540 | 1.00% (pays quarterly)(1) | 6/20/19 | (5,088 | ) | 2,913 | (2,175 | ) | |||||||||||||
Qatar | Barclays Bank PLC | 9,791 | 1.00% (pays quarterly)(1) | 12/20/18 | (59,487 | ) | 20,485 | (39,002 | ) |
64 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Credit Default Swaps — Buy Protection (continued) | ||||||||||||||||||||||
Reference Entity | Counterparty | Notional Amount (000’s omitted) | Contract Annual | Termination Date | Market Value | Unamortized Upfront Payments Received (Paid) | Net Unrealized Appreciation | |||||||||||||||
Qatar | Barclays Bank PLC | $ | 1,200 | 1.00% (pays quarterly)(1) | 3/20/19 | $ | (9,285 | ) | $ | 3,277 | $ | (6,008 | ) | |||||||||
Qatar | Barclays Bank PLC | 3,600 | 1.00% (pays quarterly)(1) | 9/20/23 | (15,569 | ) | 9,377 | (6,192 | ) | |||||||||||||
Qatar | Barclays Bank PLC | 7,680 | 1.00% (pays quarterly)(1) | 9/20/23 | (33,213 | ) | 3,570 | (29,643 | ) | |||||||||||||
Qatar | BNP Paribas | 539 | 1.00% (pays quarterly)(1) | 6/20/19 | (5,079 | ) | 2,182 | (2,897 | ) | |||||||||||||
Qatar | Citibank, N.A. | 2,020 | 1.00% (pays quarterly)(1) | 6/20/19 | (19,034 | ) | 10,702 | (8,332 | ) | |||||||||||||
Qatar | Deutsche Bank AG | 539 | 1.00% (pays quarterly)(1) | 6/20/19 | (5,079 | ) | 2,056 | (3,023 | ) | |||||||||||||
Qatar | Deutsche Bank AG | 1,740 | 1.00% (pays quarterly)(1) | 6/20/19 | (16,395 | ) | 6,638 | (9,757 | ) | |||||||||||||
Qatar | Goldman Sachs International | 1,660 | 1.00% (pays quarterly)(1) | 3/20/19 | (12,845 | ) | 5,249 | (7,596 | ) | |||||||||||||
Qatar | Goldman Sachs International | 3,330 | 1.00% (pays quarterly)(1) | 3/20/19 | (25,766 | ) | 8,864 | (16,902 | ) | |||||||||||||
Qatar | Goldman Sachs International | 1,360 | 1.00% (pays quarterly)(1) | 12/20/20 | (20,153 | ) | (16,960 | ) | (37,113 | ) | ||||||||||||
Qatar | Goldman Sachs International | 7,960 | 1.00% (pays quarterly)(1) | 12/20/20 | (117,957 | ) | (67,530 | ) | (185,487 | ) | ||||||||||||
Qatar | Goldman Sachs International | 2,100 | 1.00% (pays quarterly)(1) | 12/20/23 | (4,489 | ) | (4,047 | ) | (8,536 | ) | ||||||||||||
Qatar | Goldman Sachs International | 1,730 | 1.00% (pays quarterly)(1) | 9/20/24 | 7,412 | 946 | 8,358 | |||||||||||||||
Qatar | JPMorgan Chase Bank, N.A. | 580 | 1.00% (pays quarterly)(1) | 3/20/19 | (4,488 | ) | 1,731 | (2,757 | ) | |||||||||||||
Qatar | JPMorgan Chase Bank, N.A. | 510 | 1.00% (pays quarterly)(1) | 6/20/19 | (4,806 | ) | 2,925 | (1,881 | ) | |||||||||||||
Qatar | JPMorgan Chase Bank, N.A. | 1,032 | 1.00% (pays quarterly)(1) | 6/20/19 | (9,724 | ) | 4,403 | (5,321 | ) | |||||||||||||
Qatar | JPMorgan Chase Bank, N.A. | 1,520 | 1.00% (pays quarterly)(1) | 6/20/19 | (14,323 | ) | 5,629 | (8,694 | ) | |||||||||||||
Qatar | Nomura International PLC | 620 | 1.00% (pays quarterly)(1) | 3/20/19 | (4,797 | ) | 1,692 | (3,105 | ) | |||||||||||||
Qatar | Nomura International PLC | 1,540 | 1.00% (pays quarterly)(1) | 3/20/19 | (11,916 | ) | 4,335 | (7,581 | ) | |||||||||||||
Qatar | Nomura International PLC | 5,380 | 1.00% (pays quarterly)(1) | 9/20/24 | 23,050 | 11,784 | 34,834 | |||||||||||||||
Qatar | UBS AG | 5,500 | 1.00% (pays quarterly)(1) | 12/20/23 | (11,757 | ) | (10,740 | ) | (22,497 | ) | ||||||||||||
South Africa | Bank of America, N.A. | 5,000 | 1.00% (pays quarterly)(1) | 9/20/22 | 71,717 | (164,422 | ) | (92,705 | ) | |||||||||||||
South Africa | Bank of America, N.A. | 7,500 | 1.00% (pays quarterly)(1) | 9/20/22 | 107,575 | (325,007 | ) | (217,432 | ) |
65 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Credit Default Swaps — Buy Protection (continued) | ||||||||||||||||||||||
Reference Entity | Counterparty | Notional Amount (000’s omitted) | Contract Annual | Termination Date | Market Value | Unamortized Upfront Payments Received (Paid) | Net Unrealized Appreciation | |||||||||||||||
South Africa | Bank of America, N.A. | $ | 14,640 | 1.00% (pays quarterly)(1) | 9/20/22 | $ | 209,986 | $ | (455,293 | ) | $ | (245,307 | ) | |||||||||
South Africa | Bank of America, N.A. | 26,320 | 1.00% (pays quarterly)(1) | 9/20/22 | 377,516 | (906,509 | ) | (528,993 | ) | |||||||||||||
South Africa | Barclays Bank PLC | 3,100 | 1.00% (pays quarterly)(1) | 9/20/22 | 44,464 | (115,342 | ) | (70,878 | ) | |||||||||||||
South Africa | BNP Paribas | 3,100 | 1.00% (pays quarterly)(1) | 9/20/22 | 44,464 | (118,508 | ) | (74,044 | ) | |||||||||||||
South Africa | BNP Paribas | 2,940 | 1.00% (pays quarterly)(1) | 12/20/25 | 213,942 | (376,566 | ) | (162,624 | ) | |||||||||||||
South Africa | BNP Paribas | 13,330 | 1.00% (pays quarterly)(1) | 12/20/25 | 970,015 | (1,897,133 | ) | (927,118 | ) | |||||||||||||
South Africa | BNP Paribas | 15,990 | 1.00% (pays quarterly)(1) | 12/20/25 | 1,163,582 | (2,277,021 | ) | (1,113,439 | ) | |||||||||||||
South Africa | BNP Paribas | 26,186 | 1.00% (pays quarterly)(1) | 12/20/25 | 1,905,538 | (3,568,426 | ) | (1,662,888 | ) | |||||||||||||
South Africa | Credit Suisse International | 3,700 | 1.00% (pays quarterly)(1) | 9/20/22 | 53,070 | (166,489 | ) | (113,419 | ) | |||||||||||||
South Africa | Deutsche Bank AG | 4,860 | 1.00% (pays quarterly)(1) | 9/20/22 | 69,709 | (210,208 | ) | (140,499 | ) | |||||||||||||
South Africa | Deutsche Bank AG | 5,700 | 1.00% (pays quarterly)(1) | 9/20/22 | 81,757 | (245,483 | ) | (163,726 | ) | |||||||||||||
South Africa | Goldman Sachs International | 3,070 | 1.00% (pays quarterly)(1) | 9/20/22 | 44,034 | (128,685 | ) | (84,651 | ) | |||||||||||||
South Africa | Goldman Sachs International | 15,000 | 1.00% (pays quarterly)(1) | 9/20/22 | 215,150 | (649,150 | ) | (434,000 | ) | |||||||||||||
South Africa | Goldman Sachs International | 2,647 | 1.00% (pays quarterly)(1) | 12/20/22 | 49,420 | (119,256 | ) | (69,836 | ) | |||||||||||||
South Africa | HSBC Bank USA, N.A. | 2,500 | 1.00% (pays quarterly)(1) | 12/20/22 | 46,676 | (108,163 | ) | (61,487 | ) | |||||||||||||
South Africa | HSBC Bank USA, N.A. | 7,120 | 1.00% (pays quarterly)(1) | 12/20/22 | 132,933 | (292,326 | ) | (159,393 | ) | |||||||||||||
South Africa | Nomura International PLC | 1,000 | 1.00% (pays quarterly)(1) | 9/20/22 | 14,343 | (34,024 | ) | (19,681 | ) | |||||||||||||
South Africa | Nomura International PLC | 7,571 | 1.00% (pays quarterly)(1) | 12/20/22 | 141,353 | (335,693 | ) | (194,340 | ) | |||||||||||||
Total | $ | 13,118,501 | $ | (21,212,196 | ) | $ | (8,093,695 | ) |
* | If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At April 30, 2018, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $345,784,000. |
** | The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract. |
*** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
66 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Total Return Swaps | ||||||||||||||||
Counterparty | Notional Amount (000’s omitted)† | Portfolio Receives | Portfolio Pays | Termination Date | Value/Net Appreciation | |||||||||||
Citibank, N.A. | 118,700 | Excess Return on Bloomberg Roll Select Commodity Index (pays upon termination) | Excess Return on Bloomberg Commodity Index + 0.19% (pays upon termination) | 5/15/18 | $ | (207,714 | ) | |||||||||
Citibank, N.A. | 237,400 | Excess Return on Bloomberg Commodity 1 Month Forward Index (pays upon termination) | Excess Return on Bloomberg Commodity Index + 0.17% (pays upon termination) | 5/15/18 | (482,127 | ) | ||||||||||
Citibank, N.A. | 118,700 | Excess Return on Bloomberg Commodity 3 Month Forward Index (pays upon termination) | Excess Return on Bloomberg Commodity Index + 0.20% (pays upon termination) | 5/15/18 | (157,907 | ) | ||||||||||
Citibank, N.A. | KRW | 68,750 | Positive Return on KOSPI 200 Index Futures 6/2018 (pays upon termination) | Negative Return on KOSPI 200 Index Futures 6/2018 (pays upon termination) | 6/14/18 | 767,653 | ||||||||||
Citibank, N.A. | KRW | 76,750 | Positive Return on KOSPI 200 Index Futures 6/2018 (pays upon termination) | Negative Return on KOSPI 200 Index Futures 6/2018 (pays upon termination) | 6/14/18 | 53,679 | ||||||||||
Citibank, N.A. | UAH | 77,974 | Total Return on Ukraine Treasury Bill, (pays upon termination) | 3-month USD-LIBOR-BBA + 150 bp on $2,697,550 (Notional Amount) (pays upon termination) plus Notional Amount at termination date | 7/27/18 | 165,930 | ||||||||||
Citibank, N.A. | UAH | 664,492 | Total Return on Ukraine Government Bond, (pays semi-annually) | 3-month USD-LIBOR-BBA + 150 bp on $24,617,277 (Notional Amount) (pays quarterly) plus Notional Amount at termination date | 10/12/18 | 450,544 | ||||||||||
Citibank, N.A. | LKR | 2,000,000 | Total Return on Sri Lanka Government Bond, (pays semi-annually) | 6-month USD-LIBOR-BBA + 115 bp on $14,370,953 (Notional Amount) (pays semi-annually) plus Notional Amount at termination date | 12/17/21 | (649,938 | ) | |||||||||
Citibank, N.A. | LKR | 1,200,000 | Total Return on Sri Lanka Government Bond, (pays semi-annually) | 6-month USD-LIBOR-BBA + 115 bp on $8,023,055 (Notional Amount) (pays semi-annually) plus Notional Amount at termination date | 12/17/21 | 212,819 | ||||||||||
Citibank, N.A. | LKR | 2,000,000 | Total Return on Sri Lanka Government Bond, (pays semi-annually) | 6-month USD-LIBOR-BBA + 115 bp on $13,781,238 (Notional Amount) (pays semi-annually) plus Notional Amount at termination date | 5/17/23 | 58,610 | ||||||||||
Citibank, N.A. | LKR | 1,000,000 | Total Return on Sri Lanka Government Bond, (pays semi-annually) | 6-month USD-LIBOR-BBA + 115 bp on $6,996,612 (Notional Amount) (pays semi-annually) plus Notional Amount at termination date | 5/17/23 | (65,629 | ) |
67 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Total Return Swaps (continued) | ||||||||||||||||
Counterparty | Notional Amount (000’s omitted)† | Portfolio Receives | Portfolio Pays | Termination Date | Value/Net Appreciation | |||||||||||
Goldman Sachs International | EGP | 181,950 | Total Return on Egypt Treasury Bill, (pays upon termination) | 3-month USD-LIBOR-BBA +55 bp on $9,412,749 (Notional Amount) (pays quarterly) plus Notional Amount at termination date | 7/24/18 | $ | 419,556 | |||||||||
$ | 565,476 |
† | Notional amount is stated in USD unless otherwise noted. |
Cross-Currency Swaps | ||||||||||
Counterparty | Portfolio Receives* | Portfolio Pays* | Termination Date | Value/Net Depreciation | ||||||
BNP Paribas | 6-month USD-LIBOR-BBA on USD 15,735,726 (pays semi-annually) plus KRW 18,214,100,000 | 1.19% on KRW 18,214,100,000 (pays semi-annually) plus USD 15,735,726 | 3/8/20 | $ | (1,271,268 | ) | ||||
BNP Paribas | 6-month USD-LIBOR-BBA on USD 21,119,874 (pays semi-annually) plus KRW 23,521,200,000 | 1.23% on KRW 23,521,200,000 (pays semi-annually) plus USD 21,119,874 | 3/31/20 | (848,932 | ) | |||||
$ | (2,120,200 | ) |
Counterparty | Portfolio Fixed Rate on Notional (000’s omitted) | Portfolio Pays Floating Rate on Notional Amount (000’s omitted) | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Appreciation | ||||||||||||||||||
Goldman Sachs International | CLF | 907 | CLP | 24,177,216 | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 0.89% (pays semi-annually) | 10/4/22 | $ | 583,167 | |||||||||||||||
Goldman Sachs International | CLF | 907 | CLP | 24,178,821 | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 0.90% (pays semi-annually) | 10/5/22 | 608,558 | ||||||||||||||||
Goldman Sachs International | CLF | 453 | CLP | 12,090,217 | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 0.90% (pays semi-annually) | 10/6/22 | 303,505 | ||||||||||||||||
Goldman Sachs International | CLF | 907 | CLP | 24,186,773 | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 0.92% (pays semi-annually) | 10/11/22 | 637,961 | ||||||||||||||||
Goldman Sachs International | CLF | 679 | CLP | 18,104,045 | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 0.91% (pays semi-annually) | 10/26/22 | 510,798 | ||||||||||||||||
Goldman Sachs International | CLF | 272 | CLP | 7,239,753 | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 0.95% (pays semi-annually) | 10/28/22 | 230,530 |
68 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Portfolio of Investments (Unaudited) — continued
Counterparty | Portfolio Fixed Rate on Notional (000’s omitted) | Portfolio Pays Floating Rate on Notional Amount (000’s omitted) | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Appreciation | ||||||||||||||||||
Goldman Sachs International | CLF | 1,387 | CLP | 37,113,487 | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 0.96% (pays semi-annually) | 12/4/22 | $ | 525,163 | |||||||||||||||
Goldman Sachs International | CLF | 283 | CLP | 7,575,692 | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 0.95% (pays semi-annually) | 12/5/22 | 98,994 | ||||||||||||||||
Goldman Sachs International | CLF | 301 | CLP | 8,066,826 | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 0.99% (pays semi-annually) | 1/4/23 | 120,638 | ||||||||||||||||
$ | 3,619,314 | |||||||||||||||||||||||
$ | 1,499,114 |
* | The Portfolio pays interest on the currency received and receives interest on the currency delivered. At the termination date, the notional amount of the currency received will be exchanged for the notional amount of the currency delivered. |
Abbreviations:
LIBOR | – | London Interbank Offered Rate |
Currency Abbreviations:
AED | – | United Arab Emirates Dirham | ||
ARS | – | Argentine Peso | ||
AUD | – | Australian Dollar | ||
BHD | – | Bahraini Dinar | ||
BRL | – | Brazilian Real | ||
CAD | – | Canadian Dollar | ||
CHF | – | Swiss Franc | ||
CLF | – | Chilean Unidad de Fomento | ||
CLP | – | Chilean Peso | ||
CNH | – | Yuan Renminbi Offshore | ||
COP | – | Colombian Peso | ||
CZK | – | Czech Koruna | ||
DOP | – | Dominican Peso | ||
EGP | – | Egyptian Pound | ||
EUR | – | Euro | ||
GBP | – | British Pound Sterling | ||
GEL | – | Georgian Lari | ||
HUF | – | Hungarian Forint | ||
IDR | – | Indonesian Rupiah | ||
ILS | – | Israeli Shekel | ||
INR | – | Indian Rupee | ||
ISK | – | Icelandic Krona | ||
JPY | – | Japanese Yen | ||
KRW | – | South Korean Won | ||
KZT | – | Kazakhstani Tenge |
LKR | – | Sri Lankan Rupee | ||
MAD | – | Moroccan Dirham | ||
MXN | – | Mexican Peso | ||
NGN | – | Nigerian Naira | ||
NOK | – | Norwegian Krone | ||
NZD | – | New Zealand Dollar | ||
OMR | – | Omani Rial | ||
PEN | – | Peruvian Sol | ||
PHP | – | Philippine Peso | ||
PLN | – | Polish Zloty | ||
QAR | – | Qatari Riyal | ||
RON | – | Romanian Leu | ||
RSD | – | Serbian Dinar | ||
RUB | – | Russian Ruble | ||
SAR | – | Saudi Riyal | ||
SEK | – | Swedish Krona | ||
SGD | – | Singapore Dollar | ||
THB | – | Thai Baht | ||
TRY | – | New Turkish Lira | ||
TWD | – | New Taiwan Dollar | ||
UAH | – | Ukrainian Hryvnia | ||
USD | – | United States Dollar | ||
UYU | – | Uruguayan Peso | ||
ZAR | – | South African Rand |
69 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Statement of Assets and Liabilities (Unaudited)
Assets | April 30, 2018 | |||
Unaffiliated investments, at value (identified cost, $4,572,805,234) | $ | 4,676,045,427 | ||
Affiliated investment, at value (identified cost, $290,918,655) | 290,925,278 | |||
Cash | 3,227,547 | |||
Deposits for derivatives collateral — | ||||
Futures contracts | 24,231,000 | |||
Centrally cleared swap contracts | 113,401,297 | |||
OTC derivatives | 18,519,436 | |||
Foreign currency, at value (identified cost, $178,035,799) | 176,928,626 | |||
Interest and dividends receivable | 65,334,371 | |||
Dividends receivable from affiliated investment | 355,284 | |||
Receivable for investments sold | 4,769,720 | |||
Receivable for open forward foreign currency exchange contracts | 139,047,276 | |||
Receivable for open swap contracts | 16,631,047 | |||
Premium paid on open non-centrally cleared swap contracts | 31,603,250 | |||
Tax reclaims receivable | 24,764 | |||
Other assets | 25,629 | |||
Total assets | $ | 5,561,069,952 | ||
Liabilities | ||||
Cash collateral due to brokers | $ | 17,089,436 | ||
Payable for reverse repurchase agreements, including accrued interest of $45,602 | 110,906,700 | |||
Payable for investments purchased | 45,558,976 | |||
Payable for variation margin on open futures contracts | 56,970 | |||
Payable for variation margin on open centrally cleared swap contracts | 1,984,001 | |||
Payable for open forward foreign currency exchange contracts | 178,256,102 | |||
Payable for open forward volatility agreements | 771,299 | |||
Payable for open swap contracts | 31,763,263 | |||
Premium received on open non-centrally cleared swap contracts | 19,846,738 | |||
Payable to affiliates: | ||||
Investment adviser fee | 3,892,135 | |||
Trustees’ fees | 8,628 | |||
Accrued expenses and other liabilities | 1,816,256 | |||
Total liabilities | $ | 411,950,504 | ||
Net Assets applicable to investors’ interest in Portfolio | $ | 5,149,119,448 | ||
Sources of Net Assets | ||||
Investors’ capital | $ | 5,130,557,647 | ||
Net unrealized appreciation | 18,561,801 | |||
Total | $ | 5,149,119,448 |
70 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Statement of Operations (Unaudited)
Investment Income | Six Months Ended April 30, 2018 | |||
Interest (net of foreign taxes, $4,047,728) | $ | 137,560,176 | ||
Dividends (net of foreign taxes, $1,053,489) | 4,944,115 | |||
Dividends from affiliated investment | 2,914,827 | |||
Total investment income | $ | 145,419,118 | ||
Expenses | ||||
Investment adviser fee | $ | 21,344,826 | ||
Trustees’ fees and expenses | 50,753 | |||
Custodian fee | 2,289,967 | |||
Legal and accounting services | 160,988 | |||
Interest expense and fees | 1,439,401 | |||
Interest expense on securities sold short | 8,926 | |||
Miscellaneous | 282,648 | |||
Total expenses | $ | 25,577,509 | ||
Net investment income | $ | 119,841,609 | ||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) — | ||||
Investment transactions (net of foreign capital gains taxes of $888,354) | $ | 41,066,071 | ||
Investment transactions — affiliated investment | (55,031 | ) | ||
Written options | 3,086,980 | |||
Securities sold short | 92,956 | |||
Futures contracts | (70,792,450 | ) | ||
Swap contracts | (27,524,738 | ) | ||
Forward volatility agreements | (526,321 | ) | ||
Foreign currency transactions | 2,351,522 | |||
Forward foreign currency exchange contracts | (20,941,717 | ) | ||
Net realized loss | $ | (73,242,728 | ) | |
Change in unrealized appreciation (depreciation) — | ||||
Investments (including net decrease in accrued foreign capital gains taxes of $532,982) | $ | (19,231,783 | ) | |
Investments — affiliated investment | 6,623 | |||
Written options | (2,829,642 | ) | ||
Securities sold short | (74,762 | ) | ||
Futures contracts | 4,487,002 | |||
Swap contracts | (11,033,026 | ) | ||
Forward volatility agreements | (228,134 | ) | ||
Foreign currency | (3,433,077 | ) | ||
Forward foreign currency exchange contracts | (52,547,961 | ) | ||
Net change in unrealized appreciation (depreciation) | $ | (84,884,760 | ) | |
Net realized and unrealized loss | $ | (158,127,488 | ) | |
Net decrease in net assets from operations | $ | (38,285,879 | ) |
71 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Statements of Changes in Net Assets
Increase (Decrease) in Net Assets | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||
From operations — | ||||||||
Net investment income | $ | 119,841,609 | $ | 115,192,087 | ||||
Net realized gain (loss) | (73,242,728 | ) | 3,070,940 | |||||
Net change in unrealized appreciation (depreciation) | (84,884,760 | ) | 16,364,972 | |||||
Net increase (decrease) in net assets from operations | $ | (38,285,879 | ) | $ | 134,627,999 | |||
Capital transactions — | ||||||||
Contributions | $ | 1,197,503,853 | $ | 1,938,715,733 | ||||
Withdrawals | (78,077,895 | ) | (265,577,214 | ) | ||||
Net increase in net assets from capital transactions | $ | 1,119,425,958 | $ | 1,673,138,519 | ||||
Net increase in net assets | $ | 1,081,140,079 | $ | 1,807,766,518 | ||||
Net Assets | ||||||||
At beginning of period | $ | 4,067,979,369 | $ | 2,260,212,851 | ||||
At end of period | $ | 5,149,119,448 | $ | 4,067,979,369 |
72 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Consolidated Financial Highlights
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
Ratios/Supplemental Data | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||
Ratios (as a percentage of average daily net assets): | ||||||||||||||||||||||||
Expenses(1)(2) | 1.11 | %(3) | 1.13 | % | 1.10 | % | 1.14 | % | 1.28 | % | 1.53 | % | ||||||||||||
Net investment income | 5.18 | %(3) | 4.54 | % | 5.09 | % | 5.53 | % | 4.58 | % | 3.41 | % | ||||||||||||
Portfolio Turnover | 52 | %(4) | 76 | % | 97 | % | 75 | % | 116 | % | 65 | % | ||||||||||||
Total Return | (0.61 | )%(4) | 5.65 | % | 7.79 | %(5) | 3.36 | % | 6.99 | % | (1.50 | )% | ||||||||||||
Net assets, end of period (000’s omitted) | $ | 5,149,119 | $ | 4,067,979 | $ | 2,260,213 | $ | 1,879,008 | $ | 1,510,154 | $ | 1,731,630 |
(1) | Excludes the effect of custody fee credits, if any, of less than 0.005%. Effective September 1, 2015, custody fee credits, which were earned on cash deposit balances, were discontinued by the custodian. |
(2) | Includes interest and dividend expense, primarily on securities sold short and reverse repurchase agreements, of 0.06%, 0.06%, 0.03%, 0.03%, 0.14% and 0.42% for the six months ended April 30, 2018 and the years ended October 31, 2017, 2016, 2015, 2014 and 2013, respectively. |
(3) | Annualized. |
(4) | Not annualized. |
(5) | During the year ended October 31, 2016, the investment adviser reimbursed the Portfolio for a net loss realized on the disposal of an investment which did not meet the Portfolio’s investment guidelines. The reimbursement had no effect on total return for the year ended October 31, 2016. |
73 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Notes to Consolidated Financial Statements (Unaudited)
1 Significant Accounting Policies
Global Macro Absolute Return Advantage 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 April 30, 2018, Eaton Vance Global Macro Absolute Return Advantage Fund, Eaton Vance Short Duration Strategic Income Fund, Eaton Vance International (Cayman Islands) Short Duration Strategic Income Fund, Eaton Vance Commodity Strategy Fund, Eaton Vance Multi-Strategy Absolute Return Fund and Eaton Vance Multi-Strategy All Market Fund held an interest of 90.5%, 8.3%, 0.7%, 0.2%, 0.2% and less than 0.05%, respectively, in the Portfolio.
The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance GMAP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The Portfolio may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at April 30, 2018 were $43,591,714 or 0.8% of the Portfolio’s consolidated net assets. The accompanying consolidated financial statements include the accounts of the Subsidiary. Intercompany balances and transactions have been eliminated in consolidation.
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.
Debt Obligations. Debt obligations 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 for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value.
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. U.S. exchange-traded options are valued at the mean between the bid and asked prices at valuation time as reported by the Options Price Reporting Authority. Non U.S. exchange-traded options and over-the-counter options (including options on securities, indices and foreign currencies) are valued by a third party pricing service using techniques that consider factors including the value of the underlying instrument, the volatility of the underlying instrument and the period of time until option expiration. Financial and commodities 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. Forward commodity contracts are generally valued at the price provided by the exchange on which they are traded or if unavailable, by a third party pricing service based on an interpolation of the forward rates. Forward volatility agreements are valued by a third party pricing service using techniques that consider factors including the volatility of the underlying instrument and the period of time until expiration. Non-deliverable bond forward contracts are generally valued based on the current price of the underlying bond as provided by a third party pricing service and current interest rates. Swaps and options on interest rate swaps (“swaptions”) are normally valued using valuations provided by a third party pricing service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract, and in the case of credit default swaps, based on credit spread quotations obtained from broker/dealers and expected default recovery rates determined by the pricing service using proprietary models. 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. Alternatively, swaptions may be valued at the valuation provided by a broker/dealer (usually the counterparty to the option), so determined using similar techniques as those employed by the pricing service.
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.
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April 30, 2018
Notes to Consolidated Financial Statements (Unaudited) — continued
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). While Cash Reserves Fund is not a registered money market mutual fund, it conducts all of its investment activities in accordance with the requirements of Rule 2a-7 under the 1940 Act. Investments in Cash Reserves Fund are valued at the closing net asset value per unit on the valuation day. Cash Reserves Fund generally values 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 — Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Inflation adjustments to the principal amount of inflation-adjusted bonds and notes are reflected as interest income. Deflation adjustments to the principal amount of an inflation-adjusted bond or note are reflected as reductions to interest income to the extent of interest income previously recorded on such bond or note. 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 interest, dividends and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable countries’ tax rules and rates. Distributions from investment companies are recorded as dividend income, capital gains or return of capital based on the nature of the distribution.
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. Since at least 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.
The Subsidiary is treated as a controlled foreign corporation under the Internal Revenue Code and is not expected to be subject to U.S. federal income tax. The Portfolio is treated as a U.S. shareholder of the Subsidiary. As a result, the Portfolio is required to include in gross income for U.S. federal tax purposes all of the Subsidiary’s income, whether or not such income is distributed by the Subsidiary. If a net loss is realized by the Subsidiary, such loss is not generally available to offset the income earned by the Portfolio.
As of April 30, 2018, 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 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.
F Unfunded Loan Commitments — The Portfolio may enter into certain loan agreements all or a portion of which may be unfunded. The Portfolio is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are disclosed in the accompanying Consolidated Portfolio of Investments.
G Use of Estimates — The preparation of the consolidated 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 consolidated financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.
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April 30, 2018
Notes to Consolidated Financial Statements (Unaudited) — continued
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 and Commodities Futures Contracts — Upon entering into a financial or commodities 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 security, index, commodity or currency, and are recorded as unrealized gains or losses by the Portfolio. Gains (losses) are realized upon the expiration or closing of the financial or commodities futures contracts. Should market conditions change unexpectedly, the Portfolio may not achieve the anticipated benefits of the financial or commodities 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, Non-Deliverable Bond Forward and Forward Commodity 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. The Portfolio may also enter into non-deliverable bond forward contracts for the purchase or sale of a bond denominated in a non-deliverable foreign currency at a fixed price on a future date. For non-deliverable bond forward contracts, unrealized gains and losses, based on changes in the value of the contract, and realized gains and losses are accounted for as described above. Unrealized and realized gains and losses on forward commodity contracts, which are entered into for the purchase or sale of a specific commodity at a fixed price on a future date, are accounted for as described above. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and, in the case of forward foreign currency exchange contracts, from movements in the value of a foreign currency relative to the U.S. dollar.
K Written Options — Upon the writing of a call or a put option, the premium received by the Portfolio is included in the Consolidated Statement of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written, in accordance with the Portfolio’s policies on investment valuations discussed above. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or are closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. When an index option is exercised, the Portfolio is required to deliver an amount of cash determined by the excess of the strike price of the option over the value of the index (in the case of a put) or the excess of the value of the index over the strike price of the option (in the case of a call) at contract termination. If a put option on a security is exercised, the premium reduces the cost basis of the securities purchased by the Portfolio. The Portfolio, as a writer of an option, may have no control over whether the underlying securities or other assets may be sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the securities or other assets underlying the written option. The Portfolio may also bear the risk of not being able to enter into a closing transaction if a liquid secondary market does not exist.
L Purchased Options — Upon the purchase of a call or put option, the premium paid by the Portfolio is included in the Consolidated Statement of Assets and Liabilities as an investment. The amount of the investment is subsequently marked-to-market to reflect the current market value of the option purchased, in accordance with the Portfolio’s policies on investment valuations discussed above. As the purchaser of an index option, the Portfolio has the right to receive a cash payment equal to any depreciation in the value of the index below the strike price of the option (in the case of a put) or equal to any appreciation in the value of the index over the strike price of the option (in the case of a call) as of the valuation date of the option. If an option which the Portfolio had purchased expires on the stipulated expiration date, the Portfolio will realize a loss in the amount of the cost of the option. If the Portfolio enters into a closing sale transaction, the Portfolio will realize a gain or loss, depending on whether the sales proceeds from the closing sale transaction are greater or less than the cost of the option. If the Portfolio exercises a put option on a security, it will realize a gain or loss from the sale of the underlying security, and the proceeds from such sale will be decreased by the premium originally paid. If the Portfolio exercises a call option on a security, the cost of the security which the Portfolio purchases upon exercise will be increased by the premium originally paid. The risk associated with purchasing options is limited to the premium originally paid. Purchased options traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.
M Interest Rate Swaps — Swap contracts are privately negotiated agreements between the Portfolio and a counterparty. Certain swap contracts may be centrally cleared (“centrally cleared swaps”), whereby all payments made or received by the Portfolio pursuant to the contract are with a central clearing party (CCP) rather than the original counterparty. The CCP guarantees the performance of the original parties to the contract. Upon entering into centrally cleared swaps, the Portfolio is required to deposit with the CCP, either in cash or securities, an amount of initial margin determined by the CCP, which is subject to adjustment.
Pursuant to interest rate swap agreements, the Portfolio either makes floating-rate payments to the counterparty (or CCP in the case of centrally cleared swaps) based on a benchmark interest rate in exchange for fixed-rate payments or the Portfolio makes fixed-rate payments to the counterparty (or CCP in the case of a centrally cleared swap) in exchange for payments on a floating benchmark interest rate. Payments received or made are recorded as realized
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April 30, 2018
Notes to Consolidated Financial Statements (Unaudited) — continued
gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The value of the swap is determined by changes in the relationship between two rates of interest. The Portfolio is exposed to credit loss in the event of non-performance by the swap counterparty. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP. Risk may also arise from movements in interest rates.
N Inflation Swaps — Pursuant to inflation swap agreements, the Portfolio either makes floating-rate payments based on a benchmark index in exchange for fixed-rate payments or the Portfolio makes fixed-rate payments in exchange for floating-rate payments based on the return of a benchmark index. By design, the benchmark index is an inflation index, such as the Consumer Price Index. Payments received or made are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. The value of the swap is determined by changes in the relationship between the rate of interest and the benchmark index. 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 interest rates or the index.
O Cross-Currency Swaps — Cross-currency swaps are interest rate swaps in which interest cash flows are exchanged between two parties based on the notional amounts of two different currencies. The notional amounts are typically determined based on the spot exchange rates at the inception of the trade. Cross-currency swaps also involve the exchange of the notional amounts at the start of the contract at the current spot rate with an agreement to re-exchange such amounts at a later date at either the same exchange rate, a specified rate or the then current spot rate. The entire principal value of a cross-currency swap is subject to the risk that the counterparty to the swap will default on its contractual delivery obligations.
P Credit Default Swaps — When the Portfolio is the buyer of a credit default swap contract, the Portfolio is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation (or basket of debt obligations) from the counterparty (or CCP in the case of a centrally cleared swap) to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, the Portfolio pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Portfolio would have spent the stream of payments and received no proceeds from the contract. When the Portfolio is the seller of a credit default swap contract, it receives the stream of payments, but is obligated to pay to the buyer of the protection an amount up to the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the Portfolio is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Portfolio could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Portfolio for the same referenced obligation. As the seller, the Portfolio may create economic leverage to its portfolio because, in addition to its total net assets, the Portfolio is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap contract, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The Portfolio also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments, if any, are amortized over the life of the swap contract as realized gains or losses. Those upfront payments that are paid or received, typically for non-centrally cleared swaps, are recorded as other assets or other liabilities, respectively, net of amortization. For financial reporting purposes, unamortized upfront payments, if any, are netted with unrealized appreciation or depreciation on swap contracts to determine the market value of swaps as presented in Notes 5 and 9. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, marked-to-market on a daily basis. These transactions involve certain risks, including the risk that the seller may be unable to fulfill the transaction. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP.
Q 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.
R Swaptions — A purchased swaption contract grants the Portfolio, in return for payment of the purchase price, the right, but not the obligation, to enter into a new swap agreement or to shorten, extend, cancel or otherwise modify an existing swap agreement, at some designated future time on specified terms. When the Portfolio purchases a swaption, the premium paid to the writer is recorded as an investment and subsequently marked-to-market to reflect the current value of the swaption. A written swaption gives the Portfolio the obligation, if exercised by the purchaser, to enter into a swap contract according to the terms of the underlying agreement. When the Portfolio writes a swaption, the premium received by the Portfolio is recorded as a liability and subsequently marked-to-market to reflect the current value of the swaption. When a swaption is exercised, the cost of the swap is adjusted by the amount of the premium paid or received. When a swaption expires or an unexercised swaption is closed, a gain or loss is recognized in the amount of the
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Notes to Consolidated Financial Statements (Unaudited) — continued
premium paid or received, plus the cost to close. The Portfolio’s risk for purchased swaptions is limited to the premium paid. The writer of a swaption bears the risk of unfavorable changes in the preset terms of the underlying swap contract. Purchased swaptions traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.
S Forward Volatility Agreements — Forward volatility agreements are transactions in which two parties agree to the purchase or sale of an option straddle on an underlying exchange rate at the expiration of the agreement. The strike volatility rate is determined at the trade date. At expiration, the amount settled is determined based on the Black Scholes formula, the then current spot exchange rate, interest rates, and the agreed upon implied volatility. Changes in the value of the forward volatility agreement are recorded as unrealized gains or losses. The primary risk associated with forward volatility agreements is the change in the volatility of the underlying exchange rate.
T When-Issued Securities and Delayed Delivery Transactions — The Portfolio may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. At the time the transaction is negotiated, the price of the security that will be delivered is fixed. The Portfolio maintains cash and/or security positions for these commitments such that sufficient liquid assets will be available to make payments upon settlement. Securities purchased on a delayed delivery or when-issued basis are marked-to-market daily and begin earning interest on settlement date. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.
U Repurchase Agreements — A repurchase agreement is the purchase by the Portfolio of securities from a counterparty in exchange for cash that is coupled with an agreement to resell those securities to the counterparty at a specified date and price. When a repurchase agreement is entered, the Portfolio typically receives securities with a value that equals or exceeds the repurchase price, including any accrued interest earned on the agreement. The value of such securities will be marked-to-market daily, and cash or additional securities will be exchanged between the parties as needed. Except in the case of a repurchase agreement entered to settle a short sale, the value of the securities delivered to the Portfolio will be at least equal to 90% of the repurchase price during the term of the repurchase agreement. The terms of a repurchase agreement entered to settle a short sale may provide that the cash purchase price paid by the Portfolio is more than the value of purchased securities that effectively collateralize the repurchase price payable by the counterparty. Since in such a transaction, the Portfolio normally will have used the purchased securities to settle the short sale, the Portfolio will segregate liquid assets equal to the marked-to-market value of the purchased securities that it is obligated to return to the counterparty under the repurchase agreement. In the event of insolvency of the counterparty to a repurchase agreement, recovery of the repurchase price owed to the Portfolio may be delayed. Such an insolvency also may result in a loss to the extent that the value of the purchased securities decreases during the delay or that value has otherwise not been maintained at an amount at least equal to the repurchase price.
V Reverse Repurchase Agreements — Under a reverse repurchase agreement, the Portfolio temporarily transfers possession of a portfolio security to another party, such as a bank or broker/dealer, in return for cash. At the same time, the Portfolio agrees to repurchase the security at an agreed upon time and price, which reflects an interest payment. In periods of increased demand for a security, the Portfolio may receive a payment from the counterparty for the use of the security, which is recorded as interest income. Because the Portfolio retains effective control over the transferred security, the transaction is accounted for as a secured borrowing. The Portfolio may enter into such agreements when it believes it is able to invest the cash acquired at a rate higher than the cost of the agreement, which would increase earned income. When the Portfolio enters into a reverse repurchase agreement, any fluctuations in the market value of either the securities transferred to another party or the securities in which the proceeds may be invested would affect the market value of the Portfolio’s assets. Because reverse repurchase agreements may be considered to be the practical equivalent of borrowing funds (and the counterparty making a loan), they constitute a form of leverage. The Portfolio segregates cash or liquid assets equal to its obligation to repurchase the security. During the term of the agreement, the Portfolio may also be obligated to pledge additional cash and/or securities in the event of a decline in the fair value of the transferred security. In the event the counterparty to a reverse repurchase agreement becomes insolvent, recovery of the security transferred by the Portfolio may be delayed or the Portfolio may incur a loss equal to the amount by which the value of the security transferred by the Portfolio exceeds the repurchase price payable by the Portfolio.
W Securities Sold Short — A short sale is a transaction in which the Portfolio sells a security it does not own in anticipation of a decline in the market value of that security. To complete such a transaction, the Portfolio must borrow the security to make delivery to the buyer with an obligation to replace such borrowed security at a later date. When making a short sale, the Portfolio segregates liquid assets with the custodian equal to its obligations under the short sale. Until the security is replaced, the Portfolio is required to repay the lender any dividends or interest, which accrue during the period of the loan. The proceeds received from a short sale are recorded as a liability and the Portfolio records an unrealized gain or loss to the extent of the difference between the proceeds received and the value of the open short position on the day of determination. A gain, limited to the price at which the Portfolio sold the security short, or a loss, potentially unlimited as there is no upward limit on the price of a security, is recorded when the short position is terminated. Interest and dividends payable on securities sold short are recorded as an expense.
X Stripped Mortgage-Backed Securities — The Portfolio may invest in Interest Only (IO) and Principal Only (PO) securities, a form of stripped mortgage-backed securities, whereby the IO security receives all the interest and the PO security receives all the principal on a pool of mortgage assets. The yield to maturity on an IO security is extremely sensitive to the rate of principal payments (including prepayments) on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on the yield to maturity from these securities. If the underlying mortgages experience greater than anticipated prepayments of principal, the Portfolio may fail to recoup its initial investment in an IO security. The market value of IO and PO securities can be unusually volatile due to changes in interest rates.
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Notes to Consolidated Financial Statements (Unaudited) — continued
Y Interim Consolidated Financial Statements — The interim consolidated financial statements relating to April 30, 2018 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Portfolio’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the consolidated financial statements.
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 and the Subsidiary. Pursuant to the investment advisory agreement between the Portfolio and BMR and the investment advisory agreement between the Subsidiary and BMR, the Portfolio and Subsidiary each pay BMR a fee at an annual rate of 1.00% of its respective average daily net assets up to $500 million, 0.95% from $500 million but less than $1 billion, 0.925% from $1 billion but less than $2.5 billion, 0.90% from $2.5 billion but less than $5 billion, and 0.88% of average daily net assets of $5 billion or more, and is payable monthly. In determining the investment adviser fee for the Portfolio and Subsidiary, the applicable advisory fee rate is based on the average daily net assets of the Portfolio (inclusive of its interest in the Subsidiary). Such fee rate is then assessed separately on the Portfolio’s average daily net assets (exclusive of its interest in the Subsidiary) and the Subsidiary’s average daily net assets to determine the amount of the investment adviser fee. For the six months ended April 30, 2018, the Portfolio’s investment adviser fee amounted to $21,344,826 or 0.92% (annualized) of the Portfolio’s consolidated 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 six months ended April 30, 2018, 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 and including maturities, paydowns and securities sold short, for the six months ended April 30, 2018 were as follows:
Purchases | Sales | |||||||
Investments (non-U.S. Government) | $ | 2,213,825,790 | $ | 1,402,506,229 | ||||
U.S. Government and Agency Securities | 278,347,975 | 234,485,130 | ||||||
$ | 2,492,173,765 | $ | 1,636,991,359 |
4 Federal Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) of investments of the Portfolio, including open derivative contracts and the Portfolio’s investment in the Subsidiary, at April 30, 2018, as determined on a federal income tax basis, were as follows:
Aggregate cost | $ | 5,064,916,772 | ||
Gross unrealized appreciation | $ | 378,858,920 | ||
Gross unrealized depreciation | (535,672,650 | ) | ||
Net unrealized depreciation | $ | (156,813,730 | ) |
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 written options, forward foreign currency exchange contracts, futures contracts, forward volatility agreements 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 April 30, 2018 is included in the Consolidated Portfolio of Investments. At April 30, 2018, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.
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In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:
Commodity Risk: The Portfolio invests in commodities-linked derivative instruments, including commodity futures contracts and total return swap contracts based on commodity indices, that provide exposure to the investment returns of certain commodities. Commodities-linked derivative instruments are used to enhance total return and/or as a substitute for the purchase or sale of commodities.
Credit Risk: The Portfolio enters into credit default swap contracts to manage certain investment risks and/or to enhance total return.
Equity Price Risk: The Portfolio enters into options on equity indices, equity index futures contracts and total return swaps to enhance total return and/or to manage certain investment risks.
Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts, forward volatility agreements, currency options, total return swaps and cross-currency swaps to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.
Interest Rate Risk: The Portfolio utilizes various interest rate derivatives including interest rate futures contracts, interest rate swaps and swaptions, inflation swaps and cross-currency swaps to enhance total return, to seek to hedge against fluctuations in interest rates and/or to change the effective duration of its portfolio.
The Portfolio enters into over-the-counter (OTC) derivatives 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 April 30, 2018, the fair value of derivatives with credit-related contingent features in a net liability position was $217,609,669. The aggregate fair value of assets pledged as collateral by the Portfolio for such liability was $83,013,769 at April 30, 2018.
The OTC derivatives in which the Portfolio invests (except for written options as the Portfolio, not the counterparty, is obligated to perform) 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 (and Subsidiary) 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 (and Subsidiary) 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 Subsidiary) 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 deposits for derivatives collateral and, in the case of cash pledged by a counterparty for the benefit of the Portfolio, a corresponding liability on the Consolidated Statement of Assets and Liabilities. Securities pledged by the Portfolio as collateral, if any, are identified as such in the Consolidated Portfolio of Investments. The carrying amount of the liability for cash collateral due to brokers at April 30, 2018 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 9) at April 30, 2018. Because the Subsidiary is not registered under the 1940 Act, it may not be able to negotiate terms with its counterparties that are equivalent to those a registered portfolio may negotiate. As a result, the Subsidiary may have greater exposure to those counterparties than a registered portfolio.
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The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at April 30, 2018 was as follows:
Fair Value | ||||||||||||||||||||||||
Consolidated Statement of Assets and Liabilities Caption | Commodity | Credit | Equity Price | Foreign Exchange | Interest Rate | Total | ||||||||||||||||||
Unaffiliated investments, at value | $ | — | $ | — | $ | 5,380,466 | $ | 11,857,996 | $ | — | $ | 17,238,462 | ||||||||||||
Net unrealized appreciation* | 766,051 | 26,016,485 | — | — | 46,116,318 | 72,898,854 | ||||||||||||||||||
Receivable for open forward foreign currency exchange contracts | — | — | — | 139,047,276 | — | 139,047,276 | ||||||||||||||||||
Receivable/Payable for open swap contracts; Premium paid/received on open non-centrally cleared swap contracts | — | 23,759,261 | 821,332 | 1,307,459 | 9,318,512 | 35,206,564 | ||||||||||||||||||
Total Asset Derivatives | $ | 766,051 | $ | 49,775,746 | $ | 6,201,798 | $ | 152,212,731 | $ | 55,434,830 | $ | 264,391,156 | ||||||||||||
Derivatives not subject to master netting or similar agreements | $ | 766,051 | $ | 26,016,485 | $ | — | $ | — | $ | 46,116,318 | $ | 72,898,854 | ||||||||||||
Total Asset Derivatives subject to master netting or similar agreements | $ | — | $ | 23,759,261 | $ | 6,201,798 | $ | 152,212,731 | $ | 9,318,512 | $ | 191,492,302 | ||||||||||||
Net unrealized appreciation* | $ | — | $ | (18,755,645 | ) | $ | — | $ | — | $ | (63,804,028 | ) | $ | (82,559,673 | ) | |||||||||
Payable for open forward foreign currency exchange contracts | — | — | — | (178,256,102 | ) | — | (178,256,102 | ) | ||||||||||||||||
Payable/Receivable for open swap contracts; Premium paid/received on open non-centrally cleared swap contracts | (847,748 | ) | (15,662,576 | ) | — | (715,567 | ) | (21,356,377 | ) | (38,582,268 | ) | |||||||||||||
Payable for open forward volatility agreements | — | — | — | (771,299 | ) | — | (771,299 | ) | ||||||||||||||||
Total Liability Derivatives | $ | (847,748 | ) | $ | (34,418,221 | ) | $ | — | $ | (179,742,968 | ) | $ | (85,160,405 | ) | $ | (300,169,342 | ) | |||||||
Derivatives not subject to master netting or similar agreements | $ | — | $ | (18,755,645 | ) | $ | — | $ | — | $ | (63,804,028 | ) | $ | (82,559,673 | ) | |||||||||
Total Liability Derivatives subject to master netting or similar agreements | $ | (847,748 | ) | $ | (15,662,576 | ) | $ | — | $ | (179,742,968 | ) | $ | (21,356,377 | ) | $ | (217,609,669 | ) |
* | For futures contracts and centrally cleared swap contracts, amount represents value as shown in the Portfolio of Investments. Only the current day’s variation margin on open futures contracts and centrally cleared swap contracts is reported within the Consolidated Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts and centrally cleared swap contracts, as applicable. |
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The Portfolio’s derivative assets and liabilities at fair value by risk, which are reported gross in the Consolidated 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 (and Subsidiary) for such assets and pledged by the Portfolio (and Subsidiary) for such liabilities as of April 30, 2018.
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) | Total Cash Collateral Received | ||||||||||||||||||
Australia and New Zealand Banking Group Limited | $ | 15,621,511 | $ | (11,105,253 | ) | $ | — | $ | (4,085,200 | ) | $ | 431,058 | $ | 4,085,200 | ||||||||||
Bank of America, N.A. | 8,220,529 | (8,220,529 | ) | — | — | — | — | |||||||||||||||||
Barclays Bank PLC | 2,849,460 | (1,120,924 | ) | — | (1,728,536 | ) | — | 1,834,000 | ||||||||||||||||
BNP Paribas | 10,795,253 | (10,795,253 | ) | — | — | — | — | |||||||||||||||||
Citibank, N.A. | 24,892,616 | (9,958,932 | ) | — | (236 | ) | 14,933,448 | 236 | ||||||||||||||||
Credit Agricole Corporate and Investment Bank | 3,111,983 | (3,111,983 | ) | — | — | — | 220,000 | |||||||||||||||||
Credit Suisse International | 3,964,089 | (3,964,089 | ) | — | — | — | — | |||||||||||||||||
Deutsche Bank AG | 9,525,964 | (9,525,964 | ) | — | — | — | — | |||||||||||||||||
Goldman Sachs International | 48,329,224 | (45,049,547 | ) | — | — | 3,279,677 | — | |||||||||||||||||
HSBC Bank USA, N.A. | 426,053 | (426,053 | ) | — | — | — | — | |||||||||||||||||
JPMorgan Chase Bank, N.A. | 15,523,507 | (6,673,558 | ) | — | (6,040,000 | ) | 2,809,949 | 6,040,000 | ||||||||||||||||
Nomura International PLC | 933,403 | (933,403 | ) | — | — | — | — | |||||||||||||||||
Société Générale | 3,652,950 | (692,045 | ) | (2,960,905 | ) | — | — | — | ||||||||||||||||
Standard Chartered Bank | 38,093,125 | (32,394,182 | ) | — | (1,370,000 | ) | 4,328,943 | 1,370,000 | ||||||||||||||||
State Street Bank and Trust Company | 574,970 | (574,970 | ) | — | — | — | — | |||||||||||||||||
The Bank of Nova Scotia | 176,801 | — | — | (176,801 | ) | — | 450,000 | |||||||||||||||||
The Toronto-Dominion Bank | 168,859 | — | — | — | 168,859 | — | ||||||||||||||||||
UBS AG | 363,639 | (363,639 | ) | — | — | — | — | |||||||||||||||||
VTB Capital PLC | 4,268,366 | — | — | (3,090,000 | ) | 1,178,366 | 3,090,000 | |||||||||||||||||
$ | 191,492,302 | $ | (144,910,324 | ) | $ | (2,960,905 | ) | $ | (16,490,773 | ) | $ | 27,130,300 | $ | 17,089,436 | ||||||||||
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) | Total Cash Collateral Pledged | ||||||||||||||||||
Australia and New Zealand Banking Group Limited | $ | (11,105,253 | ) | $ | 11,105,253 | $ | — | $ | — | $ | — | $ | — | |||||||||||
Bank of America, N.A. | (12,859,652 | ) | 8,220,529 | 4,324,358 | — | (314,765 | ) | — | ||||||||||||||||
Barclays Bank PLC | (1,120,924 | ) | 1,120,924 | — | — | — | — | |||||||||||||||||
BNP Paribas | (42,619,094 | ) | 10,795,253 | 30,341,211 | — | (1,482,630 | ) | — | ||||||||||||||||
Citibank, N.A. | (10,806,680 | ) | 9,958,932 | 847,748 | — | — | — | |||||||||||||||||
Credit Agricole Corporate and Investment Bank | (3,221,724 | ) | 3,111,983 | — | — | (109,741 | ) | — | ||||||||||||||||
Credit Suisse International | (20,715,328 | ) | 3,964,089 | 16,096,780 | — | (654,459 | ) | — | ||||||||||||||||
Deutsche Bank AG | (17,774,164 | ) | 9,525,964 | 8,248,200 | — | — | — | |||||||||||||||||
Goldman Sachs International | (45,049,547 | ) | 45,049,547 | — | — | — | — | |||||||||||||||||
HSBC Bank USA, N.A. | (426,741 | ) | 426,053 | — | — | (688 | ) | — |
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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) | Total Cash Collateral Pledged | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | $ | (6,673,558 | ) | $ | 6,673,558 | $ | — | $ | — | $ | — | $ | — | |||||||||||
Morgan Stanley & Co. International PLC | (498,234 | ) | — | 490,519 | — | (7,715 | ) | — | ||||||||||||||||
Nomura International PLC | (1,416,118 | ) | 933,403 | 482,715 | — | — | — | |||||||||||||||||
Société Générale | (692,045 | ) | 692,045 | — | — | — | — | |||||||||||||||||
Standard Chartered Bank | (32,394,182 | ) | 32,394,182 | — | — | — | 1,430,000 | |||||||||||||||||
State Street Bank and Trust Company | (731,421 | ) | 574,970 | 156,451 | — | — | — | |||||||||||||||||
UBS AG | (8,306,102 | ) | 363,639 | 7,942,463 | — | — | — | |||||||||||||||||
VTB Capital PLC | (1,198,902 | ) | — | — | — | (1,198,902 | ) | — | ||||||||||||||||
$ | (217,609,669 | ) | $ | 144,910,324 | $ | 68,930,445 | $ | — | $ | (3,768,900 | ) | $ | 1,430,000 | |||||||||||
Total — Deposits for derivatives collateral — OTC derivatives |
| $ | 18,519,436 |
(a) | In some instances, the total 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. |
Information with respect to reverse repurchase agreements at April 30, 2018 is included at Note 7.
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Consolidated Statement of Operations by risk exposure for the six months ended April 30, 2018 was as follows:
Consolidated Statement of Operations Caption | Commodity | Credit | Equity Price | Foreign Exchange | Interest Rate | |||||||||||||||
Net realized gain (loss) — | ||||||||||||||||||||
Investment transactions | $ | — | $ | — | $ | — | $ | (11,085,949 | ) | $ | (1,111,968 | ) | ||||||||
Written options | — | — | — | 3,086,980 | — | |||||||||||||||
Futures contracts | (68,952,106 | ) | — | (4,219,711 | ) | — | 2,379,367 | |||||||||||||
Swap contracts | 949,713 | (23,036,536 | ) | 337,555 | 6,405,451 | (12,180,921 | ) | |||||||||||||
Forward volatility agreements | — | — | — | (526,321 | ) | — | ||||||||||||||
Forward foreign currency exchange contracts | — | — | — | (20,941,717 | ) | — | ||||||||||||||
Total | $ | (68,002,393 | ) | $ | (23,036,536 | ) | $ | (3,882,156 | ) | $ | (23,061,556 | ) | $ | (10,913,522 | ) | |||||
Change in unrealized appreciation (depreciation) — | ||||||||||||||||||||
Investments | $ | — | $ | — | $ | 383,277 | $ | 4,622,899 | $ | 1,111,968 | ||||||||||
Written options | — | — | — | (2,829,642 | ) | — | ||||||||||||||
Futures contracts | 2,972,620 | — | 811,797 | — | 702,585 | |||||||||||||||
Swap contracts | (847,748 | ) | (986,698 | ) | 562,839 | (516,198 | ) | (9,245,221 | ) | |||||||||||
Forward volatility agreements | — | — | — | (228,134 | ) | — | ||||||||||||||
Forward foreign currency exchange contracts | — | — | — | (52,547,961 | ) | — | ||||||||||||||
Total | $ | 2,124,872 | $ | (986,698 | ) | $ | 1,757,913 | $ | (51,499,036 | ) | $ | (7,430,668 | ) |
83 |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Notes to Consolidated Financial Statements (Unaudited) — continued
The average notional cost of futures contracts and average notional amounts of other derivative contracts outstanding during the six months ended April 30, 2018, which are indicative of the volume of these derivative types, were approximately as follows:
Futures Contracts — Long | Futures Contracts — Short | Forward Foreign Currency | Swap Contracts | |||||||||||
$1,171,777,000 | $ | 1,483,824,000 | $ | 10,719,483,000 | $ | 14,295,501,000 |
Interest Rate Swaptions Purchased | Forward Volatility Agreements | |||||
$23,629,000 | $ | 178,111,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
The average principal amount of purchased currency options contracts and written currency options contracts and average number of purchased options contracts outstanding during the six months ended April 30, 2018, which are indicative of the volume of these derivative types, were approximately $1,677,522,000, $146,571,000 and 2,476 contracts, respectively.
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 October 30, 2018. 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 0.15% 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 six months ended April 30, 2018.
7 Reverse Repurchase Agreements
Reverse repurchase agreements outstanding as of April 30, 2018 were as follows:
Counterparty | Trade Date | Maturity Date | Interest Rate Paid (Received) | Principal Amount | Value Including Accrued Interest | Non-U.S. Sovereign Debt Securities Pledged as Collateral | ||||||||||||||||||
Citibank, N.A. | 4/24/2018 | On Demand | (1) | 2.15 | % | AUD 33,203,462 | $ | 25,004,719 | $ | 26,360,428 | ||||||||||||||
JPMorgan Chase Bank, N.A. | 4/10/2018 | On Demand | (1) | 1.75 | USD 3,009,148 | 3,011,927 | 3,689,433 | |||||||||||||||||
JPMorgan Chase Bank, N.A. | 4/10/2018 | On Demand | (1) | 2.00 | USD 1,860,163 | 1,862,126 | 2,290,000 | |||||||||||||||||
JPMorgan Chase Bank, N.A. | 4/23/2018 | On Demand | (1) | 2.00 | AUD 56,718,083 | 42,716,904 | 44,510,065 | |||||||||||||||||
JPMorgan Chase Bank, N.A. | 4/23/2018 | On Demand | (1) | 2.25 | AUD 25,861,791 | 19,478,614 | 20,295,291 | |||||||||||||||||
Nomura International PLC | 4/23/2018 | On Demand | (1) | 2.20 | AUD 25,004,070 | 18,832,410 | 19,939,233 | |||||||||||||||||
Total | $ | 110,906,700 | $ | 117,084,450 |
(1) | Open reverse repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
AUD | – | Australian Dollar | ||
USD | – | United States Dollar |
84 |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Notes to Consolidated Financial Statements (Unaudited) — continued
For the six months ended April 30, 2018, the average borrowings under settled reverse repurchase agreements and the average annual interest rate were approximately $155,241,000 and 1.97%, respectively. Based on the short-term nature of the borrowings under the reverse repurchase agreements, the carrying value of the payable for reverse repurchase agreements approximated its fair value at April 30, 2018. If measured at fair value, borrowings under the reverse repurchase agreements would have been considered as Level 2 in the fair value hierarchy (see Note 9) at April 30, 2018.
Repurchase agreements and reverse repurchase agreements entered into by the Portfolio are subject to Master Repurchase Agreements (MRA), which permit the Portfolio, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Portfolio.
The following table presents the Portfolio’s reverse repurchase agreements net of amounts available for offset under an MRA and net of the related collateral pledged by the Portfolio as of April 30, 2018.
Counterparty | Reverse Agreements* | Assets Available for | Securities Collateral Pledged(a) | Net Amount(b) | ||||||||||||
Citibank, N.A. | $ | (25,004,719 | ) | $ | — | $ | 25,004,719 | $ | — | |||||||
JPMorgan Chase Bank, N.A. | (67,069,571 | ) | — | 67,069,571 | — | |||||||||||
Nomura International PLC | (18,832,410 | ) | — | 18,832,410 | — | |||||||||||
$ | (110,906,700 | ) | $ | — | $ | 110,906,700 | $ | — |
* | Including accrued interest. |
(a) | In some instances, the total collateral pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount payable to the counterparty in the event of default. |
8 Risks Associated with Foreign Investments
The Portfolio’s investments in foreign instruments can be adversely affected by changes in currency exchange rates and political, economic and market developments abroad. In emerging or less developed countries, these risks can be more significant. Investment markets in emerging market countries are typically substantially smaller, less liquid and more volatile than the major markets in developed countries. Emerging market countries may have relatively unstable governments and economies. Emerging market investments often are subject to speculative trading, which typically contributes to volatility.
The Portfolio may have difficulties enforcing its legal or contractual rights in a foreign country. Economic data as reported by foreign governments and other issuers may be delayed, inaccurate or fraudulent. In the event of a default by a sovereign entity, there are typically no assets to be seized or cash flows to be attached. Furthermore, the willingness or ability of a foreign government to renegotiate defaulted debt may be limited.
9 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.
85 |
Global Macro Absolute Return Advantage Portfolio
April 30, 2018
Notes to Consolidated Financial Statements (Unaudited) — continued
At April 30, 2018, the hierarchy of inputs used in valuing the Portfolio’s investments and open derivative instruments, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3* | Total | ||||||||||||
Foreign Government Bonds | $ | — | $ | 2,669,148,073 | $ | — | $ | 2,669,148,073 | ||||||||
Foreign Corporate Bonds | — | 84,681,793 | 19,400,800 | 104,082,593 | ||||||||||||
Sovereign Loans | — | 84,042,200 | 39,087,538 | 123,129,738 | ||||||||||||
Credit Linked Notes | — | 3,022,500 | — | 3,022,500 | ||||||||||||
Collateralized Mortgage Obligations | — | 46,431,650 | — | 46,431,650 | ||||||||||||
Small Business Administration Loans (Interest Only) | — | 57,112,631 | — | 57,112,631 | ||||||||||||
Common Stocks | ||||||||||||||||
Iceland | 130,591,914 | 6,656,161 | ** | — | 137,248,075 | |||||||||||
Other Countries*** | — | 218,007,834 | ** | — | 218,007,834 | |||||||||||
Warrants | — | — | 266,301 | 266,301 | ||||||||||||
Short-Term Investments — | ||||||||||||||||
Foreign Government Securities | — | 1,135,487,227 | — | 1,135,487,227 | ||||||||||||
U.S. Treasury Obligations | — | 164,870,343 | — | 164,870,343 | ||||||||||||
Other | — | 290,925,278 | — | 290,925,278 | ||||||||||||
Purchased Currency Options | — | 11,857,996 | — | 11,857,996 | ||||||||||||
Purchased Call Options | — | 5,380,466 | — | 5,380,466 | ||||||||||||
Total Investments | $ | 130,591,914 | $ | 4,777,624,152 | $ | 58,754,639 | $ | 4,966,970,705 | ||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 139,047,276 | $ | — | $ | 139,047,276 | ||||||||
Futures Contracts | 9,316,522 | — | — | 9,316,522 | ||||||||||||
Swap Contracts | — | 98,788,896 | — | 98,788,896 | ||||||||||||
Total | $ | 139,908,436 | $ | 5,015,460,324 | $ | 58,754,639 | $ | 5,214,123,399 | ||||||||
Liability Description | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (178,256,102 | ) | $ | — | $ | (178,256,102 | ) | ||||||
Forward Volatility Agreements | — | (771,299 | ) | — | (771,299 | ) | ||||||||||
Futures Contracts | (7,069,027 | ) | — | — | (7,069,027 | ) | ||||||||||
Swap Contracts | — | (114,072,914 | ) | — | (114,072,914 | ) | ||||||||||
Total | $ | (7,069,027 | ) | $ | (293,100,315 | ) | $ | — | $ | (300,169,342 | ) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
** | 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. |
*** | For further breakdown of equity securities by country, please refer to the Consolidated Portfolio of Investments. |
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 six months ended April 30, 2018 is not presented. At April 30, 2018, the value of investments transferred between Level 1 and Level 2 during the six months then ended was not significant.
86 |
Eaton Vance
Commodity Strategy Fund
April 30, 2018
Board of Trustees’ Contract Approval
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended (the “1940 Act”), provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of trustees, including by a vote of a majority of the trustees who are not “interested persons” of the fund (“Independent Trustees”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees (each a “Board”) of the registered investment companies advised by either Eaton Vance Management or its affiliate, Boston Management and Research, (the “Eaton Vance Funds”) held on April 24, 2018, the Board, including a majority of the Independent Trustees, voted to approve continuation of existing investment advisory and sub-advisory agreements for the Eaton Vance Funds for an additional one-year period. In voting its approval, the Board relied upon the affirmative recommendation of its Contract Review Committee, which is a committee comprised exclusively of Independent Trustees. Prior to making its recommendation, the Contract Review Committee reviewed information furnished by each adviser to the Eaton Vance Funds (including information specifically requested by the Board) for a series of meetings of the Contract Review Committee held between February and April 2018. The Contract Review Committee also considered information received at prior meetings of the Board and its committees, as relevant to its annual evaluation of the investment advisory and sub-advisory agreements.
The information that the Board considered included, among other things, the following (for funds that invest through one or more underlying portfolio(s), references to “each fund” in this section may include information that was considered at the portfolio-level):
Information about Fees, Performance and Expenses
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds as identified by the independent data provider (“comparable funds”); |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund (including, where relevant, yield data, Sharpe ratios and information ratios) to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices, as well as customized groups of peer funds and blended indices identified by the adviser in consultation with the Board; |
• | For each fund, comparative information concerning the fees charged and the services provided by each adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for each adviser with respect to each fund; |
Information about Portfolio Management and Trading
• | Descriptions of the investment management services provided to each fund, including the fund’s investment strategies and policies; |
• | The procedures and processes used to determine the fair value of fund assets and actions taken to monitor and test the effectiveness of such procedures and processes; |
• | Information about each adviser’s policies and practices with respect to trading, including each adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by each adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
• | Data relating to portfolio turnover rates of each fund; |
Information about each Adviser
• | Reports detailing the financial results and condition of each adviser; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their responsibilities with respect to managing other mutual funds and investment accounts; |
• | The Code of Ethics of each adviser and its affiliates, together with information relating to compliance with and the administration of such codes; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | Information concerning the resources devoted to compliance efforts undertaken by each adviser and its affiliates (including descriptions of various compliance programs) and their record of compliance; |
• | Information concerning the business continuity and disaster recovery plans of each adviser and its affiliates; |
• | A description of Eaton Vance Management’s procedures for overseeing third party advisers and sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
87 |
Eaton Vance
Commodity Strategy Fund
April 30, 2018
Board of Trustees’ Contract Approval — continued
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by Eaton Vance Management and its affiliates; |
• | Information concerning management of the relationship with the custodian, subcustodians and fund accountants by each adviser or the funds’ administrator; and |
• | The terms of each investment advisory agreement. |
Over the course of the twelve-month period ended April 30, 2018, with respect to one or more funds, the Board met seven times and the Contract Review Committee, the Audit Committee, the Governance Committee, the Portfolio Management Committee and the Compliance Reports and Regulatory Matters Committee, each of which is a Committee comprised solely of Independent Trustees, met seven, thirteen, six, eight and nine times, respectively. At such meetings, the Trustees participated in investment and performance reviews with the portfolio managers and other investment professionals of each investment adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective, such as the use of derivative instruments, as well as risk management techniques. The Board and its Committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, fund governance and other issues with respect to the funds, and received and participated in reports and presentations provided by Eaton Vance Management and other fund advisers with respect to such matters. In addition to the formal meetings of the Board and its Committees, the Independent Trustees hold regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of investment advisory and sub-advisory agreements.
For funds that invest through one or more underlying portfolios, the Board considered similar information about the portfolio(s) when considering the approval of investment advisory agreements. In addition, in cases where the fund’s investment adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any sub-advisory agreement.
The Contract Review Committee was assisted throughout the contract review process by Goodwin Procter LLP, independent legal counsel for the Independent Trustees. The members of the Contract Review Committee relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and sub-advisory agreement and the weight to be given to each such factor. The conclusions reached with respect to each investment advisory and sub-advisory agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each member of the Contract Review Committee may have placed varying emphasis on particular factors in reaching conclusions with respect to each investment advisory and sub-advisory agreement. In evaluating each investment advisory and sub-advisory agreement, including the specific fee structures and other terms of the agreements, the Contract Review Committee was informed by multiple years of analysis and discussion among the Independent Trustees and the Eaton Vance Funds’ advisers and sub-advisers.
Results of the Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Contract Review Committee concluded that the continuation of the investment advisory and administrative agreement of Eaton Vance Commodity Strategy Fund (the “Fund”) with Eaton Vance Management (the “Adviser”), including its fee structure, is in the interests of shareholders and, therefore, the Contract Review Committee recommended to the Board approval of the agreement. The Board accepted the recommendation of the Contract Review Committee based on the material factors considered and conclusions reached by the Contract Review Committee with respect to the agreement. Accordingly, the Board, including a majority of the Independent Trustees, voted to approve continuation of the investment advisory and administrative agreement for the Fund.
Nature, Extent and Quality of Services
In considering whether to approve the investment advisory and administrative agreement of the Fund, the Board evaluated the nature, extent and quality of services provided to the Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the Fund, including the education, experience and number of its investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. The Board considered the abilities and experience of the Adviser’s investment professionals in investing in commodity-linked derivative securities and in securities, derivatives and other instruments through the Fund’s investment in Global Macro Absolute Return Advantage Portfolio to establish long and short investment exposures around the world, as well as in U.S. Treasury bills and other U.S. Treasury securities. The Board also took into account the resources dedicated to portfolio management and other services, as well as the compensation methods of the Adviser and other factors, such as the reputation and resources of the Adviser to recruit and retain highly qualified research, advisory and supervisory investment professionals. In addition, the Board considered the time and attention devoted to the Eaton Vance Funds, including the Fund, by senior management, as well as the infrastructure, operational capabilities and support staff in place to assist in the portfolio management and operations of the Fund, including the provision of administrative services. The Board also considered the business-related and other risks to which the Adviser or its affiliates may be subject in managing the Fund.
88 |
Eaton Vance
Commodity Strategy Fund
April 30, 2018
Board of Trustees’ Contract Approval — continued
The Board considered the compliance programs of the Adviser and relevant affiliates thereof. Among other matters, the Board considered compliance and reporting matters relating to personal trading by investment professionals, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity and the allocation of investment opportunities. The Board also considered the responses of the Adviser and its affiliates to requests in recent years from regulatory authorities such as the Securities and Exchange Commission and the Financial Industry Regulatory Authority.
The Board considered shareholder and other administrative services provided or managed by Eaton Vance Management and its affiliates, including transfer agency and accounting services. The Board evaluated the benefits to shareholders of investing in a fund that is a part of a large fund complex offering exposure to a variety of asset classes and investment disciplines, as well as the ability, in many cases, to exchange an investment among different funds without incurring additional sales charges.
After consideration of the foregoing factors, among others, the Board concluded that the nature, extent and quality of services provided by the Adviser, taken as a whole, are appropriate and consistent with the terms of the investment advisory and administrative agreement.
Fund Performance
The Board compared the Fund’s investment performance to that of comparable funds and appropriate benchmark indices, as well as a customized peer group of similarly managed funds. The Board’s review included comparative performance data for the one-, three- and five-year periods ended September 30, 2017 for the Fund. In this regard, the Board noted that the performance of the Fund was higher than the median performance of the Fund’s peer group and custom peer group for the three-year period. The Board also noted that the performance of the Fund was higher than its primary benchmark index for the three-year period. The Board concluded that the performance of the Fund was satisfactory.
Management Fees and Expenses
The Board considered contractual fee rates payable by the Fund for advisory and administrative services (referred to collectively as “management fees”). As part of its review, the Board considered the Fund’s management fees and total expense ratio for the one year period ended September 30, 2017, as compared to those of comparable funds, before and after giving effect to any undertaking to waive fees or reimburse expenses. The Board noted that the Fund has established a wholly-owned subsidiary to accommodate the Fund’s commodity-related investments. The subsidiary is managed by the Adviser pursuant to separate investment advisory agreement that is subject to annual approval by the Board. The subsidiary’s fee rates are the same as those charged to the Fund, and the Fund will not pay any additional management fees with respect to its assets invested in the subsidiary. The Board also considered certain Fund specific factors that had an impact on Fund expense ratios relative to comparable funds, as identified by management in response to inquiries from the Contract Review Committee.
After considering the foregoing information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the management fees charged for advisory and related services are reasonable.
Profitability and Other “Fall-Out” Benefits
The Board considered the level of profits realized by the Adviser and relevant affiliates thereof in providing investment advisory and administrative services to the Fund and to all Eaton Vance Funds as a group. The Board considered the level of profits realized without regard to marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered other direct or indirect fall-out benefits received by the Adviser and its affiliates in connection with their relationships with the Fund, including the benefits of research services that may be available to the Adviser as a result of securities transactions effected for the Fund and other investment advisory clients.
The Board concluded that, in light of the foregoing factors and the nature, extent and quality of the services rendered, the profits realized by the Adviser and its affiliates are deemed not to be excessive.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Fund, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from economies of scale, if any, with respect to the management of any specific fund or group of funds. The Board reviewed data summarizing the increases and decreases in the assets of the Fund and of all Eaton Vance Funds as a group over various time periods, and evaluated the extent to which the total expense ratio of the Fund and the profitability of the Adviser and its affiliates may have been affected by such increases or decreases. Based upon the foregoing, the Board concluded that the Fund currently shares in any benefits from economies of scale. The Board also concluded that, assuming reasonably foreseeable increases in the assets of the Fund, the structure of the advisory fee, which includes breakpoints at several asset levels, will allow the Fund to continue to benefit from any economies of scale in the future.
89 |
Eaton Vance
Commodity Strategy Fund
April 30, 2018
Officers and Trustees
Officers of Eaton Vance Commodity Strategy Fund
Payson F. Swaffield
President
Maureen A. Gemma
Vice President, Secretary and
Chief Legal Officer
James F. Kirchner
Treasurer
Richard F. Froio
Chief Compliance Officer
Trustees of Eaton Vance Commodity Strategy Fund
William H. Park
Chairperson
Thomas E. Faust Jr.*
Mark R. Fetting
Cynthia E. Frost
George J. Gorman
Valerie A. Mosley
Helen Frame Peters
Susan J. Sutherland
Harriett Tee Taggart
Scott E. Wennerholm
* | Interested Trustee |
90 |
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 (International) Limited, Eaton Vance Advisers International Ltd., 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 typically 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.
91 |
This Page Intentionally Left Blank
Investment Adviser and Administrator
Eaton Vance Management
Two International Place
Boston, MA 02110
Principal Underwriter*
Eaton Vance Distributors, Inc.
Two International Place
Boston, MA 02110
(617) 482-8260
Custodian
State Street Bank and Trust Company
State Street Financial Center, One Lincoln Street
Boston, MA 02111
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
Attn: Eaton Vance Funds
P.O. Box 9653
Providence, RI 02940-9653
(800) 262-1122
Fund Offices
Two International Place
Boston, MA 02110
* | 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. |
7770 4.30.18
Eaton Vance
Multisector Income Fund
Semiannual Report
April 30, 2018
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund has claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser with respect to the operation of the Fund is subject to CFTC regulation. Because of its management of other strategies, the Fund’s adviser is registered with the CFTC as a commodity pool operator and a commodity trading advisor.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested.
This report must be preceded or accompanied by a current summary prospectus or prospectus. Before investing, investors should consider carefully the investment objective, risks, and charges and expenses of a mutual fund. This and other important information is contained in the summary prospectus and prospectus, which can be obtained from a financial advisor. Prospective investors should read the prospectus carefully before investing. For further information, please call 1-800-262-1122.
Semiannual Report April 30, 2018
Eaton Vance
Multisector Income Fund
Table of Contents
Performance | 2 | |||
Fund Profile | 2 | |||
Endnotes and Additional Disclosures | 3 | |||
Fund Expenses | 4 | |||
Financial Statements | 5 | |||
Board of Trustees’ Contract Approval | 32 | |||
Officers and Trustees | 36 | |||
Important Notices | 37 |
Eaton Vance
Multisector Income Fund
April 30, 2018
Performance1,2
Portfolio Managers Kathleen C. Gaffney, CFA and Henry L. Peabody, CFA
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Since Inception | ||||||||||||||||||
Class A at NAV | 01/31/2013 | 01/31/2013 | 0.61 | % | 4.01 | % | 3.95 | % | 4.58 | % | ||||||||||||||
Class A with 4.75% Maximum Sales Charge | — | — | –4.19 | –0.93 | 2.93 | 3.61 | ||||||||||||||||||
Class C at NAV | 08/20/2013 | 01/31/2013 | 0.33 | 3.33 | 3.23 | 3.89 | ||||||||||||||||||
Class C with 1% Maximum Sales Charge | — | — | –0.66 | 2.33 | 3.23 | 3.89 | ||||||||||||||||||
Class I at NAV | 01/31/2013 | 01/31/2013 | 0.73 | 4.27 | 4.22 | 4.83 | ||||||||||||||||||
Class R at NAV | 11/12/2014 | 01/31/2013 | 0.49 | 3.67 | 3.75 | 4.39 | ||||||||||||||||||
Class R6 at NAV | 11/12/2014 | 01/31/2013 | 0.76 | 4.33 | 4.28 | 4.89 | ||||||||||||||||||
Bloomberg Barclays U.S. Government/Credit Bond Index | — | — | –2.02 | % | –0.30 | % | 1.41 | % | 1.71 | % | ||||||||||||||
ICE BofAML U.S. High Yield Index | — | — | –0.23 | 3.21 | 4.76 | 5.20 | ||||||||||||||||||
Blended Index | — | — | –1.39 | 0.93 | 2.61 | 2.95 | ||||||||||||||||||
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R | Class R6 | |||||||||||||||||||
0.97 | % | 1.72 | % | 0.72 | % | 1.22 | % | 0.66 | % |
Fund Profile4
Credit Quality (% total investments, excluding common stocks and short-term investments)5
Asset Allocation (% of total investments)
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Fund performance during certain periods reflects the strong bond market performance and/or the strong performance of bonds held during those periods. This performance is not typical and may not be repeated. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to eatonvance.com.
2 |
Eaton Vance
Multisector Income Fund
April 30, 2018
Endnotes and Additional Disclosures
1 | Bloomberg Barclays U.S. Government/Credit Bond Index measures the performance of U.S. Treasuries, government-related and investment-grade U.S. corporate securities with a maturity of one year or more. ICE BofAML U.S. High Yield Index is an unmanaged index of below-investment grade U.S. corporate bonds. ICE® BofAML® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofAML® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. The Blended Index consists of 65% Bloomberg Barclays U.S. Government/Credit Bond Index and 35% ICE BofAML U.S. High Yield Index, rebalanced monthly. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares. |
Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class C and Class R is linked to Class A and the performance of Class R6 is linked to Class I. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. Performance presented in the Financial Highlights included in the financial statements is not linked. |
3 | Source: Fund prospectus. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
4 | Fund primarily invests in an affiliated investment company (Portfolio) with the same objective(s) and policies as the Fund and may also invest directly. Unless otherwise noted, references to investments are to the aggregate holdings of the Fund and the Portfolio. Other represents any investment type less than 1% of total investments. |
The Board of Trustees recently approved the termination of the Portfolio and as a result, on or about June 22, 2018, the Fund plans to withdraw its investment in the Portfolio and invest its assets directly. |
5 | Ratings are based on Moody’s Investors Service, Inc. (“Moody’s”), S&P Global Ratings (“S&P”) or Fitch Ratings (“Fitch”), as applicable. If securities are rated differently by the ratings agencies, the highest rating is applied. Ratings, which are subject to change, apply to the creditworthiness of the issuers of the underlying securities and not to the Fund or its shares. Credit ratings measure the quality of a bond based on the issuer’s creditworthiness, with ratings ranging from AAA, being the highest, to D, being the lowest based on S&P’s measures. Ratings of BBB or higher by S&P or Fitch (Baa or higher by Moody’s) are considered to be investment-grade quality. Credit ratings are based largely on the ratings agency’s analysis at the time of rating. The rating assigned to any particular security is not necessarily a reflection of the issuer’s current financial condition and does not necessarily reflect its assessment of the volatility of a security’s market value or of the liquidity of an investment in the security. Holdings designated as “Not Rated” (if any) are not rated by the national ratings agencies stated above. |
Fund profile subject to change due to active management. |
3 |
Eaton Vance
Multisector Income Fund
April 30, 2018
Fund Expenses
Example: As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (November 1, 2017 – April 30, 2018).
Actual Expenses: The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes: The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees (if applicable). Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.
Beginning Account Value (11/1/17) | Ending Account Value (4/30/18) | Expenses Paid During Period* (11/1/17 – 4/30/18) | Annualized Expense Ratio | |||||||||||||
Actual | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,006.10 | $ | 4.87 | 0.98 | % | ||||||||
Class C | $ | 1,000.00 | $ | 1,003.30 | $ | 8.59 | 1.73 | % | ||||||||
Class I | $ | 1,000.00 | $ | 1,007.30 | $ | 3.63 | 0.73 | % | ||||||||
Class R | $ | 1,000.00 | $ | 1,004.90 | $ | 6.11 | 1.23 | % | ||||||||
Class R6 | $ | 1,000.00 | $ | 1,007.60 | $ | 3.34 | 0.67 | % | ||||||||
Hypothetical | ||||||||||||||||
(5% return per year before expenses) | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,019.90 | $ | 4.91 | 0.98 | % | ||||||||
Class C | $ | 1,000.00 | $ | 1,016.20 | $ | 8.65 | 1.73 | % | ||||||||
Class I | $ | 1,000.00 | $ | 1,021.20 | $ | 3.66 | 0.73 | % | ||||||||
Class R | $ | 1,000.00 | $ | 1,018.70 | $ | 6.16 | 1.23 | % | ||||||||
Class R6 | $ | 1,000.00 | $ | 1,021.50 | $ | 3.36 | 0.67 | % |
* | Expenses are equal to the Fund’s annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2017. The Example reflects the expenses of both the Fund and the Portfolio. |
4 |
Eaton Vance
Multisector Income Fund
April 30, 2018
Statement of Assets and Liabilities (Unaudited)
Assets | April 30, 2018 | |||
Investment in Multisector Income Portfolio, at value (identified cost, $479,265,855) | $ | 459,596,769 | ||
Receivable from affiliate | 52,064 | |||
Receivable for Fund shares sold | 330,064 | |||
Total assets | $ | 459,978,897 | ||
Liabilities | ||||
Payable for Fund shares redeemed | $ | 1,695,836 | ||
Payable to affiliates: | ||||
Distribution and service fees | 81,822 | |||
Trustees’ fees | 1,773 | |||
Accrued expenses | 166,910 | |||
Total liabilities | $ | 1,946,341 | ||
Net Assets | $ | 458,032,556 | ||
Sources of Net Assets | ||||
Paid-in capital | $ | 668,316,062 | ||
Accumulated undistributed net investment income | 817,146 | |||
Accumulated net realized loss from Portfolio | (191,431,566 | ) | ||
Net unrealized depreciation from Portfolio | (19,669,086 | ) | ||
Total | $ | 458,032,556 | ||
Class A Shares | ||||
Net Assets | $ | 62,787,815 | ||
Shares Outstanding | 5,898,642 | |||
Net Asset Value and Redemption Price Per Share | ||||
(net assets ÷ shares of beneficial interest outstanding) | $ | 10.64 | ||
Maximum Offering Price Per Share | ||||
(100 ÷ 95.25 of net asset value per share) | $ | 11.17 | ||
Class C Shares | ||||
Net Assets | $ | 81,398,199 | ||
Shares Outstanding | 7,665,954 | |||
Net Asset Value and Offering Price Per Share* | ||||
(net assets ÷ shares of beneficial interest outstanding) | $ | 10.62 | ||
Class I Shares | ||||
Net Assets | $ | 292,904,454 | ||
Shares Outstanding | 27,516,028 | |||
Net Asset Value, Offering Price and Redemption Price Per Share | ||||
(net assets ÷ shares of beneficial interest outstanding) | $ | 10.64 | ||
Class R Shares | ||||
Net Assets | $ | 988,199 | ||
Shares Outstanding | 92,952 | |||
Net Asset Value, Offering Price and Redemption Price Per Share | ||||
(net assets ÷ shares of beneficial interest outstanding) | $ | 10.63 | ||
Class R6 Shares | ||||
Net Assets | $ | 19,953,889 | ||
Shares Outstanding | 1,873,342 | |||
Net Asset Value, Offering Price and Redemption Price Per Share | ||||
(net assets ÷ shares of beneficial interest outstanding) | $ | 10.65 |
On sales of $50,000 or more, the offering price of Class A shares is reduced.
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
5 | See Notes to Financial Statements. |
Eaton Vance
Multisector Income Fund
April 30, 2018
Statement of Operations (Unaudited)
Investment Income | Six Months Ended April 30, 2018 | |||
Interest and other income allocated from Portfolio (net of foreign taxes, $617) | $ | 9,909,229 | ||
Dividends allocated from Portfolio (net of foreign taxes, $35,365) | 1,542,523 | |||
Expenses allocated from Portfolio | (1,439,132 | ) | ||
Total investment income from Portfolio | $ | 10,012,620 | ||
Expenses | ||||
Distribution and service fees | ||||
Class A | $ | 82,623 | ||
Class C | 438,795 | |||
Class R | 2,472 | |||
Trustees’ fees and expenses | 1,981 | |||
Custodian fee | 27,935 | |||
Transfer and dividend disbursing agent fees | 149,779 | |||
Legal and accounting services | 19,658 | |||
Printing and postage | 31,074 | |||
Registration fees | 55,646 | |||
Miscellaneous | 14,257 | |||
Total expenses | $ | 824,220 | ||
Net investment income | $ | 9,188,400 | ||
Realized and Unrealized Gain (Loss) from Portfolio | ||||
Net realized gain (loss) — | ||||
Investment transactions | $ | (20,875,394 | ) | |
Foreign currency transactions | (58,647 | ) | ||
Forward foreign currency exchange contracts | (8,775 | ) | ||
Net realized loss | $ | (20,942,816 | ) | |
Change in unrealized appreciation (depreciation) — | ||||
Investments (including net decrease in accrued foreign capital gains taxes of $4,817) | $ | 15,321,577 | ||
Foreign currency | 30,130 | |||
Forward foreign currency exchange contracts | 1,021 | |||
Net change in unrealized appreciation (depreciation) | $ | 15,352,728 | ||
Net realized and unrealized loss | $ | (5,590,088 | ) | |
Net increase in net assets from operations | $ | 3,598,312 |
6 | See Notes to Financial Statements. |
Eaton Vance
Multisector Income Fund
April 30, 2018
Statements of Changes in Net Assets
Increase (Decrease) in Net Assets | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||
From operations — | ||||||||
Net investment income | $ | 9,188,400 | $ | 23,048,107 | ||||
Net realized loss | (20,942,816 | ) | (17,443,133 | ) | ||||
Net change in unrealized appreciation (depreciation) | 15,352,728 | 58,327,112 | ||||||
Net increase in net assets from operations | $ | 3,598,312 | $ | 63,932,086 | ||||
Distributions to shareholders — | ||||||||
From net investment income | ||||||||
Class A | $ | (1,327,385 | ) | $ | (2,971,580 | ) | ||
Class C | (1,434,710 | ) | (2,577,098 | ) | ||||
Class I | (6,481,160 | ) | (11,607,512 | ) | ||||
Class R | (18,951 | ) | �� | (25,964 | ) | |||
Class R6 | (426,536 | ) | (253,903 | ) | ||||
Total distributions to shareholders | $ | (9,688,742 | ) | $ | (17,436,057 | ) | ||
Transactions in shares of beneficial interest — | ||||||||
Proceeds from sale of shares | ||||||||
Class A | $ | 5,685,470 | $ | 15,943,105 | ||||
Class C | 2,126,825 | 6,352,281 | ||||||
Class I | 48,908,753 | 140,648,915 | ||||||
Class R | 220,106 | 803,300 | ||||||
Class R6 | 12,285,163 | 4,406,408 | ||||||
Net asset value of shares issued to shareholders in payment of distributions declared | ||||||||
Class A | 1,027,513 | 2,462,729 | ||||||
Class C | 1,221,009 | 2,063,317 | ||||||
Class I | 5,742,552 | 9,691,291 | ||||||
Class R | 18,951 | 25,964 | ||||||
Class R6 | 325,434 | 65,440 | ||||||
Cost of shares redeemed | ||||||||
Class A | (13,040,349 | ) | (106,611,554 | ) | ||||
Class C | (13,197,039 | ) | (49,439,626 | ) | ||||
Class I | (75,013,222 | ) | (202,529,643 | ) | ||||
Class R | (215,642 | ) | (1,187,694 | ) | ||||
Class R6 | (1,144,934 | ) | (1,176,036 | ) | ||||
Net decrease in net assets from Fund share transactions | $ | (25,049,410 | ) | $ | (178,481,803 | ) | ||
Net decrease in net assets | $ | (31,139,840 | ) | $ | (131,985,774 | ) | ||
Net Assets | ||||||||
At beginning of period | $ | 489,172,396 | $ | 621,158,170 | ||||
At end of period | $ | 458,032,556 | $ | 489,172,396 | ||||
Accumulated undistributed net investment income included in net assets | ||||||||
At end of period | $ | 817,146 | $ | 1,317,488 |
7 | See Notes to Financial Statements. |
Eaton Vance
Multisector Income Fund
April 30, 2018
Financial Highlights
Class A | ||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2013(1) | ||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | |||||||||||||||||||||
Net asset value — Beginning of period | $ | 10.790 | $ | 9.960 | $ | 9.350 | $ | 11.030 | $ | 10.510 | $ | 10.000 | ||||||||||||
Income (Loss) From Operations | ||||||||||||||||||||||||
Net investment income | $ | 0.206 | (2) | $ | 0.459 | (2) | $ | 0.443 | (2) | $ | 0.432 | (2) | $ | 0.330 | (2) | $ | 0.241 | |||||||
Net realized and unrealized gain (loss) | (0.138 | ) | 0.717 | 0.438 | (3) | (1.776 | ) | 0.557 | 0.517 | |||||||||||||||
Total income (loss) from operations | $ | 0.068 | $ | 1.176 | $ | 0.881 | $ | (1.344 | ) | $ | 0.887 | $ | 0.758 | |||||||||||
Less Distributions | ||||||||||||||||||||||||
From net investment income | $ | (0.218 | ) | $ | (0.346 | ) | $ | (0.139 | ) | $ | (0.309 | ) | $ | (0.338 | ) | $ | (0.248 | ) | ||||||
From net realized gain | — | — | — | (0.022 | ) | (0.029 | ) | — | ||||||||||||||||
Tax return of capital | — | — | (0.132 | ) | (0.005 | ) | — | — | ||||||||||||||||
Total distributions | $ | (0.218 | ) | $ | (0.346 | ) | $ | (0.271 | ) | $ | (0.336 | ) | $ | (0.367 | ) | $ | (0.248 | ) | ||||||
Net asset value — End of period | $ | 10.640 | $ | 10.790 | $ | 9.960 | $ | 9.350 | $ | 11.030 | $ | 10.510 | ||||||||||||
Total Return(4) | 0.61 | %(5) | 11.91 | % | 9.76 | % | (12.43 | )% | 8.53 | % | 7.69 | %(5)(6) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 62,788 | $ | 69,945 | $ | 148,722 | $ | 280,596 | $ | 449,901 | $ | 15,942 | ||||||||||||
Ratios (as a percentage of average daily net assets):(7) | ||||||||||||||||||||||||
Expenses(8) | 0.98 | %(9) | 0.97 | % | 0.97 | % | 0.95 | % | 0.94 | % | 0.95 | %(6)(9) | ||||||||||||
Net investment income | 3.82 | %(9) | 4.37 | % | 4.87 | % | 4.14 | % | 2.98 | % | 3.31 | %(9) | ||||||||||||
Portfolio Turnover of the Fund | N.A. | (10) | N.A. | (10) | N.A. | (10) | N.A. | (10) | N.A. | (10) | 59 | %(5)(11) | ||||||||||||
Portfolio Turnover of Multisector Income Portfolio | 28 | %(5) | 44 | % | 74 | % | 45 | % | 46 | % | 40 | %(5)(12) | ||||||||||||
Portfolio Turnover of Eaton Vance Floating Rate Portfolio | N.A. | N.A. | N.A. | N.A. | N.A. | 32 | %(13) |
(1) | For the period from the start of business, January 31, 2013, to October 31, 2013. |
(2) | Computed using average shares outstanding. |
(3) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of sales of Fund shares and the amount of the per share realized and unrealized gains and losses at such time. |
(4) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(5) | Not annualized. |
(6) | The investment adviser and administrator reimbursed certain operating expenses (equal to 0.31% of average daily net assets for the period ended October 31, 2013). Absent this reimbursement, total return would be lower. |
(7) | Includes the Fund’s share of the Portfolios’ allocated expenses. |
(8) | Excludes the effect of custody fee credits, if any, of less than 0.005%. Effective September 1, 2015, custody fee credits, which were earned on cash deposit balances, were discontinued by the custodian. |
(9) | Annualized. |
(10) | The Fund invested only in the Multisector Income Portfolio for the indicated period. Accordingly, portfolio turnover of the Fund is not presented. |
(11) | Percentage is based on the Fund’s contributions to and withdrawals from the Portfolios and excludes the investment activity of the Portfolios. |
(12) | For the period from the Portfolio’s start of business, January 11, 2013, to October 31, 2013. |
(13) | For the Portfolio’s year ended October 31, 2013. |
8 | See Notes to Financial Statements. |
Eaton Vance
Multisector Income Fund
April 30, 2018
Financial Highlights — continued
Class C | ||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2013(1) | ||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | |||||||||||||||||||||
Net asset value — Beginning of period | $ | 10.760 | $ | 9.930 | $ | 9.330 | $ | 11.000 | $ | 10.500 | $ | 10.020 | ||||||||||||
Income (Loss) From Operations | ||||||||||||||||||||||||
Net investment income | $ | 0.165 | (2) | $ | 0.366 | (2) | $ | 0.370 | (2) | $ | 0.356 | (2) | $ | 0.245 | (2) | $ | 0.062 | |||||||
Net realized and unrealized gain (loss) | (0.127 | ) | 0.730 | 0.432 | (3) | (1.767 | ) | 0.556 | 0.495 | |||||||||||||||
Total income (loss) from operations | $ | 0.038 | $ | 1.096 | $ | 0.802 | $ | (1.411 | ) | $ | 0.801 | $ | 0.557 | |||||||||||
Less Distributions | ||||||||||||||||||||||||
From net investment income | $ | (0.178 | ) | $ | (0.266 | ) | $ | (0.108 | ) | $ | (0.233 | ) | $ | (0.272 | ) | $ | (0.077 | ) | ||||||
From net realized gain | — | — | — | (0.022 | ) | (0.029 | ) | — | ||||||||||||||||
Tax return of capital | — | — | (0.094 | ) | (0.004 | ) | — | — | ||||||||||||||||
Total distributions | $ | (0.178 | ) | $ | (0.266 | ) | $ | (0.202 | ) | $ | (0.259 | ) | $ | (0.301 | ) | $ | (0.077 | ) | ||||||
Net asset value — End of period | $ | 10.620 | $ | 10.760 | $ | 9.930 | $ | 9.330 | $ | 11.000 | $ | 10.500 | ||||||||||||
Total Return(4) | 0.33 | %(5) | 11.10 | % | 8.84 | % | (13.03 | )% | 7.69 | % | 5.58 | %(5)(6) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 81,398 | $ | 92,298 | $ | 124,153 | $ | 186,668 | $ | 226,907 | $ | 1,368 | ||||||||||||
Ratios (as a percentage of average daily net assets):(7) | ||||||||||||||||||||||||
Expenses(8) | 1.73 | %(9) | 1.72 | % | 1.72 | % | 1.70 | % | 1.69 | % | 1.70 | %(6)(9) | ||||||||||||
Net investment income | 3.06 | %(9) | 3.48 | % | 4.08 | % | 3.44 | % | 2.21 | % | 2.29 | %(9) | ||||||||||||
Portfolio Turnover of the Fund | N.A. | (10) | N.A. | (10) | N.A. | (10) | N.A. | (10) | N.A. | (10) | 59 | %(5)(11) | ||||||||||||
Portfolio Turnover of Multisector Income Portfolio | 28 | %(5) | 44 | % | 74 | % | 45 | % | 46 | % | 40 | %(5)(12) | ||||||||||||
Portfolio Turnover of Eaton Vance Floating Rate Portfolio | N.A. | N.A. | N.A. | N.A. | N.A. | 32 | %(13) |
(1) | For the period from the commencement of operations on August 20, 2013 to October 31, 2013. |
(2) | Computed using average shares outstanding. |
(3) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of sales of Fund shares and the amount of the per share realized and unrealized gains and losses at such time. |
(4) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(5) | Not annualized. |
(6) | The investment adviser and administrator reimbursed certain operating expenses (equal to 0.31% of average daily net assets for the period ended October 31, 2013). Absent this reimbursement, total return would be lower. |
(7) | Includes the Fund’s share of the Portfolios’ allocated expenses. |
(8) | Excludes the effect of custody fee credits, if any, of less than 0.005%. Effective September 1, 2015, custody fee credits, which were earned on cash deposit balances, were discontinued by the custodian. |
(9) | Annualized. |
(10) | The Fund invested only in the Multisector Income Portfolio for the indicated period. Accordingly, portfolio turnover of the Fund is not presented. |
(11) | Percentage is based on the Fund’s contributions to and withdrawals from the Portfolios and excludes the investment activity of the Portfolios. |
(12) | For the period from the Portfolio’s start of business, January 11, 2013, to October 31, 2013. |
(13) | For the Portfolio’s year ended October 31, 2013. |
9 | See Notes to Financial Statements. |
Eaton Vance
Multisector Income Fund
April 30, 2018
Financial Highlights — continued
Class I | ||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2013(1) | ||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | |||||||||||||||||||||
Net asset value — Beginning of period | $ | 10.790 | $ | 9.960 | $ | 9.350 | $ | 11.030 | $ | 10.510 | $ | 10.000 | ||||||||||||
Income (Loss) From Operations | ||||||||||||||||||||||||
Net investment income | $ | 0.219 | (2) | $ | 0.467 | (2) | $ | 0.465 | (2) | $ | 0.456 | (2) | $ | 0.357 | (2) | $ | 0.273 | |||||||
Net realized and unrealized gain (loss) | (0.137 | ) | 0.737 | 0.440 | (3) | (1.774 | ) | 0.554 | 0.500 | |||||||||||||||
Total income (loss) from operations | $ | 0.082 | $ | 1.204 | $ | 0.905 | $ | (1.318 | ) | $ | 0.911 | $ | 0.773 | |||||||||||
Less Distributions | ||||||||||||||||||||||||
From net investment income | $ | (0.232 | ) | $ | (0.374 | ) | $ | (0.151 | ) | $ | (0.335 | ) | $ | (0.362 | ) | $ | (0.263 | ) | ||||||
From net realized gain | — | — | — | (0.022 | ) | (0.029 | ) | — | ||||||||||||||||
Tax return of capital | — | — | (0.144 | ) | (0.005 | ) | — | — | ||||||||||||||||
Total distributions | $ | (0.232 | ) | $ | (0.374 | ) | $ | (0.295 | ) | $ | (0.362 | ) | $ | (0.391 | ) | $ | (0.263 | ) | ||||||
Net asset value — End of period | $ | 10.640 | $ | 10.790 | $ | 9.960 | $ | 9.350 | $ | 11.030 | $ | 10.510 | ||||||||||||
Total Return(4) | 0.73 | %(5) | 12.21 | % | 10.04 | % | (12.21 | )% | 8.77 | % | 7.85 | %(5)(6) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 292,904 | $ | 317,077 | $ | 341,902 | $ | 666,562 | $ | 1,135,342 | $ | 56,934 | ||||||||||||
Ratios (as a percentage of average daily net | ||||||||||||||||||||||||
Expenses(8) | 0.73 | %(9) | 0.72 | % | 0.72 | % | 0.70 | % | 0.69 | % | 0.70 | %(6)(9) | ||||||||||||
Net investment income | 4.07 | %(9) | 4.41 | % | 5.11 | % | 4.36 | % | 3.22 | % | 3.58 | %(9) | ||||||||||||
Portfolio Turnover of the Fund | N.A. | (10) | N.A. | (10) | N.A. | (10) | N.A. | (10) | N.A. | (10) | 59 | %(5)(11) | ||||||||||||
Portfolio Turnover of Multisector Income Portfolio | 28 | %(5) | 44 | % | 74 | % | 45 | % | 46 | % | 40 | %(5)(12) | ||||||||||||
Portfolio Turnover of Eaton Vance Floating Rate Portfolio | N.A. | N.A. | N.A. | N.A. | N.A. | 32 | %(13) |
(1) | For the period from the start of business, January 31, 2013, to October 31, 2013. |
(2) | Computed using average shares outstanding. |
(3) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of sales of Fund shares and the amount of the per share realized and unrealized gains and losses at such time. |
(4) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(5) | Not annualized. |
(6) | The investment adviser and administrator reimbursed certain operating expenses (equal to 0.31% of average daily net assets for the period ended October 31, 2013). Absent this reimbursement, total return would be lower. |
(7) | Includes the Fund’s share of the Portfolios’ allocated expenses. |
(8) | Excludes the effect of custody fee credits, if any, of less than 0.005%. Effective September 1, 2015, custody fee credits, which were earned on cash deposit balances, were discontinued by the custodian. |
(9) | Annualized. |
(10) | The Fund invested only in the Multisector Income Portfolio for the indicated period. Accordingly, portfolio turnover of the Fund is not presented. |
(11) | Percentage is based on the Fund’s contributions to and withdrawals from the Portfolios and excludes the investment activity of the Portfolios. |
(12) | For the period from the Portfolio’s start of business, January 11, 2013, to October 31, 2013. |
(13) | For the Portfolio’s year ended October 31, 2013. |
10 | See Notes to Financial Statements. |
Eaton Vance
Multisector Income Fund
April 30, 2018
Financial Highlights — continued
Class R | ||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2015(1) | ||||||||||||||
2017 | 2016 | |||||||||||||||
Net asset value — Beginning of period | $ | 10.780 | $ | 9.950 | $ | 9.360 | $ | 11.000 | ||||||||
Income (Loss) From Operations | ||||||||||||||||
Net investment income(2) | $ | 0.192 | $ | 0.416 | $ | 0.377 | $ | 0.466 | ||||||||
Net realized and unrealized gain (loss) | (0.137 | ) | 0.733 | 0.470 | (3) | (1.805 | ) | |||||||||
Total income (loss) from operations | $ | 0.055 | $ | 1.149 | $ | 0.847 | $ | (1.339 | ) | |||||||
Less Distributions | ||||||||||||||||
From net investment income | $ | (0.205 | ) | $ | (0.319 | ) | $ | (0.136 | ) | $ | (0.275 | ) | ||||
From net realized gain | — | — | — | (0.022 | ) | |||||||||||
Tax return of capital | — | — | (0.121 | ) | (0.004 | ) | ||||||||||
Total distributions | $ | (0.205 | ) | $ | (0.319 | ) | $ | (0.257 | ) | $ | (0.301 | ) | ||||
Net asset value — End of period | $ | 10.630 | $ | 10.780 | $ | 9.950 | $ | 9.360 | ||||||||
Total Return(4) | 0.49 | %(5) | 11.64 | % | 9.35 | % | (12.40 | )%(5) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 988 | $ | 978 | $ | 1,260 | $ | 26 | ||||||||
Ratios (as a percentage of average daily net assets):(6) | ||||||||||||||||
Expenses(7) | 1.23 | %(8) | 1.22 | % | 1.21 | % | 1.20 | %(8) | ||||||||
Net investment income | 3.57 | %(8) | 3.95 | % | 3.99 | % | 5.04 | %(8) | ||||||||
Portfolio Turnover of the Portfolio | 28 | %(5) | 44 | % | 74 | % | 45 | %(9) |
(1) | For the period from the commencement of operations on November 12, 2014 to October 31, 2015. |
(2) | Computed using average shares outstanding. |
(3) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of sales of Fund shares and the amount of the per share realized and unrealized gains and losses at such time. |
(4) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(5) | Not annualized. |
(6) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(7) | Excludes the effect of custody fee credits, if any, of less than 0.005%. Effective September 1, 2015, custody fee credits, which were earned on cash deposit balances, were discontinued by the custodian. |
(8) | Annualized. |
(9) | For the Portfolio’s year ended October 31, 2015. |
11 | See Notes to Financial Statements. |
Eaton Vance
Multisector Income Fund
April 30, 2018
Financial Highlights — continued
Class R6 | ||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2015(1) | ||||||||||||||
2017 | 2016 | |||||||||||||||
Net asset value — Beginning of period | $ | 10.800 | $ | 9.970 | $ | 9.360 | $ | 11.000 | ||||||||
Income (Loss) From Operations | ||||||||||||||||
Net investment income(2) | $ | 0.224 | $ | 0.461 | $ | 0.467 | $ | 0.490 | ||||||||
Net realized and unrealized gain (loss) | (0.139 | ) | 0.750 | 0.444 | (3) | (1.760 | ) | |||||||||
Total income (loss) from operations | $ | 0.085 | $ | 1.211 | $ | 0.911 | $ | (1.270 | ) | |||||||
Less Distributions | ||||||||||||||||
From net investment income | $ | (0.235 | ) | $ | (0.381 | ) | $ | (0.153 | ) | $ | (0.343 | ) | ||||
From net realized gain | — | — | — | (0.022 | ) | |||||||||||
Tax return of capital | — | — | (0.148 | ) | (0.005 | ) | ||||||||||
Total distributions | $ | (0.235 | ) | $ | (0.381 | ) | $ | (0.301 | ) | $ | (0.370 | ) | ||||
Net asset value — End of period | $ | 10.650 | $ | 10.800 | $ | 9.970 | $ | 9.360 | ||||||||
Total Return(4) | 0.76 | %(5) | 12.26 | % | 10.10 | % | (11.82 | )%(5) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 19,954 | $ | 8,874 | $ | 5,121 | $ | 5,858 | ||||||||
Ratios (as a percentage of average daily net assets):(6) | ||||||||||||||||
Expenses(7) | 0.67 | %(8) | 0.66 | % | 0.65 | % | 0.64 | %(8) | ||||||||
Net investment income | 4.15 | %(8) | 4.33 | % | 5.13 | % | 5.00 | %(8) | ||||||||
Portfolio Turnover of the Portfolio | 28 | %(5) | 44 | % | 74 | % | 45 | %(9) |
(1) | For the period from the commencement of operations on November 12, 2014 to October 31, 2015. |
(2) | Computed using average shares outstanding. |
(3) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of sales of Fund shares and the amount of the per share realized and unrealized gains and losses at such time. |
(4) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(5) | Not annualized. |
(6) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(7) | Excludes the effect of custody fee credits, if any, of less than 0.005%. Effective September 1, 2015, custody fee credits, which were earned on cash deposit balances, were discontinued by the custodian. |
(8) | Annualized. |
(9) | For the Portfolio’s year ended October 31, 2015. |
12 | See Notes to Financial Statements. |
Eaton Vance
Multisector Income Fund
April 30, 2018
Notes to Financial Statements (Unaudited)
1 Significant Accounting Policies
Eaton Vance Multisector Income Fund (the Fund) is a non-diversified series of Eaton Vance Special Investment Trust (the Trust). The Trust is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The Fund offers five classes of shares. Class A shares are generally sold subject to a sales charge imposed at time of purchase. Class C shares are sold at net asset value and are generally subject to a contingent deferred sales charge (see Note 5). Class I, Class R and Class R6 shares are sold at net asset value and are not subject to a sales charge. Each class represents a pro-rata interest in the Fund, but votes separately on class-specific matters and (as noted below) is subject to different expenses. Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based on the relative net assets of each class to the total net assets of the Fund. Sub-accounting, recordkeeping and similar administrative fees payable to financial intermediaries, which are a component of transfer and dividend disbursing agent fees on the Statement of Operations, are not allocated to Class R6 shares. Each class of shares differs in its distribution plan and certain other class-specific expenses. The Fund primarily invests its assets in interests in Multisector Income Portfolio, (the Portfolio), a Massachusetts business trust, having the same investment objective and policies as the Fund. The Fund may also invest directly in securities and other instruments. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in the net assets of the Portfolio (99.9% at April 30, 2018). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including the portfolio of investments, are included elsewhere in this report and should be read in conjunction with the Fund’s financial statements.
The following is a summary of significant accounting policies of the Fund. The policies are in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Fund 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 — Valuation of securities by the Portfolio is discussed in Note 1A of the Portfolio’s Notes to Financial Statements, which are included elsewhere in this report.
B Income — The Fund’s net investment income or loss consists of the Fund’s pro-rata share of the net investment income or loss of the Portfolio, less all actual and accrued expenses of the Fund.
C Federal Taxes — The Fund’s policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders each year substantially all of its net investment income, and all or substantially all of its net realized capital gains. Accordingly, no provision for federal income or excise tax is necessary.
As of April 30, 2018, the Fund had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Fund 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.
D Expenses — The majority of expenses of the Trust are directly identifiable to an individual fund. Expenses which are not readily identifiable to a specific fund are allocated taking into consideration, among other things, the nature and type of expense and the relative size of the funds.
E 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.
F Indemnifications — Under the Trust’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 Fund. Under Massachusetts law, if certain conditions prevail, shareholders of a Massachusetts business trust (such as the Trust) could be deemed to have personal liability for the obligations of the Trust. However, the Trust’s Declaration of Trust contains an express disclaimer of liability on the part of Fund shareholders and the By-laws provide that the Trust shall assume the defense on behalf of any Fund shareholders. Moreover, the By-laws also provide for indemnification out of Fund property of any shareholder held personally liable solely by reason of being or having been a shareholder for all loss or expense arising from such liability. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
G Other — Investment transactions are accounted for on a trade date basis.
H Interim Financial Statements — The interim financial statements relating to April 30, 2018 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Fund’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
2 Distributions to Shareholders and Income Tax Information
It is the present policy of the Fund to make monthly distributions of all or substantially all of its net investment income and to distribute annually all or substantially all of its net realized capital gains. Distributions to shareholders are recorded on the ex-dividend date. Distributions are declared separately for
13 |
Eaton Vance
Multisector Income Fund
April 30, 2018
Notes to Financial Statements (Unaudited) — continued
each class of shares. Shareholders may reinvest income and capital gain distributions in additional shares of the same class of the Fund at the net asset value as of the ex-dividend date or, at the election of the shareholder, receive distributions in cash. Distributions to shareholders are determined in accordance with income tax regulations, which may differ from U.S. GAAP. As required by U.S. GAAP, only distributions in excess of tax basis earnings and profits are reported in the financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid-in capital. For tax purposes, distributions from short-term capital gains are considered to be from ordinary income.
At October 31, 2017, the Fund, for federal income tax purposes, had deferred capital losses of $170,016,983 which would reduce its taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Fund’s next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at October 31, 2017, $170,016,983 are long-term.
3 Investment Adviser and Administration Fee and Other Transactions with Affiliates
The investment adviser and administration fee is earned by Eaton Vance Management (EVM) as compensation for investment advisory and administrative services rendered to the Fund. The fee is computed at an annual rate of 0.55% of the Fund’s average daily net assets that are not invested in other investment companies for which EVM or its affiliates serve as investment adviser or administrator (“Investable Assets”) up to $1 billion and is payable monthly. On Investable Assets of $1 billion and over, the annual fee is reduced. For the six months ended April 30, 2018, the Fund incurred no investment adviser and administration fee on Investable Assets. To the extent the Fund’s assets are invested in the Portfolio, the Fund is allocated its share of the Portfolio’s investment adviser fees. The Portfolio has engaged Boston Management and Research (BMR), a subsidiary of EVM, to render investment advisory services. See Note 2 of the Portfolio’s Notes to Financial Statements which are included elsewhere in this report.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the six months ended April 30, 2018, EVM earned $5,228 from the Fund pursuant to such agreement, which is included in transfer and dividend disbursing agent fees on the Statement of Operations. The Fund was informed that Eaton Vance Distributors, Inc. (EVD), an affiliate of EVM and the Fund’s principal underwriter, received $4,025 as its portion of the sales charge on sales of Class A shares for the six months ended April 30, 2018. EVD also received distribution and service fees from Class A, Class C and Class R shares (see Note 4) and contingent deferred sales charges (see Note 5).
Trustees and officers of the Fund who are members of EVM’s or BMR’s organizations receive remuneration for their services to the Fund out of the investment adviser fee. Certain officers and Trustees of the Fund and the Portfolio are officers of the above organizations.
4 Distribution Plans
The Fund has in effect a distribution plan for Class A shares (Class A Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class A Plan, the Fund pays EVD a distribution and service fee of 0.25% per annum of its average daily net assets attributable to Class A shares for distribution services and facilities provided to the Fund by EVD, as well as for personal services and/or the maintenance of shareholder accounts. Distribution and service fees paid or accrued to EVD for the six months ended April 30, 2018 amounted to $82,623 for Class A shares. The Fund also has in effect distribution plans for Class C shares (Class C Plan) and Class R shares (Class R Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class C Plan, the Fund pays EVD amounts equal to 0.75% per annum of its average daily net assets attributable to Class C shares for providing ongoing distribution services and facilities to the Fund. For the six months ended April 30, 2018, the Fund paid or accrued to EVD $329,096 for Class C shares. The Class R Plan requires the Fund to pay EVD an amount up to 0.50% per annum of its average daily net assets attributable to Class R shares for providing ongoing distribution services and facilities to the Fund. The Trustees of the Trust have currently limited Class R distribution payments to 0.25% per annum of the average daily net assets attributable to Class R shares. For the six months ended April 30, 2018, the Fund paid or accrued to EVD $1,236 for Class R shares.
Pursuant to the Class C and Class R Plans, the Fund also makes payments of service fees to EVD, financial intermediaries and other persons in amounts equal to 0.25% per annum of its average daily net assets attributable to that class. Service fees paid or accrued are for personal services and/or the maintenance of shareholder accounts. They are separate and distinct from the sales commissions and distribution fees payable to EVD. Service fees paid or accrued for the six months ended April 30, 2018 amounted to $109,699 and $1,236 for Class C and Class R shares, respectively.
Distribution and service fees are subject to the limitations contained in the Financial Industry Regulatory Authority Rule 2341(d).
5 Contingent Deferred Sales Charges
A contingent deferred sales charge (CDSC) of 1% generally is imposed on redemptions of Class C shares made within one year of purchase. Class A shares may be subject to a 1% CDSC if redeemed within 18 months of purchase (depending on the circumstances of purchase). Generally, the CDSC is based upon the lower of the net asset value at date of redemption or date of purchase. No charge is levied on shares acquired by reinvestment of dividends or capital gain distributions. For the six months ended April 30, 2018, the Fund was informed that EVD received approximately $1,000 of CDSCs paid by Class C shareholders and no CDSCs paid by Class A shareholders.
14 |
Eaton Vance
Multisector Income Fund
April 30, 2018
Notes to Financial Statements (Unaudited) — continued
6 Investment Transactions
For the six months ended April 30, 2018, increases and decreases in the Fund’s investment in the Portfolio aggregated $13,504,607 and $48,341,464, respectively.
7 Shares of Beneficial Interest
The Fund’s Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Such shares may be issued in a number of different series (such as the Fund) and classes. Transactions in Fund shares were as follows:
Class A | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||
Sales | 520,113 | 1,509,444 | ||||||
Issued to shareholders electing to receive payments of distributions in Fund shares | 94,726 | 233,270 | ||||||
Redemptions | (1,198,549 | ) | (10,197,917 | ) | ||||
Net decrease | (583,710 | ) | (8,455,203 | ) | ||||
Class C | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||
Sales | 195,687 | 604,232 | ||||||
Issued to shareholders electing to receive payments of distributions in Fund shares | 112,807 | 194,327 | ||||||
Redemptions | (1,217,111 | ) | (4,722,356 | ) | ||||
Net decrease | (908,617 | ) | (3,923,797 | ) | ||||
Class I | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||
Sales | 4,493,333 | 13,371,201 | ||||||
Issued to shareholders electing to receive payments of distributions in Fund shares | 529,543 | 910,165 | ||||||
Redemptions | (6,891,880 | ) | (19,226,102 | ) | ||||
Net decrease | (1,869,004 | ) | (4,944,736 | ) | ||||
Class R | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||
Sales | 20,280 | 76,523 | ||||||
Issued to shareholders electing to receive payments of distributions in Fund shares | 1,750 | 2,448 | ||||||
Redemptions | (19,859 | ) | (114,852 | ) | ||||
Net increase (decrease) | 2,171 | (35,881 | ) | |||||
Class R6 | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||
Sales | 1,126,014 | 413,459 | ||||||
Issued to shareholders electing to receive payments of distributions in Fund shares | 30,022 | 6,043 | ||||||
Redemptions | (104,517 | ) | (111,497 | ) | ||||
Net increase | 1,051,519 | 308,005 |
15 |
Multisector Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited)
Corporate Bonds & Notes — 25.5% | ||||||||||||
Security | Principal Amount* (000’s omitted) | Value | ||||||||||
Auto Manufacturers — 2.4% | ||||||||||||
Ford Motor Credit Co., LLC, 3.588%, 6/2/20 | AUD | 14,380 | $ | 10,960,191 | ||||||||
$ | 10,960,191 | |||||||||||
Banks — 2.7% | ||||||||||||
Goldman Sachs Group, Inc. (The), 5.20%, 12/17/19 | NZD | 11,300 | $ | 8,223,325 | ||||||||
JPMorgan Chase & Co., 4.25%, 11/2/18 | NZD | 6,095 | 4,322,231 | |||||||||
$ | 12,545,556 | |||||||||||
Commercial Services — 0.4% | ||||||||||||
ServiceMaster Co., LLC (The), 7.25%, 3/1/38 | 1,670 | $ | 1,682,525 | |||||||||
$ | 1,682,525 | |||||||||||
Computers — 1.8% | ||||||||||||
Seagate HDD Cayman, 4.875%, 6/1/27 | 3,731 | $ | 3,504,060 | |||||||||
Seagate HDD Cayman, 5.75%, 12/1/34 | 5,169 | 4,821,673 | ||||||||||
$ | 8,325,733 | |||||||||||
Diversified Financial Services — 2.9% | ||||||||||||
Jefferies Finance, LLC/JFIN Co-Issuer Corp., 7.25%, 8/15/24(1) | 2,623 | $ | 2,613,164 | |||||||||
Och-Ziff Finance Co., LLC, 4.50%, 11/20/19(1) | 10,645 | 10,883,448 | ||||||||||
$ | 13,496,612 | |||||||||||
Electronics — 0.6% | ||||||||||||
Ingram Micro, Inc., 5.45%, 12/15/24 | 2,540 | $ | 2,470,463 | |||||||||
$ | 2,470,463 | |||||||||||
Home Builders — 2.0% | ||||||||||||
MDC Holdings, Inc., 6.00%, 1/15/43 | 9,914 | $ | 9,294,375 | |||||||||
$ | 9,294,375 | |||||||||||
Oil & Gas — 2.1% | ||||||||||||
Nabors Industries, Inc., 5.10%, 9/15/23 | 2,515 | $ | 2,401,825 | |||||||||
Rowan Cos., Inc., 5.40%, 12/1/42 | 9,894 | 7,173,150 | ||||||||||
$ | 9,574,975 | |||||||||||
Oil & Gas Services — 1.6% | ||||||||||||
Oceaneering International, Inc., 6.00%, 2/1/28 | 7,365 | $ | 7,341,552 | |||||||||
$ | 7,341,552 |
Security | Principal Amount* (000’s omitted) | Value | ||||||||||
Pharmaceuticals — 0.3% | ||||||||||||
CVS Health Corp., 4.30%, 3/25/28 | 1,516 | $ | 1,497,149 | |||||||||
$ | 1,497,149 | |||||||||||
Real Estate Investment Trusts (REITs) — 2.4% | ||||||||||||
CBL & Associates, L.P., 4.60%, 10/15/24 | 6,080 | $ | 4,839,405 | |||||||||
CBL & Associates, L.P., 5.95%, 12/15/26 | 3,470 | 2,784,570 | ||||||||||
EPR Properties, 4.50%, 6/1/27 | 3,700 | 3,513,033 | ||||||||||
$ | 11,137,008 | |||||||||||
Retail — 5.0% | ||||||||||||
JC Penney Corp., Inc., 6.375%, 10/15/36 | 3,000 | $ | 1,890,000 | |||||||||
Macy’s Retail Holdings, Inc., 4.30%, 2/15/43 | 10,900 | 8,533,265 | ||||||||||
Nordstrom, Inc., 5.00%, 1/15/44 | 7,605 | 6,951,832 | ||||||||||
Signet UK Finance PLC, 4.70%, 6/15/24 | 6,014 | 5,730,209 | ||||||||||
$ | 23,105,306 | |||||||||||
Toys, Games & Hobbies — 1.3% | ||||||||||||
Mattel, Inc., 3.15%, 3/15/23 | 3,785 | $ | 3,245,637 | |||||||||
Mattel, Inc., 5.45%, 11/1/41 | 910 | 741,650 | ||||||||||
Mattel, Inc., 6.20%, 10/1/40 | 1,180 | 1,005,950 | ||||||||||
Mattel, Inc., 6.75%, 12/31/25(1) | 1,005 | 980,981 | ||||||||||
$ | 5,974,218 | |||||||||||
Total Corporate Bonds & Notes |
| $ | 117,405,663 | |||||||||
Foreign Corporate Bonds — 19.0% | ||||||||||||
Security | Principal Amount* (000’s omitted) | Value | ||||||||||
Airlines — 1.8% | ||||||||||||
Azul Investments LLP, 5.875%, 10/26/24(1) | 7,120 | $ | 6,861,900 | |||||||||
Latam Finance, Ltd., 6.875%, 4/11/24(1) | 1,150 | 1,181,625 | ||||||||||
$ | 8,043,525 | |||||||||||
Banks — 2.9% | ||||||||||||
Australia and New Zealand Banking Group, Ltd., 3.75%, 7/25/19(2) | AUD | 9,450 | $ | 7,223,617 | ||||||||
Banco Mercantil del Norte S.A./Grand Cayman, 5.75% to 10/4/26, 10/4/31(1)(3) | 2,945 | 2,845,606 | ||||||||||
Banco Mercantil del Norte S.A./Grand Cayman, 7.625% to 1/10/28(1)(3)(4) | 610 | 632,113 | ||||||||||
BBVA Bancomer S.A., 5.125% to 1/18/28, 1/18/33(1)(3) | 2,535 | 2,405,081 | ||||||||||
$ | 13,106,417 |
16 | See Notes to Financial Statements. |
Multisector Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount* (000’s omitted) | Value | ||||||||||
Diversified Financial Services — 0.8% | ||||||||||||
Banco BTG Pactual S.A./Cayman Islands, 5.75%, 9/28/22(1) | 3,578 | $ | 3,526,548 | |||||||||
Unifin Financiera SAB de CV, 8.875% to 1/29/25(1)(3)(4) | 270 | 260,550 | ||||||||||
$ | 3,787,098 | |||||||||||
Electric — 1.2% | ||||||||||||
Trinidad Generation Unlimited, 5.25%, 11/4/27(1) | 5,411 | $ | 5,465,110 | |||||||||
$ | 5,465,110 | |||||||||||
Foods — 1.8% | ||||||||||||
ESAL GmbH, 6.25%, 2/5/23(1) | 8,730 | $ | 8,358,975 | |||||||||
$ | 8,358,975 | |||||||||||
Holding Company – Diversified — 0.6% | ||||||||||||
Grupo KUO SAB de CV, 5.75%, 7/7/27(1) | 2,680 | $ | 2,627,767 | |||||||||
$ | 2,627,767 | |||||||||||
Mining — 0.6% | ||||||||||||
Yamana Gold, Inc., 4.625%, 12/15/27(1) | 3,075 | $ | 2,982,418 | |||||||||
$ | 2,982,418 | |||||||||||
Miscellaneous Manufacturing — 2.0% | ||||||||||||
Bombardier, Inc., 7.45%, 5/1/34(1) | 9,110 | $ | 9,246,650 | |||||||||
$ | 9,246,650 | |||||||||||
Oil & Gas — 5.0% | ||||||||||||
Ecopetrol S.A., 5.875%, 5/28/45 | 4,693 | $ | 4,542,824 | |||||||||
Gran Tierra Energy International Holdings, Ltd., 6.25%, 2/15/25(1) | 4,900 | 4,691,750 | ||||||||||
Petrobras Global Finance B.V., 5.625%, 5/20/43 | 11,000 | 9,224,600 | ||||||||||
YPF S.A., 7.00%, 12/15/47(1) | 5,230 | 4,652,085 | ||||||||||
$ | 23,111,259 | |||||||||||
Pharmaceuticals — 1.3% | ||||||||||||
Teva Pharmaceutical Finance Netherlands III B.V., 4.10%, 10/1/46 | 3,125 | $ | 2,313,694 | |||||||||
Teva Pharmaceutical Finance Netherlands III B.V., 6.00%, 4/15/24(1) | 3,660 | 3,554,480 | ||||||||||
$ | 5,868,174 |
Security | Principal Amount* (000’s omitted) | Value | ||||||||||
Transportation — 1.0% | ||||||||||||
JSL Europe S.A., 7.75%, 7/26/24(1) | 4,725 | $ | 4,772,250 | |||||||||
$ | 4,772,250 | |||||||||||
Total Foreign Corporate Bonds |
| $ | 87,369,643 | |||||||||
Foreign Government Bonds — 23.5% | ||||||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Australia — 2.2% | ||||||||||||
Queensland Treasury Corp., 5.50%, 6/21/21(2) | AUD | 12,360 | $ | 10,178,111 | ||||||||
$ | 10,178,111 | |||||||||||
Brazil — 2.3% | ||||||||||||
Nota do Tesouro Nacional, 10.00%, 1/1/25 | BRL | 35,500 | $ | 10,455,232 | ||||||||
$ | 10,455,232 | |||||||||||
Canada — 6.3% | ||||||||||||
Canada Housing Trust, 1.25%, 6/15/21(1) | CAD | 17,620 | $ | 13,333,123 | ||||||||
Canada Housing Trust, 3.80%, 6/15/21(1) | CAD | 3,480 | 2,841,541 | |||||||||
Canadian Government Bond, 0.75%, 3/1/21 | CAD | 16,830 | 12,672,409 | |||||||||
$ | 28,847,073 | |||||||||||
Malaysia — 2.2% | ||||||||||||
Malaysia Government Bond, 3.441%, 2/15/21 | MYR | 39,385 | $ | 9,965,183 | ||||||||
$ | 9,965,183 | |||||||||||
Mexico — 3.9% | ||||||||||||
Mexican Bonos, 7.75%, 5/29/31 | MXN | 334,510 | $ | 18,152,065 | ||||||||
$ | 18,152,065 | |||||||||||
Norway — 1.3% | ||||||||||||
Kommunalbanken AS, 5.00%, 3/28/19 | NZD | 8,300 | $ | 5,981,959 | ||||||||
$ | 5,981,959 | |||||||||||
Supranational — 4.8% | ||||||||||||
European Bank for Reconstruction & Development, 7.375%, 4/15/19 | IDR | 64,080,000 | $ | 4,644,187 | ||||||||
European Investment Bank, 7.20%, 7/9/19(1) | IDR | 64,010,000 | 4,651,508 | |||||||||
International Bank for Reconstruction & Development, 3.50%, 1/22/21 | NZD | 4,960 | 3,571,571 |
17 | See Notes to Financial Statements. |
Multisector Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Supranational (continued) | ||||||||||||
International Finance Corp., 6.30%, 11/25/24 | INR | 420,000 | $ | 6,204,660 | ||||||||
International Finance Corp., 6.45%, 10/30/18 | INR | 205,840 | 3,097,050 | |||||||||
$ | 22,168,976 | |||||||||||
Uruguay — 0.5% | ||||||||||||
Republic of Uruguay, 8.50%, 3/15/28(1) | UYU | 71,170 | $ | 2,398,804 | ||||||||
$ | 2,398,804 | |||||||||||
Total Foreign Government Bonds |
| $ | 108,147,403 | |||||||||
Convertible Bonds — 2.7% | ||||||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Oil & Gas — 2.7% | ||||||||||||
Ascent Resources-Utica, LLC/ARU Finance Corp., 6.00%, 3/1/21(1)(5) | $ | 3,815 | $ | 4,899,709 | ||||||||
Nabors Industries, Inc., 0.75%, 1/15/24 | 9,565 | 7,520,481 | ||||||||||
Total Convertible Bonds |
| $ | 12,420,190 | |||||||||
Asset-Backed Securities — 0.2% | ||||||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Thunderbolt Aircraft Lease, Ltd., | $ | 916 | $ | 925,091 | ||||||||
Total Asset-Backed Securities |
| $ | 925,091 | |||||||||
Commercial Mortgage-Backed Securities — 5.8% | ||||||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||||
CFCRE Commercial Mortgage Trust | ||||||||||||
Series 2016-C7, Class D, 4.588%, 12/10/54(1)(7) | $ | 2,000 | $ | 1,676,310 | ||||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||||||
Series 2015-C29, Class D, 3.842%, 5/15/48(7) | 5,000 | 4,057,951 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||||||
Series 2015-C23, Class D, 4.271%, 7/15/50(1)(7) | 2,650 | 2,318,129 | ||||||||||
Series 2016-C32, Class D, 3.396%, 12/15/49(1)(7) | 3,685 | 2,845,523 |
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Wells Fargo Commercial Mortgage Trust | ||||||||||||
Series 2015-C26, Class D, 3.586%, 2/15/48(1) | $ | 3,386 | $ | 2,651,039 | ||||||||
Series 2015-C31, Class D, 3.852%, 11/15/48 | 4,900 | 3,896,284 | ||||||||||
Series 2016-C35, Class D, 3.142%, 7/15/48(1) | 8,400 | 6,241,117 | ||||||||||
WF-RBS Commercial Mortgage Trust | ||||||||||||
Series 2014-C24, Class D, 3.692%, 11/15/47(1) | 4,025 | 2,829,091 | ||||||||||
Total Commercial Mortgage-Backed Securities | $ | 26,515,444 | ||||||||||
Senior Floating-Rate Loans — 0.6%(8) | ||||||||||||
Borrower/ Tranche Description | Principal Amount (000’s omitted) | Value | ||||||||||
Business Equipment and Services — 0.0%(9) | ||||||||||||
Education Management, LLC, Term Loan, 0.00%, Maturing 7/2/20(10)(11) | $ | 442 | $ | 0 | ||||||||
Education Management, LLC, Term Loan, | 197 | 93,351 | ||||||||||
$ | 93,351 | |||||||||||
Health Care — 0.6% | ||||||||||||
BioClinica, Inc., Term Loan, 6.63%, (3 mo. USD LIBOR + 4.25%), Maturing 10/20/23 | $ | 2,717 | $ | 2,663,131 | ||||||||
$ | 2,663,131 | |||||||||||
Total Senior Floating-Rate Loans |
| $ | 2,756,482 | |||||||||
Common Stocks — 7.1% | ||||||||||||
Security | Shares | Value | ||||||||||
Business Equipment and Services — 0.0% | ||||||||||||
Education Management Corp.(10)(12)(13) | 2,788,966 | $ | 0 | |||||||||
$ | 0 | |||||||||||
Electronics — 0.5% | ||||||||||||
Corning, Inc. | 88,391 | $ | 2,388,325 | |||||||||
$ | 2,388,325 | |||||||||||
Home Builders — 1.0% | ||||||||||||
Lennar Corp., Class A | 80,839 | $ | 4,275,575 | |||||||||
Lennar Corp., Class B | 2,450 | 104,590 | ||||||||||
$ | 4,380,165 |
18 | See Notes to Financial Statements. |
Multisector Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Security | Shares | Value | ||||||||||
Media — 0.5% | ||||||||||||
Walt Disney Co. (The) | 23,750 | $ | 2,382,838 | |||||||||
$ | 2,382,838 | |||||||||||
Mining — 0.5% | ||||||||||||
Newmont Mining Corp. | 63,100 | $ | 2,479,199 | |||||||||
$ | 2,479,199 | |||||||||||
Miscellaneous Manufacturing — 0.7% | ||||||||||||
Ingersoll-Rand PLC | 24,650 | $ | 2,067,889 | |||||||||
Toshiba Corp.(12) | 332,000 | 889,788 | ||||||||||
$ | 2,957,677 | |||||||||||
Oil & Gas — 2.3% | ||||||||||||
Frontera Energy Corp.(12) | 85,480 | $ | 2,634,066 | |||||||||
Royal Dutch Shell PLC, Class B, ADR | 72,926 | 5,281,301 | ||||||||||
Sable Permian Resources, LLC(10)(12)(13) | 11,719,991 | 2,695,598 | ||||||||||
$ | 10,610,965 | |||||||||||
Retail — 0.1% | ||||||||||||
Signet Jewelers, Ltd. | 12,300 | $ | 478,224 | |||||||||
$ | 478,224 | |||||||||||
Semiconductors — 0.9% | ||||||||||||
Intel Corp. | 51,983 | $ | 2,683,362 | |||||||||
QUALCOMM, Inc. | 26,300 | 1,341,563 | ||||||||||
$ | 4,024,925 | |||||||||||
Transportation — 0.6% | ||||||||||||
A.P. Moller - Maersk A/S, Class B | 1,735 | $ | 2,779,461 | |||||||||
$ | 2,779,461 | |||||||||||
Total Common Stocks |
| $ | 32,481,779 | |||||||||
Convertible Preferred Stocks — 3.1% | ||||||||||||
Security | Shares | Value | ||||||||||
Business Equipment and Services — 0.0% | ||||||||||||
Education Management Corp., | 3,103 | $ | 0 | |||||||||
$ | 0 |
Security | Shares | Value | ||||||||||
Diversified Financial Services — 0.6% | ||||||||||||
AMG Capital Trust II, 5.15% | 46,300 | $ | 2,793,247 | |||||||||
$ | 2,793,247 | |||||||||||
Oil & Gas — 1.8% | ||||||||||||
Chesapeake Energy Corp., 5.75% | 14,865 | $ | 8,371,076 | |||||||||
$ | 8,371,076 | |||||||||||
Pharmaceuticals — 0.7% | ||||||||||||
Teva Pharmaceutical Industries, Ltd., 7.00% | 9,020 | $ | 3,106,939 | |||||||||
$ | 3,106,939 | |||||||||||
Total Convertible Preferred Stocks |
| $ | 14,271,262 | |||||||||
Preferred Stocks — 0.5% | ||||||||||||
Security | Shares | Value | ||||||||||
Pipelines — 0.3% | ||||||||||||
NuStar Energy, L.P., | 56,300 | $ | 1,194,686 | |||||||||
$ | 1,194,686 | |||||||||||
Real Estate Investment Trusts (REITs) — 0.2% | ||||||||||||
CBL & Associates Properties, Inc., | 52,150 | $ | 923,055 | |||||||||
$ | 923,055 | |||||||||||
Total Preferred Stocks |
| $ | 2,117,741 | |||||||||
Warrants — 0.0% | ||||||||||||
Security | Shares | Value | ||||||||||
Oil & Gas — 0.0% | ||||||||||||
Sable Permian Resources, LLC, |
| 1,938,645 | $ | 0 | ||||||||
Total Warrants |
| $ | 0 |
19 | See Notes to Financial Statements. |
Multisector Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Short-Term Investments — 10.9% | ||||||||||
Description | Units | Value | ||||||||
Eaton Vance Cash Reserves Fund, LLC, 1.95%(14) | 50,155,689 | $ | 50,150,674 | |||||||
Total Short-Term Investments |
| $ | 50,150,674 | |||||||
Total Investments — 98.9% |
| $ | 454,561,372 | |||||||
Other Assets, Less Liabilities — 1.1% |
| $ | 5,036,685 | |||||||
Net Assets — 100.0% |
| $ | 459,598,057 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
* | In U.S. dollars unless otherwise indicated. |
(1) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2018, the aggregate value of these securities is $126,153,486 or 27.4% of the Portfolio’s net assets. |
(2) | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At April 30, 2018, the aggregate value of these securities is $17,401,728 or 3.8% of the Portfolio’s net assets. |
(3) | Security converts to floating rate after the indicated fixed-rate coupon period. |
(4) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(5) | Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion. |
(6) | Multi-step coupon security. Interest rate represents the rate in effect at April 30, 2018. |
(7) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at April 30, 2018. |
(8) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”). Base lending rates may be subject to a floor, or minimum rate. |
(9) | Amount is less than 0.05%. |
(10) | For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 9). |
(11) | Issuer is in default with respect to interest and/or principal payments. For a variable rate security, interest rate has been adjusted to reflect non-accrual status. |
(12) | Non-income producing security. |
(13) | Security was acquired in connection with a restructuring of a Senior Loan or bond and may be subject to restrictions on resale. |
(14) | 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 April 30, 2018. |
Country Concentration of Portfolio (based on country of risk) | ||||||||
Country | Percentage of Net Assets | Value | ||||||
United States | 53.2 | % | $ | 244,352,771 | ||||
Canada | 10.0 | 45,767,891 | ||||||
Brazil | 9.4 | 43,199,505 | ||||||
Mexico | 5.9 | 26,923,182 | ||||||
Supranational | 4.8 | 22,168,976 | ||||||
Australia | 3.8 | 17,401,728 | ||||||
Malaysia | 2.2 | 9,965,183 | ||||||
Israel | 1.9 | 8,975,113 | ||||||
Colombia | 1.6 | 7,176,890 | ||||||
Norway | 1.3 | 5,981,959 | ||||||
Trinidad and Tobago | 1.2 | 5,465,110 | ||||||
Netherlands | 1.1 | 5,281,301 | ||||||
Argentina | 1.0 | 4,652,085 | ||||||
Denmark | 0.6 | 2,779,461 | ||||||
Uruguay | 0.5 | 2,398,804 | ||||||
Chile | 0.2 | 1,181,625 | ||||||
Japan | 0.2 | 889,788 | ||||||
Total Investments | 98.9 | % | $ | 454,561,372 |
Currency Concentration of Portfolio | ||||||||
Currency | Percentage of Net Assets | Value | ||||||
United States Dollar | 67.9 | % | $ | 312,015,356 | ||||
Canadian Dollar | 6.3 | 28,847,073 | ||||||
Australian Dollar | 6.2 | 28,361,919 | ||||||
New Zealand Dollar | 4.8 | 22,099,086 | ||||||
Mexican Peso | 3.9 | 18,152,065 | ||||||
Brazilian Real | 2.3 | 10,455,232 | ||||||
Malaysian Ringgit | 2.2 | 9,965,183 | ||||||
Indian Rupee | 2.0 | 9,301,710 | ||||||
Indonesian Rupiah | 2.0 | 9,295,695 | ||||||
Other currency, less than 1% each | 1.3 | 6,068,053 | ||||||
Total Investments | 98.9 | % | $ | 454,561,372 |
20 | See Notes to Financial Statements. |
Multisector Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Abbreviations:
ADR | – | American Depositary Receipt | ||
LIBOR | – | London Interbank Offered Rate |
Currency Abbreviations:
AUD | – | Australian Dollar | ||
BRL | – | Brazilian Real | ||
CAD | – | Canadian Dollar | ||
IDR | – | Indonesian Rupiah | ||
INR | – | Indian Rupee | ||
MXN | – | Mexican Peso | ||
MYR | – | Malaysian Ringgit | ||
NZD | – | New Zealand Dollar | ||
USD | – | United States Dollar | ||
UYU | – | Uruguayan Peso |
21 | See Notes to Financial Statements. |
Multisector Income Portfolio
April 30, 2018
Statement of Assets and Liabilities (Unaudited)
Assets | April 30, 2018 | |||
Unaffiliated investments, at value (identified cost, $423,701,853) | $ | 404,410,698 | ||
Affiliated investment, at value (identified cost, $50,153,636) | 50,150,674 | |||
Foreign currency, at value (identified cost, $41) | 39 | |||
Dividends receivable | 217,016 | |||
Interest receivable | 5,706,174 | |||
Dividends receivable from affiliated investment | 69,250 | |||
Receivable for investments sold | 2,322,775 | |||
Tax reclaims receivable | 245,042 | |||
Total assets | $ | 463,121,668 | ||
Liabilities | ||||
Payable for investments purchased | $ | 3,204,223 | ||
Due to custodian | 93 | |||
Payable to affiliate: | ||||
Investment adviser fee | 212,415 | |||
Accrued foreign capital gains taxes | 8,990 | |||
Accrued expenses | 97,890 | |||
Total liabilities | $ | 3,523,611 | ||
Net Assets applicable to investors’ interest in Portfolio | $ | 459,598,057 | ||
Sources of Net Assets | ||||
Investors’ capital | $ | 478,972,469 | ||
Net unrealized depreciation | (19,374,412 | ) | ||
Total | $ | 459,598,057 |
22 | See Notes to Financial Statements. |
Multisector Income Portfolio
April 30, 2018
Statement of Operations (Unaudited)
Investment Income | Six Months Ended April 30, 2018 | |||
Interest and other income (net of foreign taxes, $617) | $ | 9,909,254 | ||
Dividends (net of foreign taxes, $35,365) | 996,414 | |||
Dividends from affiliated investment | 546,114 | |||
Total investment income | $ | 11,451,782 | ||
Expenses | ||||
Investment adviser fee | $ | 1,314,121 | ||
Trustees’ fees and expenses | 7,987 | |||
Custodian fee | 88,247 | |||
Legal and accounting services | 24,640 | |||
Miscellaneous | 4,141 | |||
Total expenses | $ | 1,439,136 | ||
Net investment income | $ | 10,012,646 | ||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) — | ||||
Investment transactions | $ | (20,861,265 | ) | |
Investment transactions — affiliated investment | (14,183 | ) | ||
Foreign currency transactions | (58,647 | ) | ||
Forward foreign currency exchange contracts | (8,775 | ) | ||
Net realized loss | $ | (20,942,870 | ) | |
Change in unrealized appreciation (depreciation) — | ||||
Investments (including net decrease in accrued foreign capital gains taxes of $4,817) | $ | 15,320,049 | ||
Investments — affiliated investment | 1,566 | |||
Foreign currency | 30,130 | |||
Forward foreign currency exchange contracts | 1,021 | |||
Net change in unrealized appreciation (depreciation) | $ | 15,352,766 | ||
Net realized and unrealized loss | $ | (5,590,104 | ) | |
Net increase in net assets from operations | $ | 4,422,542 |
23 | See Notes to Financial Statements. |
Multisector Income Portfolio
April 30, 2018
Statements of Changes in Net Assets
Increase (Decrease) in Net Assets | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||
From operations — | ||||||||
Net investment income | $ | 10,012,646 | $ | 24,977,881 | ||||
Net realized loss | (20,942,870 | ) | (17,443,169 | ) | ||||
Net change in unrealized appreciation (depreciation) | 15,352,766 | 58,327,232 | ||||||
Net increase in net assets from operations | $ | 4,422,542 | $ | 65,861,944 | ||||
Capital transactions — | ||||||||
Contributions | $ | 13,504,607 | $ | 17,240,572 | ||||
Withdrawals | (48,341,464 | ) | (216,339,125 | ) | ||||
Net decrease in net assets from capital transactions | $ | (34,836,857 | ) | $ | (199,098,553 | ) | ||
Net decrease in net assets | $ | (30,414,315 | ) | $ | (133,236,609 | ) | ||
Net Assets | ||||||||
At beginning of period | $ | 490,012,372 | $ | 623,248,981 | ||||
At end of period | $ | 459,598,057 | $ | 490,012,372 |
24 | See Notes to Financial Statements. |
Multisector Income Portfolio
April 30, 2018
Financial Highlights
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2013(1) | ||||||||||||||||||||||
Ratios/Supplemental Data | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Ratios (as a percentage of average daily net assets): | ||||||||||||||||||||||||
Expenses(2) | 0.60 | %(3) | 0.61 | % | 0.60 | % | 0.58 | % | 0.59 | % | 0.65 | %(3) | ||||||||||||
Net investment income | 4.19 | %(3) | 4.56 | % | 5.20 | % | 4.49 | % | 3.38 | % | 3.53 | %(3) | ||||||||||||
Portfolio Turnover | 28 | %(4) | 44 | % | 74 | % | 45 | % | 46 | % | 40 | %(4) | ||||||||||||
Total Return | 0.80 | %(4) | 12.33 | % | 10.17 | % | (11.99 | )% | 9.07 | % | 7.99 | %(4) | ||||||||||||
Net assets, end of period (000’s omitted) | $ | 459,598 | $ | 490,012 | $ | 623,249 | $ | 1,160,649 | $ | 1,810,177 | $ | 172,561 |
(1) | For the period from the start of business, January 11, 2013, to October 31, 2013. |
(2) | Excludes the effect of custody fee credits, if any, of less than 0.005%. Effective September 1, 2015, custody fee credits, which were earned on cash deposit balances, were discontinued by the custodian. |
(3) | Annualized. |
(4) | Not annualized. |
25 | See Notes to Financial Statements. |
Multisector Income Portfolio
April 30, 2018
Notes to Financial Statements (Unaudited)
1 Significant Accounting Policies
Multisector Income 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 April 30, 2018, Eaton Vance Multisector Income Fund held an interest of 99.9% 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.
Debt Obligations. Debt obligations 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 for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value.
Senior Floating-Rate Loans. Interests in senior floating-rate loans (Senior Loans) for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service. Other Senior Loans are valued at fair value by the investment adviser under procedures approved by the Trustees. In fair valuing a Senior Loan, the investment adviser utilizes one or more of the valuation techniques described in (i) through (iii) below to assess the likelihood that the borrower will make a full repayment of the loan underlying such Senior Loan relative to yields on other Senior Loans issued by companies of comparable credit quality. If the investment adviser believes that there is a reasonable likelihood of full repayment, the investment adviser will determine fair value using a matrix pricing approach that considers the yield on the Senior Loan. If the investment adviser believes there is not a reasonable likelihood of full repayment, the investment adviser will determine fair value using analyses that include, but are not limited to: (i) a comparison of the value of the borrower’s outstanding equity and debt to that of comparable public companies; (ii) a discounted cash flow analysis; or (iii) when the investment adviser believes it is likely that a borrower will be liquidated or sold, an analysis of the terms of such liquidation or sale. In certain cases, the investment adviser will use a combination of analytical methods to determine fair value, such as when only a portion of a borrower’s assets are likely to be sold. In conducting its assessment and analyses for purposes of determining fair value of a Senior Loan, the investment adviser will use its discretion and judgment in considering and appraising relevant factors. Fair value determinations are made by the portfolio managers of the Portfolio based on information available to such managers. The portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may not possess the same information about a Senior Loan borrower as the portfolio managers of the Portfolio. At times, the fair value of a Senior Loan determined by the portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may vary from the fair value of the same Senior Loan determined by the portfolio managers of the Portfolio. The fair value of each Senior Loan is periodically reviewed and approved by the investment adviser’s Valuation Committee and by the Trustees based upon procedures approved by the Trustees. Junior Loans (i.e., subordinated loans and second lien loans) are valued in the same manner as Senior Loans.
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 or, in the case of preferred equity securities that are not listed or traded in the over-the-counter market, by a third party pricing service that uses various techniques that consider factors including, but not limited to, prices or yields of securities with similar characteristics, benchmark yields, broker/dealer quotes, quotes of underlying common stock, issuer spreads, as well as industry and economic events.
Derivatives. 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.
Foreign Securities and Currencies. Foreign securities 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 generally is determined as of the close of trading on the principal exchange on which such securities trade. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities 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 that meet certain criteria, the Portfolio’s Trustees have approved the use of a fair value service that values such securities 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.
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). While Cash Reserves Fund is not a registered money market mutual fund, it conducts all of its investment activities in
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Multisector Income Portfolio
April 30, 2018
Notes to Financial Statements (Unaudited) — continued
accordance with the requirements of Rule 2a-7 under the 1940 Act. Investments in Cash Reserves Fund are valued at the closing net asset value per unit on the valuation day. Cash Reserves Fund generally values 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 — Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Fees associated with loan amendments are recognized immediately. 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 and interest have been provided for in accordance with the Portfolio’s understanding of the applicable countries’ tax rules and rates.
D Federal 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. Since at least 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 April 30, 2018, 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 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.
F 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.
G 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.
H 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
27 |
Multisector Income Portfolio
April 30, 2018
Notes to Financial Statements (Unaudited) — continued
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.
I Interim Financial Statements — The interim financial statements relating to April 30, 2018 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Portfolio’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
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 0.55% of the Portfolio’s average daily net assets up to $1 billion, 0.53% from $1 billion but less than $2.5 billion, 0.51% from $2.5 billion but less than $5 billion and 0.50% of average daily net assets of $5 billion and over, and is payable monthly. For the six months ended April 30, 2018, the Portfolio’s investment adviser fee amounted to $1,314,121 or 0.55% (annualized) 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 six months ended April 30, 2018, 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 and including maturities, paydowns and principal repayments on Senior Loans, aggregated $115,735,886 and $126,033,638, respectively, for the six months ended April 30, 2018.
4 Federal Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) of investments of the Portfolio at April 30, 2018, as determined on a federal income tax basis, were as follows:
Aggregate cost | $ | 475,905,722 | ||
Gross unrealized appreciation | $ | 15,059,071 | ||
Gross unrealized depreciation | (36,403,421 | ) | ||
Net unrealized depreciation | $ | (21,344,350 | ) |
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 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 April 30, 2018 is included in the Portfolio of Investments. At April 30, 2018, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.
The Portfolio is subject to foreign exchange risk in the normal course of pursuing its investment objective. Because the Portfolio holds foreign currency denominated investments, the value of these investments and related receivables and payables may change due to future changes in foreign currency exchange rates. To hedge against this risk, the Portfolio enters into forward foreign currency exchange contracts.
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 April 30, 2018, the Portfolio had no open derivatives with credit-related contingent features in a net liability position.
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Multisector Income Portfolio
April 30, 2018
Notes to Financial Statements (Unaudited) — 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 its derivative counterparty. The ISDA Master Agreement is a bilateral agreement between the Portfolio and the 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 ISDA Master Agreement. Under the 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. The ISDA Master Agreement allows the counterparty 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 Agreement, 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 the 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 the ISDA Master Agreement and netted into one amount for such agreement. Generally, the amount of collateral due from or to the 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 deposits for derivatives collateral and, in the case of cash pledged by the 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 effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is foreign exchange risk for the six months ended April 30, 2018 was as follows:
Derivative | Realized Gain (Loss) on Derivatives Recognized in Income(1) | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income(2) | ||||||
Forward foreign currency exchange contracts | $ | (8,775 | ) | $ | 1,021 |
(1) | Statement of Operations location: Net realized gain (loss) – Forward foreign currency exchange contracts. |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation) – Forward foreign currency exchange contracts. |
The average notional amount of forward foreign currency exchange contracts (based on the absolute value of notional amounts of currency purchased and currency sold) outstanding during the six months ended April 30, 2018, which is indicative of the volume of this derivative type, was approximately $475,000.
6 Overdraft Advances
Pursuant to the custodian agreement, State Street Bank and Trust Company (SSBT) may, in its discretion, advance funds to the Portfolio to make properly authorized payments. When such payments result in an overdraft, the Portfolio is obligated to repay SSBT at the current rate of interest charged by SSBT for secured loans (currently, the Federal Funds rate plus 2%). This obligation is payable on demand to SSBT. SSBT has a lien on the Portfolio’s assets to the extent of any overdraft. At April 30, 2018, the Portfolio had a payment due to SSBT pursuant to the foregoing arrangement of $93. Based on the short-term nature of these payments and the variable interest rate, the carrying value of the overdraft advances approximated its fair value at April 30, 2018. If measured at fair value, overdraft advances would have been considered as Level 2 in the fair value hierarchy (see Note 9) at April 30, 2018. The Portfolio’s average overdraft advances during the six months ended April 30, 2018 were not significant.
7 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 October 30, 2018. 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 0.15% 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 six months ended April 30, 2018.
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April 30, 2018
Notes to Financial Statements (Unaudited) — continued
8 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 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.
The Portfolio may have difficulties enforcing its legal or contractual rights in a foreign country. Economic data as reported by foreign governments and other issuers may be delayed, inaccurate or fraudulent. In the event of a default by a sovereign entity, there are typically no assets to be seized or cash flows to be attached. Furthermore, the willingness or ability of a foreign government to renegotiate defaulted debt may be limited.
9 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 April 30, 2018, the hierarchy of inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3* | Total | ||||||||||||
Corporate Bonds & Notes | $ | — | $ | 117,405,663 | $ | — | $ | 117,405,663 | ||||||||
Foreign Corporate Bonds | — | 87,369,643 | — | 87,369,643 | ||||||||||||
Foreign Government Bonds | — | 108,147,403 | — | 108,147,403 | ||||||||||||
Convertible Bonds | — | 12,420,190 | — | 12,420,190 | ||||||||||||
Asset-Backed Securities | — | 925,091 | — | 925,091 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 26,515,444 | — | 26,515,444 | ||||||||||||
Senior Floating-Rate Loans | — | 2,663,131 | 93,351 | 2,756,482 | ||||||||||||
Common Stocks | 26,116,932 | 3,669,249 | ** | 2,695,598 | 32,481,779 | |||||||||||
Convertible Preferred Stocks | — | 14,271,262 | 0 | 14,271,262 | ||||||||||||
Preferred Stocks | 2,117,741 | — | — | 2,117,741 | ||||||||||||
Warrants | — | — | 0 | 0 | ||||||||||||
Short-Term Investments | — | 50,150,674 | — | 50,150,674 | ||||||||||||
Total Investments | $ | 28,234,673 | $ | 423,537,750 | $ | 2,788,949 | $ | 454,561,372 |
* | 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. |
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 six months ended April 30, 2018 is not presented. At April 30, 2018, there were no investments transferred between Level 1 and Level 2 during the six months then ended.
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April 30, 2018
Notes to Financial Statements (Unaudited) — continued
10 Proposed Termination of Portfolio
In February 2018, the Portfolio’s Trustees approved the termination of the Portfolio. The Portfolio expects to make a pro rata distribution of net assets to each interestholder on or about June 22, 2018.
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Eaton Vance
Multisector Income Fund
April 30, 2018
Board of Trustees’ Contract Approval
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended (the “1940 Act”), provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of trustees, including by a vote of a majority of the trustees who are not “interested persons” of the fund (“Independent Trustees”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees (each a “Board”) of the registered investment companies advised by either Eaton Vance Management or its affiliate, Boston Management and Research, (the “Eaton Vance Funds”) held on April 24, 2018, the Board, including a majority of the Independent Trustees, voted to approve continuation of existing investment advisory and sub-advisory agreements for the Eaton Vance Funds for an additional one-year period. In voting its approval, the Board relied upon the affirmative recommendation of its Contract Review Committee, which is a committee comprised exclusively of Independent Trustees. Prior to making its recommendation, the Contract Review Committee reviewed information furnished by each adviser to the Eaton Vance Funds (including information specifically requested by the Board) for a series of meetings of the Contract Review Committee held between February and April 2018. The Contract Review Committee also considered information received at prior meetings of the Board and its committees, as relevant to its annual evaluation of the investment advisory and sub-advisory agreements.
The information that the Board considered included, among other things, the following (for funds that invest through one or more underlying portfolio(s), references to “each fund” in this section may include information that was considered at the portfolio-level):
Information about Fees, Performance and Expenses
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds as identified by the independent data provider (“comparable funds”); |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund (including, where relevant, yield data, Sharpe ratios and information ratios) to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices, as well as customized groups of peer funds and blended indices identified by the adviser in consultation with the Board; |
• | For each fund, comparative information concerning the fees charged and the services provided by each adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for each adviser with respect to each fund; |
Information about Portfolio Management and Trading
• | Descriptions of the investment management services provided to each fund, including the fund’s investment strategies and policies; |
• | The procedures and processes used to determine the fair value of fund assets and actions taken to monitor and test the effectiveness of such procedures and processes; |
• | Information about each adviser’s policies and practices with respect to trading, including each adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by each adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
• | Data relating to portfolio turnover rates of each fund; |
Information about each Adviser
• | Reports detailing the financial results and condition of each adviser; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their responsibilities with respect to managing other mutual funds and investment accounts; |
• | The Code of Ethics of each adviser and its affiliates, together with information relating to compliance with and the administration of such codes; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | Information concerning the resources devoted to compliance efforts undertaken by each adviser and its affiliates (including descriptions of various compliance programs) and their record of compliance; |
• | Information concerning the business continuity and disaster recovery plans of each adviser and its affiliates; |
• | A description of Eaton Vance Management’s procedures for overseeing third party advisers and sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
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Eaton Vance
Multisector Income Fund
April 30, 2018
Board of Trustees’ Contract Approval — continued
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by Eaton Vance Management and its affiliates; |
• | Information concerning management of the relationship with the custodian, subcustodians and fund accountants by each adviser or the funds’ administrator; and |
• | The terms of each investment advisory agreement. |
Over the course of the twelve-month period ended April 30, 2018, with respect to one or more funds, the Board met seven times and the Contract Review Committee, the Audit Committee, the Governance Committee, the Portfolio Management Committee and the Compliance Reports and Regulatory Matters Committee, each of which is a Committee comprised solely of Independent Trustees, met seven, thirteen, six, eight and nine times, respectively. At such meetings, the Trustees participated in investment and performance reviews with the portfolio managers and other investment professionals of each investment adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective, such as the use of derivative instruments, as well as risk management techniques. The Board and its Committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, fund governance and other issues with respect to the funds, and received and participated in reports and presentations provided by Eaton Vance Management and other fund advisers with respect to such matters. In addition to the formal meetings of the Board and its Committees, the Independent Trustees hold regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of investment advisory and sub-advisory agreements.
For funds that invest through one or more underlying portfolios, the Board considered similar information about the portfolio(s) when considering the approval of investment advisory agreements. In addition, in cases where the fund’s investment adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any sub-advisory agreement.
The Contract Review Committee was assisted throughout the contract review process by Goodwin Procter LLP, independent legal counsel for the Independent Trustees. The members of the Contract Review Committee relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and sub-advisory agreement and the weight to be given to each such factor. The conclusions reached with respect to each investment advisory and sub-advisory agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each member of the Contract Review Committee may have placed varying emphasis on particular factors in reaching conclusions with respect to each investment advisory and sub-advisory agreement. In evaluating each investment advisory and sub-advisory agreement, including the specific fee structures and other terms of the agreements, the Contract Review Committee was informed by multiple years of analysis and discussion among the Independent Trustees and the Eaton Vance Funds’ advisers and sub-advisers.
Results of the Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Contract Review Committee concluded that the continuation of the investment advisory and administrative agreement of Eaton Vance Multisector Income Fund (the “Fund”) with Eaton Vance Management (“EVM”), as well as the investment advisory agreement of Multisector Income Portfolio (the “Portfolio”), the portfolio in which the Fund invests, with Boston Management and Research (“BMR”) (EVM, with respect to the Fund, and BMR, with respect to the Portfolio, are each referred to herein as the “Adviser”), including their fee structures, is in the interests of shareholders and, therefore, the Contract Review Committee recommended to the Board approval of each agreement. The Board accepted the recommendation of the Contract Review Committee based on the material factors considered and conclusions reached by the Contract Review Committee with respect to the agreements. Accordingly, the Board, including a majority of the Independent Trustees, voted to approve continuation of the investment advisory and administrative agreement for the Fund and the investment advisory agreement for the Portfolio (together, the “investment advisory agreements”).
Nature, Extent and Quality of Services
In considering whether to approve the investment advisory agreements of the Fund and the Portfolio, the Board evaluated the nature, extent and quality of services provided to the Fund and the Portfolio by the applicable Adviser.
The Board considered each Adviser’s management capabilities and investment process with respect to the types of investments held by the Fund and the Portfolio, including the education, experience and number of its investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund and the Portfolio. In particular, the Board considered the abilities and experience of each Adviser’s investment professionals in investing in securities and other instruments to establish investment exposures to a wide variety of bonds and other income instruments, including corporate bonds, commercial mortgage-backed securities and senior floating rate loans. The Board also took into account the resources dedicated to portfolio management and other services, as well as the compensation methods of each Adviser and other factors, such as the reputation and resources of the Adviser to recruit and retain highly qualified research, advisory and supervisory investment professionals. In addition, the Board considered the time and attention devoted to the Eaton Vance Funds, including the Fund and the Portfolio, by senior management, as well as the infrastructure, operational capabilities and support staff in place to assist in the portfolio management and operations of the Fund and the Portfolio, including the provision of administrative services. The Board also considered the business-related and other risks to which each Adviser or its affiliates may be subject in managing the Fund and the Portfolio.
33 |
Eaton Vance
Multisector Income Fund
April 30, 2018
Board of Trustees’ Contract Approval — continued
The Board noted that, under the terms of the investment advisory agreement of the Fund, EVM may invest assets of the Fund directly in securities and other instruments, for which it would receive a fee, or in the Portfolio, for which it receives no separate fee but for which BMR receives an advisory fee from the Portfolio.
The Board considered that at its meeting held on February 7 and 8, 2018, the Board, including a majority of the Independent Trustees, voted to approve a restructuring pursuant to which the Fund would withdraw its assets in-kind from the Portfolio and the Portfolio would terminate. The Board noted that upon the Fund’s withdrawal of its assets from the Portfolio, which was expected to occur prior to the fiscal year end of the Portfolio, EVM would invest assets of the Fund directly in securities and other instruments pursuant to its investment advisory agreement with the Fund.
The Board considered the compliance programs of each Adviser and relevant affiliates thereof. Among other matters, the Board considered compliance and reporting matters relating to personal trading by investment professionals, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity and the allocation of investment opportunities. The Board also considered the responses of each Adviser and its affiliates to requests in recent years from regulatory authorities such as the Securities and Exchange Commission and the Financial Industry Regulatory Authority.
The Board considered shareholder and other administrative services provided or managed by Eaton Vance Management and its affiliates, including transfer agency and accounting services. The Board evaluated the benefits to shareholders of investing in a fund that is a part of a large fund complex offering exposure to a variety of asset classes and investment disciplines, as well as the ability, in many cases, to exchange an investment among different funds without incurring additional sales charges.
After consideration of the foregoing factors, among others, the Board concluded that the nature, extent and quality of services provided by each Adviser, taken as a whole, are appropriate and consistent with the terms of the applicable investment advisory agreement.
Fund Performance
The Board compared the Fund’s investment performance to that of comparable funds and appropriate benchmark indices. The Board’s review included comparative performance data for the one- and three- year periods ended September 30, 2017 for the Fund. In this regard, the Board noted that the performance of the Fund was lower than the median performance of the Fund’s peer group for the three-year period. The Board also noted that the performance of the Fund was higher than its primary benchmark index and lower than its blended benchmark index for the three-year period. On the basis of the foregoing, the performance of the Fund over other periods and other relevant information provided by the Adviser in response to inquiries from the Contract Review Committee, the Board concluded that the performance of the Fund was satisfactory.
Management Fees and Expenses
The Board considered contractual fee rates payable by the Portfolio and by the Fund for advisory and administrative services (referred to collectively as “management fees”). As part of its review, the Board considered the Fund’s management fees and total expense ratio for the one year period ended September 30, 2017, as compared to those of comparable funds, before and after giving effect to any undertaking to waive fees or reimburse expenses. The Board also received and considered information about the services offered and the fee rates charged by the Adviser to other types of clients with investment objectives and strategies that are substantially similar to and/or managed in a similar investment style as the Portfolio. In this regard, the Board received information about the differences in the nature and scope of services the Adviser provides to the Portfolio as compared to other types of clients and the material differences in compliance, reporting and other legal burdens and risks to the Adviser as between the Portfolio and other types of clients. The Board also considered factors that had an impact on Fund expense ratios relative to comparable funds.
After considering the foregoing information, and in light of the nature, extent and quality of the services provided by each Adviser, the Board concluded that the management fees charged for advisory and related services are reasonable.
Profitability and Other “Fall-Out” Benefits
The Board considered the level of profits realized by each Adviser and relevant affiliates thereof in providing investment advisory and administrative services to the Fund, to the Portfolio and to all Eaton Vance Funds as a group. The Board considered the level of profits realized without regard to marketing support or other payments by each Adviser and its affiliates to third parties in respect of distribution services. The Board also considered other direct or indirect fall-out benefits received by each Adviser and its affiliates in connection with their relationships with the Fund and the Portfolio, including the benefits of research services that may be available to each Adviser as a result of securities transactions effected for the Fund and the Portfolio and other investment advisory clients.
The Board concluded that, in light of the foregoing factors and the nature, extent and quality of the services rendered, the profits realized by each Adviser and its affiliates are deemed not to be excessive.
34 |
Eaton Vance
Multisector Income Fund
April 30, 2018
Board of Trustees’ Contract Approval — continued
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the applicable Adviser and its affiliates, on the one hand, and the Fund and the Portfolio, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and the Portfolio increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from economies of scale, if any, with respect to the management of any specific fund or group of funds. The Board reviewed data summarizing the increases and decreases in the assets of the Fund and of all Eaton Vance Funds as a group over various time periods, and evaluated the extent to which the total expense ratio of the Fund and the profitability of each Adviser and its affiliates may have been affected by such increases or decreases. Based upon the foregoing, the Board concluded that the Fund currently shares in any benefits from economies of scale. The Board also concluded that, assuming reasonably foreseeable increases in the assets of the Fund and the Portfolio, the structure of the advisory fees, which include breakpoints at several asset levels, will allow the Fund and the Portfolio to continue to benefit from any economies of scale in the future.
35 |
Eaton Vance
Multisector Income Fund
April 30, 2018
Officers and Trustees
Officers of Eaton Vance Multisector Income Fund
Payson F. Swaffield
President
Maureen A. Gemma
Vice President, Secretary and
Chief Legal Officer
James F. Kirchner
Treasurer
Richard F. Froio
Chief Compliance Officer
Officers of Multisector Income Portfolio
Payson F. Swaffield
President
Maureen A. Gemma
Vice President, Secretary and
Chief Legal Officer
James F. Kirchner
Treasurer
Richard F. Froio
Chief Compliance Officer
Trustees of Eaton Vance Multisector Income Fund and Multisector Income Portfolio
William H. Park
Chairperson
Thomas E. Faust Jr.*
Mark R. Fetting
Cynthia E. Frost
George J. Gorman
Valerie A. Mosley
Helen Frame Peters
Susan J. Sutherland
Harriett Tee Taggart
Scott E. Wennerholm
* | Interested Trustee |
36 |
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 (International) Limited, Eaton Vance Advisers International Ltd., 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 typically 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.
37 |
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Investment Adviser of Multisector Income Portfolio
Boston Management and Research
Two International Place
Boston, MA 02110
Investment Adviser and Administrator of Eaton Vance Multisector Income Fund
Eaton Vance Management
Two International Place
Boston, MA 02110
Principal Underwriter*
Eaton Vance Distributors, Inc.
Two International Place
Boston, MA 02110
(617) 482-8260
Custodian
State Street Bank and Trust Company
State Street Financial Center, One Lincoln Street
Boston, MA 02111
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
Attn: Eaton Vance Funds
P.O. Box 9653
Providence, RI 02940-9653
(800) 262-1122
Fund Offices
Two International Place
Boston, MA 02110
* | 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. |
6844 4.30.18
Eaton Vance
Short Duration Inflation-Protected Income Fund
Semiannual Report
April 30, 2018
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund is considered to be a commodity pool operator under CFTC regulations. The Fund’s adviser is registered with the CFTC as a commodity pool operator and a commodity trading advisor. The CFTC has neither reviewed nor approved the Fund’s investment strategies.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested.
This report must be preceded or accompanied by a current summary prospectus or prospectus. Before investing, investors should consider carefully the investment objective, risks, and charges and expenses of a mutual fund. This and other important information is contained in the summary prospectus and prospectus, which can be obtained from a financial advisor. Prospective investors should read the prospectus carefully before investing. For further information, please call 1-800-262-1122.
Semiannual Report April 30, 2018
Eaton Vance
Short Duration Inflation-Protected Income Fund
Table of Contents
Performance | 2 | |||
Fund Profile | 2 | |||
Endnotes and Additional Disclosures | 3 | |||
Fund Expenses | 4 | |||
Financial Statements | 5 | |||
Board of Trustees’ Contract Approval | 23 | |||
Officers and Trustees | 27 | |||
Important Notices | 28 |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Performance1,2
Portfolio Managers Thomas H. Luster, CFA and Stewart D. Taylor
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Since Inception | ||||||||||||||||||
Class A at NAV | 04/01/2010 | 04/01/2010 | 0.69 | % | 1.26 | % | 0.83 | % | 2.01 | % | ||||||||||||||
Class A with 2.25% Maximum Sales Charge | — | — | –1.61 | –1.04 | 0.36 | 1.73 | ||||||||||||||||||
Class C at NAV | 04/01/2010 | 04/01/2010 | 0.30 | 0.56 | 0.08 | 1.25 | ||||||||||||||||||
Class C with 1% Maximum Sales Charge | — | — | –0.69 | –0.43 | 0.08 | 1.25 | ||||||||||||||||||
Class I at NAV | 04/01/2010 | 04/01/2010 | 0.80 | 1.47 | 1.08 | 2.25 | ||||||||||||||||||
ICE BofAML 1–5 Year U.S. Inflation-Linked Treasury Index | — | — | 0.03 | % | 0.10 | % | 0.16 | % | 1.38 | % | ||||||||||||||
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | |||||||||||||||||||||
Gross | 0.99 | % | 1.74 | % | 0.73 | % | ||||||||||||||||||
Net | 0.75 | 1.50 | 0.50 |
Fund Profile4
Asset Allocation (% of total investments)5
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to eatonvance.com.
2 |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Endnotes and Additional Disclosures
1 | ICE BofAML 1-5 Year U.S. Inflation-Linked Treasury Index is an unmanaged index comprised of U.S. Treasury Inflation-Protected Securities with at least $1 billion in outstanding face value and a remaining term to final maturity of at least 1 year and less than 5 years. ICE® BofAML® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofAML® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. |
3 | The Gross expense ratios are as stated in the Fund’s most recent prospectus. Net expense ratios exclude interest expense associated with certain investment transactions. Net expense ratios reflect a contractual expense reimbursement that continues through 2/28/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
4 | Fund invests in one or more affiliated investment companies (Portfolios) and also invests directly. Unless otherwise noted, references to investments are to the aggregate holdings of the Fund, including its pro rata share of each Portfolio in which it invests. |
5 | Total investments includes the Fund’s investment in the Portfolio and the Fund’s direct investments in securities and derivatives. Derivative positions are reflected at their unrealized appreciation (depreciation). Other, if any, represents any investment type less than 1% of total investments. |
Fund profile subject to change due to active management. |
3 |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Fund Expenses
Example: As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (November 1, 2017 – April 30, 2018).
Actual Expenses: The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes: The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees (if applicable). Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.
Beginning Account Value (11/1/17) | Ending Account Value (4/30/18) | Expenses Paid During Period* (11/1/17 – 4/30/18) | Annualized Expense Ratio | |||||||||||||
Actual | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,006.90 | $ | 4.28 | ** | 0.86 | % | |||||||
Class C | $ | 1,000.00 | $ | 1,003.00 | $ | 8.00 | ** | 1.61 | % | |||||||
Class I | $ | 1,000.00 | $ | 1,008.00 | $ | 3.04 | ** | 0.61 | % | |||||||
Hypothetical | ||||||||||||||||
(5% return per year before expenses) | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,020.50 | $ | 4.31 | ** | 0.86 | % | |||||||
Class C | $ | 1,000.00 | $ | 1,016.80 | $ | 8.05 | ** | 1.61 | % | |||||||
Class I | $ | 1,000.00 | $ | 1,021.80 | $ | 3.06 | ** | 0.61 | % |
* | Expenses are equal to the Fund’s annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2017. The Example reflects the expenses of both the Fund and the Portfolio. |
** | Absent an allocation of certain expenses to an affiliate, expenses would be higher. |
4 |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Portfolio of Investments (Unaudited)
Investment in Affiliated Portfolio — 24.5% | ||||||||
Description | Value | |||||||
Senior Debt Portfolio (identified cost, $70,647,056) | $ | 71,604,473 | ||||||
Total Investment in Affiliated Portfolio |
| $ | 71,604,473 | |||||
U.S. Treasury Obligations — 52.6% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
U.S. Treasury Inflation-Protected Notes: | ||||||||
0.125%, 4/15/19(1) | $ | 14,343 | $ | 14,280,604 | ||||
0.125%, 4/15/20(1) | 17,009 | 16,869,058 | ||||||
0.125%, 4/15/21(1) | 14,706 | 14,502,818 | ||||||
0.125%, 1/15/22(1) | 10,999 | 10,816,465 | ||||||
0.125%, 4/15/22(1) | 12,284 | 12,031,771 | ||||||
0.125%, 7/15/22(1) | 7,037 | 6,921,517 | ||||||
0.125%, 1/15/23(1) | 12,943 | 12,642,101 | ||||||
0.625%, 7/15/21(1) | 8,284 | 8,332,339 | ||||||
0.625%, 1/15/24(1) | 10,136 | 10,109,506 | ||||||
1.125%, 1/15/21(1) | 10,812 | 10,992,455 | ||||||
1.25%, 7/15/20(1) | 8,562 | 8,740,597 | ||||||
1.375%, 1/15/20(1) | 11,513 | 11,703,413 | ||||||
2.125%, 1/15/19(1) | 7,537 | 7,638,779 | ||||||
2.375%, 1/15/25(1) | 7,264 | 8,061,035 | ||||||
Total U.S. Treasury Obligations |
| $ | 153,642,458 | |||||
Commercial Mortgage-Backed Securities — 0.8% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||
Series 2006-LDP9, Class AM, 5.372%, 5/15/47 | $ | 201 | $ | 202,449 | ||||
Motel 6 Trust | ||||||||
Series 2017-MTL6, Class A, 2.817%, (1 mo. USD LIBOR + 0.92%), 8/15/34(2)(3) | 1,966 | 1,972,723 | ||||||
Total Commercial Mortgage-Backed Securities |
| $ | 2,175,172 |
Asset-Backed Securities — 19.0% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
Automotive — 9.6% | ||||||||
American Credit Acceptance Receivables Trust | ||||||||
Series 2016-3, Class B, 2.87%, 8/12/22(2) | $ | 5,260 | $ | 5,252,179 | ||||
Series 2017-3, Class A, 1.82%, 3/10/20(2) | 993 | 991,409 | ||||||
Series 2017-4, Class A, 2.00%, 7/10/20(2) | 682 | 680,262 | ||||||
AmeriCredit Automobile Receivables Trust | ||||||||
Series 2016-4, Class A2A, 1.34%, 4/8/20 | 83 | 83,244 | ||||||
Series 2017-2, Class A2A, 1.65%, 9/18/20 | 614 | 611,750 | ||||||
Avis Budget Rental Car Funding, LLC | ||||||||
Series 2014-1A, Class A, 2.46%, 7/20/20(2) | 1,000 | 995,764 | ||||||
BMW Vehicle Lease Trust | ||||||||
Series 2016-2, Class A3, 1.43%, 9/20/19 | 1,015 | 1,009,689 | ||||||
CarMax Auto Owner Trust | ||||||||
Series 2017-2, Class A3, 1.93%, 3/15/22 | 1,400 | 1,381,584 | ||||||
Credit Acceptance Auto Loan Trust | ||||||||
Series 2015-2A, Class B, 3.04%, 8/15/23(2) | 855 | 854,909 | ||||||
Enterprise Fleet Financing, LLC | ||||||||
Series 2016-1, Class A2, 1.83%, 9/20/21(2) | 332 | 331,007 | ||||||
Series 2017-1, Class A2, 2.13%, 7/20/22(2) | 1,527 | 1,519,523 | ||||||
Exeter Automobile Receivables Trust | ||||||||
Series 2017-1A, Class A, 1.96%, 3/15/21(2) | 2,303 | 2,296,358 | ||||||
First Investors Auto Owner Trust | ||||||||
Series 2016-2A, Class A1, 1.53%, 11/16/20(2) | 397 | 395,448 | ||||||
Series 2017-1A, Class A1, 1.69%, 4/15/21(2) | 769 | 765,816 | ||||||
Ford Credit Auto Owner Trust | ||||||||
Series 2014-1, Class B, 2.41%, 11/15/25(2) | 400 | 398,355 | ||||||
Series 2017-A, Class A3, 1.67%, 6/15/21 | 1,000 | 987,038 | ||||||
GMF Floorplan Owner Revolving Trust | ||||||||
Series 2015-1, Class B, 1.97%, 5/15/20(2) | 500 | 499,836 | ||||||
Hertz Fleet Lease Funding, L.P. | ||||||||
Series 2017-1, Class A2, 2.13%, 4/10/31(2) | 1,835 | 1,826,615 | ||||||
Mercedes-Benz Auto Lease Trust | ||||||||
Series 2016-B, Class A3, 1.35%, 8/15/19 | 1,000 | 996,202 | ||||||
OSCAR US Funding Trust | ||||||||
Series 2017-2A, Class A2B, 2.547%, (1 mo. USD LIBOR + 0.65%), 11/10/20(2)(3) | 718 | 719,469 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
Series 2016-3, Class A3, 1.50%, 8/17/20 | 197 | 196,250 | ||||||
Series 2017-2, Class A2, 1.60%, 3/16/20 | 542 | 541,192 | ||||||
TCF Auto Receivables Owner Trust | ||||||||
Series 2016-PT1A, Class A, 1.93%, 6/15/22(2) | 535 | 529,597 | ||||||
Tesla Auto Lease Trust | ||||||||
Series 2018-A, Class A, 2.32%, 12/20/19(2) | 527 | 525,022 |
5 | See Notes to Financial Statements. |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000’s omitted) | Value | ||||||
Automotive (continued) | ||||||||
Volvo Financial Equipment, LLC | ||||||||
Series 2018-1A, Class A2, | $ | 850 | $ | 847,112 | ||||
Westlake Automobile Receivables Trust | ||||||||
Series 2016-2A, Class C, 2.83%, 5/17/21(2) | 1,200 | 1,200,239 | ||||||
World Omni Automobile Lease Securitization Trust | ||||||||
Series 2017-A, Class A3, 2.13%, 4/15/20 | 1,500 | 1,487,129 | ||||||
$ | 27,922,998 | |||||||
Computers — 0.1% | ||||||||
Dell Equipment Finance Trust | ||||||||
Series 2017-1, Class A2, 1.86%, 6/24/19(2) | $ | 303 | $ | 302,562 | ||||
$ | 302,562 | |||||||
Other — 8.9% | ||||||||
Blackbird Capital Aircraft Lease Securitization, Ltd. | ||||||||
Series 2016-1A, Class AA, 2.487% to 12/16/24, 12/16/41(2)(4) | $ | 422 | $ | 414,733 | ||||
CNH Equipment Trust | ||||||||
Series 2017-A, Class A3, 2.07%, 5/16/22 | 1,365 | 1,348,179 | ||||||
Conn Funding II L.P. | ||||||||
Series 2017-B, Class A, 2.73%, 7/15/20(2) | 557 | 556,688 | ||||||
Consumer Loan Underlying Bond Credit Trust | ||||||||
Series 2017-P1, Class A, 2.42%, 9/15/23(2) | 2,043 | 2,037,896 | ||||||
Foundation Finance Trust | ||||||||
Series 2017-1A, Class A, 3.30%, 7/15/33(2) | 1,107 | 1,089,678 | ||||||
GreatAmerica Leasing Receivables Funding, LLC | ||||||||
Series 2017-1, Class A2, 1.72%, 4/22/19(2) | 530 | 529,310 | ||||||
Marlette Funding Trust | ||||||||
Series 2018-1A, Class A, 2.61%, 3/15/28(2) | 1,958 | 1,953,736 | ||||||
NextGear Floorplan Master Owner Trust | ||||||||
Series 2015-2A, Class A, | 4,755 | 4,747,943 | ||||||
OneMain Financial Issuance Trust | ||||||||
Series 2015-1A, Class A, 3.19%, 3/18/26(2) | 1,828 | 1,833,223 | ||||||
Series 2016-2A, Class A, 4.10%, 3/20/28(2) | 874 | 880,771 | ||||||
Series 2017-1A, Class A1, | 1,470 | 1,442,951 | ||||||
Prosper Marketplace Issuance Trust | ||||||||
Series 2017-1A, Class A, 2.56%, 6/15/23(2) | 3,538 | 3,539,698 | ||||||
Series 2017-2A, Class A, 2.41%, 9/15/23(2) | 3,299 | 3,292,234 | ||||||
Series 2017-3A, Class A, | 1,494 | 1,488,446 | ||||||
SpringCastle America Funding LLC | ||||||||
Series 2016-AA, Class A, 3.05%, 4/25/29(2) | 419 | 418,609 |
Security | Principal Amount (000’s omitted) | Value | ||||||
Other (continued) | ||||||||
Verizon Owner Trust | ||||||||
Series 2016-1A, Class A, | $ | 590 | $ | 585,702 | ||||
$ | 26,159,797 | |||||||
Single Family Home Rental — 0.4% | ||||||||
FirstKey Lending Trust | ||||||||
Series 2015-SFR1, Class A, | $ | 332 | $ | 329,857 | ||||
Invitation Homes Trust | ||||||||
Series 2018-SFR1, Class A, 2.596%, (1 mo. USD LIBOR + 0.70%), 3/17/37(2)(3) | 806 | 805,247 | ||||||
$ | 1,135,104 | |||||||
Total Asset-Backed Securities |
| $ | 55,520,461 | |||||
Short-Term Investments — 2.1% | ||||||||
Description | Units | Value | ||||||
Eaton Vance Cash Reserves Fund, LLC, 1.95%(5) | 5,966,782 | $ | 5,966,186 | |||||
Total Short-Term Investments |
| $ | 5,966,186 | |||||
Total Investments — 99.0% |
| $ | 288,908,750 | |||||
Other Assets, Less Liabilities — 1.0% |
| $ | 2,985,466 | |||||
Net Assets — 100.0% |
| $ | 291,894,216 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
(1) | 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. |
(2) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2018, the aggregate value of these securities is $48,850,927 or 16.7% of the Fund’s net assets. |
(3) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2018. |
(4) | Multi-step coupon security. Interest rate represents the rate in effect at April 30, 2018. |
(5) | 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 April 30, 2018. |
6 | See Notes to Financial Statements. |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Inflation Swaps | ||||||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Fund Pays/Receives Return on Reference Index | Reference Index | Fund Pays/Receives Rate | Annual Rate | Termination Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Bank of America, N.A. | $ | 5,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 2.150% (pays upon termination) | 3/29/20 | $ | (726 | ) | ||||||||||||
Bank of America, N.A. | 7,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 1.940% (pays upon termination) | 8/1/21 | 108,196 | |||||||||||||||
Bank of America, N.A. | 5,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 2.132% (pays upon termination) | 4/7/22 | 18,837 | |||||||||||||||
Bank of America, N.A. | 5,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 1.965% (pays upon termination) | 5/8/22 | 67,862 | |||||||||||||||
Bank of America, N.A. | 5,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 1.784% (pays upon termination) | 6/19/22 | 128,963 | |||||||||||||||
Bank of America, N.A. | 5,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 1.770% (pays upon termination) | 6/22/22 | 132,284 | |||||||||||||||
Barclays Bank PLC | 7,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 2.223% (pays upon termination) | 1/18/19 | (2,565 | ) | ||||||||||||||
Barclays Bank PLC | 4,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 2.010% (pays upon termination) | 11/28/19 | 27,583 | |||||||||||||||
Barclays Bank PLC | 5,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 2.308% (pays upon termination) | 2/3/20 | (13,372 | ) | ||||||||||||||
Barclays Bank PLC | 4,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 1.360% (pays upon termination) | 8/26/20 | 119,418 | |||||||||||||||
Barclays Bank PLC | 2,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 1.467% (pays upon termination) | 9/14/20 | 49,178 | |||||||||||||||
Barclays Bank PLC | 3,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 2.035% (pays upon termination) | 11/21/20 | 26,375 | |||||||||||||||
Barclays Bank PLC | 10,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 2.145% (pays upon termination) | 2/2/21 | 31,265 | |||||||||||||||
Barclays Bank PLC | 10,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 2.159% (pays upon termination) | 2/20/21 | 25,579 | |||||||||||||||
Barclays Bank PLC | 5,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 1.878% (pays upon termination) | 7/3/21 | 82,258 | |||||||||||||||
Barclays Bank PLC | 6,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 1.934% (pays upon termination) | 7/20/22 | 118,293 |
7 | See Notes to Financial Statements. |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Inflation Swaps (continued) | ||||||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Fund Pays/Receives Return on Reference Index | Reference Index | Fund Pays/Receives Rate | Annual Rate | Termination Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Barclays Bank PLC | $ | 10,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 2.157% (pays upon termination) | 1/9/23 | $ | 82,471 | |||||||||||||
Citibank, N.A. | 2,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 2.147% (pays upon termination) | 9/15/19 | (64,945 | ) | ||||||||||||||
Citibank, N.A. | 3,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 1.860% (pays upon termination) | 6/15/20 | 24,050 | |||||||||||||||
Citibank, N.A. | 3,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 1.880% (pays upon termination) | 6/18/20 | 21,459 | |||||||||||||||
Citibank, N.A. | 2,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 1.528% (pays upon termination) | 7/29/20 | 55,826 | |||||||||||||||
Citibank, N.A. | 2,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 1.471% (pays upon termination) | 8/3/21 | 76,246 | |||||||||||||||
Citibank, N.A. | 5,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 2.075% (pays upon termination) | 9/28/22 | 73,773 | |||||||||||||||
Citibank, N.A. | 5,000 | Receives | Return on CPI-U (NSA)(pays upon termination) | Pays | 2.207% (pays upon termination) | 1/23/23 | 27,110 | |||||||||||||||
$ | 1,215,418 |
Centrally Cleared Interest Rate Swaps | ||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Fund Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Net Unrealized Depreciation | ||||||||||||
LCH.Clearnet | $ | 5,000 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 1.990% (pays semi-annually) | 4/7/22 | $ | (168,064 | ) | |||||||||
LCH.Clearnet | 7,000 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 2.081% (pays semi-annually) | 11/6/22 | (200,278 | ) | |||||||||||
LCH.Clearnet | 5,000 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 2.089% (pays semi-annually) | 11/17/22 | (142,926 | ) | |||||||||||
LCH.Clearnet | 10,000 | Pays | 3-month USD-LIBOR-BBA (pays quarterly) | 2.487% (pays semi-annually) | 1/29/23 | (121,495 | ) | |||||||||||
$ | (632,763 | ) |
Abbreviations:
CPI-U (NSA) | – | Consumer Price Index All Urban Non-Seasonally Adjusted | ||
LIBOR | – | London Interbank Offered Rate |
Currency Abbreviations:
USD | – | United States Dollar |
8 | See Notes to Financial Statements. |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Statement of Assets and Liabilities (Unaudited)
Assets | April 30, 2018 | |||
Investment in affiliated Portfolio, at value (identified cost, $70,647,056) | $ | 71,604,473 | ||
Unaffiliated investments, at value (identified cost, $213,524,726) | 211,338,091 | |||
Affiliated investment, at value (identified cost, $5,965,796) | 5,966,186 | |||
Cash | 25,746 | |||
Deposits for derivatives collateral — | ||||
Centrally cleared swap contracts | 512,292 | |||
OTC derivatives | 580,000 | |||
Interest receivable | 320,885 | |||
Dividends receivable from affiliated investment | 6,756 | |||
Receivable for Fund shares sold | 1,276,561 | |||
Receivable for open swap contracts | 1,297,026 | |||
Receivable from affiliate | 38,212 | |||
Total assets | $ | 292,966,228 | ||
Liabilities | ||||
Cash collateral due to broker | $ | 580,000 | ||
Payable for Fund shares redeemed | 278,073 | |||
Payable for variation margin on open centrally cleared swap contracts | 1,040 | |||
Payable for open swap contracts | 81,608 | |||
Payable to affiliates: | ||||
Investment adviser fee | 77,542 | |||
Distribution and service fees | 14,956 | |||
Trustees’ fees | 42 | |||
Accrued expenses | 38,751 | |||
Total liabilities | $ | 1,072,012 | ||
Net Assets | $ | 291,894,216 | ||
Sources of Net Assets | ||||
Paid-in capital | $ | 299,129,030 | ||
Accumulated undistributed net investment income | 944,363 | |||
Accumulated net realized loss | (7,533,004 | ) | ||
Net unrealized depreciation | (646,173 | ) | ||
Total | $ | 291,894,216 | ||
Class A Shares | ||||
Net Assets | $ | 31,202,437 | ||
Shares Outstanding | 3,175,925 | |||
Net Asset Value and Redemption Price Per Share | ||||
(net assets ÷ shares of beneficial interest outstanding) | $ | 9.82 | ||
Maximum Offering Price Per Share | ||||
(100 ÷ 97.75 of net asset value per share) | $ | 10.05 | ||
Class C Shares | ||||
Net Assets | $ | 10,572,757 | ||
Shares Outstanding | 1,082,345 | |||
Net Asset Value and Offering Price Per Share* | ||||
(net assets ÷ shares of beneficial interest outstanding) | $ | 9.77 | ||
Class I Shares | ||||
Net Assets | $ | 250,119,022 | ||
Shares Outstanding | 25,483,461 | |||
Net Asset Value, Offering Price and Redemption Price Per Share | ||||
(net assets ÷ shares of beneficial interest outstanding) | $ | 9.81 |
On sales of $100,000 or more ($50,000 or more for certain financial intermediaries, as disclosed in an appendix to the Fund’s prospectus), the offering price of Class A shares is reduced.
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
9 | See Notes to Financial Statements. |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Statement of Operations (Unaudited)
Investment Income | Six Months Ended April 30, 2018 | |||
Interest | $ | 2,429,933 | ||
Interest and other income allocated from affiliated Portfolio | 1,602,859 | |||
Dividends from affiliated investment | 37,721 | |||
Dividends allocated from affiliated Portfolio | 6,574 | |||
Expenses, excluding interest expense, allocated from affiliated Portfolio | (145,056 | ) | ||
Interest expense allocated from affiliated Portfolio | (127,741 | ) | ||
Total investment income | $ | 3,804,290 | ||
Expenses | ||||
Investment adviser fee | $ | 393,097 | ||
Distribution and service fees | ||||
Class A | 32,783 | |||
Class C | 48,520 | |||
Trustees’ fees and expenses | 250 | |||
Custodian fee | 30,401 | |||
Transfer and dividend disbursing agent fees | 56,472 | |||
Legal and accounting services | 28,587 | |||
Printing and postage | 15,971 | |||
Registration fees | 48,228 | |||
Miscellaneous | 8,090 | |||
Total expenses | $ | 662,399 | ||
Deduct — | ||||
Reimbursement of expenses by affiliate | $ | 134,671 | ||
Total expense reductions | $ | 134,671 | ||
Net expenses | $ | 527,728 | ||
Net investment income | $ | 3,276,562 | ||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) — | ||||
Investment transactions | $ | (27,627 | ) | |
Investment transactions — affiliated investment | (434 | ) | ||
Swap contracts | (75,565 | ) | ||
Net realized gain (loss) allocated from affiliated Portfolio — | ||||
Investment transactions | 223,450 | |||
Foreign currency transactions | (12,486 | ) | ||
Forward foreign currency exchange contracts | (102,994 | ) | ||
Net realized gain | $ | 4,344 | ||
Change in unrealized appreciation (depreciation) — | ||||
Investments | $ | (1,895,745 | ) | |
Investments — affiliated investment | 390 | |||
Swap contracts | 373,777 | |||
Change in unrealized appreciation (depreciation) allocated from affiliated Portfolio — | ||||
Investments | 83,601 | |||
Foreign currency | 11,718 | |||
Forward foreign currency exchange contracts | 82,970 | |||
Net change in unrealized appreciation (depreciation) | $ | (1,343,289 | ) | |
Net realized and unrealized loss | $ | (1,338,945 | ) | |
Net increase in net assets from operations | $ | 1,937,617 |
10 | See Notes to Financial Statements. |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Statements of Changes in Net Assets
Increase (Decrease) in Net Assets | Six Months Ended April 30, 2018 | Year Ended October 31, 2017 | ||||||
From operations — | ||||||||
Net investment income | $ | 3,276,562 | $ | 2,762,763 | ||||
Net realized gain (loss) | 4,344 | (275,600 | ) | |||||
Net change in unrealized appreciation (depreciation) | (1,343,289 | ) | 348,745 | |||||
Net increase in net assets from operations | $ | 1,937,617 | $ | 2,835,908 | ||||
Distributions to shareholders — | ||||||||
From net investment income | ||||||||
Class A | $ | (297,716 | ) | $ | (286,610 | ) | ||
Class C | (68,510 | ) | (80,562 | ) | ||||
Class I | (2,421,896 | ) | (2,026,596 | ) | ||||
Total distributions to shareholders | $ | (2,788,122 | ) | $ | (2,393,768 | ) | ||
Transactions in shares of beneficial interest — | ||||||||
Proceeds from sale of shares | ||||||||
Class A | $ | 15,763,483 | $ | 18,361,784 | ||||
Class C | 2,350,641 | 4,945,265 | ||||||
Class I | 105,558,485 | 153,061,798 | ||||||
Net asset value of shares issued to shareholders in payment of distributions declared | ||||||||
Class A | 288,431 | 272,304 | ||||||
Class C | 66,305 | 76,965 | ||||||
Class I | 2,380,255 | 1,748,142 | ||||||
Cost of shares redeemed | ||||||||
Class A | (5,056,206 | ) | (16,600,299 | ) | ||||
Class C | (1,530,361 | ) | (2,396,875 | ) | ||||
Class I | (22,054,370 | ) | (32,373,607 | ) | ||||
Net increase in net assets from Fund share transactions | $ | 97,766,663 | $ | 127,095,477 | ||||
Net increase in net assets | $ | 96,916,158 | $ | 127,537,617 | ||||
Net Assets | ||||||||
At beginning of period | $ | 194,978,058 | $ | 67,440,441 | ||||
At end of period | $ | 291,894,216 | $ | 194,978,058 | ||||
Accumulated undistributed net investment income included in net assets | ||||||||
At end of period | $ | 944,363 | $ | 455,923 |
11 | See Notes to Financial Statements. |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Financial Highlights
Class A | ||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net asset value — Beginning of period | $ | 9.860 | $ | 9.820 | $ | 9.670 | $ | 9.990 | $ | 10.180 | $ | 10.460 | ||||||||||||
Income (Loss) From Operations | ||||||||||||||||||||||||
Net investment income(1) | $ | 0.124 | $ | 0.176 | $ | 0.134 | $ | 0.089 | $ | 0.125 | $ | 0.083 | ||||||||||||
Net realized and unrealized gain (loss) | (0.057 | ) | 0.022 | 0.263 | (0.294 | ) | (0.124 | ) | (0.070 | ) | ||||||||||||||
Total income (loss) from operations | $ | 0.067 | $ | 0.198 | $ | 0.397 | $ | (0.205 | ) | $ | 0.001 | $ | 0.013 | |||||||||||
Less Distributions | ||||||||||||||||||||||||
From net investment income | $ | (0.107 | ) | $ | (0.158 | ) | $ | (0.247 | ) | $ | (0.115 | ) | $ | (0.191 | ) | $ | (0.163 | ) | ||||||
From net realized gain | — | — | — | — | — | (0.130 | ) | |||||||||||||||||
Total distributions | $ | (0.107 | ) | $ | (0.158 | ) | $ | (0.247 | ) | $ | (0.115 | ) | $ | (0.191 | ) | $ | (0.293 | ) | ||||||
Net asset value — End of period | $ | 9.820 | $ | 9.860 | $ | 9.820 | $ | 9.670 | $ | 9.990 | $ | 10.180 | ||||||||||||
Total Return(2)(3) | 0.69 | %(4) | 2.03 | % | 4.17 | % | (2.06 | )% | 0.01 | % | 0.12 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 31,202 | $ | 20,314 | $ | 18,207 | $ | 23,849 | $ | 28,337 | $ | 34,950 | ||||||||||||
Ratios (as a percentage of average daily net assets):(5) | ||||||||||||||||||||||||
Expenses(3)(6) | 0.86 | %(7)(8) | 0.86 | %(8) | 1.02 | %(8) | 0.90 | % | 0.90 | % | 1.08 | % | ||||||||||||
Net investment income | 2.55 | %(7) | 1.78 | % | 1.39 | % | 0.91 | % | 1.23 | % | 0.81 | % | ||||||||||||
Portfolio Turnover of the Fund(9) | 13 | %(4) | 40 | % | 83 | % | 74 | % | 124 | % | 74 | % |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | The investment adviser of a Portfolio and/or the investment adviser and the administrator of the Fund reimbursed expenses (equal to 0.11%, 0.13%, 0.23%, 0.34%, 0.26% and 0.14% of average daily net assets for the six months ended April 30, 2018 and the years ended October 31, 2017, 2016, 2015, 2014 and 2013, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Includes the Fund’s share of the Portfolio’s/Portfolios’ allocated expenses. |
(6) | Excludes the effect of custody fee credits, if any, of less than 0.005%. Effective September 1, 2015, custody fee credits, which were earned on cash deposit balances, were discontinued by the custodian. |
(7) | Annualized. |
(8) | Includes interest expense, including allocated from the Portfolio, of 0.11%, 0.09% and 0.12% of average daily net assets for the six months ended April 30, 2018 and the years ended October 31, 2017 and 2016, respectively. |
(9) | Percentage includes both the Fund’s contributions to and withdrawals from the Portfolio(s) and purchases and sales of securities held directly by the Fund. |
12 | See Notes to Financial Statements. |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Financial Highlights — continued
Class C | ||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net asset value — Beginning of period | $ | 9.810 | $ | 9.780 | $ | 9.630 | $ | 9.980 | $ | 10.160 | $ | 10.440 | ||||||||||||
Income (Loss) From Operations | ||||||||||||||||||||||||
Net investment income(1) | $ | 0.087 | $ | 0.103 | $ | 0.075 | $ | 0.009 | $ | 0.046 | $ | 0.001 | ||||||||||||
Net realized and unrealized gain (loss) | (0.058 | ) | 0.020 | 0.250 | (0.292 | ) | (0.111 | ) | (0.068 | ) | ||||||||||||||
Total income (loss) from operations | $ | 0.029 | $ | 0.123 | $ | 0.325 | $ | (0.283 | ) | $ | (0.065 | ) | $ | (0.067 | ) | |||||||||
Less Distributions | ||||||||||||||||||||||||
From net investment income | $ | (0.069 | ) | $ | (0.093 | ) | $ | (0.175 | ) | $ | (0.067 | ) | $ | (0.115 | ) | $ | (0.083 | ) | ||||||
From net realized gain | — | — | — | — | — | (0.130 | ) | |||||||||||||||||
Total distributions | $ | (0.069 | ) | $ | (0.093 | ) | $ | (0.175 | ) | $ | (0.067 | ) | $ | (0.115 | ) | $ | (0.213 | ) | ||||||
Net asset value — End of period | $ | 9.770 | $ | 9.810 | $ | 9.780 | $ | 9.630 | $ | 9.980 | $ | 10.160 | ||||||||||||
Total Return(2)(3) | 0.30 | %(4) | 1.26 | % | 3.43 | % | (2.84 | )% | (0.65 | )% | (0.65 | )% | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 10,573 | $ | 9,723 | $ | 7,080 | $ | 7,704 | $ | 11,390 | $ | 17,002 | ||||||||||||
Ratios (as a percentage of average daily net assets):(5) | ||||||||||||||||||||||||
Expenses(3)(6) | 1.61 | %(7)(8) | 1.61 | %(8) | 1.77 | %(8) | 1.65 | % | 1.65 | % | 1.83 | % | ||||||||||||
Net investment income | 1.79 | %(7) | 1.05 | % | 0.78 | % | 0.09 | % | 0.45 | % | 0.01 | % | ||||||||||||
Portfolio Turnover of the Fund(9) | 13 | %(4) | 40 | % | 83 | % | 74 | % | 124 | % | 74 | % |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | The investment adviser of a Portfolio and/or the investment adviser and the administrator of the Fund reimbursed expenses (equal to 0.11%, 0.13%, 0.23%, 0.34%, 0.26% and 0.14% of average daily net assets for the six months ended April 30, 2018 and the years ended October 31, 2017, 2016, 2015, 2014 and 2013, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Includes the Fund’s share of the Portfolio’s/Portfolios’ allocated expenses. |
(6) | Excludes the effect of custody fee credits, if any, of less than 0.005%. Effective September 1, 2015, custody fee credits, which were earned on cash deposit balances, were discontinued by the custodian. |
(7) | Annualized. |
(8) | Includes interest expense, including allocated from the Portfolio, of 0.11%, 0.09% and 0.12% of average daily net assets for the six months ended April 30, 2018 and the years ended October 31, 2017 and 2016, respectively. |
(9) | Percentage includes both the Fund’s contributions to and withdrawals from the Portfolio(s) and purchases and sales of securities held directly by the Fund. |
13 | See Notes to Financial Statements. |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Financial Highlights — continued
Class I | ||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net asset value — Beginning of period | $ | 9.850 | $ | 9.810 | $ | 9.670 | $ | 9.990 | $ | 10.170 | $ | 10.450 | ||||||||||||
Income (Loss) From Operations | ||||||||||||||||||||||||
Net investment income(1) | $ | 0.139 | $ | 0.205 | $ | 0.178 | $ | 0.133 | $ | 0.154 | $ | 0.108 | ||||||||||||
Net realized and unrealized gain (loss) | (0.061 | ) | 0.014 | 0.248 | (0.322 | ) | (0.119 | ) | (0.071 | ) | ||||||||||||||
Total income (loss) from operations | $ | 0.078 | $ | 0.219 | $ | 0.426 | $ | (0.189 | ) | $ | 0.035 | $ | 0.037 | |||||||||||
Less Distributions | ||||||||||||||||||||||||
From net investment income | $ | (0.118 | ) | $ | (0.179 | ) | $ | (0.286 | ) | $ | (0.131 | ) | $ | (0.215 | ) | $ | (0.187 | ) | ||||||
From net realized gain | — | — | — | — | — | (0.130 | ) | |||||||||||||||||
Total distributions | $ | (0.118 | ) | $ | (0.179 | ) | $ | (0.286 | ) | $ | (0.131 | ) | $ | (0.215 | ) | $ | (0.317 | ) | ||||||
Net asset value — End of period | $ | 9.810 | $ | 9.850 | $ | 9.810 | $ | 9.670 | $ | 9.990 | $ | 10.170 | ||||||||||||
Total Return(2)(3) | 0.80 | %(4) | 2.25 | % | 4.50 | % | (1.90 | )% | 0.34 | % | 0.36 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 250,119 | $ | 164,940 | $ | 42,154 | $ | 20,697 | $ | 17,488 | $ | 14,027 | ||||||||||||
Ratios (as a percentage of average daily net assets):(5) | ||||||||||||||||||||||||
Expenses(3)(6) | 0.61 | %(7)(8) | 0.60 | %(8) | 0.77 | %(8) | 0.65 | % | 0.65 | % | 0.83 | % | ||||||||||||
Net investment income | 2.85 | %(7) | 2.08 | % | 1.84 | % | 1.35 | % | 1.52 | % | 1.05 | % | ||||||||||||
Portfolio Turnover of the Fund(9) | 13 | %(4) | 40 | % | 83 | % | 74 | % | 124 | % | 74 | % |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | The investment adviser of a Portfolio and/or the investment adviser and the administrator of the Fund reimbursed expenses (equal to 0.11%, 0.13%, 0.23%, 0.34%, 0.26% and 0.14% of average daily net assets for the six months ended April 30, 2018 and the years ended October 31, 2017, 2016, 2015, 2014 and 2013, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Includes the Fund’s share of the Portfolio’s/Portfolios’ allocated expenses. |
(6) | Excludes the effect of custody fee credits, if any, of less than 0.005%. Effective September 1, 2015, custody fee credits, which were earned on cash deposit balances, were discontinued by the custodian. |
(7) | Annualized. |
(8) | Includes interest expense, including allocated from the Portfolio, of 0.11%, 0.09% and 0.12% of average daily net assets for the six months ended April 30, 2018 and the years ended October 31, 2017 and 2016, respectively. |
(9) | Percentage includes both the Fund’s contributions to and withdrawals from the Portfolio(s) and purchases and sales of securities held directly by the Fund. |
14 | See Notes to Financial Statements. |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Notes to Financial Statements (Unaudited)
1 Significant Accounting Policies
Eaton Vance Short Duration Inflation-Protected Income Fund (the Fund) is a non-diversified series of Eaton Vance Special Investment Trust (the Trust). The Trust is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The Fund offers three classes of shares. Class A shares are generally sold subject to a sales charge imposed at time of purchase. Class C shares are sold at net asset value and are generally subject to a contingent deferred sales charge (see Note 5). Class I shares are sold at net asset value and are not subject to a sales charge. Each class represents a pro-rata interest in the Fund, but votes separately on class-specific matters and (as noted below) is subject to different expenses. Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based on the relative net assets of each class to the total net assets of the Fund. Each class of shares differs in its distribution plan and certain other class-specific expenses. The Fund’s investment objective is real return (real return is defined as total return less the estimated cost of inflation (typically measured by the change in an official inflation measure)). The Fund pursues its investment objective by investing in inflation protected instruments, including Treasury Inflation Protected Securities, and other fixed or floating-rate debt obligations with respect to which the Fund enters into agreements to swap nominal interest payments for payments based on changes in the U.S. Consumer Price Index or other measure of inflation. The Fund may also invest in certain registered investment companies sponsored by the Eaton Vance organization (the Portfolios). During the six months ended April 30, 2018, the Fund held interests in Senior Debt Portfolio (the Portfolio), a Massachusetts business trust managed by Boston Management and Research (BMR). The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in the net assets of the Portfolio (0.8% at April 30, 2018). The performance of the Fund is directly affected by the performance of the Portfolio. A copy of the Portfolio’s financial statements is available on the EDGAR database on the Securities and Exchange Commission’s website (www.sec.gov), at the Commission’s public reference room in Washington, D.C. or upon request from the Fund’s principal underwriter, Eaton Vance Distributors, Inc. (EVD), by calling 1-800-262-1122.
The following is a summary of significant accounting policies of the Fund. The policies are in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Fund 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. The valuation policy of the Fund and of the Portfolio is as follows:
Debt Obligations. Debt obligations 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 for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value.
Affiliated Fund. The Fund and Portfolio may invest in Eaton Vance Cash Reserves Fund, LLC (Cash Reserves Fund), an affiliated investment company managed by EVM. While Cash Reserves Fund is not a registered money market mutual fund, it conducts all of its investment activities in accordance with the requirements of Rule 2a-7 under the 1940 Act. Investments in Cash Reserves Fund are valued at the closing net asset value per unit on the valuation day. Cash Reserves Fund generally values 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 Fund or Portfolio in a manner that fairly reflects the security’s value, or the amount that the Fund or 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.
Additional valuation policies of the Fund are as follows:
Derivatives. Swaps are normally valued using valuations provided by a third party pricing service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract. Future cash flows on swaps are discounted to their present value using swap rates provided by electronic data services or by broker/dealers.
Additional valuation policies of the Portfolio are as follows:
Senior Floating-Rate Loans. Interests in senior floating-rate loans (Senior Loans) for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service. Other Senior Loans are valued at fair value by the investment adviser under procedures approved by the Trustees. In fair valuing a Senior Loan, the investment adviser utilizes one or more of the valuation techniques described in (i) through (iii) below to assess the likelihood that the borrower will make a full repayment of the loan underlying such Senior Loan relative to yields on other Senior Loans issued by companies of comparable credit quality. If the investment adviser believes that there is a reasonable likelihood of full repayment, the investment adviser will determine fair value using a matrix pricing approach that considers the yield on the Senior Loan. If
15 |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Notes to Financial Statements (Unaudited) — continued
the investment adviser believes there is not a reasonable likelihood of full repayment, the investment adviser will determine fair value using analyses that include, but are not limited to: (i) a comparison of the value of the borrower’s outstanding equity and debt to that of comparable public companies; (ii) a discounted cash flow analysis; or (iii) when the investment adviser believes it is likely that a borrower will be liquidated or sold, an analysis of the terms of such liquidation or sale. In certain cases, the investment adviser will use a combination of analytical methods to determine fair value, such as when only a portion of a borrower’s assets are likely to be sold. In conducting its assessment and analyses for purposes of determining fair value of a Senior Loan, the investment adviser will use its discretion and judgment in considering and appraising relevant factors. Fair value determinations are made by the portfolio managers of the Portfolio based on information available to such managers. The portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may not possess the same information about a Senior Loan borrower as the portfolio managers of the Portfolio. At times, the fair value of a Senior Loan determined by the portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may vary from the fair value of the same Senior Loan determined by the portfolio managers of the Portfolio. The fair value of each Senior Loan is periodically reviewed and approved by the investment adviser’s Valuation Committee and by the Trustees based upon procedures approved by the Trustees. Junior Loans (i.e., subordinated loans and second lien loans) are valued in the same manner as Senior Loans.
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. 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.
Foreign Securities and Currencies. Foreign securities 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.
B Income — The Fund’s net investment income or loss includes the Fund’s pro-rata share of the net investment income or loss of the Portfolio, less all actual and accrued expenses of the Fund. Interest income on direct investments is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Inflation adjustments to the principal amount of inflation-adjusted bonds and notes are reflected as interest income. Deflation adjustments to the principal amount of an inflation-adjusted bond or note are reflected as reductions to interest income to the extent of interest income previously recorded on such bond or note. Dividend income on direct investments is recorded on the ex-dividend date for dividends received in cash and/or securities.
C Federal Taxes — The Fund’s policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders each year substantially all of its net investment income, and all or substantially all of its net realized capital gains. Accordingly, no provision for federal income or excise tax is necessary.
As of April 30, 2018, the Fund had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Fund 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.
D Expenses — The majority of expenses of the Trust are directly identifiable to an individual fund. Expenses which are not readily identifiable to a specific fund are allocated taking into consideration, among other things, the nature and type of expense and the relative size of the funds.
E 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.
F Indemnifications — Under the Trust’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 Fund. Under Massachusetts law, if certain conditions prevail, shareholders of a Massachusetts business trust (such as the Trust) could be deemed to have personal liability for the obligations of the Trust. However, the Trust’s Declaration of Trust contains an express disclaimer of liability on the part of Fund shareholders and the By-laws provide that the Trust shall assume the defense on behalf of any Fund shareholders. Moreover, the By-laws also provide for indemnification out of Fund property of any shareholder held personally liable solely by reason of being or having been a shareholder for all loss or expense arising from such liability. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
G Interest Rate Swaps — Swap contracts are privately negotiated agreements between the Fund and a counterparty. Certain swap contracts may be centrally cleared (“centrally cleared swaps”), whereby all payments made or received by the Fund pursuant to the contract are with a central clearing party (CCP) rather than the original counterparty. The CCP guarantees the performance of the original parties to the contract. Upon entering into centrally cleared swaps, the Fund is required to deposit with the CCP, either in cash or securities, an amount of initial margin determined by the CCP, which is subject to adjustment.
16 |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Notes to Financial Statements (Unaudited) — continued
Pursuant to interest rate swap agreements, the Fund either makes floating-rate payments to the counterparty (or CCP in the case of centrally cleared swaps) based on a benchmark interest rate in exchange for fixed-rate payments or the Fund makes fixed-rate payments to the counterparty (or CCP in the case of a centrally cleared swap) in exchange for payments on a floating benchmark interest rate. Payments received or made are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The value of the swap is determined by changes in the relationship between two rates of interest. The Fund is exposed to credit loss in the event of non-performance by the swap counterparty. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP. Risk may also arise from movements in interest rates.
H Inflation Swaps — Pursuant to inflation swap agreements, the Fund either makes floating-rate payments based on a benchmark index in exchange for fixed-rate payments or the Fund makes fixed-rate payments in exchange for floating-rate payments based on the return of a benchmark index. By design, the benchmark index is an inflation index, such as the Consumer Price Index. Payments received or made are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. The value of the swap is determined by changes in the relationship between the rate of interest and the benchmark index. The Fund 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 interest rates or the index.
I Other — Investment transactions are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost.
J Interim Financial Statements — The interim financial statements relating to April 30, 2018 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Fund’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
2 Distributions to Shareholders and Income Tax Information
It is the present policy of the Fund to declare and pay distributions quarterly of all or substantially all of its net investment income and to distribute annually all or substantially all of its net realized capital gains. Distributions of realized capital gains are made at least annually. Distributions are declared separately for each class of shares. Shareholders may reinvest income and capital gain distributions in additional shares of the same class of the Fund at the net asset value as of the reinvestment date or, at the election of the shareholder, receive distributions in cash. Distributions to shareholders are determined in accordance with income tax regulations, which may differ from U.S. GAAP. As required by U.S. GAAP, only distributions in excess of tax basis earnings and profits are reported in the financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid-in capital. For tax purposes, distributions from short-term capital gains are considered to be from ordinary income.
At October 31, 2017, the Fund, for federal income tax purposes, had deferred capital losses of $6,613,706 which would reduce its taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Fund’s next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at October 31, 2017, $1,955,133 are short-term and $4,658,573 are long-term.
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Fund at April 30, 2018, as determined on a federal income tax basis, were as follows:
Aggregate cost | $ | 291,061,087 | ||
Gross unrealized appreciation | $ | 2,263,979 | ||
Gross unrealized depreciation | (3,833,661 | ) | ||
Net unrealized depreciation | $ | (1,569,682 | ) |
3 Investment Adviser Fee and Other Transactions with Affiliates
The investment adviser fee is earned by Eaton Vance Management (EVM) as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement and subsequent fee reduction agreement between the Fund and EVM, the fee is computed at an annual rate of 0.45% of the Fund’s average daily net assets that are not invested in other investment companies for which EVM or its affiliates serve as investment adviser or administrator (“Investable Assets”) up to $1 billion and is payable monthly. On Investable Assets of $1 billion and over, the annual fee is reduced. The fee reduction cannot be terminated or reduced without the approval of a majority vote of the Trustees of the Fund who are not interested persons of EVM or the Fund and by the vote of a majority of shareholders. To the extent the Fund’s assets are invested in the Portfolio, the Fund is allocated its share of the Portfolio’s investment adviser fee. The Portfolio has engaged BMR, a subsidiary of EVM, to render investment advisory services.
17 |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Notes to Financial Statements (Unaudited) — continued
For the six months ended April 30, 2018, the Fund’s allocated portion of the investment adviser fees paid by the Portfolio totaled $134,221 and the investment adviser fee paid by the Fund on Investable Assets amounted to $393,097. For the six months ended April 30, 2018, the Fund’s investment adviser fee, including the investment adviser fees allocated from the Portfolio, was 0.45% (annualized) of the Fund’s average daily net assets. EVM also serves as the administrator of the Fund, but currently receives no compensation.
EVM has agreed to reimburse the Fund’s expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding such expenses as interest, taxes or litigation expenses) exceed 0.75%, 1.50% and 0.50% of the Fund’s average daily net assets for Class A, Class C and Class I, respectively. This agreement may be changed or terminated after February 28, 2019. Pursuant to this agreement, EVM reimbursed expenses of $134,671 for the six months ended April 30, 2018.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the six months ended April 30, 2018, EVM earned $2,383 from the Fund pursuant to such agreement, which is included in transfer and dividend disbursing agent fees on the Statement of Operations. The Fund was informed that EVD, an affiliate of EVM, received $466 as its portion of the sales charge on sales of Class A shares for the six months ended April 30, 2018. EVD also received distribution and service fees from Class A and Class C shares (see Note 4) and contingent deferred sales charges (see Note 5).
Trustees and officers of the Fund and the Portfolio who are members of EVM’s or BMR’s organizations receive remuneration for their services to the Fund out of the investment adviser fee. Certain officers and Trustees of the Fund and the Portfolio are officers of the above organizations.
4 Distribution Plans
The Fund has in effect a distribution plan for Class A shares (Class A Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class A Plan, the Fund pays EVD a distribution and service fee of 0.25% per annum of its average daily net assets attributable to Class A shares for distribution services and facilities provided to the Fund by EVD, as well as for personal services and/or the maintenance of shareholder accounts. Distribution and service fees paid or accrued to EVD for the six months ended April 30, 2018 amounted to $32,783 for Class A shares. The Fund also has in effect a distribution plan for Class C shares (Class C Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class C Plan, the Fund pays EVD amounts equal to 0.75% per annum of its average daily net assets attributable to Class C shares for providing ongoing distribution services and facilities to the Fund. For the six months ended April 30, 2018, the Fund paid or accrued to EVD $36,390 for Class C shares.
Pursuant to the Class C Plan, the Fund also makes payments of service fees to EVD, financial intermediaries and other persons in amounts equal to 0.25% per annum of its average daily net assets attributable to that class. Service fees paid or accrued are for personal services and/or the maintenance of shareholder accounts. They are separate and distinct from the sales commissions and distribution fees payable to EVD. Service fees paid or accrued for the six months ended April 30, 2018 amounted to $12,130 for Class C shares.
Distribution and service fees are subject to the limitations contained in the Financial Industry Regulatory Authority Rule 2341(d).
5 Contingent Deferred Sales Charges
A contingent deferred sales charge (CDSC) of 1% generally is imposed on redemptions of Class C shares made within one year of purchase. Generally, the CDSC is based upon the lower of the net asset value at date of redemption or date of purchase. No charge is levied on shares acquired by reinvestment of dividends or capital gain distributions. For the six months ended April 30, 2018, the Fund was informed that EVD received approximately $2,000 of CDSCs paid by Class C shareholders.
6 Investment Transactions
For the six months ended April 30, 2018, increases and decreases in the Fund’s investment in the Portfolio aggregated $27,562,891 and $1,655,150, respectively.
7 Purchases and Sales of Investments
Purchases and sales of investments by the Fund, other than short-term obligations, and including maturities and paydowns, for the six months ended April 30, 2018 were as follows:
Purchases | Sales | |||||||
Investments (non-U.S. Government) | $ | 42,123,360 | $ | 20,428,196 | ||||
U.S. Government and Agency Securities | 46,344,548 | 7,053,998 | ||||||
$ | 88,467,908 | $ | 27,482,194 |
18 |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Notes to Financial Statements (Unaudited) — continued
8 Shares of Beneficial Interest
The Fund’s Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Such shares may be issued in a number of different series (such as the Fund) and classes. Transactions in Fund shares were as follows:
Class A | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||
Sales | 1,600,577 | 1,864,674 | ||||||
Issued to shareholders electing to receive payments of distributions in Fund shares | 29,402 | 27,642 | ||||||
Redemptions | (513,550 | ) | (1,686,344 | ) | ||||
Net increase | 1,116,429 | 205,972 | ||||||
Class C | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||
Sales | 240,302 | 504,531 | ||||||
Issued to shareholders electing to receive payments of distributions in Fund shares | 6,790 | 7,856 | ||||||
Redemptions | (156,321 | ) | (244,935 | ) | ||||
Net increase | 90,771 | 267,452 | ||||||
Class I | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||
Sales | 10,744,649 | 15,560,195 | ||||||
Issued to shareholders electing to receive payments of distributions in Fund shares | 242,883 | 177,712 | ||||||
Redemptions | (2,244,458 | ) | (3,294,065 | ) | ||||
Net increase | 8,743,074 | 12,443,842 |
9 Financial Instruments
The Fund may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include 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 Fund 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 April 30, 2018 is included in the Portfolio of Investments. At April 30, 2018, the Fund had sufficient cash and/or securities to cover commitments under these contracts.
The Fund is subject to interest rate risk in the normal course of pursuing its investment objective and its use of derivatives. The Fund enters into interest rate and inflation swap agreements to swap nominal interest payments with respect to its investments in certain fixed or floating-rate debt (including floating-rate loans) for payments based on changes in the U.S. Consumer Price Index or other measures of inflation.
The Fund enters into swap contracts (other than centrally cleared swaps) that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Fund’s net assets below a certain level over a certain period of time, which would trigger a payment by the Fund for those derivatives in a liability position. At April 30, 2018, the fair value of derivatives with credit-related contingent features in a net liability position was $81,608. At April 30, 2018, there were no assets pledged by the Fund for such liability.
The over-the-counter (OTC) derivatives in which the Fund 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 Fund 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
19 |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Notes to Financial Statements (Unaudited) — continued
the Fund 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 Fund 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 Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the counterparty to accelerate payment by the Fund 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 Fund and/or counterparty is held in segregated accounts by the Fund’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 deposits for derivatives collateral and, in the case of cash pledged by a counterparty for the benefit of the Fund, a corresponding liability on the Statement of Assets and Liabilities. Securities pledged by the Fund as collateral, if any, are identified as such in the Portfolio of Investments. The carrying amount of the liability for cash collateral due to broker at April 30, 2018 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 11) at April 30, 2018.
The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is interest rate risk at April 30, 2018 was as follows:
Fair Value | ||||||||
Derivative | Asset Derivative | Liability Derivative | ||||||
Swap contracts | $ | 1,297,026 | (1) | $ | (81,608 | )(2) | ||
Swap contracts (centrally cleared) | — | (632,763 | )(3) | |||||
Total | $ | 1,297,026 | $ | (714,371 | ) | |||
Derivatives not subject to master netting or similar agreements | $ | — | $ | (632,763 | ) | |||
Total Derivatives subject to master netting or similar agreements | $ | 1,297,026 | $ | (81,608 | ) |
(1) | Statement of Assets and Liabilities location: Receivable for open swap contracts; Net unrealized depreciation. |
(2) | Statement of Assets and Liabilities location: Payable for open swap contracts; Net unrealized depreciation. |
(3) | Amount represents cumulative unrealized depreciation on centrally cleared swap contracts. Only the current day’s variation margin on centrally cleared swap contracts is reported within the Statement of Assets and Liabilities as Payable for variation margin on open centrally cleared swap contracts. |
The Fund’s derivative assets and liabilities at fair value by type, which are reported gross in the Statement of Assets and Liabilities, are presented in the table above. The following tables present the Fund’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 Fund for such assets and pledged by the Fund for such liabilities as of April 30, 2018.
Counterparty | Derivative Assets Subject to | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) | Total Cash Collateral Received | ||||||||||||||||||
Bank of America, N.A. | $ | 456,142 | $ | (726 | ) | $ | (339,591 | ) | $ | — | $ | 115,825 | $ | — | ||||||||||
Barclays Bank PLC | 562,420 | (15,937 | ) | — | (546,483 | ) | — | 580,000 | ||||||||||||||||
Citibank, N.A. | 278,464 | (64,945 | ) | — | — | 213,519 | — | |||||||||||||||||
$ | 1,297,026 | $ | (81,608 | ) | $ | (339,591 | ) | $ | (546,483 | ) | $ | 329,344 | $ | 580,000 |
20 |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Notes to Financial Statements (Unaudited) — 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) | Total Cash Collateral Pledged | ||||||||||||||||||
Bank of America, N.A. | $ | (726 | ) | $ | 726 | $ | — | $ | — | $ | — | $ | — | |||||||||||
Barclays Bank PLC | (15,937 | ) | 15,937 | — | — | — | — | |||||||||||||||||
Citibank, N.A. | (64,945 | ) | 64,945 | — | — | — | — | |||||||||||||||||
$ | (81,608 | ) | $ | 81,608 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Total — Deposits for derivatives collateral — OTC derivatives | $ | 580,000 |
(a) | In some instances, the total 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 and whose primary underlying risk exposure is interest rate risk for the six months ended April 30, 2018 was as follows:
Derivative | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||
Swap contracts | $ | (75,565 | )(1) | $ | 373,777 | (2) |
(1) | Statement of Operations location: Net realized gain (loss) – Swap contracts. |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation) – Swap contracts. |
The average notional amount of swap contracts outstanding during the six months ended April 30, 2018, which is indicative of the volume of this derivative type, was approximately $121,000,000.
10 Line of Credit
The Fund 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 October 30, 2018. Borrowings are made by the Fund solely to facilitate the handling of unusual and/or unanticipated short-term cash requirements. Interest is charged to the Fund 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 0.15% 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 Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund did not have any significant borrowings or allocated fees during the six months ended April 30, 2018.
11 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.
21 |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Notes to Financial Statements (Unaudited) — continued
At April 30, 2018, 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 | ||||||||||||
Investment in Affiliated Portfolio | $ | 71,604,473 | $ | — | $ | — | $ | 71,604,473 | ||||||||
U.S. Treasury Obligations | — | 153,642,458 | — | 153,642,458 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 2,175,172 | — | 2,175,172 | ||||||||||||
Asset-Backed Securities | — | 55,520,461 | — | 55,520,461 | ||||||||||||
Short-Term Investments | — | 5,966,186 | — | 5,966,186 | ||||||||||||
Total Investments | $ | 71,604,473 | $ | 217,304,277 | $ | — | $ | 288,908,750 | ||||||||
Swap Contracts | $ | — | $ | 1,297,026 | $ | — | $ | 1,297,026 | ||||||||
Total | $ | 71,604,473 | $ | 218,601,303 | $ | — | $ | 290,205,776 | ||||||||
Liability Description |
| |||||||||||||||
Swap Contracts | $ | — | $ | (714,371 | ) | $ | — | $ | (714,371 | ) | ||||||
Total | $ | — | $ | (714,371 | ) | $ | — | $ | (714,371 | ) |
At April 30, 2018, there were no investments transferred between Level 1 and Level 2 during the six months then ended.
22 |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Board of Trustees’ Contract Approval
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended (the “1940 Act”), provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of trustees, including by a vote of a majority of the trustees who are not “interested persons” of the fund (“Independent Trustees”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees (each a “Board”) of the registered investment companies advised by either Eaton Vance Management or its affiliate, Boston Management and Research, (the “Eaton Vance Funds”) held on April 24, 2018, the Board, including a majority of the Independent Trustees, voted to approve continuation of existing investment advisory and sub-advisory agreements for the Eaton Vance Funds for an additional one-year period. In voting its approval, the Board relied upon the affirmative recommendation of its Contract Review Committee, which is a committee comprised exclusively of Independent Trustees. Prior to making its recommendation, the Contract Review Committee reviewed information furnished by each adviser to the Eaton Vance Funds (including information specifically requested by the Board) for a series of meetings of the Contract Review Committee held between February and April 2018. The Contract Review Committee also considered information received at prior meetings of the Board and its committees, as relevant to its annual evaluation of the investment advisory and sub-advisory agreements.
The information that the Board considered included, among other things, the following (for funds that invest through one or more underlying portfolio(s), references to “each fund” in this section may include information that was considered at the portfolio-level):
Information about Fees, Performance and Expenses
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds as identified by the independent data provider (“comparable funds”); |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund (including, where relevant, yield data, Sharpe ratios and information ratios) to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices, as well as customized groups of peer funds and blended indices identified by the adviser in consultation with the Board; |
• | For each fund, comparative information concerning the fees charged and the services provided by each adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for each adviser with respect to each fund; |
Information about Portfolio Management and Trading
• | Descriptions of the investment management services provided to each fund, including the fund’s investment strategies and policies; |
• | The procedures and processes used to determine the fair value of fund assets and actions taken to monitor and test the effectiveness of such procedures and processes; |
• | Information about each adviser’s policies and practices with respect to trading, including each adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by each adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
• | Data relating to portfolio turnover rates of each fund; |
Information about each Adviser
• | Reports detailing the financial results and condition of each adviser; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their responsibilities with respect to managing other mutual funds and investment accounts; |
• | The Code of Ethics of each adviser and its affiliates, together with information relating to compliance with and the administration of such codes; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | Information concerning the resources devoted to compliance efforts undertaken by each adviser and its affiliates (including descriptions of various compliance programs) and their record of compliance; |
• | Information concerning the business continuity and disaster recovery plans of each adviser and its affiliates; |
• | A description of Eaton Vance Management’s procedures for overseeing third party advisers and sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
23 |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Board of Trustees’ Contract Approval — continued
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by Eaton Vance Management and its affiliates; |
• | Information concerning management of the relationship with the custodian, subcustodians and fund accountants by each adviser or the funds’ administrator; and |
• | The terms of each investment advisory agreement. |
Over the course of the twelve-month period ended April 30, 2018, with respect to one or more funds, the Board met seven times and the Contract Review Committee, the Audit Committee, the Governance Committee, the Portfolio Management Committee and the Compliance Reports and Regulatory Matters Committee, each of which is a Committee comprised solely of Independent Trustees, met seven, thirteen, six, eight and nine times, respectively. At such meetings, the Trustees participated in investment and performance reviews with the portfolio managers and other investment professionals of each investment adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective, such as the use of derivative instruments, as well as risk management techniques. The Board and its Committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, fund governance and other issues with respect to the funds, and received and participated in reports and presentations provided by Eaton Vance Management and other fund advisers with respect to such matters. In addition to the formal meetings of the Board and its Committees, the Independent Trustees hold regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of investment advisory and sub-advisory agreements.
For funds that invest through one or more underlying portfolios, the Board considered similar information about the portfolio(s) when considering the approval of investment advisory agreements. In addition, in cases where the fund’s investment adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any sub-advisory agreement.
The Contract Review Committee was assisted throughout the contract review process by Goodwin Procter LLP, independent legal counsel for the Independent Trustees. The members of the Contract Review Committee relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and sub-advisory agreement and the weight to be given to each such factor. The conclusions reached with respect to each investment advisory and sub-advisory agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each member of the Contract Review Committee may have placed varying emphasis on particular factors in reaching conclusions with respect to each investment advisory and sub-advisory agreement. In evaluating each investment advisory and sub-advisory agreement, including the specific fee structures and other terms of the agreements, the Contract Review Committee was informed by multiple years of analysis and discussion among the Independent Trustees and the Eaton Vance Funds’ advisers and sub-advisers.
Results of the Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Contract Review Committee concluded that the continuation of the investment advisory agreement of Eaton Vance Short Duration Inflation-Protected Income Fund (formerly Eaton Vance Short Duration Real Return Fund) (the “Fund”) with Eaton Vance Management (“EVM”), as well as the investment advisory agreements of Eaton Vance Floating Rate Portfolio, Senior Debt Portfolio and Short-Term U.S. Government Portfolio (the “Portfolios”), which are portfolios in which the Fund is authorized to invest, each with Boston Management and Research (“BMR”) (EVM, with respect to the Fund, and BMR, with respect to the Portfolios, are each referred to herein as the “Adviser”), including their fee structures, is in the interests of shareholders and, therefore, the Contract Review Committee recommended to the Board approval of each agreement. The Board accepted the recommendation of the Contract Review Committee based on the material factors considered and conclusions reached by the Contract Review Committee with respect to the agreements. Accordingly, the Board, including a majority of the Independent Trustees, voted to approve continuation of the investment advisory agreements for the Fund and the Portfolios.
Nature, Extent and Quality of Services
In considering whether to approve the investment advisory agreements of the Fund and the Portfolios, the Board evaluated the nature, extent and quality of services provided to the Fund and to the Portfolios by the applicable Adviser. BMR manages the Portfolios, while EVM allocates the assets of the Fund among the Portfolios and is also authorized to cause the Fund to make direct investments consistent with its investment strategies.
The Board considered each Adviser’s management capabilities and investment process with respect to the types of investments held by the Fund and the Portfolios, including the education, experience and number of its investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund and the Portfolios. In particular, the Board considered the abilities and experience of the Adviser’s investment professionals in investing in income instruments, including, in the case of the Fund, inflation protected instruments such as inflation-indexed securities. With respect to the Short-Term U.S. Government Portfolio, the Board noted the experience of BMR’s investment professionals in investing in securities issued, backed or otherwise guaranteed by the U.S. government. With respect to the Eaton Vance Floating Rate Portfolio and Senior Debt Portfolio, the Board considered the experience of BMR’s investment professionals in investing in senior floating rate loans. For all the Portfolios, the Board also took into account the resources dedicated to portfolio management and other services, as well as the compensation methods of each Adviser and other
24 |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Board of Trustees’ Contract Approval — continued
factors, such as the reputation and resources of the Adviser to recruit and retain highly qualified research, advisory and supervisory investment professionals. In addition, the Board considered the time and attention devoted to the Eaton Vance Funds, including the Fund and the Portfolios, by senior management, as well as the infrastructure, operational capabilities and support staff in place to assist in the portfolio management and operations of the Fund and the Portfolios, including the provision of administrative services. The Board also considered the business-related and other risks to which each Adviser or its affiliates may be subject in managing the Fund and the Portfolios.
The Board noted that, under the terms of the investment advisory agreement of the Fund, EVM may invest assets of the Fund directly in securities and other instruments, for which it would receive a fee, or in a Portfolio, for which it receives no separate fee but for which BMR receives an advisory fee from the Portfolio. The Trustees considered the potential benefits to the Fund of the ability to make direct investments, such as an improved ability to: gain exposure to sectors of the market EVM believes may not be represented or underrepresented by the Portfolios; to hedge certain Portfolio exposures; and/or to otherwise manage the exposures of the Fund.
The Board considered the compliance programs of each Adviser and relevant affiliates thereof. Among other matters, the Board considered compliance and reporting matters relating to personal trading by investment professionals, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity and the allocation of investment opportunities. The Board also considered the responses of each Adviser and its affiliates to requests in recent years from regulatory authorities such as the Securities and Exchange Commission and the Financial Industry Regulatory Authority.
The Board considered shareholder and other administrative services provided or managed by Eaton Vance Management and its affiliates, including transfer agency and accounting services. The Board evaluated the benefits to shareholders of investing in a fund that is a part of a large fund complex offering exposure to a variety of asset classes and investment disciplines, as well as the ability, in many cases, to exchange an investment among different funds without incurring additional sales charges.
After consideration of the foregoing factors, among others, the Board concluded that the nature, extent and quality of services provided by each Adviser, taken as a whole, are appropriate and consistent with the terms of the applicable investment advisory agreement.
Fund Performance
The Board compared the Fund’s investment performance to that of comparable funds and appropriate benchmark indices, as well as a customized peer group of similarly managed funds. The Board’s review included comparative performance data for the one-, three- and five-year periods ended September 30, 2017 for the Fund. In this regard, the Board noted that the performance of the Fund was higher than the median performance of the Fund’s peer group and custom peer group for the three-year period. The Board also noted that the performance of the Fund was higher than its primary benchmark index for the three-year period. The Board also considered the performance of the underlying Portfolios. With respect to Short-Term U.S. Government Portfolio, the Board took into account the purpose served by the Portfolio as an investment option for other Eaton Vance Funds seeking to participate in performance of the asset classes in which the Portfolio invests. On the basis of the foregoing and other relevant information provided to the Board, the Board concluded that the Portfolio had achieved its performance objective. The Board also concluded that the performance of the Fund was satisfactory.
Management Fees and Expenses
The Board considered contractual fee rates payable by the Portfolios and by the Fund for advisory and administrative services (referred to collectively as “management fees”). As part of its review, the Board considered the Fund’s management fees and total expense ratio for the one year period ended September 30, 2017, as compared to those of comparable funds, before and after giving effect to any undertaking to waive fees or reimburse expenses. The Board also considered certain Fund specific factors that had an impact on Fund expense ratios relative to comparable funds, as identified by management in response to inquiries from the Contract Review Committee.
After considering the foregoing information, and in light of the nature, extent and quality of the services provided by each Adviser, the Board concluded that the management fees charged for advisory and related services are reasonable.
Profitability and Other “Fall-Out” Benefits
The Board considered the level of profits realized by each Adviser and relevant affiliates thereof in providing investment advisory and administrative services to the Fund, to the Portfolios and to all Eaton Vance Funds as a group. The Board considered the level of profits realized without regard to marketing support or other payments by each Adviser and its affiliates to third parties in respect of distribution services. The Board also considered other direct or indirect fall-out benefits received by each Adviser and its affiliates in connection with their relationships with the Fund and the Portfolios, including the benefits of research services that may be available to each Adviser as a result of securities transactions effected for the Fund and the Portfolios and other investment advisory clients.
The Board concluded that, in light of the foregoing factors and the nature, extent and quality of the services rendered, the profits realized by each Adviser and its affiliates are deemed not to be excessive.
25 |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Board of Trustees’ Contract Approval — continued
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the applicable Adviser and its affiliates, on the one hand, and the Fund and the Portfolios, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and the Portfolios increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from economies of scale, if any, with respect to the management of any specific fund or group of funds. The Board reviewed data summarizing the increases and decreases in the assets of the Fund and of all Eaton Vance Funds as a group over various time periods, and evaluated the extent to which the total expense ratio of the Fund and the profitability of each Adviser and its affiliates may have been affected by such increases or decreases. Based upon the foregoing, the Board concluded that the Fund currently shares in any benefits from economies of scale. The Board also concluded that, assuming reasonably foreseeable increases in the assets of the Fund and the Portfolios, the structure of the advisory fees, some of which include breakpoints at several asset levels, will allow the Fund and the Portfolios to continue to benefit from any economies of scale in the future.
26 |
Eaton Vance
Short Duration Inflation-Protected Income Fund
April 30, 2018
Officers and Trustees
Officers of Eaton Vance Short Duration Inflation-Protected Income Fund
Payson F. Swaffield
President
Maureen A. Gemma
Vice President, Secretary and
Chief Legal Officer
James F. Kirchner
Treasurer
Richard F. Froio
Chief Compliance Officer
Trustees of Eaton Vance Short Duration Inflation-Protected Income Fund
William H. Park
Chairperson
Thomas E. Faust Jr.*
Mark R. Fetting
Cynthia E. Frost
George J. Gorman
Valerie A. Mosley
Helen Frame Peters
Susan J. Sutherland
Harriett Tee Taggart
Scott E. Wennerholm
* | Interested Trustee |
27 |
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 (International) Limited, Eaton Vance Advisers International Ltd., 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 typically 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.
28 |
Investment Adviser and Administrator of Eaton Vance Short Duration Inflation-Protected Income Fund
Eaton Vance Management
Two International Place
Boston, MA 02110
Principal Underwriter*
Eaton Vance Distributors, Inc.
Two International Place
Boston, MA 02110
(617) 482-8260
Custodian
State Street Bank and Trust Company
State Street Financial Center, One Lincoln Street
Boston, MA 02111
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
Attn: Eaton Vance Funds
P.O. Box 9653
Providence, RI 02940-9653
(800) 262-1122
Fund Offices
Two International Place
Boston, MA 02110
* | 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. |
7769 4.30.18
Item 2. Code of Ethics
Not required in this filing.
Item 3. Audit Committee Financial Expert
Not required in this filing.
Item 4. Principal Accountant Fees and Services
Not required in this filing.
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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. 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.
Eaton Vance Special Investment Trust
By: | /s/ Payson F. Swaffield | |
Payson F. Swaffield | ||
President | ||
Date: | June 21, 2018 |
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: | June 21, 2018 | |
By: | /s/ Payson F. Swaffield | |
Payson F. Swaffield | ||
President | ||
Date: | June 21, 2018 |