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)
Deidre E. Walsh
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, 2023
Date of Reporting Period
Item 1. Reports to Stockholders
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 04/01/2010 | 04/01/2010 | 3.15% | (0.96)% | 3.25% | 2.03% |
Class A with 3.25% Maximum Sales Charge | — | — | (0.24) | (4.17) | 2.57 | 1.69 |
Class C at NAV | 04/01/2010 | 04/01/2010 | 2.71 | (1.78) | 2.45 | 1.42 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 1.71 | (2.72) | 2.45 | 1.42 |
Class I at NAV | 04/01/2010 | 04/01/2010 | 3.28 | (0.71) | 3.52 | 2.29 |
ICE BofA 1–5 Year U.S. Inflation-Linked Treasury Index | — | — | 2.78% | (1.01)% | 2.96% | 1.55% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
Gross | 0.99% | 1.74% | 0.74% |
Net | 0.89 | 1.64 | 0.64 |
Asset Allocation (% of net assets)1,2 |
1 | Fund invests in one or more affiliated investment companies (Portfolios). References to investments are to the aggregate holdings of the Fund, including its pro rata share of each Portfolio in which it invests. |
2 | Other Net Assets represents other assets less liabilities and includes any investment type that represents less than 1% of net assets. |
1 | ICE BofA 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® BofA® 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. BofA® 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.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 2/29/24. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,031.50 | $5.89** | 1.17% |
Class C | $1,000.00 | $1,027.10 | $9.65** | 1.92% |
Class I | $1,000.00 | $1,032.80 | $4.64** | 0.92% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,018.99 | $5.86** | 1.17% |
Class C | $1,000.00 | $1,015.27 | $9.59** | 1.92% |
Class I | $1,000.00 | $1,020.23 | $4.61** | 0.92% |
* | 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, 2022. The Example reflects the expenses of both the Fund and the Portfolios. |
** | Absent an allocation of certain expenses to an affiliate, expenses would be higher. |
April 30, 2023 | |
Assets | |
Investment in Short Duration Inflation-Protected Income Portfolio, at value (identified cost $670,350,566) | $ 635,397,616 |
Investment in Senior Debt Portfolio, at value (identified cost $163,132,189) | 152,957,037 |
Receivable for Fund shares sold | 2,535,546 |
Receivable from affiliate | 59,835 |
Total assets | $790,950,034 |
Liabilities | |
Payable for Fund shares redeemed | $ 3,254,092 |
Payable to affiliates: | |
Distribution and service fees | 37,033 |
Trustees' fees | 43 |
Accrued expenses | 212,335 |
Total liabilities | $ 3,503,503 |
Net Assets | $787,446,531 |
Sources of Net Assets | |
Paid-in capital | $ 847,302,236 |
Accumulated loss | (59,855,705) |
Net Assets | $787,446,531 |
Class A Shares | |
Net Assets | $ 77,585,229 |
Shares Outstanding | 7,848,673 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.89 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 10.22 |
Class C Shares | |
Net Assets | $ 24,930,995 |
Shares Outstanding | 2,551,104 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 9.77 |
Class I Shares | |
Net Assets | $ 684,930,307 |
Shares Outstanding | 69,219,343 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.90 |
On sales of $100,000 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. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income allocated from Portfolios | $ 322,695 |
Interest income allocated from Portfolios | 19,896,219 |
Expenses, excluding interest expense and fees, allocated from Portfolios | (2,340,634) |
Interest expense and fees allocated from Portfolios | (1,870,970) |
Total investment income | $ 16,007,310 |
Expenses | |
Distribution and service fees: | |
Class A | $ 99,457 |
Class C | 128,252 |
Trustees’ fees and expenses | 250 |
Custodian fee | 31,080 |
Transfer and dividend disbursing agent fees | 348,502 |
Legal and accounting services | 25,700 |
Printing and postage | 51,569 |
Registration fees | 68,001 |
Miscellaneous | 6,814 |
Total expenses | $ 759,625 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 593,410 |
Total expense reductions | $ 593,410 |
Net expenses | $ 166,215 |
Net investment income | $ 15,841,095 |
Realized and Unrealized Gain (Loss) from Portfolios | |
Net realized gain (loss): | |
Investment transactions | $ (13,622,383) |
Swap contracts | 5,506,177 |
Foreign currency transactions | 124,880 |
Forward foreign currency exchange contracts | (2,576,077) |
Net realized loss | $(10,567,403) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 33,271,530 |
Swap contracts | (9,714,506) |
Foreign currency | (4,223) |
Forward foreign currency exchange contracts | (467,188) |
Net change in unrealized appreciation (depreciation) | $ 23,085,613 |
Net realized and unrealized gain | $ 12,518,210 |
Net increase in net assets from operations | $ 28,359,305 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 15,841,095 | $ 44,024,067 |
Net realized gain (loss) | (10,567,403) | 4,664,484 |
Net change in unrealized appreciation (depreciation) | 23,085,613 | (83,521,868) |
Net increase (decrease) in net assets from operations | $ 28,359,305 | $ (34,833,317) |
Distributions to shareholders: | ||
Class A | $ (1,009,936) | $ (3,914,956) |
Class C | (239,990) | (904,222) |
Class I | (11,087,925) | (39,322,845) |
Total distributions to shareholders | $ (12,337,851) | $ (44,142,023) |
Transactions in shares of beneficial interest: | ||
Class A | $ (12,855,667) | $ 37,212,555 |
Class C | (874,629) | 15,904,187 |
Class I | (250,111,511) | 644,754,406 |
Net increase (decrease) in net assets from Fund share transactions | $ (263,841,807) | $ 697,871,148 |
Net increase (decrease) in net assets | $ (247,820,353) | $ 618,895,808 |
Net Assets | ||
At beginning of period | $1,035,266,884 | $ 416,371,076 |
At end of period | $ 787,446,531 | $1,035,266,884 |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 9.710 | $10.490 | $ 9.850 | $ 9.730 | $ 9.720 | $ 9.860 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.164 | $ 0.521 | $ 0.366 | $ 0.209 | $ 0.240 | $ 0.254 |
Net realized and unrealized gain (loss) | 0.140 | (0.832) | 0.630 | 0.120 (2) | (0.008) | (0.142) |
Total income (loss) from operations | $ 0.304 | $ (0.311) | $ 0.996 | $ 0.329 | $ 0.232 | $ 0.112 |
Less Distributions | ||||||
From net investment income | $ (0.124) | $ (0.469) | $ (0.356) | $ (0.209) | $ (0.222) | $ (0.252) |
Total distributions | $ (0.124) | $ (0.469) | $ (0.356) | $ (0.209) | $ (0.222) | $ (0.252) |
Net asset value — End of period | $ 9.890 | $ 9.710 | $10.490 | $ 9.850 | $ 9.730 | $ 9.720 |
Total Return(3)(4) | 3.15% (5) | (3.02)% | 10.23% | 3.46% | 2.41% | 1.14% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $77,585 | $89,067 | $ 58,835 | $28,768 | $29,350 | $37,919 |
Ratios (as a percentage of average daily net assets):(6) | ||||||
Expenses (4)(7) | 1.17% (8)(9) | 0.88% (9) | 0.84% | 0.90% | 0.95% | 0.87% |
Net investment income | 3.38% (8) | 5.09% | 3.54% | 2.16% | 2.46% | 2.59% |
Portfolio Turnover of the Fund(10) | 8% (5) | 26% | 25% | 68% | 36% | 51% |
(1) | Computed using average shares outstanding. |
(2) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of Fund share transactions and the amount of the per share realized and unrealized gains and losses at such time. |
(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) | The investment adviser and the administrator of the Fund reimbursed expenses (equal to 0.13%, 0.10%, 0.10%, 0.11%, 0.14% and 0.11% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(5) | Not annualized. |
(6) | Includes the Fund’s share of the Portfolio’s/Portfolios’ allocated expenses. |
(7) | Includes interest expense, including allocated from the Portfolio(s) of 0.42%, 0.13%, 0.09%, 0.15%, 0.20% and 0.12% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively. |
(8) | Annualized. |
(9) | Includes a reduction by the investment adviser of a portion of the Portfolios’ and/or Fund’s adviser fees due to the Portfolios’ and/or Fund’s investments in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(10) | Percentage includes both the Fund’s contributions to and withdrawals from the Portfolio(s) and/or purchases and sales of securities held directly by the Fund. |
Class C | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 9.600 | $10.390 | $ 9.760 | $ 9.660 | $ 9.660 | $ 9.810 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.126 | $ 0.447 | $ 0.283 | $ 0.134 | $ 0.163 | $ 0.179 |
Net realized and unrealized gain (loss) | 0.133 | (0.835) | 0.632 | 0.116 (2) | (0.002) | (0.148) |
Total income (loss) from operations | $ 0.259 | $ (0.388) | $ 0.915 | $ 0.250 | $ 0.161 | $ 0.031 |
Less Distributions | ||||||
From net investment income | $ (0.089) | $ (0.402) | $ (0.285) | $ (0.150) | $ (0.161) | $ (0.181) |
Total distributions | $ (0.089) | $ (0.402) | $ (0.285) | $(0.150) | $(0.161) | $ (0.181) |
Net asset value — End of period | $ 9.770 | $ 9.600 | $10.390 | $ 9.760 | $ 9.660 | $ 9.660 |
Total Return(3)(4) | 2.71% (5) | (3.78)% | 9.46% | 2.74% | 1.58% | 0.31% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $24,931 | $25,351 | $ 11,322 | $ 5,152 | $ 7,118 | $13,528 |
Ratios (as a percentage of average daily net assets):(6) | ||||||
Expenses (4)(7) | 1.92% (8)(9) | 1.64% (9) | 1.59% | 1.65% | 1.70% | 1.62% |
Net investment income | 2.63% (8) | 4.42% | 2.76% | 1.40% | 1.68% | 1.83% |
Portfolio Turnover of the Fund(10) | 8% (5) | 26% | 25% | 68% | 36% | 51% |
(1) | Computed using average shares outstanding. |
(2) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of Fund share transactions and the amount of the per share realized and unrealized gains and losses at such time. |
(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) | The investment adviser and the administrator of the Fund reimbursed expenses (equal to 0.13%, 0.10%, 0.10%, 0.11%, 0.14% and 0.11% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(5) | Not annualized. |
(6) | Includes the Fund’s share of the Portfolio’s/Portfolios’ allocated expenses. |
(7) | Includes interest expense, including allocated from the Portfolio(s) of 0.42%, 0.14%, 0.09%, 0.15%, 0.20% and 0.12% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively. |
(8) | Annualized. |
(9) | Includes a reduction by the investment adviser of a portion of the Portfolios’ and/or Fund’s adviser fees due to the Portfolios’ and/or Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(10) | Percentage includes both the Fund’s contributions to and withdrawals from the Portfolio(s) and/or purchases and sales of securities held directly by the Fund. |
Class I | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 9.720 | $ 10.500 | $ 9.850 | $ 9.730 | $ 9.710 | $ 9.850 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.172 | $ 0.562 | $ 0.401 | $ 0.234 | $ 0.265 | $ 0.282 |
Net realized and unrealized gain (loss) | 0.145 | (0.850) | 0.629 | 0.114 (2) | (0.005) | (0.147) |
Total income (loss) from operations | $ 0.317 | $ (0.288) | $ 1.030 | $ 0.348 | $ 0.260 | $ 0.135 |
Less Distributions | ||||||
From net investment income | $ (0.137) | $ (0.492) | $ (0.380) | $ (0.228) | $ (0.240) | $ (0.275) |
Total distributions | $ (0.137) | $ (0.492) | $ (0.380) | $ (0.228) | $ (0.240) | $ (0.275) |
Net asset value — End of period | $ 9.900 | $ 9.720 | $ 10.500 | $ 9.850 | $ 9.730 | $ 9.710 |
Total Return(3)(4) | 3.28% (5) | (2.79)% | 10.59% | 3.66% | 2.71% | 1.37% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $684,930 | $920,849 | $346,214 | $146,885 | $200,002 | $273,458 |
Ratios (as a percentage of average daily net assets):(6) | ||||||
Expenses (4)(7) | 0.92% (8)(9) | 0.64% (9) | 0.59% | 0.65% | 0.70% | 0.62% |
Net investment income | 3.54% (8) | 5.50% | 3.88% | 2.42% | 2.72% | 2.87% |
Portfolio Turnover of the Fund(10) | 8% (5) | 26% | 25% | 68% | 36% | 51% |
(1) | Computed using average shares outstanding. |
(2) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of Fund share transactions and the amount of the per share realized and unrealized gains and losses at such time. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(4) | The investment adviser and the administrator of the Fund reimbursed expenses (equal to 0.13%, 0.10%, 0.10%, 0.11%, 0.14% and 0.11% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(5) | Not annualized. |
(6) | Includes the Fund’s share of the Portfolio’s/Portfolios’ allocated expenses. |
(7) | Includes interest expense, including allocated from the Portfolio(s) of 0.42%, 0.14%, 0.09%, 0.15%, 0.20% and 0.12% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively. |
(8) | Annualized. |
(9) | Includes a reduction by the investment adviser of a portion of the Portfolios’ and/or Fund’s adviser fees due to the Portfolios’ and/or Fund’s investments in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(10) | Percentage includes both the Fund’s contributions to and withdrawals from the Portfolio(s) and/or purchases and sales of securities held directly by the Fund. |
Average Daily Net Assets | Annual Fee Rate |
Up to $1 billion | 0.45% |
$1 billion but less than $2.5 billion | 0.43% |
$2.5 billion but less than $5 billion | 0.41% |
$5 billion and over | 0.40% |
Portfolio | Contributions | Withdrawals |
Short Duration Inflation-Protected Income Portfolio | $60,787,591 | $216,058,056 |
Senior Debt Portfolio | $ 8,826,707 | $128,432,948 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 2,028,979 | $ 19,842,828 | 7,761,674 | $ 80,380,065 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 102,233 | 996,538 | 388,953 | 3,865,351 | |
Redemptions | (3,452,252) | (33,695,033) | (4,586,923) | (47,032,861) | |
Net increase (decrease) | (1,321,040) | $ (12,855,667) | 3,563,704 | $ 37,212,555 | |
Class C | |||||
Sales | 465,440 | $ 4,492,774 | 1,998,352 | $ 20,402,219 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 24,794 | 239,057 | 91,961 | 901,192 | |
Redemptions | (578,678) | (5,606,460) | (540,313) | (5,399,224) | |
Net increase (decrease) | (88,444) | $ (874,629) | 1,550,000 | $ 15,904,187 | |
Class I | |||||
Sales | 22,126,026 | $ 216,301,018 | 106,317,172 | $ 1,098,924,601 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 1,136,380 | 11,082,114 | 3,961,917 | 39,298,078 | |
Redemptions | (48,759,094) | (477,494,643) | (48,528,256) | (493,468,273) | |
Net increase (decrease) | (25,496,688) | $(250,111,511) | 61,750,833 | $ 644,754,406 |
• | 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) |
Asset-Backed Securities — 1.6% |
Security | Principal Amount (000's omitted) | Value | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | $ | 724 | $ 564,691 |
LAD Auto Receivables Trust, Series 2022-1A, Class A, 5.21%, 6/15/27(1) | 1,328 | 1,318,669 | |
LL ABS Trust, Series 2022-1A, Class A, 3.76%, 11/15/29(1) | 1,669 | 1,643,138 | |
MVW, LLC, Series 2020-1A, Class A, 1.74%, 10/20/37(1) | 44 | 40,523 | |
Oportun Funding, LLC, Series 2022-1, Class A, 3.25%, 6/15/29(1) | 1,598 | 1,567,446 | |
Pagaya AI Debt Trust, Series 2022-1, Class A, 2.03%, 10/15/29(1) | 2,657 | 2,569,310 | |
SpringCastle America Funding, LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(1) | 680 | 611,470 | |
Stack Infrastructure Issuer, LLC, Series 2019-1A, Class A2, 4.54%, 2/25/44(1) | 700 | 688,305 | |
Vantage Data Centers Issuer, LLC, Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 1,105 | 942,897 | |
Total Asset-Backed Securities (identified cost $10,521,970) | $ 9,946,449 |
Commercial Mortgage-Backed Securities — 3.5% |
Security | Principal Amount (000's omitted) | Value | |
BX Commercial Mortgage Trust: | |||
Series 2019-XL, Class A, 5.924%, (SOFR + 1.03%), 10/15/36(1)(2) | $ | 4,769 | $ 4,721,404 |
Series 2021-VOLT, Class B, 5.898%, (1 mo. USD LIBOR + 0.95%), 9/15/36(1)(2) | 5,000 | ��4,783,405 | |
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class A, 6.018%, (1 mo. USD LIBOR + 1.07%), 12/15/37(1)(2) | 3,135 | 3,101,899 | |
COMM Mortgage Trust: | |||
Series 2013-CR11, Class B, 5.263%, 8/10/50(3) | 2,331 | 2,236,237 | |
Series 2013-CR11, Class D, 5.27%, 8/10/50(1)(3) | 455 | 438,422 | |
Series 2015-CR22, Class D, 4.205%, 3/10/48(1)(3) | 1,000 | 785,316 | |
Extended Stay America Trust, Series 2021-ESH, Class A, 6.028%, (1 mo. USD LIBOR + 1.08%), 7/15/38(1)(2) | 3,162 | 3,085,103 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class A, 6.098%, (1 mo. USD LIBOR + 1.15%), 5/15/38(1)(2) | 3,000 | 2,947,592 | |
Total Commercial Mortgage-Backed Securities (identified cost $22,645,971) | $ 22,099,378 |
U.S. Treasury Obligations — 93.4% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Bonds: | |||
1.75%, 1/15/28(4) | $ | 2,872 | $ 2,930,645 |
2.00%, 1/15/26(4) | 28,794 | 29,095,230 | |
2.375%, 1/15/25(4) | 36,701 | 36,925,647 | |
2.375%, 1/15/27(4) | 26,847 | 27,756,568 | |
3.625%, 4/15/28(4) | 3,719 | 4,134,122 | |
U.S. Treasury Inflation-Protected Notes: | |||
0.125%, 7/15/24(4) | 26,602 | 25,940,062 | |
0.125%, 10/15/24(4) | 32,826 | 31,919,995 | |
0.125%, 4/15/25(4) | 37,263 | 35,969,799 | |
0.125%, 10/15/25(4) | 33,618 | 32,487,044 | |
0.125%, 4/15/26(4) | 38,996 | 37,367,473 | |
0.125%, 7/15/26(4) | 37,645 | 36,201,349 | |
0.125%, 10/15/26(4) | 37,425 | 35,853,453 | |
0.125%, 4/15/27(4) | 33,024 | 31,399,261 | |
0.25%, 1/15/25(4) | 24,128 | 23,423,789 | |
0.375%, 7/15/25(4) | 38,051 | 37,042,215 | |
0.375%, 1/15/27(4) | 38,601 | 37,156,098 | |
0.375%, 7/15/27(4) | 40,577 | 39,140,687 | |
0.50%, 4/15/24(4) | 22,659 | 22,179,978 | |
0.50%, 1/15/28(4) | 15,852 | 15,279,468 | |
0.625%, 1/15/26(4) | 45,571 | 44,433,654 | |
1.625%, 10/15/27(4) | 7,108 | 7,225,011 | |
Total U.S. Treasury Obligations (identified cost $628,185,249) | $593,861,548 |
Short-Term Investments — 0.3% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(5) | 1,892,671 | $ 1,892,671 | |
Total Short-Term Investments (identified cost $1,892,671) | $ 1,892,671 | ||
Total Investments — 98.8% (identified cost $663,245,861) | $627,800,046 | ||
Other Assets, Less Liabilities — 1.2% | $ 7,607,482 | ||
Net Assets — 100.0% | $635,407,528 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Security exempt from registration under Rule 144A of 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, 2023, the aggregate value of these securities is $29,809,590 or 4.7% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2023. |
(3) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at April 30, 2023. |
(4) | 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. |
(5) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
Inflation Swaps (Centrally Cleared) | |||||||
Notional Amount (000's omitted) | Portfolio Pays/Receives Return on Reference Index | Reference Index | Portfolio Pays/Receives Rate | Annual Rate | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
USD | 30,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 4.47% (pays upon termination) | 4/21/24 | $ (123,579) |
USD | 25,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 4.27% (pays upon termination) | 3/28/25 | (382,593) |
USD | 35,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 4.04% (pays upon termination) | 4/25/25 | (464,603) |
USD | 25,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 3.76% (pays upon termination) | 4/1/26 | (348,307) |
USD | 15,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 3.16% (pays upon termination) | 10/28/26 | 403,209 |
USD | 20,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 3.00% (pays upon termination) | 1/4/27 | 490,989 |
USD | 20,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.82% (pays upon termination) | 2/11/27 | 535,742 |
USD | 30,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 3.61% (pays upon termination) | 3/23/27 | (527,751) |
USD | 10,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.55% (pays upon termination) | 4/19/27 | 843,121 |
USD | 10,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.81% (pays upon termination) | 10/12/27 | 420,032 |
USD | 15,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 3.24% (pays upon termination) | 11/19/27 | 228,959 |
USD | 50,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 3.37% (pays upon termination) | 3/10/28 | (583,048) |
$ 492,171 |
Abbreviations: | |
CPI-U (NSA) | – Consumer Price Index All Urban Non-Seasonally Adjusted |
LIBOR | – London Interbank Offered Rate |
SOFR | – Secured Overnight Financing Rate |
Currency Abbreviations: | |
USD | – United States Dollar |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $661,353,190) | $ 625,907,375 |
Affiliated investment, at value (identified cost $1,892,671) | 1,892,671 |
Deposits for derivatives collateral - centrally cleared derivatives | 7,490,461 |
Interest receivable | 1,008,724 |
Dividends receivable from affiliated investment | 46,536 |
Total assets | $636,345,767 |
Liabilities | |
Payable for variation margin on open centrally cleared derivatives | $ 502,454 |
Payable to affiliates: | |
Investment adviser fee | 239,614 |
Trustees' fees | 4,128 |
Accrued expenses | 192,043 |
Total liabilities | $ 938,239 |
Net Assets applicable to investors' interest in Portfolio | $635,407,528 |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income from affiliated investment | $ 141,019 |
Interest income | 8,120,801 |
Total investment income | $ 8,261,820 |
Expenses | |
Investment adviser fee | $ 1,543,526 |
Trustees’ fees and expenses | 23,542 |
Custodian fee | 101,686 |
Legal and accounting services | 35,990 |
Miscellaneous | 22,652 |
Total expenses | $ 1,727,396 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 5,223 |
Total expense reductions | $ 5,223 |
Net expenses | $ 1,722,173 |
Net investment income | $ 6,539,647 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $(10,897,540) |
Swap contracts | 5,506,252 |
Net realized loss | $ (5,391,288) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 22,099,533 |
Swap contracts | (9,714,628) |
Net change in unrealized appreciation (depreciation) | $ 12,384,905 |
Net realized and unrealized gain | $ 6,993,617 |
Net increase in net assets from operations | $ 13,533,264 |
Six Months Ended April 30, 2023 (Unaudited) | Period Ended October 31, 2022(1) | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 6,539,647 | $ 18,560,983 |
Net realized loss | (5,391,288) | (1,524,822) |
Net change in unrealized appreciation (depreciation) | 12,384,905 | (41,132,780) |
Net increase (decrease) in net assets from operations | $ 13,533,264 | $ (24,096,619) |
Capital transactions: | ||
Contributions | $ 60,787,591 | $ 193,401,377 |
Withdrawals | (216,058,056) | (68,422,512) |
Assets contributed by Eaton Vance Short Duration Inflation-Protected Income Fund | — | 676,262,483 |
Net increase (decrease) in net assets from capital transactions | $(155,270,465) | $801,241,348 |
Net increase (decrease) in net assets | $(141,737,201) | $777,144,729 |
Net Assets | ||
At beginning of period | $ 777,144,729 | $ — |
At end of period | $ 635,407,528 | $777,144,729 |
(1) | For the period from the commencement of operations, May 23, 2022, to October 31, 2022. |
Six Months Ended April 30, 2023 (Unaudited) | Period Ended October 31, 2022(1) | |
Ratios/Supplemental Data | ||
Ratios (as a percentage of average daily net assets): | ||
Expenses | 0.50% (2)(3) | 0.50% (2)(3) |
Net investment income | 1.90% (2) | 5.38% (2) |
Portfolio Turnover | 5% (4)(5) | 9% (4)(5) |
Total Return | 2.09% (4) | (2.95)% (4) |
Net assets, end of period (000’s omitted) | $635,408 | $777,145 |
(1) | For the period from the commencement of operations, May 23, 2022, to October 31, 2022. |
(2) | Annualized. |
(3) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the period ended October 31, 2022). |
(4) | Not annualized. |
(5) | Includes the effect of To Be Announced (TBA) transactions. |
Average Daily Net Assets | Annual Fee Rate |
Up to $1 billion | 0.45% |
$1 billion but less than $2.5 billion | 0.43% |
$2.5 billion but less than $5 billion | 0.41% |
$5 billion and over | 0.40% |
Purchases | Sales | |
Investments (non-U.S. Government) | $ — | $ 4,713,947 |
U.S. Government and Agency Securities | 31,476,217 | 190,293,788 |
$31,476,217 | $195,007,735 |
Aggregate cost | $ 663,246,160 |
Gross unrealized appreciation | $ 758,226 |
Gross unrealized depreciation | (35,712,169) |
Net unrealized depreciation | $ (34,953,943) |
Fair Value | ||
Derivative | Asset Derivative | Liability Derivative |
Swap contracts (centrally cleared) | $2,922,052 (1) | $(2,429,881) (1) |
(1) | Only the current day’s variation margin on centrally cleared swap contracts is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on centrally cleared derivatives, as applicable. |
Derivative | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
Swap contracts | $5,506,252 (1) | $(9,714,628) (2) |
(1) | Statement of Operations location: Net realized gain (loss): Swap contracts. |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation): Swap contracts. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $7,445,764 | $121,993,419 | $(127,546,512) | $ — | $ — | $1,892,671 | $141,019 | 1,892,671 |
• | 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) |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ — | $ 9,946,449 | $ — | $ 9,946,449 |
Commercial Mortgage-Backed Securities | — | 22,099,378 | — | 22,099,378 |
U.S. Treasury Obligations | — | 593,861,548 | — | 593,861,548 |
Short-Term Investments | 1,892,671 | — | — | 1,892,671 |
Total Investments | $ 1,892,671 | $ 625,907,375 | $ — | $ 627,800,046 |
Swap Contracts | $ — | $ 2,922,052 | $ — | $ 2,922,052 |
Total | $ 1,892,671 | $ 628,829,427 | $ — | $ 630,722,098 |
Liability Description | ||||
Swap Contracts | $ — | $ (2,429,881) | $ — | $ (2,429,881) |
Total | $ — | $ (2,429,881) | $ — | $ (2,429,881) |
Officers of Eaton Vance Short Duration Inflation-Protected Income Fund and Short Duration Inflation-Protected Income Portfolio | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees of Eaton Vance Short Duration Inflation-Protected Income Fund and Short Duration Inflation-Protected Income Portfolio |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Income Portfolio
Two International Place
Boston, MA 02110
Short Duration Inflation-Protected Income Fund
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
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 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/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | June 23, 2023 |
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 23, 2023 | |
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | June 23, 2023 |