Table of Contents
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-21323
Eaton Vance Limited Duration Income Fund
(Exact Name of registrant as Specified in Charter)
Two International Place Boston, MA 02110
(Address of Principal Executive Offices)
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place Boston, MA 02110
Two International Place Boston, MA 02110
(Name and Address of Agent for Services)
(617) 482-8260
(registrant’s Telephone Number)
April 30
Date of Fiscal Year End
October 31, 2009
Date of Reporting Period
TABLE OF CONTENTS
Table of Contents
Item 1. | Reports to Stockholders |
Table of Contents
![(GRAPHICS)](https://capedge.com/proxy/N-CSRS/0000950123-09-074186/b78550a1b7828102.gif)
Table of Contents
IMPORTANT NOTICES REGARDING PRIVACY,
DELIVERY OF SHAREHOLDER DOCUMENTS,
PORTFOLIO HOLDINGS AND PROXY VOTING
DELIVERY OF SHAREHOLDER DOCUMENTS,
PORTFOLIO HOLDINGS AND PROXY VOTING
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, Boston Management and Research, and Eaton Vance Distributors, Inc.
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 adviser/broker-dealer, it is likely that only such adviser’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 (the “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 adviser, may household the mailing of your documents indefinitely unless you instruct Eaton Vance, or your financial adviser, 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 adviser.
Your instructions that householding not apply to delivery of your Eaton Vance documents will be effective within 30 days of receipt by Eaton Vance or your financial adviser.
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. This description is also available on the SEC’s website at www.sec.gov.
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
INVESTMENT UPDATE
INVESTMENT UPDATE
Economic and Market Conditions.
![(PHOTO OF PAYSON F. SWAFFIELD)](https://capedge.com/proxy/N-CSRS/0000950123-09-074186/b78550a1b7828103.jpg)
Payson F. Swaffield, CFA
Co-Portfolio Manager
![(PHOTO OF MARK S. VENEZIA)](https://capedge.com/proxy/N-CSRS/0000950123-09-074186/b78550a1b7828104.jpg)
Mark S. Venezia, CFA
Co-Portfolio Manager
![(PHOTO OF CHRISTINE M. JOHNSTON)](https://capedge.com/proxy/N-CSRS/0000950123-09-074186/b78550a1b7828105.jpg)
Christine M. Johnston, CFA
Co-Portfolio Manager
• The six months ending October 31, 2009, were marked by a worldwide rally across the spectrum of riskier assets. The pace of economic deterioration slowed and then rebounded slightly in these six months, compared to the freefall in world economic output witnessed at the end of 2008 and first quarter of 2009. As signs of improving economic fundamentals began to emerge, investors’ aversion to risk reversed course and the capital markets staged a comeback.
• The loan market, as measured by the S&P/LSTA Leveraged Loan Index (the Index), gained 23.08% for the six months ending October 31, 2009, one of the highest six-month returns in the history of the asset class.1 Performance was driven by a combination of technical factors, which improved the market’s supply and demand picture. On the supply side, limited new loan issuance and a contraction of the existing supply through loan repayments reduced the available universe of purchasable loans. On the demand side, little selling activity and modest but steady inflows helped loan prices improve significantly. Modest improvements in loan fundamentals, or a deceleration of credit deterioration in many cases, also contributed to the increase in prices during the period. The default rate for the S&P/LSTA Leveraged Loan Index reached 12.0% as of October 31, 2009—near historical post-recession peaks.
• The high-yield market also experienced a comeback during the six-month period. The BofA Merrill Lynch U.S. High Yield Index returned 29.16% during the period.1 High-yield spreads—the additional yield over U.S. Treasury bonds of comparable maturity—narrowed significantly, from 1,330 basis points (13.3%) as of April 30, 2009, to 760 basis points (7.6%) as of October 31, 2009. Lower-quality paper led performance during the period, with CCC-rated issues performing the best, followed by BB-rated and B-rated bonds. The new-issue market remained strong, with the year-to-date total at almost $110 billion in new issues, roughly three times the amount of issuance during the first nine months of 2008. Defaults continued to increase, as Moody’s Investors Service reported speculative-grade defaults hitting 12.4% at the end of October 2009. This compares closely with historical peaks in past recessions of 11.01% in January 2002 and 12.07% in mid-1991.
• The mortgage-backed securities (MBS) market benefited from government programs aimed at bolstering the economy and the housing market. One of the most significant positives for the MBS market was the Federal Reserve’s (the Fed) purchase of MBS in the secondary market. This program, designed to sustain lower mortgage rates, started in January 2009. By the end of October, the Fed had purchased just under one trillion dollars in U.S. government agency MBS.
Total Return Performance 4/30/09 – 10/31/09
NYSE Amex Symbol | EVV | |||||||
At Net Asset Value (NAV)2 | 27.48 | % | ||||||
At Market Price2 | 25.81 | |||||||
Premium/(Discount) to NAV (10/31/09) | -11.81 | % | ||||||
Total Distributions per common share | $ | 0.65 | ||||||
Distribution Rate3 | At NAV | 8.25 | % | |||||
At Market Price | 9.36 | % |
See page 3 for more performance information.
1 | It is not possible to invest directly in an Index. The S&P/LSTA Leveraged Loan Index’s total return reflects changes in value of the loans constituting the Index and accrual of interest. The BofA Merrill Lynch U.S. High Yield Index reflects the performance of below-investment-grade U.S. dollar-denominated corporate bonds publicly issued in the U.S. The BofA Merrill Lynch Mortgage Master Index consists of fixed-rate, coupon-bearing bonds that are comprised of generic pass-through securities that are composed of numerous mortgage pools with various maturities. The Indices do not reflect the commissions or expenses that would have been incurred if an investor individually purchased or sold the instruments represented in the Indices. Unlike the Fund, an Index’s return does not reflect the effect of leverage. | |
2 | Performance results reflect the effect of leverage. | |
3 | The Distribution Rate is based on the Fund’s last regular distribution per share (annualized) divided by the Fund’s NAV or market price at the end of the period. The Fund’s distributions may be comprised of ordinary income, net realized capital gains and return of capital. |
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value or market price (as applicable) with all distributions reinvested. The Fund’s performance at market price will differ from its results at NAV. Although market price performance generally reflects investment results over time, during shorter periods, returns at market price can also be affected by factors such as changing perceptions about the Fund, market conditions, fluctuations in supply and demand for the Fund’s shares, or changes in Fund distributions. Investment return and principal value will fluctuate so that shares, when sold, may be worth more or less than their original cost. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than the quoted return. For performance as of the most recent month end, please refer to www.eatonvance.com.
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.
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Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
INVESTMENT UPDATE
INVESTMENT UPDATE
The Fed expects to purchase a total of $1.25 trillion in MBS by the end of March 2010. For the six-month period, MBS yield spreads over U.S. Treasuries, as represented by the BofA Merrill Lynch Mortgage Master Index, tightened 40 basis points through October 31, 2009.1
![(PHOTO OF MICHAEL W. WEILHEIMER)](https://capedge.com/proxy/N-CSRS/0000950123-09-074186/b78550a1b7828106.jpg)
Michael W. Weilheimer, CFA
Co-Portfolio Manager
![(PHOTO OF SCOTT H. PAGE)](https://capedge.com/proxy/N-CSRS/0000950123-09-074186/b78550a1b7828107.jpg)
Scott H. Page, CFA
Co-Portfolio Manager
![(PHOTO OF SUSAN SCHIFF)](https://capedge.com/proxy/N-CSRS/0000950123-09-074186/b78550a1b7828108.jpg)
Susan Schiff, CFA
Co-Portfolio Manager
![(PHOTO OF CATHERINE C. MCDERMOTT)](https://capedge.com/proxy/N-CSRS/0000950123-09-074186/b78550a1b7828109.jpg)
Catherine C. McDermott
Co-Portfolio Manager
Management Discussion
• The Fund’s investment objective is to provide a high level of current income, with a secondary objective of capital appreciation. The Fund pursues its objective by investing primarily in two distinct investment categories: 1) U.S. government agency mortgage-backed securities (MBS); and 2) investments rated below investment-grade, which include (but are not limited to) senior, secured loans and high-yield bonds. As of October 31, 2009, the Fund was 28.6% invested in seasoned U.S. government agency MBS and 65.2% invested in below-investment-grade securities, with 33.5% invested in senior, secured loans and and 31.7% invested in high-yield corporate bonds. During the six-month period, the Fund experienced strong total returns—driven primarily by its bank loan and high-yield bond investments—of 25.81% at market price and 27.48% at NAV.
• Within the MBS sector, the focus remained on seasoned, fixed-rate, U.S. government agency MBS (seasoned MBS) during the period. Typically, the mortgage loans underlying seasoned MBS were originated in the 1980s and 1990s. As a result, they have generally lower loan-to-home value ratios, meaning that these homeowners have more equity in their homes than the average borrower. In addition, these loans are guaranteed by government agencies. Seasoned MBS yield spreads tightened approximately 50 basis points over the six months. Principal prepayments remained stable, paying consistently at an annualized rate in the low teens.
• In the bank loan market, the six-month period witnessed a “junk rally,” with the market’s lowest-quality loans skyrocketing back to life. As a result, the Fund’s relative underweight to the lower-quality bank loans, including second-lien loans and those rated below CCC, detracted slightly from performance relative to the S&P/LSTA Leveraged Loan Index. In terms of industry sectors, a relative overweight to the cable television, leisure goods, activities and movies, and business equipment and services industries contributed positively to performance, while underweights to the automotive, lodging and casino industries detracted.
• The Fund’s high-yield bond investments benefited from a bias toward B rated issues and an overweight to CCC rated issues relative to the BofA Merrill Lynch U.S. High Yield Index. Company selection within the paper and retail industries, coupled with modest overweight positions to each, contributed positively to portfolio returns during the period. A broad underweight to the utilities sector also helped relative performance during the period. Banking and diversified financial services detracted from performance, as management underweighted these sectors relative to the BofA Merrill Lynch U.S. High Yield Index.
• As of October 31, 2009, the Fund employed leverage of 32.5% of total assets—10.2% auction preferred shares (APS)1 and 22.3% borrowings. Use of leverage creates an opportunity for income, but at the same time creates special risks (including the likelihood of greater volatility of net asset value and market price of common shares).
1 | APS percentage represents the liquidation value of the Fund’s APS outstanding at 10/31/09 as a percentage of the Fund’s net assets applicable to common shares plus APS. In the event of a rise in long-term interest rates, the value of the Fund’s investment portfolio could decline, which would reduce the asset coverage for its APS. |
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Eaton Vance Limited Duration Income Fund as of October 31, 2009
FUND PERFORMANCE
Fund Performance1
NYSE Amex Symbol | EVV | |||
Average Annual Total Returns (by market price, NYSE Amex) | ||||
Six Months | 25.81 | % | ||
One Year | 47.09 | |||
Five Years | 2.98 | |||
Life of Fund (5/30/03) | 4.27 | |||
Average Annual Total Returns (at net asset value) | ||||
Six Months | 27.48 | % | ||
One Year | 44.15 | |||
Five Years | 5.85 | |||
Life of Fund (5/30/03) | 6.33 |
1 | Six-month returns are cumulative. Often returns are presented on an average annual basis. Performance results reflect the effect of leverage. Absent a fee reduction by the investment adviser of the Fund, the returns would be lower. |
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value or market price (as applicable) with all distributions reinvested. The Fund’s performance at market price will differ from its results at NAV. Although market price performance generally reflects investment results over time, during shorter periods, returns at market price can also be affected by factors such as changing perceptions about the Fund, market conditions, fluctuations in supply and demand for the Fund’s shares, or changes in Fund distributions. Investment return and principal value will fluctuate so that shares, when sold, may be worth more or less than their original cost. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than the quoted return. For performance as of the most recent month end, please refer to www.eatonvance.com.
Portfolio Composition
Fund Allocations2
By net investments
![(PIE CHART)](https://capedge.com/proxy/N-CSRS/0000950123-09-074186/b78550a1b7828110.gif)
2 | Fund allocations are shown as a percentage of the Fund’s net investments, which represented 148.6% of the Fund’s net assets as of 10/31/09. Fund allocations may not be representative of the Fund’s current or future investments and are subject to change due to active management. |
The views expressed throughout this report are those of the portfolio managers and are current only through the end of the period of the report as stated on the cover. These views are subject to change at any time based upon market or other conditions, and the investment adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on many factors, may not be relied on as an indication of trading intent on behalf of any Eaton Vance fund. Portfolio information provided in the report may not be representative of the Fund’s current or future investments and may change due to active management.
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Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited)
Senior Floating-Rate Interests — 49.0%(1) | ||||||||||
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Aerospace and Defense — 0.9% | ||||||||||
ACTS Aero Technical Support & Service, Inc. | ||||||||||
897 | Term Loan, 0.00%, Maturing October 5, 2014(2) | $ | 253,442 | |||||||
Atlantic Inertial Systems, Inc. | ||||||||||
814 | Term Loan, 3.25%, Maturing July 20, 2014 | 781,317 | ||||||||
AWAS Capital, Inc. | ||||||||||
399 | Term Loan, 2.06%, Maturing March 22, 2013 | 369,137 | ||||||||
2,127 | Term Loan - Second Lien, 6.31%, Maturing March 22, 2013 | 1,472,947 | ||||||||
CACI International, Inc. | ||||||||||
280 | Term Loan, 1.78%, Maturing May 3, 2011 | 276,162 | ||||||||
Colt Defense, LLC | ||||||||||
971 | Term Loan, 3.50%, Maturing July 9, 2014 | 893,763 | ||||||||
DAE Aviation Holdings, Inc. | ||||||||||
562 | Term Loan, 4.01%, Maturing July 31, 2014 | 528,287 | ||||||||
574 | Term Loan, 4.04%, Maturing July 31, 2014 | 540,000 | ||||||||
Evergreen International Aviation | ||||||||||
1,217 | Term Loan, 12.00%, Maturing October 31, 2011 | 967,850 | ||||||||
Hawker Beechcraft Acquisition | ||||||||||
3,552 | Term Loan, 2.26%, Maturing March 26, 2014 | 2,823,769 | ||||||||
187 | Term Loan, 2.28%, Maturing March 26, 2014 | 148,788 | ||||||||
Hexcel Corp. | ||||||||||
1,406 | Term Loan, 6.50%, Maturing May 21, 2014 | 1,416,797 | ||||||||
IAP Worldwide Services, Inc. | ||||||||||
1,118 | Term Loan, 9.25%, Maturing December 30, 2012(3) | 939,801 | ||||||||
TransDigm, Inc. | ||||||||||
2,075 | Term Loan, 2.29%, Maturing June 23, 2013 | 1,995,335 | ||||||||
Vought Aircraft Industries, Inc. | ||||||||||
667 | Term Loan, 7.50%, Maturing December 17, 2011 | 666,667 | ||||||||
697 | Term Loan, 7.50%, Maturing December 17, 2011 | 699,155 | ||||||||
215 | Term Loan, 7.50%, Maturing December 22, 2011 | 213,736 | ||||||||
Wesco Aircraft Hardware Corp. | ||||||||||
1,459 | Term Loan, 2.50%, Maturing September 29, 2013 | 1,383,989 | ||||||||
$ | 16,370,942 | |||||||||
Air Transport — 0.2% | ||||||||||
Airport Development and Investment, Ltd. | ||||||||||
GBP | 1,957 | Term Loan - Second Lien, 4.56%, Maturing April 7, 2011 | $ | 2,949,993 | ||||||
Delta Air Lines, Inc. | ||||||||||
1,686 | Term Loan - Second Lien, 3.53%, Maturing April 30, 2014 | 1,421,456 | ||||||||
$ | 4,371,449 | |||||||||
Automotive — 1.6% | ||||||||||
Accuride Corp. | ||||||||||
2,338 | Term Loan, 10.00%, Maturing January 31, 2012 | $ | 2,326,838 | |||||||
Adesa, Inc. | ||||||||||
4,905 | Term Loan, 2.50%, Maturing October 18, 2013 | 4,708,999 | ||||||||
Allison Transmission, Inc. | ||||||||||
5,085 | Term Loan, 3.01%, Maturing September 30, 2014 | 4,575,585 | ||||||||
Dayco Products, LLC | ||||||||||
2,283 | Term Loan, 0.00%, Maturing June 21, 2011(2) | 1,046,495 | ||||||||
Federal-Mogul Corp. | ||||||||||
1,818 | Term Loan, 2.19%, Maturing December 27, 2014 | 1,401,111 | ||||||||
1,408 | Term Loan, 2.19%, Maturing December 27, 2015 | 1,084,734 | ||||||||
Ford Motor Co. | ||||||||||
3,245 | Term Loan, 3.29%, Maturing December 15, 2013 | 2,900,511 | ||||||||
Goodyear Tire & Rubber Co. | ||||||||||
4,450 | Term Loan - Second Lien, 2.34%, Maturing April 30, 2010 | 4,079,698 | ||||||||
Keystone Automotive Operations, Inc. | ||||||||||
1,109 | Term Loan, 3.78%, Maturing January 12, 2012 | 679,115 | ||||||||
LKQ Corp. | ||||||||||
1,274 | Term Loan, 2.50%, Maturing October 12, 2014 | 1,254,938 | ||||||||
TriMas Corp. | ||||||||||
314 | Term Loan, 2.52%, Maturing August 2, 2011 | 289,330 | ||||||||
1,320 | Term Loan, 2.50%, Maturing August 2, 2013 | 1,216,151 | ||||||||
TRW Automotive, Inc. | ||||||||||
916 | Term Loan, 6.25%, Maturing February 2, 2014 | 917,827 | ||||||||
United Components, Inc. | ||||||||||
1,439 | Term Loan, 2.72%, Maturing June 30, 2010 | 1,335,038 | ||||||||
$ | 27,816,370 | |||||||||
Beverage and Tobacco — 0.4% | ||||||||||
Constellation Brands, Inc. | ||||||||||
1,057 | Term Loan, 1.75%, Maturing June 5, 2013 | $ | 1,019,541 | |||||||
Culligan International Co. | ||||||||||
975 | Term Loan, 2.50%, Maturing November 24, 2014 | 760,500 | ||||||||
EUR | 1,400 | Term Loan - Second Lien, 5.19%, Maturing May 31, 2013 | 767,466 | |||||||
Liberator Midco Ltd. | ||||||||||
GBP | 385 | Term Loan, 8.51%, Maturing October 27, 2016(3) | 594,144 | |||||||
Southern Wine & Spirits of America, Inc. | ||||||||||
2,885 | Term Loan, 5.50%, Maturing May 31, 2012 | 2,823,934 | ||||||||
Van Houtte, Inc. | ||||||||||
117 | Term Loan, 2.78%, Maturing July 11, 2014 | 111,994 | ||||||||
861 | Term Loan, 2.78%, Maturing July 11, 2014 | 821,289 | ||||||||
$ | 6,898,868 | |||||||||
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Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Brokers, Dealers and Investment Houses — 0.1% | ||||||||||
AmeriTrade Holding Corp. | ||||||||||
2,108 | Term Loan, 1.75%, Maturing December 31, 2012 | $ | 2,050,402 | |||||||
$ | 2,050,402 | |||||||||
Building and Development — 1.3% | ||||||||||
AIMCO Properties, L.P. | ||||||||||
1,601 | Term Loan, 1.75%, Maturing March 23, 2011 | $ | 1,537,200 | |||||||
Beacon Sales Acquisition, Inc. | ||||||||||
879 | Term Loan, 2.28%, Maturing September 30, 2013 | 829,365 | ||||||||
Brickman Group Holdings, Inc. | ||||||||||
1,404 | Term Loan, 2.28%, Maturing January 23, 2014 | 1,325,193 | ||||||||
Building Materials Corp. of America | ||||||||||
1,873 | Term Loan, 3.00%, Maturing February 22, 2014 | 1,733,825 | ||||||||
Capital Automotive (REIT) | ||||||||||
1,012 | Term Loan, 2.75%, Maturing December 14, 2012 | 906,082 | ||||||||
Epco/Fantome, LLC | ||||||||||
1,738 | Term Loan, 2.87%, Maturing November 23, 2010 | 1,329,570 | ||||||||
Forestar USA Real Estate Group, Inc. | ||||||||||
1,755 | Revolving Loan, 0.39%, Maturing December 1, 2010(4) | 1,474,222 | ||||||||
1,411 | Term Loan, 5.10%, Maturing December 1, 2010 | 1,269,643 | ||||||||
LNR Property Corp. | ||||||||||
2,920 | Term Loan, 3.75%, Maturing July 3, 2011 | 2,321,111 | ||||||||
Metroflag BP, LLC | ||||||||||
700 | Term Loan - Second Lien, 0.00%, Maturing October 2, 2009(5) | 7,350 | ||||||||
NCI Building Systems, Inc. | ||||||||||
703 | Term Loan, 4.03%, Maturing June 18, 2010 | 654,751 | ||||||||
Panolam Industries Holdings, Inc. | ||||||||||
1,345 | Term Loan, 5.00%, Maturing September 30, 2012 | 1,214,123 | ||||||||
Realogy Corp. | ||||||||||
1,172 | Term Loan, 3.24%, Maturing September 1, 2014 | 984,912 | ||||||||
4,351 | Term Loan, 3.29%, Maturing September 1, 2014 | 3,658,246 | ||||||||
Sanitec Europe OY | ||||||||||
EUR | 387 | Term Loan, 2.50%, Maturing June 25, 2016 | 395,228 | |||||||
South Edge, LLC | ||||||||||
288 | Term Loan, 0.00%, Maturing October 31, 2009(5) | 88,406 | ||||||||
Standard Pacific Corp. | ||||||||||
1,260 | Term Loan, 2.19%, Maturing May 5, 2013 | 1,052,100 | ||||||||
WCI Communities, Inc. | ||||||||||
752 | Term Loan, 10.00%, Maturing September 3, 2014 | 644,657 | ||||||||
1,214 | Term Loan, 10.06%, Maturing September 3, 2014 | 1,199,026 | ||||||||
$ | 22,625,010 | |||||||||
Business Equipment and Services — 4.0% | ||||||||||
Activant Solutions, Inc. | ||||||||||
849 | Term Loan, 2.31%, Maturing May 1, 2013 | $ | 791,972 | |||||||
Affiliated Computer Services | ||||||||||
1,862 | Term Loan, 2.24%, Maturing March 20, 2013 | 1,842,513 | ||||||||
293 | Term Loan, 2.24%, Maturing March 20, 2013 | 290,085 | ||||||||
Affinion Group, Inc. | ||||||||||
4,275 | Term Loan, 2.74%, Maturing October 17, 2012 | 4,111,397 | ||||||||
Allied Barton Security Service | ||||||||||
1,115 | Term Loan, 6.75%, Maturing February 21, 2015 | 1,129,928 | ||||||||
Education Management, LLC | ||||||||||
4,835 | Term Loan, 2.06%, Maturing June 1, 2013 | 4,543,900 | ||||||||
Euronet Worldwide, Inc. | ||||||||||
1,829 | Term Loan, 2.27%, Maturing April 4, 2012 | 1,735,244 | ||||||||
Info USA, Inc. | ||||||||||
303 | Term Loan, 2.29%, Maturing February 14, 2012 | 292,859 | ||||||||
Information Resources, Inc. | ||||||||||
1,818 | Term Loan, 2.14%, Maturing May 7, 2014 | 1,722,963 | ||||||||
Intergraph Corp. | ||||||||||
1,000 | Term Loan, 2.37%, Maturing May 29, 2014 | 959,375 | ||||||||
1,000 | Term Loan - Second Lien, 6.29%, Maturing November 29, 2014 | 962,500 | ||||||||
iPayment, Inc. | ||||||||||
1,941 | Term Loan, 2.27%, Maturing May 10, 2013 | 1,773,165 | ||||||||
Kronos, Inc. | ||||||||||
1,488 | Term Loan, 2.28%, Maturing June 11, 2014 | 1,404,382 | ||||||||
Language Line, Inc. | ||||||||||
2,115 | Term Loan, 5.50%, Maturing June 11, 2011 | 2,114,947 | ||||||||
Mitchell International, Inc. | ||||||||||
1,500 | Term Loan - Second Lien, 5.56%, Maturing March 28, 2015 | 1,020,000 | ||||||||
N.E.W. Holdings I, LLC | ||||||||||
2,523 | Term Loan, 2.74%, Maturing May 22, 2014 | 2,364,093 | ||||||||
Protection One, Inc. | ||||||||||
2,014 | Term Loan, 2.49%, Maturing March 31, 2012 | 1,926,980 | ||||||||
Quantum Corp. | ||||||||||
292 | Term Loan, 3.78%, Maturing July 12, 2014 | 266,997 | ||||||||
Quintiles Transnational Corp. | ||||||||||
1,203 | Term Loan, 2.28%, Maturing March 31, 2013 | 1,148,331 | ||||||||
1,725 | Term Loan - Second Lien, 4.28%, Maturing March 31, 2014 | 1,651,687 | ||||||||
Sabre, Inc. | ||||||||||
6,636 | Term Loan, 2.49%, Maturing September 30, 2014 | 5,761,298 | ||||||||
Safenet, Inc. | ||||||||||
982 | Term Loan, 2.75%, Maturing April 12, 2014 | 921,625 | ||||||||
Serena Software, Inc. | ||||||||||
1,558 | Term Loan, 2.32%, Maturing March 10, 2013 | 1,442,856 |
5
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Business Equipment and Services (continued) | ||||||||||
Sitel (Client Logic) | ||||||||||
1,707 | Term Loan, 5.77%, Maturing January 29, 2014 | $ | 1,485,516 | |||||||
Solera Holdings, LLC | ||||||||||
EUR | 1,082 | Term Loan, 2.50%, Maturing May 15, 2014 | 1,544,048 | |||||||
SunGard Data Systems, Inc. | ||||||||||
454 | Term Loan, 1.99%, Maturing February 11, 2013 | 427,327 | ||||||||
12,821 | Term Loan, 4.07%, Maturing February 28, 2016 | 12,475,461 | ||||||||
TDS Investor Corp. | ||||||||||
EUR | 1,052 | Term Loan, 3.24%, Maturing August 23, 2013 | 1,385,081 | |||||||
Transaction Network Services, Inc. | ||||||||||
710 | Term Loan, 9.50%, Maturing May 4, 2012 | 717,497 | ||||||||
Travelport, LLC | ||||||||||
1,779 | Term Loan, 2.78%, Maturing August 23, 2013 | 1,623,022 | ||||||||
357 | Term Loan, 2.78%, Maturing August 23, 2013 | 325,660 | ||||||||
U.S. Security Holdings, Inc. | ||||||||||
856 | Term Loan, 2.79%, Maturing May 8, 2013 | 811,412 | ||||||||
Valassis Communications, Inc. | ||||||||||
402 | Term Loan, 2.04%, Maturing March 2, 2014 | 376,319 | ||||||||
1,752 | Term Loan, 2.04%, Maturing March 2, 2014 | 1,639,682 | ||||||||
VWR International, Inc. | ||||||||||
2,319 | Term Loan, 2.74%, Maturing June 28, 2013 | 2,122,057 | ||||||||
West Corp. | ||||||||||
2,699 | Term Loan, 2.62%, Maturing October 24, 2013 | 2,484,375 | ||||||||
3,920 | Term Loan, 4.12%, Maturing July 15, 2016 | 3,693,933 | ||||||||
$ | 71,290,487 | |||||||||
Cable and Satellite Television — 3.9% | ||||||||||
Atlantic Broadband Finance, LLC | ||||||||||
2,440 | Term Loan, 6.75%, Maturing June 8, 2013 | $ | 2,433,771 | |||||||
91 | Term Loan, 2.54%, Maturing September 1, 2013 | 89,561 | ||||||||
Bragg Communications, Inc. | ||||||||||
1,583 | Term Loan, 2.86%, Maturing August 31, 2014 | 1,543,084 | ||||||||
Bresnan Broadband Holdings, LLC | ||||||||||
1,716 | Term Loan, 2.29%, Maturing March 29, 2014 | 1,653,441 | ||||||||
1,550 | Term Loan - Second Lien, 4.75%, Maturing March 29, 2014 | 1,476,375 | ||||||||
Cequel Communications, LLC | ||||||||||
975 | Term Loan, 2.24%, Maturing November 5, 2013 | 933,562 | ||||||||
5,131 | Term Loan, 6.29%, Maturing May 5, 2014 | 5,122,834 | ||||||||
2,175 | Term Loan - Second Lien, 4.79%, Maturing May 5, 2014 | 2,130,412 | ||||||||
Charter Communications Operating, Inc. | ||||||||||
14,761 | Term Loan, 6.25%, Maturing April 28, 2013 | 13,458,905 | ||||||||
CSC Holdings, Inc. | ||||||||||
2,684 | Term Loan, 2.05%, Maturing March 29, 2013 | 2,560,569 | ||||||||
CW Media Holdings, Inc. | ||||||||||
1,850 | Term Loan, 3.53%, Maturing February 15, 2015 | 1,720,412 | ||||||||
DirectTV Holdings, LLC | ||||||||||
1,808 | Term Loan, 1.74%, Maturing April 13, 2013 | 1,774,868 | ||||||||
Insight Midwest Holdings, LLC | ||||||||||
4,742 | Term Loan, 2.29%, Maturing April 6, 2014 | 4,519,178 | ||||||||
MCC Iowa, LLC | ||||||||||
595 | Term Loan, 1.73%, Maturing March 31, 2010 | 589,050 | ||||||||
2,384 | Term Loan, 1.98%, Maturing January 31, 2015 | 2,193,368 | ||||||||
Mediacom Illinois, LLC | ||||||||||
4,706 | Term Loan, 1.73%, Maturing January 31, 2015 | 4,327,267 | ||||||||
ProSiebenSat.1 Media AG | ||||||||||
EUR | 822 | Term Loan, 3.53%, Maturing March 2, 2015 | 809,481 | |||||||
EUR | 48 | Term Loan, 2.73%, Maturing June 26, 2015 | 60,004 | |||||||
EUR | 1,187 | Term Loan, 2.73%, Maturing June 26, 2015 | 1,478,544 | |||||||
EUR | 822 | Term Loan, 3.78%, Maturing March 2, 2016 | 809,481 | |||||||
UPC Broadband Holding B.V. | ||||||||||
1,815 | Term Loan, 2.00%, Maturing December 31, 2014 | 1,702,513 | ||||||||
985 | Term Loan, 3.75%, Maturing December 31, 2016 | 947,864 | ||||||||
EUR | 4,531 | Term Loan, 4.19%, Maturing December 31, 2016 | 6,135,165 | |||||||
EUR | 3,269 | Term Loan, 4.44%, Maturing December 31, 2017 | 4,445,696 | |||||||
Virgin Media Investment Holding | ||||||||||
2,902 | Term Loan, 3.78%, Maturing March 30, 2012 | 2,890,769 | ||||||||
YPSO Holding SA | ||||||||||
EUR | 574 | Term Loan, 2.68%, Maturing July 28, 2014 | 654,421 | |||||||
EUR | 937 | Term Loan, 2.68%, Maturing July 28, 2014 | 1,067,738 | |||||||
EUR | 1,488 | Term Loan, 2.68%, Maturing July 28, 2014 | 1,695,752 | |||||||
$ | 69,224,085 | |||||||||
Chemicals and Plastics — 2.7% | ||||||||||
Ashland, Inc. | ||||||||||
876 | Term Loan, 7.65%, Maturing November 20, 2014 | $ | 891,738 | |||||||
Arizona Chemical, Inc. | ||||||||||
1,383 | Term Loan, 2.24%, Maturing February 28, 2013 | 1,317,480 | ||||||||
500 | Term Loan - Second Lien, 5.76%, Maturing February 28, 2014 | 437,500 | ||||||||
Brenntag Holding GmbH and Co. KG | ||||||||||
1,965 | Term Loan, 2.25%, Maturing December 23, 2013 | 1,871,538 | ||||||||
480 | Term Loan, 2.29%, Maturing December 23, 2013 | 456,961 | ||||||||
1,300 | Term Loan - Second Lien, 4.25%, Maturing December 23, 2015 | 1,219,833 | ||||||||
Celanese Holdings, LLC | ||||||||||
5,923 | Term Loan, 2.04%, Maturing April 2, 2014 | 5,555,625 | ||||||||
Cognis GmbH | ||||||||||
EUR | 266 | Term Loan, 2.77%, Maturing September 15, 2013 | 356,774 | |||||||
EUR | 1,084 | Term Loan, 2.77%, Maturing September 15, 2013 | 1,456,825 |
6
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Chemicals and Plastics (continued) | ||||||||||
Columbian Chemicals Acquisition | ||||||||||
857 | Term Loan, 6.31%, Maturing March 16, 2013 | $ | 731,920 | |||||||
First Chemical Holding | ||||||||||
EUR | 965 | Term Loan, 3.32%, Maturing December 18, 2014 | 1,040,549 | |||||||
EUR | 965 | Term Loan, 3.82%, Maturing December 18, 2015 | 1,040,549 | |||||||
Georgia Gulf Corp. | ||||||||||
858 | Term Loan, 10.00%, Maturing October 3, 2013 | 858,595 | ||||||||
Hexion Specialty Chemicals, Inc. | ||||||||||
395 | Term Loan, 2.56%, Maturing May 5, 2013 | 314,300 | ||||||||
1,820 | Term Loan, 2.56%, Maturing May 5, 2013 | 1,446,866 | ||||||||
4,850 | Term Loan, 2.75%, Maturing May 5, 2013 | 3,843,625 | ||||||||
Huish Detergents, Inc. | ||||||||||
1,246 | Term Loan, 2.00%, Maturing April 26, 2014 | 1,200,614 | ||||||||
Huntsman International, LLC | ||||||||||
3,465 | Term Loan, 1.99%, Maturing August 16, 2012 | 3,172,556 | ||||||||
INEOS Group | ||||||||||
EUR | 143 | Term Loan, 5.52%, Maturing December 14, 2011 | 179,093 | |||||||
EUR | 808 | Term Loan, 5.52%, Maturing December 14, 2011 | 1,012,985 | |||||||
EUR | 808 | Term Loan, 6.02%, Maturing December 14, 2011 | 1,013,116 | |||||||
EUR | 143 | Term Loan, 8.02%, Maturing December 14, 2011 | 179,093 | |||||||
233 | Term Loan, 7.50%, Maturing December 14, 2013 | 199,876 | ||||||||
233 | Term Loan, 10.00%, Maturing December 14, 2014 | 199,876 | ||||||||
ISP Chemco, Inc. | ||||||||||
1,940 | Term Loan, 2.00%, Maturing June 4, 2014 | 1,841,518 | ||||||||
Kranton Polymers, LLC | ||||||||||
3,072 | Term Loan, 2.31%, Maturing May 12, 2013 | 2,922,847 | ||||||||
MacDermid, Inc. | ||||||||||
EUR | 875 | Term Loan, 2.64%, Maturing April 12, 2014 | 1,015,684 | |||||||
Millenium Inorganic Chemicals | ||||||||||
469 | Term Loan, 2.53%, Maturing April 30, 2014 | 431,081 | ||||||||
1,375 | Term Loan - Second Lien, 6.03%, Maturing October 31, 2014 | 1,134,375 | ||||||||
Momentive Performance Material | ||||||||||
1,887 | Term Loan, 2.50%, Maturing December 4, 2013 | 1,579,314 | ||||||||
Nalco Co. | ||||||||||
834 | Term Loan, 2.06%, Maturing November 4, 2010 | 834,649 | ||||||||
2,488 | Term Loan, 6.50%, Maturing May 6, 2016 | 2,534,141 | ||||||||
Rockwood Specialties Group, Inc. | ||||||||||
3,587 | Term Loan, 6.00%, Maturing May 15, 2014 | 3,637,818 | ||||||||
Schoeller Arca Systems Holding | ||||||||||
EUR | 289 | Term Loan, 3.68%, Maturing November 16, 2015 | 272,239 | |||||||
EUR | 824 | Term Loan, 3.68%, Maturing November 16, 2015 | 776,203 | |||||||
EUR | 887 | Term Loan, 3.68%, Maturing November 16, 2015 | 835,271 | |||||||
$ | 47,813,027 | |||||||||
Clothing / Textiles — 0.3% | ||||||||||
Hanesbrands, Inc. | ||||||||||
1,306 | Term Loan, 5.03%, Maturing September 5, 2013 | $ | 1,313,278 | |||||||
1,125 | Term Loan - Second Lien, 3.99%, Maturing March 5, 2014 | 1,089,844 | ||||||||
St. John Knits International, Inc. | ||||||||||
1,118 | Term Loan, 9.25%, Maturing March 23, 2012 | 905,952 | ||||||||
The William Carter Co. | ||||||||||
1,144 | Term Loan, 1.75%, Maturing July 14, 2012 | 1,118,178 | ||||||||
$ | 4,427,252 | |||||||||
Conglomerates — 1.2% | ||||||||||
Amsted Industries, Inc. | ||||||||||
1,441 | Term Loan, 2.29%, Maturing October 15, 2010 | $ | 1,322,525 | |||||||
Blount, Inc. | ||||||||||
371 | Term Loan, 2.00%, Maturing August 9, 2010 | 355,636 | ||||||||
Doncasters (Dunde HoldCo 4 Ltd.) | ||||||||||
561 | Term Loan, 4.24%, Maturing July 13, 2015 | 455,908 | ||||||||
561 | Term Loan, 4.74%, Maturing July 13, 2015 | 455,908 | ||||||||
GBP | 734 | Term Loan - Second Lien, 5.02%, Maturing January 13, 2016 | 801,637 | |||||||
Jarden Corp. | ||||||||||
750 | Term Loan, 2.03%, Maturing January 24, 2012 | 723,635 | ||||||||
1,358 | Term Loan, 2.03%, Maturing January 24, 2012 | 1,313,205 | ||||||||
Johnson Diversey, Inc. | ||||||||||
2,901 | Term Loan, 2.48%, Maturing December 16, 2011 | 2,889,707 | ||||||||
Manitowoc Company, Inc. (The) | ||||||||||
1,389 | Term Loan, 7.50%, Maturing August 21, 2014 | 1,370,394 | ||||||||
Polymer Group, Inc. | ||||||||||
3,248 | Term Loan, 7.00%, Maturing November 22, 2014 | 3,255,978 | ||||||||
RBS Global, Inc. | ||||||||||
413 | Term Loan, 2.50%, Maturing July 19, 2013 | 396,436 | ||||||||
2,682 | Term Loan, 2.79%, Maturing July 19, 2013 | 2,583,628 | ||||||||
RGIS Holdings, LLC | ||||||||||
91 | Term Loan, 2.75%, Maturing April 30, 2014 | 81,491 | ||||||||
1,829 | Term Loan, 2.77%, Maturing April 30, 2014 | 1,629,828 | ||||||||
US Investigations Services, Inc. | ||||||||||
2,597 | Term Loan, 3.29%, Maturing February 21, 2015 | 2,420,280 | ||||||||
Vertrue, Inc. | ||||||||||
813 | Term Loan, 3.29%, Maturing August 16, 2014 | 672,348 | ||||||||
$ | 20,728,544 | |||||||||
Containers and Glass Products — 1.9% | ||||||||||
Berry Plastics Corp. | ||||||||||
4,575 | Term Loan, 2.30%, Maturing April 3, 2015 | $ | 3,942,240 |
7
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Containers and Glass Products (continued) | ||||||||||
Celanese AG | ||||||||||
EUR | 1,950 | Term Loan, 2.50%, Maturing April 6, 2011 | $ | 2,704,710 | ||||||
Consolidated Container Co. | ||||||||||
1,000 | Term Loan - Second Lien, 5.75%, Maturing September 28, 2014 | 830,833 | ||||||||
Crown Americas, Inc. | ||||||||||
679 | Term Loan, 2.00%, Maturing November 15, 2012 | 665,986 | ||||||||
Graham Packaging Holdings Co. | ||||||||||
462 | Term Loan, 2.55%, Maturing October 7, 2011 | 452,291 | ||||||||
4,627 | Term Loan, 6.75%, Maturing April 5, 2014 | 4,638,501 | ||||||||
Graphic Packaging International, Inc. | ||||||||||
7,311 | Term Loan, 2.28%, Maturing May 16, 2014 | 6,969,100 | ||||||||
JSG Acquisitions | ||||||||||
EUR | 1,256 | Term Loan, 4.01%, Maturing December 31, 2014 | 1,781,043 | |||||||
EUR | 1,256 | Term Loan, 4.12%, Maturing December 31, 2014 | 1,780,799 | |||||||
Kranson Industries, Inc. | ||||||||||
1,092 | Term Loan, 2.49%, Maturing July 31, 2013 | 1,037,106 | ||||||||
Owens-Brockway Glass Container | ||||||||||
2,035 | Term Loan, 1.74%, Maturing June 14, 2013 | 1,988,059 | ||||||||
Smurfit Kappa Acquisitions | ||||||||||
EUR | 210 | Term Loan, 4.06%, Maturing December 31, 2014 | 297,978 | |||||||
EUR | 175 | Term Loan, 4.11%, Maturing December 31, 2014 | 247,773 | |||||||
Smurfit-Stone Container Corp. | ||||||||||
1,811 | Revolving Loan, 2.84%, Maturing July 28, 2010 | 1,774,811 | ||||||||
601 | Revolving Loan, 3.06%, Maturing July 28, 2010 | 588,651 | ||||||||
236 | Term Loan, 2.50%, Maturing November 1, 2011 | 229,112 | ||||||||
414 | Term Loan, 2.50%, Maturing November 1, 2011 | 402,992 | ||||||||
780 | Term Loan, 2.50%, Maturing November 1, 2011 | 757,788 | ||||||||
364 | Term Loan, 4.50%, Maturing November 1, 2011 | 354,115 | ||||||||
Tegrant Holding Corp. | ||||||||||
1,950 | Term Loan, 3.54%, Maturing March 8, 2013 | 1,599,000 | ||||||||
$ | 33,042,888 | |||||||||
Cosmetics / Toiletries — 0.2% | ||||||||||
American Safety Razor Co. | ||||||||||
1,000 | Term Loan - Second Lien, 6.54%, Maturing July 31, 2014 | $ | 817,500 | |||||||
Bausch & Lomb, Inc. | ||||||||||
147 | Term Loan, 3.52%, Maturing April 30, 2015 | 140,263 | ||||||||
605 | Term Loan, 3.53%, Maturing April 30, 2015 | 577,591 | ||||||||
KIK Custom Products, Inc. | ||||||||||
1,400 | Term Loan - Second Lien, 5.28%, Maturing November 30, 2014 | 665,000 | ||||||||
Prestige Brands, Inc. | ||||||||||
1,863 | Term Loan, 2.49%, Maturing April 7, 2011 | 1,830,655 | ||||||||
$ | 4,031,009 | |||||||||
Drugs — 0.1% | ||||||||||
Graceway Pharmaceuticals, LLC | ||||||||||
1,286 | Term Loan, 2.99%, Maturing May 3, 2012 | $ | 906,308 | |||||||
300 | Term Loan, 8.49%, Maturing November 3, 2013 | 63,000 | ||||||||
1,000 | Term Loan - Second Lien, 6.74%, Maturing May 3, 2013 | 342,500 | ||||||||
Pharmaceutical Holdings Corp. | ||||||||||
441 | Term Loan, 3.50%, Maturing January 30, 2012 | 417,897 | ||||||||
$ | 1,729,705 | |||||||||
Ecological Services and Equipment — 0.4% | ||||||||||
Big Dumpster Merger Sub, Inc. | ||||||||||
833 | Term Loan, 2.50%, Maturing February 5, 2013 | $ | 543,674 | |||||||
Blue Waste B.V. (AVR Acquisition) | ||||||||||
EUR | 1,000 | Term Loan, 2.68%, Maturing April 1, 2015 | 1,362,013 | |||||||
Environmental Systems Products Holdings, Inc. | ||||||||||
417 | Term Loan - Second Lien, 13.50%, Maturing December 12, 2010 | 373,050 | ||||||||
IESI Corp. | ||||||||||
3,465 | Term Loan, 2.00%, Maturing January 20, 2012 | 3,282,809 | ||||||||
Sensus Metering Systems, Inc. | ||||||||||
700 | Term Loan, 7.00%, Maturing June 3, 2013 | 702,703 | ||||||||
Wastequip, Inc. | ||||||||||
962 | Term Loan, 2.50%, Maturing February 5, 2013 | 627,860 | ||||||||
$ | 6,892,109 | |||||||||
Electronics / Electrical — 1.8% | ||||||||||
Aspect Software, Inc. | ||||||||||
1,701 | Term Loan, 3.31%, Maturing July 11, 2011 | $ | 1,561,110 | |||||||
2,350 | Term Loan - Second Lien, 7.38%, Maturing July 11, 2013 | 1,985,750 | ||||||||
Freescale Semiconductor, Inc. | ||||||||||
5,481 | Term Loan, 2.00%, Maturing December 1, 2013 | 4,468,403 | ||||||||
Infor Enterprise Solutions Holdings | ||||||||||
1,763 | Term Loan, 4.00%, Maturing July 28, 2012 | 1,555,520 | ||||||||
3,378 | Term Loan, 4.00%, Maturing July 28, 2012 | 2,981,413 | ||||||||
500 | Term Loan, 5.74%, Maturing March 2, 2014 | 340,625 | ||||||||
183 | Term Loan - Second Lien, 6.49%, Maturing March 2, 2014 | 127,417 | ||||||||
317 | Term Loan - Second Lien, 6.49%, Maturing March 2, 2014 | 216,917 | ||||||||
Network Solutions, LLC | ||||||||||
2,751 | Term Loan, 2.78%, Maturing March 7, 2014 | 2,476,103 | ||||||||
Open Solutions, Inc. | ||||||||||
2,389 | Term Loan, 2.41%, Maturing January 23, 2014 | 1,939,218 | ||||||||
Sensata Technologies Finance Co. | ||||||||||
5,798 | Term Loan, 2.03%, Maturing April 27, 2013 | 4,992,124 |
8
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Electronics / Electrical (continued) | ||||||||||
Spectrum Brands, Inc. | ||||||||||
132 | Term Loan, 8.00%, Maturing March 30, 2013 | $ | 129,854 | |||||||
2,594 | Term Loan, 8.00%, Maturing March 30, 2013 | 2,543,153 | ||||||||
SS&C Technologies, Inc. | ||||||||||
1,711 | Term Loan, 2.28%, Maturing November 23, 2012 | 1,642,482 | ||||||||
VeriFone, Inc. | ||||||||||
931 | Term Loan, 3.00%, Maturing October 31, 2013 | 889,426 | ||||||||
Vertafore, Inc. | ||||||||||
2,437 | Term Loan, 5.50%, Maturing July 31, 2014 | 2,400,937 | ||||||||
975 | Term Loan - Second Lien, 6.39%, Maturing January 31, 2013 | 836,063 | ||||||||
$ | 31,086,515 | |||||||||
Equipment Leasing — 0.2% | ||||||||||
Hertz Corp. | ||||||||||
3,753 | Term Loan, 2.00%, Maturing December 21, 2012 | $ | 3,511,147 | |||||||
689 | Term Loan, 2.04%, Maturing December 21, 2012 | 644,494 | ||||||||
$ | 4,155,641 | |||||||||
Farming / Agriculture — 0.3% | ||||||||||
BF Bolthouse HoldCo, LLC | ||||||||||
2,529 | Term Loan, 2.56%, Maturing December 16, 2012 | $ | 2,473,622 | |||||||
1,475 | Term Loan - Second Lien, 5.74%, Maturing December 16, 2013 | 1,397,563 | ||||||||
Central Garden & Pet Co. | ||||||||||
2,277 | Term Loan, 1.75%, Maturing February 28, 2014 | 2,166,699 | ||||||||
$ | 6,037,884 | |||||||||
Financial Intermediaries — 0.6% | ||||||||||
Citco III, Ltd. | ||||||||||
3,130 | Term Loan, 2.85%, Maturing June 30, 2014 | $ | 2,738,480 | |||||||
Grosvenor Capital Management | ||||||||||
662 | Term Loan, 2.25%, Maturing December 5, 2013 | 601,974 | ||||||||
Jupiter Asset Management Group | ||||||||||
GBP | 575 | Term Loan, 2.74%, Maturing June 30, 2015 | 892,293 | |||||||
Lender Processing Services, Inc. | ||||||||||
992 | Term Loan, 2.74%, Maturing July 2, 2014 | 986,880 | ||||||||
LPL Holdings, Inc. | ||||||||||
5,006 | Term Loan, 2.01%, Maturing December 18, 2014 | 4,730,595 | ||||||||
Nuveen Investments, Inc. | ||||||||||
631 | Term Loan, 3.28%, Maturing November 2, 2014 | 546,548 | ||||||||
RJO Holdings Corp. (RJ O’Brien) | ||||||||||
640 | Term Loan, 3.25%, Maturing July 31, 2014 | 430,501 | ||||||||
$ | 10,927,271 | |||||||||
Food Products — 1.6% | ||||||||||
Acosta, Inc. | ||||||||||
2,927 | Term Loan, 2.50%, Maturing July 28, 2013 | $ | 2,789,499 | |||||||
Advantage Sales & Marketing, Inc. | ||||||||||
3,847 | Term Loan, 2.29%, Maturing March 29, 2013 | 3,664,429 | ||||||||
American Seafoods Group, LLC | ||||||||||
865 | Term Loan, 4.03%, Maturing September 30, 2011 | 787,028 | ||||||||
Dean Foods Co. | ||||||||||
5,801 | Term Loan, 1.66%, Maturing April 2, 2014 | 5,435,046 | ||||||||
MafCo Worldwide Corp. | ||||||||||
808 | Term Loan, 2.25%, Maturing December 8, 2011 | 759,131 | ||||||||
Michael Foods, Inc. | ||||||||||
1,281 | Term Loan, 6.50%, Maturing April 30, 2014 | 1,297,573 | ||||||||
Pinnacle Foods Finance, LLC | ||||||||||
7,248 | Term Loan, 3.00%, Maturing April 2, 2014 | 6,804,422 | ||||||||
Provimi Group SA | ||||||||||
188 | Term Loan, 2.49%, Maturing June 28, 2015 | 173,816 | ||||||||
231 | Term Loan, 2.49%, Maturing June 28, 2015 | 213,902 | ||||||||
EUR | 243 | Term Loan, 2.68%, Maturing June 28, 2015 | 330,853 | |||||||
EUR | 402 | Term Loan, 2.68%, Maturing June 28, 2015 | 547,195 | |||||||
EUR | 419 | Term Loan, 2.68%, Maturing June 28, 2015 | 570,185 | |||||||
EUR | 540 | Term Loan, 2.68%, Maturing June 28, 2015 | 735,277 | |||||||
Reddy Ice Group, Inc. | ||||||||||
3,130 | Term Loan, 2.00%, Maturing August 9, 2012 | 2,801,350 | ||||||||
Wrigley Company | ||||||||||
1,362 | Term Loan, 6.50%, Maturing October 6, 2014 | 1,381,800 | ||||||||
$ | 28,291,506 | |||||||||
Food Service — 1.0% | ||||||||||
AFC Enterprises, Inc. | ||||||||||
515 | Term Loan, 7.00%, Maturing May 11, 2011 | $ | 518,423 | |||||||
Aramark Corp. | ||||||||||
383 | Term Loan, 2.14%, Maturing January 26, 2014 | 352,310 | ||||||||
5,833 | Term Loan, 2.16%, Maturing January 26, 2014 | 5,363,992 | ||||||||
GBP | 973 | Term Loan, 2.67%, Maturing January 27, 2014 | 1,460,445 | |||||||
Buffets, Inc. | ||||||||||
139 | Term Loan, 7.53%, Maturing November 1, 2013(3) | 122,663 | ||||||||
711 | Term Loan - Second Lien, 17.78%, Maturing November 1, 2013(3) | 625,546 | ||||||||
Burger King Corp. | ||||||||||
1,692 | Term Loan, 1.81%, Maturing June 30, 2012 | 1,667,967 | ||||||||
CBRL Group, Inc. | ||||||||||
2,166 | Term Loan, 1.97%, Maturing April 27, 2013 | 2,089,237 | ||||||||
Denny’s, Inc. | ||||||||||
163 | Term Loan, 2.38%, Maturing March 31, 2012 | 156,880 | ||||||||
471 | Term Loan, 2.70%, Maturing March 31, 2012 | 452,206 |
9
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Food Service (continued) | ||||||||||
JRD Holdings, Inc. | ||||||||||
1,896 | Term Loan, 2.50%, Maturing June 26, 2014 | $ | 1,824,990 | |||||||
Maine Beverage Co., LLC | ||||||||||
459 | Term Loan, 2.04%, Maturing June 30, 2010 | 424,922 | ||||||||
NPC International, Inc. | ||||||||||
461 | Term Loan, 2.03%, Maturing May 3, 2013 | 438,346 | ||||||||
OSI Restaurant Partners, LLC | ||||||||||
85 | Term Loan, 3.03%, Maturing May 9, 2013 | 70,675 | ||||||||
933 | Term Loan, 2.56%, Maturing May 9, 2014 | 779,834 | ||||||||
QCE Finance, LLC | ||||||||||
972 | Term Loan, 2.56%, Maturing May 5, 2013 | 787,208 | ||||||||
1,225 | Term Loan - Second Lien, 6.03%, Maturing November 5, 2013 | 663,950 | ||||||||
Sagittarius Restaurants, LLC | ||||||||||
440 | Term Loan, 9.75%, Maturing March 29, 2013 | 409,628 | ||||||||
$ | 18,209,222 | |||||||||
Food / Drug Retailers — 1.1% | ||||||||||
General Nutrition Centers, Inc. | ||||||||||
2,943 | Term Loan, 2.52%, Maturing September 16, 2013 | $ | 2,731,415 | |||||||
Iceland Foods Group, Ltd. | ||||||||||
GBP | 2,150 | Term Loan, 3.01%, Maturing May 2, 2015 | 3,484,358 | |||||||
GBP | 555 | Term Loan, 9.26%, Maturing May 2, 2016(3) | 903,778 | |||||||
Pantry, Inc. (The) | ||||||||||
322 | Term Loan, 1.75%, Maturing May 15, 2014 | 305,167 | ||||||||
1,118 | Term Loan, 1.75%, Maturing May 15, 2014 | 1,059,952 | ||||||||
Rite Aid Corp. | ||||||||||
5,430 | Term Loan, 2.00%, Maturing June 1, 2014 | 4,709,325 | ||||||||
2,232 | Term Loan, 6.00%, Maturing June 4, 2014 | 2,098,526 | ||||||||
1,000 | Term Loan, 9.50%, Maturing June 4, 2014 | 1,036,667 | ||||||||
Roundy’s Supermarkets, Inc. | ||||||||||
3,731 | Term Loan, 6.03%, Maturing November 3, 2011 | 3,681,415 | ||||||||
$ | 20,010,603 | |||||||||
Forest Products — 0.6% | ||||||||||
Appleton Papers, Inc. | ||||||||||
1,882 | Term Loan, 6.63%, Maturing June 5, 2014 | $ | 1,712,336 | |||||||
Georgia-Pacific Corp. | ||||||||||
5,894 | Term Loan, 2.32%, Maturing December 20, 2012 | 5,688,993 | ||||||||
1,311 | Term Loan, 3.59%, Maturing December 23, 2014 | 1,304,982 | ||||||||
Xerium Technologies, Inc. | ||||||||||
1,818 | Term Loan, 5.78%, Maturing May 18, 2012 | 1,491,145 | ||||||||
$ | 10,197,456 | |||||||||
Health Care — 4.6% | ||||||||||
Accellent, Inc. | ||||||||||
1,383 | Term Loan, 2.87%, Maturing November 22, 2012 | $ | 1,315,370 | |||||||
Alliance Imaging, Inc. | ||||||||||
1,119 | Term Loan, 2.86%, Maturing December 29, 2011 | 1,084,841 | ||||||||
American Medical Systems | ||||||||||
836 | Term Loan, 2.50%, Maturing July 20, 2012 | 813,164 | ||||||||
AMN Healthcare, Inc. | ||||||||||
197 | Term Loan, 2.03%, Maturing November 2, 2011 | 184,462 | ||||||||
AMR HoldCo, Inc. | ||||||||||
1,949 | Term Loan, 2.25%, Maturing February 10, 2012 | 1,875,715 | ||||||||
Biomet, Inc. | ||||||||||
3,920 | Term Loan, 3.28%, Maturing December 26, 2014 | 3,774,227 | ||||||||
EUR | 1,740 | Term Loan, 3.58%, Maturing December 26, 2014 | 2,450,072 | |||||||
Cardinal Health 409, Inc. | ||||||||||
2,151 | Term Loan, 2.49%, Maturing April 10, 2014 | 1,875,236 | ||||||||
Carestream Health, Inc. | ||||||||||
3,983 | Term Loan, 2.24%, Maturing April 30, 2013 | 3,734,863 | ||||||||
1,000 | Term Loan - Second Lien, 5.49%, Maturing October 30, 2013 | 853,125 | ||||||||
Carl Zeiss Vision Holding GmbH | ||||||||||
1,300 | Term Loan, 2.74%, Maturing March 23, 2015 | 916,500 | ||||||||
Catalent Pharma Solutions | ||||||||||
EUR | 1,955 | Term Loan, 2.64%, Maturing April 10, 2014 | 2,560,599 | |||||||
Community Health Systems, Inc. | ||||||||||
493 | Term Loan, 2.49%, Maturing July 25, 2014 | 460,633 | ||||||||
9,666 | Term Loan, 2.61%, Maturing July 25, 2014 | 9,025,966 | ||||||||
Concentra, Inc. | ||||||||||
883 | Term Loan - Second Lien, 6.54%, Maturing June 25, 2015(3) | 732,677 | ||||||||
ConMed Corp. | ||||||||||
598 | Term Loan, 1.74%, Maturing April 13, 2013 | 555,869 | ||||||||
CRC Health Corp. | ||||||||||
579 | Term Loan, 2.53%, Maturing February 6, 2013 | 518,286 | ||||||||
630 | Term Loan, 2.53%, Maturing February 6, 2013 | 564,297 | ||||||||
DaVita, Inc. | ||||||||||
5,425 | Term Loan, 1.76%, Maturing October 5, 2012 | 5,218,482 | ||||||||
DJO Finance, LLC | ||||||||||
1,032 | Term Loan, 3.26%, Maturing May 15, 2014 | 996,808 | ||||||||
Fenwal, Inc. | ||||||||||
145 | Term Loan, 2.62%, Maturing February 28, 2014 | 127,301 | ||||||||
850 | Term Loan, 2.62%, Maturing February 28, 2014 | 744,713 | ||||||||
Fresenius Medical Care Holdings | ||||||||||
3,490 | Term Loan, 1.66%, Maturing March 31, 2013 | 3,360,362 | ||||||||
Hanger Orthopedic Group, Inc. | ||||||||||
1,529 | Term Loan, 2.25%, Maturing May 30, 2013 | 1,454,257 | ||||||||
HCA, Inc. | ||||||||||
6,619 | Term Loan, 2.53%, Maturing November 18, 2013 | 6,176,970 |
10
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Health Care (continued) | ||||||||||
Health Management Association, Inc. | ||||||||||
5,649 | Term Loan, 2.03%, Maturing February 28, 2014 | $ | 5,254,054 | |||||||
HealthSouth Corp. | ||||||||||
989 | Term Loan, 2.55%, Maturing March 10, 2013 | 944,200 | ||||||||
814 | Term Loan, 4.05%, Maturing March 15, 2014 | 797,461 | ||||||||
Iasis Healthcare, LLC | ||||||||||
418 | Term Loan, 2.24%, Maturing March 14, 2014 | 394,263 | ||||||||
1,208 | Term Loan, 2.24%, Maturing March 14, 2014 | 1,139,271 | ||||||||
113 | Term Loan, 2.24%, Maturing March 14, 2014 | 106,468 | ||||||||
Ikaria Acquisition, Inc. | ||||||||||
693 | Term Loan, 2.51%, Maturing March 28, 2013 | 650,243 | ||||||||
IM U.S. Holdings, LLC | ||||||||||
900 | Term Loan - Second Lien, 4.49%, Maturing June 26, 2015 | 864,000 | ||||||||
Invacare Corp. | ||||||||||
540 | Term Loan, 2.49%, Maturing February 12, 2013 | 515,407 | ||||||||
inVentiv Health, Inc. | ||||||||||
1,186 | Term Loan, 2.04%, Maturing July 6, 2014 | 1,111,525 | ||||||||
LifePoint Hospitals, Inc. | ||||||||||
2,901 | Term Loan, 2.02%, Maturing April 15, 2012 | 2,817,484 | ||||||||
MultiPlan Merger Corp. | ||||||||||
631 | Term Loan, 2.75%, Maturing April 12, 2013 | 597,601 | ||||||||
1,155 | Term Loan, 2.75%, Maturing April 12, 2013 | 1,093,853 | ||||||||
Mylan, Inc. | ||||||||||
752 | Term Loan, 3.55%, Maturing October 2, 2014 | 732,956 | ||||||||
National Mentor Holdings, Inc. | ||||||||||
1,324 | Term Loan, 2.29%, Maturing June 29, 2013 | 1,192,710 | ||||||||
81 | Term Loan, 2.44%, Maturing June 29, 2013 | 73,131 | ||||||||
National Renal Institutes, Inc. | ||||||||||
2,015 | Term Loan, 4.31%, Maturing March 31, 2013(3) | 1,722,953 | ||||||||
Nyco Holdings | ||||||||||
EUR | 920 | Term Loan, 2.93%, Maturing December 29, 2014 | 1,259,307 | |||||||
EUR | 920 | Term Loan, 3.68%, Maturing December 29, 2015 | 1,259,307 | |||||||
Physiotherapy Associates, Inc. | ||||||||||
1,053 | Term Loan, 7.50%, Maturing June 27, 2013 | 765,184 | ||||||||
RadNet Management, Inc. | ||||||||||
705 | Term Loan, 4.54%, Maturing November 15, 2012 | 680,393 | ||||||||
ReAble Therapeutics Finance, LLC | ||||||||||
1,115 | Term Loan, 2.29%, Maturing November 16, 2013 | 1,064,391 | ||||||||
Renal Advantage, Inc. | ||||||||||
1 | Term Loan, 2.79%, Maturing October 5, 2012 | 900 | ||||||||
Select Medical Holdings Corp. | ||||||||||
1,248 | Term Loan, 4.16%, Maturing August 5, 2014 | 1,225,029 | ||||||||
1,558 | Term Loan, 4.16%, Maturing August 5, 2014 | 1,561,820 | ||||||||
Sunrise Medical Holdings, Inc. | ||||||||||
1,287 | Term Loan, 8.25%, Maturing May 13, 2010 | 933,131 | ||||||||
Vanguard Health Holding Co., LLC | ||||||||||
928 | Term Loan, 2.49%, Maturing September 23, 2011 | 907,298 | ||||||||
Viant Holdings, Inc. | ||||||||||
746 | Term Loan, 2.54%, Maturing June 25, 2014 | 727,452 | ||||||||
$ | 81,766,587 | |||||||||
Home Furnishings — 0.5% | ||||||||||
Hunter Fan Co. | ||||||||||
614 | Term Loan, 2.75%, Maturing April 16, 2014 | $ | 442,403 | |||||||
Interline Brands, Inc. | ||||||||||
384 | Term Loan, 1.99%, Maturing June 23, 2013 | 354,360 | ||||||||
1,225 | Term Loan, 2.04%, Maturing June 23, 2013 | 1,130,456 | ||||||||
National Bedding Co., LLC | ||||||||||
2,312 | Term Loan, 2.28%, Maturing August 31, 2011 | 2,109,579 | ||||||||
1,050 | Term Loan - Second Lien, 5.31%, Maturing August 31, 2012 | 850,500 | ||||||||
Oreck Corp. | ||||||||||
1,777 | Term Loan, 0.00%, Maturing February 2, 2012(2)(6) | 638,002 | ||||||||
Simmons Co. | ||||||||||
3,677 | Term Loan, 10.50%, Maturing December 19, 2011 | 3,647,275 | ||||||||
1,090 | Term Loan, 7.35%, Maturing February 15, 2012(3) | 32,709 | ||||||||
$ | 9,205,284 | |||||||||
Industrial Equipment — 1.5% | ||||||||||
Brand Energy and Infrastructure Services, Inc. | ||||||||||
975 | Term Loan, 2.31%, Maturing February 7, 2014 | $ | 882,375 | |||||||
1,054 | Term Loan, 3.66%, Maturing February 7, 2014 | 975,541 | ||||||||
CEVA Group PLC U.S. | ||||||||||
1,421 | Term Loan, 3.24%, Maturing January 4, 2014 | 1,199,758 | ||||||||
171 | Term Loan, 3.28%, Maturing January 4, 2014 | 142,259 | ||||||||
EUR | 300 | Term Loan, 3.43%, Maturing January 4, 2014 | 367,439 | |||||||
EUR | 510 | Term Loan, 3.43%, Maturing January 4, 2014 | 623,954 | |||||||
EUR | 627 | Term Loan, 3.43%, Maturing January 4, 2014 | 766,843 | |||||||
EUR | 1,597 | Term Loan, 3.74%, Maturing January 4, 2014 | 1,955,053 | |||||||
EPD Holdings (Goodyear Engineering Products) | ||||||||||
301 | Term Loan, 2.50%, Maturing July 13, 2014 | 243,271 | ||||||||
2,099 | Term Loan, 2.50%, Maturing July 13, 2014 | 1,698,563 | ||||||||
1,100 | Term Loan - Second Lien, 6.00%, Maturing July 13, 2015 | 671,000 | ||||||||
Flowserve Corp. | ||||||||||
2,273 | Term Loan, 1.81%, Maturing August 10, 2012 | 2,227,198 | ||||||||
Generac Acquisition Corp. | ||||||||||
2,650 | Term Loan, 2.78%, Maturing November 7, 2013 | 2,403,092 | ||||||||
500 | Term Loan - Second Lien, 6.28%, Maturing April 7, 2014 | 428,125 |
11
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Industrial Equipment (continued) | ||||||||||
Gleason Corp. | ||||||||||
280 | Term Loan, 2.09%, Maturing June 30, 2013 | $ | 273,352 | |||||||
743 | Term Loan, 2.09%, Maturing June 30, 2013 | 724,714 | ||||||||
Itron, Inc. | ||||||||||
EUR | 323 | Term Loan, 4.45%, Maturing April 18, 2014 | 465,407 | |||||||
Jason, Inc. | ||||||||||
574 | Term Loan, 5.03%, Maturing April 30, 2010 | 301,441 | ||||||||
John Maneely Co. | ||||||||||
4,351 | Term Loan, 3.51%, Maturing December 8, 2013 | 3,997,308 | ||||||||
KION Group GmbH | ||||||||||
250 | Term Loan, 2.49%, Maturing December 23, 2014 | 172,187 | ||||||||
250 | Term Loan, 2.74%, Maturing December 23, 2015 | 172,188 | ||||||||
Polypore, Inc. | ||||||||||
4,252 | Term Loan, 2.46%, Maturing July 3, 2014 | 3,981,052 | ||||||||
Sequa Corp. | ||||||||||
794 | Term Loan, 3.88%, Maturing November 30, 2014 | 708,952 | ||||||||
TFS Acquisition Corp. | ||||||||||
882 | Term Loan, 14.00%, Maturing August 11, 2013(3) | 588,862 | ||||||||
$ | 25,969,934 | |||||||||
Insurance — 0.7% | ||||||||||
Alliant Holdings I, Inc. | ||||||||||
1,323 | Term Loan, 3.28%, Maturing August 21, 2014 | $ | 1,233,697 | |||||||
Applied Systems, Inc. | ||||||||||
880 | Term Loan, 2.74%, Maturing September 26, 2013 | 836,341 | ||||||||
CCC Information Services Group, Inc. | ||||||||||
1,105 | Term Loan, 2.50%, Maturing February 10, 2013 | 1,073,279 | ||||||||
Conseco, Inc. | ||||||||||
4,616 | Term Loan, 6.50%, Maturing October 10, 2013 | 4,180,930 | ||||||||
Crawford & Company | ||||||||||
1,596 | Term Loan, 3.04%, Maturing October 31, 2013 | 1,530,439 | ||||||||
Crump Group, Inc. | ||||||||||
1,112 | Term Loan, 3.25%, Maturing August 4, 2014 | 1,006,501 | ||||||||
Hub International Holdings, Inc. | ||||||||||
215 | Term Loan, 2.74%, Maturing June 13, 2014 | 190,006 | ||||||||
958 | Term Loan, 2.74%, Maturing June 13, 2014 | 845,322 | ||||||||
U.S.I. Holdings Corp. | ||||||||||
2,670 | Term Loan, 3.04%, Maturing May 4, 2014 | 2,325,487 | ||||||||
$ | 13,222,002 | |||||||||
Leisure Goods / Activities / Movies — 2.9% | ||||||||||
24 Hour Fitness Worldwide, Inc. | ||||||||||
1,949 | Term Loan, 2.77%, Maturing June 8, 2012 | $ | 1,825,845 | |||||||
AMC Entertainment, Inc. | ||||||||||
1,699 | Term Loan, 1.74%, Maturing January 26, 2013 | 1,608,377 | ||||||||
AMF Bowling Worldwide, Inc. | ||||||||||
1,300 | Term Loan - Second Lien, 6.49%, Maturing December 8, 2013 | 910,000 | ||||||||
Bombardier Recreational Products | ||||||||||
956 | Term Loan, 3.00%, Maturing June 28, 2013 | 671,376 | ||||||||
Butterfly Wendel US, Inc. | ||||||||||
362 | Term Loan, 3.22%, Maturing June 22, 2013 | 267,981 | ||||||||
362 | Term Loan, 2.97%, Maturing June 22, 2014 | 268,068 | ||||||||
Carmike Cinemas, Inc. | ||||||||||
2,617 | Term Loan, 3.54%, Maturing May 19, 2012 | 2,540,277 | ||||||||
Cedar Fair, L.P. | ||||||||||
76 | Term Loan, 2.25%, Maturing August 31, 2011 | 72,896 | ||||||||
586 | Term Loan, 2.24%, Maturing August 30, 2012 | 564,765 | ||||||||
2,126 | Term Loan, 4.24%, Maturing February 17, 2014 | 2,062,189 | ||||||||
377 | Term Loan, 4.27%, Maturing February 17, 2014 | 365,948 | ||||||||
Cinemark, Inc. | ||||||||||
3,727 | Term Loan, 2.07%, Maturing October 5, 2013 | 3,544,167 | ||||||||
Dave & Buster’s, Inc. | ||||||||||
383 | Term Loan, 2.54%, Maturing March 8, 2013 | 374,850 | ||||||||
965 | Term Loan, 2.54%, Maturing March 8, 2013 | 945,700 | ||||||||
Deluxe Entertainment Services | ||||||||||
697 | Term Loan, 2.51%, Maturing January 28, 2011 | 651,793 | ||||||||
41 | Term Loan, 2.53%, Maturing January 28, 2011 | 38,651 | ||||||||
72 | Term Loan, 2.53%, Maturing January 28, 2011 | 67,126 | ||||||||
Easton-Bell Sports, Inc. | ||||||||||
1,219 | Term Loan, 2.04%, Maturing March 16, 2012 | 1,156,096 | ||||||||
Mega Blocks, Inc. | ||||||||||
1,458 | Term Loan, 9.75%, Maturing July 26, 2012 | 838,420 | ||||||||
Metro-Goldwyn-Mayer Holdings, Inc. | ||||||||||
9,016 | Term Loan, 0.00%, Maturing April 8, 2012(2) | 5,188,674 | ||||||||
National CineMedia, LLC | ||||||||||
3,075 | Term Loan, 2.05%, Maturing February 13, 2015 | 2,877,047 | ||||||||
Red Football, Ltd. | ||||||||||
GBP | 2,716 | Term Loan, 3.02%, Maturing August 16, 2014 | 4,088,052 | |||||||
GBP | 2,716 | Term Loan, 3.27%, Maturing August 16, 2015 | 4,088,052 | |||||||
Regal Cinemas Corp. | ||||||||||
4,741 | Term Loan, 4.03%, Maturing November 10, 2010 | 4,709,087 | ||||||||
Revolution Studios Distribution Co., LLC | ||||||||||
1,300 | Term Loan, 4.00%, Maturing December 21, 2014 | 1,182,823 | ||||||||
1,050 | Term Loan - Second Lien, 7.25%, Maturing June 21, 2015 | 603,750 | ||||||||
Six Flags Theme Parks, Inc. | ||||||||||
4,446 | Term Loan, 2.50%, Maturing April 30, 2015 | 4,360,231 | ||||||||
Southwest Sports Group, LLC | ||||||||||
1,450 | Term Loan, 6.75%, Maturing December 22, 2010 | 1,218,000 | ||||||||
Universal City Development Partners, Ltd. | ||||||||||
2,913 | Term Loan, 6.00%, Maturing June 9, 2011 | 2,905,638 |
12
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Leisure Goods / Activities / Movies (continued) | ||||||||||
Zuffa, LLC | ||||||||||
1,489 | Term Loan, 2.31%, Maturing June 20, 2016 | $ | 1,343,442 | |||||||
$ | 51,339,321 | |||||||||
Lodging and Casinos — 1.4% | ||||||||||
Gala Electric Casinos, Ltd. | ||||||||||
GBP | 959 | Term Loan, 3.71%, Maturing December 12, 2013 | $ | 1,381,147 | ||||||
GBP | 959 | Term Loan, 4.21%, Maturing December 12, 2014 | 1,381,147 | |||||||
Green Valley Ranch Gaming, LLC | ||||||||||
634 | Term Loan, 2.29%, Maturing February 16, 2014 | 447,465 | ||||||||
Harrah’s Operating Co. | ||||||||||
1,130 | Term Loan, 3.28%, Maturing January 28, 2015 | �� | 901,479 | |||||||
797 | Term Loan, 3.28%, Maturing January 28, 2015 | 636,971 | ||||||||
Herbst Gaming, Inc. | ||||||||||
976 | Term Loan, 0.00%, Maturing December 2, 2011(2) | 542,629 | ||||||||
Isle of Capri Casinos, Inc. | ||||||||||
753 | Term Loan, 1.99%, Maturing November 30, 2013 | 708,546 | ||||||||
998 | Term Loan, 1.99%, Maturing November 30, 2013 | 939,904 | ||||||||
2,496 | Term Loan, 2.03%, Maturing November 30, 2013 | 2,349,760 | ||||||||
LodgeNet Entertainment Corp. | ||||||||||
1,007 | Term Loan, 2.29%, Maturing April 4, 2014 | 924,546 | ||||||||
New World Gaming Partners, Ltd. | ||||||||||
290 | Term Loan, 2.79%, Maturing June 30, 2014 | 240,510 | ||||||||
1,433 | Term Loan, 2.79%, Maturing June 30, 2014 | 1,187,443 | ||||||||
Penn National Gaming, Inc. | ||||||||||
6,711 | Term Loan, 2.01%, Maturing October 3, 2012 | 6,504,428 | ||||||||
Venetian Casino Resort/Las Vegas Sands, Inc. | ||||||||||
1,121 | Term Loan, 2.04%, Maturing May 14, 2014 | 915,082 | ||||||||
4,112 | Term Loan, 2.04%, Maturing May 23, 2014 | 3,356,189 | ||||||||
VML US Finance, LLC | ||||||||||
2,289 | Term Loan, 5.79%, Maturing May 25, 2013 | 2,127,161 | ||||||||
Wimar OpCo, LLC | ||||||||||
900 | Term Loan, 0.00%, Maturing January 3, 2012(2) | 287,709 | ||||||||
$ | 24,832,116 | |||||||||
Nonferrous Metals / Minerals — 0.6% | ||||||||||
Compass Minerals Group, Inc. | ||||||||||
2,721 | Term Loan, 1.76%, Maturing December 22, 2012 | $ | 2,693,954 | |||||||
Euramax International, Inc. | ||||||||||
369 | Term Loan, 10.00%, Maturing June 29, 2013 | 223,137 | ||||||||
362 | Term Loan, 14.00%, Maturing June 29, 2013(3) | 219,033 | ||||||||
Noranda Aluminum Acquisition | ||||||||||
1,499 | Term Loan, 2.24%, Maturing May 18, 2014 | 1,217,881 | ||||||||
Novelis, Inc. | ||||||||||
586 | Term Loan, 2.25%, Maturing June 28, 2014 | 529,635 | ||||||||
1,290 | Term Loan, 2.27%, Maturing June 28, 2014 | 1,165,232 | ||||||||
Oxbow Carbon and Mineral Holdings | ||||||||||
1,692 | Term Loan, 2.27%, Maturing May 8, 2014 | 1,609,914 | ||||||||
161 | Term Loan, 2.28%, Maturing May 8, 2014 | 153,565 | ||||||||
Tube City IMS Corp. | ||||||||||
324 | Term Loan, 1.83%, Maturing January 25, 2014 | 301,419 | ||||||||
2,609 | Term Loan, 2.53%, Maturing January 25, 2014 | 2,424,538 | ||||||||
$ | 10,538,308 | |||||||||
Oil and Gas — 0.5% | ||||||||||
Atlas Pipeline Partners, L.P. | ||||||||||
1,603 | Term Loan, 6.75%, Maturing July 20, 2014 | $ | 1,576,959 | |||||||
Big West Oil, LLC | ||||||||||
456 | Term Loan, 4.50%, Maturing May 1, 2014 | 442,491 | ||||||||
573 | Term Loan, 4.50%, Maturing May 1, 2014 | 556,275 | ||||||||
Citgo Petroleum Corp. | ||||||||||
1,879 | Term Loan, 1.72%, Maturing November 15, 2012 | 1,774,794 | ||||||||
Dresser, Inc. | ||||||||||
825 | Term Loan, 2.68%, Maturing May 4, 2014 | 773,600 | ||||||||
1,250 | Term Loan - Second Lien, 6.00%, Maturing May 4, 2015 | 1,137,500 | ||||||||
Enterprise GP Holdings, L.P. | ||||||||||
1,535 | Term Loan, 2.52%, Maturing October 31, 2014 | 1,484,629 | ||||||||
Targa Resources, Inc. | ||||||||||
333 | Term Loan, 2.24%, Maturing October 31, 2012 | 328,030 | ||||||||
389 | Term Loan, 2.28%, Maturing October 31, 2012 | 382,667 | ||||||||
Volnay Acquisition Co. | ||||||||||
547 | Term Loan, 3.92%, Maturing January 12, 2014 | 541,341 | ||||||||
$ | 8,998,286 | |||||||||
Publishing — 3.1% | ||||||||||
American Media Operations, Inc. | ||||||||||
4,744 | Term Loan, 10.00%, Maturing January 31, 2013(3) | $ | 4,307,779 | |||||||
Aster Zweite Beteiligungs GmbH | ||||||||||
1,075 | Term Loan, 2.89%, Maturing September 27, 2013 | 933,100 | ||||||||
EUR | 472 | Term Loan, 3.27%, Maturing September 27, 2013 | 604,745 | |||||||
CanWest MediaWorks, Ltd. | ||||||||||
1,154 | Term Loan, 4.75%, Maturing July 10, 2014 | 929,322 | ||||||||
GateHouse Media Operating, Inc. | ||||||||||
2,683 | Term Loan, 2.25%, Maturing August 28, 2014 | 1,044,169 | ||||||||
3,467 | Term Loan, 2.25%, Maturing August 28, 2014 | 1,349,208 | ||||||||
975 | Term Loan, 2.50%, Maturing August 28, 2014 | 379,438 |
13
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Publishing (continued) | ||||||||||
Getty Images, Inc. | ||||||||||
2,852 | Term Loan, 6.25%, Maturing July 2, 2015 | $ | 2,871,927 | |||||||
Idearc, Inc. | ||||||||||
10,945 | Term Loan, 0.00%, Maturing November 17, 2014(2) | 5,005,380 | ||||||||
Laureate Education, Inc. | ||||||||||
429 | Term Loan, 3.53%, Maturing August 17, 2014 | 391,306 | ||||||||
2,868 | Term Loan, 3.53%, Maturing August 17, 2014 | 2,614,534 | ||||||||
MediaNews Group, Inc. | ||||||||||
919 | Term Loan, 6.74%, Maturing August 2, 2013 | 284,411 | ||||||||
Mediannuaire Holding | ||||||||||
EUR | 936 | Term Loan, 3.03%, Maturing October 10, 2014 | 995,110 | |||||||
EUR | 935 | Term Loan, 3.53%, Maturing October 10, 2015 | 994,834 | |||||||
Merrill Communications, LLC | ||||||||||
1,382 | Term Loan, 8.50%, Maturing December 24, 2012 | 1,096,905 | ||||||||
Nelson Education, Ltd. | ||||||||||
662 | Term Loan, 2.78%, Maturing July 5, 2014 | 582,120 | ||||||||
Nielsen Finance, LLC | ||||||||||
6,938 | Term Loan, 2.24%, Maturing August 9, 2013 | 6,475,914 | ||||||||
PagesJaunes Group, SA | ||||||||||
EUR | 1,000 | Term Loan, 5.03%, Maturing April 10, 2016 | 927,140 | |||||||
Penton Media, Inc. | ||||||||||
975 | Term Loan, 2.54%, Maturing February 1, 2013 | 669,500 | ||||||||
Philadelphia Newspapers, LLC | ||||||||||
1,039 | Term Loan, 0.00%, Maturing June 29, 2013(2) | 238,858 | ||||||||
Reader’s Digest Association, Inc. (The) | ||||||||||
2,001 | Revolving Loan, 4.54%, Maturing March 3, 2014 | 983,694 | ||||||||
8,060 | Term Loan, 4.25%, Maturing March 3, 2014 | 3,961,477 | ||||||||
720 | Term Loan, 7.00%, Maturing March 3, 2014 | 353,684 | ||||||||
SGS International, Inc. | ||||||||||
790 | Term Loan, 2.79%, Maturing December 30, 2011 | 756,869 | ||||||||
Source Interlink Companies, Inc. | ||||||||||
916 | Term Loan, 10.75%, Maturing June 18, 2013 | 755,667 | ||||||||
478 | Term Loan, 15.00%, Maturing June 18, 2013(3) | 167,240 | ||||||||
Source Media, Inc. | ||||||||||
2,283 | Term Loan, 5.29%, Maturing November 8, 2011 | 1,894,595 | ||||||||
Springer Science+Business Media S.A. | ||||||||||
547 | Term Loan, 2.66%, Maturing May 5, 2011 | 505,617 | ||||||||
418 | Term Loan, 3.03%, Maturing May 5, 2012 | 386,325 | ||||||||
491 | Term Loan, 3.03%, Maturing May 5, 2012 | 453,786 | ||||||||
TL Acquisitions, Inc. | ||||||||||
3,209 | Term Loan, 2.74%, Maturing July 5, 2014 | 2,792,265 | ||||||||
Tribune Co. | ||||||||||
1,837 | Term Loan, 0.00%, Maturing April 10, 2010(2) | 855,705 | ||||||||
2,232 | Term Loan, 0.00%, Maturing May 17, 2014(2) | 1,057,238 | ||||||||
2,990 | Term Loan, 0.00%, Maturing May 17, 2014(2) | 1,350,817 | ||||||||
Xsys, Inc. | ||||||||||
1,194 | Term Loan, 2.89%, Maturing September 27, 2013 | 1,036,765 | ||||||||
EUR | 528 | Term Loan, 3.27%, Maturing September 27, 2013 | 675,592 | |||||||
1,277 | Term Loan, 2.89%, Maturing September 27, 2014 | 1,108,527 | ||||||||
Yell Group, PLC | ||||||||||
3,425 | Term Loan, 3.28%, Maturing February 10, 2013 | 2,466,000 | ||||||||
$ | 54,257,563 | |||||||||
Radio and Television — 2.3% | ||||||||||
Block Communications, Inc. | ||||||||||
2,021 | Term Loan, 2.28%, Maturing December 22, 2011 | $ | 1,869,656 | |||||||
CMP KC, LLC | ||||||||||
956 | Term Loan, 6.25%, Maturing May 5, 2013(6) | 274,426 | ||||||||
CMP Susquehanna Corp. | ||||||||||
3,046 | Term Loan, 2.25%, Maturing May 5, 2013 | 2,258,895 | ||||||||
Discovery Communications, Inc. | ||||||||||
3,397 | Term Loan, 2.28%, Maturing April 30, 2014 | 3,304,249 | ||||||||
Emmis Operating Co. | ||||||||||
1,014 | Term Loan, 4.28%, Maturing November 2, 2013 | 779,608 | ||||||||
Entravision Communications Corp. | ||||||||||
1,560 | Term Loan, 5.54%, Maturing September 29, 2013 | 1,469,500 | ||||||||
Gray Television, Inc. | ||||||||||
2,281 | Term Loan, 3.79%, Maturing January 19, 2015 | 1,966,188 | ||||||||
HIT Entertainment, Inc. | ||||||||||
1,836 | Term Loan, 2.73%, Maturing March 20, 2012 | 1,608,496 | ||||||||
Intelsat Corp. | ||||||||||
2,209 | Term Loan, 2.75%, Maturing January 3, 2014 | 2,091,990 | ||||||||
2,208 | Term Loan, 2.75%, Maturing January 3, 2014 | 2,091,351 | ||||||||
2,208 | Term Loan, 2.75%, Maturing January 3, 2014 | 2,091,351 | ||||||||
Ion Media Networks, Inc. | ||||||||||
432 | DIP Loan, 10.17%, Maturing May 29, 2010(4)(6) | 679,020 | ||||||||
3,250 | Term Loan, 0.00%, Maturing January 15, 2012(2) | 823,332 | ||||||||
NEP II, Inc. | ||||||||||
829 | Term Loan, 2.53%, Maturing February 16, 2014 | 766,582 | ||||||||
Nexstar Broadcasting, Inc. | ||||||||||
2,081 | Term Loan, 5.00%, Maturing October 1, 2012 | 1,867,314 | ||||||||
1,967 | Term Loan, 5.01%, Maturing October 1, 2012 | 1,765,677 | ||||||||
Raycom TV Broadcasting, LLC | ||||||||||
1,900 | Term Loan, 1.75%, Maturing June 25, 2014 | 1,577,000 | ||||||||
SFX Entertainment | ||||||||||
1,324 | Term Loan, 3.51%, Maturing June 21, 2013 | 1,225,082 | ||||||||
Sirius Satellite Radio, Inc. | ||||||||||
735 | Term Loan, 2.56%, Maturing December 19, 2012 | 680,487 | ||||||||
Univision Communications, Inc. | ||||||||||
12,650 | Term Loan, 2.53%, Maturing September 29, 2014 | 10,228,423 |
14
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Radio and Television (continued) | ||||||||||
Young Broadcasting, Inc. | ||||||||||
2,310 | Term Loan, 0.00%, Maturing November 3, 2012(2) | $ | 1,507,261 | |||||||
$ | 40,925,888 | |||||||||
Rail Industries — 0.2% | ||||||||||
Kansas City Southern Railway Co. | ||||||||||
3,289 | Term Loan, 2.05%, Maturing April 26, 2013 | $ | 3,125,025 | |||||||
$ | 3,125,025 | |||||||||
Retailers (Except Food and Drug) — 1.1% | ||||||||||
American Achievement Corp. | ||||||||||
759 | Term Loan, 6.26%, Maturing March 25, 2011 | $ | 682,865 | |||||||
Amscan Holdings, Inc. | ||||||||||
707 | Term Loan, 2.65%, Maturing May 25, 2013 | 642,078 | ||||||||
Cumberland Farms, Inc. | ||||||||||
2,005 | Term Loan, 2.26%, Maturing September 29, 2013 | 1,834,626 | ||||||||
Harbor Freight Tools USA, Inc. | ||||||||||
1,684 | Term Loan, 9.75%, Maturing July 15, 2010 | 1,689,998 | ||||||||
Josten’s Corp. | ||||||||||
1,991 | Term Loan, 2.32%, Maturing October 4, 2011 | 1,974,742 | ||||||||
Mapco Express, Inc. | ||||||||||
1,039 | Term Loan, 5.75%, Maturing April 28, 2011 | 960,838 | ||||||||
Neiman Marcus Group, Inc. | ||||||||||
1,517 | Term Loan, 2.29%, Maturing April 5, 2013 | 1,305,431 | ||||||||
Orbitz Worldwide, Inc. | ||||||||||
1,666 | Term Loan, 3.28%, Maturing July 25, 2014 | 1,479,616 | ||||||||
Oriental Trading Co., Inc. | ||||||||||
2,043 | Term Loan, 9.75%, Maturing July 31, 2013 | 1,698,278 | ||||||||
1,150 | Term Loan - Second Lien, 6.24%, Maturing January 31, 2013 | 278,875 | ||||||||
Rent-A-Center, Inc. | ||||||||||
1,060 | Term Loan, 2.00%, Maturing November 15, 2012 | 1,038,335 | ||||||||
Savers, Inc. | ||||||||||
443 | Term Loan, 3.00%, Maturing August 11, 2012 | 427,637 | ||||||||
485 | Term Loan, 3.00%, Maturing August 11, 2012 | 467,904 | ||||||||
Vivarte | ||||||||||
EUR | 33 | Term Loan, 2.43%, Maturing May 29, 2015 | 39,628 | |||||||
EUR | 128 | Term Loan, 2.43%, Maturing May 29, 2015 | 154,109 | |||||||
EUR | 825 | Term Loan, 2.43%, Maturing May 29, 2015 | 989,817 | |||||||
EUR | 33 | Term Loan, 2.93%, Maturing May 29, 2016 | 39,628 | |||||||
EUR | 128 | Term Loan, 2.93%, Maturing May 29, 2016 | 154,109 | |||||||
EUR | 825 | Term Loan, 2.93%, Maturing May 29, 2016 | 989,817 | |||||||
Yankee Candle Company, Inc. (The) | ||||||||||
3,301 | Term Loan, 2.25%, Maturing February 6, 2014 | 3,090,641 | ||||||||
$ | 19,938,972 | |||||||||
Steel — 0.2% | ||||||||||
Algoma Acquisition Corp. | ||||||||||
2,221 | Term Loan, 8.00%, Maturing June 20, 2013 | $ | 2,097,404 | |||||||
Niagara Corp. | ||||||||||
1,442 | Term Loan, 9.25%, Maturing June 29, 2014 | 670,443 | ||||||||
$ | 2,767,847 | |||||||||
Surface Transport — 0.2% | ||||||||||
Gainey Corp. | ||||||||||
1,884 | Term Loan, 0.00%, Maturing April 20, 2012(2) | $ | 400,455 | |||||||
Oshkosh Truck Corp. | ||||||||||
786 | Term Loan, 6.32%, Maturing December 6, 2013 | 786,965 | ||||||||
Swift Transportation Co., Inc. | ||||||||||
3,012 | Term Loan, 3.56%, Maturing May 10, 2014 | 2,602,700 | ||||||||
$ | 3,790,120 | |||||||||
Telecommunications — 1.7% | ||||||||||
Asurion Corp. | ||||||||||
2,450 | Term Loan, 3.24%, Maturing July 13, 2012 | $ | 2,329,881 | |||||||
1,000 | Term Loan - Second Lien, 6.74%, Maturing January 13, 2013 | 952,188 | ||||||||
BCM Luxembourg, Ltd. | ||||||||||
EUR | 1,831 | Term Loan, 2.30%, Maturing September 30, 2014 | 2,377,953 | |||||||
EUR | 1,832 | Term Loan, 2.55%, Maturing September 30, 2015 | 2,378,363 | |||||||
EUR | 1,500 | Term Loan - Second Lien, 4.68%, Maturing March 31, 2016 | 1,817,225 | |||||||
Centennial Cellular Operating Co., LLC | ||||||||||
2,918 | Term Loan, 2.24%, Maturing February 9, 2011 | 2,906,326 | ||||||||
CommScope, Inc. | ||||||||||
1,649 | Term Loan, 2.78%, Maturing November 19, 2014 | 1,598,680 | ||||||||
Intelsat Subsidiary Holding Co. | ||||||||||
1,261 | Term Loan, 2.75%, Maturing July 3, 2013 | 1,213,712 | ||||||||
Iowa Telecommunications Services | ||||||||||
2,776 | Term Loan, 2.04%, Maturing November 23, 2011 | 2,677,538 | ||||||||
IPC Systems, Inc. | ||||||||||
GBP | 1,448 | Term Loan, 2.80%, Maturing May 31, 2014 | 1,711,204 | |||||||
Macquarie UK Broadcast Ventures, Ltd. | ||||||||||
GBP | 1,071 | Term Loan, 2.51%, Maturing December 26, 2014 | 1,521,134 | |||||||
Ntelos, Inc. | ||||||||||
1,000 | Term Loan, 5.75%, Maturing August 13, 2015 | 1,007,083 |
15
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Telecommunications (continued) | ||||||||||
Palm, Inc. | ||||||||||
1,054 | Term Loan, 3.79%, Maturing April 24, 2014 | $ | 934,104 | |||||||
Stratos Global Corp. | ||||||||||
1,186 | Term Loan, 2.78%, Maturing February 13, 2012 | 1,167,964 | ||||||||
Trilogy International Partners | ||||||||||
1,225 | Term Loan, 3.78%, Maturing June 29, 2012 | 1,029,000 | ||||||||
Windstream Corp. | ||||||||||
3,950 | Term Loan, 3.00%, Maturing December 17, 2015 | 3,841,806 | ||||||||
$ | 29,464,161 | |||||||||
Utilities — 1.1% | ||||||||||
AEI Finance Holding, LLC | ||||||||||
389 | Term Loan, 3.24%, Maturing March 30, 2012 | $ | 360,495 | |||||||
2,676 | Term Loan, 3.28%, Maturing March 30, 2014 | 2,482,129 | ||||||||
Astoria Generating Co. | ||||||||||
1,250 | Term Loan - Second Lien, 4.04%, Maturing August 23, 2013 | 1,162,500 | ||||||||
Calpine Corp. | ||||||||||
1,170 | DIP Loan, 3.17%, Maturing March 29, 2014 | 1,078,921 | ||||||||
Electricinvest Holding Co. | ||||||||||
GBP | 540 | Term Loan, 5.02%, Maturing October 24, 2012 | 709,020 | |||||||
EUR | 536 | Term Loan - Second Lien, 4.93%, Maturing October 24, 2012 | 631,271 | |||||||
Mirant North America, LLC | ||||||||||
749 | Term Loan, 1.99%, Maturing January 3, 2013 | 718,110 | ||||||||
NRG Energy, Inc. | ||||||||||
5,568 | Term Loan, 2.02%, Maturing June 1, 2014 | 5,252,435 | ||||||||
2,994 | Term Loan, 2.03%, Maturing June 1, 2014 | 2,824,792 | ||||||||
Pike Electric, Inc. | ||||||||||
470 | Term Loan, 1.75%, Maturing July 1, 2012 | 444,513 | ||||||||
354 | Term Loan, 1.75%, Maturing December 10, 2012 | 334,891 | ||||||||
TXU Texas Competitive Electric Holdings Co., LLC | ||||||||||
1,127 | Term Loan, 3.74%, Maturing October 10, 2014 | 876,067 | ||||||||
3,087 | Term Loan, 3.74%, Maturing October 10, 2014 | 2,376,990 | ||||||||
$ | 19,252,134 | |||||||||
Total Senior Floating-Rate Interests | ||||||||||
(identified cost $964,398,931) | $ | 867,621,793 | ||||||||
Corporate Bonds & Notes — 48.5% | ||||||||||
Principal | ||||||||||
Amount | ||||||||||
(000’s omitted) | Security | Value | ||||||||
Aerospace and Defense — 0.1% | ||||||||||
Alion Science and Technologies Corp. | ||||||||||
$ | 1,500 | 10.25%, 2/1/15 | $ | 1,065,000 | ||||||
Hawker Beechcraft Acquisition | ||||||||||
1,810 | 9.75%, 4/1/17 | 1,217,225 | ||||||||
$ | 2,282,225 | |||||||||
Agriculture — 0.2% | ||||||||||
Bunge, Ltd. Finance Corp. | ||||||||||
$ | 2,380 | 8.50%, 6/15/19 | $ | 2,778,557 | ||||||
$ | 2,778,557 | |||||||||
Automotive — 1.2% | ||||||||||
Affinia Group, Inc., Sr. Notes | ||||||||||
$ | 665 | 10.75%, 8/15/16(7) | $ | 733,163 | ||||||
Allison Transmission, Inc. | ||||||||||
685 | 11.00%, 11/1/15(7) | 702,125 | ||||||||
3,395 | 11.25%, 11/1/15(3)(7) | 3,187,056 | ||||||||
Altra Industrial Motion, Inc. | ||||||||||
3,590 | 9.00%, 12/1/11 | 3,684,237 | ||||||||
Commercial Vehicle Group, Inc., Sr. Notes | ||||||||||
1,570 | 8.00%, 7/1/13 | 902,750 | ||||||||
Goodyear Tire & Rubber Co. (The), Sr. Notes | ||||||||||
4,880 | 10.50%, 5/15/16 | 5,307,000 | ||||||||
Tenneco Automotive, Inc., Series B | ||||||||||
6,073 | 10.25%, 7/15/13 | 6,285,555 | ||||||||
United Components, Inc., Sr. Sub. Notes | ||||||||||
990 | 9.375%, 6/15/13 | 942,975 | ||||||||
$ | 21,744,861 | |||||||||
Banks and Thrifts — 0.9% | ||||||||||
Capital One Financial Corp. | ||||||||||
$ | 1,750 | 6.15%, 9/1/16 | $ | 1,743,175 | ||||||
Citigroup, Inc. | ||||||||||
3,500 | 5.00%, 9/15/14 | 3,454,675 | ||||||||
Goldman Sachs Group, Inc. | ||||||||||
2,500 | 5.625%, 1/15/17 | 2,562,730 | ||||||||
HSBC Finance Corp., Sr. Notes | ||||||||||
1,750 | 5.50%, 1/19/16 | 1,823,222 | ||||||||
Standard Chartered Bank, Sr. Notes | ||||||||||
3,025 | 6.40%, 9/26/17(7) | 3,203,793 |
16
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount | ||||||||||
(000’s omitted) | Security | Value | ||||||||
Banks and Thrifts (continued) | ||||||||||
Wachovia Corp. | ||||||||||
$ | 3,750 | 5.625%, 10/15/16 | $ | 3,853,147 | ||||||
$ | 16,640,742 | |||||||||
Beverage and Tobacco — 0.3% | ||||||||||
Altria Group, Inc. | ||||||||||
$ | 3,900 | 9.70%, 11/10/18 | $ | 4,809,137 | ||||||
$ | 4,809,137 | |||||||||
Broadcast Radio and Television — 0.5% | ||||||||||
Rainbow National Services, LLC, Sr. Sub. Notes | ||||||||||
$ | 1,470 | 10.375%, 9/1/14(7) | $ | 1,550,850 | ||||||
Sirius XM Radio, Inc., Sr. Notes | ||||||||||
1,665 | 9.75%, 9/1/15(7) | 1,706,625 | ||||||||
XM Satellite Radio Holdings, Inc., Sr. Notes | ||||||||||
2,745 | 11.25%, 6/15/13(7) | 2,895,975 | ||||||||
2,885 | 13.00%, 8/1/13(7) | 2,885,000 | ||||||||
$ | 9,038,450 | |||||||||
Brokers, Dealers and Investment Houses — 0.6% | ||||||||||
FMR, LLC | ||||||||||
$ | 2,000 | 7.49%, 6/15/19(7) | $ | 2,268,762 | ||||||
Macquarie Group, Ltd., Sr. Notes | ||||||||||
3,445 | 7.30%, 8/1/14(7) | 3,743,075 | ||||||||
Merrill Lynch & Co., Inc., Sr. Sub Notes | ||||||||||
2,750 | 6.05%, 5/16/16 | 2,755,604 | ||||||||
Raymond James Financial, Inc., Sr. Notes | ||||||||||
2,300 | 8.60%, 8/15/19 | 2,511,207 | ||||||||
$ | 11,278,648 | |||||||||
Building and Development — 0.3% | ||||||||||
Interface, Inc., Sr. Notes | ||||||||||
$ | 850 | 11.375%, 11/1/13(7) | $ | 922,250 | ||||||
Panolam Industries International, Sr. Sub. Notes | ||||||||||
5,995 | 10.75%, 10/1/13(2) | 1,948,375 | ||||||||
Texas Industries, Inc. | ||||||||||
1,640 | 7.25%, 7/15/13 | 1,615,400 | ||||||||
USG Corp. | ||||||||||
860 | 9.75%, 8/1/14(7) | 907,300 | ||||||||
$ | 5,393,325 | |||||||||
Business Equipment and Services — 2.3% | ||||||||||
ACCO Brands Corp. | ||||||||||
$ | 1,485 | 7.625%, 8/15/15 | $ | 1,351,350 | ||||||
ACCO Brands Corp., Sr. Notes | ||||||||||
1,600 | 10.625%, 3/15/15(7) | 1,720,000 | ||||||||
Affinion Group, Inc. | ||||||||||
1,065 | 10.125%, 10/15/13 | 1,096,950 | ||||||||
2,560 | 11.50%, 10/15/15 | 2,688,000 | ||||||||
Education Management, LLC, Sr. Notes | ||||||||||
4,955 | 8.75%, 6/1/14 | 5,128,425 | ||||||||
Education Management, LLC, Sr. Sub. Notes | ||||||||||
1,161 | 10.25%, 6/1/16 | 1,271,295 | ||||||||
GEO Group, Inc. (The) | ||||||||||
330 | 7.75%, 10/15/17(7) | 336,600 | ||||||||
MediMedia USA, Inc., Sr. Sub. Notes | ||||||||||
2,415 | 11.375%, 11/15/14(7) | 1,799,175 | ||||||||
Muzak, LLC/Muzak Finance, Sr. Notes | ||||||||||
5,250 | 10.00%, 12/31/09(2) | 2,257,500 | ||||||||
Rental Service Corp. | ||||||||||
3,530 | 9.50%, 12/1/14 | 3,503,525 | ||||||||
SunGard Data Systems, Inc., Sr. Notes | ||||||||||
11,035 | 10.625%, 5/15/15(7) | 11,945,387 | ||||||||
Ticketmaster Entertainment, Inc. | ||||||||||
2,700 | 10.75%, 8/1/16 | 2,794,500 | ||||||||
West Corp. | ||||||||||
5,250 | 9.50%, 10/15/14 | 5,276,250 | ||||||||
$ | 41,168,957 | |||||||||
Business Services-Miscellaneous — 0.2% | ||||||||||
Expedia, Inc. | ||||||||||
$ | 1,730 | 7.456%, 8/15/18 | $ | 1,838,125 | ||||||
KAR Holdings, Inc. | ||||||||||
1,845 | 8.75%, 5/1/14 | 1,874,981 | ||||||||
$ | 3,713,106 | |||||||||
Cable and Satellite Television — 1.2% | ||||||||||
CCO Holdings, LLC/CCO Capital Corp., Sr. Notes | ||||||||||
$ | 5,190 | 8.75%, 11/15/13(2) | $ | 5,696,025 | ||||||
Charter Communications, Inc., Sr. Notes | ||||||||||
645 | 10.375%, 4/30/14(2)(7) | 659,512 | ||||||||
2,740 | 12.875%, 9/15/14(2)(7) | 3,041,400 | ||||||||
Kabel Deutschland GmbH | ||||||||||
2,865 | 10.625%, 7/1/14 | 3,033,319 | ||||||||
National Cable PLC, Sr. Notes | ||||||||||
4,875 | 9.125%, 8/15/16 | 5,045,625 |
17
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount | ||||||||||
(000’s omitted) | Security | Value | ||||||||
Cable and Satellite Television (continued) | ||||||||||
Time Warner Cable, Inc. | ||||||||||
$ | 2,500 | 8.75%, 2/14/19 | $ | 3,088,655 | ||||||
$ | 20,564,536 | |||||||||
Chemicals and Plastics — 1.1% | ||||||||||
Ashland, Inc. | ||||||||||
$ | 2,480 | 9.125%, 6/1/17(7) | $ | 2,684,600 | ||||||
CII Carbon, LLC | ||||||||||
2,420 | 11.125%, 11/15/15(7) | 2,395,800 | ||||||||
INEOS Group Holdings PLC, Sr. Sub. Notes | ||||||||||
4,035 | 8.50%, 2/15/16(7) | 2,279,775 | ||||||||
Nalco Co., Sr. Notes | ||||||||||
1,975 | 8.25%, 5/15/17(7) | 2,083,625 | ||||||||
Nova Chemicals Corp., Sr. Notes | ||||||||||
1,960 | 8.375%, 11/1/16(7) | 1,979,600 | ||||||||
Reichhold Industries, Inc., Sr. Notes | ||||||||||
7,255 | 9.00%, 8/15/14(7) | 5,912,825 | ||||||||
Solutia, Inc. | ||||||||||
1,725 | 8.75%, 11/1/17 | 1,794,000 | ||||||||
Wellman Holdings, Inc., Sr. Sub. Notes | ||||||||||
249 | 5.00%, 1/29/19(6) | 91,632 | ||||||||
$ | 19,221,857 | |||||||||
Clothing / Textiles — 0.9% | ||||||||||
Levi Strauss & Co., Sr. Notes | ||||||||||
$ | 2,435 | 9.75%, 1/15/15 | $ | 2,556,750 | ||||||
560 | 8.875%, 4/1/16 | 574,000 | ||||||||
Oxford Industries, Inc., Sr. Notes | ||||||||||
2,515 | 11.375%, 7/15/15 | 2,716,200 | ||||||||
Perry Ellis International, Inc., Sr. Sub. Notes | ||||||||||
8,190 | 8.875%, 9/15/13 | 7,964,775 | ||||||||
Quiksilver, Inc. | ||||||||||
3,060 | 6.875%, 4/15/15 | 2,379,150 | ||||||||
$ | 16,190,875 | |||||||||
Conglomerates — 0.2% | ||||||||||
RBS Global & Rexnord Corp. | ||||||||||
$ | 1,762 | 9.50%, 8/1/14(7) | $ | 1,753,190 | ||||||
1,705 | 11.75%, 8/1/16 | 1,662,375 | ||||||||
$ | 3,415,565 | |||||||||
Containers and Glass Products — 0.9% | ||||||||||
Berry Petroleum Co., Sr. Notes | ||||||||||
$ | 2,435 | 10.25%, 6/1/14 | $ | 2,617,625 | ||||||
Intertape Polymer US, Inc., Sr. Sub. Notes | ||||||||||
3,220 | 8.50%, 8/1/14 | 2,527,700 | ||||||||
Pliant Corp. | ||||||||||
6,358 | 11.625%, 6/15/09(3)(5) | 5,611,099 | ||||||||
Smurfit-Stone Container Corp., Sr. Notes | ||||||||||
715 | 8.375%, 7/1/12(2) | 563,063 | ||||||||
3,675 | 8.00%, 3/15/17(2) | 2,848,125 | ||||||||
Solo Cup Co., Sr. Notes | ||||||||||
1,680 | 10.50%, 11/1/13(7) | 1,789,200 | ||||||||
$ | 15,956,812 | |||||||||
Diversified Financial Services — 0.1% | ||||||||||
General Electric Capital Corp., Sr. Notes | ||||||||||
$ | 2,000 | 5.625%, 5/1/18 | $ | 2,061,862 | ||||||
$ | 2,061,862 | |||||||||
Diversified Manufacturing Operations — 0.2% | ||||||||||
Tyco International Finance | ||||||||||
$ | 2,750 | 8.50%, 1/15/19 | $ | 3,359,670 | ||||||
$ | 3,359,670 | |||||||||
Diversified Media — 0.4% | ||||||||||
Catalina Marketing Corp. | ||||||||||
$ | 680 | 10.50%, 10/1/15(3)(7) | $ | 691,900 | ||||||
Interpublic Group Cos., Inc. | ||||||||||
3,385 | 10.00%, 7/15/17 | 3,655,800 | ||||||||
Virgin Media Finance PLC | ||||||||||
2,535 | 9.50%, 8/15/16 | 2,693,438 | ||||||||
$ | 7,041,138 | |||||||||
Ecological Services and Equipment — 0.5% | ||||||||||
Casella Waste Systems, Inc., Sr. Notes | ||||||||||
$ | 845 | 11.00%, 7/15/14(7) | $ | 906,263 | ||||||
Clean Harbors, Inc., Sr. Notes | ||||||||||
1,145 | 7.625%, 8/15/16(7) | 1,179,350 | ||||||||
Environmental Systems Product Holdings, Inc., Jr. Notes | ||||||||||
149 | 18.00%, 3/31/15(3)(6) | 119,296 |
18
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount | ||||||||||
(000’s omitted) | Security | Value | ||||||||
Ecological Services and Equipment (continued) | ||||||||||
Waste Services, Inc., Sr. Sub. Notes | ||||||||||
$ | 1,670 | 9.50%, 4/15/14(7) | $ | 1,686,700 | ||||||
4,085 | 9.50%, 4/15/14 | 4,125,850 | ||||||||
$ | 8,017,459 | |||||||||
Electronics / Electrical — 1.3% | ||||||||||
Advanced Micro Devices, Inc., Sr. Notes | ||||||||||
$ | 3,885 | 7.75%, 11/1/12 | $ | 3,467,362 | ||||||
Amkor Technologies, Inc., Sr. Notes | ||||||||||
5,695 | 9.25%, 6/1/16 | 5,979,750 | ||||||||
Avago Technologies Finance | ||||||||||
6,645 | 11.875%, 12/1/15 | 7,309,500 | ||||||||
Ceridian Corp., Sr. Notes | ||||||||||
4,330 | 11.25%, 11/15/15 | 4,189,275 | ||||||||
Jabil Circuit, Inc., Sr. Notes | ||||||||||
995 | 7.75%, 7/15/16 | 1,037,288 | ||||||||
NXP BV/NXP Funding, LLC, Variable Rate | ||||||||||
1,025 | 3.034%, 10/15/13 | 777,719 | ||||||||
$ | 22,760,894 | |||||||||
Equipment Leasing — 0.4% | ||||||||||
Hertz Corp. | ||||||||||
$ | 1,905 | 8.875%, 1/1/14 | $ | 1,938,338 | ||||||
800 | 10.50%, 1/1/16 | 838,000 | ||||||||
RSC Equipment Rental, Inc., Sr. Notes | ||||||||||
3,910 | 10.00%, 7/15/17(7) | 4,261,900 | ||||||||
$ | 7,038,238 | |||||||||
Financial Intermediaries — 1.0% | ||||||||||
Ford Motor Credit Co., Sr. Notes | ||||||||||
$ | 910 | 9.875%, 8/10/11 | $ | 931,189 | ||||||
6,230 | 7.80%, 6/1/12 | 6,103,712 | ||||||||
2,310 | 7.50%, 8/1/12 | 2,250,968 | ||||||||
1,715 | 12.00%, 5/15/15 | 1,933,359 | ||||||||
6,465 | 8.00%, 12/15/16 | 6,253,536 | ||||||||
Janus Capital Group, Inc., Sr. Notes | ||||||||||
1,000 | 6.95%, 6/15/17 | 951,973 | ||||||||
$ | 18,424,737 | |||||||||
Food Products — 0.9% | ||||||||||
ASG Consolidated, LLC/ASG Finance, Inc., Sr. Disc. Notes | ||||||||||
$ | 5,680 | 11.50%, 11/1/11 | $ | 5,580,600 | ||||||
Dole Foods Co. | ||||||||||
3,235 | 13.875%, 3/15/14(7) | 3,801,125 | ||||||||
Smithfield Foods, Inc., Sr. Notes | ||||||||||
3,275 | 7.00%, 8/1/11 | 3,176,750 | ||||||||
2,600 | 10.00%, 7/15/14(7) | 2,743,000 | ||||||||
$ | 15,301,475 | |||||||||
Food Service — 0.5% | ||||||||||
El Pollo Loco, Inc. | ||||||||||
$ | 2,980 | 11.75%, 11/15/13 | $ | 2,756,500 | ||||||
NPC International, Inc., Sr. Sub. Notes | ||||||||||
4,370 | 9.50%, 5/1/14 | 4,337,225 | ||||||||
Yum! Brands, Inc., Sr. Notes | ||||||||||
1,350 | 6.25%, 3/15/18 | 1,455,966 | ||||||||
$ | 8,549,691 | |||||||||
Food / Drug Retailers — 1.1% | ||||||||||
CVS Caremark Corp., Sr. Notes | ||||||||||
$ | 1,500 | 5.75%, 6/1/17 | $ | 1,616,388 | ||||||
Duane Reade, Inc., Sr. Notes | ||||||||||
500 | 11.75%, 8/1/15(7) | 535,000 | ||||||||
General Nutrition Center, Sr. Notes, Variable Rate | ||||||||||
10,725 | 5.178%, 3/15/14(3) | 9,598,875 | ||||||||
General Nutrition Center, Sr. Sub. Notes | ||||||||||
4,955 | 10.75%, 3/15/15 | 5,016,937 | ||||||||
Supervalu, Inc., Sr. Notes | ||||||||||
3,400 | 8.00%, 5/1/16 | 3,476,500 | ||||||||
$ | 20,243,700 | |||||||||
Forest Products — 1.0% | ||||||||||
Domtar Corp., Sr. Notes | ||||||||||
$ | 3,485 | 10.75%, 6/1/17 | $ | 4,016,462 | ||||||
Jefferson Smurfit Corp., Sr. Notes | ||||||||||
1,445 | 8.25%, 10/1/12(2) | 1,119,875 | ||||||||
820 | 7.50%, 6/1/13(2) | 643,700 | ||||||||
NewPage Corp. | ||||||||||
3,565 | 10.00%, 5/1/12 | 2,352,900 | ||||||||
NewPage Corp., Sr. Notes | ||||||||||
9,880 | 11.375%, 12/31/14(7) | 9,904,700 | ||||||||
$ | 18,037,637 | |||||||||
19
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount | ||||||||||
(000’s omitted) | Security | Value | ||||||||
Health Care — 3.9% | ||||||||||
Accellent, Inc. | ||||||||||
$ | 3,320 | 10.50%, 12/1/13 | $ | 3,270,200 | ||||||
AMR HoldCo, Inc./EmCare HoldCo, Inc., Sr. Sub. Notes | ||||||||||
4,430 | 10.00%, 2/15/15 | 4,673,650 | ||||||||
Apria Healthcare Group, Inc., Sr. Notes | ||||||||||
410 | 12.375%, 11/1/14(7) | 447,925 | ||||||||
Biomet, Inc. | ||||||||||
2,825 | 10.375%, 10/15/17(3) | 3,054,531 | ||||||||
10,915 | 11.625%, 10/15/17 | 12,020,144 | ||||||||
DJO Finance, LLC/DJO Finance Corp. | ||||||||||
4,625 | 10.875%, 11/15/14 | 4,844,687 | ||||||||
Fresenius US Finance II, Inc., Sr. Notes | ||||||||||
1,400 | 9.00%, 7/15/15(7) | 1,547,000 | ||||||||
HCA, Inc. | ||||||||||
2,115 | 9.25%, 11/15/16 | 2,215,463 | ||||||||
2,970 | 9.875%, 2/15/17(7) | 3,207,600 | ||||||||
Inverness Medical Innovations, Inc., Sr. Sub. Notes | ||||||||||
4,245 | 9.00%, 5/15/16 | 4,319,287 | ||||||||
MultiPlan, Inc., Sr. Sub. Notes | ||||||||||
4,860 | 10.375%, 4/15/16(7) | 4,689,900 | ||||||||
National Mentor Holdings, Inc. | ||||||||||
3,810 | 11.25%, 7/1/14 | 3,800,475 | ||||||||
Res-Care, Inc., Sr. Notes | ||||||||||
2,160 | 7.75%, 10/15/13 | 2,149,200 | ||||||||
Rural/Metro Corp. | ||||||||||
490 | 9.875%, 3/15/15 | 493,675 | ||||||||
Rural/Metro Corp., Sr. Disc. Notes | ||||||||||
1,315 | 12.75% (0.00% until 2010), 3/15/16 | 1,315,000 | ||||||||
US Oncology, Inc. | ||||||||||
5,350 | 10.75%, 8/15/14 | 5,617,500 | ||||||||
US Oncology, Inc., Sr. Notes | ||||||||||
4,235 | 9.125%, 8/15/17(7) | 4,489,100 | ||||||||
Valeant Pharmaceuticals International | ||||||||||
1,795 | 8.375%, 6/15/16(7) | 1,844,363 | ||||||||
Viant Holdings, Inc. | ||||||||||
4,727 | 10.125%, 7/15/17(7) | 4,514,285 | ||||||||
$ | 68,513,985 | |||||||||
Home Furnishings — 0.1% | ||||||||||
Sealy Mattress Co. | ||||||||||
$ | 1,495 | 8.25%, 6/15/14 | $ | 1,457,625 | ||||||
Sealy Mattress Co., Sr. Notes | ||||||||||
505 | 10.875%, 4/15/16(7) | 568,125 | ||||||||
$ | 2,025,750 | |||||||||
Homebuilders / Real Estate — 0.2% | ||||||||||
CB Richard Ellis Service, Inc., Sr. Sub. Notes | ||||||||||
$ | 2,575 | 11.625%, 6/15/17 | $ | 2,816,406 | ||||||
$ | 2,816,406 | |||||||||
Industrial Equipment — 0.2% | ||||||||||
Chart Industries, Inc., Sr. Sub. Notes | ||||||||||
$ | 2,170 | 9.125%, 10/15/15 | $ | 2,170,000 | ||||||
ESCO Corp., Sr. Notes | ||||||||||
1,595 | 8.625%, 12/15/13(7) | 1,583,038 | ||||||||
$ | 3,753,038 | |||||||||
Insurance — 0.5% | ||||||||||
Aflac, Inc., Sr. Notes | ||||||||||
$ | 2,000 | 8.50%, 5/15/19 | $ | 2,352,450 | ||||||
Alliant Holdings I, Inc. | ||||||||||
1,885 | 11.00%, 5/1/15(7) | 1,847,300 | ||||||||
Hub International Holdings, Inc. | ||||||||||
1,750 | 9.00%, 12/15/14(7) | 1,680,000 | ||||||||
Lincoln National Corp., Sr. Notes | ||||||||||
1,400 | 7.00%, 3/15/18 | 1,471,520 | ||||||||
U.S.I. Holdings Corp., Sr. Notes, Variable Rate | ||||||||||
1,320 | 4.315%, 11/15/14(7) | 1,095,600 | ||||||||
$ | 8,446,870 | |||||||||
Leisure Goods / Activities / Movies — 3.3% | ||||||||||
AMC Entertainment, Inc. | ||||||||||
$ | 13,080 | 11.00%, 2/1/16 | $ | 13,799,400 | ||||||
Bombardier, Inc. | ||||||||||
1,425 | 8.00%, 11/15/14(7) | 1,467,750 | ||||||||
HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital Corp., Variable Rate | ||||||||||
3,975 | 0.00%, 4/1/12(2)(6)(7) | 0 | ||||||||
HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital Corp. | ||||||||||
2,170 | 12.50%, 4/1/13(2)(6)(7) | 0 | ||||||||
Marquee Holdings, Inc., Sr. Disc. Notes | ||||||||||
6,340 | 9.505%, 8/15/14 | 5,301,825 | ||||||||
Royal Caribbean Cruises, Sr. Notes | ||||||||||
340 | 8.75%, 2/2/11 | 345,100 | ||||||||
2,150 | 7.00%, 6/15/13 | 2,085,500 | ||||||||
1,380 | 6.875%, 12/1/13 | 1,314,450 | ||||||||
645 | 7.25%, 6/15/16 | 603,075 | ||||||||
1,650 | 7.25%, 3/15/18 | 1,509,750 | ||||||||
Universal City Development Partners, Sr. Notes | ||||||||||
14,610 | 11.75%, 4/1/10 | 14,719,575 |
20
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount | ||||||||||
(000’s omitted) | Security | Value | ||||||||
Leisure Goods / Activities / Movies (continued) | ||||||||||
Universal City Florida Holdings, Sr. Notes, Variable Rate | ||||||||||
$ | 12,720 | 5.233%, 5/1/10 | $ | 12,783,600 | ||||||
WMG Acquisition Corp., Sr. Notes | ||||||||||
3,740 | 9.50%, 6/15/16(7) | 4,011,150 | ||||||||
$ | 57,941,175 | |||||||||
Lodging and Casinos — 2.9% | ||||||||||
Buffalo Thunder Development Authority | ||||||||||
$ | 4,080 | 9.375%, 12/15/14(2)(7) | $ | 775,200 | ||||||
CCM Merger, Inc. | ||||||||||
4,025 | 8.00%, 8/1/13(7) | 3,320,625 | ||||||||
Chukchansi EDA, Sr. Notes, Variable Rate | ||||||||||
3,080 | 4.913%, 11/15/12(7) | 1,925,000 | ||||||||
Fontainebleau Las Vegas Casino, LLC | ||||||||||
8,870 | 10.25%, 6/15/15(2)(7) | 354,800 | ||||||||
Galaxy Entertainment Finance, Variable Rate | ||||||||||
1,595 | 6.218%, 12/15/10(7) | 1,571,075 | ||||||||
Galaxy Entertainment Finance | ||||||||||
2,610 | 9.875%, 12/15/12(7) | 2,570,850 | ||||||||
Greektown Holdings, LLC, Sr. Notes | ||||||||||
1,095 | 10.75%, 12/1/13(2)(7) | 224,475 | ||||||||
Harrah’s Operating Co., Inc., Sr. Notes | ||||||||||
2,190 | 11.25%, 6/1/17(7) | 2,244,750 | ||||||||
Harrahs Operating Escrow Corp., Sr. Notes | ||||||||||
1,970 | 11.25%, 6/1/17(7) | 2,019,250 | ||||||||
Indianapolis Downs, LLC & Capital Corp., Sr. Notes | ||||||||||
2,050 | 11.00%, 11/1/12(7) | 1,322,250 | ||||||||
Inn of the Mountain Gods, Sr. Notes | ||||||||||
5,575 | 12.00%, 11/15/10(2) | 2,243,937 | ||||||||
Majestic HoldCo, LLC | ||||||||||
1,540 | 12.50%, 10/15/11(2)(7) | 1,848 | ||||||||
MGM Mirage, Inc. | ||||||||||
1,715 | 11.125%, 11/15/17(7) | 1,895,075 | ||||||||
MGM Mirage, Inc., Sr. Notes | ||||||||||
1,655 | 10.375%, 5/15/14(7) | 1,770,850 | ||||||||
Mohegan Tribal Gaming Authority, Sr. Sub. Notes | ||||||||||
4,775 | 8.00%, 4/1/12 | 4,082,625 | ||||||||
3,265 | 7.125%, 8/15/14 | 2,301,825 | ||||||||
3,425 | 6.875%, 2/15/15 | 2,277,625 | ||||||||
Park Place Entertainment | ||||||||||
6,035 | 7.875%, 3/15/10 | 6,019,912 | ||||||||
Peninsula Gaming, LLC | ||||||||||
495 | 8.375%, 8/15/15(7) | 493,763 | ||||||||
2,235 | 10.75%, 8/15/17(7) | 2,229,413 | ||||||||
Pinnacle Entertainment, Inc., Sr. Sub. Notes | ||||||||||
1,155 | 7.50%, 6/15/15 | 1,045,275 | ||||||||
Pokagon Gaming Authority, Sr. Notes | ||||||||||
1,101 | 10.375%, 6/15/14(7) | 1,145,040 | ||||||||
San Pasqual Casino | ||||||||||
1,215 | 8.00%, 9/15/13(7) | 1,160,325 | ||||||||
Seminole Hard Rock Entertainment, Variable Rate | ||||||||||
1,930 | 2.799%, 3/15/14(7) | 1,563,300 | ||||||||
Tunica-Biloxi Gaming Authority, Sr. Notes | ||||||||||
3,405 | 9.00%, 11/15/15(7) | 3,081,525 | ||||||||
Waterford Gaming, LLC, Sr. Notes | ||||||||||
5,078 | 8.625%, 9/15/14(7) | 4,053,260 | ||||||||
$ | 51,693,873 | |||||||||
Machinery — 0.2% | ||||||||||
Terex Corp., Sr. Notes | ||||||||||
$ | 3,710 | 10.875%, 6/1/16 | $ | 4,025,350 | ||||||
$ | 4,025,350 | |||||||||
Nonferrous Metals / Minerals — 1.5% | ||||||||||
Arch Coal, Inc., Sr. Notes | ||||||||||
$ | 980 | 8.75%, 8/1/16(7) | $ | 1,009,400 | ||||||
FMG Finance PTY, Ltd. | ||||||||||
8,090 | 10.625%, 9/1/16(7) | 8,919,225 | ||||||||
Novelis, Inc./GA, Sr. Notes | ||||||||||
1,000 | 11.50%, 2/15/15(7) | 1,045,000 | ||||||||
Teck Resources, Ltd., Sr. Notes | ||||||||||
3,515 | 9.75%, 5/15/14 | 3,963,162 | ||||||||
2,635 | 10.25%, 5/15/16 | 3,050,013 | ||||||||
7,845 | 10.75%, 5/15/19 | 9,178,650 | ||||||||
$ | 27,165,450 | |||||||||
Oil and Gas — 5.0% | ||||||||||
Allis-Chalmers Energy, Inc., Sr. Notes | ||||||||||
$ | 3,280 | 9.00%, 1/15/14 | $ | 2,788,000 | ||||||
Bill Barrett Corp. | ||||||||||
505 | 9.875%, 7/15/16 | 537,825 | ||||||||
Chesapeake Energy Corp. | ||||||||||
3,150 | 6.875%, 1/15/16 | 3,055,500 | ||||||||
Clayton Williams Energy, Inc. | ||||||||||
2,200 | 7.75%, 8/1/13 | 1,925,000 | ||||||||
Compton Pet Finance Corp. | ||||||||||
2,360 | 7.625%, 12/1/13 | 1,752,300 | ||||||||
Denbury Resources, Inc., Sr. Sub. Notes | ||||||||||
1,290 | 7.50%, 12/15/15 | 1,296,450 | ||||||||
3,285 | 9.75%, 3/1/16 | 3,539,587 |
21
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount | ||||||||||
(000’s omitted) | Security | Value | ||||||||
Oil and Gas (continued) | ||||||||||
El Paso Corp. | ||||||||||
$ | 2,055 | 8.25%, 2/15/16 | $ | 2,137,607 | ||||||
El Paso Corp., Sr. Notes | ||||||||||
3,220 | 9.625%, 5/15/12 | 3,364,755 | ||||||||
Energy Transfer Partners LP, Sr. Notes | ||||||||||
2,800 | 9.70%, 3/15/19 | 3,472,591 | ||||||||
Forbes Energy Services, Sr. Notes | ||||||||||
4,605 | 11.00%, 2/15/15 | 3,879,712 | ||||||||
Forest Oil Corp. | ||||||||||
410 | 7.25%, 6/15/19 | 384,375 | ||||||||
Holly Corp. | ||||||||||
2,535 | 9.875%, 6/15/17(7) | 2,636,400 | ||||||||
Marathon Oil Corp. | ||||||||||
2,850 | 7.50%, 2/15/19 | 3,346,943 | ||||||||
OPTI Canada, Inc., Sr. Notes | ||||||||||
1,795 | 7.875%, 12/15/14 | 1,409,075 | ||||||||
1,900 | 8.25%, 12/15/14 | 1,501,000 | ||||||||
Petroleum Development Corp., Sr. Notes | ||||||||||
1,805 | 12.00%, 2/15/18 | 1,809,513 | ||||||||
Petroplus Finance, Ltd. | ||||||||||
430 | 6.75%, 5/1/14(7) | 404,200 | ||||||||
6,865 | 7.00%, 5/1/17(7) | 6,247,150 | ||||||||
Petroplus Finance, Ltd., Sr. Notes | ||||||||||
4,260 | 9.375%, 9/15/19(7) | 4,291,950 | ||||||||
Quicksilver Resources, Inc. | ||||||||||
4,390 | 7.125%, 4/1/16 | 3,961,975 | ||||||||
Quicksilver Resources, Inc., Sr. Notes | ||||||||||
3,515 | 11.75%, 1/1/16 | 3,919,225 | ||||||||
Sandridge Energy, Inc., Sr. Notes | ||||||||||
3,395 | 8.00%, 6/1/18(7) | 3,378,025 | ||||||||
SemGroup, L.P., Sr. Notes | ||||||||||
5,990 | 8.75%, 11/15/15(2)(7) | 389,350 | ||||||||
SESI, LLC, Sr. Notes | ||||||||||
660 | 6.875%, 6/1/14 | 646,800 | ||||||||
Sonat, Inc., Sr. Notes | ||||||||||
5,000 | 7.625%, 7/15/11 | 5,112,420 | ||||||||
Southwestern Energy Co., Sr. Notes | ||||||||||
4,200 | 7.50%, 2/1/18 | 4,336,500 | ||||||||
Stewart & Stevenson, LLC, Sr. Notes | ||||||||||
3,250 | 10.00%, 7/15/14 | 3,006,250 | ||||||||
Tesoro Corp. | ||||||||||
850 | 9.75%, 6/1/19 | 877,625 | ||||||||
United Refining Co., Sr. Notes | ||||||||||
11,495 | 10.50%, 8/15/12 | 9,943,175 | ||||||||
United Rentals North America, Inc. | ||||||||||
3,055 | 10.875%, 6/15/16(7) | 3,329,950 | ||||||||
$ | 88,681,228 | |||||||||
Publishing — 1.3% | ||||||||||
Dex Media West/Finance, Series B | ||||||||||
$ | 2,815 | 9.875%, 8/15/13(2) | $ | 570,038 | ||||||
Laureate Education, Inc. | ||||||||||
8,490 | 10.00%, 8/15/15(7) | 8,320,200 | ||||||||
2,712 | 10.25%, 8/15/15(3)(7) | 2,452,427 | ||||||||
Local Insight Regatta Holdings, Inc. | ||||||||||
1,430 | 11.00%, 12/1/17 | 707,850 | ||||||||
Nielsen Finance, LLC | ||||||||||
6,565 | 10.00%, 8/1/14 | 6,794,775 | ||||||||
2,490 | 11.50%, 5/1/16 | 2,658,075 | ||||||||
870 | 12.50% (0.00% until 2011), 8/1/16 | 757,987 | ||||||||
Nielsen Finance, LLC, Sr. Notes | ||||||||||
300 | 11.625%, 2/1/14 | 321,750 | ||||||||
Reader’s Digest Association, Inc. (The), Sr. Sub. Notes | ||||||||||
7,275 | 9.00%, 2/15/17(2) | 109,125 | ||||||||
$ | 22,692,227 | |||||||||
Rail Industries — 0.5% | ||||||||||
American Railcar Industry, Sr. Notes | ||||||||||
$ | 1,940 | 7.50%, 3/1/14 | $ | 1,775,100 | ||||||
Kansas City Southern Mexico, Sr. Notes | ||||||||||
150 | 9.375%, 5/1/12 | 153,750 | ||||||||
2,530 | 7.625%, 12/1/13 | 2,441,450 | ||||||||
1,055 | 7.375%, 6/1/14 | 1,002,250 | ||||||||
4,000 | 8.00%, 6/1/15 | 4,120,000 | ||||||||
$ | 9,492,550 | |||||||||
Real Estate Investment Trusts (REITs) — 0.1% | ||||||||||
Simon Property Group, LP, Sr. Notes | ||||||||||
$ | 800 | 10.35%, 4/1/19 | $ | 1,008,018 | ||||||
$ | 1,008,018 | |||||||||
Retailers (Except Food and Drug) — 3.8% | ||||||||||
Amscan Holdings, Inc., Sr. Sub. Notes | ||||||||||
$ | 5,910 | 8.75%, 5/1/14 | $ | 5,614,500 | ||||||
JC Penney Corp., Inc., Sr. Notes | ||||||||||
1,875 | 8.00%, 3/1/10 | 1,900,781 |
22
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount | ||||||||||
(000’s omitted) | Security | Value | ||||||||
Retailers (Except Food and Drug) (continued) | ||||||||||
Limited Brands, Inc., Sr. Notes | ||||||||||
$ | 3,960 | 8.50%, 6/15/19(7) | $ | 4,177,800 | ||||||
Neiman Marcus Group, Inc. | ||||||||||
10,161 | 9.00%, 10/15/15 | 9,002,898 | ||||||||
8,170 | 10.375%, 10/15/15 | 7,230,450 | ||||||||
Nordstrom, Inc. | ||||||||||
750 | 6.25%, 1/15/18 | 793,484 | ||||||||
Sally Holdings, LLC, Sr. Notes | ||||||||||
11,100 | 10.50%, 11/15/16 | 11,821,500 | ||||||||
Toys “R” Us | ||||||||||
7,785 | 7.625%, 8/1/11 | 7,823,925 | ||||||||
6,075 | 7.875%, 4/15/13 | 5,938,312 | ||||||||
4,985 | 10.75%, 7/15/17(7) | 5,433,650 | ||||||||
325 | 7.375%, 10/15/18 | 290,875 | ||||||||
Yankee Acquisition Corp., Series B | ||||||||||
6,740 | 8.50%, 2/15/15 | 6,470,400 | ||||||||
835 | 9.75%, 2/15/17 | 791,163 | ||||||||
$ | 67,289,738 | |||||||||
Software and Services — 0.1% | ||||||||||
CA, Inc., Sr. Notes | ||||||||||
$ | 950 | 6.125%, 12/1/14 | $ | 1,035,240 | ||||||
$ | 1,035,240 | |||||||||
Steel — 0.1% | ||||||||||
RathGibson, Inc., Sr. Notes | ||||||||||
$ | 4,905 | 11.25%, 2/15/14(2) | $ | 1,802,588 | ||||||
$ | 1,802,588 | |||||||||
Surface Transport — 0.3% | ||||||||||
CEVA Group, PLC, Sr. Notes | ||||||||||
$ | 3,750 | 10.00%, 9/1/14(7) | $ | 3,525,000 | ||||||
Ryder System, Inc., MTN | ||||||||||
2,250 | 7.20%, 9/1/15 | 2,437,299 | ||||||||
$ | 5,962,299 | |||||||||
Telecommunications — 4.4% | ||||||||||
America Movil SAB de CV | ||||||||||
$ | 2,000 | 5.625%, 11/15/17 | $ | 2,070,210 | ||||||
Avaya, Inc., Sr. Notes | ||||||||||
5,805 | 10.125%, 11/1/15(3)(7) | 4,988,701 | ||||||||
Digicel Group, Ltd., Sr. Notes | ||||||||||
3,585 | 9.25%, 9/1/12(7) | 3,656,700 | ||||||||
1,560 | 12.00%, 4/1/14(7) | 1,766,700 | ||||||||
14,436 | 9.125%, 1/15/15(7) | 13,930,740 | ||||||||
Intelsat Bermuda, Ltd. | ||||||||||
15,335 | 11.25%, 6/15/16 | 16,408,450 | ||||||||
Intelsat Subsidiary Holdings Co., Ltd. | ||||||||||
680 | 8.875%, 1/15/15(7) | 685,950 | ||||||||
830 | 8.875%, 1/15/15 | 841,413 | ||||||||
NII Capital Corp. | ||||||||||
3,490 | 10.00%, 8/15/16(7) | 3,699,400 | ||||||||
Qwest Communications International, Inc. | ||||||||||
5,120 | 7.50%, 2/15/14 | 5,043,200 | ||||||||
Qwest Corp., Sr. Notes | ||||||||||
1,940 | 7.625%, 6/15/15 | 1,969,100 | ||||||||
Qwest Corp., Sr. Notes, Variable Rate | ||||||||||
1,000 | 3.549%, 6/15/13 | 935,000 | ||||||||
SBA Telecommunications, Inc. | ||||||||||
1,475 | 8.00%, 8/15/16(7) | 1,534,000 | ||||||||
985 | 8.25%, 8/15/19(7) | 1,034,250 | ||||||||
Sprint Capital Corp. | ||||||||||
585 | 6.875%, 11/15/28 | 441,675 | ||||||||
Telecom Italia Capital SA | ||||||||||
2,600 | 6.999%, 6/4/18 | 2,860,478 | ||||||||
Telesat Canada/Telesat, LLC, Sr. Notes | ||||||||||
3,305 | 11.00%, 11/1/15 | 3,602,450 | ||||||||
Telesat Canada/Telesat, LLC, Sr. Sub. Notes | ||||||||||
6,830 | 12.50%, 11/1/17 | 7,521,537 | ||||||||
Wind Acquisition Finance SA, Sr. Notes | ||||||||||
4,010 | 11.75%, 7/15/17(7) | 4,551,350 | ||||||||
$ | 77,541,304 | |||||||||
Utilities — 1.8% | ||||||||||
AES Corp. | ||||||||||
$ | 965 | 8.00%, 10/15/17 | $ | 974,650 | ||||||
AES Corp., Sr. Notes | ||||||||||
1,818 | 8.75%, 5/15/13(7) | 1,867,995 | ||||||||
Calpine Construction Finance Co., Sr. Notes | ||||||||||
4,275 | 8.00%, 6/1/16(7) | 4,360,500 | ||||||||
Dominion Resources, Inc., Sr. Notes | ||||||||||
2,500 | 8.875%, 1/15/19 | 3,161,012 | ||||||||
Edison Mission Energy, Sr. Notes | ||||||||||
1,005 | 7.00%, 5/15/17 | 816,563 | ||||||||
1,130 | 7.20%, 5/15/19 | 906,825 | ||||||||
NGC Corp. | ||||||||||
4,395 | 7.625%, 10/15/26 | 3,010,575 |
23
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount | ||||||||||
(000’s omitted) | Security | Value | ||||||||
Utilities (continued) | ||||||||||
NRG Energy, Inc. | ||||||||||
$ | 480 | 7.25%, 2/1/14 | $ | 477,600 | ||||||
4,915 | 7.375%, 2/1/16 | 4,896,569 | ||||||||
Orion Power Holdings, Inc., Sr. Notes | ||||||||||
11,360 | 12.00%, 5/1/10 | 11,786,000 | ||||||||
Reliant Energy, Inc., Sr. Notes | ||||||||||
350 | 7.625%, 6/15/14 | 343,000 | ||||||||
$ | 32,601,289 | |||||||||
Total Corporate Bonds & Notes | ||||||||||
(identified cost $876,600,068) | $ | 859,522,531 | ||||||||
Mortgage Pass-Throughs — 33.7% | ||||||||||
Principal | ||||||||||
Amount | ||||||||||
(000’s omitted) | Security | Value | ||||||||
Federal Home Loan Mortgage Corp.: | ||||||||||
$ | 38,188 | 5.00%, with various maturities to 2019 | $ | 40,784,215 | ||||||
9,130 | 5.50%, with various maturities to 2018(14) | 9,790,145 | ||||||||
17,309 | 6.00%, with various maturities to 2026 | 18,610,632 | ||||||||
34,099 | 6.50%, with various maturities to 2030 | 36,891,106 | ||||||||
43,770 | 7.00%, with various maturities to 2031 | 47,490,482 | ||||||||
507 | 7.13%, with maturity at 2023 | 563,682 | ||||||||
27,730 | 7.50%, with various maturities to 2029 | 31,109,217 | ||||||||
867 | 7.65%, with maturity at 2022 | 980,409 | ||||||||
141 | 7.70%, with maturity at 2022 | 159,450 | ||||||||
16,356 | 8.00%, with various maturities to 2030 | 18,658,625 | ||||||||
465 | 8.25%, with maturity at 2020 | 533,192 | ||||||||
1,369 | 8.30%, with maturity at 2020 | 1,571,879 | ||||||||
12,119 | 8.50%, with various maturities to 2031 | 13,997,888 | ||||||||
4,284 | 9.00%, with various maturities to 2031 | 4,955,669 | ||||||||
3,606 | 9.50%, with various maturities to 2025 | 4,201,905 | ||||||||
547 | 10.00%, with maturity at 2020 | 628,797 | ||||||||
481 | 10.50%, with maturity at 2020 | 559,572 | ||||||||
639 | 12.00%, with maturity at 2020 | 726,233 | ||||||||
42 | 13.00%, with maturity at 2015 | 48,437 | ||||||||
$ | 232,261,535 | |||||||||
Federal National Mortgage Association: | ||||||||||
$ | 5,687 | 3.178%, with maturity at 2036(8) | $ | 5,826,331 | ||||||
3,258 | 3.441%, with maturity at 2022(8) | 3,333,344 | ||||||||
19,480 | 5.00%, with various maturities to 2018 | 20,784,052 | ||||||||
8,191 | 5.50%, with various maturities to 2028 | 8,702,329 | ||||||||
13,831 | 6.00%, with various maturities to 2026 | 14,825,672 | ||||||||
17,330 | 6.319%, with maturity at 2032(8) | 18,033,607 | ||||||||
32,087 | 6.50%, with various maturities to 2031 | 34,831,336 | ||||||||
520 | 6.75%, with maturity at 2023 | 564,640 | ||||||||
40,803 | 7.00%, with various maturities to 2031 | 44,513,163 | ||||||||
27,808 | 7.50%, with various maturities to 2035 | 31,175,295 | ||||||||
10,720 | 8.00%, with various maturities to 2031 | 12,164,755 | ||||||||
34 | 8.25%, with maturity at 2018 | 37,219 | ||||||||
2,471 | 8.364%, with maturity at 2027(9) | 2,864,509 | ||||||||
12,850 | 8.50%, with various maturities to 2030 | 14,829,443 | ||||||||
1,117 | 8.576%, with maturity at 2028(9) | 1,282,989 | ||||||||
739 | 8.632%, with maturity at 2029(9) | 861,920 | ||||||||
958 | 8.709%, with maturity at 2027(9) | 1,111,570 | ||||||||
13,926 | 9.00%, with various maturities to 2027 | 16,237,283 | ||||||||
232 | 9.056%, with maturity at 2024(9) | 255,473 | ||||||||
4,567 | 9.50%, with various maturities to 2030 | 5,358,539 | ||||||||
675 | 9.575%, with maturity at 2018(9) | 778,979 | ||||||||
1,310 | 10.00%, with various maturities to 2020 | 1,503,460 | ||||||||
1,035 | 10.10%, with maturity at 2025(9) | 1,185,058 | ||||||||
1,053 | 10.471%, with maturity at 2019(9) | 1,193,504 | ||||||||
1,146 | 10.50%, with maturity at 2021 | 1,332,118 | ||||||||
417 | 11.50%, with maturity at 2016 | 468,530 | ||||||||
19 | 12.50%, with maturity at 2011 | 20,562 | ||||||||
$ | 244,075,680 | |||||||||
Government National Mortgage Association: | ||||||||||
3,600 | 6.00%, with maturity at 2024 | 3,896,050 | ||||||||
19,968 | 6.50%, with maturity at 2024 | 21,953,485 | ||||||||
8,072 | 7.00%, with various maturities to 2026 | 9,006,378 | ||||||||
33,846 | 7.50%, with various maturities to 2032 | 38,411,646 | ||||||||
21,835 | 8.00%, with various maturities to 2034 | 25,078,886 | ||||||||
694 | 8.30%, with maturity at 2020 | 795,808 | ||||||||
1,438 | 8.50%, with various maturities to 2022 | 1,660,798 | ||||||||
6,772 | 9.00%, with various maturities to 2026 | 7,894,712 | ||||||||
9,693 | 9.50%, with various maturities to 2026 | 11,465,795 | ||||||||
595 | 10.00%, with maturity at 2019 | 683,567 | ||||||||
$ | 120,847,125 | |||||||||
Total Mortgage Pass-Throughs | ||||||||||
(identified cost $565,693,900) | $ | 597,184,340 | ||||||||
Collateralized Mortgage Obligations — 8.4% | ||||||||||
Principal | ||||||||||
Amount | ||||||||||
(000’s omitted) | Security | Value | ||||||||
Federal Home Loan Mortgage Corp.: | ||||||||||
$ | 1,804 | Series 24, Class J, 6.25%, 11/25/23 | $ | 1,967,116 | ||||||
2,145 | Series 1497, Class K, 7.00%, 4/15/23 | 2,236,713 |
24
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount | ||||||||||
(000’s omitted) | Security | Value | ||||||||
Federal Home Loan Mortgage Corp.: (continued) | ||||||||||
$ | 3,473 | Series 1529, Class Z, 7.00%, 6/15/23 | $ | 3,658,897 | ||||||
3,005 | Series 1620, Class Z, 6.00%, 11/15/23 | 3,213,972 | ||||||||
997 | Series 1677, Class Z, 7.50%, 7/15/23 | 1,122,508 | ||||||||
10,984 | Series 1702, Class PZ, 6.50%, 3/15/24 | 12,264,757 | ||||||||
43 | Series 1720, Class PJ, 7.25%, 1/15/24 | 42,634 | ||||||||
6,004 | Series 2113, Class QG, 6.00%, 1/15/29 | 6,486,851 | ||||||||
758 | Series 2122, Class K, 6.00%, 2/15/29 | 807,490 | ||||||||
514 | Series 2130, Class K, 6.00%, 3/15/29 | 549,149 | ||||||||
526 | Series 2167, Class BZ, 7.00%, 6/15/29 | 568,366 | ||||||||
3,965 | Series 2182, Class ZB, 8.00%, 9/15/29 | 4,399,828 | ||||||||
4,493 | Series 2198, Class ZA, 8.50%, 11/15/29 | 4,941,780 | ||||||||
12,777 | Series 2245, Class A, 8.00%, 8/15/27 | 14,239,984 | ||||||||
$ | 56,500,045 | |||||||||
Federal National Mortgage Association: | ||||||||||
$ | 361 | Series 1988-14, Class I, 9.20%, 6/25/18 | $ | 410,018 | ||||||
304 | Series 1989-1, Class D, 10.30%, 1/25/19 | 345,782 | ||||||||
567 | Series 1989-34, Class Y, 9.85%, 7/25/19 | 661,707 | ||||||||
471 | Series 1990-17, Class G, 9.00%, 2/25/20 | 539,897 | ||||||||
234 | Series 1990-27, Class Z, 9.00%, 3/25/20 | 270,429 | ||||||||
235 | Series 1990-29, Class J, 9.00%, 3/25/20 | 272,111 | ||||||||
966 | Series 1990-43, Class Z, 9.50%, 4/25/20 | 1,121,010 | ||||||||
341 | Series 1991-98, Class J, 8.00%, 8/25/21 | 389,382 | ||||||||
2,667 | Series 1992-77, Class ZA, 8.00%, 5/25/22 | 3,029,516 | ||||||||
177 | Series 1992-103, Class Z, 7.50%, 6/25/22 | 198,425 | ||||||||
305 | Series 1992-113, Class Z, 7.50%, 7/25/22 | 341,530 | ||||||||
667 | Series 1992-185, Class ZB, 7.00%, 10/25/22 | 738,811 | ||||||||
1,639 | Series 1993-16, Class Z, 7.50%, 2/25/23 | 1,840,399 | ||||||||
1,263 | Series 1993-22, Class PM, 7.40%, 2/25/23 | 1,425,799 | ||||||||
1,933 | Series 1993-25, Class J, 7.50%, 3/25/23 | 2,168,937 | ||||||||
3,691 | Series 1993-30, Class PZ, 7.50%, 3/25/23 | 4,150,556 | ||||||||
4,532 | Series 1993-42, Class ZQ, 6.75%, 4/25/23 | 4,997,812 | ||||||||
708 | Series 1993-56, Class PZ, 7.00%, 5/25/23 | 785,433 | ||||||||
817 | Series 1993-156, Class ZB, 7.00%, 9/25/23 | 912,542 | ||||||||
5,985 | Series 1994-45, Class Z, 6.50%, 2/25/24 | 6,574,306 | ||||||||
3,245 | Series 1994-89, Class ZQ, 8.00%, 7/25/24 | 3,738,105 | ||||||||
3,131 | Series 1996-57, Class Z, 7.00%, 12/25/26 | 3,489,110 | ||||||||
1,681 | Series 1997-77, Class Z, 7.00%, 11/18/27 | 1,886,187 | ||||||||
1,310 | Series 1998-44, Class ZA, 6.50%, 7/20/28 | 1,427,230 | ||||||||
632 | Series 1999-45, Class ZG, 6.50%, 9/25/29 | 688,343 | ||||||||
5,101 | Series 2000-22, Class PN, 6.00%, 7/25/30 | 5,504,481 | ||||||||
852 | Series 2001-37, Class GA, 8.00%, 7/25/16 | 934,667 | ||||||||
1,103 | Series 2002-1, Class G, 7.00%, 7/25/23 | 1,227,994 | ||||||||
536 | Series G92-44, Class Z, 8.00%, 7/25/22 | 594,613 | ||||||||
872 | Series G92-44, Class ZQ, 8.00%, 7/25/22 | 967,532 | ||||||||
1,268 | Series G92-46, Class Z, 7.00%, 8/25/22 | 1,402,695 | ||||||||
2,223 | Series G92-60, Class Z, 7.00%, 10/25/22 | 2,441,067 | ||||||||
22,710 | Series G93-35, Class ZQ, 6.50%, 11/25/23 | 24,761,992 | ||||||||
4,945 | Series G93-40, Class H, 6.40%, 12/25/23 | 5,414,767 | ||||||||
$ | 85,653,185 | |||||||||
Government National Mortgage Association: | ||||||||||
$ | 5,433 | Series 2002-45, Class PG, 6.00%, 3/17/32 | $ | 5,840,848 | ||||||
572 | Series 2005-72, Class E, 12.00%, 11/16/15 | 676,407 | ||||||||
$ | 6,517,255 | |||||||||
Total Collateralized Mortgage Obligations | ||||||||||
(identified cost $140,500,362) | $ | 148,670,485 | ||||||||
Commercial Mortgage-Backed | ||||||||||
Securities — 4.0% | ||||||||||
Principal | ||||||||||
Amount | ||||||||||
(000’s omitted) | Security | Value | ||||||||
$ | 179 | BSCMS, Series 2000-WF1, Class A2, 7.78%, 2/15/32 | $ | 179,223 | ||||||
3,500 | BSCMS, Series 2004-PWR5, Class A3, 4.565%, 7/11/42 | 3,506,274 | ||||||||
10,000 | BSCMS, Series 2004-T16, Class A4, 4.32%, 2/13/46 | 10,009,444 | ||||||||
2,372 | CCMSC, Series 2000-1, Class A2, 7.757%, 4/15/32 | 2,387,891 | ||||||||
3,000 | CGCMT, Series 2004-C1, Class A3, 5.251%, 4/15/40 | 3,021,490 | ||||||||
6,000 | COMM, Series 2004-LB4A, Class A3, 4.405%, 10/15/37 | 6,015,847 | ||||||||
6,100 | COMM, Series 2005-LP5, Class A2, 4.63%, 5/10/43 | 6,124,661 | ||||||||
4,828 | CSFB, Series 2001-CK1, Class A3, 6.38%, 12/18/35 | 4,985,142 | ||||||||
1,339 | CSFB, Series 2004-C3, Class A3, 4.302%, 7/15/36 | 1,338,527 | ||||||||
4,000 | CSFB, Series 2005-C4, Class A2, 5.017%, 8/15/38 | 4,019,631 | ||||||||
648 | GMACC, Series 2002-C2, Class A2, 5.389%, 10/15/38 | 667,979 | ||||||||
2,200 | JPMCC, Series 2004-CBX, Class A4, 4.529%, 1/12/37 | 2,217,852 | ||||||||
2,001 | LBUBS, Series 2004-C2, Class A2, 3.246%, 3/15/29 | 2,004,943 | ||||||||
4,000 | LBUBS, Series 2004-C6, Class A3, 4.547%, 8/15/29 | 3,983,081 | ||||||||
867 | LBUBS, Series 2005-C1, Class A2, 4.31%, 2/15/30 | 869,201 | ||||||||
10,000 | MSC, Series 2004-IQ7, Class A3, 5.35%, 6/15/38 | 10,163,461 | ||||||||
780 | SBM7, Series 2000-C1, Class A2, 7.52%, 2/18/32 | 778,979 |
25
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount | ||||||||||
(000’s omitted) | Security | Value | ||||||||
$ | 4,781 | SBM7, Series 2000-C3, Class A2, 6.592%, 12/18/33 | $ | 4,888,763 | ||||||
3,750 | WBCMT, Series 2004-C14, Class A2, 4.368%, 8/15/41 | 3,751,915 | ||||||||
$ | 70,914,304 | |||||||||
Total Commercial Mortgage-Backed Securities | ||||||||||
(identified cost $59,340,010) | $ | 70,914,304 | ||||||||
Asset-Backed Securities — 0.1% | ||||||||||
Principal | ||||||||||
Amount | ||||||||||
(000’s omitted) | Security | Value | ||||||||
$ | 558 | Alzette European CLO SA, Series 2004-1A, Class E2, 7.273%, 12/15/20(10) | $ | 55,761 | ||||||
696 | Avalon Capital Ltd. 3, Series 1A, Class D, 2.357%, 2/24/19(7)(10) | 444,172 | ||||||||
753 | Babson Ltd., Series 2005-1A, Class C1, 2.234%, 4/15/19(7)(10) | 487,657 | ||||||||
1,000 | Bryant Park CDO Ltd., Series 2005-1A, Class C, 2.334%, 1/15/19(7)(10) | 151,900 | ||||||||
1,000 | Carlyle High Yield Partners, Series 2004-6A, Class C, 2.911%, 8/11/16(7)(10) | 426,200 | ||||||||
871 | Centurion CDO 8 Ltd., Series 2005-8A, Class D, 5.814%, 3/8/17(10) | 514,218 | ||||||||
500 | Centurion CDO 9 Ltd., Series 2005-9A, Class D1, 5.034%, 7/17/19(10) | 235,350 | ||||||||
1,500 | Dryden Leveraged Loan, Series 2004-6A, Class C1, 3.041%, 7/30/16(7)(10) | 89,400 | ||||||||
Total Asset-Backed Securities | ||||||||||
(identified cost $6,867,955) | $ | 2,404,658 | ||||||||
Common Stocks — 0.4% | ||||||||||
Shares | Security | Value | ||||||||
Building and Development — 0.0% | ||||||||||
25,823 | Sanitec Europe Oy B Units(6)(11) | $ | 35,342 | |||||||
25,823 | Sanitec Europe Oy E Units(6)(11) | 0 | ||||||||
615 | United Subcontractors, Inc.(6)(11) | 49,606 | ||||||||
4,575 | WCI Communities, Inc.(11) | 320,281 | ||||||||
$ | 405,229 | |||||||||
Chemicals and Plastics — 0.0% | ||||||||||
243 | Wellman Holdings, Inc.(6)(11) | $ | 87,259 | |||||||
$ | 87,259 | |||||||||
Containers and Glass Products — 0.4% | ||||||||||
142,857 | Anchor Glass Container Corp.(6) | $ | 5,727,137 | |||||||
$ | 5,727,137 | |||||||||
Ecological Services and Equipment — 0.0% | ||||||||||
2,484 | Environmental Systems Products Holdings, Inc.(6)(11)(12) | $ | 34,602 | |||||||
$ | 34,602 | |||||||||
Food Service — 0.0% | ||||||||||
30,225 | Buffets, Inc.(11) | $ | 196,463 | |||||||
$ | 196,463 | |||||||||
Nonferrous Metals / Minerals — 0.0% | ||||||||||
701 | Euramax International, Inc.(6)(11) | $ | 0 | |||||||
$ | 0 | |||||||||
Publishing — 0.0% | ||||||||||
2,290 | Source Interlink Companies, Inc.(6)(11) | $ | 16,488 | |||||||
$ | 16,488 | |||||||||
Total Common Stocks | ||||||||||
(identified cost $6,306,689) | $ | 6,467,178 | ||||||||
Convertible Bonds — 0.1% | ||||||||||
Principal | ||||||||||
Amount | Security | Value | ||||||||
Diversified Media — 0.0% | ||||||||||
$ | 750,000 | Virgin Media, Inc.(7) | $ | 796,875 | ||||||
$ | 796,875 | |||||||||
Electronics / Electrical — 0.1% | ||||||||||
$ | 1,680,000 | Advanced Micro Devices, Inc. | $ | 1,230,600 | ||||||
$ | 1,230,600 | |||||||||
Total Convertible Bonds | ||||||||||
(identified cost $1,736,692) | $ | 2,027,475 | ||||||||
26
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Convertible Preferred Stocks — 0.1% | ||||||||||
Shares | Security | Value | ||||||||
Oil, Gas & Consumable Fuels — 0.1% | ||||||||||
9,691 | Chesapeake Energy Corp. | $ | 736,516 | |||||||
$ | 736,516 | |||||||||
Telecommunications — 0.0% | ||||||||||
4,958 | Crown Castle International Corp. 6.25%(3) | $ | 268,972 | |||||||
$ | 268,972 | |||||||||
Total Convertible Preferred Stocks | ||||||||||
(identified cost $1,176,061) | $ | 1,005,488 | ||||||||
Preferred Stocks — 0.0% | ||||||||||
Shares/Units | Security | Value | ||||||||
Ecological Services and Equipment — 0.0% | ||||||||||
1,138 | Environmental Systems Products Holdings, Inc., Series A(6)(11)(12) | $ | 91,040 | |||||||
$ | 91,040 | |||||||||
Lodging and Casinos — 0.0% | ||||||||||
6,270 | Fontainebleau Resorts LLC(3)(6)(12) | $ | 63 | |||||||
$ | 63 | |||||||||
Total Preferred Stocks | ||||||||||
(identified cost $6,289,915) | $ | 91,103 | ||||||||
Miscellaneous — 0.0% | ||||||||||
Shares | Security | Value | ||||||||
Cable and Satellite Television — 0.0% | ||||||||||
2,496,146 | Adelphia Recovery Trust(11) | $ | 71,764 | |||||||
2,500,000 | Adelphia, Inc., Escrow Certificate(11) | 87,500 | ||||||||
$ | 159,264 | |||||||||
Oil and Gas — 0.0% | ||||||||||
1,170,000 | VeraSun Energy Corp., Escrow Certificate(6)(11) | $ | 0 | |||||||
$ | 0 | |||||||||
Total Miscellaneous | ||||||||||
(identified cost $2,237,499) | $ | 159,264 | ||||||||
Short-Term Investments — 1.2% | ||||||||||
Interest | ||||||||||
(000’s omitted) | Description | Value | ||||||||
$ | 17,358 | Cash Management Portfolio, 0.00% (13) | $ | 17,357,860 | ||||||
3,626 | State Street Bank and Trust Euro Time Deposit, 0.01%, 11/1/09 | 3,625,825 | ||||||||
$ | 20,983,685 | |||||||||
Total Short-Term Investments | ||||||||||
(identified cost $20,983,685) | $ | 20,983,685 | ||||||||
Total Investments — 145.5% | ||||||||||
(identified cost $2,652,131,767 | $ | 2,577,052,304 | ||||||||
Less Unfunded Loan Commitments — (0.1)% | $ | (1,898,926 | ) | |||||||
Net Investments — 145.4% | ||||||||||
(identified cost $2,650,232,841 | $ | 2,575,153,378 | ||||||||
Other Assets, Less Liabilities — (30.4)% | $ | (537,618,995 | ) | |||||||
Auction Preferred Shares Plus Cumulative Unpaid Dividends — (15.0)% | $ | (266,630,628 | ) | |||||||
Net Assets Applicable to Common Shares — 100.0% | $ | 1,770,903,755 | ||||||||
The percentage shown for each investment category in the Portfolio of Investments is based on net assets applicable to common shares.
BSCMS - Bear Stearns Commercial Mortgage Securities, Inc.
CCMSC - Chase Commercial Mortgage Securities Corp.
CGCMT - Citigroup Commercial Mortgage Trust
COMM - Commercial Mortgage Pass-Through Certificate
CSFB - Credit Suisse First Boston Mortgage Securities Corp.
DIP - Debtor in Possession
GMACC - GMAC Commercial Mortgage Securities, Inc.
JPMCC - JPMorgan Chase Commercial Mortgage Securities Corp.
27
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
LBUBS - LB-UBS Commercial Mortgage Trust
MSC - Morgan Stanley Capital I
MTN - Medium-Term Note
SBM7 - Salomon Brothers Mortgage Securities VII, Inc.
WBCMT - Wachovia Bank Commercial Mortgage Trust
EUR - Euro
GBP - British Pound Sterling
* | In U.S. dollars unless otherwise indicated. | |
(1) | Senior floating-rate interests (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 have an expected average life of approximately two to four years. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility and includes commitment fees on unfunded loan commitments, if any. Senior Loans typically have rates of interest which are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. 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”) and the certificate of deposit (“CD”) rate or other base leading rates used by commercial lenders. | |
(2) | Currently the issuer is in default with respect to interest payments. | |
(3) | Represents a payment-in-kind security which may pay all or a portion of interest/dividends in additional par/shares. | |
(4) | Unfunded or partially unfunded loan commitments. See Note 1G for description. | |
(5) | Defaulted matured security. | |
(6) | Security valued at fair value using methods determined in good faith by or at the direction of the Trustees. | |
(7) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2009, the aggregate value of these securities is $257,544,628 or 14.5% of the Fund’s net assets. | |
(8) | Adjustable rate mortgage. | |
(9) | Weighted average fixed-rate coupon that changes/updates monthly. | |
(10) | Variable rate security. The stated interest rate represents the rate in effect at October 31, 2009. | |
(11) | Non-income producing security. | |
(12) | Restricted security (see Note 8). |
(13) | 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 October 31, 2009. | |
(14) | Security (or a portion thereof) has been pledged to cover collateral requirement on open financial contracts. |
28
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
FINANCIAL STATEMENTS (Unaudited)
Statement of Assets and Liabilities
As of October 31, 2009 | ||||||
Assets | ||||||
Unaffiliated investments, at value (identified cost, $2,632,874,981) | $ | 2,557,795,518 | ||||
Affiliated investment, at value (identified cost, $17,357,860) | 17,357,860 | |||||
Cash | 1,105,399 | |||||
Foreign currency, at value (identified cost, $196,256) | 195,853 | |||||
Interest and dividends receivable | 29,579,812 | |||||
Receivable for investments sold | 19,492,126 | |||||
Receivable for open forward foreign currency exchange contracts | 106,395 | |||||
Other assets | 6,786 | |||||
Prepaid expenses | 7,147,680 | |||||
Total assets | $ | 2,632,787,429 | ||||
Liabilities | ||||||
Notes payable | $ | 585,200,000 | ||||
Payable for investments purchased | 7,482,146 | |||||
Payable for open forward foreign currency exchange contracts | 59,878 | |||||
Payable to affiliates: | ||||||
Investment adviser fee | 1,301,901 | |||||
Trustees’ fees | 4,208 | |||||
Accrued expenses | 1,204,913 | |||||
Total liabilities | $ | 595,253,046 | ||||
Auction preferred shares (10,665 shares outstanding) at liquidation value plus cumulative unpaid dividends | $ | 266,630,628 | ||||
Net assets applicable to common shares | $ | 1,770,903,755 | ||||
Sources of Net Assets | ||||||
Common shares, $0.01 par value, unlimited number of shares authorized, 112,462,747 shares issued and outstanding | $ | 1,124,627 | ||||
Additional paid-in capital | 2,179,585,206 | |||||
Accumulated net realized loss | (326,595,515 | ) | ||||
Accumulated distributions in excess of net investment income | (8,396,045 | ) | ||||
Net unrealized depreciation | (74,814,518 | ) | ||||
Net assets applicable to common shares | $ | 1,770,903,755 | ||||
Net Asset Value Per Common Share | ||||||
($1,770,903,755 ¸ 112,462,747 common shares issued and outstanding) | $ | 15.75 | ||||
For the Six Months Ended | ||||||
October 31, 2009 | ||||||
Investment Income | ||||||
Interest | $ | 84,207,244 | ||||
Dividends | 29,552 | |||||
Interest allocated from affiliated investment | 38,432 | |||||
Expenses allocated from affiliated investment | (37,203 | ) | ||||
Total investment income | $ | 84,238,025 | ||||
Expenses | ||||||
Investment adviser fee | $ | 9,603,040 | ||||
Trustees’ fees and expenses | 24,954 | |||||
Custodian fee | 213,842 | |||||
Transfer and dividend disbursing agent fees | 10,178 | |||||
Legal and accounting services | 178,770 | |||||
Printing and postage | 30,704 | |||||
Interest expense and fees | 10,253,615 | |||||
Preferred shares service fee | 199,625 | |||||
Miscellaneous | 91,871 | |||||
Total expenses | $ | 20,606,599 | ||||
Deduct — | ||||||
Reduction of investment adviser fee | $ | 2,260,311 | ||||
Reduction of custodian fee | 92 | |||||
Total expense reductions | $ | 2,260,403 | ||||
Net expenses | $ | 18,346,196 | ||||
Net investment income | $ | 65,891,829 | ||||
Realized and Unrealized Gain (Loss) | ||||||
Net realized gain (loss) — | ||||||
Investment transactions | $ | (13,901,605 | ) | |||
Foreign currency and forward foreign currency exchange contract transactions | (9,409,816 | ) | ||||
Net realized loss | $ | (23,311,421 | ) | |||
Change in unrealized appreciation (depreciation) — | ||||||
Investments | $ | 343,390,738 | ||||
Foreign currency and forward foreign currency exchange contracts | 1,519,612 | |||||
Net change in unrealized appreciation (depreciation) | $ | 344,910,350 | ||||
Net realized and unrealized gain | $ | 321,598,929 | ||||
Distributions to preferred shareholders | ||||||
From net investment income | $ | (466,414 | ) | |||
Net increase in net assets from operations | $ | 387,024,344 | ||||
29
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
FINANCIAL STATEMENTS CONT’D
Statements of Changes in Net Assets
Six Months Ended | ||||||||||
Increase (Decrease) | October 31, 2009 | Year Ended | ||||||||
in Net Assets | (Unaudited) | April 30, 2009 | ||||||||
From operations — | ||||||||||
Net investment income | $ | 65,891,829 | $ | 151,554,544 | ||||||
Net realized loss from investment transactions, swap contracts, foreign currency and forward foreign currency exchange contract transactions | (23,311,421 | ) | (75,728,790 | ) | ||||||
Net change in unrealized appreciation (depreciation) from investments, swap contracts, foreign currency and forward foreign currency exchange contracts | 344,910,350 | (294,685,212 | ) | |||||||
Distributions to preferred shareholders — | ||||||||||
From net investment income | (466,414 | ) | (6,516,518 | ) | ||||||
Net increase (decrease) in net assets from operations | $ | 387,024,344 | $ | (225,375,976 | ) | |||||
Distributions to common shareholders — | ||||||||||
From net investment income | $ | (73,084,017 | ) | $ | (151,416,269 | ) | ||||
Tax return of capital | — | (2,635,199 | ) | |||||||
Total distributions to common shareholders | $ | (73,084,017 | ) | $ | (154,051,468 | ) | ||||
Net increase (decrease) in net assets | $ | 313,940,327 | $ | (379,427,444 | ) | |||||
Net Assets Applicable to Common Shares | ||||||||||
At beginning of period | $ | 1,456,963,428 | $ | 1,836,390,872 | ||||||
At end of period | $ | 1,770,903,755 | $ | 1,456,963,428 | ||||||
Accumulated distributions in excess of net investment income included in net assets applicable to common shares | ||||||||||
At end of period | $ | (8,396,045 | ) | $ | (737,443 | ) | ||||
Six Months Ended | ||||||
Cash Flows From | October 31, 2009 | |||||
Operating Activities | (Unaudited) | |||||
Net increase in net assets from operations | $ | 387,024,344 | ||||
Distributions to preferred shareholders | 466,414 | |||||
Net increase in net assets from operations excluding distributions to preferred shareholders | $ | 387,490,758 | ||||
Adjustments to reconcile net increase in net assets from operations | ||||||
to net cash provided by (used in) operating activities: | ||||||
Investments purchased | (485,590,532 | ) | ||||
Investments sold and principal repayments | 557,669,779 | |||||
Increase in short-term investments, net | (9,406,556 | ) | ||||
Net amortization/accretion of premium (discount) | 837,348 | |||||
Amortization of structuring and renewal fees on notes payable | 3,434,197 | |||||
Decrease in interest and dividends receivable | 548,102 | |||||
Decrease in interest receivable from affiliated investment | 1,407 | |||||
Increase in receivable for investments sold | (6,159,434 | ) | ||||
Increase in receivable for open forward foreign currency exchange contracts | (106,395 | ) | ||||
Increase in other assets | (3,844 | ) | ||||
Decrease in prepaid expenses | 21,489 | |||||
Decrease in payable for investments purchased | (12,541,321 | ) | ||||
Decrease in payable for open forward foreign currency exchange contracts | (924,114 | ) | ||||
Increase in payable to affiliate for investment adviser fee | 334,557 | |||||
Decrease in payable to affiliate for Trustees’ fees | (296 | ) | ||||
Decrease in accrued expenses | (514,881 | ) | ||||
Decrease in unfunded loan commitments | (492,034 | ) | ||||
Net change in unrealized (appreciation) depreciation on investments | (343,390,738 | ) | ||||
Net realized (gain) loss on investments | 13,901,605 | |||||
Net cash provided by operating activities | $ | 105,109,097 | ||||
Cash Flows From Financing Activities | ||||||
Distributions paid to common shareholders, net of reinvestments | $ | (73,084,017 | ) | |||
Cash distributions paid to preferred shareholders | (469,338 | ) | ||||
Proceeds from notes payable | 132,000,000 | |||||
Repayment of notes payable | (166,000,000 | ) | ||||
Net cash used in financing activities | $ | (107,553,355 | ) | |||
Net decrease in cash* | $ | (2,444,258 | ) | |||
Cash at beginning of period(1) | $ | 3,745,510 | ||||
Cash at end of period(1) | $ | 1,301,252 | ||||
Supplemental disclosure of cash flow information | ||||||
Cash paid for interest and fees on borrowing | $ | 9,576,514 | ||||
(1) Balance includes foreign currency, at value.
* | Includes net change in unrealized appreciation (depreciation) on foreign currency of $17,964. |
30
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
FINANCIAL STATEMENTS CONT’D
Financial Highlights
Selected data for a common share outstanding during the periods stated
Six Months Ended | Year Ended April 30, | |||||||||||||||||||||||||
October 31, 2009 | ||||||||||||||||||||||||||
(Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||||||||
Net asset value — Beginning of period (Common shares) | $ | 12.960 | $ | 16.330 | $ | 18.320 | $ | 18.210 | $ | 18.430 | $ | 19.070 | ||||||||||||||
Income (Loss) From Operations | ||||||||||||||||||||||||||
Net investment income(1)(2) | $ | 0.586 | $ | 1.348 | $ | 1.700 | $ | 1.701 | $ | 1.512 | $ | 1.373 | ||||||||||||||
Net realized and unrealized gain (loss)(2) | 2.858 | (3.290 | ) | (1.817 | ) | 0.281 | 0.048 | (0.254 | ) | |||||||||||||||||
Distributions to preferred shareholders | ||||||||||||||||||||||||||
From net investment income(1) | (0.004 | ) | (0.058 | ) | (0.360 | ) | (0.359 | ) | (0.267 | ) | (0.153 | ) | ||||||||||||||
Total income (loss) from operations | $ | 3.440 | $ | (2.000 | ) | $ | (0.477 | ) | $ | 1.623 | $ | 1.293 | $ | 0.966 | ||||||||||||
Less Distributions to Common Shareholders | ||||||||||||||||||||||||||
From net investment income | $ | (0.650 | ) | $ | (1.347 | ) | $ | (1.513 | ) | $ | (1.513 | ) | $ | (1.513 | ) | $ | (1.606 | ) | ||||||||
Tax return of capital | — | (0.023 | ) | — | — | — | — | |||||||||||||||||||
Total distributions to common shareholders | $ | (0.650 | ) | $ | (1.370 | ) | $ | (1.513 | ) | $ | (1.513 | ) | $ | (1.513 | ) | $ | (1.606 | ) | ||||||||
Net asset value — End of period (Common shares) | $ | 15.750 | $ | 12.960 | $ | 16.330 | $ | 18.320 | $ | 18.210 | $ | 18.430 | ||||||||||||||
Market value — End of period (Common shares) | $ | 13.890 | $ | 11.580 | $ | 15.300 | $ | 18.700 | $ | 17.090 | $ | 17.690 | ||||||||||||||
Total Investment Return on Net Asset Value(3) | 27.48 | %(4) | (10.71 | )% | (1.99 | )% | 9.42 | % | 7.72 | % | 5.29 | % | ||||||||||||||
Total Investment Return on Market Value(3) | 25.81 | %(4) | (14.85 | )% | (10.04 | )% | 19.01 | % | 5.32 | % | 8.22 | % | ||||||||||||||
31
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
FINANCIAL STATEMENTS (Unaudited) CONT’D
Financial Highlights
Selected data for a common share outstanding during the periods stated
Six Months Ended | Year Ended April 30, | |||||||||||||||||||||||||
October 31, 2009 | ||||||||||||||||||||||||||
(Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Net assets applicable to common shares, end of period (000’s omitted) | $ | 1,770,904 | $ | 1,456,963 | $ | 1,836,391 | $ | 2,056,843 | $ | 2,035,747 | $ | 2,060,484 | ||||||||||||||
Ratios (as a percentage of average daily net assets applicable to common shares):(5) | ||||||||||||||||||||||||||
Expenses excluding interest and fees(6) | 0.98 | %(7) | 1.09 | % | 1.07 | % | 1.02 | % | 1.00 | % | 1.01 | % | ||||||||||||||
Interest and fee expense(8) | 1.24 | %(7) | 1.37 | % | — | — | — | — | ||||||||||||||||||
Total expenses | 2.22 | %(7) | 2.46 | % | 1.07 | % | 1.02 | % | 1.00 | % | 1.01 | % | ||||||||||||||
Net investment income | 7.96 | %(7) | 9.91 | % | 9.89 | % | 9.39 | % | 8.27 | % | 7.29 | % | ||||||||||||||
Portfolio Turnover | 19 | % | 27 | % | 39 | % | 49 | % | 53 | % | 60 | % | ||||||||||||||
The ratios reported above are based on net assets applicable solely to common shares. The ratios based on net assets, including amounts related to preferred shares and borrowings, are as follows: | ||||||||||||||||||||||||||
Ratios (as a percentage of average daily net assets applicable to common shares plus preferred shares and borrowings):(5) | ||||||||||||||||||||||||||
Expenses excluding interest and fees(6) | 0.63 | %(7) | 0.71 | % | 0.76 | % | 0.73 | % | 0.72 | % | 0.71 | % | ||||||||||||||
Interest and fee expense(8) | 0.80 | %(7) | 0.90 | % | — | — | — | — | ||||||||||||||||||
Total expenses | 1.43 | %(7) | 1.61 | % | 0.76 | % | 0.73 | % | 0.72 | % | 0.71 | % | ||||||||||||||
Net investment income | 5.12 | %(7) | 6.48 | % | 7.00 | % | 6.73 | % | 5.94 | % | 5.16 | % | ||||||||||||||
Senior Securities: | ||||||||||||||||||||||||||
Total notes payable outstanding (in 000’s) | $ | 585,200 | $ | 619,200 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Asset coverage per $1,000 of notes payable(9) | $ | 4,482 | $ | 3,784 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Total preferred shares outstanding | 10,665 | 10,665 | 32,000 | 32,000 | 32,000 | 32,000 | ||||||||||||||||||||
Asset coverage per preferred share | $ | 76,973 | (10) | $ | 66,119 | (10) | $ | 82,395 | (11) | $ | 89,289 | (11) | $ | 88,630 | (11) | $ | 89,395 | (11) | ||||||||
Involuntary liquidation preference per preferred share(12) | $ | 25,000 | $ | 25,000 | $ | 25,000 | $ | 25,000 | $ | 25,000 | $ | 25,000 | ||||||||||||||
Approximate market value per preferred share(12) | $ | 25,000 | $ | 25,000 | $ | 25,000 | $ | 25,000 | $ | 25,000 | $ | 25,000 | ||||||||||||||
(1) | Computed using average common shares outstanding. | |
(2) | For federal income tax purposes, net investment income per share was $0.676, $1.395, $1.787, $1.899, $1.807, and $1.699, respectively, and net realized and unrealized gain (loss) per share was $2.768, $(3.337), $(1.904), $0.080, $(0.247) and $(0.580) for the six months ended October 31, 2009, and the years ended April 30, 2009, 2008, 2007, 2006 and 2005, respectively. Computed using average common shares outstanding. | |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value or market value with all distributions reinvested. | |
(4) | Not annualized. | |
(5) | Ratios do not reflect the effect of dividend payments to preferred shareholders. | |
(6) | Excludes the effect of custody fee credits, if any, of less than 0.005%. | |
(7) | Annualized. | |
(8) | Interest and fee expense relates to the notes payable incurred to partially redeem the Fund’s APS (see Note 10). | |
(9) | Calculated by subtracting the Fund’s total liabilities (not including the notes payable and preferred shares) from the Fund’s total assets, and dividing the result by the notes payable balance in thousands. | |
(10) | Calculated by subtracting the Fund’s total liabilities (not including the notes payable and preferred shares) from the Fund’s total assets, dividing the result by the sum of the value of the notes payables and liquidation value of the preferred shares, and multiplying the result by the liquidation value of one preferred share. Such amount equates to 308% and 264% at October 31, 2009 and April 30, 2009, respectively. | |
(11) | Calculated by subtracting the Fund’s total liabilities (not including the preferred shares) from the Fund’s total assets, and dividing this result by the number of preferred shares outstanding. | |
(12) | Plus accumulated and unpaid dividends. |
32
Table of Contents
Eaton Vance Limited Duration Income Fund as of October 31, 2009
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1 Significant Accounting Policies
Eaton Vance Limited Duration Income Fund (the Fund) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a diversified, closed-end management investment company. The Fund’s primary investment objective is to provide a high level of current income. The Fund may, as a secondary objective, also seek capital appreciation to the extent it is consistent with its primary objective.
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. A source of authoritative accounting principles applied in the preparation of the Fund’s financial statements is the Financial Accounting Standards Board (FASB) Accounting Standards Codification (the Codification), which superseded existing non-Securities and Exchange Commission accounting and reporting standards for interim and annual reporting periods ending after September 15, 2009. The adoption of the Codification for the current reporting period did not impact the Fund’s application of generally accepted accounting principles.
A Investment Valuation — 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 Fund 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 Fund. 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 Fund. 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 are valued in the same manner as Senior Loans.
Debt obligations (including short-term obligations with a remaining maturity of more than sixty days and excluding most seasoned mortgage-backed securities) will normally be valued on the basis of quotations provided by third party pricing services. The pricing services will use various techniques that consider factors including, but not limited to, reported trades or dealer quotations, prices or yields of securities with similar characteristics, benchmark yields, broker/dealer quotes, issuer spreads, as well as industry and economic events. Most seasoned, fixed rate 30-year mortgage-backed securities are valued through the use of the investment adviser’s matrix pricing system, which takes into account bond prices, yield differentials, anticipated prepayments and interest rates provided by dealers. Short-term debt securities with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates market value. Equity securities (including common shares of closed-end investment companies) listed on a U.S. securities exchange generally are valued at the last sale 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 will use 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. 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
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periods and the Fund’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. Credit default swaps are normally valued using valuations provided by a third party pricing service. The pricing services employ electronic data processing techniques to determine the present value based on credit spread quotations obtained from broker/dealers and expected default recovery rates determined by the pricing service using proprietary models. 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. 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 in a manner that most fairly reflects the security’s value, or the amount that the Fund 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 all 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.
The Fund may invest in Cash Management Portfolio (Cash Management), an affiliated investment company managed by Boston Management and Research (BMR), a subsidiary of Eaton Vance Management (EVM). Cash Management generally values its investment securities utilizing the amortized cost valuation technique permitted by Rule 2a-7 of the 1940 Act, pursuant to which Cash Management must comply with certain conditions. This technique involves initially valuing a portfolio security at its cost and thereafter assuming a constant amortization to maturity of any discount or premium. If amortized cost is determined not to approximate fair value, Cash Management may value its investment securities in the same manner as debt obligations described above.
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.
D 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.
At April 30, 2009, the Fund, for federal income tax purposes, had a capital loss carryforward of $249,771,902 which will 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 will 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. Such capital loss carryforward will expire on April 30, 2012 ($26,481,368), April 30, 2013 ($40,885,552), April 30, 2014 ($28,843,098), April 30, 2015 ($18,093,992), April 30, 2016 ($7,967,857) and April 30, 2017 ($127,500,035).
Additionally, at April 30, 2009, the Fund had a net capital loss of $29,217,388 attributable to security transactions incurred after October 31, 2008. This net capital loss is treated as arising on the first day of the Fund’s taxable year ending April 30, 2010.
As of October 31, 2009, the Fund had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. Each of the Fund’s federal tax returns filed in the 3-year period ended April 30, 2009 remains subject to examination by the Internal Revenue Service.
E Expense Reduction — State Street Bank and Trust Company (SSBT) serves as custodian of the Fund. Pursuant to the custodian agreement, SSBT receives a fee reduced by credits, which are determined based on the average daily cash balance the Fund maintains with SSBT. All credit balances, if any, used to reduce the Fund’s custodian fees are reported as a reduction of expenses in the Statement of Operations.
F Foreign Currency Translation — Investment valuations, other assets, and liabilities initially expressed in foreign currencies are translated each business day into
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U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates in effect on the respective dates of such transactions. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
G Unfunded Loan Commitments — The Fund may enter into certain credit agreements all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. The commitments are disclosed in the accompanying Portfolio of Investments.
H Use of Estimates — The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America 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.
I Indemnifications — Under the Fund’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, and shareholders are indemnified against personal liability for the obligations of the Fund. 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.
J Forward Foreign Currency Exchange Contracts — The Fund 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 Fund may enter into forward contracts for hedging purposes as well as non-hedging purposes. 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 or offset by another contract with the same broker for the same settlement date and currency. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from movements in the value of a foreign currency relative to the U.S. dollar.
K Credit Default Swaps — The Fund may enter into credit default swap contacts to manage its credit risk, to gain exposure to a credit in which the Fund may otherwise invest, or to enhance return. When the Fund is the buyer of a credit default swap contract, the Fund is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation (or basket of debt obligations) from the counterparty 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 Fund 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 Fund would have spent the stream of payments and received no benefits from the contract. When the Fund 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 Fund is the seller of protection and a credit event occurs, the maximum potential amount of future payments that the Fund 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 Fund for the same referenced obligation. As the seller, the Fund effectively adds leverage to its portfolio because, in addition to its total net assets, the Fund 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 Fund also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. Upfront payments or receipts, if any, are recorded as other assets or other liabilities, respectively, and amortized over the life of the swap contract as realized gains or losses. The Fund 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 Fund segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of
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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.
L Statement of Cash Flows — The cash amount shown in the Statement of Cash Flows of the Fund is the amount included in the Fund’s Statement of Assets and Liabilities and represents the cash on hand at its custodian and does not include any short-term investments.
M Interim Financial Statements — The interim financial statements relating to October 31, 2009 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 Auction Preferred Shares
The Fund issued Auction Preferred Shares (APS) on July 25, 2003 in a public offering. The underwriting discount and other offering costs incurred in connection with the offering were recorded as a reduction of the paid-in capital of the common shares. Dividends on the APS, which accrue daily, are cumulative at rates which are reset weekly for Series A, Series B, Series C and Series D APS, and approximately monthly for Series E by an auction, unless a special dividend period has been set. Series of APS are identical in all respects except for the reset dates of the dividend rates. If the APS auctions do not successfully clear, the dividend payment rate over the next period for the APS holders is set at a specified maximum applicable rate until such time as the APS auctions are successful. Auctions have not cleared since February 13, 2008 and the rate since that date has been the maximum applicable rate (see Note 3). The maximum applicable rate on the APS is 150% of the “AA” Financial Composite Commercial Paper Rate at the date of the auction.
The number of APS issued and outstanding as of October 31, 2009 is as follows:
APS Issued and Outstanding | ||||||
Series A | 2,133 | |||||
Series B | 2,133 | |||||
Series C | 2,133 | |||||
Series D | 2,133 | |||||
Series E | 2,133 |
The APS are redeemable at the option of the Fund at a redemption price equal to $25,000 per share, plus accumulated and unpaid dividends, on any dividend payment date. The APS are also subject to mandatory redemption at a redemption price equal to $25,000 per share, plus accumulated and unpaid dividends, if the Fund is in default for an extended period on its asset maintenance requirements with respect to the APS. If the dividends on the APS remain unpaid in an amount equal to two full years’ dividends, the holders of the APS as a class have the right to elect a majority of the Board of Trustees. In general, the holders of the APS and the common shares have equal voting rights of one vote per share, except that the holders of the APS, as a separate class, have the right to elect at least two members of the Board of Trustees. The APS have a liquidation preference of $25,000 per share, plus accumulated and unpaid dividends. The Fund is required to maintain certain asset coverage with respect to the APS as defined in the Fund’s By-Laws and the 1940 Act. The Fund pays an annual fee up to 0.15% of the liquidation value of the APS to broker-dealers as a service fee if the auctions are unsuccessful; otherwise, the annual fee is 0.25%.
3 Distributions to Shareholders
The Fund intends to make monthly distributions of net investment income to common shareholders, after payment of any dividends on any outstanding APS. In addition, at least annually, the Fund intends to distribute all or substantially all of its net realized capital gains, (reduced by available capital loss carryforwards from prior years, if any). Distributions to common shareholders are recorded on the ex-dividend date. Distributions to preferred shareholders are recorded daily and are payable at the end of each dividend period. The dividend rates for the APS at October 31, 2009, and the amount of dividends paid (including capital gains, if any) to APS shareholders, average APS dividend rates (annualized), and dividend rate ranges for the six months then ended were as follows:
APS | Dividends | Average APS | Dividends | |||||||||||||||
Dividend Rates at | Paid to APS | Dividend | Rate | |||||||||||||||
October 31, 2009 | Shareholders | Rates | Ranges | |||||||||||||||
Series A | 0.24% | $ | 95,403 | 0.35% | 0.24%–0.77% | |||||||||||||
Series B | 0.24% | $ | 91,270 | 0.34% | 0.23%–0.45% | |||||||||||||
Series C | 0.24% | $ | 96,045 | 0.36% | 0.24%–0.50% | |||||||||||||
Series D | 0.26% | $ | 91,184 | 0.34% | 0.20%–0.47% | |||||||||||||
Series E | 0.24% | $ | 92,512 | 0.34% | 0.24%–0.45% | |||||||||||||
Beginning February 13, 2008 and consistent with the patterns in the broader market for auction-rate securities, the Fund’s APS auctions were unsuccessful in clearing due to an imbalance of sell orders over bids to buy the APS. As a result, the dividend rates of the APS were reset to the maximum applicable rate. The table above reflects such maximum dividend rate for each series as of October 31, 2009.
The Fund distinguishes between distributions on a tax basis and a financial reporting basis. Accounting principles generally accepted in the United States of America require that only distributions in excess of tax basis earnings and
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profits be 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.
4 Investment Adviser Fee and Other Transactions with Affiliates
The investment adviser fee is earned by EVM as compensation for management and investment advisory services rendered to the Fund. The fee is computed at an annual rate of 0.75% of the Fund’s average weekly gross assets and is payable monthly. Gross assets as referred to herein represent net assets plus obligations attributable to investment leverage. The portion of the investment adviser fee payable by Cash Management on the Fund’s investment of cash therein is credited against the Fund’s investment adviser fee. For the six months ended October 31, 2009, the Fund’s investment adviser fee totaled $9,637,849 of which $34,809 was allocated from Cash Management and $9,603,040 was paid or accrued directly by the Fund. EVM also serves as administrator of the Fund, but receives no compensation.
In addition, EVM has contractually agreed to reimburse the Fund for fees and other expenses at an annual rate of 0.20% of the Fund’s average weekly gross assets during the first five full years of the Fund’s operations, 0.15% of the Fund’s average weekly gross assets in year six, 0.10% in year seven and 0.05% in year eight. The Fund concluded its first six full years of operations on May 30, 2009. Pursuant to this agreement, EVM waived $1,379,879 of its investment adviser fee for the six months ended October 31, 2009.
EVM has further agreed to waive its investment adviser fee to the extent that the cost of the committed financing to partially redeem the APS is greater than the dividends and preferred shares service fee that would have been incurred had the APS not been redeemed, hereafter referred to as “incremental cost”. Such waiver is calculated as the lesser of 50% of the Fund’s investment adviser fee on assets attributable to the committed financing or the incremental cost and will remain in effect until October 31, 2009. Pursuant to this agreement, EVM waived $880,432 of its investment adviser fee for the six months ended October 31, 2009.
Except for Trustees of the Fund who are not members of EVM’s organization, officers and Trustees receive remuneration for their services to the Fund out of the investment adviser fee. Trustees of the Fund 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 October 31, 2009, no significant amounts have been deferred. Certain officers and Trustees of the Fund are officers of EVM.
5 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, for the six months ended October 31, 2009 were as follows:
Purchases | ||||||
Investments (non-U.S. Government) | $ | 468,905,462 | ||||
U.S. Government and Agency Securities | 16,685,070 | |||||
$ | 485,590,532 | |||||
Sales | ||||||
Investments (non-U.S. Government) | $ | 446,526,946 | ||||
U.S. Government and Agency Securities | 111,142,833 | |||||
$ | 557,669,779 | |||||
6 Common Shares of Beneficial Interest
The Fund may issue common shares pursuant to its dividend reinvestment plan. There were no transactions in common shares for the six months ended October 31, 2009 and the year ended April 30, 2009.
7 Federal Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) of investments of the Fund at October 31, 2009, as determined on a federal income tax basis, were as follows:
Aggregate cost | $ | 2,675,286,392 | ||||
Gross unrealized appreciation | $ | 92,373,551 | ||||
Gross unrealized depreciation | (196,132,390 | ) | ||||
Net unrealized depreciation | $ | (103,758,839 | ) | |||
8 Restricted Securities
At October 31, 2009, the Fund owned the following securities (representing less than 0.1% of net assets applicable to common shares) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Fund has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.
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Date of | ||||||||||||||||||
Description | Acquisition | Shares/Units | Cost | Value | ||||||||||||||
Common Stocks | ||||||||||||||||||
Environmental Systems Products Holdings, Inc. | 10/25/07 | 2,484 | $ | 0 | (1) | $ | 34,602 | |||||||||||
Preferred Stocks | ||||||||||||||||||
Environmental Systems Products Holdings, Inc., Series A | 10/25/07 | 1,138 | $ | 19,915 | $ | 91,040 | ||||||||||||
Fontainebleau Resorts LLC | 6/1/07 | 6,270 | 6,270,000 | 63 | ||||||||||||||
Total Preferred Stocks | $ | 6,289,915 | $ | 91,103 | ||||||||||||||
Total Restricted Securities | $ | 6,289,915 | $ | 125,705 | ||||||||||||||
(1) | Less than $0.50. |
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 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 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 October 31, 2009 is as follows:
Forward Foreign Currency Exchange Contracts | ||||||||||
Sales | ||||||||||
Net Unrealized | ||||||||||
Appreciation | ||||||||||
Settlement Date | Deliver | In Exchange For | (Depreciation) | |||||||
11/30/09 | British Pound Sterling 15,877,759 | United States Dollar 25,994,908 | $ | (59,878 | ) | |||||
11/30/09 | Euro 46,075,570 | United States Dollar 67,909,400 | 106,395 | |||||||
$ | 46,517 | |||||||||
At October 31, 2009, the Fund had sufficient cash and/or securities to cover commitments under these contracts.
The Fund adopted FASB Statement of Financial Accounting Standards No. 161 (FAS 161), “Disclosures about Derivative Instruments and Hedging Activities”, (currently FASB Accounting Standards Codification (ASC) 815-10), effective May 1, 2009. Such standard requires enhanced disclosures about an entity’s derivative and hedging activities, including qualitative disclosures about the objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments, and disclosures about credit-risk related contingent features in derivative instruments. The disclosure below includes additional information as a result of implementing FAS 161.
The Fund is subject to foreign exchange risk in the normal course of pursuing its investment objectives. Because the Fund 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 Fund may enter into forward foreign currency exchange contracts. The Fund may also enter into such contracts to hedge currency risk of investments it anticipates purchasing.
The forward foreign currency exchange contracts in which the Fund invests are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. At October 31, 2009, the maximum amount of loss the Fund would incur due to counterparty risk was $106,395, representing the fair value of such derivatives in an asset position.
The fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is foreign exchange risk at October 31, 2009 was as follows:
Fair Value | ||||||||||
Derivative | Asset Derivatives | Liability Derivatives | ||||||||
Forward foreign currency exchange contracts | $ | 106,395(1 | ) | $ | (59,878 | )(2) |
(1) | Statement of Assets and Liabilities location: Receivable for open forward foreign currency exchange contracts and Net unrealized depreciation. | |
(2) | Statement of Assets and Liabilities location: Payable for open forward foreign currency exchange contracts and Net unrealized depreciation. |
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 October 31, 2009 was as follows:
Change in | ||||||||||
Unrealized | ||||||||||
Realized Gain | Appreciation | |||||||||
(Loss) on | (Depreciation) on | |||||||||
Derivatives | Derivatives | |||||||||
Recognized in | Recognized in | |||||||||
Derivative | Income | Income | ||||||||
Forward foreign currency exchange contracts | $ | (9,779,732 | )(1) | $ | 1,030,509(2 | ) |
(1) | Statement of Operations location: Net realized gain (loss) — Foreign currency and forward foreign currency exchange contract transactions. |
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(2) | Statement of Operations location: Change in unrealized appreciation (depreciation) — Foreign currency and forward foreign currency exchange contracts. |
The average notional amount of forward foreign currency exchange contracts outstanding during the six months ended October 31, 2009, which is indicative of the volume of this derivative type, was approximately $84,651,000.
10 Revolving Credit and Security Agreement
Effective April 11, 2008, the Fund entered into a Revolving Credit and Security Agreement, as amended (the Agreement) with conduit lenders and a bank to borrow up to an initial limit of $715,625,000 for a period of five years, the proceeds of which were primarily used to partially redeem the Fund’s APS. The Agreement provides for a renewable 364-day backstop financing arrangement, which ensures that alternate financing will continue to be available to the Fund should the conduits be unable to place their commercial paper. The Agreement was renewed effective March 31, 2009. Borrowings under the Agreement are secured by the assets of the Fund. Interest is charged at a rate above the conduits’ commercial paper issuance rate and is payable monthly. Under the terms of the Agreement, the Fund pays a monthly program fee of 0.75% per annum on its outstanding borrowings to administer the facility and a monthly liquidity fee of 0.50% per annum (0.75% per annum prior to September 8, 2009) on the borrowing limit under the Agreement. The Fund also paid an initial structuring fee of $7,156,250 which is being amortized to interest expense over a period of five years, and a renewal fee of $5,367,188, which is being amortized to interest expense over a period of one year through March 2010. The unamortized balances at October 31, 2009 are approximately $7,123,300 and are included in prepaid expenses on the Statement of Assets and Liabilities. The Fund is required to maintain certain net asset levels during the term of the Agreement. At October 31, 2009, the Fund had borrowings outstanding under the Agreement of $585,200,000 at an interest rate of 0.28%. The carrying amounts of the borrowings at October 31, 2009 approximated its fair value. For the six months ended October 31, 2009, the average borrowings under the Agreement and the average interest rate were $643,672,826 and 0.55% (annualized), respectively.
11 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 Fund, 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.
12 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) |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At October 31, 2009, the inputs used in valuing the Fund’s investments, which are carried at value, were as follows:
Quoted | ||||||||||||||||||
Prices in | ||||||||||||||||||
Active | Significant | |||||||||||||||||
Markets for | Other | Significant | ||||||||||||||||
Identical | Observable | Unobservable | ||||||||||||||||
Assets | Inputs | Inputs | ||||||||||||||||
Asset Description | (Level 1) | (Level 2) | (Level 3) | Total | ||||||||||||||
Senior Floating-Rate Interests (Less Unfunded Loan Commitments) | $ | — | $ | 864,131,419 | $ | 1,591,448 | $ | 865,722,867 | ||||||||||
Corporate Bonds & Notes | — | 859,311,603 | 210,928 | 859,522,531 | ||||||||||||||
Mortgage Pass-Throughs | — | 597,184,340 | — | 597,184,340 | ||||||||||||||
Collateralized Mortgage Obligations | — | 148,670,485 | — | 148,670,485 |
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Eaton Vance Limited Duration Income Fund as of October 31, 2009
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT’D
Quoted | ||||||||||||||||||
Prices in | ||||||||||||||||||
Active | Significant | |||||||||||||||||
Markets for | Other | Significant | ||||||||||||||||
Identical | Observable | Unobservable | ||||||||||||||||
Assets | Inputs | Inputs | ||||||||||||||||
Asset Description | (Level 1) | (Level 2) | (Level 3) | Total | ||||||||||||||
Commercial Mortgage-Backed Securities | $ | — | $ | 70,914,304 | $ | — | $ | 70,914,304 | ||||||||||
Asset-Backed Securities | — | 2,404,658 | — | 2,404,658 | ||||||||||||||
Common Stocks | — | 516,744 | 5,950,434 | 6,467,178 | ||||||||||||||
Convertible Bonds | — | 2,027,475 | — | 2,027,475 | ||||||||||||||
Convertible Preferred Stocks | 736,516 | 268,972 | — | 1,005,488 | ||||||||||||||
Preferred Stocks | — | — | 91,103 | 91,103 | ||||||||||||||
Miscellaneous | — | 159,264 | 0 | 159,264 | ||||||||||||||
Short-Term Investments | 17,357,860 | 3,625,825 | — | 20,983,685 | ||||||||||||||
Total Investments | $ | 18,094,376 | $ | 2,549,215,089 | $ | 7,843,913 | $ | 2,575,153,378 | ||||||||||
Forward Foreign Currency Exchange Contracts | — | 106,395 | — | 106,395 | ||||||||||||||
Total | $ | 18,094,376 | $ | 2,549,321,484 | $ | 7,843,913 | $ | 2,575,259,773 | ||||||||||
Liability Description | ||||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (59,878 | ) | $ | — | $ | (59,878 | ) | ||||||||
Total | $ | — | $ | (59,878 | ) | $ | — | $ | (59,878 | ) | ||||||||
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Investments in | ||||||||||||||||||||||||||
Investments in | Investments in | Investments in | Preferred | |||||||||||||||||||||||
Senior Floating- | Corporate Bonds | Common | Stocks and | |||||||||||||||||||||||
Rate Interests | & Notes | Stocks | Miscellaneous | Total | ||||||||||||||||||||||
Balance as of April 30, 2009 | $ | 1,217,696 | $ | 191,394 | $ | 5,828,336 | $ | 607,545 | $ | 7,844,971 | ||||||||||||||||
Realized gains (losses) | (1,460,532 | ) | — | (73 | ) | — | (1,460,605 | ) | ||||||||||||||||||
Change in net unrealized appreciation (depreciation)* | 1,704,615 | (2,225,410 | ) | (22,405 | ) | (893,612 | ) | (1,436,812 | ) | |||||||||||||||||
Net purchases (sales) | (363,808 | ) | 2,176,580 | 144,576 | 377,170 | 2,334,518 | ||||||||||||||||||||
Accrued discount (premium) | 493,477 | 8,739 | — | — | 502,216 | |||||||||||||||||||||
Net transfers to (from) Level 3 | — | 59,625 | — | — | 59,625 | |||||||||||||||||||||
Balance as of October 31, 2009 | $ | 1,591,448 | $ | 210,928 | $ | 5,950,434 | $ | 91,103 | $ | 7,843,913 | ||||||||||||||||
Change in net unrealized appreciation(depreciation) on investments still held as of October 31, 2009* | $ | 311,848 | $ | (2,225,410 | ) | $ | (22,405 | ) | $ | (893,612 | ) | $ | (2,829,579 | ) | ||||||||||||
* Amount is included in the related amount on investments in the Statement of Operations.
13 Review for Subsequent Events
In connection with the preparation of the financial statements of the Fund as of and for the six months ended October 31, 2009, events and transactions subsequent to October 31, 2009 through December 22, 2009, the date the financial statements were issued, have been evaluated by the Fund’s management for possible adjustment and/or disclosure. Management has not identified any subsequent events requiring financial statement disclosure as of the date these financial statements were issued.
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Eaton Vance Limited Duration Income Fund
NOTICE TO SHAREHOLDERS
In February 2009, the Fund was authorized to invest in commercial mortgage-backed securities (“CMBS”). The Fund is permitted to invest in CMBS among the other investments in which it may invest in addition to investing at least 25% of its net assets in each of: (i) mortgage-backed securities, and (ii) investments rated below investment grade. The risks associated with CMBS include the effects of local and other economic conditions on real estate markets, the ability of tenants to make loan payments, and the ability of a property to attract and retain tenants. CMBS may be less liquid and exhibit greater price volatility than other types of mortgage- or asset-backed securities.
Beginning December 14, 2009, the Fund may participate in the Term Asset-Backed Loan Facility (“TALF”) program. The TALF is a loan facility administered by the Federal Reserve Bank of New York (the “New York Fed”) in conjunction with the U.S. Treasury Department. The program provides term financing for eligible asset backed securities (“ABS”) and commercial mortgage-backed securities (“CMBS”), which include those backed by student loans, autos (loan, lease, motorcycle and auto dealer floorplan), credit cards (consumer and business), equipment loans, insurance premium finance loans, small business loans and CMBS, with potential expansion to include private-label residential mortgage-backed securities, collateralized loan and debt obligations and other types of assets deemed appropriate by the New York Fed.
TALF-eligible securities currently consist of U.S. dollar-denominated cash, ABS, qualifying CMBS issued after January 1, 2009 (“New Issuance CMBS”) and qualifying CMBS issued before January 1, 2009 (“Legacy CMBS”). ABS and CMBS must conform to several criteria issued by the Federal Reserve Board to be eligible under the TALF program. In order for New Issuance CMBS and Legacy CMBS to qualify for TALF financing, the underlying mortgage loans must also meet certain criteria.
Under TALF, the New York Fed provides non-recourse funding to eligible borrowers through one or more loans (“TALF loans”) via primary dealers or a group of authorized banks (“Primary Dealers”) as agents. Those Primary Dealers facilitate the lending of money to eligible borrowers (pursuant to a Master Loan and Security Agreement (“MLSA”)), including U.S. organized pooled investment vehicles, such as hedge funds, private equity funds and registered investment companies. The loan process for ABS and New Issuance CMBS entails a borrower purchasing the securities and paying up-front a “haircut” amount (in general currently ranging from 5% to 16%) plus an administration fee (in general currently ten basis points for ABS and 20 basis points for CMBS), in exchange for the Primary Dealer depositing the security into an account held at The Bank of New York Mellon, with the balance of the payment coming from the New York Fed. In the case of Legacy CMBS, the loan process entails a borrower purchasing the CMBS for settlement during the eligible period for TALF subscriptions. Thereafter, the borrower submits a request for a TALF loan through the Primary Dealer on the declared subscription date. The New York Fed reviews all Legacy CMBS requests for acceptance or rejection.
The terms and conditions of the Fund’s participation in the TALF program will be governed by the TALF Standing Loan Facility Procedures and the MLSA. The MLSA will also include representations, warranties and covenants of the Fund and the Primary Dealer. The Fund will also be required to enter into Customer Agreements with its Primary Dealers that will contain additional representations, warranties, covenants and indemnities for the benefit of such Primary Dealer. The TALF program is currently scheduled to terminate on March 31, 2010 for ABS and Legacy CMBS and on June 30, 2010 for New Issuance CMBS.
A borrowing by the Fund under the TALF program is subject to similar risks associated with borrowings from banks as described in the Fund’s prospectus. However, pursuant to a recent no-action letter issued by the Staff of the United States Securities and Exchange Commission, in lieu of complying with the 300% asset coverage requirements of Section 18 of the Investment Company Act of 1940, as amended, the Fund need only segregate, on its books or the books of its custodian, liquid assets in an amount equal to the outstanding principal and interest due on the TALF loan. Thus, the combination of this asset segregation requirement and the pledge of TALF-eligible securities ensure that the Fund’s borrowing under the TALF program will, in effect, have asset coverage of at least 200%. Borrowing under the TALF program also may cause the Fund to incur costs, in addition to the interest due, including an administrative fee imposed by the New York Fed and certain other fees that may be charged by the Primary Dealers.
While not anticipated, should the periodic interest and principal payments due on a TALF loan exceed the amounts received on the pledged TALF-eligible security, the Fund may be required to pay such additional amounts from its other portfolio assets which could cause the Fund to sell other securities or investments at times when it might not otherwise choose to do so. In addition, in some instances, the Fund may be deemed to have earned income on the pledged collateral that must be paid out to shareholders under applicable Federal tax regulations without receiving cash sufficient to make such distributions. The Fund has also agreed not to exercise or refrain from exercising any vote, consent or waiver rights under a TALF-eligible security without consent of the New York Fed.
Participation in the TALF program may expose the Fund to, among others, the risks associated with leverage, bridge financing, and non-recourse financing. While the degree of leverage utilized by the Fund will vary depending upon categories of TALF-eligible securities and haircut amounts
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Eaton Vance Limited Duration Income Fund
NOTICE TO SHAREHOLDERS CONT’D
assigned from time to time under the TALF program, all TALF investments will be leveraged significantly, with the effect that fluctuations in the price of the underlying ABS or CMBS could result in high volatility in the value of the net investment and adversely effect the performance of the Fund. The use of leverage has the potential to magnify the gains or the losses on the Fund’s investments. Such risks may be minimized by the non-recourse nature of the TALF loans combined with the limitation on use of TALF-financed investments in the Fund described below.
If the Fund acquires CMBS or ABS in the secondary market it may also be exposed to the risks associated with bridge financing. Given the unique operational aspects of the TALF program, the Fund will be required to provide cash or engage bridge financing for the period between settlement and release of TALF loans by the New York Fed. The Fund may utilize reverse repurchase agreements to provide bridge financing for the purpose of acquiring CMBS believed to be TALF-eligible. The use of financing by the Fund will not exceed the value of cash equivalents available to the Fund to settle its obligation under the reverse repurchase agreement. The Fund is also at risk if the New York Fed chooses to reject, in whole or in part, its request for a TALF loan to finance a specific CMBS CUSIP. In those circumstances, the Fund will bear the risk that such security’s value will decrease, perhaps significantly.
As noted above, the New York Fed as lender generally has limited recourse against the Fund under the terms of each MLSA. Recourse is limited to the collateral securing each TALF loan except in the following circumstances: if the Fund is no longer an eligible borrower, is in breach of certain representations and warranties, fails to reimburse amounts paid to it in error or it fails to exercise its collateral surrender rights at the maturity of a TALF loan and the TALF loan is not repaid in full. In those instances, the New York Fed may seek recourse against the Fund and any guarantor without such recourse being limited to the value of the collateral in respect of the relevant TALF loan. Similar full recourse rights likely will exist for the Primary Dealers under analogous circumstances under the Customer Agreements.
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Eaton Vance Limited Duration Income Fund
BOARD OF TRUSTEES’ ANNUAL APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT
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 continuance 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 Eaton Vance group of mutual funds (the “Eaton Vance Funds”) held on April 27, 2009, the Board, including a majority of the Independent Trustees, voted to approve continuation of existing 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 the Contract Review Committee of the Board (formerly the Special Committee), which is a committee comprised exclusively of Independent Trustees. Prior to making its recommendation, the Contract Review Committee reviewed information furnished for a series of meetings of the Contract Review Committee held in February, March and April 2009. Such information included, among other things, the following:
Information about Fees, Performance and Expenses
• An independent report comparing the advisory and related fees paid by each fund with fees paid by comparable funds;
• | An independent report comparing each fund’s total expense ratio and its components to comparable funds; | |
• | An independent report comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; | |
• | Data regarding investment performance in comparison to relevant peer groups of funds and appropriate indices; | |
• | Comparative information concerning fees charged by each adviser for managing other mutual funds and institutional accounts using investment strategies and techniques similar to those used in managing the fund; | |
• | Profitability analyses for each adviser with respect to each fund; |
Information about Portfolio Management
• | Descriptions of the investment management services provided to each fund, including the investment strategies and processes employed, and any changes in portfolio management processes and personnel; | |
• | Information concerning the allocation of brokerage and the benefits received by each adviser as a result of brokerage allocation, including information concerning the acquisition of research through “soft dollar” benefits received in connection with the funds’ brokerage, and the implementation of a soft dollar reimbursement program established with respect to the funds; | |
• | Data relating to portfolio turnover rates of each fund; | |
• | 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
• | 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 compensation and responsibilities with respect to managing other mutual funds and investment accounts; | |
• | Copies of the Codes of Ethics of each adviser and its affiliates, together with information relating to compliance with and the administration of such codes; | |
• | Copies of or descriptions of each adviser’s proxy voting policies and procedures; | |
• | Information concerning the resources devoted to compliance efforts undertaken by each adviser and its affiliates on behalf of the funds (including descriptions of various compliance programs) and their record of compliance with investment policies and restrictions, including policies with respect to market-timing, late trading and selective portfolio disclosure, and with policies on personal securities transactions; |
• Descriptions of the business continuity and disaster recovery plans of each adviser and its affiliates;
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment management 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 advisory agreement. |
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Eaton Vance Limited Duration Income Fund
BOARD OF TRUSTEES’ ANNUAL APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT CONT’D
In addition to the information identified above, the Contract Review Committee considered information provided from time to time by each adviser throughout the year at meetings of the Board and its committees. Over the course of the twelve-month period ended April 30, 2009, the Board met eighteen 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, five, six, six and six times, respectively. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of each adviser relating to the investment performance of each fund and the investment strategies used in pursuing the fund’s investment objective.
For funds that invest through one or more underlying portfolios, the Board considered similar information about the portfolio(s) when considering the approval of 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, 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 advisory and sub-advisory agreement and the weight to be given to each such factor. The conclusions reached with respect to each 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 advisory and sub-advisory agreement.
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 continuance of the investment advisory agreement between Eaton Vance Limited Duration Income Fund (the “Fund”), and 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 as well as the 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 agreement for the Fund.
Nature, Extent and Quality of Services
In considering whether to approve the investment advisory 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, including recent changes to such personnel. In particular, the Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing factors such as credit risk and special considerations relevant to investing in senior secured floating-rate loans, mortgage-backed securities and high-yield bonds. Specifically, the Board considered the Adviser’s in-house research capabilities as well as other resources available to personnel of the Adviser, including research services. The Board also took into account the resources dedicated to portfolio management and other services, including the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Fund by senior management.
The Board also reviewed 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 personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity and the allocation of investment opportunities. The Board also evaluated the responses of the Adviser and its affiliates to requests 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 family of funds.
The Board considered the Adviser’s recommendations for Board action and other steps taken in response to the unprecedented dislocations experienced in the capital markets over recent periods, including sustained periods of high volatility, credit disruption and government intervention. In particular, the Board considered the Adviser’s efforts and expertise with respect to each of the following
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Eaton Vance Limited Duration Income Fund
BOARD OF TRUSTEES’ ANNUAL APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT CONT’D
matters as they relate to the Fund and/or other funds within the Eaton Vance family of funds: (i) negotiating and maintaining the availability of bank loan facilities and other sources of credit used for investment purposes or to satisfy liquidity needs; (ii) establishing the fair value of securities and other instruments held in investment portfolios during periods of market volatility and issuer-specific disruptions; and (iii) the ongoing monitoring of investment management processes and risk controls. In addition, the Board considered the Adviser’s actions with respect to the Auction Preferred Shares (“APS”) issued by the Fund, including the Adviser’s efforts to seek alternative forms of debt and other leverage that may over time reduce financing costs associated with APS and enable the Fund to restore liquidity for APS holders.
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 agreement.
Fund Performance
The Board compared the Fund’s investment performance to a relevant universe of similarly managed funds identified by an independent data provider and appropriate benchmark indices. The Board reviewed comparative performance data for the one-, three- and five-year periods ended September 30, 2008 for the Fund. The Board concluded that the Fund’s performance was satisfactory.
Management Fees and Expenses
The Board reviewed contractual investment advisory fee rates, including any administrative fee rates, payable by the Fund (referred to as “management fees”). As part of its review, the Board considered the Fund’s management fees and total expense ratio for the year ended September 30, 2008, as compared to a group of similarly managed funds selected by an independent data provider. The Board considered the fact that the Adviser had waived fees and/or paid expenses for the Fund.
After reviewing 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 and the Fund’s total expense ratio are reasonable.
Profitability
The Board reviewed 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 with and without regard to revenue sharing 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 benefits received by the Adviser in connection with its relationship with the Fund.
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 reasonable.
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 the economies of scale with respect to the management of any specific fund or group of funds. The Board also considered the fact that the Fund is not continuously offered and concluded that, in light of the level of the adviser’s profits with respect to the Fund, the implementation of breakpoints in the advisory fee schedule is not appropriate at this time. Based upon the foregoing, the Board concluded that the benefits from economies of scale are currently being shared equitably by the Adviser and its affiliates and the Fund.
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Eaton Vance Limited Duration Income Fund
OFFICERS AND TRUSTEES
Officers Payson F. Swaffield President Christine M. Johnston Vice President Catherine C. McDermott Vice President Scott H. Page Vice President Susan Schiff Vice President Mark S. Venezia Vice President Michael W. Weilheimer Vice President Barbara E. Campbell Treasurer Maureen A. Gemma Secretary and Chief Legal Officer Paul M. O’Neil Chief Compliance Officer | Trustees Ralph F. Verni Chairman Benjamin C. Esty Thomas E. Faust Jr. Allen R. Freedman William H. Park Ronald A. Pearlman Helen Frame Peters Heidi L. Steiger Lynn A. Stout |
Number of Employees
The Fund is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as a diversified, closed-end management investment company and has no employees.
Number of Shareholders
As of October 31, 2009, our records indicate that there are 316 registered shareholders and approximately 92,712 shareholders owning the Fund shares in street name, such as through brokers, banks, and financial intermediaries.
If you are a street name shareholder and wish to receive our reports directly, which contain important information about the Fund, please write or call:
Eaton Vance Distributors, Inc.
Two International Place
Boston, MA 02110
1-800-262-1122
NYSE Amex symbol
The NYSE Amex symbol is EVV.
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Investment Adviser and Administrator of
Eaton Vance Limited Duration Income Fund
Eaton Vance Limited Duration Income Fund
Eaton Vance Management
Two International Place
Boston, MA 02110
State Street Bank and Trust Company
200 Clarendon Street
Boston, MA 02116
American Stock Transfer & Trust Company
59 Maiden Lane
Plaza Level
New York, NY 10038
Two International Place
Boston, MA 02110
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1856-12/09 | CE-LDISRC |
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Item 2. | Code of Ethics |
The registrant has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-262-1122.
Item 3. | Audit Committee Financial Expert |
The registrant’s Board has designated William H. Park, an independent trustee, as its audit committee financial expert. Mr. Park is a certified public accountant who is the Vice Chairman of Commercial Industrial Finance Corp (specialty finance company). Previously, he served as President and Chief Executive Officer of Prizm Capital Management, LLC (investment management firm) and as Executive Vice President and Chief Financial Officer of United Asset Management Corporation (“UAM”) (a holding company owning institutional investment management firms).
Item 4. | Principal Accountant Fees and Services |
Not required in this filing
Item 5. | Audit Committee of Listed registrants |
Not required in this filing.
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 required in this filing.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not required in this filing.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
No such purchases this period.
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.
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(b) There have been no changes in the registrant’s internal controls over financial reporting during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Exhibits |
(a)(1) | Registrant’s Code of Ethics — Not applicable (please see Item 2). | |
(a)(2)(i) | Treasurer’s Section 302 certification. | |
(a)(2)(ii) | President’s Section 302 certification. | |
(b) | Combined Section 906 certification. |
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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 Limited Duration Income Fund | ||||
By: | /s/ Payson F. Swaffield | |||
President | ||||
Date: | December 11, 2009 |
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/ Barbara E. Campbell | |||
Treasurer | ||||
Date: | December 11, 2009 | |||
By: | /s/ Payson F. Swaffield | |||
President | ||||
Date: | December 11, 2009 |