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: 811-22048
Emerging Markets Local Income Portfolio
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number)
October 31
Date of Fiscal Year End
April 30, 2011
Date of Reporting Period
Item 1. Reports to Stockholders
Emerging Markets Local Income Portfolio
April 30, 2011
Consolidated Portfolio of Investments (Unaudited)
Foreign Government Bonds — 68.9% | ||||||||||||
Principal | ||||||||||||
Security | Amount | Value | ||||||||||
Albania — 0.7% | ||||||||||||
Republic of Albania, 7.50%, 11/4/15 | EUR | 3,500,000 | $ | 4,990,921 | ||||||||
Total Albania | $ | 4,990,921 | ||||||||||
Bermuda — 0.1% | ||||||||||||
Government of Bermuda, 5.603%, 7/20/20(1) | USD | 900,000 | $ | 958,408 | ||||||||
Total Bermuda | $ | 958,408 | ||||||||||
Brazil — 4.4% | ||||||||||||
Nota Do Tesouro Nacional, 6.00%, 5/15/15(2) | BRL | 468,142 | $ | 291,565 | ||||||||
Nota Do Tesouro Nacional, 10.00%, 1/1/12 | BRL | 6,142,000 | 3,847,144 | |||||||||
Nota Do Tesouro Nacional, 10.00%, 1/1/13 | BRL | 5,118,000 | 3,127,992 | |||||||||
Nota Do Tesouro Nacional, 10.00%, 1/1/14 | BRL | 20,289,000 | 12,149,928 | |||||||||
Nota Do Tesouro Nacional, 10.00%, 1/1/17 | BRL | 10,405,000 | 5,951,195 | |||||||||
Nota Do Tesouro Nacional, 10.00%, 1/1/21 | BRL | 9,400,000 | 5,157,691 | |||||||||
Republic of Brazil, 10.25%, 1/10/28 | BRL | 620,000 | 423,462 | |||||||||
Total Brazil | $ | 30,948,977 | ||||||||||
Chile — 1.2% | ||||||||||||
Government of Chile, 2.10%, 9/1/15(2) | CLP | 86,823,160 | $ | 185,235 | ||||||||
Government of Chile, 3.00%, 1/1/15(2) | CLP | 759,702,650 | 1,677,286 | |||||||||
Government of Chile, 6.00%, 3/1/17 | CLP | 70,000,000 | 150,330 | |||||||||
Government of Chile, 6.00%, 3/1/18 | CLP | 2,350,000,000 | 5,048,991 | |||||||||
Government of Chile, 6.00%, 1/1/20 | CLP | 465,000,000 | 994,542 | |||||||||
Total Chile | $ | 8,056,384 | ||||||||||
Colombia — 4.0% | ||||||||||||
Republic of Colombia, 7.75%, 4/14/21 | COP | 9,341,000,000 | $ | 5,888,099 | ||||||||
Republic of Colombia, 9.85%, 6/28/27 | COP | 8,093,000,000 | 5,758,032 | |||||||||
Republic of Colombia, 12.00%, 10/22/15 | COP | 15,960,000,000 | 11,643,211 | |||||||||
Titulos De Tesoreria B, 9.25%, 8/15/12 | COP | 1,749,800,000 | 1,045,749 | |||||||||
Titulos De Tesoreria B, 11.00%, 5/18/11 | COP | 6,500,000,000 | 3,697,315 | |||||||||
Total Colombia | $ | 28,032,406 | ||||||||||
Congo — 0.2% | ||||||||||||
Republic of Congo, 3.00%, 6/30/29 | USD | 2,333,200 | $ | 1,481,582 | ||||||||
Total Congo | $ | 1,481,582 | ||||||||||
Costa Rica — 0.0%(3) | ||||||||||||
Titulo Propiedad Ud, 1.00%, 1/12/22(2) | CRC | 52,816,999 | $ | 85,238 | ||||||||
Titulo Propiedad Ud, 1.63%, 7/13/16(2) | CRC | 5,933,671 | 10,851 | |||||||||
Total Costa Rica | $ | 96,089 | ||||||||||
Dominican Republic — 1.2% | ||||||||||||
Dominican Republic, 16.00%, 7/10/20(1) | DOP | 38,000,000 | $ | 1,037,365 | ||||||||
Dominican Republic “Bonos Internos” Total Return Linked Bond (Citibank, N.A.), 13.00%, 2/25/13(4) | DOP | 107,000,000 | 2,873,343 | |||||||||
Dominican Republic “Bonos Internos” Total Return Linked Bond (Citibank, N.A.), 15.00%, 3/12/12(4) | DOP | 82,000,000 | 2,229,445 | |||||||||
Dominican Republic “Bonos Internos” Total Return Linked Bond (Citibank, N.A.), 16.00%, 7/10/20(4) | DOP | 67,800,000 | 1,848,550 | |||||||||
Total Dominican Republic | $ | 7,988,703 | ||||||||||
Egypt — 0.0%(3) | ||||||||||||
Arab Republic of Egypt, 8.75%, 7/18/12(1) | EGP | 1,690,000 | $ | 268,547 | ||||||||
Total Egypt | $ | 268,547 | ||||||||||
Greece — 0.0%(3) | ||||||||||||
Hellenic Republic Government Bond, 6.10%, 8/20/15 | EUR | 225,000 | $ | 202,188 | ||||||||
Total Greece | $ | 202,188 | ||||||||||
Hungary — 7.3% | ||||||||||||
Hungary Government Bond, 5.50%, 2/12/14 | HUF | 1,525,600,000 | $ | 8,381,960 | ||||||||
Hungary Government Bond, 5.50%, 2/12/16 | HUF | 862,500,000 | 4,600,340 | |||||||||
Hungary Government Bond, 6.00%, 10/24/12 | HUF | 676,970,000 | 3,790,710 | |||||||||
Hungary Government Bond, 6.00%, 11/24/23 | HUF | 195,000,000 | 998,347 | |||||||||
Hungary Government Bond, 6.50%, 6/24/19 | HUF | 579,100,000 | 3,154,647 | |||||||||
Hungary Government Bond, 6.75%, 2/12/13 | HUF | 785,300,000 | 4,448,751 | |||||||||
Hungary Government Bond, 6.75%, 2/24/17 | HUF | 1,554,520,000 | 8,693,098 | |||||||||
Hungary Government Bond, 6.75%, 11/24/17 | HUF | 1,123,980,000 | 6,246,492 | |||||||||
Hungary Government Bond, 7.25%, 6/12/12 | HUF | 322,000,000 | 1,829,041 | |||||||||
Hungary Government Bond, 7.50%, 10/24/13 | HUF | 796,000,000 | 4,595,050 | |||||||||
Hungary Government Bond, 7.50%, 11/12/20 | HUF | 668,800,000 | 3,868,543 | |||||||||
Hungary Government Bond, 8.00%, 2/12/15 | HUF | 60,000,000 | 351,917 | |||||||||
Total Hungary | $ | 50,958,896 | ||||||||||
See Notes to Consolidated Financial Statements.
15
Emerging Markets Local Income Portfolio
April 30, 2011
Consolidated Portfolio of Investments (Unaudited) — continued
Principal | ||||||||||||
Security | Amount | Value | ||||||||||
Indonesia — 8.5% | ||||||||||||
Indonesia Government, 7.375%, 9/15/16 | IDR | 43,648,000,000 | $ | 5,233,795 | ||||||||
Indonesia Government, 8.25%, 7/15/21 | IDR | 4,730,000,000 | 568,690 | |||||||||
Indonesia Government, 8.375%, 9/15/26 | IDR | 14,100,000,000 | 1,664,263 | |||||||||
Indonesia Government, 9.00%, 9/15/13 | IDR | 26,300,000,000 | 3,245,348 | |||||||||
Indonesia Government, 9.00%, 9/15/18 | IDR | 42,550,000,000 | 5,386,455 | |||||||||
Indonesia Government, 9.50%, 6/15/15 | IDR | 33,485,000,000 | 4,282,049 | |||||||||
Indonesia Government, 9.50%, 7/15/23 | IDR | 35,245,000,000 | 4,517,429 | |||||||||
Indonesia Government, 9.50%, 7/15/31 | IDR | 58,734,000,000 | 7,294,885 | |||||||||
Indonesia Government, 9.75%, 5/15/37 | IDR | 28,656,000,000 | 3,471,017 | |||||||||
Indonesia Government, 10.00%, 7/15/17 | IDR | 10,200,000,000 | 1,364,104 | |||||||||
Indonesia Government, 10.00%, 9/15/24 | IDR | 22,100,000,000 | 2,928,947 | |||||||||
Indonesia Government, 10.00%, 2/15/28 | IDR | 8,560,000,000 | 1,105,817 | |||||||||
Indonesia Government, 10.25%, 7/15/27 | IDR | 22,325,000,000 | 2,977,223 | |||||||||
Indonesia Government, 10.50%, 8/15/30 | IDR | 24,610,000,000 | 3,297,282 | |||||||||
Indonesia Government, 10.50%, 7/15/38 | IDR | 10,900,000,000 | 1,431,866 | |||||||||
Indonesia Government, 11.00%, 11/15/20 | IDR | 14,560,000,000 | 2,068,861 | |||||||||
Indonesia Government, 11.00%, 9/15/25 | IDR | 16,440,000,000 | 2,329,151 | |||||||||
Indonesia Government, 11.25%, 5/15/14 | IDR | 16,743,000,000 | 2,204,891 | |||||||||
Indonesia Government, 11.50%, 9/15/19 | IDR | 25,200,000,000 | 3,638,098 | |||||||||
Total Indonesia | $ | 59,010,171 | ||||||||||
Israel — 0.1% | ||||||||||||
Israel Government Bond, 3.00%, 10/31/19(2) | ILS | 569,005 | $ | 177,614 | ||||||||
Israel Government Bond, 5.00%, 4/30/15(2) | ILS | 1,443,765 | 486,232 | |||||||||
Total Israel | $ | 663,846 | ||||||||||
Macedonia — 0.1% | ||||||||||||
Republic of Macedonia, 4.625%, 12/8/15 | EUR | 280,000 | $ | 395,645 | ||||||||
Total Macedonia | $ | 395,645 | ||||||||||
Malaysia — 3.8% | ||||||||||||
Malaysia Government, 2.509%, 8/27/12 | MYR | 3,800,000 | $ | 1,276,040 | ||||||||
Malaysia Government, 3.21%, 5/31/13 | MYR | 5,925,000 | 2,001,058 | |||||||||
Malaysia Government, 3.502%, 5/31/27 | MYR | 4,125,000 | 1,251,621 | |||||||||
Malaysia Government, 3.70%, 5/15/13 | MYR | 6,355,000 | 2,167,098 | |||||||||
Malaysia Government, 3.741%, 2/27/15 | MYR | 24,076,000 | 8,230,481 | |||||||||
Malaysia Government, 4.012%, 9/15/17 | MYR | 10,786,000 | 3,696,732 | |||||||||
Malaysia Government, 4.24%, 2/7/18 | MYR | 15,775,000 | 5,458,640 | |||||||||
Malaysia Government, 4.378%, 11/29/19 | MYR | 3,750,000 | 1,304,682 | |||||||||
Malaysia Government, 4.498%, 4/15/30 | MYR | 3,480,000 | 1,166,886 | |||||||||
Total Malaysia | $ | 26,553,238 | ||||||||||
Mexico — 4.6% | ||||||||||||
Government of Mexico, 7.25%, 12/15/16 | MXN | 20,800,000 | $ | 1,858,353 | ||||||||
Government of Mexico, 7.50%, 6/3/27 | MXN | 30,480,000 | �� | 2,579,959 | ||||||||
Government of Mexico, 7.75%, 12/14/17 | MXN | 9,500,000 | 865,767 | |||||||||
Government of Mexico, 8.00%, 12/19/13 | MXN | 61,900,000 | 5,671,805 | |||||||||
Government of Mexico, 8.00%, 6/11/20 | MXN | 21,018,000 | 1,933,334 | |||||||||
Government of Mexico, 8.50%, 12/13/18 | MXN | 6,832,600 | 647,155 | |||||||||
Government of Mexico, 8.50%, 11/18/38 | MXN | 36,100,000 | 3,278,230 | |||||||||
Government of Mexico, 9.00%, 12/20/12 | MXN | 39,000,000 | 3,590,790 | |||||||||
Government of Mexico, 9.50%, 12/18/14 | MXN | 23,060,000 | 2,220,925 | |||||||||
Government of Mexico, 10.00%, 12/5/24 | MXN | 63,550,000 | 6,701,299 | |||||||||
Government of Mexico, 10.00%, 11/20/36 | MXN | 23,470,000 | 2,459,195 | |||||||||
Total Mexico | $ | 31,806,812 | ||||||||||
Montenegro — 0.4% | ||||||||||||
Republic of Montenegro, 7.875%, 9/14/15 | EUR | 2,000,000 | $ | 3,073,535 | ||||||||
Total Montenegro | $ | 3,073,535 | ||||||||||
Peru — 1.5% | ||||||||||||
Republic of Peru, 6.90%, 8/12/37 | PEN | 2,700,000 | $ | 869,942 | ||||||||
Republic of Peru, 6.90%, 8/12/37(1) | PEN | 2,367,000 | 762,649 | |||||||||
Republic of Peru, 6.95%, 8/12/31 | PEN | 2,000,000 | 657,279 | |||||||||
Republic of Peru, 7.84%, 8/12/20(5) | PEN | 7,570,000 | 2,811,599 | |||||||||
Republic of Peru, 7.84%, 8/12/20 | PEN | 1,130,000 | 419,697 | |||||||||
Republic of Peru, 8.20%, 8/12/26 | PEN | 5,775,000 | 2,172,291 | |||||||||
Republic of Peru, 8.60%, 8/12/17 | PEN | 5,305,000 | 2,112,991 | |||||||||
Republic of Peru, 9.91%, 5/5/15 | PEN | 1,760,000 | 713,278 | |||||||||
Total Peru | $ | 10,519,726 | ||||||||||
Philippines — 1.0% | ||||||||||||
Philippine Government International Bond, 4.95%, 1/15/21 | PHP | 139,000,000 | $ | 3,182,298 | ||||||||
Philippine Government International Bond, 6.25%, 1/14/36 | PHP | 150,000,000 | 3,389,954 | |||||||||
Total Philippines | $ | 6,572,252 | ||||||||||
Poland — 0.8% | ||||||||||||
Poland Government Bond, 3.00%, 8/24/16(2) | PLN | 1,834,622 | $ | 712,197 | ||||||||
Poland Government Bond, 4.75%, 4/25/12 | PLN | 2,010,000 | 757,354 | |||||||||
Poland Government Bond, 5.25%, 10/25/17 | PLN | 3,575,000 | 1,302,976 | |||||||||
Poland Government Bond, 5.75%, 9/23/22 | PLN | 5,420,000 | 1,969,536 |
See Notes to Consolidated Financial Statements.
16
Emerging Markets Local Income Portfolio
April 30, 2011
Consolidated Portfolio of Investments (Unaudited) — continued
Principal | ||||||||||||
Security | Amount | Value | ||||||||||
Poland (continued) | ||||||||||||
Poland Government Bond, 6.25%, 10/24/15 | PLN | 2,900,000 | $ | 1,119,692 | ||||||||
Total Poland | $ | 5,861,755 | ||||||||||
Russia — 3.3% | ||||||||||||
Russia Foreign Bond, 7.85%, 3/10/18(1) | RUB | 600,000,000 | $ | 23,293,371 | ||||||||
Total Russia | $ | 23,293,371 | ||||||||||
Serbia — 1.3% | ||||||||||||
Serbia Treasury Bill, 0.00%, 8/9/12 | RSD | 230,950,000 | $ | 2,958,668 | ||||||||
Serbia Treasury Bill, 0.00%, 9/6/12 | RSD | 403,070,000 | 5,116,948 | |||||||||
Serbia Treasury Bill, 0.00%, 4/25/13 | RSD | 55,500,000 | 654,286 | |||||||||
Total Serbia | $ | 8,729,902 | ||||||||||
South Africa — 8.1% | ||||||||||||
Republic of South Africa, 2.50%, 1/31/17(2) | ZAR | 6,069,759 | $ | 962,328 | ||||||||
Republic of South Africa, 2.60%, 3/31/28(2) | ZAR | 6,183,120 | 930,152 | |||||||||
Republic of South Africa, 2.75%, 1/31/22(2) | ZAR | 32,470,528 | 4,981,617 | |||||||||
Republic of South Africa, 5.50%, 12/7/23(2) | ZAR | 2,939,171 | 585,506 | |||||||||
Republic of South Africa, 6.25%, 3/31/36 | ZAR | 22,825,000 | 2,589,499 | |||||||||
Republic of South Africa, 6.75%, 3/31/21 | ZAR | 45,745,000 | 6,206,137 | |||||||||
Republic of South Africa, 7.00%, 2/28/31 | ZAR | 19,600,000 | 2,482,766 | |||||||||
Republic of South Africa, 7.25%, 1/15/20 | ZAR | 51,600,000 | 7,319,906 | |||||||||
Republic of South Africa, 7.50%, 1/15/14 | ZAR | 34,500,000 | 5,332,134 | |||||||||
Republic of South Africa, 8.25%, 9/15/17 | ZAR | 19,430,000 | 2,976,365 | |||||||||
Republic of South Africa, 8.75%, 12/21/14 | ZAR | 10,290,000 | 1,642,168 | |||||||||
Republic of South Africa, 10.50%, 12/21/26 | ZAR | 30,356,000 | 5,362,585 | |||||||||
Republic of South Africa, 13.50%, 9/15/15 | ZAR | 81,005,000 | 14,982,409 | |||||||||
Total South Africa | $ | 56,353,572 | ||||||||||
Sri Lanka — 0.1% | ||||||||||||
Republic of Sri Lanka, 6.25%, 10/4/20(1) | USD | 950,000 | $ | 958,360 | ||||||||
Total Sri Lanka | $ | 958,360 | ||||||||||
Taiwan — 0.4% | ||||||||||||
Taiwan Government Bond, 0.25%, 10/21/11 | TWD | 12,500,000 | $ | 436,099 | ||||||||
Taiwan Government Bond, 0.25%, 2/10/12 | TWD | 74,400,000 | 2,592,669 | |||||||||
Total Taiwan | $ | 3,028,768 | ||||||||||
Thailand — 5.0% | ||||||||||||
Bank of Thailand, 3.625%, 5/2/11 | THB | 22,000,000 | $ | 737,018 | ||||||||
Kingdom of Thailand, 3.625%, 6/16/23 | THB | 75,523,000 | 2,488,724 | |||||||||
Kingdom of Thailand, 3.85%, 12/12/25 | THB | 74,315,000 | 2,459,759 | |||||||||
Kingdom of Thailand, 3.875%, 6/13/19 | THB | 93,235,000 | 3,206,013 | |||||||||
Kingdom of Thailand, 4.25%, 3/13/13 | THB | 168,678,000 | 5,761,368 | |||||||||
Kingdom of Thailand, 4.50%, 4/9/24 | THB | 61,371,000 | 2,190,772 | |||||||||
Kingdom of Thailand, 4.75%, 12/20/24 | THB | 30,000,000 | 1,095,335 | |||||||||
Kingdom of Thailand, 5.125%, 3/13/18 | THB | 86,300,000 | 3,158,233 | |||||||||
Kingdom of Thailand, 5.25%, 5/12/14 | THB | 275,409,000 | 9,732,613 | |||||||||
Kingdom of Thailand, 5.67%, 3/13/28 | THB | 92,500,000 | 3,727,236 | |||||||||
Total Thailand | $ | 34,557,071 | ||||||||||
Turkey — 10.1% | ||||||||||||
Turkey Government Bond, 0.00%, 4/25/12 | TRY | 19,569,000 | $ | 11,908,656 | ||||||||
Turkey Government Bond, 0.00%, 8/8/12 | TRY | 11,410,000 | 6,774,584 | |||||||||
Turkey Government Bond, 0.00%, 11/7/12 | TRY | 17,860,000 | 10,367,489 | |||||||||
Turkey Government Bond, 4.00%, 4/1/20(2) | TRY | 9,714,335 | 7,063,171 | |||||||||
Turkey Government Bond, 8.00%, 10/9/13 | TRY | 7,015,000 | 4,531,386 | |||||||||
Turkey Government Bond, 10.00%, 1/9/13 | TRY | 8,595,000 | 5,776,620 | |||||||||
Turkey Government Bond, 10.00%, 4/10/13 | TRY | 7,165,000 | 4,825,658 | |||||||||
Turkey Government Bond, 10.00%, 6/17/15 | TRY | 7,800,000 | 5,325,446 | |||||||||
Turkey Government Bond, 10.50%, 1/15/20 | TRY | 6,051,000 | 4,324,416 | |||||||||
Turkey Government Bond, 11.00%, 8/6/14 | TRY | 9,221,000 | 6,415,900 | |||||||||
Turkey Government Bond, 14.00%, 9/26/12 | TRY | 1,790,000 | 1,262,768 | |||||||||
Turkey Government Bond, 16.00%, 3/7/12 | TRY | 1,270,000 | 886,829 | |||||||||
Turkey Government Bond, 16.00%, 8/28/13 | TRY | 1,330,000 | 1,008,212 | |||||||||
Total Turkey | $ | 70,471,135 | ||||||||||
Uruguay — 0.1% | ||||||||||||
Republic of Uruguay, 5.00%, 9/14/18(2) | UYU | 14,668,276 | $ | 932,233 | ||||||||
Total Uruguay | $ | 932,233 | ||||||||||
Venezuela — 0.6% | ||||||||||||
Bolivarian Republic of Venezuela, 7.00%, 3/31/38(5) | USD | 6,137,000 | $ | 3,513,433 | ||||||||
Bolivarian Republic of Venezuela, 9.25%, 5/7/28(5) | USD | 1,368,100 | 932,360 | |||||||||
Total Venezuela | $ | 4,445,793 | ||||||||||
Total Foreign Government Bonds | ||||||||||||
(identified cost $453,593,579) | $ | 481,210,286 | ||||||||||
See Notes to Consolidated Financial Statements.
17
Emerging Markets Local Income Portfolio
April 30, 2011
Consolidated Portfolio of Investments (Unaudited) — continued
Mortgage Pass-Throughs — 2.0% | ||||||||||||
Principal | ||||||||||||
Security | Amount | Value | ||||||||||
Federal Home Loan Mortgage Corp.: | ||||||||||||
7.00%, with maturity at 2032 | $ | 3,184,973 | $ | 3,654,970 | ||||||||
7.50%, with maturity at 2034 | 701,134 | 823,518 | ||||||||||
$ | 4,478,488 | |||||||||||
Federal National Mortgage Association: | ||||||||||||
2.734%, with maturity at 2035(6) | $ | 1,649,375 | $ | 1,722,086 | ||||||||
4.378%, with maturity at 2035(6) | 1,379,787 | 1,494,482 | ||||||||||
6.50%, with various maturities to 2033 | 3,084,845 | 3,364,571 | ||||||||||
7.00%, with maturity at 2033 | 1,296,296 | 1,495,093 | ||||||||||
8.50%, with maturity at 2032 | 1,164,130 | 1,428,521 | ||||||||||
$ | 9,504,753 | |||||||||||
Total Mortgage Pass-Throughs | ||||||||||||
(identified cost $13,622,634) | $ | 13,983,241 | ||||||||||
U.S. Government Agency Obligations — 1.1% | ||||||||||||
Principal | ||||||||||||
Security | Amount | Value | ||||||||||
Federal Home Loan Bank: | ||||||||||||
4.50%, 9/13/19 | $ | 4,000,000 | $ | 4,366,900 | ||||||||
5.25%, 12/9/22 | 2,700,000 | 3,017,444 | ||||||||||
Total U.S. Government Agency Obligations | ||||||||||||
(identified cost $7,801,968) | $ | 7,384,344 | ||||||||||
Precious Metals — 1.8% | ||||||||||||
Description | Troy Ounces | Value | ||||||||||
Gold(7) | 2,421 | $ | 3,783,733 | |||||||||
Platinum(7) | 4,784 | 8,952,341 | ||||||||||
Total Precious Metals | ||||||||||||
(identified cost $11,651,853) | $ | 12,736,074 | ||||||||||
Currency Options Purchased — 0.0%(3) | ||||||||||||||||||
Principal | ||||||||||||||||||
Amount of | ||||||||||||||||||
Contracts | Strike | Expiration | ||||||||||||||||
Description | (000’s omitted) | Price | Date | Value | ||||||||||||||
Euro Put Option | EUR | 5,600 | EUR | 1.22 | 5/11/11 | $ | 0 | |||||||||||
Euro Put Option | EUR | 6,566 | EUR | 1.17 | 5/3/12 | 61,960 | ||||||||||||
Total Currency Options Purchased | ||||||||||||||||||
(identified cost $591,330) | $ | 61,960 | ||||||||||||||||
Put Options Purchased — 0.0%(3) | ||||||||||||||||||
Number of | Strike | Expiration | ||||||||||||||||
Description | Contracts | Price | Date | Value | ||||||||||||||
KOSPI 200 Index | 28,650,000 | KRW | 205 | 10/13/11 | $ | 14,914 | ||||||||||||
KOSPI 200 Index | 28,650,000 | KRW | 200 | 10/11/12 | 92,101 | |||||||||||||
Light Sweet Crude Oil Future 12/11 | 6 | USD | 80 | 11/15/11 | 5,280 | |||||||||||||
Total Put Options Purchased | ||||||||||||||||||
(identified cost $547,687) | $ | 112,295 | ||||||||||||||||
Short-Term Investments — 23.3% | ||||||||||||
Foreign Government Securities — 17.4% | ||||||||||||
Principal | ||||||||||||
Amount | ||||||||||||
Security | (000’s omitted) | Value | ||||||||||
Brazil — 0.9% | ||||||||||||
Letras Do Tesouro Nacional, 0.00%, 7/1/11 | BRL | 10,400 | $ | 6,479,407 | ||||||||
Total Brazil | $ | 6,479,407 | ||||||||||
Colombia — 0.1% | ||||||||||||
Titulos De Tesoreria B, 0.00%, 4/26/12 | COP | 1,178,600 | $ | 635,652 | ||||||||
Total Colombia | $ | 635,652 | ||||||||||
Croatia — 1.4% | ||||||||||||
Croatia Treasury Bill, 0.00%, 5/5/11 | EUR | 341 | $ | 504,942 | ||||||||
Croatia Treasury Bill, 0.00%, 6/2/11 | EUR | 700 | 1,035,197 | |||||||||
Croatia Treasury Bill, 0.00%, 6/16/11 | EUR | 819 | 1,210,073 | |||||||||
Croatia Treasury Bill, 0.00%, 8/25/11 | EUR | 307 | 451,321 | |||||||||
Croatia Treasury Bill, 0.00%, 9/8/11 | EUR | 592 | 869,269 | |||||||||
Croatia Treasury Bill, 0.00%, 9/15/11 | EUR | 3,467 | 5,087,722 | |||||||||
Croatia Treasury Bill, 0.00%, 9/22/11 | EUR | 540 | 791,949 | |||||||||
Total Croatia | $ | 9,950,473 | ||||||||||
Egypt — 0.2% | ||||||||||||
Egypt Treasury Bill, 0.00%, 7/12/11 | EGP | 3,600 | $ | 592,335 | ||||||||
Egypt Treasury Bill, 0.00%, 8/2/11 | EGP | 1,900 | 310,548 | |||||||||
Egypt Treasury Bill, 0.00%, 8/9/11 | EGP | 4,700 | 766,504 | |||||||||
Total Egypt | $ | 1,669,387 | ||||||||||
See Notes to Consolidated Financial Statements.
18
Emerging Markets Local Income Portfolio
April 30, 2011
Consolidated Portfolio of Investments (Unaudited) — continued
Principal | ||||||||||||
Amount | ||||||||||||
Security | (000’s omitted) | Value | ||||||||||
Georgia — 0.2% | ||||||||||||
Bank of Georgia Promissory Note, 9.00%, 12/7/11 | USD | 1,500 | $ | 1,500,000 | ||||||||
Total Georgia | $ | 1,500,000 | ||||||||||
Ghana — 0.3% | ||||||||||||
Ghana Government Bond, 14.47%, 12/15/11 | GHS | 3,062 | $ | 2,079,345 | ||||||||
Total Ghana | $ | 2,079,345 | ||||||||||
Hong Kong — 1.5% | ||||||||||||
Hong Kong Treasury Bill, 0.00%, 5/11/11 | HKD | 34,000 | $ | 4,377,725 | ||||||||
Hong Kong Treasury Bill, 0.00%, 7/20/11 | HKD | 9,500 | 1,222,693 | |||||||||
Hong Kong Treasury Bill, 0.00%, 8/10/11 | HKD | 34,000 | 4,375,544 | |||||||||
Hong Kong Treasury Bill, 0.00%, 9/7/11 | HKD | 3,500 | 450,918 | |||||||||
Total Hong Kong | $ | 10,426,880 | ||||||||||
Iceland — 0.0%(3) | ||||||||||||
Iceland Treasury Bill, 0.00%, 5/16/11 | ISK | 7,518 | $ | 57,486 | ||||||||
Iceland Treasury Bill, 0.00%, 6/15/11 | ISK | 12,310 | 93,897 | |||||||||
Total Iceland | $ | 151,383 | ||||||||||
Indonesia — 0.8% | ||||||||||||
Indonesia Treasury Bill, 0.00%, 5/5/11 | IDR | 4,826,000 | $ | 563,317 | ||||||||
Indonesia Treasury Bill, 0.00%, 6/9/11 | IDR | 3,655,000 | 424,165 | |||||||||
Indonesia Treasury Bill, 0.00%, 6/23/11 | IDR | 4,380,000 | 507,039 | |||||||||
Indonesia Treasury Bill, 0.00%, 7/6/11 | IDR | 6,759,000 | 781,062 | |||||||||
Indonesia Treasury Bill, 0.00%, 7/7/11 | IDR | 9,106,000 | 1,054,003 | |||||||||
Indonesia Treasury Bill, 0.00%, 7/20/11 | IDR | 16,548,000 | 1,910,775 | |||||||||
Total Indonesia | $ | 5,240,361 | ||||||||||
Israel — 3.5% | ||||||||||||
Israel Treasury Bill, 0.00%, 5/4/11 | ILS | 4,556 | $ | 1,347,321 | ||||||||
Israel Treasury Bill, 0.00%, 6/1/11 | ILS | 17,435 | 5,145,139 | |||||||||
Israel Treasury Bill, 0.00%, 7/6/11 | ILS | 1,746 | 513,700 | |||||||||
Israel Treasury Bill, 0.00%, 8/3/11 | ILS | 9,306 | 2,730,425 | |||||||||
Israel Treasury Bill, 0.00%, 9/7/11 | ILS | 12,718 | 3,724,920 | |||||||||
Israel Treasury Bill, 0.00%, 10/5/11 | ILS | 6,204 | 1,810,135 | |||||||||
Israel Treasury Bill, 0.00%, 11/2/11 | ILS | 22,957 | 6,680,795 | |||||||||
Israel Treasury Bill, 0.00%, 2/29/12 | ILS | 8,112 | 2,333,587 | |||||||||
Total Israel | $ | 24,286,022 | ||||||||||
Kazakhstan — 2.1% | ||||||||||||
Kazakhstan National Bank, 0.00%, 5/13/11 | KZT | 119,000 | $ | 815,844 | ||||||||
Kazakhstan National Bank, 0.00%, 5/27/11 | KZT | 271,637 | 1,861,850 | |||||||||
Kazakhstan National Bank, 0.00%, 6/3/11 | KZT | 25,800 | 176,811 | |||||||||
Kazakhstan National Bank, 0.00%, 6/10/11 | KZT | 355,008 | 2,432,536 | |||||||||
Kazakhstan National Bank, 0.00%, 6/17/11 | KZT | 151,305 | 1,036,564 | |||||||||
Kazakhstan National Bank, 0.00%, 7/8/11 | KZT | 134,321 | 919,639 | |||||||||
Kazakhstan National Bank, 0.00%, 7/15/11 | KZT | 55,867 | 382,406 | |||||||||
Kazakhstan National Bank, 0.00%, 7/22/11 | KZT | 164,968 | 1,128,911 | |||||||||
Kazakhstan National Bank, 0.00%, 7/29/11 | KZT | 485,279 | 3,319,969 | |||||||||
Kazakhstan National Bank, 0.00%, 8/19/11 | KZT | 416,900 | 2,849,591 | |||||||||
Kazakhstan National Bank, 0.00%, 3/4/12 | KZT | 4,386 | 29,679 | |||||||||
Total Kazakhstan | $ | 14,953,800 | ||||||||||
Lebanon — 0.6% | ||||||||||||
Lebanon Treasury Bill, 0.00%, 6/30/11 | LBP | 386,000 | $ | 255,208 | ||||||||
Lebanon Treasury Bill, 0.00%, 7/14/11 | LBP | 179,220 | 118,315 | |||||||||
Lebanon Treasury Bill, 0.00%, 7/28/11 | LBP | 1,727,060 | 1,138,432 | |||||||||
Lebanon Treasury Bill, 0.00%, 8/11/11 | LBP | 72,000 | 47,379 | |||||||||
Lebanon Treasury Bill, 0.00%, 9/22/11 | LBP | 192,250 | 125,805 | |||||||||
Lebanon Treasury Bill, 0.00%, 10/6/11 | LBP | 3,479,130 | 2,272,150 | |||||||||
Lebanon Treasury Note, 6.74%, 10/20/11 | LBP | 358,450 | 241,055 | |||||||||
Lebanon Treasury Note, 6.86%, 10/6/11 | LBP | 179,220 | 120,523 | |||||||||
Lebanon Treasury Note, 9.06%, 11/10/11 | LBP | 179,220 | 122,059 | |||||||||
Total Lebanon | $ | 4,440,926 | ||||||||||
Malaysia — 1.0% | ||||||||||||
Malaysia Treasury Bill, 0.00%, 5/10/11 | MYR | 3,612 | $ | 1,218,726 | ||||||||
Malaysia Treasury Bill, 0.00%, 6/2/11 | MYR | 495 | 166,734 | |||||||||
Malaysia Treasury Bill, 0.00%, 6/16/11 | MYR | 6,620 | 2,227,261 | |||||||||
Malaysia Treasury Bill, 0.00%, 7/14/11 | MYR | 10,961 | 3,680,809 | |||||||||
Total Malaysia | $ | 7,293,530 | ||||||||||
Philippines — 0.4% | ||||||||||||
Philippine Treasury Bill, 0.00%, 6/8/11 | PHP | 34,840 | $ | 812,905 | ||||||||
Philippine Treasury Bill, 0.00%, 9/7/11 | PHP | 34,840 | 811,838 | |||||||||
Philippine Treasury Bill, 0.00%, 9/21/11 | PHP | 51,300 | 1,193,475 | |||||||||
Total Philippines | $ | 2,818,218 | ||||||||||
See Notes to Consolidated Financial Statements.
19
Emerging Markets Local Income Portfolio
April 30, 2011
Consolidated Portfolio of Investments (Unaudited) — continued
Principal | ||||||||||||
Amount | ||||||||||||
Security | (000’s omitted) | Value | ||||||||||
Romania — 1.2% | ||||||||||||
Romania Treasury Bill, 0.00%, 11/9/11 | RON | 7,160 | $ | 2,512,537 | ||||||||
Romania Treasury Bill, 0.00%, 12/14/11 | RON | 2,200 | 767,939 | |||||||||
Romania Treasury Bill, 0.00%, 3/21/12 | RON | 9,520 | 3,248,551 | |||||||||
Romania Treasury Bill, 0.00%, 4/11/12 | RON | 4,990 | 1,700,901 | |||||||||
Total Romania | $ | 8,229,928 | ||||||||||
Serbia — 0.4% | ||||||||||||
Serbia Treasury Bill, 0.00%, 12/13/11 | RSD | 37,420 | $ | 517,046 | ||||||||
Serbia Treasury Bill, 0.00%, 3/22/12 | RSD | 146,950 | 1,964,345 | |||||||||
Serbia Treasury Bill, 0.00%, 4/5/12 | RSD | 29,480 | 392,282 | |||||||||
Total Serbia | $ | 2,873,673 | ||||||||||
South Korea — 0.6% | ||||||||||||
Korea Monetary Stabilization Bond, 0.00%, 5/17/11 | KRW | 637,100 | $ | 593,699 | ||||||||
Korea Monetary Stabilization Bond, 0.00%, 5/17/11 | KRW | 181,250 | 168,907 | |||||||||
Korea Monetary Stabilization Bond, 0.00%, 6/7/11 | KRW | 239,490 | 222,724 | |||||||||
Korea Monetary Stabilization Bond, 0.00%, 7/5/11 | KRW | 649,960 | 602,878 | |||||||||
Korea Monetary Stabilization Bond, 0.00%, 8/23/11 | KRW | 2,511,600 | 2,318,056 | |||||||||
Total South Korea | $ | 3,906,264 | ||||||||||
Sri Lanka — 0.4% | ||||||||||||
Sri Lanka Treasury Bill, 0.00%, 7/15/11 | LKR | 60,920 | $ | 546,367 | ||||||||
Sri Lanka Treasury Bill, 0.00%, 8/5/11 | LKR | 22,030 | 196,842 | |||||||||
Sri Lanka Treasury Bill, 0.00%, 3/9/12 | LKR | 17,130 | 146,638 | |||||||||
Sri Lanka Treasury Bill, 0.00%, 3/16/12 | LKR | 9,720 | 83,082 | |||||||||
Sri Lanka Treasury Bill, 0.00%, 3/23/12 | LKR | 14,370 | 122,632 | |||||||||
Sri Lanka Treasury Bill, 0.00%, 4/27/12 | LKR | 180,600 | 1,528,609 | |||||||||
Total Sri Lanka | $ | 2,624,170 | ||||||||||
Turkey — 0.4% | ||||||||||||
Turkey Government Bond, 0.00%, 5/11/11 | TRY | 285 | $ | 186,948 | ||||||||
Turkey Government Bond, 0.00%, 11/16/11 | TRY | 4,630 | 2,918,940 | |||||||||
Total Turkey | $ | 3,105,888 | ||||||||||
Uruguay — 0.9% | ||||||||||||
Uruguay Treasury Bill, 0.00%, 5/10/11 | UYU | 859 | $ | 45,451 | ||||||||
Uruguay Treasury Bill, 0.00%, 5/25/11 | UYU | 12,500 | 659,777 | |||||||||
Uruguay Treasury Bill, 0.00%, 6/15/11 | UYU | 8,600 | 452,031 | |||||||||
Uruguay Treasury Bill, 0.00%, 6/16/11 | UYU | 32,000 | 1,681,614 | |||||||||
Uruguay Treasury Bill, 0.00%, 6/21/11 | UYU | 6,910 | 362,733 | |||||||||
Uruguay Treasury Bill, 0.00%, 7/5/11 | UYU | 9,773 | 511,456 | |||||||||
Uruguay Treasury Bill, 0.00%, 7/7/11 | UYU | 3,550 | 185,702 | |||||||||
Uruguay Treasury Bill, 0.00%, 8/11/11 | UYU | 12,355 | 641,324 | |||||||||
Uruguay Treasury Bill, 0.00%, 8/18/11 | UYU | 4,625 | 239,685 | |||||||||
Uruguay Treasury Bill, 0.00%, 8/30/11 | UYU | 5,327 | 275,286 | |||||||||
Uruguay Treasury Bill, 0.00%, 9/16/11 | UYU | 6,200 | 319,168 | |||||||||
Uruguay Treasury Bill, 0.00%, 10/21/11 | UYU | 6,725 | 343,201 | |||||||||
Uruguay Treasury Bill, 0.00%, 11/22/11 | UYU | 13,225 | 669,569 | |||||||||
Total Uruguay | $ | 6,386,997 | ||||||||||
Zambia — 0.5% | ||||||||||||
Zambia Treasury Bill, 0.00%, 5/9/11 | ZMK | 655,000 | $ | 138,992 | ||||||||
Zambia Treasury Bill, 0.00%, 6/13/11 | ZMK | 1,245,000 | 262,727 | |||||||||
Zambia Treasury Bill, 0.00%, 8/29/11 | ZMK | 2,005,000 | 416,882 | |||||||||
Zambia Treasury Bill, 0.00%, 9/12/11 | ZMK | 1,515,000 | 313,791 | |||||||||
Zambia Treasury Bill, 0.00%, 10/10/11 | ZMK | 2,910,000 | 597,638 | |||||||||
Zambia Treasury Bill, 0.00%, 12/12/11 | ZMK | 4,170,000 | 845,472 | |||||||||
Zambia Treasury Bill, 0.00%, 3/12/12 | ZMK | 540,000 | 106,981 | |||||||||
Zambia Treasury Bill, 0.00%, 3/19/12 | ZMK | 3,225,000 | 637,071 | |||||||||
Total Zambia | $ | 3,319,554 | ||||||||||
Total Foreign Government Securities | ||||||||||||
(identified cost $117,995,144) | $ | 122,371,858 | ||||||||||
U.S. Treasury Obligations — 0.3% | ||||||||||||
Principal | ||||||||||||
Amount | ||||||||||||
Security | (000’s omitted) | Value | ||||||||||
United States Treasury Bill, 0.00%, 6/23/11(8) | $ | 2,000 | $ | 1,999,966 | ||||||||
United States Treasury Bill, 0.00%, 7/28/11(8) | 267 | 266,881 | ||||||||||
United States Treasury Bill, 0.00%, 10/6/11 | 71 | 71,273 | ||||||||||
Total U.S. Treasury Obligations | ||||||||||||
(identified cost $2,337,615) | $ | 2,338,120 | ||||||||||
See Notes to Consolidated Financial Statements.
20
Emerging Markets Local Income Portfolio
April 30, 2011
Consolidated Portfolio of Investments (Unaudited) — continued
Repurchase Agreements — 0.8% | ||||||||||||
Principal | ||||||||||||
Amount | ||||||||||||
Description | (000’s omitted) | Value | ||||||||||
Bank of America, dated 4/27/11 with a maturity date of 7/1/11, an interest rate of 0.75% and repurchase proceeds of EUR 3,560,147, collateralized by EUR 3,610,000 Belgium Kingdom Government Bond 3.75%, due 9/28/20 and a market value, including accrued interest, of $5,309,664. | EUR | 3,556 | $ | 5,266,748 | ||||||||
Total Repurchase Agreements | ||||||||||||
(identified cost $5,260,343) | $ | 5,266,748 | ||||||||||
Other Securities — 4.8% | ||||||||||||
Interest | ||||||||||||
Description | (000’s omitted) | Value | ||||||||||
Eaton Vance Cash Reserves Fund, LLC, 0.16%(9) | $ | 33,262 | $ | 33,261,562 | ||||||||
Total Other Securities | ||||||||||||
(identified cost $33,261,562) | $ | 33,261,562 | ||||||||||
Total Short-Term Investments | ||||||||||||
(identified cost $158,854,664) | $ | 163,238,288 | ||||||||||
Total Investments — 97.1% | ||||||||||||
(identified cost $646,663,715) | $ | 678,726,488 | ||||||||||
Other Assets, Less Liabilities — 2.9% | $ | 20,361,003 | ||||||||||
Net Assets — 100.0% | $ | 699,087,491 | ||||||||||
The percentage shown for each investment category in the Consolidated Portfolio of Investments is based on net assets.
BRL | - Brazilian Real | |
CLP | - Chilean Peso | |
COP | - Colombian Peso | |
CRC | - Costa Rican Colon | |
DOP | - Dominican Peso | |
EGP | - Egyptian Pound | |
EUR | - Euro | |
GHS | - Ghanaian Cedi | |
HKD | - Hong Kong Dollar | |
HUF | - Hungarian Forint | |
IDR | - Indonesian Rupiah | |
ILS | - Israeli Shekel | |
ISK | - Icelandic Krona | |
KRW | - South Korean Won | |
KZT | - Kazak Tenge | |
LBP | - Lebanese Pound | |
LKR | - Sri Lankan Rupee | |
MXN | - Mexican Peso | |
MYR | - Malaysian Ringgit | |
PEN | - Peruvian New Sol | |
PHP | - Philippine Peso | |
PLN | - Polish Zloty | |
RON | - Romanian Leu | |
RSD | - Serbian Dinar | |
RUB | - Russian Ruble | |
THB | - Thailand Baht | |
TRY | - New Turkish Lira | |
TWD | - New Taiwan Dollar | |
USD | - United States Dollar | |
UYU | - Uruguayan Peso | |
ZAR | - South African Rand | |
ZMK | - Zambian Kwacha |
(1) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At April 30, 2011, the aggregate value of these securities is $27,278,700 or 3.9% of the Portfolio’s net assets. | |
(2) | Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal. | |
(3) | Amount is less than 0.05%. | |
(4) | Represents a structured security whose market value and interest rate are linked to the performance of the underlying security. | |
(5) | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |
(6) | Adjustable rate mortgage security. Rate shown is the rate at April 30, 2011. | |
(7) | Non-income producing. | |
(8) | Security (or a portion thereof) has been pledged to cover collateral requirements on open financial contracts. | |
(9) | Affiliated investment company available to Eaton Vance portfolios and funds which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of April 30, 2011. |
See Notes to Consolidated Financial Statements.
21
Emerging Markets Local Income Portfolio
April 30, 2011
Consolidated Portfolio of Investments (Unaudited) — continued
Securities Sold Short | ||||||||||||
Foreign Government Bonds | ||||||||||||
Principal | ||||||||||||
Amount | ||||||||||||
Security | (000’s omitted) | Value | ||||||||||
Belgium Kingdom Government Bond, 3.75%, 9/28/20 | EUR | (3,150 | ) | $ | (4,530,054 | ) | ||||||
Total Foreign Government Bonds | ||||||||||||
(proceeds $4,174,334) | $ | (4,530,054 | ) | |||||||||
Total Securities Sold Short | ||||||||||||
(proceeds $4,174,334) | $ | (4,530,054 | ) | |||||||||
See Notes to Consolidated Financial Statements.
22
Emerging Markets Local Income Portfolio
April 30, 2011
Consolidated Statement of Assets and Liabilities (Unaudited)
Assets | April 30, 2011 | |||||
Investments — | ||||||
Securities of unaffiliated issuers, at value (identified cost, $601,750,300) | $ | 632,728,852 | ||||
Affiliated investment, at value (identified cost, $33,261,562) | 33,261,562 | |||||
Precious metals, at value (identified cost, $11,651,853) | 12,736,074 | |||||
Total Investments, at value (identified cost $646,663,715) | $ | 678,726,488 | ||||
Cash | $ | 879,659 | ||||
Cash collateral on deposit at broker | 10,950 | |||||
Foreign currency, at value (identified cost, $9,020,306) | 9,094,468 | |||||
Interest and dividends receivable | 10,040,478 | |||||
Interest receivable from affiliated investment | 4,593 | |||||
Receivable for investments sold | 5,366,271 | |||||
Receivable for variation margin on open financial futures contracts | 525,102 | |||||
Receivable for open forward foreign currency exchange contracts | 14,641,300 | |||||
Receivable for closed forward foreign currency exchange contracts | 682,690 | |||||
Receivable for open swap contracts | 2,041,166 | |||||
Receivable for closed swap contracts | 54,363 | |||||
Receivable for closed options | 87,183 | |||||
Premium paid on open swap contracts | 3,118,935 | |||||
Total assets | $ | 725,273,646 | ||||
Liabilities | ||||||
Payable for investments purchased | $ | 11,124,410 | ||||
Payable for variation margin on open financial futures contracts | 30,091 | |||||
Payable for open forward commodity contracts | 795,970 | |||||
Payable for open forward foreign currency exchange contracts | 4,177,331 | |||||
Payable for closed forward foreign currency exchange contracts | 360,479 | |||||
Payable for open swap contracts | 3,991,714 | |||||
Payable for securities sold short, at value (proceeds, $4,174,334) | 4,530,054 | |||||
Premium received on open swap contracts | 148,474 | |||||
Payable to affiliates: | ||||||
Investment adviser fee | 354,616 | |||||
Trustees’ fees | 1,440 | |||||
Interest payable for securities sold short | 95,912 | |||||
Accrued expenses | 575,664 | |||||
Total liabilities | $ | 26,186,155 | ||||
Net Assets applicable to investors’ interest in Portfolio | $ | 699,087,491 | ||||
Sources of Net Assets | ||||||
Net proceeds from capital contributions and withdrawals | $ | 659,573,780 | ||||
Net unrealized appreciation | 39,513,711 | |||||
Total | $ | 699,087,491 | ||||
See Notes to Consolidated Financial Statements.
23
Emerging Markets Local Income Portfolio
April 30, 2011
Consolidated Statement of Operations (Unaudited)
Six Months Ended | ||||||
Investment Income | April 30, 2011 | |||||
Interest (net of foreign taxes, $664,033) | $ | 15,259,134 | ||||
Interest allocated from affiliated investment | 30,845 | |||||
Expenses allocated from affiliated investment | (1,526 | ) | ||||
Total investment income | $ | 15,288,453 | ||||
Expenses | ||||||
Investment adviser fee | $ | 1,760,150 | ||||
Trustees’ fees and expenses | 9,560 | |||||
Custodian fee | 267,945 | |||||
Legal and accounting services | 98,346 | |||||
Interest expense on securities sold short | 35,225 | |||||
Miscellaneous | 2,538 | |||||
Total expenses | $ | 2,173,764 | ||||
Deduct — | ||||||
Reduction of custodian fee | $ | 163 | ||||
Total expense reductions | $ | 163 | ||||
Net expenses | $ | 2,173,601 | ||||
Net investment income | $ | 13,114,852 | ||||
Realized and Unrealized Gain (Loss) | ||||||
Net realized gain (loss) — | ||||||
Investment transactions | $ | 2,008,768 | ||||
Investment transactions allocated from affiliated investment | 532 | |||||
Financial futures contracts | 22,869 | |||||
Swap contracts | (280,413 | ) | ||||
Forward commodity contracts | (19,234 | ) | ||||
Foreign currency and forward foreign currency exchange contract transactions | 4,578,370 | |||||
Net realized gain | $ | 6,310,892 | ||||
Change in unrealized appreciation (depreciation) — | ||||||
Investments (including net increase of $1,055,072 from precious metals) | $ | 13,970,781 | ||||
Securities sold short | (355,720 | ) | ||||
Financial futures contracts | (466,989 | ) | ||||
Swap contracts | (2,611,942 | ) | ||||
Forward commodity contracts | (795,970 | ) | ||||
Foreign currency and forward foreign currency exchange contracts | 11,496,916 | |||||
Net change in unrealized appreciation (depreciation) | $ | 21,237,076 | ||||
Net realized and unrealized gain | $ | 27,547,968 | ||||
Net increase in net assets from operations | $ | 40,662,820 | ||||
See Notes to Consolidated Financial Statements.
24
Emerging Markets Local Income Portfolio
April 30, 2011
Consolidated Statements of Changes in Net Assets
Six Months Ended | ||||||||||
April 30, 2011 | Year Ended | |||||||||
Increase (Decrease) in Net Assets | (Unaudited) | October 31, 2010 | ||||||||
From operations — | ||||||||||
Net investment income | $ | 13,114,852 | $ | 8,940,269 | ||||||
Net realized gain from investment transactions, financial futures contracts, swap contracts, written options, forward commodity contracts and foreign currency and forward foreign currency exchange contract transactions | 6,310,892 | 6,405,538 | ||||||||
Net change in unrealized appreciation (depreciation) from investments, securities sold short, financial futures contracts, swap contracts, written options, forward commodity contracts, foreign currency and forward foreign currency exchange contracts | 21,237,076 | 14,299,069 | ||||||||
Net increase in net assets from operations | $ | 40,662,820 | $ | 29,644,876 | ||||||
Capital transactions — | ||||||||||
Contributions | $ | 286,938,428 | $ | 270,094,823 | ||||||
Withdrawals | (29,161,627 | ) | (15,131,692 | ) | ||||||
Net increase in net assets from capital transactions | $ | 257,776,801 | $ | 254,963,131 | ||||||
Net increase in net assets | $ | 298,439,621 | $ | 284,608,007 | ||||||
Net Assets | ||||||||||
At beginning of period | $ | 400,647,870 | $ | 116,039,863 | ||||||
At end of period | $ | 699,087,491 | $ | 400,647,870 | ||||||
See Notes to Consolidated Financial Statements.
25
Emerging Markets Local Income Portfolio
April 30, 2011
Consolidated Supplementary Data
Six Months Ended | Year Ended October 31, | |||||||||||||||||||||
April 30, 2011 | Period Ended | |||||||||||||||||||||
Ratios/Supplemental Data | (Unaudited) | 2010 | 2009 | 2008 | October 31, 2007(1) | |||||||||||||||||
Ratios (as a percentage of average daily net assets): | ||||||||||||||||||||||
Expenses(2) | 0.80 | %(3)(4) | 0.93 | % | 0.91 | % | 0.96 | % | 1.13 | %(3) | ||||||||||||
Net investment income | 4.83 | %(3) | 5.30 | % | 5.70 | % | 5.51 | % | 5.25 | %(3) | ||||||||||||
Portfolio Turnover | 9 | %(5) | 17 | % | 26 | % | 38 | % | 2 | %(5) | ||||||||||||
Total Return | 6.00 | %(5) | 19.03 | % | 30.48 | % | (13.13 | )% | 10.48 | %(5) | ||||||||||||
Net assets, end of period (000’s omitted) | $ | 699,087 | $ | 400,648 | $ | 116,040 | $ | 60,837 | $ | 55,813 | ||||||||||||
(1) | For the period from the start of business, June 27, 2007, to October 31, 2007. | |
(2) | Excludes the effect of custody fee credits, if any, of less than 0.005%. | |
(3) | Annualized. | |
(4) | Includes interest expense on securities sold short of 0.01%. | |
(5) | Not annualized. |
See Notes to Consolidated Financial Statements.
26
Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited)
1 Significant Accounting Policies
Emerging Markets Local Income Portfolio (the Portfolio) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a non-diversified, open-end management investment company. The Portfolio’s investment objective is total return. Total return is defined as income plus capital appreciation. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. At April 30, 2011, Eaton Vance Emerging Markets Local Income Fund, Eaton Vance Strategic Income Fund, Eaton Vance International (Cayman Islands) Strategic Income Fund and Eaton Vance International (Cayman Islands) Emerging Markets Local Income Fund held an interest of 74.8%, 21.1%, 3.9% and 0.2%, respectively, in the Portfolio.
The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance EMLIP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The Portfolio may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at April 30, 2011 were $13,125,415 or 1.9% of the Portfolio’s consolidated net assets. The accompanying consolidated financial statements include the accounts of the Subsidiary. Intercompany balances and transactions have been eliminated in consolidation.
The following is a summary of significant accounting policies of the Portfolio. The policies are in conformity with accounting principles generally accepted in the United States of America.
A Investment Valuation — Debt obligations (including short-term obligations with a remaining maturity of more than sixty days and excluding most seasoned mortgage-backed securities) are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker/dealer quotations, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. 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 purchased with a remaining maturity of sixty days or less (excluding those that are non-U.S. dollar denominated, which typically are valued by a pricing service or dealer quotes) 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 or closing price on the day of valuation or, if no sales took place on such date, at the mean between the closing bid and asked prices therefore on the exchange where such securities are principally traded. Equity securities listed on the NASDAQ Global or Global Select Market generally are valued at the NASDAQ official closing price. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and asked prices or, in the case of preferred equity securities that are not listed or traded in the over-the-counter market, by a third party pricing service that 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. Precious metals are valued at the New York Composite mean quotation reported by Bloomberg at the valuation time.
Exchange-traded options are valued at the mean between the bid and asked prices at valuation time as reported by the Options Price Reporting Authority for U.S. listed options or by the relevant exchange or board of trade for non-U.S. listed options. Over-the-counter options (including options on securities, indices and foreign currencies) are valued by a third party pricing service using techniques that consider factors including the value of the underlying instrument, the volatility of the underlying instrument and the period of time until option expiration. Financial futures contracts are valued at the settlement price established by the board of trade or exchange on which they are traded. Forward foreign currency exchange contracts are generally valued at the mean of the average bid and average asked prices that are reported by currency dealers to a third party pricing service at the valuation time. Such third party pricing service valuations are supplied for specific settlement periods and the Portfolio’s forward foreign currency exchange contracts are valued at an interpolated rate between the closest preceding and subsequent settlement period reported by the third party pricing service. Forward commodity contracts are valued based on interpolated rates derived from forward rates as provided by brokers for specific settlement periods. Interest rate swaps and cross-currency swaps are normally valued using valuations provided by a third party pricing service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract. Future cash flows are discounted to their present value using swap rates provided by electronic data services or by broker/dealers. 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 Portfolio in a manner that most fairly reflects the security’s value, or the amount that the Portfolio might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of 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.
27
Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited) — continued
The Portfolio may invest in Eaton Vance Cash Reserves Fund, LLC (Cash Reserves Fund), an affiliated investment company managed by Eaton Vance Management (EVM). Cash Reserves Fund generally values its investment securities utilizing the amortized cost valuation technique in accordance with Rule 2a-7 under the 1940 Act. This technique involves initially valuing a portfolio security at its cost and thereafter assuming a constant amortization to maturity of any discount or premium. If amortized cost is determined not to approximate fair value, Cash Reserves Fund may value its investment securities 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. Inflation adjustments to the principal amount of inflation-adjusted bonds and notes are reflected as interest income. Withholding taxes on foreign interest and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable countries’ tax rules and rates.
D Federal Taxes — The Portfolio has elected to be treated as a partnership for federal tax purposes. No provision is made by the Portfolio for federal or state taxes on any taxable income of the Portfolio because each investor in the Portfolio is ultimately responsible for the payment of any taxes on its share of taxable income. Since at least one of the Portfolio’s investors is a regulated investment company that invests all or substantially all of its assets in the Portfolio, the Portfolio normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order for its investors to satisfy them. The Portfolio will allocate, at least annually among its investors, each investor’s distributive share of the Portfolio’s net investment income, net realized capital gains and any other items of income, gain, loss, deduction or credit.
The Subsidiary is treated as a controlled foreign corporation under the Internal Revenue Code and is not expected to be subject to U.S. federal income tax. The Portfolio is treated as a U.S. shareholder of the Subsidiary. As a result, the Portfolio is required to include in gross income for U.S. federal income tax purposes all of the Subsidiary’s income, whether or not such income is distributed by the Subsidiary. If a net loss is realized by the Subsidiary, such loss is not generally available to offset the income earned by the Portfolio.
As of April 30, 2011, the Portfolio had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. Each of the Portfolio’s federal tax returns filed in the 3-year period ended October 31, 2010 remains subject to examination by the Internal Revenue Service.
E Expense Reduction — State Street Bank and Trust Company (SSBT) serves as custodian of the Portfolio. Pursuant to the custodian agreement, SSBT receives a fee reduced by credits, which are determined based on the average daily cash balance the Portfolio maintains with SSBT. All credit balances, if any, used to reduce the Portfolio’s custodian fees are reported as a reduction of expenses in the Consolidated Statement of Operations.
F Foreign Currency Translation — Investment valuations, other assets, and liabilities initially expressed in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates in effect on the respective dates of such transactions. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
G Use of Estimates — The preparation of the consolidated 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 consolidated financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.
H Indemnifications — Under the Portfolio’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Portfolio. Under Massachusetts law, if certain conditions prevail, interestholders in the Portfolio could be deemed to have personal liability for the obligations of the Portfolio. However, the Portfolio’s Declaration of Trust contains an express disclaimer of liability on the part of Portfolio interestholders and the By-laws provide that the Portfolio shall assume the defense on behalf of any Portfolio interestholder. Moreover, the By-laws also provide for indemnification out of Portfolio property of any interestholder held personally liable solely by reason of being or having been an interestholder for all loss or expense arising from such liability. Additionally, in the normal course of business, the Portfolio enters into agreements with service providers that may contain indemnification clauses. The Portfolio’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet occurred.
I Financial Futures Contracts — Upon entering into a financial futures contract, the Portfolio is required to deposit with the broker, either in cash or securities, an amount equal to a certain percentage of the purchase price (initial margin). Subsequent payments, known as variation margin, are made or received by the Portfolio each business day, depending on the daily fluctuations in the value of the underlying security, commodity or currency, and are recorded as unrealized gains or losses by the Portfolio. Gains (losses) are realized upon the expiration or closing of the financial futures contracts. Should market conditions change unexpectedly, the Portfolio may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. Futures contracts have minimal counterparty risk as they are exchange traded and the clearinghouse for the exchange is substituted as the counterparty, guaranteeing counterparty performance.
28
Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited) — continued
J Forward Foreign Currency Exchange and Forward Commodity Contracts — The Portfolio may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The forward foreign currency exchange contract is adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contract has been closed or offset by another contract with the same broker for the same settlement date and currency. Unrealized and realized gains and losses on forward commodity contracts, which are entered into for the purchase or sale of a specific commodity at a fixed price on a future date, are accounted for as described above. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and, in the case of forward foreign currency exchange contracts, from movements in the value of a foreign currency relative to the U.S. dollar.
K Written Options — Upon the writing of a call or a put option, the premium received by the Portfolio is included in the Consolidated Statement of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written, in accordance with the Portfolio’s policies on investment valuations discussed above. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or are closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. When an index option is exercised, the Portfolio is required to deliver an amount of cash determined by the excess of the strike price of the option over the value of the index (in the case of a put) or the excess of the value of the index over the strike price of the option (in the case of a call) at contract termination. If a put option on a security is exercised, the premium reduces the cost basis of the securities purchased by the Portfolio. The Portfolio, as a writer of an option, may have no control over whether the underlying securities or other assets may be sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the securities or other assets underlying the written option. The Portfolio may also bear the risk of not being able to enter into a closing transaction if a liquid secondary market does not exist.
L Purchased Options — Upon the purchase of a call or put option, the premium paid by the Portfolio is included in the Consolidated Statement of Assets and Liabilities as an investment. The amount of the investment is subsequently marked-to-market to reflect the current market value of the option purchased, in accordance with the Portfolio’s policies on investment valuations discussed above. As the purchaser of an index option, the Portfolio has the right to receive a cash payment equal to any depreciation in the value of the index below the strike price of the option (in the case of a put) or equal to any appreciation in the value of the index over the strike price of the option (in the case of a call) as of the valuation date of the option. If an option which the Portfolio has purchased expires on the stipulated expiration date, the Portfolio will realize a loss in the amount of the cost of the option. If the Portfolio enters into a closing sale transaction, the Portfolio will realize a gain or loss, depending on whether the sales proceeds from the closing sale transaction are greater or less than the cost of the option. If the Portfolio exercises a put option on a security, it will realize a gain or loss from the sale of the underlying security, and the proceeds from such sale will be decreased by the premium originally paid. If the Portfolio exercises a call option on a security, the cost of the security which the Portfolio purchases upon exercise will be increased by the premium originally paid. The risk associated with purchasing options is limited to the premium originally paid.
M Interest Rate Swaps — Pursuant to interest rate swap agreements, the Portfolio either makes floating-rate payments based on a benchmark interest rate in exchange for fixed-rate payments or the Portfolio makes fixed-rate payments in exchange for payments on a floating benchmark interest rate. Payments received or made are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. The value of the swap is determined by changes in the relationship between two rates of interest. The Portfolio is exposed to credit loss in the event of non-performance by the swap counterparty. Risk may also arise from movements in interest rates.
N Cross-Currency Swaps — Cross-currency swaps are interest rate swaps in which interest cash flows are exchanged between two parties based on the notional amounts of two different currencies. The notional amounts are typically determined based on the spot exchange rates at the inception of the trade. Cross-currency swaps also involve the exchange of the notional amounts at the start of the contract at the current spot rate with an agreement to re-exchange such amounts at a later date at the same exchange rate, a specified rate or the then current spot rate. The entire principal value of a cross-currency swap is subject to the risk that the counterparty to the swap will default on its contractual delivery obligations.
O Credit Default Swaps — When the Portfolio is the buyer of a credit default swap contract, the Portfolio is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation (or basket of debt obligations) from the counterparty to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, the Portfolio pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Portfolio would have spent the stream of payments and received no proceeds from the contract. When the Portfolio is the seller of a credit default swap contract, it receives the stream of payments, but is obligated to pay to the buyer of the protection an amount up to the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the Portfolio is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Portfolio could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Portfolio for the same referenced obligation. As the seller, the Portfolio effectively may create economic leverage to its portfolio because, in addition to its total net assets, the Portfolio is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap contract, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The Portfolio also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. 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. For financial reporting purposes, unamortized upfront payments, if any, are netted with unrealized
29
Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited) — continued
appreciation or depreciation on swap contracts to determine the market value of swaps as presented in Notes 5 and 8. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, marked to market on a daily basis. These transactions involve certain risks, including the risk that the seller may be unable to fulfill the transaction.
P Total Return Swaps — In a total return swap, the Portfolio makes payments at a rate equal to a predetermined spread to the one or three-month LIBOR. In exchange, the Portfolio receives payments based on the rate of return of a benchmark industry index or basket of securities. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains and losses. Periodic payments received or made are recorded as realized gains or losses. The value of the swap is determined by changes in the relationship between the rate of interest and the benchmark industry index or basket of securities. The Portfolio is exposed to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of interest rates, securities, or the index.
Q Repurchase Agreements — A repurchase agreement is the purchase by the Portfolio of securities from a counterparty in exchange for cash that is coupled with an agreement to resell those securities to the counterparty at a specified date and price. When a repurchase agreement is entered, the Portfolio typically receives securities with a value that equals or exceeds the repurchase price, including any accrued interest earned on the agreement. The value of such securities will be marked to market daily, and cash or additional securities will be exchanged between the parties as needed. Except in the case of a repurchase agreement entered to settle a short sale, the value of the securities delivered to the Portfolio will be at least equal to 90% of the repurchase price during the term of the repurchase agreement. The terms of a repurchase agreement entered to settle a short sale may provide that the cash purchase price paid by the Portfolio is more than the value of purchased securities that effectively collateralize the repurchase price payable by the counterparty. Since in such a transaction the Portfolio normally will have used the purchased securities to settle the short sale, the Portfolio will segregate liquid assets equal to the marked to market value of the purchased securities that it is obligated to return to the counterparty under the repurchase agreement. In the event of the insolvency of the counterparty to a repurchase agreement, recovery of the repurchase price owed to the Portfolio may be delayed. Such an insolvency also may result in a loss to the extent that the value of the purchased securities decreases during the delay or that value has otherwise not been maintained at an amount at least equal to the repurchase price.
R Securities Sold Short — A short sale is a transaction in which the Portfolio sells a security it does not own in anticipation of a decline in the market value of that security. To complete such a transaction, the Portfolio must borrow the security to make delivery to the buyer with an obligation to replace such borrowed security at a later date. Until the security is replaced, the Portfolio is required to repay the lender any dividends or interest, which accrue during the period of the loan. The proceeds received from a short sale are recorded as a liability and the Portfolio records an unrealized gain or loss to the extent of the difference between the proceeds received and the value of the open short position on the day of determination. A gain, limited to the price at which the Portfolio sold the security short, or a loss, potentially unlimited as there is no upward limit on the price of a security, is recorded when the short position is terminated. Interest payable on securities sold short is recorded as an expense.
S Interim Consolidated Financial Statements — The interim consolidated financial statements relating to April 30, 2011 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Portfolio’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the consolidated financial statements.
2 Investment Adviser Fee and Other Transactions with Affiliates
The investment adviser fee is earned by Boston Management and Research (BMR), a subsidiary of EVM, as compensation for investment advisory services rendered to the Portfolio and the Subsidiary. Pursuant to the investment advisory agreement between the Portfolio and BMR and the investment advisory agreement between the Subsidiary and BMR, the Portfolio and Subsidiary each pay BMR a fee at an annual rate of 0.650% of its respective average daily net assets up to $1 billion, 0.625% from $1 billion up to $2 billion, 0.600% from $2 billion up to $5 billion, and 0.575% of average daily net assets of $5 billion or more, and is payable monthly. In determining the investment adviser fee for the Portfolio and Subsidiary, the applicable advisory fee rate is based on the average daily net assets of the Portfolio (inclusive of its interest in the Subsidiary). Such fee rate is then assessed separately on the Portfolio’s average daily net assets (exclusive of its interest in the Subsidiary) and the Subsidiary’s average daily net assets to determine the amount of the investment adviser fee. The Portfolio invests its cash in Cash Reserves Fund. EVM does not currently receive a fee for advisory services provided to Cash Reserves Fund. For the six months ended April 30, 2011, the Portfolio’s investment adviser fee totaled $1,760,150 or 0.65% (annualized) of the Portfolio’s consolidated average daily net assets.
Except for Trustees of the Portfolio who are not members of EVM’s or BMR’s organizations, officers and Trustees receive remuneration for their services to the Portfolio out of the investment adviser fee. Trustees of the Portfolio who are not affiliated with the investment adviser may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the six months ended April 30, 2011, no significant amounts have been deferred. Certain officers and Trustees of the Portfolio are officers of the above organizations.
30
Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited) — continued
3 Purchases and Sales of Investments
Purchases and sales of investments, other than short-term obligations and including maturities, paydowns and securities sold short, for the six months ended April 30, 2011 were as follows:
Purchases | Sales | |||||||||
Investments (non-U.S. Government) | $ | 217,825,968 | $ | 1,307,415 | ||||||
U.S. Government and Agency Securities | — | 33,469,296 | ||||||||
$ | 217,825,968 | $ | 34,776,711 | |||||||
Included in sales are proceeds of $19,479,035 from the sale of securities by the Portfolio to investment companies advised by EVM or its affiliates. Such transactions were executed in accordance with affiliated transaction procedures approved by the Portfolio’s Trustees.
4 Federal Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) of investments of the Portfolio at April 30, 2011, as determined on a federal income tax basis, were as follows:
Aggregate cost | $ | 649,153,721 | ||||
Gross unrealized appreciation | $ | 36,224,518 | ||||
Gross unrealized depreciation | (6,651,751 | ) | ||||
Net unrealized appreciation | $ | 29,572,767 | ||||
5 Financial Instruments
The Portfolio may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include forward commodity contracts, forward foreign currency exchange contracts, financial futures contracts and swap contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Portfolio has in particular classes of financial instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered.
A summary of obligations under these financial instruments at April 30, 2011 is as follows:
Forward Commodity Contracts(1) | ||||||||||||
Sales | ||||||||||||
Net Unrealized | ||||||||||||
Settlement Date | Deliver | In Exchange For | Counterparty | Depreciation | ||||||||
6/28/11 | Gold 1,972 Troy Ounces | United States Dollar 2,834,780 | Citigroup Global Markets | $ | (256,793 | ) | ||||||
10/27/11 | Gold 1,462 Troy Ounces | United States Dollar 2,083,744 | Citigroup Global Markets | (208,337 | ) | |||||||
4/26/12 | Gold 2,480 Troy Ounces | United States Dollar 3,559,658 | Citigroup Global Markets | (330,840 | ) | |||||||
$ | (795,970 | ) | ||||||||||
(1) | Non-deliverable contracts that are settled with the counterparty in cash. |
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Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited) — continued
Forward Foreign Currency Exchange Contracts | ||||||||||||
Sales | ||||||||||||
Net Unrealized | ||||||||||||
Appreciation | ||||||||||||
Settlement Date | Deliver | In Exchange For | Counterparty | (Depreciation) | ||||||||
5/2/11 | New Turkish Lira 6,107,419 | United States Dollar 4,025,454 | Deutsche Bank | $ | 10,057 | |||||||
5/3/11 | South African Rand 2,653,432 | United States Dollar 401,731 | Standard Bank | (2,448 | ) | |||||||
5/4/11 | Euro 453,910 | United States Dollar 645,234 | Deutsche Bank | (27,057 | ) | |||||||
5/4/11 | Israeli Shekel 1,696,000 | United States Dollar 454,022 | Barclays Bank PLC | (47,690 | ) | |||||||
5/4/11 | Israeli Shekel 2,860,000 | United States Dollar 760,032 | Citigroup Global Markets | (86,016 | ) | |||||||
5/4/11 | New Zealand Dollar 3,627,900 | United States Dollar 2,758,525 | Credit Suisse | (177,157 | ) | |||||||
5/4/11 | New Zealand Dollar 1,035,000 | United States Dollar 786,595 | Goldman Sachs, Inc. | (50,923 | ) | |||||||
5/4/11 | New Zealand Dollar 1,034,600 | United States Dollar 786,586 | HSBC Bank USA | (50,608 | ) | |||||||
5/4/11 | New Zealand Dollar 489,800 | United States Dollar 371,954 | JPMorgan Chase Bank | (24,390 | ) | |||||||
5/4/11 | Serbian Dinar 84,685,000 | Euro 851,962 | Deutsche Bank | (4,488 | ) | |||||||
5/5/11 | Euro 341,000 | United States Dollar 446,846 | HSBC Bank USA | (58,198 | ) | |||||||
5/19/11 | Japanese Yen 232,125,000 | United States Dollar 2,788,556 | Goldman Sachs, Inc. | (73,278 | ) | |||||||
5/20/11 | Euro 569,857 | United States Dollar 833,419 | Deutsche Bank | (10,231 | ) | |||||||
5/20/11 | Euro 281,107 | United States Dollar 410,746 | Goldman Sachs, Inc. | (5,421 | ) | |||||||
5/20/11 | Euro 11,105,843 | United States Dollar 15,914,673 | HSBC Bank USA | (527,071 | ) | |||||||
5/20/11 | Euro 11,105,843 | United States Dollar 15,836,654 | JPMorgan Chase Bank | (605,090 | ) | |||||||
5/23/11 | Euro 1,570,000 | United States Dollar 2,244,158 | Standard Bank | (79,971 | ) | |||||||
6/1/11 | Israeli Shekel 4,955,000 | United States Dollar 1,353,271 | Barclays Bank PLC | (110,430 | ) | |||||||
6/2/11 | Euro 700,000 | United States Dollar 856,310 | HSBC Bank USA | (179,642 | ) | |||||||
6/15/11 | South African Rand 774,936 | United States Dollar 110,884 | Bank of America | (6,468 | ) | |||||||
6/16/11 | Euro 819,000 | United States Dollar 1,009,999 | Citigroup Global Markets | (201,605 | ) | |||||||
7/6/11 | Israeli Shekel 1,746,000 | United States Dollar 472,467 | Deutsche Bank | (42,473 | ) | |||||||
7/15/11 | Sri Lankan Rupee 60,920,000 | United States Dollar 512,665 | HSBC Bank USA | (39,384 | ) |
32
Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
Sales | ||||||||||||
Net Unrealized | ||||||||||||
Appreciation | ||||||||||||
Settlement Date | Deliver | In Exchange For | Counterparty | (Depreciation) | ||||||||
8/3/11 | Israeli Shekel 9,305,600 | United States Dollar 2,667,049 | Deutsche Bank | $ | (74,327 | ) | ||||||
8/5/11 | Sri Lankan Rupee 22,030,000 | United States Dollar 189,505 | HSBC Bank USA | (9,826 | ) | |||||||
8/25/11 | Euro 307,000 | United States Dollar 386,851 | Deutsche Bank | (66,342 | ) | |||||||
9/7/11 | Israeli Shekel 3,412,100 | United States Dollar 976,141 | Barclays Bank PLC | (27,497 | ) | |||||||
9/7/11 | Israeli Shekel 9,305,600 | United States Dollar 2,661,937 | Deutsche Bank | (75,221 | ) | |||||||
9/8/11 | Euro 592,000 | United States Dollar 751,745 | Citigroup Global Markets | (121,749 | ) | |||||||
9/15/11 | Euro 3,467,000 | United States Dollar 4,502,038 | Deutsche Bank | (612,295 | ) | |||||||
9/22/11 | Euro 540,000 | United States Dollar 707,697 | Goldman Sachs, Inc. | (88,693 | ) | |||||||
10/5/11 | Israeli Shekel 6,203,700 | United States Dollar 1,772,739 | Citigroup Global Markets | (49,780 | ) | |||||||
11/2/11 | Israeli Shekel 19,627,000 | United States Dollar 5,368,435 | Barclays Bank PLC | (390,491 | ) | |||||||
11/2/11 | Israeli Shekel 1,500,000 | United States Dollar 405,351 | Deutsche Bank | (34,777 | ) | |||||||
2/29/12 | Israeli Shekel 5,553,000 | United States Dollar 1,518,458 | Deutsche Bank | (102,577 | ) | |||||||
3/9/12 | Sri Lankan Rupee 17,130,000 | United States Dollar 152,402 | Standard Chartered Bank | (274 | ) | |||||||
3/16/12 | Sri Lankan Rupee 9,720,000 | United States Dollar 85,942 | Standard Chartered Bank | (656 | ) | |||||||
3/23/12 | Sri Lankan Rupee 14,370,000 | United States Dollar 127,450 | HSBC Bank USA | (524 | ) | |||||||
4/27/12 | Sri Lankan Rupee 180,600,000 | United States Dollar 1,595,406 | Standard Chartered Bank | (9,760 | ) | |||||||
$ | (4,064,771 | ) | ||||||||||
33
Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
Purchases | ||||||||||||
Net Unrealized | ||||||||||||
Appreciation | ||||||||||||
Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
5/2/11 | New Turkish Lira 6,107,419 | United States Dollar 3,787,859 | JPMorgan Chase Bank | $ | 227,538 | |||||||
5/3/11 | Romanian Leu 7,938,000 | Euro 1,950,488 | Credit Suisse | (4,780 | ) | |||||||
5/3/11 | Thai Baht 148,200,000 | United States Dollar 4,835,237 | Standard Chartered Bank | 129,588 | ||||||||
5/4/11 | Czech Koruna 13,237,000 | Euro 539,191 | Deutsche Bank | 12,278 | ||||||||
5/4/11 | Israeli Shekel 4,335,900 | United States Dollar 1,267,733 | Bank of America | 14,917 | ||||||||
5/4/11 | Israeli Shekel 5,439,034 | United States Dollar 1,624,562 | Bank of America | (15,582 | ) | |||||||
5/4/11 | Israeli Shekel 7,389,216 | United States Dollar 2,141,367 | Credit Suisse | 44,518 | ||||||||
5/4/11 | Israeli Shekel 4,340,160 | United States Dollar 1,264,321 | Credit Suisse | 19,590 | ||||||||
5/4/11 | Israeli Shekel 2,801,700 | United States Dollar 820,879 | Credit Suisse | 7,923 | ||||||||
5/4/11 | Israeli Shekel 1,116,710 | United States Dollar 325,844 | Standard Bank | 4,502 | ||||||||
5/4/11 | Serbian Dinar 57,083,000 | Euro 573,524 | Credit Suisse | 4,138 | ||||||||
5/4/11 | Serbian Dinar 27,602,000 | Euro 278,190 | Raiffeisen Zentralbank | 717 | ||||||||
5/5/11 | Mexican Peso 293,734,056 | United States Dollar 24,798,147 | Citigroup Global Markets | 713,409 | ||||||||
5/5/11 | Mexican Peso 32,126,000 | United States Dollar 2,765,073 | Credit Suisse | 25,153 | ||||||||
5/6/11 | Polish Zloty 22,597,883 | Euro 5,589,454 | Credit Suisse | 232,678 | ||||||||
5/9/11 | Czech Koruna 80,338,000 | Euro 3,284,532 | Citigroup Global Markets | 57,061 | ||||||||
5/10/11 | Mexican Peso 11,903,502 | United States Dollar 983,314 | Citigroup Global Markets | 50,073 | ||||||||
5/10/11 | Mexican Peso 24,280,000 | United States Dollar 1,999,094 | Deutsche Bank | 108,741 | ||||||||
5/10/11 | Thai Baht 315,825,000 | United States Dollar 10,279,089 | Bank of America | 297,448 | ||||||||
5/10/11 | Thai Baht 300,000,000 | United States Dollar 9,760,859 | Barclays Bank PLC | 285,721 | ||||||||
5/11/11 | Indonesian Rupiah 6,145,000,000 | United States Dollar 682,778 | Barclays Bank PLC | 34,631 | ||||||||
5/11/11 | Indonesian Rupiah 5,525,000,000 | United States Dollar 613,889 | Credit Suisse | 31,137 | ||||||||
5/11/11 | Indonesian Rupiah 2,520,000,000 | United States Dollar 280,000 | Standard Chartered Bank | 14,202 |
34
Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
Purchases | ||||||||||||
Net Unrealized | ||||||||||||
Appreciation | ||||||||||||
Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
5/11/11 | New Turkish Lira 6,107,419 | United States Dollar 4,019,626 | Deutsche Bank | $ | (10,404 | ) | ||||||
5/13/11 | Polish Zloty 47,002,000 | Euro 11,815,782 | Standard Bank | 194,194 | ||||||||
5/13/11 | Russian Ruble 231,060,000 | United States Dollar 8,204,673 | HSBC Bank USA | 221,688 | ||||||||
5/16/11 | Czech Koruna 55,600,000 | Euro 2,278,035 | Bank of America | 32,663 | ||||||||
5/16/11 | Indian Rupee 37,500,000 | United States Dollar 822,008 | Goldman Sachs, Inc. | 24,034 | ||||||||
5/16/11 | New Taiwan Dollar 15,840,000 | United States Dollar 540,928 | Citigroup Global Markets | 12,211 | ||||||||
5/18/11 | Swedish Krona 47,394,000 | Euro 5,245,949 | Goldman Sachs, Inc. | 70,487 | ||||||||
5/19/11 | Indonesian Rupiah 12,405,000,000 | United States Dollar 1,428,160 | Credit Suisse | 19,821 | ||||||||
5/20/11 | Indonesian Rupiah 1,815,000,000 | United States Dollar 208,573 | Barclays Bank PLC | 3,279 | ||||||||
5/20/11 | Indonesian Rupiah 1,566,000,000 | United States Dollar 180,000 | Deutsche Bank | 2,788 | ||||||||
5/20/11 | Indonesian Rupiah 1,925,000,000 | United States Dollar 221,264 | Standard Chartered Bank | 3,427 | ||||||||
5/23/11 | Czech Koruna 46,978,208 | Euro 1,921,713 | Credit Suisse | 32,493 | ||||||||
5/23/11 | Indonesian Rupiah 2,833,620,000 | United States Dollar 317,102 | Citigroup Global Markets | 13,625 | ||||||||
5/23/11 | Indonesian Rupiah 17,270,000,000 | United States Dollar 1,980,050 | Credit Suisse | 35,619 | ||||||||
5/23/11 | Indonesian Rupiah 3,058,180,000 | United States Dollar 342,231 | Goldman Sachs, Inc. | 14,704 | ||||||||
5/23/11 | Serbian Dinar 15,139,223 | Euro 148,526 | Deutsche Bank | 5,299 | ||||||||
5/23/11 | Serbian Dinar 58,293,000 | Euro 571,500 | Standard Bank | 20,984 | ||||||||
5/23/11 | Singapore Dollar 3,264,000 | United States Dollar 2,560,602 | Deutsche Bank | 105,930 | ||||||||
5/24/11 | Indonesian Rupiah 22,000,000,000 | United States Dollar 2,452,346 | Citigroup Global Markets | 115,328 | ||||||||
5/24/11 | Thai Baht 331,700,000 | United States Dollar 10,818,656 | Citigroup Global Markets | 280,051 | ||||||||
5/26/11 | Yuan Renminbi 4,609,500 | United States Dollar 700,000 | Bank of America | 12,703 | ||||||||
5/26/11 | Yuan Renminbi 9,223,200 | United States Dollar 1,400,000 | Barclays Bank PLC | 26,056 | ||||||||
5/26/11 | Yuan Renminbi 4,610,200 | United States Dollar 700,000 | Citigroup Global Markets | 12,811 |
35
Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
Purchases | ||||||||||||
Net Unrealized | ||||||||||||
Appreciation | ||||||||||||
Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
5/31/11 | Indian Rupee 30,000,000 | United States Dollar 664,452 | Bank of America | $ | 10,466 | |||||||
5/31/11 | Indian Rupee 39,200,000 | United States Dollar 868,025 | Standard Chartered Bank | 13,868 | ||||||||
5/31/11 | Norwegian Krone 32,130,000 | Euro 4,066,497 | Credit Suisse | 95,713 | ||||||||
5/31/11 | Norwegian Krone 14,000,000 | Euro 1,798,018 | Goldman Sachs, Inc. | 3,041 | ||||||||
5/31/11 | Polish Zloty 11,476,000 | Euro 2,913,356 | Standard Bank | 226 | ||||||||
5/31/11 | South Korean Won 568,000,000 | United States Dollar 507,778 | Barclays Bank PLC | 23,433 | ||||||||
5/31/11 | South Korean Won 544,000,000 | United States Dollar 486,322 | Citigroup Global Markets | 22,443 | ||||||||
5/31/11 | Swedish Krona 31,216,800 | Euro 3,531,552 | Credit Suisse | (68,086 | ) | |||||||
6/3/11 | South African Rand 30,573,046 | United States Dollar 4,608,678 | Standard Bank | 29,032 | ||||||||
6/3/11 | Yuan Renminbi 1,950,000 | United States Dollar 294,740 | Bank of America | 7,141 | ||||||||
6/3/11 | Yuan Renminbi 1,950,000 | United States Dollar 294,606 | Deutsche Bank | 7,274 | ||||||||
6/6/11 | Indian Rupee 51,000,000 | United States Dollar 1,126,325 | Deutsche Bank | 19,795 | ||||||||
6/6/11 | Indonesian Rupiah 8,260,000,000 | United States Dollar 927,048 | Bank of America | 36,616 | ||||||||
6/6/11 | Indonesian Rupiah 6,838,000,000 | United States Dollar 786,791 | Citigroup Global Markets | 10,973 | ||||||||
6/6/11 | Malaysian Ringgit 8,573,000 | United States Dollar 2,807,046 | Bank of America | 89,031 | ||||||||
6/6/11 | Polish Zloty 7,125,614 | United States Dollar 2,583,000 | Goldman Sachs, Inc. | 92,905 | ||||||||
6/6/11 | Polish Zloty 13,513,870 | United States Dollar 4,749,875 | JPMorgan Chase Bank | 325,032 | ||||||||
6/7/11 | Indonesian Rupiah 4,650,000,000 | United States Dollar 523,531 | Barclays Bank PLC | 18,937 | ||||||||
6/7/11 | Indonesian Rupiah 4,880,000,000 | United States Dollar 549,550 | Deutsche Bank | 19,750 | ||||||||
6/7/11 | Singapore Dollar 2,225,000 | United States Dollar 1,754,593 | Bank of America | 63,115 | ||||||||
6/7/11 | Singapore Dollar 2,225,000 | United States Dollar 1,755,078 | Citigroup Global Markets | 62,631 | ||||||||
6/7/11 | Swedish Krona 37,111,000 | Euro 4,120,514 | Credit Suisse | 33,159 | ||||||||
6/9/11 | Indonesian Rupiah 5,675,000,000 | United States Dollar 640,808 | Barclays Bank PLC | 21,161 |
36
Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
Purchases | ||||||||||||
Net Unrealized | ||||||||||||
Appreciation | ||||||||||||
Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
6/9/11 | Indonesian Rupiah 5,675,000,000 | United States Dollar 640,881 | Standard Chartered Bank | $ | 21,088 | |||||||
6/9/11 | Malaysian Ringgit 5,510,000 | United States Dollar 1,811,308 | Deutsche Bank | 49,913 | ||||||||
6/9/11 | South Korean Won 890,000,000 | United States Dollar 827,676 | Bank of America | 4,557 | ||||||||
6/9/11 | South Korean Won 1,200,000,000 | United States Dollar 1,101,301 | Barclays Bank PLC | 20,810 | ||||||||
6/9/11 | South Korean Won 948,000,000 | United States Dollar 860,566 | Credit Suisse | 25,902 | ||||||||
6/9/11 | South Korean Won 1,290,000,000 | United States Dollar 1,200,782 | Credit Suisse | 5,488 | ||||||||
6/10/11 | Polish Zloty 98,917,720 | United States Dollar 34,369,105 | Citigroup Global Markets | 2,763,652 | ||||||||
6/10/11 | South Korean Won 145,000,000 | United States Dollar 132,541 | Barclays Bank PLC | 3,039 | ||||||||
6/10/11 | South Korean Won 147,000,000 | United States Dollar 134,375 | Citigroup Global Markets | 3,074 | ||||||||
6/10/11 | South Korean Won 148,000,000 | United States Dollar 135,271 | Goldman Sachs, Inc. | 3,114 | ||||||||
6/13/11 | Indian Rupee 10,950,000 | United States Dollar 245,186 | Bank of America | 597 | ||||||||
6/13/11 | Indian Rupee 12,310,000 | United States Dollar 275,638 | Barclays Bank PLC | 671 | ||||||||
6/13/11 | Indian Rupee 13,390,000 | United States Dollar 299,888 | Credit Suisse | 663 | ||||||||
6/13/11 | Indian Rupee 13,390,000 | United States Dollar 299,888 | Goldman Sachs, Inc. | 663 | ||||||||
6/13/11 | Malaysian Ringgit 6,300,000 | United States Dollar 2,070,393 | Citigroup Global Markets | 57,480 | ||||||||
6/13/11 | Malaysian Ringgit 11,500,000 | United States Dollar 3,806,057 | Standard Chartered Bank | 78,156 | ||||||||
6/13/11 | South Korean Won 1,168,000,000 | United States Dollar 1,069,499 | Deutsche Bank | 22,409 | ||||||||
6/14/11 | Malaysian Ringgit 5,800,000 | United States Dollar 1,902,575 | Bank of America | 56,373 | ||||||||
6/14/11 | South Korean Won 708,600,000 | United States Dollar 646,651 | Barclays Bank PLC | 15,743 | ||||||||
6/14/11 | South Korean Won 1,480,000,000 | United States Dollar 1,351,969 | Credit Suisse | 31,524 | ||||||||
6/14/11 | South Korean Won 642,000,000 | United States Dollar 585,927 | Goldman Sachs, Inc. | 14,210 | ||||||||
6/15/11 | Yuan Renminbi 1,800,000 | United States Dollar 272,521 | Citigroup Global Markets | 6,519 | ||||||||
6/15/11 | Yuan Renminbi 3,800,000 | United States Dollar 574,887 | HSBC Bank USA | 14,198 |
37
Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
Purchases | ||||||||||||
Net Unrealized | ||||||||||||
Appreciation | ||||||||||||
Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
6/21/11 | Serbian Dinar 33,685,000 | Euro 327,261 | HSBC Bank USA | $ | 13,029 | |||||||
6/27/11 | Malaysian Ringgit 7,738,000 | United States Dollar 2,543,303 | Deutsche Bank | 69,396 | ||||||||
6/27/11 | Norwegian Krone 14,564,882 | Euro 1,867,604 | Standard Bank | 4,976 | ||||||||
6/30/11 | Czech Koruna 33,030,000 | Euro 1,369,687 | Deutsche Bank | (3,372 | ) | |||||||
6/30/11 | Hungarian Forint 896,948,135 | Euro 3,367,554 | Standard Bank | 13,248 | ||||||||
6/30/11 | Malaysian Ringgit 6,300,000 | United States Dollar 2,074,894 | Bank of America | 52,120 | ||||||||
7/5/11 | Brazilian Real 4,344,000 | United States Dollar 2,684,796 | Credit Suisse | 61,182 | ||||||||
7/5/11 | Brazilian Real 26,430,000 | United States Dollar 15,487,841 | Standard Bank | 1,219,388 | ||||||||
7/5/11 | Brazilian Real 4,600,000 | United States Dollar 2,702,703 | Standard Chartered Bank | 205,101 | ||||||||
7/5/11 | Serbian Dinar 84,685,000 | Euro 836,674 | Deutsche Bank | 8,081 | ||||||||
7/6/11 | Indian Rupee 74,100,000 | United States Dollar 1,632,878 | Citigroup Global Markets | 23,818 | ||||||||
7/11/11 | Indian Rupee 22,400,000 | United States Dollar 499,777 | Goldman Sachs, Inc. | 608 | ||||||||
7/11/11 | Malaysian Ringgit 13,890,000 | United States Dollar 4,577,964 | Bank of America | 109,812 | ||||||||
7/11/11 | Malaysian Ringgit 7,320,000 | United States Dollar 2,414,168 | Deutsche Bank | 56,279 | ||||||||
7/12/11 | Malaysian Ringgit 17,800,000 | United States Dollar 5,880,021 | JPMorgan Chase Bank | 127,089 | ||||||||
7/18/11 | Ghanaian Cedi 829,820 | United States Dollar 537,797 | Standard Bank | 1,609 | ||||||||
7/18/11 | Malaysian Ringgit 45,150,000 | United States Dollar 14,877,912 | Standard Chartered Bank | 355,236 | ||||||||
7/20/11 | Ghanaian Cedi 3,288,700 | United States Dollar 2,131,367 | Standard Bank | 5,307 | ||||||||
7/25/11 | Indian Rupee 96,573,000 | United States Dollar 2,141,783 | Credit Suisse | 10,419 | ||||||||
7/25/11 | Malaysian Ringgit 36,075,000 | United States Dollar 11,960,810 | Deutsche Bank | 206,810 | ||||||||
7/28/11 | Malaysian Ringgit 13,000,000 | United States Dollar 4,330,446 | Bank of America | 53,708 | ||||||||
7/29/11 | Malaysian Ringgit 3,530,000 | United States Dollar 1,183,214 | Barclays Bank PLC | 7,201 | ||||||||
7/29/11 | Serbian Dinar 48,350,000 | Euro 470,789 | Citigroup Global Markets | 10,153 |
38
Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
Purchases | ||||||||||||
Net Unrealized | ||||||||||||
Appreciation | ||||||||||||
Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
7/29/11 | Serbian Dinar 64,194,000 | Euro 626,283 | Standard Bank | $ | 11,678 | |||||||
8/2/11 | Brazilian Real 13,500,000 | United States Dollar 7,721,787 | HSBC Bank USA | 768,972 | ||||||||
8/4/11 | Serbian Dinar 32,219,000 | Euro 316,960 | Barclays Bank PLC | 1,224 | ||||||||
8/4/11 | Serbian Dinar 54,106,000 | Euro 529,931 | JPMorgan Chase Bank | 5,522 | ||||||||
8/9/11 | Yuan Renminbi 2,470,000 | United States Dollar 369,263 | Goldman Sachs, Inc. | 15,818 | ||||||||
8/24/11 | Yuan Renminbi 1,920,000 | United States Dollar 287,511 | Bank of America | 12,147 | ||||||||
10/12/11 | Yuan Renminbi 2,000,000 | United States Dollar 309,191 | Deutsche Bank | 4,060 | ||||||||
10/12/11 | Yuan Renminbi 13,300,000 | United States Dollar 2,048,991 | JPMorgan Chase Bank | 34,126 | ||||||||
10/13/11 | Russian Ruble 231,059,000 | United States Dollar 8,087,045 | Credit Suisse | 219,248 | ||||||||
10/13/11 | Zambian Kwacha 749,000,000 | United States Dollar 152,143 | Standard Chartered Bank | 2,841 | ||||||||
11/28/11 | Yuan Renminbi 4,545,800 | United States Dollar 700,000 | Barclays Bank PLC | 14,219 | ||||||||
11/28/11 | Yuan Renminbi 4,547,550 | United States Dollar 700,000 | JPMorgan Chase Bank | 14,494 | ||||||||
11/28/11 | Yuan Renminbi 9,093,000 | United States Dollar 1,400,000 | Standard Chartered Bank | 28,657 | ||||||||
12/8/11 | Russian Ruble 296,460,000 | United States Dollar 9,187,573 | HSBC Bank USA | 1,408,055 | ||||||||
12/13/11 | Mexican Peso 217,378,684 | United States Dollar 16,856,874 | HSBC Bank USA | 1,597,748 | ||||||||
12/30/11 | Yuan Renminbi 6,600,000 | United States Dollar 1,020,882 | Bank of America | 18,129 | ||||||||
1/19/12 | Yuan Renminbi 780,000 | United States Dollar 123,223 | Barclays Bank PLC | (279 | ) | |||||||
1/30/12 | Yuan Renminbi 4,190,000 | United States Dollar 648,828 | Bank of America | 12,049 | ||||||||
1/30/12 | Yuan Renminbi 14,416,000 | United States Dollar 2,234,935 | Barclays Bank PLC | 38,859 | ||||||||
6/18/12 | Yuan Renminbi 1,990,000 | United States Dollar 299,248 | Goldman Sachs, Inc. | 17,099 | ||||||||
11/13/12 | Yuan Renminbi 10,940,000 | United States Dollar 1,743,426 | Bank of America | 9,985 | ||||||||
$ | 14,528,740 | |||||||||||
At April 30, 2011, closed forward foreign currency purchases and sales contracts excluded above amounted to a receivable of $682,690 and a payable of $360,479.
39
Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited) — continued
Futures Contracts | ||||||||||||||||||
Net Unrealized | ||||||||||||||||||
Appreciation | ||||||||||||||||||
Expiration Date | Contracts | Position | Aggregate Cost | Value | (Depreciation) | |||||||||||||
6/11 | 36 Euro-Bobl | Short | $ | (6,175,063 | ) | $ | (6,144,759 | ) | $ | 30,304 | ||||||||
6/11 | 18 Euro-Bund | Short | (3,265,136 | ) | (3,277,133 | ) | (11,997 | ) | ||||||||||
6/11 | 10 Euro-Buxl | Short | (1,539,508 | ) | (1,535,953 | ) | 3,555 | |||||||||||
6/11 | 16 Gold | Short | (2,336,051 | ) | (2,490,240 | ) | (154,189 | ) | ||||||||||
6/11 | 6 Japan 10-Year Bond | Short | (10,270,603 | ) | (10,359,366 | ) | (88,763 | ) | ||||||||||
6/11 | 17 U.S. 2-Year Treasury Note | Short | (3,705,469 | ) | (3,725,125 | ) | (19,656 | ) | ||||||||||
6/11 | 19 U.S. 5-Year Treasury Note | Short | (2,214,688 | ) | (2,250,907 | ) | (36,219 | ) | ||||||||||
6/11 | 7 U.S. 10-Year Treasury Note | Short | (829,719 | ) | (847,985 | ) | (18,266 | ) | ||||||||||
6/11 | 74 U.S. 30-Year Treasury Bond | Short | (8,824,500 | ) | (9,055,750 | ) | (231,250 | ) | ||||||||||
6/11 | 3 U.S. Ultra-Long Treasury Bond | Short | (358,001 | ) | (377,625 | ) | (19,624 | ) | ||||||||||
7/11 | 22 Platinum | Long | 1,973,547 | 2,052,050 | 78,503 | |||||||||||||
$ | (467,602 | ) | ||||||||||||||||
Euro-Bobl: Medium-term debt securities issued by the Federal Republic of Germany with a term to maturity of 4.5 to 5 years.
Euro-Bund: Long-term debt securities issued by the Federal Republic of Germany with a term to maturity of 8.5 to 10.5 years.
Euro-Buxl: Long-term debt securities issued by the Federal Republic of Germany with a term to maturity of 24 to 35 years.
Japan 10-Year Bond: Japanese Government Bonds (JGB) having a maturity of 7 years or more but less than 11 years.
Interest Rate Swaps | ||||||||||||||||||||
Notional | Portfolio | Net Unrealized | ||||||||||||||||||
Amount | Pays/Receives | Floating | Annual | Termination | Appreciation | |||||||||||||||
Counterparty | (000’s omitted) | Floating Rate | Rate Index | Fixed Rate | Date | (Depreciation) | ||||||||||||||
Bank of America | ILS 640 | Receive | 3-month ILS TELBOR | 4.20 | % | 11/19/14 | $ | (935 | ) | |||||||||||
Bank of America | ILS 600 | Receive | 3-month ILS TELBOR | 4.54 | 1/6/15 | (2,314 | ) | |||||||||||||
Bank of America | MXN 26,000 | Pay | Mexican Interbank Deposit Rate | 6.46 | 9/24/20 | (150,566 | ) | |||||||||||||
Bank of America | PLN 10,700 | Pay | 6-month PLN WIBOR | 4.88 | 9/14/14 | 11,089 | ||||||||||||||
Bank of America | PLN 3,600 | Pay | 6-month PLN WIBOR | 4.95 | 9/14/20 | (38,274 | ) | |||||||||||||
Barclays Bank PLC | ILS 303 | Receive | 3-month ILS TELBOR | 5.15 | 3/5/20 | 258 | ||||||||||||||
Barclays Bank PLC | ILS 303 | Receive | 3-month ILS TELBOR | 5.16 | 3/8/20 | 211 | ||||||||||||||
Barclays Bank PLC | MYR 26,000 | Pay | 3-month MYR KLIBOR | 3.39 | 11/23/13 | (47,725 | ) | |||||||||||||
Barclays Bank PLC | MYR 18,000 | Pay | 3-month MYR KLIBOR | 3.70 | 10/19/15 | (50,386 | ) | |||||||||||||
Barclays Bank PLC | MYR 10,000 | Pay | 3-month MYR KLIBOR | 4.13 | 10/19/20 | (77,530 | ) | |||||||||||||
Barclays Bank PLC | PLN 8,000 | Pay | 6-month PLN WIBOR | 5.42 | 6/1/14 | 79,785 | ||||||||||||||
Barclays Bank PLC | PLN 14,300 | Pay | 6-month PLN WIBOR | 5.02 | 7/30/14 | 51,659 | ||||||||||||||
Barclays Bank PLC | PLN 24,000 | Pay | 6-month PLN WIBOR | 5.18 | 11/9/14 | (67,007 | ) | |||||||||||||
Barclays Bank PLC | PLN 2,300 | Pay | 6-month PLN WIBOR | 5.36 | 7/30/20 | 3,825 | ||||||||||||||
Barclays Bank PLC | THB 143,000 | Pay | 6-month THBFIX | 3.34 | 2/16/15 | (26,749 | ) | |||||||||||||
Barclays Bank PLC | THB 149,550 | Pay | 6-month THBFIX | 3.21 | 10/4/20 | (354,950 | ) | |||||||||||||
Barclays Bank PLC | ZAR 53,700 | Pay | 3-month JIBAR | 7.41 | 9/24/20 | (360,463 | ) | |||||||||||||
Citigroup Global Markets | MXN 50,000 | Pay | Mexican Interbank Deposit Rate | 9.08 | 8/6/13 | 318,724 |
40
Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited) — continued
Interest Rate Swaps (continued) | ||||||||||||||||||||
Notional | Portfolio | Net Unrealized | ||||||||||||||||||
Amount | Pays/Receives | Floating | Annual | Termination | Appreciation | |||||||||||||||
Counterparty | (000’s omitted) | Floating Rate | Rate Index | Fixed Rate | Date | (Depreciation) | ||||||||||||||
Citigroup Global Markets | MXN 48,000 | Pay | Mexican Interbank Deposit Rate | 6.86 | % | 11/10/20 | $ | (165,701 | ) | |||||||||||
Citigroup Global Markets | MYR 37,000 | Pay | 3-month MYR KLIBOR | 3.48 | 3/4/13 | (11,643 | ) | |||||||||||||
Citigroup Global Markets | THB 69,000 | Pay | 6-month THBFIX | 3.40 | 1/14/15 | 4,223 | ||||||||||||||
Credit Suisse | MXN 42,000 | Pay | Mexican Interbank Deposit Rate | 6.24 | 7/31/15 | (36,034 | ) | |||||||||||||
Credit Suisse | MXN 45,000 | Pay | Mexican Interbank Deposit Rate | 5.84 | 10/1/15 | (109,900 | ) | |||||||||||||
Credit Suisse | MXN 41,500 | Pay | Mexican Interbank Deposit Rate | 6.36 | 10/23/20 | (269,279 | ) | |||||||||||||
Credit Suisse | PLN 10,000 | Pay | 6-month PLN WIBOR | 5.17 | 6/15/12 | 108,573 | ||||||||||||||
Deutsche Bank | MYR 10,800 | Pay | 3-month MYR KLIBOR | 4.38 | 11/23/20 | (6,470 | ) | |||||||||||||
Deutsche Bank | PLN 5,400 | Pay | 6-month PLN WIBOR | 4.85 | 4/23/14 | (34,197 | ) | |||||||||||||
Deutsche Bank | PLN 3,100 | Pay | 6-month PLN WIBOR | 5.11 | 4/23/17 | (32,809 | ) | |||||||||||||
HSBC Bank USA | MXN 44,030 | Pay | Mexican Interbank Deposit Rate | 7.28 | 12/23/20 | (47,047 | ) | |||||||||||||
HSBC Bank USA | THB 262,000 | Pay | 6-month THBFIX | 2.67 | 10/21/15 | (377,463 | ) | |||||||||||||
HSBC Bank USA | THB 94,300 | Pay | 6-month THBFIX | 3.26 | 8/19/20 | (195,724 | ) | |||||||||||||
HSBC Bank USA | THB 159,000 | Pay | 6-month THBFIX | 3.50 | 11/25/20 | (206,944 | ) | |||||||||||||
JPMorgan Chase Bank | BRL 41,183 | Pay | Brazilian Interbank Deposit Rate | 11.41 | 7/2/12 | (265,184 | ) | |||||||||||||
JPMorgan Chase Bank | MXN 50,500 | Pay | Mexican Interbank Deposit Rate | 5.31 | 9/19/12 | 199 | ||||||||||||||
JPMorgan Chase Bank | MYR 4,750 | Pay | 3-month MYR KLIBOR | 4.44 | 4/8/19 | 16,477 | ||||||||||||||
JPMorgan Chase Bank | PLN 16,600 | Pay | 6-month PLN WIBOR | 4.75 | 10/11/13 | 49,755 | ||||||||||||||
JPMorgan Chase Bank | PLN 31,500 | Pay | 6-month PLN WIBOR | 5.06 | 11/26/13 | (47,196 | ) | |||||||||||||
JPMorgan Chase Bank | PLN 16,200 | Pay | 6-month PLN WIBOR | 4.93 | 10/13/17 | (104,057 | ) | |||||||||||||
JPMorgan Chase Bank | PLN 9,900 | Pay | 6-month PLN WIBOR | 4.91 | 10/11/18 | (87,876 | ) | |||||||||||||
JPMorgan Chase Bank | PLN 15,099 | Pay | 6-month PLN WIBOR | 5.62 | 4/8/21 | (13,343 | ) | |||||||||||||
JPMorgan Chase Bank | THB 108,000 | Pay | 6-month THBFIX | 3.22 | 10/21/20 | (258,172 | ) | |||||||||||||
JPMorgan Chase Bank | ZAR 36,500 | Pay | 3-month JIBAR | 9.05 | 10/12/15 | 322,867 | ||||||||||||||
Standard Chartered Bank | BRL 19,000 | Pay | Brazilian Interbank Deposit Rate | 12.12 | 1/2/13 | (68,297 | ) | |||||||||||||
$ | (2,546,590 | ) | ||||||||||||||||||
BRL | - Brazilian Real | |
ILS | - Israeli Shekel | |
MXN | - Mexican Peso | |
MYR | - Malaysian Ringgit | |
PLN | - Polish Zloty | |
THB | - Thailand Baht | |
ZAR | - South African Rand |
41
Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited) — continued
Credit Default Swaps — Sell Protection | ||||||||||||||||||||||||||||||||
Current | Upfront | |||||||||||||||||||||||||||||||
Notional | Contract | Market | Payments | Net Unrealized | ||||||||||||||||||||||||||||
Amount* | Annual | Termination | Annual | Market | Received | Appreciation | ||||||||||||||||||||||||||
Reference Entity | Counterparty | (000’s omitted) | Fixed Rate** | Date | Fixed Rate*** | Value | (Paid) | (Depreciation) | ||||||||||||||||||||||||
Argentina | Bank of America | $ | 4,959 | 5.00 | %(1) | 6/20/13 | 4.38 | % | $ | 91,476 | $ | (29,810 | ) | $ | 61,666 | |||||||||||||||||
Argentina | Bank of America | 1,520 | 5.00 | (1) | 6/20/13 | 4.38 | 28,038 | (20,841 | ) | 7,197 | ||||||||||||||||||||||
Argentina | Bank of America | 760 | 5.00 | (1) | 6/20/13 | 4.38 | 14,019 | (10,730 | ) | 3,289 | ||||||||||||||||||||||
Argentina | Bank of America | 667 | 5.00 | (1) | 6/20/13 | 4.38 | 12,309 | (12,427 | ) | (118 | ) | |||||||||||||||||||||
Argentina | Bank of America | 695 | 5.00 | (1) | 6/20/13 | 4.38 | 12,815 | (13,365 | ) | (550 | ) | |||||||||||||||||||||
Argentina | Citigroup Global Markets | 375 | 5.00 | (1) | 6/20/16 | 5.79 | (10,395 | ) | 9,730 | (665 | ) | |||||||||||||||||||||
Argentina | Credit Suisse | 826 | 5.00 | (1) | 6/20/13 | 4.38 | 15,236 | �� | (4,965 | ) | 10,271 | |||||||||||||||||||||
Argentina | Credit Suisse | 763 | 5.00 | (1) | 6/20/13 | 4.38 | 14,074 | (10,801 | ) | 3,273 | ||||||||||||||||||||||
Argentina | Credit Suisse | 379 | 5.00 | (1) | 6/20/13 | 4.38 | 6,991 | (3,809 | ) | 3,182 | ||||||||||||||||||||||
Argentina | Credit Suisse | 734 | 5.00 | (1) | 6/20/13 | 4.38 | 13,540 | (10,391 | ) | 3,149 | ||||||||||||||||||||||
Argentina | Credit Suisse | 847 | 5.00 | (1) | 6/20/16 | 5.79 | (23,478 | ) | 20,950 | (2,528 | ) | |||||||||||||||||||||
Argentina | Credit Suisse | 670 | 5.00 | (1) | 6/20/16 | 5.79 | (18,572 | ) | 15,223 | (3,349 | ) | |||||||||||||||||||||
Argentina | Deutsche Bank | 734 | 5.00 | (1) | 6/20/13 | 4.38 | 13,540 | (10,391 | ) | 3,149 | ||||||||||||||||||||||
Argentina | Deutsche Bank | 668 | 5.00 | (1) | 6/20/13 | 4.38 | 12,322 | (9,451 | ) | 2,871 | ||||||||||||||||||||||
Argentina | Deutsche Bank | 695 | 5.00 | (1) | 6/20/13 | 4.38 | 12,817 | (13,367 | ) | (550 | ) | |||||||||||||||||||||
Iceland | JPMorgan Chase Bank | 500 | 1.75 | 3/20/18 | 2.50 | (20,433 | ) | — | (20,433 | ) | ||||||||||||||||||||||
Iceland | JPMorgan Chase Bank | 200 | 2.10 | 3/20/23 | 2.49 | (5,855 | ) | — | (5,855 | ) | ||||||||||||||||||||||
Iceland | JPMorgan Chase Bank | 200 | 2.45 | 3/20/23 | 2.49 | (34 | ) | — | (34 | ) | ||||||||||||||||||||||
South Africa | Bank of America | 775 | 1.00 | (1) | 12/20/15 | 1.10 | (2,728 | ) | 5,801 | 3,073 | ||||||||||||||||||||||
South Africa | Bank of America | 525 | 1.00 | (1) | 12/20/15 | 1.10 | (1,848 | ) | 4,119 | 2,271 | ||||||||||||||||||||||
South Africa | Barclays Bank PLC | 750 | 1.00 | (1) | 12/20/15 | 1.10 | (2,640 | ) | 6,534 | 3,894 | ||||||||||||||||||||||
South Africa | Barclays Bank PLC | 565 | 1.00 | (1) | 12/20/15 | 1.10 | (1,989 | ) | 4,964 | 2,975 | ||||||||||||||||||||||
South Africa | Credit Suisse | 840 | 1.00 | (1) | 12/20/15 | 1.10 | (2,957 | ) | 16,426 | 13,469 | ||||||||||||||||||||||
South Africa | Credit Suisse | 790 | 1.00 | (1) | 12/20/15 | 1.10 | (2,781 | ) | 7,566 | 4,785 | ||||||||||||||||||||||
South Africa | Credit Suisse | 775 | 1.00 | (1) | 12/20/15 | 1.10 | (2,728 | ) | 6,818 | 4,090 | ||||||||||||||||||||||
South Africa | Deutsche Bank | 500 | 1.00 | (1) | 9/20/15 | 1.06 | (662 | ) | 10,475 | 9,813 | ||||||||||||||||||||||
South Africa | Deutsche Bank | 610 | 1.00 | (1) | 12/20/15 | 1.10 | (2,148 | ) | 5,360 | 3,212 | ||||||||||||||||||||||
South Africa | Goldman Sachs, Inc. | 820 | 1.00 | (1) | 12/20/15 | 1.10 | (2,887 | ) | 7,853 | 4,966 | ||||||||||||||||||||||
South Africa | Goldman Sachs, Inc. | 815 | 1.00 | (1) | 12/20/15 | 1.10 | (2,869 | ) | 7,516 | 4,647 | ||||||||||||||||||||||
South Africa | JPMorgan Chase Bank | 1,500 | 1.00 | (1) | 9/20/15 | 1.06 | (1,986 | ) | 19,139 | 17,153 | ||||||||||||||||||||||
$ | 140,187 | $ | (1,874 | ) | $ | 138,313 | ||||||||||||||||||||||||||
Credit Default Swaps — Buy Protection | ||||||||||||||||||||||||||||
Upfront | ||||||||||||||||||||||||||||
Notional | Contract | Payments | Net Unrealized | |||||||||||||||||||||||||
Amount | Annual | Termination | Market | Received | Appreciation | |||||||||||||||||||||||
Reference Entity | Counterparty | (000’s omitted) | Fixed Rate** | Date | Value | (Paid) | (Depreciation) | |||||||||||||||||||||
Austria | Barclays Bank PLC | $ | 300 | 0.44 | % | 12/20/13 | $ | (1,051 | ) | $ | — | $ | (1,051 | ) | ||||||||||||||
Austria | Barclays Bank PLC | 200 | 1.42 | 3/20/14 | (6,491 | ) | — | (6,491 | ) | |||||||||||||||||||
Brazil | Bank of America | 350 | 1.00 | (1) | 6/20/20 | 11,553 | (11,731 | ) | (178 | ) | ||||||||||||||||||
Brazil | Bank of America | 825 | 1.00 | (1) | 6/20/20 | 27,232 | (34,890 | ) | (7,658 | ) | ||||||||||||||||||
Brazil | Bank of America | 2,900 | 1.00 | (1) | 12/20/20 | 106,045 | (89,124 | ) | 16,921 | |||||||||||||||||||
Brazil | Bank of America | 883 | 1.00 | (1) | 12/20/20 | 32,289 | (31,727 | ) | 562 |
42
Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited) — continued
Credit Default Swaps — Buy Protection (continued) | ||||||||||||||||||||||||||||
Upfront | ||||||||||||||||||||||||||||
Notional | Contract | Payments | Net Unrealized | |||||||||||||||||||||||||
Amount | Annual | Termination | Market | Received | Appreciation | |||||||||||||||||||||||
Reference Entity | Counterparty | (000’s omitted) | Fixed Rate** | Date | Value | (Paid) | (Depreciation) | |||||||||||||||||||||
Brazil | Bank of America | $ | 387 | 1.00 | %(1) | 12/20/20 | $ | 14,151 | $ | (13,601 | ) | $ | 550 | |||||||||||||||
Brazil | Bank of America | 120 | 1.00 | (1) | 12/20/20 | 4,388 | (4,035 | ) | 353 | |||||||||||||||||||
Brazil | Barclays Bank PLC | 450 | 1.65 | 9/20/19 | (9,110 | ) | — | (9,110 | ) | |||||||||||||||||||
Brazil | Barclays Bank PLC | 770 | 1.00 | (1) | 12/20/20 | 28,156 | (28,312 | ) | (156 | ) | ||||||||||||||||||
Brazil | Citigroup Global Markets | 190 | 1.00 | (1) | 12/20/20 | 6,948 | (6,463 | ) | 485 | |||||||||||||||||||
Brazil | Deutsche Bank | 1,600 | 1.00 | (1) | 12/20/20 | 58,507 | (36,693 | ) | 21,814 | |||||||||||||||||||
Brazil | Deutsche Bank | 190 | 1.00 | (1) | 12/20/20 | 6,948 | (7,210 | ) | (262 | ) | ||||||||||||||||||
Brazil | HSBC Bank USA | 160 | 1.00 | (1) | 12/20/20 | 5,851 | (5,443 | ) | 408 | |||||||||||||||||||
Brazil | Standard Chartered Bank | 800 | 1.00 | (1) | 12/20/20 | 29,254 | (22,915 | ) | 6,339 | |||||||||||||||||||
Brazil | Standard Chartered Bank | 150 | 1.00 | (1) | 12/20/20 | 5,485 | (5,102 | ) | 383 | |||||||||||||||||||
Egypt | Bank of America | 550 | 1.00 | (1) | 9/20/15 | 49,935 | (23,128 | ) | 26,807 | |||||||||||||||||||
Egypt | Barclays Bank PLC | 125 | 1.00 | (1) | 6/20/15 | 10,601 | (4,217 | ) | 6,384 | |||||||||||||||||||
Egypt | Citigroup Global Markets | 650 | 1.00 | (1) | 12/20/15 | 62,770 | (40,595 | ) | 22,175 | |||||||||||||||||||
Egypt | Citigroup Global Markets | 100 | 1.00 | (1) | 6/20/20 | 17,495 | (10,134 | ) | 7,361 | |||||||||||||||||||
Egypt | Citigroup Global Markets | 100 | 1.00 | (1) | 6/20/20 | 17,495 | (10,645 | ) | 6,850 | |||||||||||||||||||
Egypt | Credit Suisse | 1,085 | 1.00 | (1) | 12/20/15 | 104,778 | (67,768 | ) | 37,010 | |||||||||||||||||||
Egypt | Credit Suisse | 375 | 1.00 | (1) | 12/20/15 | 36,213 | (21,941 | ) | 14,272 | |||||||||||||||||||
Egypt | Deutsche Bank | 250 | 1.00 | (1) | 6/20/15 | 21,202 | (8,344 | ) | 12,858 | |||||||||||||||||||
Egypt | Deutsche Bank | 150 | 1.00 | (1) | 6/20/15 | 12,722 | (6,755 | ) | 5,967 | |||||||||||||||||||
Egypt | Deutsche Bank | 100 | 1.00 | (1) | 6/20/15 | 8,481 | (5,065 | ) | 3,416 | |||||||||||||||||||
Egypt | Deutsche Bank | 100 | 1.00 | (1) | 6/20/15 | 8,481 | (5,231 | ) | 3,250 | |||||||||||||||||||
Egypt | Deutsche Bank | 125 | 1.00 | (1) | 9/20/15 | 11,349 | (6,744 | ) | 4,605 | |||||||||||||||||||
Egypt | Deutsche Bank | 1,400 | 1.00 | (1) | 12/20/15 | 135,197 | (65,600 | ) | 69,597 | |||||||||||||||||||
Egypt | Deutsche Bank | 930 | 1.00 | (1) | 12/20/15 | 89,809 | (52,836 | ) | 36,973 | |||||||||||||||||||
Egypt | Deutsche Bank | 100 | 1.00 | (1) | 6/20/20 | 17,495 | (10,196 | ) | 7,299 | |||||||||||||||||||
Egypt | Deutsche Bank | 50 | 1.00 | (1) | 6/20/20 | 8,747 | (5,091 | ) | 3,656 | |||||||||||||||||||
Egypt | JPMorgan Chase Bank | 100 | 1.00 | (1) | 6/20/15 | 8,480 | (5,132 | ) | 3,348 | |||||||||||||||||||
Greece | Citigroup Global Markets | 225 | 1.00 | (1) | 6/20/15 | 108,636 | (35,863 | ) | 72,773 | |||||||||||||||||||
Guatemala | Citigroup Global Markets | 458 | 1.00 | (1) | 9/20/20 | 30,693 | (33,032 | ) | (2,339 | ) | ||||||||||||||||||
Lebanon | Barclays Bank PLC | 200 | 1.00 | (1) | 12/20/14 | 14,955 | (11,212 | ) | 3,743 | |||||||||||||||||||
Lebanon | Citigroup Global Markets | 250 | 3.30 | 9/20/14 | (1,696 | ) | — | (1,696 | ) | |||||||||||||||||||
Lebanon | Citigroup Global Markets | 200 | 1.00 | (1) | 12/20/14 | 14,955 | (11,381 | ) | 3,574 | |||||||||||||||||||
Lebanon | Citigroup Global Markets | 150 | 1.00 | (1) | 12/20/14 | 11,216 | (8,240 | ) | 2,976 | |||||||||||||||||||
Lebanon | Citigroup Global Markets | 100 | 1.00 | (1) | 12/20/14 | 7,477 | (5,606 | ) | 1,871 | |||||||||||||||||||
Lebanon | Credit Suisse | 300 | 1.00 | (1) | 3/20/15 | 24,282 | (16,465 | ) | 7,817 | |||||||||||||||||||
Lebanon | Credit Suisse | 100 | 1.00 | (1) | 3/20/15 | 8,094 | (5,520 | ) | 2,574 | |||||||||||||||||||
Lebanon | Credit Suisse | 1,000 | 1.00 | (1) | 12/20/15 | 99,701 | (79,091 | ) | 20,610 | |||||||||||||||||||
Lebanon | Credit Suisse | 840 | 1.00 | (1) | 12/20/15 | 83,748 | (69,639 | ) | 14,109 | |||||||||||||||||||
Lebanon | Credit Suisse | 350 | 1.00 | (1) | 12/20/15 | 34,895 | (27,620 | ) | 7,275 | |||||||||||||||||||
Lebanon | Deutsche Bank | 100 | 1.00 | (1) | 3/20/15 | 8,094 | (5,096 | ) | 2,998 | |||||||||||||||||||
Lebanon | Deutsche Bank | 1,140 | 1.00 | (1) | 12/20/15 | 113,658 | (93,627 | ) | 20,031 | |||||||||||||||||||
Lebanon | Deutsche Bank | 865 | 1.00 | (1) | 12/20/15 | 86,241 | (71,334 | ) | 14,907 | |||||||||||||||||||
Malaysia | Bank of America | 200 | 0.83 | 12/20/14 | (2,266 | ) | — | (2,266 | ) | |||||||||||||||||||
Malaysia | Barclays Bank PLC | 300 | 2.40 | 3/20/14 | (17,671 | ) | — | (17,671 | ) | |||||||||||||||||||
Malaysia | Barclays Bank PLC | 400 | 0.82 | 12/20/14 | (4,385 | ) | — | (4,385 | ) | |||||||||||||||||||
Malaysia | Citigroup Global Markets | 300 | 2.45 | 3/20/14 | (18,119 | ) | — | (18,119 | ) | |||||||||||||||||||
Philippines | Bank of America | 700 | 1.00 | (1) | 12/20/15 | 3,953 | (14,092 | ) | (10,139 | ) | ||||||||||||||||||
Philippines | Barclays Bank PLC | 142 | 1.00 | (1) | 3/20/15 | (370 | ) | (3,209 | ) | (3,579 | ) |
43
Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited) — continued
Credit Default Swaps — Buy Protection (continued) | ||||||||||||||||||||||||||||
Upfront | ||||||||||||||||||||||||||||
Notional | Contract | Payments | Net Unrealized | |||||||||||||||||||||||||
Amount | Annual | Termination | Market | Received | Appreciation | |||||||||||||||||||||||
Reference Entity | Counterparty | (000’s omitted) | Fixed Rate** | Date | Value | (Paid) | (Depreciation) | |||||||||||||||||||||
Philippines | Barclays Bank PLC | $ | 500 | 1.70 | % | 12/20/14 | $ | (15,171 | ) | $ | — | $ | (15,171 | ) | ||||||||||||||
Philippines | Barclays Bank PLC | 300 | 1.84 | 12/20/14 | (10,649 | ) | — | (10,649 | ) | |||||||||||||||||||
Philippines | Barclays Bank PLC | 100 | 1.85 | 12/20/14 | (3,586 | ) | — | (3,586 | ) | |||||||||||||||||||
Philippines | Citigroup Global Markets | 200 | 1.84 | 12/20/14 | (7,099 | ) | — | (7,099 | ) | |||||||||||||||||||
Philippines | Citigroup Global Markets | 100 | 1.86 | 12/20/14 | (3,623 | ) | — | (3,623 | ) | |||||||||||||||||||
Philippines | Deutsche Bank | 150 | 1.00 | (1) | 3/20/15 | (390 | ) | (3,683 | ) | (4,073 | ) | |||||||||||||||||
Philippines | HSBC Bank USA | 600 | 1.00 | (1) | 9/20/15 | 1,534 | (13,646 | ) | (12,112 | ) | ||||||||||||||||||
Philippines | JPMorgan Chase Bank | 142 | 1.00 | (1) | 3/20/15 | (370 | ) | (3,209 | ) | (3,579 | ) | |||||||||||||||||
Philippines | JPMorgan Chase Bank | 400 | 1.69 | 12/20/14 | (11,990 | ) | — | (11,990 | ) | |||||||||||||||||||
Philippines | Standard Chartered Bank | 4,900 | 1.00 | (1) | 3/20/16 | 42,528 | (83,635 | ) | (41,107 | ) | ||||||||||||||||||
Russia | Bank of America | 540 | 1.00 | (1) | 6/20/15 | 1,755 | (24,652 | ) | (22,897 | ) | ||||||||||||||||||
Russia | Bank of America | 860 | 1.00 | (1) | 12/20/20 | 41,191 | (54,889 | ) | (13,698 | ) | ||||||||||||||||||
Russia | Barclays Bank PLC | 500 | 1.00 | (1) | 12/20/20 | 23,948 | (31,538 | ) | (7,590 | ) | ||||||||||||||||||
Russia | Citigroup Global Markets | 100 | 1.00 | (1) | 6/20/15 | 325 | (1,285 | ) | (960 | ) | ||||||||||||||||||
Russia | Credit Suisse | 200 | 1.00 | (1) | 3/20/15 | 325 | (2,226 | ) | (1,901 | ) | ||||||||||||||||||
Russia | Credit Suisse | 300 | 1.00 | (1) | 6/20/15 | 976 | (3,644 | ) | (2,668 | ) | ||||||||||||||||||
Russia | Deutsche Bank | 490 | 1.00 | (1) | 12/20/20 | 23,469 | (31,274 | ) | (7,805 | ) | ||||||||||||||||||
South Africa | Bank of America | 300 | 1.00 | (1) | 12/20/19 | 9,974 | (12,025 | ) | (2,051 | ) | ||||||||||||||||||
South Africa | Bank of America | 775 | 1.00 | (1) | 12/20/20 | 31,097 | (28,784 | ) | 2,313 | |||||||||||||||||||
South Africa | Bank of America | 525 | 1.00 | (1) | 12/20/20 | 21,066 | (21,388 | ) | (322 | ) | ||||||||||||||||||
South Africa | Barclays Bank PLC | 300 | 1.00 | (1) | 12/20/19 | 9,974 | (13,900 | ) | (3,926 | ) | ||||||||||||||||||
South Africa | Barclays Bank PLC | 100 | 1.00 | (1) | 3/20/20 | 3,501 | (3,552 | ) | (51 | ) | ||||||||||||||||||
South Africa | Barclays Bank PLC | 565 | 1.00 | (1) | 12/20/20 | 22,671 | (20,907 | ) | 1,764 | |||||||||||||||||||
South Africa | Barclays Bank PLC | 750 | 1.00 | (1) | 12/20/20 | 30,094 | (29,415 | ) | 679 | |||||||||||||||||||
South Africa | Citigroup Global Markets | 150 | 1.00 | (1) | 12/20/19 | 4,987 | (7,902 | ) | (2,915 | ) | ||||||||||||||||||
South Africa | Citigroup Global Markets | 100 | 1.00 | (1) | 3/20/20 | 3,501 | (5,544 | ) | (2,043 | ) | ||||||||||||||||||
South Africa | Credit Suisse | 100 | 1.00 | (1) | 3/20/20 | 3,501 | (3,895 | ) | (394 | ) | ||||||||||||||||||
South Africa | Credit Suisse | 100 | 1.00 | (1) | 3/20/20 | 3,501 | (4,739 | ) | (1,238 | ) | ||||||||||||||||||
South Africa | Credit Suisse | 775 | 1.00 | (1) | 12/20/20 | 31,097 | (30,604 | ) | 493 | |||||||||||||||||||
South Africa | Credit Suisse | 790 | 1.00 | (1) | 12/20/20 | 31,699 | (32,783 | ) | (1,084 | ) | ||||||||||||||||||
South Africa | Credit Suisse | 840 | 1.00 | (1) | 12/20/20 | 33,705 | (42,842 | ) | (9,137 | ) | ||||||||||||||||||
South Africa | Deutsche Bank | 500 | 1.00 | (1) | 9/20/20 | 19,232 | (26,702 | ) | (7,470 | ) | ||||||||||||||||||
South Africa | Deutsche Bank | 610 | 1.00 | (1) | 12/20/20 | 24,477 | (23,524 | ) | 953 | |||||||||||||||||||
South Africa | Goldman Sachs, Inc. | 815 | 1.00 | (1) | 12/20/20 | 32,702 | (32,064 | ) | 638 | |||||||||||||||||||
South Africa | Goldman Sachs, Inc. | 820 | 1.00 | (1) | 12/20/20 | 32,903 | (32,784 | ) | 119 | |||||||||||||||||||
South Africa | JPMorgan Chase Bank | 100 | 1.00 | (1) | 12/20/19 | 3,325 | (5,493 | ) | (2,168 | ) | ||||||||||||||||||
South Africa | JPMorgan Chase Bank | 100 | 1.00 | (1) | 12/20/19 | 3,324 | (6,592 | ) | (3,268 | ) | ||||||||||||||||||
South Africa | JPMorgan Chase Bank | 100 | 1.00 | (1) | 3/20/20 | 3,501 | (3,827 | ) | (326 | ) | ||||||||||||||||||
South Africa | JPMorgan Chase Bank | 100 | 1.00 | (1) | 3/20/20 | 3,501 | (3,964 | ) | (463 | ) | ||||||||||||||||||
South Africa | JPMorgan Chase Bank | 100 | 1.00 | (1) | 3/20/20 | 3,501 | (5,478 | ) | (1,977 | ) | ||||||||||||||||||
Spain | Barclays Bank PLC | 167 | 1.00 | (1) | 9/20/20 | 16,225 | (15,305 | ) | 920 | |||||||||||||||||||
Spain | Barclays Bank PLC | 700 | 1.00 | (1) | 12/20/20 | 69,215 | (68,697 | ) | 518 | |||||||||||||||||||
Spain | Barclays Bank PLC | 300 | 1.00 | (1) | 12/20/20 | 29,663 | (29,549 | ) | 114 | |||||||||||||||||||
Spain | Barclays Bank PLC | 690 | 1.00 | (1) | 12/20/20 | 68,228 | (68,991 | ) | (763 | ) | ||||||||||||||||||
Spain | Citigroup Global Markets | 300 | 1.00 | (1) | 3/20/20 | 28,066 | (7,311 | ) | 20,755 | |||||||||||||||||||
Spain | Citigroup Global Markets | 300 | 1.00 | (1) | 3/20/20 | 28,066 | (15,055 | ) | 13,011 | |||||||||||||||||||
Spain | Deutsche Bank | 300 | 1.00 | (1) | 3/20/20 | 28,066 | (6,903 | ) | 21,163 | |||||||||||||||||||
Spain | Deutsche Bank | 300 | 1.00 | (1) | 3/20/20 | 28,066 | (15,055 | ) | 13,011 |
44
Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited) — continued
Credit Default Swaps — Buy Protection (continued) | ||||||||||||||||||||||||||||
Upfront | ||||||||||||||||||||||||||||
Notional | Contract | Payments | Net Unrealized | |||||||||||||||||||||||||
Amount | Annual | Termination | Market | Received | Appreciation | |||||||||||||||||||||||
Reference Entity | Counterparty | (000’s omitted) | Fixed Rate** | Date | Value | (Paid) | (Depreciation) | |||||||||||||||||||||
Spain | Deutsche Bank | $ | 550 | 1.00 | %(1) | 6/20/20 | $ | 52,457 | $ | (35,611 | ) | $ | 16,846 | |||||||||||||||
Spain | Deutsche Bank | 3,265 | 1.00 | (1) | 12/20/20 | 322,843 | (279,968 | ) | 42,875 | |||||||||||||||||||
Spain | Deutsche Bank | 670 | 1.00 | (1) | 12/20/20 | 66,250 | (66,991 | ) | (741 | ) | ||||||||||||||||||
Spain | Goldman Sachs, Inc. | 193 | 1.00 | (1) | 9/20/20 | 18,752 | (18,065 | ) | 687 | |||||||||||||||||||
Thailand | Barclays Bank PLC | 400 | 0.97 | 9/20/19 | 11,162 | — | 11,162 | |||||||||||||||||||||
Thailand | Citigroup Global Markets | 400 | 0.86 | 12/20/14 | 330 | — | 330 | |||||||||||||||||||||
Thailand | Citigroup Global Markets | 200 | 0.95 | 9/20/19 | 5,872 | — | 5,872 | |||||||||||||||||||||
Thailand | Goldman Sachs, Inc. | 1,500 | 1.00 | (1) | 3/20/16 | 5,778 | (12,229 | ) | (6,451 | ) | ||||||||||||||||||
Thailand | JPMorgan Chase Bank | 200 | 0.87 | 12/20/14 | 92 | — | 92 | |||||||||||||||||||||
Uruguay | Citigroup Global Markets | 100 | 1.00 | (1) | 6/20/20 | 7,655 | (6,976 | ) | 679 | |||||||||||||||||||
Uruguay | Deutsche Bank | 100 | 1.00 | (1) | 6/20/20 | 7,654 | (6,812 | ) | 842 | |||||||||||||||||||
Banco Comercial Portugues, S.A. | JPMorgan Chase Bank | 110 | 1.00 | (1) | 3/20/15 | 28,983 | (4,757 | ) | 24,226 | |||||||||||||||||||
Banco de Sabadell, S.A. | JPMorgan Chase Bank | 110 | 3.00 | (1) | 3/20/15 | 6,238 | (560 | ) | 5,678 | |||||||||||||||||||
Citibank Corp. | Bank of America | 490 | 1.00 | (1) | 9/20/20 | 15,304 | (29,119 | ) | (13,815 | ) | ||||||||||||||||||
Citibank Corp. | JPMorgan Chase Bank | 490 | 1.00 | (1) | 9/20/20 | 15,304 | (30,820 | ) | (15,516 | ) | ||||||||||||||||||
Erste Group Bank AG | Barclays Bank PLC | 110 | 1.00 | (1) | 3/20/15 | 3,838 | (6,071 | ) | (2,233 | ) | ||||||||||||||||||
ING Verzekeringen N.V. | JPMorgan Chase Bank | 110 | 1.00 | (1) | 3/20/15 | 5,049 | (2,731 | ) | 2,318 | |||||||||||||||||||
OAO Gazprom | Barclays Bank PLC | 150 | 1.00 | (1) | 6/20/15 | 3,927 | (8,232 | ) | (4,305 | ) | ||||||||||||||||||
OAO Gazprom | Deutsche Bank | 150 | 1.00 | (1) | 6/20/15 | 3,927 | (8,285 | ) | (4,358 | ) | ||||||||||||||||||
OAO Gazprom | Deutsche Bank | 100 | 1.00 | (1) | 9/20/20 | 8,315 | (11,239 | ) | (2,924 | ) | ||||||||||||||||||
OAO Gazprom | Deutsche Bank | 100 | 1.00 | (1) | 9/20/20 | 8,315 | (11,597 | ) | (3,282 | ) | ||||||||||||||||||
OAO Gazprom | Goldman Sachs, Inc. | 100 | 1.00 | (1) | 9/20/20 | 8,315 | (11,306 | ) | (2,991 | ) | ||||||||||||||||||
OAO Gazprom | Goldman Sachs, Inc. | 390 | 1.00 | (1) | 9/20/20 | 32,429 | (46,306 | ) | (13,877 | ) | ||||||||||||||||||
Rabobank Nederland N.V. | JPMorgan Chase Bank | 110 | 1.00 | (1) | 3/20/15 | (619 | ) | (80 | ) | (699 | ) | |||||||||||||||||
Raiffeisen Zentralbank | Barclays Bank PLC | 110 | 1.00 | (1) | 3/20/15 | 5,231 | (8,195 | ) | (2,964 | ) | ||||||||||||||||||
iTraxx Europe Senior Financials 5-Year Index | Bank of America | EUR | 920 | 1.00 | (1) | 6/20/16 | 17,185 | (27,395 | ) | (10,210 | ) | |||||||||||||||||
iTraxx Europe Subordinated Financials 5-Year Index | Goldman Sachs, Inc. | EUR | 3,100 | 1.00 | (1) | 6/20/16 | 254,465 | (318,292 | ) | (63,827 | ) | |||||||||||||||||
$ | 3,208,149 | $ | (2,968,587 | ) | $ | 239,562 | ||||||||||||||||||||||
* | If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At April 30, 2011, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $25,457,000. |
** | The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) annually on the notional amount of the credit default swap contract. |
*** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity. |
45
Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited) — continued
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
EUR - Euro
Cross-Currency Swaps | ||||||||||||||||||||||
Notional | Notional | |||||||||||||||||||||
Amount on | Amount on | |||||||||||||||||||||
Fixed Rate | Floating Rate | |||||||||||||||||||||
(Currency | (Currency | Net Unrealized | ||||||||||||||||||||
Received) | Delivered) | Termination | Appreciation | |||||||||||||||||||
Counterparty | (000’s omitted) | (000’s omitted) | Floating Rate | Fixed Rate | Date | (Depreciation) | ||||||||||||||||
Deutsche Bank | COP 5,200,000 | $ | 2,728 | 6-Month USD-LIBOR-BBA | 3.32 | % | 12/17/13 | $ | 218,167 | |||||||||||||
$ | 218,167 | |||||||||||||||||||||
COP - Colombian Peso
The Portfolio pays interest on the currency received and receives interest on the currency delivered. At the termination date, the notional amount of the currency received will be exchanged for the notional amount of the currency delivered.
At April 30, 2011, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.
In the normal course of pursuing its investment objectives and its use of derivatives, the Portfolio is subject to the following risks:
Commodity Risk: The Portfolio invests in commodities-linked derivative investments, including commodity futures contracts and options thereon and forward commodity contracts, that provide exposure to the investment returns of certain commodities. Commodities-related investments are used to enhance return.
Credit Risk: The Portfolio enters into credit default swap contracts to manage its credit risk, to gain a particular exposure to a credit risk, or to enhance return.
Equity Risk: The Portfolio enters into equity index options to enhance return.
Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts, currency options and cross currency swaps to enhance return or to hedge against fluctuations in currency exchange rates. It also enters into forward foreign currency exchange contracts as a substitute for the purchase or sale of securities or currencies.
Interest Rate Risk: The Portfolio utilizes various interest rate derivatives including futures, options on futures, interest rate swaps and cross currency swaps to enhance return, to change the overall duration of the portfolio, or to hedge against fluctuations in securities prices due to interest rates.
The Portfolio enters into swap contracts and forward foreign currency exchange contracts that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Portfolio’s net assets below a certain level over a certain period of time, which would trigger a payment by the Portfolio for those derivatives in a liability position. At April 30, 2011, the fair value of derivatives with credit-related contingent features in a net liability position was $1,266,590. The aggregate fair value of assets pledged as collateral by the Portfolio for such liability was $1,106,955 at April 30, 2011.
The non-exchange traded derivatives in which the Portfolio invests, including swap contracts, over-the counter options and forward foreign currency exchange contracts, are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. The Portfolio is not subject to counterparty credit risk with respect to its written options as the Portfolio, not the counterparty, is obligated to perform under such derivatives. At April 30, 2011, the maximum amount of loss the Portfolio would incur due to counterparty risk was $17,534,131, with the highest amount from any one counterparty being $4,696,971. Such maximum amount would be reduced by any unamortized upfront payments received by the Portfolio. Such amount would be increased by any unamortized upfront payments made by the Portfolio. To mitigate this risk, the Portfolio has entered into master netting agreements with substantially all its derivative counterparties, which allows it and a counterparty to aggregate amounts owed by each of them for derivative transactions under the agreement into a single net amount payable by either the Portfolio or the counterparty. At April 30, 2011, the maximum amount of loss the Portfolio would incur due to counterparty risk would be reduced by approximately $8,059,000 due to master netting agreements. Counterparties may be required to pledge collateral in the form of cash, U.S. Government securities or highly-rated bonds for the benefit of the Portfolio if the net amount due from the counterparty with respect to a derivative contract exceeds a certain threshold. The amount of collateral posted by the counterparties with respect to such contracts would also reduce the amount of any loss incurred.
46
Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited) — continued
The fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at April 30, 2011 was as follows:
Fair Value | ||||||||||||||||||||||
Foreign | Interest | |||||||||||||||||||||
Consolidated Statement of Assets and Liabilities Caption | Credit | Equity | Exchange | Rate | Commodity | |||||||||||||||||
Securities of unaffiliated issuers, at value | $ | — | $ | 107,015 | $ | 61,960 | $ | — | $ | 5,280 | ||||||||||||
Net unrealized appreciation* | — | — | — | 33,859 | 78,503 | |||||||||||||||||
Receivable for open and closed forward foreign currency exchange contracts | — | — | 15,323,990 | — | — | |||||||||||||||||
Receivable for open swap contracts; Premium paid/received on open swap contracts | 3,569,982 | — | — | 1,185,812 | — | |||||||||||||||||
Total Asset Derivatives | $ | 3,569,982 | $ | 107,015 | $ | 15,385,950 | $ | 1,219,671 | $ | 83,783 | ||||||||||||
Net unrealized appreciation* | $ | — | $ | — | $ | — | $ | (425,775 | ) | $ | (154,189 | ) | ||||||||||
Payable for open forward commodity contracts | — | — | — | — | (795,970 | ) | ||||||||||||||||
Payable for open and closed forward foreign currency exchange contracts | — | — | (4,537,810 | ) | — | — | ||||||||||||||||
Payable for open swap contracts; Premium paid/received on open swap contracts | (221,646 | ) | — | — | (3,514,235 | ) | — | |||||||||||||||
Total Liability Derivatives | $ | (221,646 | ) | $ | — | $ | (4,537,810 | ) | $ | (3,940,010 | ) | $ | (950,159 | ) | ||||||||
* | Amount represents cumulative unrealized appreciation or (depreciation) on futures contracts in the Futures Contracts table above. Only the current day’s variation margin on open futures contracts is reported within the Consolidated Statement of Assets and Liabilities as Receivable or Payable for variation margin, as applicable. |
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Consolidated Statement of Operations by risk exposure for the six months ended April 30, 2011 was as follows:
Foreign | Interest | |||||||||||||||||||||
Consolidated Statement of Operations Caption | Credit | Equity | Exchange | Rate | Commodity | |||||||||||||||||
Net realized gain (loss) — | ||||||||||||||||||||||
Financial futures contracts | $ | — | $ | — | $ | — | $ | 148,216 | $ | (125,347 | ) | |||||||||||
Swap contracts | (420,867 | ) | — | — | 140,454 | — | ||||||||||||||||
Forward commodity contracts | — | — | — | — | (19,234 | ) | ||||||||||||||||
Foreign currency and forward foreign currency exchange contract transactions | — | — | 4,478,481 | — | — | |||||||||||||||||
Total | $ | (420,867 | ) | $ | — | $ | 4,478,481 | $ | 288,670 | $ | (144,581 | ) | ||||||||||
Change in unrealized appreciation (depreciation) — | ||||||||||||||||||||||
Investments | $ | — | $ | (376,745 | ) | $ | (183,195 | ) | $ | — | $ | (36,420 | ) | |||||||||
Financial futures contracts | — | — | — | (391,303 | ) | (75,686 | ) | |||||||||||||||
Swap contracts | 648,304 | — | — | (3,260,246 | ) | — | ||||||||||||||||
Forward commodity contracts | — | — | — | — | (795,970 | ) | ||||||||||||||||
Foreign currency and forward foreign currency exchange contracts | — | — | 11,019,137 | — | — | |||||||||||||||||
Total | $ | 648,304 | $ | (376,745 | ) | $ | 10,835,942 | $ | (3,651,549 | ) | $ | (908,076 | ) | |||||||||
The average notional amounts of futures contracts, forward commodity contracts, forward foreign currency exchange contracts and swap contracts outstanding during the six months ended April 30, 2011, which are indicative of the volume of these derivative types, were approximately $23,446,000, $1,564,000, $463,134,000 and $423,068,000, respectively.
47
Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited) — continued
The average principal amount of purchased currency options contracts, average number of purchased index options contracts and average number of purchased commodity options contracts outstanding during the six months ended April 30, 2011 which are indicative of the volume of these derivative types, were approximately $16,813,000, 57,300,000 contracts and 6 contracts, respectively.
6 Line of Credit
The Portfolio participates with other portfolios and funds managed by EVM and its affiliates in a $450 million unsecured line of credit agreement with a group of banks. Borrowings are made by the Portfolio solely to facilitate the handling of unusual and/or unanticipated short-term cash requirements. Interest is charged to the Portfolio based on its borrowings at an amount above either the Eurodollar rate or Federal Funds rate. In addition, a fee computed at an annual rate of 0.10% on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. Because the line of credit is not available exclusively to the Portfolio, it may be unable to borrow some or all of its requested amounts at any particular time. The Portfolio did not have any significant borrowings or allocated fees during the six months ended April 30, 2011.
7 Risks Associated with Foreign Investments
Investing in securities issued by entities whose principal business activities are outside the United States may involve significant risks not present in domestic investments. For example, there is generally less publicly available information about foreign companies, particularly those not subject to the disclosure and reporting requirements of the U.S. securities laws. Certain foreign issuers are generally not bound by uniform accounting, auditing, and financial reporting requirements and standards of practice comparable to those applicable to domestic issuers. Investments in foreign securities also involve the risk of possible adverse changes in investment or exchange control regulations, expropriation or confiscatory taxation, limitation on the removal of funds or other assets of the Portfolio, political or financial instability or diplomatic and other developments which could affect such investments. Foreign securities markets, while growing in volume and sophistication, are generally not as developed as those in the United States, and securities of some foreign issuers (particularly those located in developing countries) may be less liquid and more volatile than securities of comparable U.S. companies. In general, there is less overall governmental supervision and regulation of foreign securities markets, broker-dealers and issuers than in the United States.
8 Fair Value Measurements
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
48
Emerging Markets Local Income Portfolio
April 30, 2011
Notes to Consolidated Financial Statements (Unaudited) — continued
At April 30, 2011, the hierarchy of inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Foreign Government Bonds | $ | — | $ | 481,210,286 | $ | — | $ | 481,210,286 | ||||||||||
Mortgage Pass-Throughs | — | 13,983,241 | — | 13,983,241 | ||||||||||||||
U.S. Government Agency Obligations | — | 7,384,344 | — | 7,384,344 | ||||||||||||||
Precious Metals | 12,736,074 | — | — | 12,736,074 | ||||||||||||||
Currency Options Purchased | — | 61,960 | — | 61,960 | ||||||||||||||
Put Options Purchased | 5,280 | 107,015 | — | 112,295 | ||||||||||||||
Short-Term Investments — | ||||||||||||||||||
Foreign Government Securities | — | 122,371,858 | — | 122,371,858 | ||||||||||||||
U.S. Treasury Obligations | — | 2,338,120 | — | 2,338,120 | ||||||||||||||
Repurchase Agreements | — | 5,266,748 | — | 5,266,748 | ||||||||||||||
Other Securities | — | 33,261,562 | — | 33,261,562 | ||||||||||||||
Total Investments | $ | 12,741,354 | $ | 665,985,134 | $ | — | $ | 678,726,488 | ||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 15,323,990 | $ | — | $ | 15,323,990 | ||||||||||
Swaps Contracts | — | 4,755,794 | — | 4,755,794 | ||||||||||||||
Futures Contracts | 112,362 | — | — | 112,362 | ||||||||||||||
Total | $ | 12,853,716 | $ | 686,064,918 | $ | — | $ | 698,918,634 | ||||||||||
Liability Description | ||||||||||||||||||
Securities Sold Short | $ | — | $ | (4,530,054 | ) | $ | — | $ | (4,530,054 | ) | ||||||||
Forward Commodity Contracts | — | (795,970 | ) | — | (795,970 | ) | ||||||||||||
Forward Foreign Currency Exchange Contracts | — | (4,537,810 | ) | — | (4,537,810 | ) | ||||||||||||
Swaps Contracts | — | (3,735,881 | ) | — | (3,735,881 | ) | ||||||||||||
Futures Contracts | (579,964 | ) | — | — | (579,964 | ) | ||||||||||||
Total | $ | (579,964 | ) | $ | (13,599,715 | ) | $ | — | $ | (14,179,679 | ) | |||||||
The Portfolio held no investments or other financial instruments as of October 31, 2010 whose fair value was determined using Level 3 inputs. At April 30, 2011, the value of investments transferred between Level 1 and Level 2, if any, during the six months then ended was not significant.
49
Eaton Vance
Emerging Markets Local Income Fund
April 30, 2011
Board of Trustees’ Contract Approval
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended (the “1940 Act”), provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its 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 25, 2011, 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, 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 between February and April 2011. 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 (including yield data and Sharpe and information ratios where relevant) to the investment performance of comparable funds over various time periods; | |
• | Data regarding investment performance in comparison to relevant peer groups of similarly managed funds and appropriate indices; | |
• | For each fund, comparative information concerning the fees charged and the services provided by each adviser in managing other mutual funds and institutional accounts using investment strategies and techniques similar to those used in managing such fund; | |
• | Profitability analyses for each adviser with respect to each fund; |
Information about Portfolio Management
• | 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 about 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 client commission arrangements and/or the fund’s policies with respect to “soft dollar” arrangements; | |
• | 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 policies and procedures relating to proxy voting, the handling of corporate actions and class actions; | |
• | 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; | |
• | A description of Eaton Vance Management’s procedures for overseeing third party advisers and sub-advisers; |
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. |
50
Eaton Vance
Emerging Markets Local Income Fund
April 30, 2011
Board of Trustees’ Contract Approval — continued
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, 2011, with respect to one or more funds, the Board met nine 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 nine, fifteen, seven, eight and twelve 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 including, where relevant, the use of derivative instruments, as well as trading policies and procedures and risk management techniques.
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 of Eaton Vance Emerging Markets Local Income Fund (the “Fund”) with Eaton Vance Management (“EVM”), as well as the terms of the investment advisory agreement of Emerging Markets Local Income Portfolio (the “Portfolio”), the portfolio in which the Fund invests with Boston Management and Research (“BMR”), an affiliate of EVM (EVM, with respect to the Fund, and BMR, with respect to the Portfolio, are each referred to herein as the “Adviser”), including their fee structures, is in the interests of shareholders and, therefore, the Contract Review Committee recommended to the Board approval of each agreement. The Board accepted the recommendation of the Contract Review Committee as well as the factors considered and conclusions reached by the Contract Review Committee with respect to the agreements. Accordingly, the Board, including a majority of the Independent Trustees, voted to approve the investment advisory agreements for the Fund and the Portfolio.
Nature, Extent and Quality of Services
In considering whether to approve the investment advisory agreements of the Fund and the Portfolio, the Board evaluated the nature, extent and quality of services provided to the Fund by EVM and to the Portfolio by BMR.
The Board considered EVM’s and BMR’s management capabilities and investment process with respect to the types of investments to be held by the Fund and the Portfolio, including the education, experience and number of its investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Portfolio and the Fund. The Board specifically noted EVM’s and BMR’s expertise with respect to emerging markets and in-house research capabilities. The Board also took into account the resources dedicated to portfolio management and other services, including the compensation methods to recruit and retain investment personnel, and the time and attention devoted to the Fund and Portfolio by senior management.
The Board noted that under the terms of the investment advisory agreement of the Fund, EVM may invest assets of the Fund directly in securities, for which it would receive a fee, or in the Portfolio, for which it receives no separate fee but for which BMR receives an advisory fee from the Portfolio. The Trustees considered the potential benefits to the Fund of the ability to make direct investments, such as an improved ability to: manage the Fund’s duration, or other general market exposures, using certain derivatives; add exposure to specific market sectors or asset classes without changing the Portfolio’s investments, which would affect any other fund investing in the Portfolio; hedge some of the general market risks of the Portfolio while retaining the value added by the individual manager; and hedge a portion of the exposures of the Portfolio while retaining others (e.g., hedging the U.S. government exposure of the Portfolio while retaining its exposure to high-grade corporate bonds).
The Board also reviewed the compliance programs of EVM 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 EVM and its affiliates in recent years 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 EVM 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, including the ability, in many cases, to exchange an investment among different funds without incurring additional sales charges.
51
Eaton Vance
Emerging Markets Local Income Fund
April 30, 2011
Board of Trustees’ Contract Approval — continued
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 agreements.
Fund Performance
The Board compared the Fund’s investment performance to a relevant universe of comparable funds identified by an independent data provider as well as a peer group of similarly managed funds and appropriate benchmark indices. The Board reviewed comparative performance data for the one- and three-year periods ended September 30, 2010 for the Fund. The Board concluded that the performance of the Fund was satisfactory.
Management Fees and Expenses
The Board reviewed contractual investment advisory fee rates payable by the Fund and by the Portfolio (referred to collectively as “management fees”). As part of its review, the Board considered the management fees and the Fund’s total expense ratio for the year ended September 30, 2010, as compared to a group of similarly managed funds selected by an independent data provider. The Board noted that the Portfolio has established a wholly-owned subsidiary for the primary purpose of investing in commodity-related investments. The subsidiary is managed by BMR pursuant to a separate investment advisory agreement that is subject to annual approval by the Board. The subsidiary’s fee rates are the same as those charged to the Portfolio, and the Portfolio will not pay any additional management fees with respect to its assets invested in the subsidiary. The Board also considered factors that had an impact on Fund expense ratios, as identified by management in response to inquiries from the Contract Review Committee, as well as actions being taken to reduce expenses at the Eaton Vance fund complex level, including the negotiation of reduced fees for transfer agency and custody services. In considering the Fund’s total expense ratio and management fees, the Board noted the impact of the Fund’s use of leverage. The Board also considered that EVM 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 EVM and BMR, the Board concluded that the management fees charged for advisory and related services 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, to the Portfolio and to all Eaton Vance Funds as a group. The Board considered the level of profits realized 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 and Portfolio, including the benefits of research services that may be available to the Adviser as a result of securities transactions effected for the Fund and Portfolio and other investment advisory clients.
The Board concluded that, in light of the foregoing factors and the nature, extent and quality of the services rendered, the profits realized by 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 and the Portfolio, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and the Portfolio increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of any specific fund or group of funds. The Board reviewed data summarizing the increases and decreases in the assets of the Fund and of all Eaton Vance Funds as a group over various time periods, and evaluated the extent to which the total expense ratio of the Fund and the profitability of the Adviser and its affiliates may have been affected by such increases or decreases. Based upon the foregoing, the Board concluded that the Fund currently shares in the benefits from economies of scale. The Board also concluded that, assuming reasonably foreseeable increases in the assets of the Portfolio, the structure of the advisory fee, which includes breakpoints at several asset levels both at the Fund and the Portfolio level, will allow the Fund to continue to benefit from economies of scale in the future.
52
Eaton Vance
Emerging Markets Local Income Fund
April 30, 2011
Officers and Trustees
Officers of Eaton Vance Emerging Markets Local Income Fund | ||
Duncan W. Richardson President Payson F. Swaffield Vice President Barbara E. Campbell Treasurer | Maureen A. Gemma Vice President, Secretary and Chief Legal Officer Paul M. O’Neil Chief Compliance Officer |
Officers of Emerging Markets Local Income Portfolio | ||
Mark S. Venezia President Payson F. Swaffield Vice President Barbara E. Campbell Treasurer | Maureen A. Gemma Vice President, Secretary and Chief Legal Officer Paul M. O’Neil Chief Compliance Officer |
Trustees of Eaton Vance Emerging Markets Local Income Fund and Emerging Markets Local Income Portfolio | ||
Ralph F. Verni Chairman Benjamin C. Esty Thomas E. Faust Jr.* Allen R. Freedman | William H. Park Ronald A. Pearlman Helen Frame Peters Lynn A. Stout |
* | Interested Trustee |
53
Eaton Vance
Emerging Markets Local Income Fund
April 30, 2011
IMPORTANT NOTICES
Privacy. The Eaton Vance organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (Privacy Policy) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Eaton Vance fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Eaton Vance may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker/dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Privacy Policy periodically for changes by accessing the link on our homepage: www.eatonvance.com. |
Our pledge of privacy applies to the following entities within the Eaton Vance organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton Vance Investment Counsel, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management’s Real Estate Investment Group and Boston Management and Research. In addition, our Privacy Policy applies only to those Eaton Vance customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial 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 and by accessing the SEC’s website at www.sec.gov.
54
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Investment Adviser of Emerging Markets Local Income Portfolio
Boston Management and Research
Boston Management and Research
Two International Place
Boston, MA 02110
Investment Adviser and Administrator of Eaton Vance Emerging Markets Local Income Fund
Eaton Vance Management
Eaton Vance Management
Two International Place
Boston, MA 02110
Principal Underwriter*
Eaton Vance Distributors, Inc.
Eaton Vance Distributors, Inc.
Two International Place
Boston, MA 02110
(617) 482-8260
Custodian
State Street Bank and Trust Company
State Street Bank and Trust Company
200 Clarendon Street
Boston, MA 02116
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
BNY Mellon Investment Servicing (US) Inc.
Attn: Eaton Vance Funds
P.O. Box 9653
Providence, RI 02940-9653
(800) 262-1122
Fund Offices
Two International Place
Two International Place
Boston, MA 02110
* | FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org. |
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3040-6/11 | EMISRC |
Item 2. Code of Ethics
Not required in this filing.
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 Chief Financial Officer of Aveon Group, L.P. (an investment management firm). Previously, he served as the Vice Chairman of Commercial Industrial Finance Corp. (specialty finance company), as President and Chief Executive Officer of Prizm Capital Management, LLC (investment management firm), as Executive Vice President and Chief Financial Officer of United Asset Management Corporation (an institutional investment management firm) and as a Senior Manager at Price Waterhouse (now PricewaterhouseCoopers) (an independent registered public accounting firm).
Item 4. Principal Accountant Fees and Services
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 applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
No Material Changes.
Item 11. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits
(a)(1) | Registrant’s Code of Ethics — Not applicable (please see Item 2). | |
(a)(2)(i) | Treasurer’s Section 302 certification. | |
(a)(2)(ii) | President’s Section 302 certification. | |
(b) | Combined Section 906 certification. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Emerging Markets Local Income Portfolio
By: | /s/ Mark S. Venezia | |||||
President | ||||||
Date: | June 14, 2011 |
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: | June 14, 2011 | |||||
By: | /s/ Mark S. Venezia | |||||
President | ||||||
Date: | June 14, 2011 |