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
October 31, 2011
Date of Reporting Period
Item 1. Reports to Stockholders
Emerging Markets Local Income Portfolio
October 31, 2011
Consolidated Portfolio of Investments
| Foreign Government Bonds — 71.6% | ||||||||||||
| Principal | ||||||||||||
| Security | Amount | Value | ||||||||||
| Albania — 0.5% | ||||||||||||
| Republic of Albania, 7.50%, 11/4/15 | EUR | 3,500,000 | $ | 4,342,915 | ||||||||
Total Albania | $ | 4,342,915 | ||||||||||
| Bermuda — 0.1% | ||||||||||||
Government of Bermuda, 5.603%, 7/20/20(1) | USD | 900,000 | $ | 993,014 | ||||||||
Total Bermuda | $ | 993,014 | ||||||||||
| Brazil — 5.5% | ||||||||||||
Nota Do Tesouro Nacional, 6.00%, 5/15/15(2) | BRL | 478,943 | $ | 287,345 | ||||||||
| Nota Do Tesouro Nacional, 10.00%, 1/1/13 | BRL | 5,118,000 | 2,968,818 | |||||||||
| Nota Do Tesouro Nacional, 10.00%, 1/1/14 | BRL | 23,509,000 | 13,491,812 | |||||||||
| Nota Do Tesouro Nacional, 10.00%, 1/1/17 | BRL | 21,314,000 | 11,775,245 | |||||||||
| Nota Do Tesouro Nacional, 10.00%, 1/1/21 | BRL | 16,127,000 | 8,633,442 | |||||||||
| Republic of Brazil, 10.25%, 1/10/28 | BRL | 620,000 | 403,559 | |||||||||
| Republic of Brazil, 12.50%, 1/5/16 | BRL | 10,030,000 | 6,835,251 | |||||||||
Total Brazil | $ | 44,395,472 | ||||||||||
| Chile — 1.3% | ||||||||||||
Government of Chile, 2.10%, 9/1/15(2) | CLP | 88,415,920 | $ | 178,932 | ||||||||
Government of Chile, 3.00%, 1/1/15(2) | CLP | 773,639,300 | 1,598,518 | |||||||||
| Government of Chile, 6.00%, 3/1/17 | CLP | 70,000,000 | 147,588 | |||||||||
| Government of Chile, 6.00%, 1/1/18 | CLP | 1,020,000,000 | 2,161,205 | |||||||||
| Government of Chile, 6.00%, 3/1/18 | CLP | 2,350,000,000 | 4,979,247 | |||||||||
| Government of Chile, 6.00%, 1/1/20 | CLP | 465,000,000 | 999,634 | |||||||||
Total Chile | $ | 10,065,124 | ||||||||||
| Colombia — 3.6% | ||||||||||||
| Republic of Colombia, 7.75%, 4/14/21 | COP | 9,341,000,000 | $ | 5,900,649 | ||||||||
| Republic of Colombia, 9.85%, 6/28/27 | COP | 8,093,000,000 | 6,142,309 | |||||||||
| Republic of Colombia, 12.00%, 10/22/15 | COP | 19,718,000,000 | 13,442,583 | |||||||||
| Titulos De Tesoreria B, 11.25%, 10/24/18 | COP | 5,461,000,000 | 3,594,134 | |||||||||
Total Colombia | $ | 29,079,675 | ||||||||||
| Congo — 0.2% | ||||||||||||
| Republic of Congo, 3.00%, 6/30/29 | USD | 2,333,200 | $ | 1,609,908 | ||||||||
Total Congo | $ | 1,609,908 | ||||||||||
| Costa Rica — 0.0%(3) | ||||||||||||
Titulo Propiedad Ud, 1.00%, 1/12/22(2) | CRC | 53,862,810 | $ | 84,570 | ||||||||
Titulo Propiedad Ud, 1.63%, 7/13/16(2) | CRC | 6,051,162 | 11,133 | |||||||||
Total Costa Rica | $ | 95,703 | ||||||||||
| Dominican Republic — 1.0% | ||||||||||||
Dominican Republic, 16.00%, 7/10/20(1) | DOP | 38,000,000 | $ | 996,491 | ||||||||
Dominican Republic “Bonos Internos” Total Return Linked Bond (Citibank, N.A.), 13.00%, 2/25/13(4) | DOP | 107,000,000 | 2,748,922 | |||||||||
Dominican Republic “Bonos Internos” Total Return Linked Bond (Citibank, N.A.), 15.00%, 3/12/12(4) | DOP | 82,000,000 | 2,151,628 | |||||||||
Dominican Republic “Bonos Internos” Total Return Linked Bond (Citibank, N.A.), 16.00%, 7/10/20(4) | DOP | 67,800,000 | 1,761,638 | |||||||||
Total Dominican Republic | $ | 7,658,679 | ||||||||||
| Egypt — 0.0%(3) | ||||||||||||
Arab Republic of Egypt, 8.75%, 7/18/12(1) | EGP | 1,690,000 | $ | 270,151 | ||||||||
Total Egypt | $ | 270,151 | ||||||||||
| Greece — 0.0%(3) | ||||||||||||
| Hellenic Republic Government Bond, 6.10%, 8/20/15 | EUR | 225,000 | $ | 127,708 | ||||||||
Total Greece | $ | 127,708 | ||||||||||
| Hungary — 5.5% | ||||||||||||
| Hungary Government Bond, 5.50%, 2/12/14 | HUF | 2,120,600,000 | $ | 9,327,686 | ||||||||
| Hungary Government Bond, 5.50%, 2/12/16 | HUF | 1,510,700,000 | 6,407,476 | |||||||||
| Hungary Government Bond, 6.00%, 10/24/12 | HUF | 190,970,000 | 862,789 | |||||||||
| Hungary Government Bond, 6.00%, 11/24/23 | HUF | 195,000,000 | 759,975 | |||||||||
| Hungary Government Bond, 6.50%, 6/24/19 | HUF | 579,100,000 | 2,461,436 | |||||||||
| Hungary Government Bond, 6.75%, 2/12/13 | HUF | 785,300,000 | 3,558,241 | |||||||||
| Hungary Government Bond, 6.75%, 2/24/17 | HUF | 1,554,520,000 | 6,844,627 | |||||||||
| Hungary Government Bond, 6.75%, 11/24/17 | HUF | 1,123,980,000 | 4,939,398 | |||||||||
| Hungary Government Bond, 7.00%, 6/24/22 | HUF | 435,000,000 | 1,862,301 | |||||||||
| Hungary Government Bond, 7.50%, 10/24/13 | HUF | 796,000,000 | 3,650,672 | |||||||||
| Hungary Government Bond, 7.50%, 11/12/20 | HUF | 668,800,000 | 3,014,190 | |||||||||
| Hungary Government Bond, 8.00%, 2/12/15 | HUF | 60,000,000 | 278,099 | |||||||||
Total Hungary | $ | 43,966,890 | ||||||||||
| Indonesia — 9.7% | ||||||||||||
| Indonesia Government, 7.375%, 9/15/16 | IDR | 43,648,000,000 | $ | 5,329,918 | ||||||||
| Indonesia Government, 8.25%, 7/15/21 | IDR | 4,730,000,000 | 610,274 | |||||||||
See Notes to Consolidated Financial Statements.
19
Emerging Markets Local Income Portfolio
October 31, 2011
Consolidated Portfolio of Investments — continued
| Principal | ||||||||||||
| Security | Amount | Value | ||||||||||
| Indonesia (continued) | ||||||||||||
| Indonesia Government, 8.375%, 9/15/26 | IDR | 14,100,000,000 | $ | 1,814,696 | ||||||||
| Indonesia Government, 9.00%, 9/15/13 | IDR | 26,300,000,000 | 3,181,485 | |||||||||
| Indonesia Government, 9.00%, 9/15/18 | IDR | 42,550,000,000 | 5,593,759 | |||||||||
| Indonesia Government, 9.50%, 6/15/15 | IDR | 33,485,000,000 | 4,282,040 | |||||||||
| Indonesia Government, 9.50%, 7/15/23 | IDR | 35,245,000,000 | 4,883,803 | |||||||||
| Indonesia Government, 9.50%, 7/15/31 | IDR | 110,105,000,000 | 15,480,827 | |||||||||
| Indonesia Government, 9.50%, 5/15/41 | IDR | 11,043,000,000 | 1,563,983 | |||||||||
| Indonesia Government, 9.75%, 5/15/37 | IDR | 28,656,000,000 | 4,094,870 | |||||||||
| Indonesia Government, 10.00%, 7/15/17 | IDR | 10,200,000,000 | 1,388,084 | |||||||||
| Indonesia Government, 10.00%, 9/15/24 | IDR | 22,100,000,000 | 3,184,664 | |||||||||
| Indonesia Government, 10.00%, 2/15/28 | IDR | 8,560,000,000 | 1,240,124 | |||||||||
| Indonesia Government, 10.25%, 7/15/27 | IDR | 22,325,000,000 | 3,292,290 | |||||||||
| Indonesia Government, 10.50%, 8/15/30 | IDR | 45,960,000,000 | 6,976,852 | |||||||||
| Indonesia Government, 10.50%, 7/15/38 | IDR | 10,900,000,000 | 1,672,093 | |||||||||
| Indonesia Government, 11.00%, 11/15/20 | IDR | 14,560,000,000 | 2,171,934 | |||||||||
| Indonesia Government, 11.00%, 9/15/25 | IDR | 16,440,000,000 | 2,553,837 | |||||||||
| Indonesia Government, 11.25%, 5/15/14 | IDR | 16,743,000,000 | 2,161,176 | |||||||||
| Indonesia Government, 11.50%, 9/15/19 | IDR | 25,200,000,000 | 3,795,295 | |||||||||
| Indonesia Government, 12.50%, 3/15/13 | IDR | 23,815,000,000 | 2,959,608 | |||||||||
Total Indonesia | $ | 78,231,612 | ||||||||||
| Israel — 0.1% | ||||||||||||
Israel Government Bond, 3.00%, 10/31/19(2) | ILS | 577,332 | $ | 173,053 | ||||||||
Israel Government Bond, 5.00%, 4/30/15(2) | ILS | 1,464,893 | 458,624 | |||||||||
Total Israel | $ | 631,677 | ||||||||||
| Malaysia — 4.7% | ||||||||||||
| Malaysia Government, 3.21%, 5/31/13 | MYR | 5,925,000 | $ | 1,939,485 | ||||||||
| Malaysia Government, 3.502%, 5/31/27 | MYR | 4,125,000 | 1,266,352 | |||||||||
| Malaysia Government, 3.70%, 5/15/13 | MYR | 6,355,000 | 2,095,495 | |||||||||
| Malaysia Government, 3.741%, 2/27/15 | MYR | 24,076,000 | 7,973,864 | |||||||||
| Malaysia Government, 3.814%, 2/15/17 | MYR | 7,003,000 | 2,324,498 | |||||||||
| Malaysia Government, 4.012%, 9/15/17 | MYR | 10,786,000 | 3,610,779 | |||||||||
| Malaysia Government, 4.16%, 7/15/21 | MYR | 19,738,000 | 6,654,331 | |||||||||
| Malaysia Government, 4.24%, 2/7/18 | MYR | 15,775,000 | 5,344,625 | |||||||||
| Malaysia Government, 4.378%, 11/29/19 | MYR | 3,750,000 | 1,283,914 | |||||||||
| Malaysia Government, 4.392%, 4/15/26 | MYR | 4,047,000 | 1,379,515 | |||||||||
| Malaysia Government, 4.498%, 4/15/30 | MYR | 3,480,000 | 1,204,587 | |||||||||
| Malaysia Government, 5.094%, 4/30/14 | MYR | 7,416,000 | 2,531,890 | |||||||||
Total Malaysia | $ | 37,609,335 | ||||||||||
| Mexico — 4.8% | ||||||||||||
| Government of Mexico, 7.25%, 12/15/16 | MXN | 20,800,000 | $ | 1,714,456 | ||||||||
| Government of Mexico, 7.50%, 6/3/27 | MXN | 30,480,000 | 2,437,007 | |||||||||
| Government of Mexico, 7.75%, 12/14/17 | MXN | 9,500,000 | 803,861 | |||||||||
| Government of Mexico, 8.00%, 12/19/13 | MXN | 61,900,000 | 4,971,596 | |||||||||
| Government of Mexico, 8.00%, 6/11/20 | MXN | 21,018,000 | 1,794,304 | |||||||||
| Government of Mexico, 8.50%, 12/13/18 | MXN | 6,832,600 | 598,301 | |||||||||
| Government of Mexico, 8.50%, 5/31/29 | MXN | 39,000,000 | 3,350,699 | |||||||||
| Government of Mexico, 8.50%, 11/18/38 | MXN | 36,100,000 | 3,034,020 | |||||||||
| Government of Mexico, 9.00%, 6/20/13 | MXN | 73,000,000 | 5,862,776 | |||||||||
| Government of Mexico, 9.50%, 12/18/14 | MXN | 23,060,000 | 1,967,533 | |||||||||
| Government of Mexico, 10.00%, 12/5/24 | MXN | 63,550,000 | 6,265,481 | |||||||||
| Government of Mexico, 10.00%, 11/20/36 | MXN | 56,570,000 | 5,454,015 | |||||||||
Total Mexico | $ | 38,254,049 | ||||||||||
| Peru — 2.0% | ||||||||||||
Republic of Peru, 6.90%, 8/12/37(1) | PEN | 2,367,000 | $ | 929,118 | ||||||||
| Republic of Peru, 6.90%, 8/12/37 | PEN | 2,700,000 | 1,059,831 | |||||||||
Republic of Peru, 6.90%, 8/12/37(5) | PEN | 4,730,000 | 1,856,666 | |||||||||
| Republic of Peru, 6.95%, 8/12/31 | PEN | 2,000,000 | 790,158 | |||||||||
| Republic of Peru, 7.84%, 8/12/20 | PEN | 1,130,000 | 479,503 | |||||||||
Republic of Peru, 7.84%, 8/12/20(5) | PEN | 11,470,000 | 4,867,165 | |||||||||
| Republic of Peru, 8.20%, 8/12/26 | PEN | 5,775,000 | 2,570,886 | |||||||||
| Republic of Peru, 8.60%, 8/12/17 | PEN | 5,305,000 | 2,328,924 | |||||||||
| Republic of Peru, 9.91%, 5/5/15 | PEN | 1,760,000 | 766,668 | |||||||||
Total Peru | $ | 15,648,919 | ||||||||||
| Philippines — 0.8% | ||||||||||||
| Philippine Government International Bond, 4.95%, 1/15/21 | PHP | 139,000,000 | $ | 3,145,964 | ||||||||
| Philippine Government International Bond, 6.25%, 1/14/36 | PHP | 150,000,000 | 3,429,422 | |||||||||
Total Philippines | $ | 6,575,386 | ||||||||||
| Poland — 0.6% | ||||||||||||
Poland Government Bond, 3.00%, 8/24/16(2) | PLN | 1,856,857 | $ | 588,906 | ||||||||
| Poland Government Bond, 4.75%, 4/25/12 | PLN | 2,010,000 | 632,053 | |||||||||
| Poland Government Bond, 5.25%, 10/25/17 | PLN | 3,575,000 | 1,125,504 | |||||||||
| Poland Government Bond, 5.75%, 9/23/22 | PLN | 5,420,000 | 1,711,530 | |||||||||
| Poland Government Bond, 6.25%, 10/24/15 | PLN | 2,900,000 | 956,225 | |||||||||
Total Poland | $ | 5,014,218 | ||||||||||
| Russia — 6.8% | ||||||||||||
Russia Foreign Bond, 7.85%, 3/10/18(1) | RUB | 600,000,000 | $ | 20,433,893 | ||||||||
Russia Foreign Bond, 7.85%, 3/10/18(5) | RUB | 250,000,000 | 8,514,122 | |||||||||
| Russia Government Bond, 7.00%, 6/3/15 | RUB | 104,418,000 | 3,388,329 | |||||||||
| Russia Government Bond, 7.10%, 3/13/14 | RUB | 449,000,000 | 14,786,100 | |||||||||
See Notes to Consolidated Financial Statements.
20
Emerging Markets Local Income Portfolio
October 31, 2011
Consolidated Portfolio of Investments — continued
| Principal | ||||||||||||
| Security | Amount | Value | ||||||||||
| Russia (continued) | ||||||||||||
| Russia Government Bond, 7.35%, 1/20/16 | RUB | 68,000,000 | $ | 2,216,580 | ||||||||
| Russia Government Bond, 7.40%, 6/14/17 | RUB | 103,974,000 | 3,357,965 | |||||||||
| Russia Government Bond, 7.60%, 4/14/21 | RUB | 70,000,000 | 2,162,988 | |||||||||
Total Russia | $ | 54,859,977 | ||||||||||
| Serbia — 2.4% | ||||||||||||
| Serbia Treasury Bill, 0.00%, 8/9/12 | RSD | 230,950,000 | $ | 2,889,890 | ||||||||
| Serbia Treasury Bill, 0.00%, 9/6/12 | RSD | 403,070,000 | 4,995,748 | |||||||||
| Serbia Treasury Bill, 0.00%, 11/22/12 | RSD | 401,520,000 | 4,845,641 | |||||||||
| Serbia Treasury Bill, 0.00%, 4/25/13 | RSD | 539,100,000 | 6,177,321 | |||||||||
Total Serbia | $ | 18,908,600 | ||||||||||
| South Africa — 6.5% | ||||||||||||
Republic of South Africa, 2.75%, 1/31/22(2) | ZAR | 33,746,594 | $ | 4,381,465 | ||||||||
| Republic of South Africa, 6.25%, 3/31/36 | ZAR | 64,175,000 | 6,078,247 | |||||||||
| Republic of South Africa, 6.75%, 3/31/21 | ZAR | 45,745,000 | 5,362,227 | |||||||||
| Republic of South Africa, 7.00%, 2/28/31 | ZAR | 19,600,000 | 2,065,095 | |||||||||
| Republic of South Africa, 7.25%, 1/15/20 | ZAR | 32,400,000 | 3,913,486 | |||||||||
| Republic of South Africa, 7.50%, 1/15/14 | ZAR | 34,500,000 | 4,475,605 | |||||||||
| Republic of South Africa, 8.25%, 9/15/17 | ZAR | 19,430,000 | 2,558,465 | |||||||||
| Republic of South Africa, 8.75%, 12/21/14 | ZAR | 29,990,000 | 4,053,969 | |||||||||
| Republic of South Africa, 10.50%, 12/21/26 | ZAR | 30,356,000 | 4,558,660 | |||||||||
| Republic of South Africa, 13.50%, 9/15/15 | ZAR | 81,005,000 | 12,595,050 | |||||||||
South African Government Bond – CPI Linked, 2.50%, 1/31/17(2) | ZAR | 6,308,296 | 852,035 | |||||||||
South African Government Bond – CPI Linked, 2.60%, 3/31/28(2) | ZAR | 6,426,112 | 808,983 | |||||||||
South African Government Bond – CPI Linked, 5.50%, 12/7/23(2) | ZAR | 3,054,678 | 497,379 | |||||||||
Total South Africa | $ | 52,200,666 | ||||||||||
| Sri Lanka — 0.1% | ||||||||||||
Republic of Sri Lanka, 6.25%, 10/4/20(1) | USD | 950,000 | $ | 971,375 | ||||||||
Total Sri Lanka | $ | 971,375 | ||||||||||
| Taiwan — 0.3% | ||||||||||||
| Taiwan Government Bond, 0.25%, 2/10/12 | TWD | 74,400,000 | $ | 2,484,838 | ||||||||
Total Taiwan | $ | 2,484,838 | ||||||||||
| Thailand — 4.3% | ||||||||||||
| Kingdom of Thailand, 3.125%, 12/11/15 | THB | 120,041,000 | $ | 3,891,120 | ||||||||
| Kingdom of Thailand, 3.625%, 6/16/23 | THB | 75,523,000 | 2,471,046 | |||||||||
| Kingdom of Thailand, 3.85%, 12/12/25 | THB | 141,323,000 | 4,697,167 | |||||||||
| Kingdom of Thailand, 3.875%, 6/13/19 | THB | 44,600,000 | 1,517,211 | |||||||||
| Kingdom of Thailand, 4.25%, 3/13/13 | THB | 168,678,000 | 5,552,913 | |||||||||
| Kingdom of Thailand, 4.50%, 4/9/24 | THB | 61,371,000 | 2,176,992 | |||||||||
| Kingdom of Thailand, 4.75%, 12/20/24 | THB | 30,000,000 | 1,090,998 | |||||||||
| Kingdom of Thailand, 5.125%, 3/13/18 | THB | 9,053,000 | 326,111 | |||||||||
| Kingdom of Thailand, 5.25%, 5/12/14 | THB | 275,409,000 | 9,384,327 | |||||||||
| Kingdom of Thailand, 5.67%, 3/13/28 | THB | 92,500,000 | 3,723,671 | |||||||||
Total Thailand | $ | 34,831,556 | ||||||||||
| Turkey — 10.1% | ||||||||||||
| Turkey Government Bond, 0.00%, 8/8/12 | TRY | 2,846,000 | $ | 1,496,467 | ||||||||
| Turkey Government Bond, 0.00%, 11/7/12 | TRY | 30,808,000 | 15,800,215 | |||||||||
Turkey Government Bond, 4.00%, 4/1/20(2) | TRY | 9,961,017 | 6,041,162 | |||||||||
| Turkey Government Bond, 8.00%, 10/9/13 | TRY | 15,615,000 | 8,649,000 | |||||||||
| Turkey Government Bond, 9.00%, 1/27/16 | TRY | 5,100,000 | 2,846,471 | |||||||||
| Turkey Government Bond, 10.00%, 1/9/13 | TRY | 14,695,000 | 8,320,159 | |||||||||
| Turkey Government Bond, 10.00%, 4/10/13 | TRY | 29,195,000 | 16,517,528 | |||||||||
| Turkey Government Bond, 10.00%, 6/17/15 | TRY | 7,800,000 | 4,498,982 | |||||||||
| Turkey Government Bond, 10.50%, 1/15/20 | TRY | 6,051,000 | 3,623,620 | |||||||||
| Turkey Government Bond, 11.00%, 8/6/14 | TRY | 17,891,000 | 10,506,562 | |||||||||
| Turkey Government Bond, 14.00%, 9/26/12 | TRY | 1,790,000 | 1,050,679 | |||||||||
| Turkey Government Bond, 16.00%, 3/7/12 | TRY | 1,270,000 | 733,604 | |||||||||
| Turkey Government Bond, 16.00%, 8/28/13 | TRY | 1,330,000 | 837,831 | |||||||||
Total Turkey | $ | 80,922,280 | ||||||||||
| Uruguay — 0.1% | ||||||||||||
| Monetary Regulation Bill, 0.00%, 8/15/13 | UYU | 5,900,000 | $ | 256,493 | ||||||||
Republic of Uruguay, 5.00%, 9/14/18(2) | UYU | 15,121,070 | 845,126 | |||||||||
Total Uruguay | $ | 1,101,619 | ||||||||||
| Venezuela — 0.6% | ||||||||||||
Bolivarian Republic of Venezuela, 7.00%, 3/31/38(5) | USD | 6,137,000 | $ | 3,544,117 | ||||||||
Bolivarian Republic of Venezuela, 9.25%, 5/7/28(5) | USD | 1,368,100 | 916,627 | |||||||||
Total Venezuela | $ | 4,460,744 | ||||||||||
| Total Foreign Government Bonds | ||||||||||||
| (identified cost $590,057,062) | $ | 575,312,090 | ||||||||||
See Notes to Consolidated Financial Statements.
21
Emerging Markets Local Income Portfolio
October 31, 2011
Consolidated Portfolio of Investments — continued
| Mortgage Pass-Throughs — 1.6% | ||||||||||||
| Principal | ||||||||||||
| Security | Amount | Value | ||||||||||
| Federal Home Loan Mortgage Corp.: | ||||||||||||
| 7.00%, with maturity at 2032 | $ | 2,895,160 | $ | 3,406,666 | ||||||||
| 7.50%, with maturity at 2034 | 660,875 | 801,799 | ||||||||||
| $ | 4,208,465 | |||||||||||
| Federal National Mortgage Association: | ||||||||||||
2.60%, with maturity at 2035(6) | $ | 1,555,662 | $ | 1,625,148 | ||||||||
4.299%, with maturity at 2035(6) | 1,254,746 | 1,368,653 | ||||||||||
| 6.50%, with various maturities to 2033 | 2,684,103 | 3,048,819 | ||||||||||
| 7.00%, with maturity at 2033 | 1,200,708 | 1,424,253 | ||||||||||
| 8.50%, with maturity at 2032 | 1,039,861 | 1,269,242 | ||||||||||
| $ | 8,736,115 | |||||||||||
| Total Mortgage Pass-Throughs | ||||||||||||
| (identified cost $12,323,692) | $ | 12,944,580 | ||||||||||
| U.S. Government Agency Obligations — 1.0% | ||||||||||||
| Principal | ||||||||||||
| Security | Amount | Value | ||||||||||
| Federal Home Loan Bank: | ||||||||||||
| 4.50%, 9/13/19 | $ | 4,000,000 | $ | 4,642,992 | ||||||||
| 5.25%, 12/9/22 | 2,700,000 | 3,294,162 | ||||||||||
| Total U.S. Government Agency Obligations | ||||||||||||
| (identified cost $7,753,107) | $ | 7,937,154 | ||||||||||
| Precious Metals — 1.5% | ||||||||||||
| Description | Troy Ounces | Value | ||||||||||
Gold(7) | 2,421 | $ | 4,162,192 | |||||||||
Platinum(7) | 4,784 | 7,657,205 | ||||||||||
| Total Precious Metals | ||||||||||||
| (identified cost $11,651,853) | $ | 11,819,397 | ||||||||||
| Currency Options Purchased — 0.0%(3) | ||||||||||||||||||
| Principal Amount | ||||||||||||||||||
| of Contracts | Strike | Expiration | ||||||||||||||||
| Description | (000’s omitted) | Price | Date | Value | ||||||||||||||
| Euro Put Option | EUR | 6,566 | EUR | 1.17 | 5/3/12 | $ | 65,496 | |||||||||||
| Total Currency Options Purchased | ||||||||||||||||||
| (identified cost $300,008) | $ | 65,496 | ||||||||||||||||
| Put Options Purchased — 0.0%(3) | ||||||||||||||||||
| Number of | Strike | Expiration | ||||||||||||||||
| Description | Contracts | Price | Date | Value | ||||||||||||||
| KOSPI 200 Index | 28,650,000 | KRW | 200 | 10/11/12 | $ | 215,529 | ||||||||||||
| Light Sweet Crude Oil Future 12/11 | 6 | USD | 80 | 11/15/11 | 1,680 | |||||||||||||
| Total Put Options Purchased | ||||||||||||||||||
| (identified cost $371,701) | $ | 217,209 | ||||||||||||||||
| Short-Term Investments — 22.8% | ||||||||||||
| Foreign Government Securities — 9.5% | ||||||||||||
| Principal | ||||||||||||
| Amount | ||||||||||||
| Security | (000’s omitted) | Value | ||||||||||
| Chile — 0.0%(3) | ||||||||||||
| Banco Central de Chile, 0.00%, 1/18/12 | CLP | 70,000 | $ | 141,602 | ||||||||
Total Chile | $ | 141,602 | ||||||||||
| Colombia — 0.1% | ||||||||||||
| Titulos De Tesoreria B, 0.00%, 4/26/12 | COP | 1,178,600 | $ | 616,839 | ||||||||
Total Colombia | $ | 616,839 | ||||||||||
| Georgia — 0.2% | ||||||||||||
| Bank of Georgia Promissory Note, 9.00%, 12/7/11 | USD | 1,500 | $ | 1,508,404 | ||||||||
Total Georgia | $ | 1,508,404 | ||||||||||
| Ghana — 0.3% | ||||||||||||
| Ghana Government Bond, 14.47%, 12/15/11 | GHS | 3,062 | $ | 1,925,522 | ||||||||
Total Ghana | $ | 1,925,522 | ||||||||||
| Hong Kong — 1.7% | ||||||||||||
| Hong Kong Treasury Bill, 0.00%, 11/9/11 | HKD | 68,000 | $ | 8,753,537 | ||||||||
| Hong Kong Treasury Bill, 0.00%, 12/7/11 | HKD | 3,500 | 450,271 | |||||||||
| Hong Kong Treasury Bill, 0.00%, 1/18/12 | HKD | 9,500 | 1,222,975 | |||||||||
| Hong Kong Treasury Bill, 0.00%, 1/26/12 | HKD | 22,500 | 2,894,563 | |||||||||
Total Hong Kong | $ | 13,321,346 | ||||||||||
| Iceland — 0.0%(3) | ||||||||||||
| Iceland Treasury Bill, 0.00%, 4/16/12 | ISK | 23,000 | $ | 168,110 | ||||||||
Total Iceland | $ | 168,110 | ||||||||||
See Notes to Consolidated Financial Statements.
22
Emerging Markets Local Income Portfolio
October 31, 2011
Consolidated Portfolio of Investments — continued
| Principal | ||||||||||||
| Amount | ||||||||||||
| Security | (000’s omitted) | Value | ||||||||||
| Indonesia — 0.1% | ||||||||||||
| Indonesia Treasury Bill, 0.00%, 1/19/12 | IDR | 1,280,000 | $ | 143,032 | ||||||||
| Indonesia Treasury Bill, 0.00%, 2/9/12 | IDR | 2,142,000 | 238,936 | |||||||||
Total Indonesia | $ | 381,968 | ||||||||||
| Israel — 0.2% | ||||||||||||
| Israel Treasury Bill, 0.00%, 2/29/12 | ILS | 5,553 | $ | 1,519,301 | ||||||||
Total Israel | $ | 1,519,301 | ||||||||||
| Kazakhstan — 0.2% | ||||||||||||
| Kazakhstan National Bank, 0.00%, 11/25/11 | KZT | 271,893 | $ | 1,836,808 | ||||||||
| Kazakhstan National Bank, 0.00%, 3/4/12 | KZT | 4,386 | 29,528 | |||||||||
Total Kazakhstan | $ | 1,866,336 | ||||||||||
| Lebanon — 0.0% | ||||||||||||
| Lebanon Treasury Note, 9.06%, 11/10/11 | LBP | 179,220 | $ | 119,201 | ||||||||
Total Lebanon | $ | 119,201 | ||||||||||
| Malaysia — 0.1% | ||||||||||||
| Bank Negara Monetary Note, 0.00%, 11/1/11 | MYR | 244 | $ | 79,527 | ||||||||
| Bank Negara Monetary Note, 0.00%, 12/15/11 | MYR | 141 | 45,804 | |||||||||
| Bank Negara Monetary Note, 0.00%, 1/10/12 | MYR | 470 | 152,371 | |||||||||
| Bank Negara Monetary Note, 0.00%, 1/12/12 | MYR | 104 | 33,711 | |||||||||
Total Malaysia | $ | 311,413 | ||||||||||
| Philippines — 0.7% | ||||||||||||
| Philippine Treasury Bill, 0.00%, 12/7/11 | PHP | 81,310 | $ | 1,902,862 | ||||||||
| Philippine Treasury Bill, 0.00%, 1/11/12 | PHP | 73,740 | 1,725,006 | |||||||||
| Philippine Treasury Bill, 0.00%, 3/7/12 | PHP | 87,110 | 2,033,333 | |||||||||
Total Philippines | $ | 5,661,201 | ||||||||||
| Romania — 1.4% | ||||||||||||
| Romania Treasury Bill, 0.00%, 11/9/11 | RON | 7,160 | $ | 2,280,845 | ||||||||
| Romania Treasury Bill, 0.00%, 12/14/11 | RON | 2,200 | 696,915 | |||||||||
| Romania Treasury Bill, 0.00%, 3/21/12 | RON | 9,520 | 2,962,441 | |||||||||
| Romania Treasury Bill, 0.00%, 4/11/12 | RON | 4,990 | 1,546,263 | |||||||||
| Romania Treasury Bill, 0.00%, 5/2/12 | RON | 8,480 | 2,621,458 | |||||||||
| Romania Treasury Bill, 0.00%, 6/20/12 | RON | 2,360 | 722,992 | |||||||||
| Romania Treasury Bill, 0.00%, 7/11/12 | RON | 2,180 | 665,191 | |||||||||
Total Romania | $ | 11,496,105 | ||||||||||
| Serbia — 2.3% | ||||||||||||
| Serbia Treasury Bill, 0.00%, 12/13/11 | RSD | 37,420 | $ | 506,117 | ||||||||
| Serbia Treasury Bill, 0.00%, 4/5/12 | RSD | 29,480 | 384,498 | |||||||||
| Serbia Treasury Bill, 0.00%, 4/26/12 | RSD | 109,700 | 1,420,876 | |||||||||
| Serbia Treasury Bill, 0.00%, 6/7/12 | RSD | 1,092,500 | 13,952,262 | |||||||||
| Serbia Treasury Bill, 0.00%, 7/6/12 | RSD | 197,680 | 2,502,078 | |||||||||
Total Serbia | $ | 18,765,831 | ||||||||||
| South Korea — 0.5% | ||||||||||||
| Korea Monetary Stabilization Bond, 0.00%, 11/8/11 | KRW | 651,460 | $ | 587,439 | ||||||||
| Korea Monetary Stabilization Bond, 0.00%, 11/15/11 | KRW | 2,527,020 | 2,277,026 | |||||||||
| Korea Monetary Stabilization Bond, 0.00%, 11/22/11 | KRW | 243,800 | 219,552 | |||||||||
| Korea Monetary Stabilization Bond, 0.00%, 12/14/11 | KRW | 84,590 | 76,017 | |||||||||
| Korea Monetary Stabilization Bond, 0.00%, 1/3/12 | KRW | 221,440 | 198,630 | |||||||||
| Korea Monetary Stabilization Bond, 0.00%, 1/17/12 | KRW | 1,025,960 | 919,100 | |||||||||
Total South Korea | $ | 4,277,764 | ||||||||||
| Sri Lanka — 0.3% | ||||||||||||
| Sri Lanka Treasury Bill, 0.00%, 3/9/12 | LKR | 17,130 | $ | 151,635 | ||||||||
| Sri Lanka Treasury Bill, 0.00%, 3/16/12 | LKR | 9,720 | 85,925 | |||||||||
| Sri Lanka Treasury Bill, 0.00%, 3/23/12 | LKR | 14,370 | 126,857 | |||||||||
| Sri Lanka Treasury Bill, 0.00%, 4/27/12 | LKR | 180,600 | 1,584,871 | |||||||||
| Sri Lanka Treasury Bill, 0.00%, 7/13/12 | LKR | 60,920 | 527,273 | |||||||||
| Sri Lanka Treasury Bill, 0.00%, 8/3/12 | LKR | 22,030 | 189,650 | |||||||||
Total Sri Lanka | $ | 2,666,211 | ||||||||||
| Turkey — 0.3% | ||||||||||||
| Turkey Government Bond, 0.00%, 11/16/11 | TRY | 4,630 | $ | 2,607,844 | ||||||||
Total Turkey | $ | 2,607,844 | ||||||||||
| Uruguay — 0.9% | ||||||||||||
| Monetary Regulation Bill, 0.00%, 11/22/11 | UYU | 13,225 | $ | 685,625 | ||||||||
| Monetary Regulation Bill, 0.00%, 11/25/11 | UYU | 9,770 | 506,173 | |||||||||
| Monetary Regulation Bill, 0.00%, 12/21/11 | UYU | 7,200 | 370,818 | |||||||||
| Monetary Regulation Bill, 0.00%, 12/22/11 | UYU | 5,400 | 278,048 | |||||||||
| Monetary Regulation Bill, 0.00%, 1/17/12 | UYU | 6,800 | 347,951 | |||||||||
| Monetary Regulation Bill, 0.00%, 2/22/12 | UYU | 3,460 | 175,453 | |||||||||
| Monetary Regulation Bill, 0.00%, 3/13/12 | UYU | 41,300 | 2,083,427 | |||||||||
See Notes to Consolidated Financial Statements.
23
Emerging Markets Local Income Portfolio
October 31, 2011
Consolidated Portfolio of Investments — continued
| Principal | ||||||||||||
| Amount | ||||||||||||
| Security | (000’s omitted) | Value | ||||||||||
| Uruguay (continued) | ||||||||||||
| Monetary Regulation Bill, 0.00%, 5/8/12 | UYU | 5,100 | $ | 253,394 | ||||||||
| Monetary Regulation Bill, 0.00%, 8/24/12 | UYU | 49,091 | 2,365,005 | |||||||||
| Monetary Regulation Bill, 0.00%, 9/28/12 | UYU | 7,400 | 352,860 | |||||||||
Total Uruguay | $ | 7,418,754 | ||||||||||
| Zambia — 0.2% | ||||||||||||
| Zambia Treasury Bill, 0.00%, 12/12/11 | ZMK | 1,210,000 | $ | 243,910 | ||||||||
| Zambia Treasury Bill, 0.00%, 12/12/11 | ZMK | 1,295,000 | 261,044 | |||||||||
| Zambia Treasury Bill, 0.00%, 12/12/11 | ZMK | 2,960,000 | 596,671 | |||||||||
| Zambia Treasury Bill, 0.00%, 3/12/12 | ZMK | 540,000 | 105,897 | |||||||||
| Zambia Treasury Bill, 0.00%, 3/19/12 | ZMK | 3,225,000 | 630,795 | |||||||||
Total Zambia | $ | 1,838,317 | ||||||||||
| Total Foreign Government Securities | ||||||||||||
| (identified cost $79,521,857) | $ | 76,612,069 | ||||||||||
| U.S. Treasury Obligations — 3.1% | ||||||||||||
| Principal | ||||||||||||
| Amount | ||||||||||||
| Security | (000’s omitted) | Value | ||||||||||
U.S. Treasury Bill, 0.00%, 11/10/11(8) | $ | 12,066 | $ | 12,065,976 | ||||||||
U.S. Treasury Bill, 0.00%, 11/17/11(8) | 12,938 | 12,938,122 | ||||||||||
| Total U.S. Treasury Obligations | ||||||||||||
| (identified cost $25,004,160) | $ | 25,004,098 | ||||||||||
| Repurchase Agreements — 3.5% | ||||||||||||
| Principal | ||||||||||||
| Amount | ||||||||||||
| Description | (000’s omitted) | Value | ||||||||||
| Bank of America: | ||||||||||||
| Dated 8/19/11 with a maturity date of 11/10/11, an interest rate of 0.84% and repurchase proceeds of EUR 3,124,950, collateralized by EUR 2,800,000 Government of France 3.75%, due 4/25/17 and a market value, including accrued interest, of $4,238,110. | EUR | 3,119 | $ | 4,316,037 | ||||||||
| Dated 10/12/11 with a maturity date of 11/17/11, an interest rate of 0.85% payable by the Portfolio and repurchase proceeds of $384,131, collateralized by $510,000 Republic of Belarus 8.75%, due 8/3/15 and a market value, including accrued interest, of $444,408. | $ | 384 | 384,413 | |||||||||
| Dated 10/21/11 with a maturity date of 11/22/11, an interest rate of 0.72% and repurchase proceeds of EUR 6,190,008, collateralized by EUR 6,070,000 Government of France 4.00%, due 10/25/38 and a market value, including accrued interest, of $8,562,875. | EUR | 6,187 | 8,560,321 | |||||||||
| Dated 10/31/11 with a maturity date of 12/5/11, an interest rate of 0.47% and repurchase proceeds of EUR 2,899,648, collateralized by EUR 2,650,000 Government of France 3.75%, due 4/25/17 and a market value, including accrued interest, of $4,011,069. | EUR | 2,898 | 4,010,568 | |||||||||
| Barclays Bank PLC: | ||||||||||||
| Dated 10/14/11 with a maturity date of 11/21/11, an interest rate of 0.75% payable by the Portfolio and repurchase proceeds of $3,034,948, collateralized by $4,000,000 Republic of Belarus 8.75%, due 8/3/15 and a market value, including accrued interest, of $3,485,556. | $ | 3,037 | 3,036,972 | |||||||||
| Citibank: | ||||||||||||
| Dated 10/19/11 with a maturity date of 11/25/11, an interest rate of 0.48% and repurchase proceeds of EUR 2,270,438, collateralized by EUR 2,225,000 Government of France 4.00%, due 10/25/38 and a market value, including accrued interest, of $3,138,781. | EUR | 2,270 | 3,140,307 | |||||||||
| Dated 10/25/11 with a maturity date of 11/28/11, an interest rate of 0.68% and repurchase proceeds of EUR 3,065,169, collateralized by EUR 3,150,000 Belgium Kingdom Government Bond 3.75%, due 9/28/20 and a market value, including accrued interest, of $4,232,843. | EUR | 3,063 | 4,238,792 | |||||||||
| Total Repurchase Agreements | ||||||||||||
| (identified cost $27,897,944) | $ | 27,687,410 | ||||||||||
See Notes to Consolidated Financial Statements.
24
Emerging Markets Local Income Portfolio
October 31, 2011
Consolidated Portfolio of Investments — continued
| Other Securities — 6.7% | ||||||||||||
| Interest | ||||||||||||
| Description | (000’s omitted) | Value | ||||||||||
Eaton Vance Cash Reserves Fund, LLC, 0.12%(9) | $ | 53,430 | $ | 53,430,441 | ||||||||
| Total Other Securities | ||||||||||||
| (identified cost $53,430,441) | $ | 53,430,441 | ||||||||||
| Total Short-Term Investments | ||||||||||||
| (identified cost $185,854,402) | $ | 182,734,018 | ||||||||||
| Total Investments — 98.5% | ||||||||||||
| (identified cost $808,311,825) | $ | 791,029,944 | ||||||||||
| Other Assets, Less Liabilities — 1.5% | $ | 12,356,470 | ||||||||||
| Net Assets — 100.0% | $ | 803,386,414 | ||||||||||
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 | - Thai 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 October 31, 2011, the aggregate value of these securities is $24,594,042 or 3.1% 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 October 31, 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 October 31, 2011. |
| Securities Sold Short | ||||||||||||
Foreign Government Bonds | ||||||||||||
| Principal | ||||||||||||
| Amount | ||||||||||||
| Security | (000’s omitted) | Value | ||||||||||
| Belarus | ||||||||||||
Republic of Belarus, 8.75%, 8/3/15(5) | USD | (2,183 | ) | $ | (1,855,550 | ) | ||||||
Total Belarus | $ | (1,855,550 | ) | |||||||||
| Belgium | ||||||||||||
| Belgium Kingdom Government Bond, 3.75%, 9/28/20 | EUR | (3,150 | ) | $ | (4,217,618 | ) | ||||||
Total Belgium | $ | (4,217,618 | ) | |||||||||
| France | ||||||||||||
| Government of France, 3.75%, 4/25/17 | EUR | (5,450 | ) | $ | (8,101,971 | ) | ||||||
| Government of France, 4.00%, 10/25/38 | EUR | (8,295 | ) | (11,692,851 | ) | |||||||
Total France | $ | (19,794,822 | ) | |||||||||
| Total Foreign Government Bonds | ||||||||||||
| (proceeds $26,485,185) | $ | (25,867,990 | ) | |||||||||
| Total Securities Sold Short | ||||||||||||
| (proceeds $26,485,185) | $ | (25,867,990 | ) | |||||||||
See Notes to Consolidated Financial Statements.
25
Emerging Markets Local Income Portfolio
October 31, 2011
Consolidated Statement of Assets and Liabilities
| Assets | October 31, 2011 | |||||
| Investments — | ||||||
| Securities of unaffiliated issuers, at value (identified cost, $743,229,531) | $ | 725,780,106 | ||||
| Affiliated investment, at value (identified cost, $53,430,441) | 53,430,441 | |||||
| Precious metals, at value (identified cost, $11,651,853) | 11,819,397 | |||||
Total Investments, at value (identified cost, $808,311,825) | $ | 791,029,944 | ||||
| Cash | $ | 3,328,066 | ||||
| Foreign currency — Yuan Renminbi, at value (identified cost, $17,281,665) | 17,452,418 | |||||
| Foreign currency — other, at value (identified cost, $2,044,816) | 2,058,726 | |||||
| Interest receivable | 10,632,780 | |||||
| Interest receivable from affiliated investment | 3,026 | |||||
| Receivable for investments sold | 4,092,662 | |||||
| Receivable for variation margin on open futures contracts | 291,758 | |||||
| Receivable for open forward foreign currency exchange contracts | 6,545,897 | |||||
| Receivable for closed forward foreign currency exchange contracts | 2,080,946 | |||||
| Receivable for open swap contracts | 7,778,810 | |||||
| Receivable for closed swap contracts | 49,432 | |||||
| Receivable for closed options | 79,270 | |||||
| Premium paid on open swap contracts | 2,762,517 | |||||
Total assets | $ | 848,186,252 | ||||
| Liabilities | ||||||
| Payable for investments purchased | $ | 8,486,574 | ||||
| Payable for securities sold short, at value (proceeds, $26,485,185) | 25,867,990 | |||||
| Payable for variation margin on open futures contracts | 84,989 | |||||
| Payable for open forward commodity contracts | 705,490 | |||||
| Payable for open forward foreign currency exchange contracts | 6,735,824 | |||||
| Payable for closed forward foreign currency exchange contracts | 444,155 | |||||
| Payable for open swap contracts | 1,421,531 | |||||
| Premium received on open swap contracts | 91,251 | |||||
| Payable to affiliates: | ||||||
| Investment adviser fee | 433,106 | |||||
| Trustees’ fees | 2,015 | |||||
| Interest payable for securities sold short | 221,423 | |||||
| Accrued expenses | 305,490 | |||||
Total liabilities | $ | 44,799,838 | ||||
Net Assets applicable to investors’ interest in Portfolio | $ | 803,386,414 | ||||
| Sources of Net Assets | ||||||
| Net proceeds from capital contributions and withdrawals | $ | 815,213,822 | ||||
| Net unrealized depreciation | (11,827,408 | ) | ||||
Total | $ | 803,386,414 | ||||
See Notes to Consolidated Financial Statements.
26
Emerging Markets Local Income Portfolio
October 31, 2011
Consolidated Statement of Operations
| Year Ended | ||||||
| Investment Income | October 31, 2011 | |||||
| Interest (net of foreign taxes, $1,233,067) | $ | 39,171,456 | ||||
| Interest allocated from affiliated investment | 54,051 | |||||
| Expenses allocated from affiliated investment | (5,492 | ) | ||||
Total investment income | $ | 39,220,015 | ||||
| Expenses | ||||||
| Investment adviser fee | $ | 4,375,021 | ||||
| Trustees’ fees and expenses | 22,223 | |||||
| Custodian fee | 1,059,748 | |||||
| Legal and accounting services | 172,329 | |||||
| Interest expense on securities sold short | 526,121 | |||||
| Miscellaneous | 29,093 | |||||
Total expenses | $ | 6,184,535 | ||||
| Deduct — | ||||||
| Reduction of custodian fee | $ | 409 | ||||
Total expense reductions | $ | 409 | ||||
Net expenses | $ | 6,184,126 | ||||
Net investment income | $ | 33,035,889 | ||||
| Realized and Unrealized Gain (Loss) | ||||||
| Net realized gain (loss) — | ||||||
| Investment transactions | $ | 704,557 | ||||
| Investment transactions allocated from affiliated investment | 1,870 | |||||
| Written options | 98,189 | |||||
| Securities sold short | 432,218 | |||||
| Futures contracts | (860,279 | ) | ||||
| Swap contracts | 1,020,767 | |||||
| Forward commodity contracts | (1,081,966 | ) | ||||
| Foreign currency and forward foreign currency exchange contract transactions | (12,756,926 | ) | ||||
Net realized loss | $ | (12,441,570 | ) | |||
| Change in unrealized appreciation (depreciation) — | ||||||
| Investments (including net increase of $138,395 from precious metals) | $ | (35,373,873 | ) | |||
| Securities sold short | 617,195 | |||||
| Futures contracts | (220,904 | ) | ||||
| Swap contracts | 5,695,885 | |||||
| Forward commodity contracts | (705,490 | ) | ||||
| Foreign currency and forward foreign currency exchange contracts | (116,856 | ) | ||||
Net change in unrealized appreciation (depreciation) | $ | (30,104,043 | ) | |||
Net realized and unrealized loss | $ | (42,545,613 | ) | |||
Net decrease in net assets from operations | $ | (9,509,724 | ) | |||
See Notes to Consolidated Financial Statements.
27
Emerging Markets Local Income Portfolio
October 31, 2011
Consolidated Statements of Changes in Net Assets
| Year Ended October 31, | ||||||||||
| Increase (Decrease) in Net Assets | 2011 | 2010 | ||||||||
| From operations — | ||||||||||
| Net investment income | $ | 33,035,889 | $ | 8,940,269 | ||||||
| Net realized gain (loss) from investment transactions, written options, securities sold short, futures contracts, swap contracts, forward commodity contracts, and foreign currency and forward foreign currency exchange contract transactions | (12,441,570 | ) | 6,405,538 | |||||||
| Net change in unrealized appreciation (depreciation) from investments, written options, securities sold short, futures contracts, swap contracts, forward commodity contracts, foreign currency and forward foreign currency exchange contracts | (30,104,043 | ) | 14,299,069 | |||||||
Net increase (decrease) in net assets from operations | $ | (9,509,724 | ) | $ | 29,644,876 | |||||
| Capital transactions — | ||||||||||
| Contributions | $ | 495,269,928 | $ | 270,094,823 | ||||||
| Withdrawals | (83,021,660 | ) | (15,131,692 | ) | ||||||
Net increase in net assets from capital transactions | $ | 412,248,268 | $ | 254,963,131 | ||||||
Net increase in net assets | $ | 402,738,544 | $ | 284,608,007 | ||||||
| Net Assets | ||||||||||
| At beginning of year | $ | 400,647,870 | $ | 116,039,863 | ||||||
At end of year | $ | 803,386,414 | $ | 400,647,870 | ||||||
See Notes to Consolidated Financial Statements.
28
Emerging Markets Local Income Portfolio
October 31, 2011
Consolidated Supplementary Data
| Year Ended October 31, | ||||||||||||||||||||||
| Period Ended | ||||||||||||||||||||||
| Ratios/Supplemental Data | 2011 | 2010 | 2009 | 2008 | October 31, 2007(1) | |||||||||||||||||
| Ratios (as a percentage of average daily net assets): | ||||||||||||||||||||||
Expenses(2) | 0.92 | %(3) | 0.93 | % | 0.91 | % | 0.96 | % | 1.13 | %(4) | ||||||||||||
| Net investment income | 4.90 | % | 5.30 | % | 5.70 | % | 5.51 | % | 5.25 | %(4) | ||||||||||||
| Portfolio Turnover | 16 | % | 17 | % | 26 | % | 38 | % | 2 | %(5) | ||||||||||||
Total Return | 0.13 | % | 19.03 | % | 30.48 | % | (13.13 | )% | 10.48 | %(5) | ||||||||||||
Net assets, end of year (000’s omitted) | $ | 803,386 | $ | 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) | Includes interest expense on securities sold short of 0.08%. | |
| (4) | Annualized. | |
| (5) | Not annualized. |
See Notes to Consolidated Financial Statements.
29
Emerging Markets Local Income Portfolio
October 31, 2011
Notes to Consolidated Financial Statements
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 October 31, 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 77.9%, 18.0%, 3.5% and 0.6%, 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 October 31, 2011 were $42,238,916 or 5.3% 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, fixed-rate 30-year mortgage-backed securities as noted below) 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 obligations 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. 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 and commodities 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 generally valued based on the price of the underlying futures for forward contract provided by the exchange on which the underlying instruments are traded or if unavailable, based on forward rates provided by broker/dealers. 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 fairly reflects the security’s value, or the amount that the Portfolio might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
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
30
Emerging Markets Local Income Portfolio
October 31, 2011
Notes to Consolidated Financial Statements — continued
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 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 October 31, 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, 2011 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 and Commodities Futures Contracts — Upon entering into a financial or commodities futures contract, the Portfolio is required to deposit with the broker, either in cash or securities, an amount equal to a certain percentage of the 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 or commodities futures contracts. Should market conditions change unexpectedly, the Portfolio may not achieve the anticipated benefits of the financial or commodities futures contracts and may realize a loss. Futures contracts have minimal counterparty risk as they are exchange traded and the clearinghouse for the exchange is substituted as the counterparty, guaranteeing counterparty performance.
J Forward Foreign Currency Exchange and Forward Commodity Contracts — The Portfolio may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The forward foreign currency exchange contracts are adjusted by the
31
Emerging Markets Local Income Portfolio
October 31, 2011
Notes to Consolidated Financial Statements — continued
daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contracts have been closed or offset by another contract with the same broker for the same settlement date and currency. Unrealized and realized gains and losses on forward commodity contracts, which are entered into for the purchase or sale of a specific commodity at a fixed price on a future date, are accounted for as described above. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and, in the case of forward foreign currency exchange contracts, from movements in the value of a foreign currency relative to the U.S. dollar.
K Written Options — Upon the writing of a call or a put option, the premium received by the Portfolio is included in the Consolidated Statement of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written, in accordance with the Portfolio’s policies on investment valuations discussed above. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or are closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. When an index option is exercised, the Portfolio is required to deliver an amount of cash determined by the excess of the strike price of the option over the value of the index (in the case of a put) or the excess of the value of the index over the strike price of the option (in the case of a call) at contract termination. If a put option on a security is exercised, the premium reduces the cost basis of the securities purchased by the Portfolio. The Portfolio, as a writer of an option, may have no control over whether the underlying securities or other assets may be sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the securities or other assets underlying the written option. The Portfolio may also bear the risk of not being able to enter into a closing transaction if a liquid secondary market does not exist.
L Purchased Options — Upon the purchase of a call or put option, the premium paid by the Portfolio is included in the Consolidated Statement of Assets and Liabilities as an investment. The amount of the investment is subsequently marked-to-market to reflect the current market value of the option purchased, in accordance with the Portfolio’s policies on investment valuations discussed above. As the purchaser of an index option, the Portfolio has the right to receive a cash payment equal to any depreciation in the value of the index below the strike price of the option (in the case of a put) or equal to any appreciation in the value of the index over the strike price of the option (in the case of a call) as of the valuation date of the option. If an option which the Portfolio had purchased expires on the stipulated expiration date, the Portfolio will realize a loss in the amount of the cost of the option. If the Portfolio enters into a closing sale transaction, the Portfolio will realize a gain or loss, depending on whether the sales proceeds from the closing sale transaction are greater or less than the cost of the option. If the Portfolio exercises a put option on a security, it will realize a gain or loss from the sale of the underlying security, and the proceeds from such sale will be decreased by the premium originally paid. If the Portfolio exercises a call option on a security, the cost of the security which the Portfolio purchases upon exercise will be increased by the premium originally paid. The risk associated with purchasing options is limited to the premium originally paid.
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 either the same exchange rate, a specified rate or the then current spot rate. The entire principal value of a cross-currency swap is subject to the risk that the counterparty to the swap will default on its contractual delivery obligations.
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 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 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
32
Emerging Markets Local Income Portfolio
October 31, 2011
Notes to Consolidated Financial Statements — continued
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 Repurchase Agreements — A repurchase agreement is the purchase by the Portfolio of securities from a counterparty in exchange for cash that is coupled with an agreement to resell those securities to the counterparty at a specified date and price. When a repurchase agreement is entered, the Portfolio typically receives securities with a value that equals or exceeds the repurchase price, including any accrued interest earned on the agreement. The value of such securities will be marked to market daily, and cash or additional securities will be exchanged between the parties as needed. Except in the case of a repurchase agreement entered to settle a short sale, the value of the securities delivered to the Portfolio will be at least equal to 90% of the repurchase price during the term of the repurchase agreement. The terms of a repurchase agreement entered to settle a short sale may provide that the cash purchase price paid by the Portfolio is more than the value of purchased securities that effectively collateralize the repurchase price payable by the counterparty. Since in such a transaction the Portfolio normally will have used the purchased securities to settle the short sale, the Portfolio will segregate liquid assets equal to the marked to market value of the purchased securities that it is obligated to return to the counterparty under the repurchase agreement. In the event of insolvency of the counterparty to a repurchase agreement, recovery of the repurchase price owed to the Portfolio may be delayed. Such an insolvency also may result in a loss to the extent that the value of the purchased securities decreases during the delay or that value has otherwise not been maintained at an amount at least equal to the repurchase price.
Q 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 interest, which accrues 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.
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 year ended October 31, 2011, the Portfolio’s investment adviser fee totaled $4,375,021 or 0.65% of the Portfolio’s consolidated average daily net assets.
During the year ended October 31, 2011, BMR reimbursed the Portfolio $1,789 for a trading error. The effect of the loss incurred and the reimbursement by BMR of such amount had no impact on total return.
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 year ended October 31, 2011, no significant amounts have been deferred. Certain officers and Trustees of the Portfolio are officers of the above organizations.
3 Purchases and Sales of Investments
Purchases and sales of investments, other than short-term obligations and including maturities, paydowns and securities sold short, for the year ended October 31, 2011 were as follows:
| Purchases | Sales | |||||||||
Investments (non-U.S. Government) | $ | 429,779,914 | $ | 42,994,319 | ||||||
| U.S. Government and Agency Securities | — | 34,638,721 | ||||||||
| $ | 429,779,914 | $ | 77,633,040 | |||||||
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Emerging Markets Local Income Portfolio
October 31, 2011
Notes to Consolidated Financial Statements — continued
4 Federal Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) of investments of the Portfolio at October 31, 2011, as determined on a federal income tax basis, were as follows:
Aggregate cost | $ | 812,960,403 | ||||
| Gross unrealized appreciation | $ | 18,333,392 | ||||
| Gross unrealized depreciation | (40,263,851 | ) | ||||
Net unrealized depreciation | $ | (21,930,459 | ) | |||
The net unrealized appreciation on securities sold short, futures contracts, swap contracts, forward commodity contracts, foreign currency and forward foreign currency exchange contracts at October 31, 2011 on a federal income tax basis was $5,176,009.
5 Financial Instruments
The Portfolio may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include written options, forward commodity contracts, forward foreign currency exchange contracts, 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 October 31, 2011 is as follows:
| Forward Commodity Contracts(1) | ||||||||||||
Sales | ||||||||||||
| Net | ||||||||||||
| Unrealized | ||||||||||||
| Settlement Date | Deliver | In Exchange For | Counterparty | Depreciation | ||||||||
| 4/26/12 | Gold 2,480 Troy Ounces | United States Dollar 3,559,658 | Citigroup Global Markets | $ | (705,490 | ) | ||||||
| $ | (705,490 | ) | ||||||||||
| (1) | Non-deliverable contracts that are settled with the counterparty in cash. |
| Forward Foreign Currency Exchange Contracts | ||||||||||||
Sales | ||||||||||||
| Net Unrealized | ||||||||||||
| Appreciation | ||||||||||||
| Settlement Date | Deliver | In Exchange For | Counterparty | (Depreciation) | ||||||||
| 11/2/11 | Israeli Shekel 19,627,000 | United States Dollar 5,368,435 | Barclays Bank PLC | $ | (45,909 | ) | ||||||
| 11/2/11 | Israeli Shekel 1,500,000 | United States Dollar 405,351 | Deutsche Bank | (8,442 | ) | |||||||
| 11/3/11 | Polish Zloty 63,603,354 | United States Dollar 20,410,549 | Citigroup Global Markets | 413,582 | ||||||||
| 11/7/11 | Croatian Kuna 5,469,970 | Euro 725,942 | Barclays Bank PLC | (4,806 | ) | |||||||
| 11/7/11 | Croatian Kuna 6,744,800 | Polish Zloty 3,943,405 | Deutsche Bank | (5,197 | ) | |||||||
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Emerging Markets Local Income Portfolio
October 31, 2011
Notes to Consolidated Financial Statements — continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
Sales | ||||||||||||
| Net Unrealized | ||||||||||||
| Appreciation | ||||||||||||
| Settlement Date | Deliver | In Exchange For | Counterparty | (Depreciation) | ||||||||
| 11/7/11 | Japanese Yen 232,125,000 | United States Dollar 3,024,982 | Goldman Sachs, Inc. | $ | 55,604 | |||||||
| 11/9/11 | New Taiwan Dollar 161,898,000 | United States Dollar 5,582,690 | Bank of America | 172,438 | ||||||||
| 11/10/11 | New Taiwan Dollar 3,940,000 | United States Dollar 136,261 | Bank of America | 4,600 | ||||||||
| 11/10/11 | New Taiwan Dollar 4,210,000 | United States Dollar 145,624 | Barclays Bank PLC | 4,940 | ||||||||
| 11/10/11 | New Taiwan Dollar 3,940,000 | United States Dollar 136,261 | Credit Suisse | 4,600 | ||||||||
| 11/18/11 | Croatian Kuna 9,410,000 | Euro 1,252,579 | Credit Suisse | (1,229 | ) | |||||||
| 11/21/11 | New Taiwan Dollar 38,898,000 | United States Dollar 1,320,815 | Citigroup Global Markets | 21,404 | ||||||||
| 11/21/11 | New Taiwan Dollar 32,200,000 | United States Dollar 1,093,379 | Credit Suisse | 17,718 | ||||||||
| 11/21/11 | New Taiwan Dollar 36,934,000 | United States Dollar 1,288,290 | Deutsche Bank | 54,487 | ||||||||
| 11/21/11 | New Taiwan Dollar 38,902,000 | United States Dollar 1,320,727 | Standard Chartered Bank | 21,182 | ||||||||
| 11/22/11 | Euro 25,651,916 | United States Dollar 35,126,580 | HSBC Bank USA | (360,794 | ) | |||||||
| 11/22/11 | Euro 11,306,814 | United States Dollar 15,490,335 | Nomura International PLC | (151,737 | ) | |||||||
| 11/30/11 | New Taiwan Dollar 35,730,000 | United States Dollar 1,180,065 | Credit Suisse | (13,194 | ) | |||||||
| 11/30/11 | New Taiwan Dollar 27,295,000 | United States Dollar 946,593 | Deutsche Bank | 35,033 | ||||||||
| 11/30/11 | New Taiwan Dollar 35,730,000 | United States Dollar 1,179,480 | Goldman Sachs, Inc. | (13,779 | ) | |||||||
| 11/30/11 | New Taiwan Dollar 10,200,000 | United States Dollar 342,052 | Nomura International PLC | 1,407 | ||||||||
| 11/30/11 | New Taiwan Dollar 32,139,000 | United States Dollar 1,061,814 | Nomura International PLC | (11,518 | ) | |||||||
| 11/30/11 | New Taiwan Dollar 25,000,000 | United States Dollar 825,001 | Standard Chartered Bank | (9,913 | ) | |||||||
| 11/30/11 | New Taiwan Dollar 32,141,000 | United States Dollar 1,060,934 | Standard Chartered Bank | (12,465 | ) | |||||||
| 12/1/11 | Malaysian Ringgit 796,000 | United States Dollar 265,590 | Citigroup Global Markets | 7,261 | ||||||||
| 12/1/11 | Malaysian Ringgit 676,000 | United States Dollar 225,604 | Deutsche Bank | 6,219 | ||||||||
| 12/1/11 | Malaysian Ringgit 795,000 | United States Dollar 265,265 | HSBC Bank USA | 7,261 | ||||||||
| 12/5/11 | New Taiwan Dollar 13,778,000 | United States Dollar 453,000 | Barclays Bank PLC | (7,175 | ) | |||||||
| 12/5/11 | New Taiwan Dollar 15,912,000 | United States Dollar 523,077 | Standard Chartered Bank | (8,372 | ) | |||||||
35
Emerging Markets Local Income Portfolio
October 31, 2011
Notes to Consolidated Financial Statements — continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
Sales | ||||||||||||
| Net Unrealized | ||||||||||||
| Appreciation | ||||||||||||
| Settlement Date | Deliver | In Exchange For | Counterparty | (Depreciation) | ||||||||
| 12/8/11 | Euro 1,570,000 | United States Dollar 2,184,620 | Nomura International PLC | $ | 12,939 | |||||||
| 12/15/11 | South African Rand 774,936 | United States Dollar 104,395 | Standard Bank | 7,362 | ||||||||
| 12/19/11 | New Taiwan Dollar 23,880,000 | United States Dollar 794,438 | Bank of America | (3,662 | ) | |||||||
| 12/19/11 | New Taiwan Dollar 25,586,000 | United States Dollar 850,853 | Bank of America | (4,263 | ) | |||||||
| 12/19/11 | New Taiwan Dollar 22,825,000 | United States Dollar 759,188 | Barclays Bank PLC | (3,651 | ) | |||||||
| 12/19/11 | New Taiwan Dollar 26,106,000 | United States Dollar 868,781 | Barclays Bank PLC | (3,714 | ) | |||||||
| 12/19/11 | New Taiwan Dollar 23,880,000 | United States Dollar 794,570 | Standard Chartered Bank | (3,529 | ) | |||||||
| 12/19/11 | New Taiwan Dollar 26,012,000 | United States Dollar 865,019 | Standard Chartered Bank | (4,334 | ) | |||||||
| 12/28/11 | Malaysian Ringgit 27,943,000 | United States Dollar 8,702,273 | Citigroup Global Markets | (356,471 | ) | |||||||
| 1/6/12 | Malaysian Ringgit 3,717,000 | United States Dollar 1,210,473 | Nomura International PLC | 5,923 | ||||||||
| 1/6/12 | Malaysian Ringgit 3,283,000 | United States Dollar 1,069,137 | Standard Chartered Bank | 5,232 | ||||||||
| 1/17/12 | Israeli Shekel 1,856,239 | United States Dollar 500,806 | JPMorgan Chase Bank | (10,094 | ) | |||||||
| 1/23/12 | Croatian Kuna 7,734,000 | Euro 1,023,828 | Barclays Bank PLC | 2,089 | ||||||||
| 2/29/12 | Israeli Shekel 5,553,000 | United States Dollar 1,518,458 | Deutsche Bank | (8,547 | ) | |||||||
| 3/9/12 | Sri Lanka Rupee 17,130,000 | United States Dollar 152,402 | Standard Chartered Bank | 203 | ||||||||
| 3/16/12 | Sri Lanka Rupee 9,720,000 | United States Dollar 85,942 | Standard Chartered Bank | (331 | ) | |||||||
| 3/23/12 | Sri Lanka Rupee 14,370,000 | United States Dollar 127,450 | HSBC Bank USA | 38 | ||||||||
| 3/26/12 | Croatian Kuna 3,104,900 | Euro 408,303 | Deutsche Bank | 584 | ||||||||
| 4/25/12 | Croatian Kuna 10,310,700 | Euro 1,353,465 | Deutsche Bank | 3,943 | ||||||||
| 4/27/12 | Sri Lanka Rupee 180,600,000 | United States Dollar 1,595,406 | Standard Chartered Bank | 2,346 | ||||||||
| 5/30/12 | Croatian Kuna 2,999,000 | Euro 391,821 | Credit Suisse | 305 | ||||||||
| 7/13/12 | Sri Lanka Rupee 60,920,000 | United States Dollar 540,550 | Standard Chartered Bank | 6,612 | ||||||||
| $ | (177,814 | ) | ||||||||||
36
Emerging Markets Local Income Portfolio
October 31, 2011
Notes to Consolidated Financial Statements — continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
Purchases | ||||||||||||
| Net Unrealized | ||||||||||||
| Appreciation | ||||||||||||
| Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
| 11/1/11 | Uganda Schilling 1,048,233,500 | United States Dollar 399,577 | Citigroup Global Markets | $ | 5,930 | |||||||
| 11/1/11 | Uganda Schilling 404,908,100 | United States Dollar 154,781 | Standard Chartered Bank | 1,856 | ||||||||
| 11/2/11 | Israeli Shekel 21,127,000 | United States Dollar 5,807,511 | Bank of America | 20,627 | ||||||||
| 11/2/11 | New Turkish Lira 2,076,746 | United States Dollar 1,181,497 | Credit Suisse | (7,397 | ) | |||||||
| 11/3/11 | Polish Zloty 63,603,354 | United States Dollar 19,579,299 | HSBC Bank USA | 417,668 | ||||||||
| 11/3/11 | South African Rand 42,646,000 | United States Dollar 5,222,194 | Deutsche Bank | 151,081 | ||||||||
| 11/3/11 | South African Rand 77,964,046 | United States Dollar 11,552,540 | Nomura International PLC | (1,729,291 | ) | |||||||
| 11/3/11 | Swedish Krona 28,299,000 | Euro 3,096,509 | Nomura International PLC | 57,206 | ||||||||
| 11/3/11 | Swedish Krona 10,942,800 | Euro 1,183,568 | Standard Chartered Bank | 41,223 | ||||||||
| 11/7/11 | Hungarian Forint 422,628,574 | United States Dollar 1,851,198 | HSBC Bank USA | 65,106 | ||||||||
| 11/7/11 | Polish Zloty 1,667,317 | Euro 377,469 | Bank of America | 1,695 | ||||||||
| 11/7/11 | Serbian Dinar 171,873,100 | Euro 1,672,080 | Citigroup Global Markets | 38,796 | ||||||||
| 11/8/11 | Indonesian Rupiah 5,128,475,000 | United States Dollar 602,287 | Bank of America | (23,217 | ) | |||||||
| 11/8/11 | Indonesian Rupiah 4,619,435,000 | United States Dollar 542,251 | Barclays Bank PLC | (20,658 | ) | |||||||
| 11/8/11 | Indonesian Rupiah 4,619,435,000 | United States Dollar 542,346 | BNP Paribas SA | (20,753 | ) | |||||||
| 11/8/11 | Indonesian Rupiah 5,132,180,000 | United States Dollar 602,722 | Citigroup Global Markets | (23,234 | ) | |||||||
| 11/8/11 | Indonesian Rupiah 5,128,475,000 | United States Dollar 602,287 | Credit Suisse | (23,217 | ) | |||||||
| 11/8/11 | Malaysian Ringgit 30,133,000 | United States Dollar 9,349,364 | Nomura International PLC | 463,516 | ||||||||
| 11/9/11 | Indian Rupee 125,100,000 | United States Dollar 2,703,006 | Nomura International PLC | (138,317 | ) | |||||||
| 11/9/11 | Indonesian Rupiah 23,130,000,000 | United States Dollar 2,692,666 | Standard Chartered Bank | (81,187 | ) | |||||||
| 11/9/11 | Romanian Leu 6,740,000 | Euro 1,556,402 | Standard Bank | (5,819 | ) | |||||||
| 11/9/11 | Singapore Dollar 4,450,000 | United States Dollar 3,684,995 | Goldman Sachs, Inc. | (138,620 | ) | |||||||
| 11/10/11 | New Turkish Lira 1,732,800 | United States Dollar 979,594 | Bank of America | (1,702 | ) | |||||||
37
Emerging Markets Local Income Portfolio
October 31, 2011
Notes to Consolidated Financial Statements — continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
Purchases | ||||||||||||
| Net Unrealized | ||||||||||||
| Appreciation | ||||||||||||
| Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
| 11/14/11 | Indian Rupee 22,400,000 | United States Dollar 482,057 | Goldman Sachs, Inc. | $ | (23,389 | ) | ||||||
| 11/14/11 | Malaysian Ringgit 68,545,000 | United States Dollar 21,683,222 | Credit Suisse | 618,569 | ||||||||
| 11/14/11 | Malaysian Ringgit 68,638,000 | United States Dollar 21,712,641 | State Street Bank and Trust Co. | 619,408 | ||||||||
| 11/14/11 | Mexican Peso 357,090,676 | United States Dollar 26,316,072 | HSBC Bank USA | 451,184 | ||||||||
| 11/14/11 | Polish Zloty 114,928,112 | United States Dollar 35,973,492 | State Street Bank and Trust Co. | 115,652 | ||||||||
| 11/14/11 | Russian Ruble 175,521,000 | United States Dollar 5,527,785 | Nomura International PLC | 246,597 | ||||||||
| 11/14/11 | South Korean Won 1,257,000,000 | United States Dollar 1,063,137 | Credit Suisse | 67,950 | ||||||||
| 11/14/11 | South Korean Won 1,257,000,000 | United States Dollar 1,063,137 | Standard Chartered Bank | 67,950 | ||||||||
| 11/14/11 | South Korean Won 1,244,000,000 | United States Dollar 1,052,186 | State Street Bank and Trust Co. | 67,203 | ||||||||
| 11/14/11 | Yuan Renminbi 15,300,000 | United States Dollar 2,403,544 | Goldman Sachs, Inc. | 4,259 | ||||||||
| 11/15/11 | Indonesian Rupiah 6,970,000,000 | United States Dollar 809,336 | Citigroup Global Markets | (22,738 | ) | |||||||
| 11/15/11 | Indonesian Rupiah 5,345,513,000 | United States Dollar 622,367 | Credit Suisse | (19,101 | ) | |||||||
| 11/15/11 | Indonesian Rupiah 3,155,000,000 | United States Dollar 366,818 | Deutsche Bank | (10,761 | ) | |||||||
| 11/15/11 | Indonesian Rupiah 6,004,487,000 | United States Dollar 699,253 | Nomura International PLC | (21,618 | ) | |||||||
| 11/15/11 | South Korean Won 820,424,000 | United States Dollar 700,738 | BNP Paribas SA | 37,332 | ||||||||
| 11/15/11 | South Korean Won 885,507,000 | United States Dollar 757,666 | Goldman Sachs, Inc. | 38,954 | ||||||||
| 11/15/11 | South Korean Won 819,955,000 | United States Dollar 700,188 | HSBC Bank USA | 37,460 | ||||||||
| 11/15/11 | South Korean Won 1,002,714,000 | United States Dollar 856,398 | Standard Chartered Bank | 45,664 | ||||||||
| 11/16/11 | South African Rand 19,119,861 | United States Dollar 2,365,061 | Credit Suisse | 39,314 | ||||||||
| 11/17/11 | New Turkish Lira 21,453,805 | United States Dollar 11,604,179 | Standard Bank | 484,125 | ||||||||
| 11/17/11 | Thai Baht 137,290,000 | United States Dollar 4,439,450 | Goldman Sachs, Inc. | 19,465 | ||||||||
| 11/21/11 | Chilean Peso 272,965,000 | United States Dollar 532,719 | State Street Bank and Trust Co. | 23,324 | ||||||||
| 11/21/11 | Indian Rupee 224,033,000 | United States Dollar 4,450,663 | Bank of America | 128,932 | ||||||||
38
Emerging Markets Local Income Portfolio
October 31, 2011
Notes to Consolidated Financial Statements — continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
Purchases | ||||||||||||
| Net Unrealized | ||||||||||||
| Appreciation | ||||||||||||
| Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
| 11/21/11 | Indian Rupee 37,500,000 | United States Dollar 763,398 | Standard Chartered Bank | $ | 3,163 | |||||||
| 11/21/11 | Philippine Peso 51,300,000 | United States Dollar 1,186,978 | BNP Paribas SA | 17,601 | ||||||||
| 11/21/11 | Polish Zloty 68,199,923 | Euro 15,827,137 | Standard Chartered Bank | (496,732 | ) | |||||||
| 11/21/11 | Swedish Krona 47,394,000 | Euro 5,173,086 | Nomura International PLC | 107,828 | ||||||||
| 11/25/11 | Indonesian Rupiah 10,629,000,000 | United States Dollar 1,236,649 | Citigroup Global Markets | (37,996 | ) | |||||||
| 11/25/11 | Indonesian Rupiah 22,000,000,000 | United States Dollar 2,339,430 | HSBC Bank USA | 141,554 | ||||||||
| 11/25/11 | Serbian Dinar 248,636,100 | Euro 2,475,715 | JPMorgan Chase Bank | (36,901 | ) | |||||||
| 11/25/11 | Thai Baht 331,700,000 | United States Dollar 10,691,378 | BNP Paribas SA | 74,141 | ||||||||
| 11/28/11 | Yuan Renminbi 4,545,800 | United States Dollar 700,000 | Barclays Bank PLC | 15,459 | ||||||||
| 11/28/11 | Yuan Renminbi 4,547,550 | United States Dollar 700,000 | JPMorgan Chase Bank | 15,734 | ||||||||
| 11/28/11 | Yuan Renminbi 9,093,000 | United States Dollar 1,400,000 | Standard Chartered Bank | 31,138 | ||||||||
| 11/30/11 | Indian Rupee 16,760,000 | United States Dollar 335,671 | BNP Paribas SA | 6,186 | ||||||||
| 11/30/11 | Indian Rupee 14,994,000 | United States Dollar 300,241 | Citigroup Global Markets | 5,594 | ||||||||
| 11/30/11 | Indian Rupee 17,841,000 | United States Dollar 357,250 | Goldman Sachs, Inc. | 6,656 | ||||||||
| 11/30/11 | Indian Rupee 19,605,000 | United States Dollar 392,612 | Standard Chartered Bank | 7,275 | ||||||||
| 11/30/11 | Norwegian Krone 14,564,882 | Euro 1,891,236 | Nomura International PLC | (4,532 | ) | |||||||
| 12/1/11 | Norwegian Krone 24,901,000 | Euro 3,238,962 | Credit Suisse | (15,660 | ) | |||||||
| 12/1/11 | South Korean Won 2,441,000,000 | United States Dollar 2,154,362 | Credit Suisse | 33,424 | ||||||||
| 12/1/11 | South Korean Won 2,441,000,000 | United States Dollar 2,155,694 | Goldman Sachs, Inc. | 32,092 | ||||||||
| 12/1/11 | South Korean Won 2,025,000,000 | United States Dollar 1,788,316 | Nomura International PLC | 26,623 | ||||||||
| 12/5/11 | Polish Zloty 63,603,354 | United States Dollar 20,339,405 | Citigroup Global Markets | (413,730 | ) | |||||||
| 12/5/11 | Serbian Dinar 371,831,100 | Euro 3,596,045 | JPMorgan Chase Bank | 80,531 | ||||||||
| 12/7/11 | Philippine Peso 73,370,000 | United States Dollar 1,739,986 | Deutsche Bank | (15,814 | ) | |||||||
39
Emerging Markets Local Income Portfolio
October 31, 2011
Notes to Consolidated Financial Statements — continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
Purchases | ||||||||||||
| Net Unrealized | ||||||||||||
| Appreciation | ||||||||||||
| Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
| 12/8/11 | Mexican Peso 134,929,439 | United States Dollar 10,237,827 | Standard Chartered Bank | $ | (146,088 | ) | ||||||
| 12/8/11 | Russian Ruble 50,460,000 | United States Dollar 1,563,803 | HSBC Bank USA | 90,007 | ||||||||
| 12/12/11 | Singapore Dollar 6,734,000 | United States Dollar 5,330,484 | Standard Chartered Bank | 36,119 | ||||||||
| 12/13/11 | Indian Rupee 13,754,000 | United States Dollar 278,149 | Goldman Sachs, Inc. | 1,788 | ||||||||
| 12/13/11 | Indian Rupee 18,289,000 | United States Dollar 369,824 | Nomura International PLC | 2,415 | ||||||||
| 12/13/11 | Indian Rupee 17,997,000 | United States Dollar 364,066 | State Street Bank and Trust Co. | 2,229 | ||||||||
| 12/13/11 | Mexican Peso 217,378,684 | United States Dollar 16,856,874 | HSBC Bank USA | (606,202 | ) | |||||||
| 12/22/11 | Indonesian Rupiah 5,149,764,000 | United States Dollar 570,295 | Bank of America | 8,729 | ||||||||
| 12/22/11 | Indonesian Rupiah 5,581,236,000 | United States Dollar 618,077 | Barclays Bank PLC | 9,460 | ||||||||
| 12/22/11 | Indonesian Rupiah 1,071,000,000 | United States Dollar 119,238 | Citigroup Global Markets | 1,181 | ||||||||
| 12/22/11 | Indonesian Rupiah 7,843,000,000 | United States Dollar 849,637 | HSBC Bank USA | 32,206 | ||||||||
| 12/30/11 | Yuan Renminbi 6,600,000 | United States Dollar 1,020,882 | Bank of America | 17,201 | ||||||||
| 1/12/12 | Ghanaian Cedi 1,977,700 | United States Dollar 1,211,826 | Standard Bank | 4,502 | ||||||||
| 1/19/12 | Yuan Renminbi 780,000 | United States Dollar 123,223 | Barclays Bank PLC | (588 | ) | |||||||
| 1/20/12 | Malaysian Ringgit 56,240,000 | United States Dollar 17,950,273 | Bank of America | 261,376 | ||||||||
| 1/30/12 | Yuan Renminbi 4,190,000 | United States Dollar 648,828 | Bank of America | 9,806 | ||||||||
| 1/30/12 | Yuan Renminbi 14,416,000 | United States Dollar 2,234,935 | Barclays Bank PLC | 31,144 | ||||||||
| 2/2/12 | Brazilian Real 27,040,000 | United States Dollar 15,360,145 | State Street Bank and Trust Co. | 71,684 | ||||||||
| 4/3/12 | Brazilian Real 12,442,000 | United States Dollar 7,392,751 | Deutsche Bank | (362,578 | ) | |||||||
| 4/3/12 | Brazilian Real 12,441,000 | United States Dollar 7,396,552 | Nomura International PLC | (366,944 | ) | |||||||
| 4/3/12 | Brazilian Real 15,401,000 | United States Dollar 9,178,188 | Standard Chartered Bank | (476,075 | ) | |||||||
| 4/25/12 | Zambian Kwacha 2,918,500,062 | United States Dollar 542,472 | Standard Bank | 12,029 | ||||||||
| 4/26/12 | Uganda Schilling 731,556,000 | United States Dollar 239,854 | Barclays Bank PLC | 20,974 | ||||||||
40
Emerging Markets Local Income Portfolio
October 31, 2011
Notes to Consolidated Financial Statements — continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
Purchases | ||||||||||||
| Net Unrealized | ||||||||||||
| Appreciation | ||||||||||||
| Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
| 4/26/12 | Uganda Schilling 431,117,000 | United States Dollar 141,118 | Citigroup Global Markets | $ | 12,592 | |||||||
| 5/9/12 | Zambian Kwacha 691,500,000 | United States Dollar 135,641 | Standard Bank | (4,881 | ) | |||||||
| 5/10/12 | Thai Baht 615,825,000 | United States Dollar 20,157,938 | Standard Chartered Bank | (356,768 | ) | |||||||
| 6/18/12 | Yuan Renminbi 1,990,000 | United States Dollar 299,248 | Goldman Sachs, Inc. | 13,318 | ||||||||
| 7/25/12 | Uganda Schilling 795,760,000 | United States Dollar 244,038 | Standard Chartered Bank | 29,902 | ||||||||
| 10/25/12 | Uganda Schilling 690,620,000 | United States Dollar 203,375 | Standard Chartered Bank | 17,402 | ||||||||
| 10/29/12 | Uganda Schilling 843,108,000 | United States Dollar 270,270 | Citigroup Global Markets | (1,623 | ) | |||||||
| 10/29/12 | Uganda Schilling 848,592,000 | United States Dollar 268,919 | Standard Chartered Bank | 1,476 | ||||||||
| 10/31/12 | Uganda Schilling 622,159,200 | United States Dollar 201,216 | Standard Bank | (3,293 | ) | |||||||
| 11/13/12 | Yuan Renminbi 10,940,000 | United States Dollar 1,743,426 | Bank of America | (25,274 | ) | |||||||
| $ | (12,113 | ) | ||||||||||
| Futures Contracts | ||||||||||||||||||
Sales | ||||||||||||||||||
| Net Unrealized | ||||||||||||||||||
| Appreciation | ||||||||||||||||||
| Expiration Month/Year | Contracts | Position | Aggregate Cost | Value | (Depreciation) | |||||||||||||
| 12/11 | 41 Euro-Bobl | Long | $ | 6,927,688 | $ | 6,940,556 | $ | 12,868 | ||||||||||
| 12/11 | 19 Euro-Bobl | Short | (3,211,097 | ) | (3,216,355 | ) | (5,258 | ) | ||||||||||
| 12/11 | 106 Euro-Bund | Long | 19,982,848 | 19,869,683 | (113,165 | ) | ||||||||||||
| 12/11 | 29 Euro-Buxl | Long | 4,784,099 | 4,832,130 | 48,031 | |||||||||||||
| 12/11 | 8 Japan 10-Year Bond | Short | (14,605,781 | ) | (14,536,710 | ) | 69,071 | |||||||||||
| 12/11 | 19 U.S. 5-Year Treasury Note | Short | (2,324,828 | ) | (2,329,578 | ) | (4,750 | ) | ||||||||||
| 12/11 | 7 U.S. 10-Year Treasury Note | Short | (901,303 | ) | (903,438 | ) | (2,135 | ) | ||||||||||
| 12/11 | 74 U.S. 30-Year Treasury Bond | Short | (10,031,521 | ) | (10,288,312 | ) | (256,791 | ) | ||||||||||
41
Emerging Markets Local Income Portfolio
October 31, 2011
Notes to Consolidated Financial Statements — continued
| Futures Contracts (continued) | ||||||||||||||||||
Sales | ||||||||||||||||||
| Net Unrealized | ||||||||||||||||||
| Appreciation | ||||||||||||||||||
| Expiration Month/Year | Contracts | Position | Aggregate Cost | Value | (Depreciation) | |||||||||||||
| 12/11 | 3 U.S. Ultra-Long Treasury Bond | Short | $ | (434,813 | ) | $ | (457,126 | ) | $ | (22,313 | ) | |||||||
| 1/12 | 22 Platinum | Long | 1,715,435 | 1,768,360 | 52,925 | |||||||||||||
| $ | (221,517 | ) | ||||||||||||||||
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 | Receives | 3-month ILS TELBOR | 4.20 | % | 11/19/14 | $ | (12,285 | ) | ||||||||||||||
| Bank of America | ILS | 600 | Receives | 3-month ILS TELBOR | 4.54 | 1/6/15 | (13,591 | ) | ||||||||||||||||
| Bank of America | MXN | 26,000 | Pays | Mexican Interbank Deposit Rate | 6.46 | 9/24/20 | 21,614 | |||||||||||||||||
| Bank of America | PLN | 10,700 | Pays | 6-month PLN WIBOR | 4.88 | 9/14/14 | 16,624 | |||||||||||||||||
| Bank of America | PLN | 3,600 | Pays | 6-month PLN WIBOR | 4.95 | 9/14/20 | 3,656 | |||||||||||||||||
| Bank of America | PLN | 8,765 | Pays | 6-month PLN WIBOR | 5.45 | 6/7/21 | 118,854 | |||||||||||||||||
| Barclays Bank PLC | ILS | 303 | Receives | 3-month ILS TELBOR | 5.15 | 3/5/20 | (7,731 | ) | ||||||||||||||||
| Barclays Bank PLC | ILS | 303 | Receives | 3-month ILS TELBOR | 5.16 | 3/8/20 | (7,779 | ) | ||||||||||||||||
| Barclays Bank PLC | MXN | 48,400 | Pays | Mexican Interbank Deposit Rate | 7.11 | 5/21/21 | 187,900 | |||||||||||||||||
| Barclays Bank PLC | MYR | 26,000 | Pays | 3-month MYR KLIBOR | 3.39 | 11/23/13 | 32,853 | |||||||||||||||||
| Barclays Bank PLC | MYR | 18,000 | Pays | 3-month MYR KLIBOR | 3.70 | 10/19/15 | 71,922 | |||||||||||||||||
| Barclays Bank PLC | MYR | 21,700 | Pays | 3-month MYR KLIBOR | 3.96 | 7/26/16 | 155,461 | |||||||||||||||||
| Barclays Bank PLC | MYR | 10,000 | Pays | 3-month MYR KLIBOR | 4.13 | 10/19/20 | 76,024 | |||||||||||||||||
| Barclays Bank PLC | PLN | 8,000 | Pays | 6-month PLN WIBOR | 5.42 | 6/1/14 | 56,463 | |||||||||||||||||
| Barclays Bank PLC | PLN | 14,300 | Pays | 6-month PLN WIBOR | 5.02 | 7/30/14 | 42,429 | |||||||||||||||||
| Barclays Bank PLC | PLN | 24,000 | Pays | 6-month PLN WIBOR | 5.18 | 11/9/14 | 334,503 | |||||||||||||||||
| Barclays Bank PLC | PLN | 2,300 | Pays | 6-month PLN WIBOR | 5.36 | 7/30/20 | 24,384 | |||||||||||||||||
| Barclays Bank PLC | THB | 143,000 | Pays | 6-month THBFIX | 3.34 | 2/16/15 | 46,196 | |||||||||||||||||
| Barclays Bank PLC | THB | 149,550 | Pays | 6-month THBFIX | 3.21 | 10/4/20 | (141,667 | ) | ||||||||||||||||
| Barclays Bank PLC | ZAR | 53,700 | Pays | 3-month JIBAR | 7.41 | 9/24/20 | 12,866 | |||||||||||||||||
| Citigroup Global Markets | MXN | 50,000 | Pays | Mexican Interbank Deposit Rate | 9.08 | 8/6/13 | 291,030 | |||||||||||||||||
| Citigroup Global Markets | MXN | 48,000 | Pays | Mexican Interbank Deposit Rate | 6.86 | 11/10/20 | 133,709 | |||||||||||||||||
| Citigroup Global Markets | MYR | 37,000 | Pays | 3-month MYR KLIBOR | 3.48 | 3/4/13 | 51,417 | |||||||||||||||||
| Citigroup Global Markets | THB | 69,000 | Pays | 6-month THBFIX | 3.40 | 1/14/15 | 21,683 | |||||||||||||||||
| Credit Suisse | MXN | 42,000 | Pays | Mexican Interbank Deposit Rate | 6.24 | 7/31/15 | 113,838 | |||||||||||||||||
| Credit Suisse | MXN | 45,000 | Pays | Mexican Interbank Deposit Rate | 5.84 | 10/1/15 | 75,528 | |||||||||||||||||
| Credit Suisse | MXN | 41,500 | Pays | Mexican Interbank Deposit Rate | 6.36 | 10/23/20 | 9,968 | |||||||||||||||||
| Credit Suisse | PLN | 10,000 | Pays | 6-month PLN WIBOR | 5.17 | 6/15/12 | 16,474 | |||||||||||||||||
| Deutsche Bank | MXN | 85,500 | Pays | Mexican Interbank Deposit Rate | 6.38 | 6/17/16 | 256,243 | |||||||||||||||||
| Deutsche Bank | MYR | 10,800 | Pays | 3-month MYR KLIBOR | 4.38 | 11/23/20 | 155,081 | |||||||||||||||||
42
Emerging Markets Local Income Portfolio
October 31, 2011
Notes to Consolidated Financial Statements — 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) | ||||||||||||||||||
| Deutsche Bank | PLN | 5,400 | Pays | 6-month PLN WIBOR | 4.85 | % | 4/23/14 | $ | 50,153 | |||||||||||||||
| Deutsche Bank | PLN | 3,100 | Pays | 6-month PLN WIBOR | 5.11 | 4/23/17 | 40,604 | |||||||||||||||||
| Goldman Sachs, Inc. | PLN | 17,000 | Pays | 6-month PLN WIBOR | 5.32 | 7/11/18 | 146,310 | |||||||||||||||||
| Goldman Sachs, Inc. | PLN | 11,000 | Pays | 6-month PLN WIBOR | 5.54 | 5/10/21 | 175,471 | |||||||||||||||||
| Goldman Sachs, Inc. | ZAR | 31,560 | Pays | 3-month JIBAR | 8.07 | 7/7/21 | 169,683 | |||||||||||||||||
| HSBC Bank USA | MXN | 44,030 | Pays | Mexican Interbank Deposit Rate | 7.28 | 12/23/20 | 220,918 | |||||||||||||||||
| HSBC Bank USA | THB | 262,000 | Pays | 6-month THBFIX | 2.67 | 10/21/15 | (151,973 | ) | ||||||||||||||||
| HSBC Bank USA | THB | 94,300 | Pays | 6-month THBFIX | 3.26 | 8/19/20 | (82,225 | ) | ||||||||||||||||
| HSBC Bank USA | THB | 159,000 | Pays | 6-month THBFIX | 3.50 | 11/25/20 | (37,333 | ) | ||||||||||||||||
| JPMorgan Chase Bank | BRL | 41,183 | Pays | Brazilian Interbank Deposit Rate | 12.62 | 1/2/13 | 653,379 | |||||||||||||||||
| JPMorgan Chase Bank | MXN | 50,500 | Pays | Mexican Interbank Deposit Rate | 5.31 | 9/19/12 | 20,445 | |||||||||||||||||
| JPMorgan Chase Bank | MYR | 27,300 | Pays | 3-month MYR KLIBOR | 3.25 | 9/8/14 | (5,171 | ) | ||||||||||||||||
| JPMorgan Chase Bank | MYR | 4,750 | Pays | 3-month MYR KLIBOR | 4.44 | 4/8/19 | 73,542 | |||||||||||||||||
| JPMorgan Chase Bank | PLN | 16,600 | Pays | 6-month PLN WIBOR | 4.75 | 10/11/13 | 1,761 | |||||||||||||||||
| JPMorgan Chase Bank | PLN | 31,500 | Pays | 6-month PLN WIBOR | 5.06 | 11/26/13 | 385,430 | |||||||||||||||||
| JPMorgan Chase Bank | PLN | 16,200 | Pays | 6-month PLN WIBOR | 4.93 | 10/13/17 | 23,292 | |||||||||||||||||
| JPMorgan Chase Bank | PLN | 9,900 | Pays | 6-month PLN WIBOR | 4.91 | 10/11/18 | 7,012 | |||||||||||||||||
| JPMorgan Chase Bank | PLN | 15,099 | Pays | 6-month PLN WIBOR | 5.62 | 4/8/21 | 397,844 | |||||||||||||||||
| JPMorgan Chase Bank | THB | 108,000 | Pays | 6-month THBFIX | 3.22 | 10/21/20 | (103,744 | ) | ||||||||||||||||
| JPMorgan Chase Bank | ZAR | 36,500 | Pays | 3-month JIBAR | 9.05 | 10/12/15 | 460,868 | |||||||||||||||||
| Morgan Stanley | MXN | 118,400 | Pays | Mexican Interbank Deposit Rate | 4.82 | 9/4/14 | (31,216 | ) | ||||||||||||||||
| Morgan Stanley | PLN | 32,000 | Pays | 6-month PLN WIBOR | 4.87 | 10/26/16 | 34,090 | |||||||||||||||||
| Standard Bank | ZAR | 62,500 | Pays | 3-month JIBAR | 7.98 | 5/20/19 | 382,797 | |||||||||||||||||
| Standard Bank | ZAR | 22,000 | Pays | 3-month JIBAR | 7.93 | 6/2/21 | 98,522 | |||||||||||||||||
| Standard Chartered Bank | BRL | 19,000 | Pays | Brazilian Interbank Deposit Rate | 12.12 | 1/2/13 | 274,036 | |||||||||||||||||
| $ | 5,348,162 | |||||||||||||||||||||||
BRL - Brazilian Real
ILS - Israeli Shekel
MXN - Mexican Peso
MYR - Malaysian Ringgit
PLN - Polish Zloty
THB - Thai Baht
ZAR - South African Rand
| Credit Default Swaps — Sell Protection | ||||||||||||||||||||||||||||||||
| Current | ||||||||||||||||||||||||||||||||
| Market | ||||||||||||||||||||||||||||||||
| Notional | Annual | Upfront | Net Unrealized | |||||||||||||||||||||||||||||
| Amount* | Contract Annual | Termination | Fixed | Market | Payments | Appreciation | ||||||||||||||||||||||||||
| Reference Entity | Counterparty | (000’s omitted) | Fixed Rate** | Date | Rate*** | Value | Received (Paid) | (Depreciation) | ||||||||||||||||||||||||
| Argentina | Bank of America | $ | 667 | 5.00 | %(1) | 6/20/13 | 7.01 | % | $ | (16,866 | ) | $ | (9,499 | ) | $ | (26,365 | ) | |||||||||||||||
| Argentina | Bank of America | 760 | 5.00 | (1) | 6/20/13 | 7.01 | (19,210 | ) | (8,202 | ) | (27,412 | ) | ||||||||||||||||||||
| Argentina | Bank of America | 695 | 5.00 | (1) | 6/20/13 | 7.01 | (17,559 | ) | (10,217 | ) | (27,776 | ) | ||||||||||||||||||||
| Argentina | Bank of America | 1,520 | 5.00 | (1) | 6/20/13 | 7.01 | (38,419 | ) | (15,931 | ) | (54,350 | ) | ||||||||||||||||||||
| Argentina | Bank of America | 4,959 | 5.00 | (1) | 6/20/13 | 7.01 | (125,342 | ) | (22,787 | ) | (148,129 | ) | ||||||||||||||||||||
| Argentina | Credit Suisse | 379 | 5.00 | (1) | 6/20/13 | 7.01 | (9,579 | ) | (2,912 | ) | (12,491 | ) | ||||||||||||||||||||
| Argentina | Credit Suisse | 826 | 5.00 | (1) | 6/20/13 | 7.01 | (20,878 | ) | (3,796 | ) | (24,674 | ) | ||||||||||||||||||||
| Argentina | Credit Suisse | 734 | 5.00 | (1) | 6/20/13 | 7.01 | (18,552 | ) | (7,943 | ) | (26,495 | ) | ||||||||||||||||||||
| Argentina | Credit Suisse | 763 | 5.00 | (1) | 6/20/13 | 7.01 | (19,285 | ) | (8,257 | ) | (27,542 | ) | ||||||||||||||||||||
43
Emerging Markets Local Income Portfolio
October 31, 2011
Notes to Consolidated Financial Statements — continued
| Credit Default Swaps — Sell Protection (continued) | ||||||||||||||||||||||||||||||||
| Current | ||||||||||||||||||||||||||||||||
| Contract | Market | |||||||||||||||||||||||||||||||
| Notional | Annual | Annual | Upfront | Net Unrealized | ||||||||||||||||||||||||||||
| Reference | Amount* | Fixed | Termination | Fixed | Market | Payments | Appreciation | |||||||||||||||||||||||||
| Entity | Counterparty | (000’s omitted) | Rate** | Date | Rate*** | Value | Received (Paid) | (Depreciation) | ||||||||||||||||||||||||
| Argentina | Deutsche Bank | $ | 668 | 5.00 | %(1) | 6/20/13 | 7.01 | % | $ | (16,884 | ) | $ | (7,225 | ) | $ | (24,109 | ) | |||||||||||||||
| Argentina | Deutsche Bank | 734 | 5.00 | (1) | 6/20/13 | 7.01 | (18,552 | ) | (7,943 | ) | (26,495 | ) | ||||||||||||||||||||
| Argentina | Deutsche Bank | 695 | 5.00 | (1) | 6/20/13 | 7.01 | (17,562 | ) | (10,217 | ) | (27,779 | ) | ||||||||||||||||||||
| Argentina | Deutsche Bank | 1,500 | 5.00 | (1) | 6/20/13 | 7.01 | (37,914 | ) | (15,093 | ) | (53,007 | ) | ||||||||||||||||||||
| Iceland | JPMorgan Chase Bank | 500 | 1.75 | 3/20/18 | 2.94 | (30,868 | ) | — | (30,868 | ) | ||||||||||||||||||||||
| Iceland | JPMorgan Chase Bank | 200 | 2.10 | 3/20/23 | 2.94 | (12,744 | ) | — | (12,744 | ) | ||||||||||||||||||||||
| Iceland | JPMorgan Chase Bank | 200 | 2.45 | 3/20/23 | 2.94 | (7,133 | ) | — | (7,133 | ) | ||||||||||||||||||||||
| South Africa | Bank of America | 525 | 1.00 | (1) | 12/20/15 | 1.43 | (8,418 | ) | 3,672 | (4,746 | ) | |||||||||||||||||||||
| South Africa | Bank of America | 775 | 1.00 | (1) | 12/20/15 | 1.43 | (12,428 | ) | 5,172 | (7,256 | ) | |||||||||||||||||||||
| South Africa | Barclays Bank PLC | 565 | 1.00 | (1) | 12/20/15 | 1.43 | (9,060 | ) | 4,425 | (4,635 | ) | |||||||||||||||||||||
| South Africa | Barclays Bank PLC | 750 | 1.00 | (1) | 12/20/15 | 1.43 | (12,027 | ) | 5,825 | (6,202 | ) | |||||||||||||||||||||
| South Africa | Credit Suisse | 840 | 1.00 | (1) | 12/20/15 | 1.43 | (13,470 | ) | 14,642 | 1,172 | ||||||||||||||||||||||
| South Africa | Credit Suisse | 790 | 1.00 | (1) | 12/20/15 | 1.43 | (12,668 | ) | 6,744 | (5,924 | ) | |||||||||||||||||||||
| South Africa | Credit Suisse | 775 | 1.00 | (1) | 12/20/15 | 1.43 | (12,428 | ) | 6,078 | (6,350 | ) | |||||||||||||||||||||
| South Africa | Deutsche Bank | 500 | 1.00 | (1) | 9/20/15 | 1.40 | (6,913 | ) | 9,273 | 2,360 | ||||||||||||||||||||||
| South Africa | Deutsche Bank | 610 | 1.00 | (1) | 12/20/15 | 1.43 | (9,781 | ) | 4,777 | (5,004 | ) | |||||||||||||||||||||
| South Africa | Goldman Sachs, Inc. | 820 | 1.00 | (1) | 12/20/15 | 1.43 | (13,149 | ) | 7,000 | (6,149 | ) | |||||||||||||||||||||
| South Africa | Goldman Sachs, Inc. | 815 | 1.00 | (1) | 12/20/15 | 1.43 | (13,069 | ) | 6,700 | (6,369 | ) | |||||||||||||||||||||
| South Africa | JPMorgan Chase Bank | 1,500 | 1.00 | (1) | 9/20/15 | 1.40 | (20,737 | ) | 16,943 | (3,794 | ) | |||||||||||||||||||||
| $ | (571,495 | ) | $ | (38,771 | ) | $ | (610,266 | ) | ||||||||||||||||||||||||
| Credit Default Swaps — Buy Protection | ||||||||||||||||||||||||||||
| Notional | Contract | Upfront | Net Unrealized | |||||||||||||||||||||||||
| Amount | Annual | Termination | Market | Payments | Appreciation | |||||||||||||||||||||||
| Reference Entity | Counterparty | (000’s omitted) | Fixed Rate** | Date | Value | Received (Paid) | (Depreciation) | |||||||||||||||||||||
| Austria | Barclays Bank PLC | $ | 300 | 0.44 | % | 12/20/13 | $ | 2,271 | $ | — | $ | 2,271 | ||||||||||||||||
| Austria | Barclays Bank PLC | 200 | 1.42 | 3/20/14 | (2,951 | ) | — | (2,951 | ) | |||||||||||||||||||
| Brazil | Bank of America | 350 | 1.00 | (1) | 6/20/20 | 14,990 | (11,085 | ) | 3,905 | |||||||||||||||||||
| Brazil | Bank of America | 825 | 1.00 | (1) | 6/20/20 | 35,329 | (32,967 | ) | 2,362 | |||||||||||||||||||
| Brazil | Bank of America | 2,900 | 1.00 | (1) | 12/20/20 | 134,528 | (84,467 | ) | 50,061 | |||||||||||||||||||
| Brazil | Bank of America | 883 | 1.00 | (1) | 12/20/20 | 40,961 | (30,069 | ) | 10,892 | |||||||||||||||||||
| Brazil | Bank of America | 387 | 1.00 | (1) | 12/20/20 | 17,953 | (12,891 | ) | 5,062 | |||||||||||||||||||
| Brazil | Bank of America | 120 | 1.00 | (1) | 12/20/20 | 5,567 | (3,824 | ) | 1,743 | |||||||||||||||||||
| Brazil | Barclays Bank PLC | 450 | 1.65 | 9/20/19 | (4,145 | ) | — | (4,145 | ) | |||||||||||||||||||
| Brazil | Barclays Bank PLC | 770 | 1.00 | (1) | 12/20/20 | 35,719 | (26,832 | ) | 8,887 | |||||||||||||||||||
| Brazil | Citigroup Global Markets | 190 | 1.00 | (1) | 12/20/20 | 8,813 | (6,125 | ) | 2,688 | |||||||||||||||||||
| Brazil | Deutsche Bank | 1,600 | 1.00 | (1) | 12/20/20 | 74,221 | (34,776 | ) | 39,445 | |||||||||||||||||||
| Brazil | Deutsche Bank | 190 | 1.00 | (1) | 12/20/20 | 8,812 | (6,832 | ) | 1,980 | |||||||||||||||||||
| Brazil | HSBC Bank USA | 160 | 1.00 | (1) | 12/20/20 | 7,422 | (5,158 | ) | 2,264 | |||||||||||||||||||
| Brazil | Standard Chartered Bank | 800 | 1.00 | (1) | 12/20/20 | 37,110 | (21,717 | ) | 15,393 | |||||||||||||||||||
| Brazil | Standard Chartered Bank | 150 | 1.00 | (1) | 12/20/20 | 6,957 | (4,835 | ) | 2,122 | |||||||||||||||||||
| China | Barclays Bank PLC | 1,648 | 1.00 | (1) | 12/20/16 | 21,085 | (35,868 | ) | (14,783 | ) | ||||||||||||||||||
| China | Credit Suisse | 1,000 | 1.00 | (1) | 12/20/16 | 12,794 | (21,530 | ) | (8,736 | ) | ||||||||||||||||||
| China | Deutsche Bank | 703 | 1.00 | (1) | 12/20/16 | 8,995 | (15,301 | ) | (6,306 | ) | ||||||||||||||||||
| China | Deutsche Bank | 1,393 | 1.00 | (1) | 12/20/16 | 17,823 | (26,725 | ) | (8,902 | ) | ||||||||||||||||||
| Colombia | Bank of America | 950 | 1.00 | (1) | 9/20/21 | 50,089 | (42,182 | ) | 7,907 | |||||||||||||||||||
| Colombia | Goldman Sachs, Inc. | 740 | 1.00 | (1) | 9/20/21 | 39,017 | (32,281 | ) | 6,736 | |||||||||||||||||||
44
Emerging Markets Local Income Portfolio
October 31, 2011
Notes to Consolidated Financial Statements — continued
| Credit Default Swaps — Buy Protection (continued) | ||||||||||||||||||||||||||||
| Notional | Contract | Upfront | Net Unrealized | |||||||||||||||||||||||||
| Amount | Annual | Termination | Market | Payments | Appreciation | |||||||||||||||||||||||
| Reference Entity | Counterparty | (000’s omitted) | Fixed Rate** | Date | Value | Received (Paid) | (Depreciation) | |||||||||||||||||||||
| Colombia | HSBC Bank USA | $ | 2,100 | 1.00 | %(1) | 9/20/21 | $ | 110,723 | $ | (89,556 | ) | $ | 21,167 | |||||||||||||||
| Colombia | Morgan Stanley | 1,100 | 1.00 | (1) | 9/20/21 | 57,998 | (48,843 | ) | 9,155 | |||||||||||||||||||
| Egypt | Bank of America | 550 | 1.00 | (1) | 9/20/15 | 55,852 | (20,473 | ) | 35,379 | |||||||||||||||||||
| Egypt | Barclays Bank PLC | 125 | 1.00 | (1) | 6/20/15 | 11,753 | (3,704 | ) | 8,049 | |||||||||||||||||||
| Egypt | Citigroup Global Markets | 650 | 1.00 | (1) | 12/20/15 | 70,742 | (36,186 | ) | 34,556 | |||||||||||||||||||
| Egypt | Citigroup Global Markets | 100 | 1.00 | (1) | 6/20/20 | 22,087 | (9,576 | ) | 12,511 | |||||||||||||||||||
| Egypt | Citigroup Global Markets | 100 | 1.00 | (1) | 6/20/20 | 22,087 | (10,059 | ) | 12,028 | |||||||||||||||||||
| Egypt | Credit Suisse | 1,085 | 1.00 | (1) | 12/20/15 | 118,084 | (60,407 | ) | 57,677 | |||||||||||||||||||
| Egypt | Credit Suisse | 375 | 1.00 | (1) | 12/20/15 | 40,812 | (19,558 | ) | 21,254 | |||||||||||||||||||
| Egypt | Deutsche Bank | 250 | 1.00 | (1) | 6/20/15 | 23,505 | (7,327 | ) | 16,178 | |||||||||||||||||||
| Egypt | Deutsche Bank | 150 | 1.00 | (1) | 6/20/15 | 14,104 | (5,932 | ) | 8,172 | |||||||||||||||||||
| Egypt | Deutsche Bank | 100 | 1.00 | (1) | 6/20/15 | 9,401 | (4,447 | ) | 4,954 | |||||||||||||||||||
| Egypt | Deutsche Bank | 100 | 1.00 | (1) | 6/20/15 | 9,401 | (4,593 | ) | 4,808 | |||||||||||||||||||
| Egypt | Deutsche Bank | 125 | 1.00 | (1) | 9/20/15 | 12,694 | (5,970 | ) | 6,724 | |||||||||||||||||||
| Egypt | Deutsche Bank | 1,400 | 1.00 | (1) | 12/20/15 | 152,367 | (58,475 | ) | 93,892 | |||||||||||||||||||
| Egypt | Deutsche Bank | 930 | 1.00 | (1) | 12/20/15 | 101,215 | (47,097 | ) | 54,118 | |||||||||||||||||||
| Egypt | Deutsche Bank | 100 | 1.00 | (1) | 6/20/20 | 22,086 | (9,634 | ) | 12,452 | |||||||||||||||||||
| Egypt | Deutsche Bank | 50 | 1.00 | (1) | 6/20/20 | 11,043 | (4,810 | ) | 6,233 | |||||||||||||||||||
| Egypt | JPMorgan Chase Bank | 100 | 1.00 | (1) | 6/20/15 | 9,402 | (4,507 | ) | 4,895 | |||||||||||||||||||
| Greece | Citigroup Global Markets | 225 | 1.00 | (1) | 6/20/15 | 155,340 | (31,259 | ) | 124,081 | |||||||||||||||||||
| Guatemala | Citigroup Global Markets | 458 | 1.00 | (1) | 9/20/20 | 39,065 | (31,260 | ) | 7,805 | |||||||||||||||||||
| Lebanon | Barclays Bank PLC | 200 | 1.00 | (1) | 12/20/14 | 15,478 | (9,660 | ) | 5,818 | |||||||||||||||||||
| Lebanon | Citigroup Global Markets | 250 | 3.30 | 9/20/14 | 1,322 | — | 1,322 | |||||||||||||||||||||
| Lebanon | Citigroup Global Markets | 200 | 1.00 | (1) | 12/20/14 | 15,478 | (9,806 | ) | 5,672 | |||||||||||||||||||
| Lebanon | Citigroup Global Markets | 150 | 1.00 | (1) | 12/20/14 | 11,607 | (7,099 | ) | 4,508 | |||||||||||||||||||
| Lebanon | Citigroup Global Markets | 100 | 1.00 | (1) | 12/20/14 | 7,738 | (4,830 | ) | 2,908 | |||||||||||||||||||
| Lebanon | Credit Suisse | 300 | 1.00 | (1) | 3/20/15 | 25,452 | (14,330 | ) | 11,122 | |||||||||||||||||||
| Lebanon | Credit Suisse | 100 | 1.00 | (1) | 3/20/15 | 8,484 | (4,805 | ) | 3,679 | |||||||||||||||||||
| Lebanon | Credit Suisse | 1,000 | 1.00 | (1) | 12/20/15 | 106,721 | (70,500 | ) | 36,221 | |||||||||||||||||||
| Lebanon | Credit Suisse | 840 | 1.00 | (1) | 12/20/15 | 89,646 | (62,075 | ) | 27,571 | |||||||||||||||||||
| Lebanon | Credit Suisse | 350 | 1.00 | (1) | 12/20/15 | 37,354 | (24,621 | ) | 12,733 | |||||||||||||||||||
| Lebanon | Deutsche Bank | 100 | 1.00 | (1) | 3/20/15 | 8,485 | (4,436 | ) | 4,049 | |||||||||||||||||||
| Lebanon | Deutsche Bank | 1,140 | 1.00 | (1) | 12/20/15 | 121,662 | (83,457 | ) | 38,205 | |||||||||||||||||||
| Lebanon | Deutsche Bank | 865 | 1.00 | (1) | 12/20/15 | 92,314 | (63,586 | ) | 28,728 | |||||||||||||||||||
| Philippines | Bank of America | 700 | 1.00 | (1) | 12/20/15 | 10,770 | (12,561 | ) | (1,791 | ) | ||||||||||||||||||
| Philippines | Barclays Bank PLC | 100 | 1.85 | 12/20/14 | (2,314 | ) | — | (2,314 | ) | |||||||||||||||||||
| Philippines | Barclays Bank PLC | 142 | 1.00 | (1) | 3/20/15 | 980 | (2,793 | ) | (1,813 | ) | ||||||||||||||||||
| Philippines | Citigroup Global Markets | 200 | 1.84 | 12/20/14 | (4,563 | ) | — | (4,563 | ) | |||||||||||||||||||
| Philippines | Deutsche Bank | 150 | 1.00 | (1) | 3/20/15 | 1,036 | (3,205 | ) | (2,169 | ) | ||||||||||||||||||
| Philippines | HSBC Bank USA | 600 | 1.00 | (1) | 9/20/15 | 7,570 | (12,080 | ) | (4,510 | ) | ||||||||||||||||||
| Philippines | JPMorgan Chase Bank | 142 | 1.00 | (1) | 3/20/15 | 980 | (2,793 | ) | (1,813 | ) | ||||||||||||||||||
| Philippines | Standard Chartered Bank | 4,900 | 1.00 | (1) | 3/20/16 | 93,591 | (75,013 | ) | 18,578 | |||||||||||||||||||
| South Africa | Bank of America | 300 | 1.00 | (1) | 12/20/19 | 16,750 | (11,323 | ) | 5,427 | |||||||||||||||||||
| South Africa | Bank of America | 775 | 1.00 | (1) | 12/20/20 | 50,212 | (27,279 | ) | 22,933 | |||||||||||||||||||
| South Africa | Bank of America | 525 | 1.00 | (1) | 12/20/20 | 34,015 | (20,270 | ) | 13,745 | |||||||||||||||||||
| South Africa | Barclays Bank PLC | 300 | 1.00 | (1) | 12/20/19 | 16,751 | (13,089 | ) | 3,662 | |||||||||||||||||||
| South Africa | Barclays Bank PLC | 100 | 1.00 | (1) | 3/20/20 | 5,812 | (3,351 | ) | 2,461 | |||||||||||||||||||
| South Africa | Barclays Bank PLC | 750 | 1.00 | (1) | 12/20/20 | 48,594 | (27,878 | ) | 20,716 | |||||||||||||||||||
| South Africa | Barclays Bank PLC | 565 | 1.00 | (1) | 12/20/20 | 36,607 | (19,814 | ) | 16,793 | |||||||||||||||||||
| South Africa | Citigroup Global Markets | 150 | 1.00 | (1) | 12/20/19 | 8,374 | (7,440 | ) | 934 | |||||||||||||||||||
45
Emerging Markets Local Income Portfolio
October 31, 2011
Notes to Consolidated Financial Statements — continued
| Credit Default Swaps — Buy Protection (continued) | ||||||||||||||||||||||||||||
| Notional | Contract | Upfront | Net Unrealized | |||||||||||||||||||||||||
| Amount | Annual | Termination | Market | Payments | Appreciation | |||||||||||||||||||||||
| Reference Entity | Counterparty | (000’s omitted) | Fixed Rate** | Date | Value | Received (Paid) | (Depreciation) | |||||||||||||||||||||
| South Africa | Citigroup Global Markets | $ | 100 | 1.00 | %(1) | 3/20/20 | $ | 5,813 | $ | (5,230 | ) | $ | 583 | |||||||||||||||
| South Africa | Credit Suisse | 100 | 1.00 | (1) | 3/20/20 | 5,813 | (3,675 | ) | 2,138 | |||||||||||||||||||
| South Africa | Credit Suisse | 100 | 1.00 | (1) | 3/20/20 | 5,813 | (4,471 | ) | 1,342 | |||||||||||||||||||
| South Africa | Credit Suisse | 775 | 1.00 | (1) | 12/20/20 | 50,213 | (29,004 | ) | 21,209 | |||||||||||||||||||
| South Africa | Credit Suisse | 790 | 1.00 | (1) | 12/20/20 | 51,186 | (31,070 | ) | 20,116 | |||||||||||||||||||
| South Africa | Credit Suisse | 840 | 1.00 | (1) | 12/20/20 | 54,425 | (40,603 | ) | 13,822 | |||||||||||||||||||
| South Africa | Deutsche Bank | 500 | 1.00 | (1) | 9/20/20 | 31,311 | (25,270 | ) | 6,041 | |||||||||||||||||||
| South Africa | Deutsche Bank | 610 | 1.00 | (1) | 12/20/20 | 39,522 | (22,294 | ) | 17,228 | |||||||||||||||||||
| South Africa | Goldman Sachs, Inc. | 815 | 1.00 | (1) | 12/20/20 | 52,805 | (30,388 | ) | 22,417 | |||||||||||||||||||
| South Africa | Goldman Sachs, Inc. | 820 | 1.00 | (1) | 12/20/20 | 53,130 | (31,071 | ) | 22,059 | |||||||||||||||||||
| South Africa | JPMorgan Chase Bank | 100 | 1.00 | (1) | 12/20/19 | 5,582 | (5,172 | ) | 410 | |||||||||||||||||||
| South Africa | JPMorgan Chase Bank | 100 | 1.00 | (1) | 12/20/19 | 5,583 | (6,208 | ) | (625 | ) | ||||||||||||||||||
| South Africa | JPMorgan Chase Bank | 100 | 1.00 | (1) | 3/20/20 | 5,812 | (3,610 | ) | 2,202 | |||||||||||||||||||
| South Africa | JPMorgan Chase Bank | 100 | 1.00 | (1) | 3/20/20 | 5,812 | (3,739 | ) | 2,073 | |||||||||||||||||||
| South Africa | JPMorgan Chase Bank | 100 | 1.00 | (1) | 3/20/20 | 5,812 | (5,167 | ) | 645 | |||||||||||||||||||
| Spain | Barclays Bank PLC | 167 | 1.00 | (1) | 9/20/20 | 25,117 | (14,484 | ) | 10,633 | |||||||||||||||||||
| Spain | Barclays Bank PLC | 700 | 1.00 | (1) | 12/20/20 | 106,981 | (65,108 | ) | 41,873 | |||||||||||||||||||
| Spain | Barclays Bank PLC | 690 | 1.00 | (1) | 12/20/20 | 105,453 | (65,386 | ) | 40,067 | |||||||||||||||||||
| Spain | Barclays Bank PLC | 300 | 1.00 | (1) | 12/20/20 | 45,850 | (28,006 | ) | 17,844 | |||||||||||||||||||
| Spain | Citigroup Global Markets | 300 | 1.00 | (1) | 3/20/20 | 43,598 | (6,896 | ) | 36,702 | |||||||||||||||||||
| Spain | Citigroup Global Markets | 300 | 1.00 | (1) | 3/20/20 | 43,597 | (14,201 | ) | 29,396 | |||||||||||||||||||
| Spain | Deutsche Bank | 300 | 1.00 | (1) | 3/20/20 | 43,598 | (6,512 | ) | 37,086 | |||||||||||||||||||
| Spain | Deutsche Bank | 300 | 1.00 | (1) | 3/20/20 | 43,597 | (14,201 | ) | 29,396 | |||||||||||||||||||
| Spain | Deutsche Bank | 550 | 1.00 | (1) | 6/20/20 | 81,338 | (33,648 | ) | 47,690 | |||||||||||||||||||
| Spain | Deutsche Bank | 3,265 | 1.00 | (1) | 12/20/20 | 498,985 | (265,338 | ) | 233,647 | |||||||||||||||||||
| Spain | Deutsche Bank | 670 | 1.00 | (1) | 12/20/20 | 102,395 | (63,490 | ) | 38,905 | |||||||||||||||||||
| Spain | Goldman Sachs, Inc. | 193 | 1.00 | (1) | 9/20/20 | 29,026 | (17,095 | ) | 11,931 | |||||||||||||||||||
| Thailand | Barclays Bank PLC | 400 | 0.97 | 9/20/19 | 21,823 | — | 21,823 | |||||||||||||||||||||
| Thailand | Citigroup Global Markets | 400 | 0.86 | 12/20/14 | 3,802 | — | 3,802 | |||||||||||||||||||||
| Thailand | Citigroup Global Markets | 200 | 0.95 | 9/20/19 | 11,191 | — | 11,191 | |||||||||||||||||||||
| Thailand | Goldman Sachs, Inc. | 1,500 | 1.00 | (1) | 3/20/16 | 26,198 | (10,969 | ) | 15,229 | |||||||||||||||||||
| Thailand | JPMorgan Chase Bank | 200 | 0.87 | 12/20/14 | 1,837 | — | 1,837 | |||||||||||||||||||||
| Uruguay | Citigroup Global Markets | 100 | 1.00 | (1) | 6/20/20 | 5,849 | (6,591 | ) | (742 | ) | ||||||||||||||||||
| Uruguay | Deutsche Bank | 100 | 1.00 | (1) | 6/20/20 | 5,849 | (6,437 | ) | (588 | ) | ||||||||||||||||||
| Banco de Sabadell, S.A. | JPMorgan Chase Bank | 110 | 3.00 | (1) | 3/20/15 | 27,248 | (487 | ) | 26,761 | |||||||||||||||||||
| Citibank Corp. | Bank of America | 490 | 1.00 | (1) | 9/20/20 | 36,527 | (27,556 | ) | 8,971 | |||||||||||||||||||
| Citibank Corp. | JPMorgan Chase Bank | 490 | 1.00 | (1) | 9/20/20 | 36,528 | (29,167 | ) | 7,361 | |||||||||||||||||||
| Erste Group Bank AG | Barclays Bank PLC | 110 | 1.00 | (1) | 3/20/15 | 12,158 | (5,284 | ) | 6,874 | |||||||||||||||||||
| ING Verzekeringen N.V. | JPMorgan Chase Bank | 110 | 1.00 | (1) | 3/20/15 | 7,061 | (2,377 | ) | 4,684 | |||||||||||||||||||
| OAO Gazprom | Deutsche Bank | 100 | 1.00 | (1) | 9/20/20 | 14,067 | (10,975 | ) | 3,092 | |||||||||||||||||||
| Rabobank Nederland N.V. | JPMorgan Chase Bank | 110 | 1.00 | (1) | 3/20/15 | 2,035 | (69 | ) | 1,966 | |||||||||||||||||||
| Raiffeisen Zentralbank | Barclays Bank PLC | 110 | 1.00 | (1) | 3/20/15 | 10,897 | (7,133 | ) | 3,764 | |||||||||||||||||||
| iTraxx Europe Senior Financials 5-Year Index | Goldman Sachs, Inc. | EUR | 920 | 1.00 | (1) | 12/20/16 | 73,374 | (107,677 | ) | (34,303 | ) | |||||||||||||||||
| iTraxx Europe Subordinated Financials 5-Year Index | Goldman Sachs, Inc. | EUR | 1,590 | 5.00 | (1) | 12/20/16 | (93,988 | ) | (9,204 | ) | (103,192 | ) | ||||||||||||||||
| $ | 4,260,650 | $ | (2,632,495 | ) | $ | 1,628,155 | ||||||||||||||||||||||
46
Emerging Markets Local Income Portfolio
October 31, 2011
Notes to Consolidated Financial Statements — continued
| * | 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 October 31, 2011, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $25,065,000. |
| ** | 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. |
| (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 | ||||||||||||||||||||
| Received) | Delivered) | Termination | Unrealized | |||||||||||||||||||
| 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 | $ | (8,772 | ) | ||||||||||||
| $ | (8,772 | ) | ||||||||||||||||||||
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.
Written options activity for the year ended October 31, 2011 was as follows:
| Number of | Premiums | |||||||||
| Contracts | Received | |||||||||
| Outstanding, beginning of year | — | $ | — | |||||||
| Options written | 14,300,000 | 98,189 | ||||||||
| Options expired | (14,300,000 | ) | (98,189 | ) | ||||||
Outstanding, end of year | — | $ | — | |||||||
At October 31, 2011, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.
In the normal course of pursuing its investment objective 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-linked derivative 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 Price Risk: The Portfolio enters into equity index options to enhance return.
47
Emerging Markets Local Income Portfolio
October 31, 2011
Notes to Consolidated Financial Statements — continued
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, 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, forward foreign currency exchange contracts and forward commodity 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 October 31, 2011, the fair value of derivatives with credit-related contingent features in a net liability position was $9,307,000. The aggregate fair value of assets pledged as collateral by the Portfolio for such liability was $2,649,893 at October 31, 2011.
The non-exchange traded derivatives in which the Portfolio invests, including swap contracts, over-the-counter options, forward commodity contracts 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 October 31, 2011, the maximum amount of loss the Portfolio would incur due to counterparty risk was $16,686,678, with the highest amount from any one counterparty being $2,911,289. 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 October 31, 2011, the maximum amount of loss the Portfolio would incur due to counterparty risk would be reduced by approximately $6,666,000 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.
The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at October 31, 2011 was as follows:
| Fair Value | ||||||||||||||||||||||
| Foreign | Interest | |||||||||||||||||||||
| Consolidated Statement of Assets and Liabilities Caption | Credit | Equity Price | Exchange | Rate | Commodity | |||||||||||||||||
| Securities of unaffiliated issuers, at value | $ | — | $ | 215,529 | $ | 65,496 | $ | — | $ | 1,680 | ||||||||||||
| Net unrealized depreciation* | — | — | — | 129,970 | 52,925 | |||||||||||||||||
| Receivable for open forward foreign currency exchange contracts | — | — | 6,545,897 | — | — | |||||||||||||||||
| Receivable for open swap contracts; Premium paid/received on open swap contracts | 4,368,611 | — | — | 5,942,877 | — | |||||||||||||||||
Total Asset Derivatives | $ | 4,368,611 | $ | 215,529 | $ | 6,611,393 | $ | 6,072,847 | $ | 54,605 | ||||||||||||
| Net unrealized depreciation* | $ | — | $ | — | $ | — | $ | (404,412 | ) | $ | — | |||||||||||
| Payable for open forward commodity contracts | — | — | — | — | (705,490 | ) | ||||||||||||||||
| Payable for open forward foreign currency exchange contracts | — | — | (6,735,824 | ) | — | — | ||||||||||||||||
| Payable for open swap contracts; Premium paid/received on open swap contracts | (679,456 | ) | — | — | (603,487 | ) | — | |||||||||||||||
Total Liability Derivatives | $ | (679,456 | ) | $ | — | $ | (6,735,824 | ) | $ | (1,007,899 | ) | $ | (705,490 | ) | ||||||||
| * | 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. |
48
Emerging Markets Local Income Portfolio
October 31, 2011
Notes to Consolidated Financial Statements — continued
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 year ended October 31, 2011 was as follows:
| Foreign | Interest | |||||||||||||||||||||
| Consolidated Statement of Operations Caption | Credit | Equity Price | Exchange | Rate | Commodity | |||||||||||||||||
| Net realized gain (loss) — Investment transactions | $ | — | $ | (375,799 | ) | $ | — | $ | — | $ | — | |||||||||||
| Written options | — | 98,189 | — | — | — | |||||||||||||||||
| Futures contracts | — | — | — | (38,513 | ) | (821,766 | ) | |||||||||||||||
| Swap contracts | 39,284 | — | — | 981,483 | — | |||||||||||||||||
| Forward commodity contracts | — | — | — | — | (1,081,966 | ) | ||||||||||||||||
| Foreign currency and forward foreign currency exchange contract transactions | — | — | (11,549,615 | ) | — | — | ||||||||||||||||
Total | $ | 39,284 | $ | (277,610 | ) | $ | (11,549,615 | ) | $ | 942,970 | $ | (1,903,732 | ) | |||||||||
| Change in unrealized appreciation (depreciation) — | ||||||||||||||||||||||
| Investments | $ | — | $ | (92,245 | ) | $ | 111,663 | $ | — | $ | (40,020 | ) | ||||||||||
| Futures contracts | — | — | — | (273,829 | ) | 52,925 | ||||||||||||||||
| Swap contracts | 1,288,318 | — | — | 4,407,567 | — | |||||||||||||||||
| Forward commodity contracts | — | — | — | — | (705,490 | ) | ||||||||||||||||
| Foreign currency and forward foreign currency exchange contracts | — | — | 365,241 | — | — | |||||||||||||||||
Total | $ | 1,288,318 | $ | (92,245 | ) | $ | 476,904 | $ | 4,133,738 | $ | (692,585 | ) | ||||||||||
The average notional amounts of futures contracts, forward commodity contracts, forward foreign currency exchange contracts and swap contracts outstanding during the year ended October 31, 2011, which are indicative of the volume of these derivative types, were approximately $34,435,000, $4,819,000, $539,138,000 and $669,920,000, respectively.
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 year ended October 31, 2011, which are indicative of the volume of these derivative types, were approximately $13,339,000, 52,888,000 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 $600 million ($450 million prior to September 12, 2011) 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 0.08% (0.10% prior to September 12, 2011) 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 year ended October 31, 2011.
7 Risks Associated with Foreign Investments and Currencies
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 and currencies 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.
49
Emerging Markets Local Income Portfolio
October 31, 2011
Notes to Consolidated Financial Statements — continued
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.
At October 31, 2011, the hierarchy of inputs used in valuing the Portfolio’s investments and open derivative instruments, which are carried at value, were as follows:
| Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
| Foreign Government Bonds | $ | — | $ | 575,312,090 | $ | — | $ | 575,312,090 | ||||||||||
| Mortgage Pass-Throughs | — | 12,944,580 | — | 12,944,580 | ||||||||||||||
| U.S. Government Agency Obligations | — | 7,937,154 | — | 7,937,154 | ||||||||||||||
| Precious Metals | 11,819,397 | — | — | 11,819,397 | ||||||||||||||
| Currency Options Purchased | — | 65,496 | — | 65,496 | ||||||||||||||
| Put Options Purchased | 1,680 | 215,529 | — | 217,209 | ||||||||||||||
| Short-Term Investments — | ||||||||||||||||||
| Foreign Government Securities | — | 76,612,069 | — | 76,612,069 | ||||||||||||||
| U.S. Treasury Obligations | — | 25,004,098 | — | 25,004,098 | ||||||||||||||
| Repurchase Agreements | — | 27,687,410 | — | 27,687,410 | ||||||||||||||
| Other Securities | — | 53,430,441 | — | 53,430,441 | ||||||||||||||
Total Investments | $ | 11,821,077 | $ | 779,208,867 | $ | — | $ | 791,029,944 | ||||||||||
| Forward Foreign Currency Exchange Contracts | $ | — | $ | 6,545,897 | $ | — | $ | 6,545,897 | ||||||||||
| Swap Contracts | — | 10,311,488 | — | 10,311,488 | ||||||||||||||
| Futures Contracts | 182,895 | — | — | 182,895 | ||||||||||||||
Total | $ | 12,003,972 | $ | 796,066,252 | $ | — | $ | 808,070,224 | ||||||||||
Liability Description | ||||||||||||||||||
| Securities Sold Short | $ | — | $ | (25,867,990 | ) | $ | — | $ | (25,867,990 | ) | ||||||||
| Forward Commodity Contracts | — | (705,490 | ) | — | (705,490 | ) | ||||||||||||
| Forward Foreign Currency Exchange Contracts | — | (6,735,824 | ) | — | (6,735,824 | ) | ||||||||||||
| Swap Contracts | — | (1,282,943 | ) | — | (1,282,943 | ) | ||||||||||||
| Futures Contracts | (404,412 | ) | — | — | (404,412 | ) | ||||||||||||
Total | $ | (404,412 | ) | $ | (34,592,247 | ) | $ | — | $ | (34,996,659 | ) | |||||||
The Portfolio held no investments or other financial instruments as of October 31, 2010 whose fair value was determined using Level 3 inputs. At October 31, 2011, the value of investments transferred between Level 1 and Level 2, if any, during the year then ended was not significant.
50
Emerging Markets Local Income Portfolio
October 31, 2011
Report of Independent Registered Public Accounting Firm
To the Trustees and Investors of Emerging Markets Local Income Portfolio:
We have audited the accompanying consolidated statement of assets and liabilities of Emerging Markets Local Income Portfolio and subsidiary (the “Portfolio”), including the consolidated portfolio of investments, as of October 31, 2011, and the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, and the consolidated supplementary data for each of the four years in the period then ended and the period from the start of business, June 27, 2007, to October 31, 2007. These consolidated financial statements and consolidated supplementary data are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these consolidated financial statements and consolidated supplementary data based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements and consolidated supplementary data are free of material misstatement. The Portfolio is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2011, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, such consolidated financial statements and consolidated supplementary data referred to above present fairly, in all material respects, the financial position of Emerging Markets Local Income Portfolio and subsidiary as of October 31, 2011, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the supplementary data for each of the four years in the period then ended and the period from the start of business, June 27, 2007, to October 31, 2007, in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
December 21, 2011
51
Eaton Vance
Emerging Markets Local Income Fund
October 31, 2011
Management and Organization
Fund Management. The Trustees of Eaton Vance Mutual Funds Trust (the Trust) and Emerging Markets Local Income Portfolio (the Portfolio) are responsible for the overall management and supervision of the Trust’s and Portfolio’s affairs. The Trustees and officers of the Trust and the Portfolio are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Trustees and officers of the Trust and the Portfolio hold indefinite terms of office. The “Noninterested Trustees” consist of those Trustees who are not “interested persons” of the Trust and the Portfolio, as that term is defined under the 1940 Act. The business address of each Trustee and officer is Two International Place, Boston, Massachusetts 02110. As used below, “EVC” refers to Eaton Vance Corp., “EV” refers to Eaton Vance, Inc., “EVM” refers to Eaton Vance Management, “BMR” refers to Boston Management and Research and “EVD” refers to Eaton Vance Distributors, Inc. EVC and EV are the corporate parent and trustee, respectively, of EVM and BMR. EVD is the Fund’s principal underwriter, the Portfolio’s placement agent and a wholly-owned subsidiary of EVC. Each officer affiliated with Eaton Vance may hold a position with other Eaton Vance affiliates that is comparable to his or her position with EVM listed below. Each Trustee oversees 179 portfolios in the Eaton Vance Complex (including all master and feeder funds in a master feeder structure). Each officer serves as an officer of certain other Eaton Vance funds. Each Trustee and officer serves until his or her successor is elected.
| Position(s) | ||||||
| with the | ||||||
| Trust and | Length of | Principal Occupation(s) and Directorships | ||||
| Name and Year of Birth | the Portfolio | Service | During Past Five Years and Other Relevant Experience | |||
| Interested Trustee | ||||||
| Thomas E. Faust Jr. 1958 | Trustee | Since 2007 | Chairman, Chief Executive Officer and President of EVC, Director and President of EV, Chief Executive Officer and President of EVM and BMR, and Director of EVD. Trustee and/or officer of 179 registered investment companies and 1 private investment company managed by EVM or BMR. Mr. Faust is an interested person because of his positions with EVM, BMR, EVD, EVC and EV, which are affiliates of the Trust and the Portfolio. Directorships in the Last Five Years.(1) Director of EVC. | |||
| Noninterested Trustees | ||||||
| Scott E. Eston 1956 | Trustee | Since 2011 | Private investor. Formerly held various positions at Grantham, Mayo, Van Otterloo and Co., L.L.C. (investment management firm) (1997-2009), including Chief Operating Officer (2002-2009), Chief Financial Officer (1997-2009) and Chairman of the Executive Committee (2002-2008); President and Principal Executive Officer, GMO Trust (open-end registered investment company) (2006-2009). Former Partner, Coopers and Lybrand L.L.P. (now PricewaterhouseCoopers) (public accounting firm) (1987-1997). Directorships in the Last Five Years. None. | |||
| Benjamin C. Esty 1963 | Trustee | Of the Trust since 2005 and of the Portfolio since 2007 | Roy and Elizabeth Simmons Professor of Business Administration and Finance Unit Head, Harvard University Graduate School of Business Administration. Directorships in the Last Five Years.(1) None. | |||
| Allen R. Freedman 1940 | Trustee | Since 2007 | Private Investor. Former Chairman (2002-2004) and a Director (1983-2004) of Systems & Computer Technology Corp. (provider of software to higher education). Formerly, a Director of Loring Ward International (fund distributor) (2005-2007). Former Chairman and a Director of Indus International, Inc. (provider of enterprise management software to the power generating industry) (2005-2007). Former Chief Executive Officer of Assurant, Inc. (insurance provider) (1979-2000). Directorships in the Last Five Years.(1) Director of Stonemor Partners, L.P. (owner and operator of cemeteries). Formerly, Director of Assurant, Inc. (insurance provider) (1979-2011). | |||
| William H. Park 1947 | Trustee | Of the Trust since 2003 and of the Portfolio since 2007 | Consultant and private investor. Formerly, Chief Financial Officer, Aveon Group L.P. (investment management firm) (2010-2011). Formerly, Vice Chairman, Commercial Industrial Finance Corp. (specialty finance company) (2006-2010). Formerly, President and Chief Executive Officer, Prizm Capital Management, LLC (investment management firm) (2002-2005). Formerly, Executive Vice President and Chief Financial Officer, United Asset Management Corporation (investment management firm) (1982-2001). Formerly, Senior Manager, Price Waterhouse (now PricewaterhouseCoopers) (an independent registered public accounting firm) (1972-1981). Directorships in the Last Five Years.(1) None. | |||
52
Eaton Vance
Emerging Markets Local Income Fund
October 31, 2011
Management and Organization — continued
| Position(s) | ||||||
| with the | ||||||
| Trust and | Length of | Principal Occupation(s) and Directorships | ||||
| Name and Year of Birth | the Portfolio | Service | During Past Five Years and Other Relevant Experience | |||
| Noninterested Trustees (continued) | ||||||
| Ronald A. Pearlman 1940 | Trustee | Of the Trust since 2003 and of the Portfolio since 2007 | Professor of Law, Georgetown University Law Center. Formerly, Deputy Assistant Secretary (Tax Policy) and Assistant Secretary (Tax Policy), U.S. Department of the Treasury (1983-1985). Formerly, Chief of Staff, Joint Committee on Taxation, U.S. Congress (1988-1990). Directorships in the Last Five Years.(1) None. | |||
| Helen Frame Peters 1948 | Trustee | Since 2008 | Professor of Finance, Carroll School of Management, Boston College. Formerly, Dean, Carroll School of Management, Boston College (2000-2002). Formerly, Chief Investment Officer, Fixed Income, Scudder Kemper Investments (investment management firm) (1998-1999). Formerly, Chief Investment Officer, Equity and Fixed Income, Colonial Management Associates (investment management firm) (1991-1998). Directorships in the Last Five Years.(1) Formerly, Director of BJ’s Wholesale Club, Inc. (wholesale club retailer) (2004-2011). Formerly, Trustee of SPDR Index Shares Funds and SPDR Series Trust (exchange traded funds) (2000-2009). Formerly, Director of Federal Home Loan Bank of Boston (a bank for banks) (2007-2009). | |||
| Lynn A. Stout 1957 | Trustee | Of the Trust since 1998 and of the Portfolio since 2007 | Paul Hastings Professor of Corporate and Securities Law (since 2006) and Professor of Law (2001-2006), University of California at Los Angeles School of Law. Directorships in the Last Five Years.(1) None. | |||
| Harriett Tee Taggart 1948 | Trustee | Since 2011 | Managing Director, Taggart Associates (a professional practice firm). Formerly, Partner and Senior Vice President, Wellington Management Company, LLP (investment management firm) (1983-2006). Directorships in the Last Five Years. Director of Albemarle Corporation (chemicals manufacturer) (since 2007) and The Hanover Group (specialty property and casualty insurance company) (since 2009). Formerly, Director of Lubrizol Corporation (specialty chemicals) (2007-2011). | |||
| Ralph F. Verni 1943 | Chairman of the Board and Trustee | Chairman of the Board and Trustee of the Portfolio since 2007 and Trustee of the Trust since 2005 | Consultant and private investor. Formerly, Chief Investment Officer (1982-1992), Chief Financial Officer (1988-1990) and Director (1982-1992), New England Life. Formerly, Chairperson, New England Mutual Funds (1982-1992). Formerly, President and Chief Executive Officer, State Street Management & Research (1992-2000). Formerly, Chairperson, State Street Research Mutual Funds (1992-2000). Formerly, Director, W.P. Carey, LLC (1998-2004) and First Pioneer Farm Credit Corp. (2002-2006). Directorships in the Last Five Years.(1) None. | |||
| Principal Officers who are not Trustees | ||||||
| Position(s) | ||||||
| with the | ||||||
| Trust and | Length of | Principal Occupation(s) | ||||
| Name and Year of Birth | the Portfolio | Service | During Past Five Years | |||
| Duncan W. Richardson 1957 | President of the Trust | Since 2011(2) | Director of EVC and Executive Vice President and Chief Equity Investment Officer of EVC, EVM and BMR. | |||
| Mark S. Venezia 1949 | President of the Portfolio | Since 2007 | Vice President of EVM and BMR. | |||
| Payson F. Swaffield 1956 | Vice President | Since 2011 | Chief Income Investment Officer of EVC. Vice President of EVM and BMR. | |||
| Barbara E. Campbell 1957 | Treasurer | Of the Trust since 2005 and of the Portfolio since 2008 | Vice President of EVM and BMR. | |||
53
Eaton Vance
Emerging Markets Local Income Fund
October 31, 2011
Management and Organization — continued
| Position(s) | ||||||
| with the | ||||||
| Trust and | Length of | Principal Occupation(s) | ||||
| Name and Year of Birth | the Portfolio | Service | During Past Five Years | |||
| Principal Officers who are not Trustees (continued) | ||||||
| Maureen A. Gemma 1960 | Vice President, Secretary and Chief Legal Officer | Vice President since 2011, Secretary since 2007 and Chief Legal Officer since 2008 | Vice President of EVM and BMR. | |||
| Paul M. O’Neil 1953 | Chief Compliance Officer | Of the Trust since 2004 and of the Portfolio since 2007 | Vice President of EVM and BMR. | |||
| (1) | During their respective tenures, the Trustees (except Mr. Eston and Ms. Taggart) also served as trustees of one or more of the following Eaton Vance funds (which operated in the years noted): Eaton Vance Credit Opportunities Fund (launched in 2005 and terminated in 2010); Eaton Vance Insured Florida Plus Municipal Bond Fund (launched in 2002 and terminated in 2009); and Eaton Vance National Municipal Income Trust (launched in 1998 and terminated in 2009). | |
| (2) | Prior to 2011, Mr. Richardson was Vice President of the Trust since 2001. |
The SAI for the Fund includes additional information about the Trustees and officers of the Fund and the Portfolio and can be obtained without charge on Eaton Vance’s website at www.eatonvance.com or by calling 1-800-262-1122.
54
Eaton Vance
Emerging Markets Local Income Fund
October 31, 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 advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Eaton Vance’s Privacy Policy, please call 1-800-262-1122.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Eaton Vance, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Eaton Vance, or your financial advisor, otherwise. If you would prefer that your Eaton Vance documents not be householded, please contact Eaton Vance at 1-800-262-1122, or contact your financial advisor. Your instructions that householding not apply to delivery of your Eaton Vance documents will be effective within 30 days of receipt by Eaton Vance or your financial advisor.
Portfolio Holdings. Each Eaton Vance Fund and its underlying Portfolio(s) (if applicable) will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Eaton Vance website at www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. From time to time, funds are required to vote proxies related to the securities held by the funds. The Eaton Vance Funds or their underlying Portfolios (if applicable) vote proxies according to a set of policies and procedures approved by the Funds’ and Portfolios’ Boards. You may obtain a description of these policies and procedures and information on how the Funds or Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge, upon request, by calling 1-800-262-1122 and by accessing the SEC’s website at www.sec.gov.
55
This Page Intentionally Left Blank
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
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Deloitte & Touche LLP
200 Berkeley Street
Boston, MA 02116-5022
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. |
| 3040-12/11 | EMISRC |
Item 2. Code of Ethics
The registrant has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-262-1122.
Item 3. Audit Committee Financial Expert
The registrant’s Board has designated William H. Park, an independent trustee, as its audit committee financial expert. Mr. Park is a certified public accountant who is a consultant and private investor. Previously, he served as the Chief Financial Officer of Aveon Group, L.P. (an investment management firm), 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
(a)-(d)
The following table presents the aggregate fees billed to the registrant for the registrant’s fiscal years ended October 31, 2010 and October 31, 2011 by the registrant’s principal accountant, Deloitte & Touche LLP (“D&T”), for professional services rendered for the audit of the registrant’s annual financial statements and fees billed for other services rendered by D&T during such periods.
| Fiscal Years Ended | 10/31/10 | 10/31/11 | ||||||
| Audit Fees | $ | 50,650 | $ | 56,060 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 16,060 | $ | 22,720 | ||||
All Other Fees(3) | $ | 900 | $ | 900 | ||||
| Total | $ | 67,610 | $ | 79,680 | ||||
| (1) | Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under the category of audit fees. | |
| (2) | Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other related tax compliance/planning matters. | |
| (3) | All other fees consist of the aggregate fees billed for products and services provided by the registrant’s principal accountant other than audit, audit-related, and tax services. |
(e)(1) The registrant’s audit committee has adopted policies and procedures relating to the pre-approval of services provided by the registrant’s principal accountant (the “Pre-Approval Policies”). The Pre-Approval Policies establish a framework intended to assist the audit committee in the proper discharge of its pre-approval responsibilities. As a general matter, the Pre-Approval Policies (i) specify certain types of audit, audit-related, tax, and other services determined to be pre-approved by the audit committee; and (ii) delineate specific procedures governing the mechanics of the pre-approval process, including the approval and monitoring of audit and non-audit service fees. Unless a service is specifically pre-approved under the Pre-Approval Policies, it must be separately pre-approved by the audit committee.
The Pre-Approval Policies and the types of audit and non-audit services pre-approved therein must be reviewed and ratified by the registrant’s audit committee at least annually. The registrant’s audit committee maintains full responsibility for the appointment, compensation, and oversight of the work of the registrant’s principal accountant.
(e)(2) No services described in paragraphs (b)-(d) above were approved by the registrant’s audit committee pursuant to the “de minimis exception” set forth in Rule 2-01 (c)(7)(i)(C) of Regulation S-X.
(f) Not applicable.
(g) The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the registrant by D&T for the registrant’s fiscal years ended October 31, 2010 and October 31, 2011; and (ii) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the Eaton Vance organization by D&T for the same time periods.
| Fiscal Years Ended | 10/31/10 | 10/31/11 | ||||||
Registrant | $ | 16,960 | $ | 23,620 | ||||
Eaton Vance(1) | $ | 278,901 | $ | 226,431 | ||||
| (1) | Certain subsidiaries of Eaton Vance Corp. provide ongoing services to the registrant. |
(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.
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 | |||
| Mark S. Venezia | ||||
| President | ||||
| Date: | December 21, 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 | |||
| Barbara E. Campbell | ||||
| Treasurer | ||||
| Date: | December 21, 2011 |
| By: | /s/ Mark S. Venezia | |||
| Mark S. Venezia | ||||
| President | ||||
| Date: | December 21, 2011 |