UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-22048
Emerging Markets Local Income Portfolio
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number)
October 31
Date of Fiscal Year End
April 30, 2018
Date of Reporting Period
Item 1. Reports to Stockholders
Emerging Markets Local Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited)
Foreign Government Bonds — 51.8% | ||||||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Albania — 0.1% | ||||||||||||
Albania Government Bond, | ALL | 27,500 | $ | 298,374 | ||||||||
Albania Government Bond, | ALL | 30,875 | 336,950 | |||||||||
Total Albania | $ | 635,324 | ||||||||||
Argentina — 1.0% | ||||||||||||
Argentina POM Politica Monetaria, 28.875%, (ARPP7DRR), 6/21/20(1) | ARS | 94,320 | $ | 4,819,033 | ||||||||
Republic of Argentina, 15.50%, 10/17/26 | ARS | 84,573 | 3,908,766 | |||||||||
Total Argentina | $ | 8,727,799 | ||||||||||
Barbados — 0.4% | ||||||||||||
Barbados Government International Bond, 6.625%, 12/5/35(2) | USD | 4,628 | $ | 3,586,700 | ||||||||
Total Barbados | $ | 3,586,700 | ||||||||||
Bosnia and Herzegovina — 0.4% | ||||||||||||
Republic of Srpska, 1.50%, 6/30/23 | BAM | 195 | $ | 113,746 | ||||||||
Republic of Srpska, 1.50%, 10/30/23 | BAM | 531 | 308,026 | |||||||||
Republic of Srpska, 1.50%, 12/15/23 | BAM | 29 | 16,702 | |||||||||
Republic of Srpska, 1.50%, 5/31/25 | BAM | 4,450 | 2,541,291 | |||||||||
Republic of Srpska, 1.50%, 6/9/25 | BAM | 427 | 239,864 | |||||||||
Republic of Srpska, 1.50%, 12/24/25 | BAM | 465 | 260,411 | |||||||||
Republic of Srpska, 1.50%, 9/25/26 | BAM | 325 | 182,845 | |||||||||
Republic of Srpska, 1.50%, 9/26/27 | BAM | 109 | 60,840 | |||||||||
Total Bosnia and Herzegovina | $ | 3,723,725 | ||||||||||
Brazil — 1.0% | ||||||||||||
Nota do Tesouro Nacional, | BRL | 5,127 | $ | 1,537,076 | ||||||||
Nota do Tesouro Nacional, | BRL | 22,375 | 6,535,388 | |||||||||
Total Brazil | $ | 8,072,464 | ||||||||||
Colombia — 0.5% | ||||||||||||
Republic of Colombia, 7.75%, 4/14/21 | COP | 6,301,000 | $ | 2,364,185 | ||||||||
Titulos De Tesoreria B, 10.00%, 7/24/24 | COP | 3,528,300 | 1,520,773 | |||||||||
Total Colombia | $ | 3,884,958 | ||||||||||
Costa Rica — 0.0%(3) | ||||||||||||
Titulo Propiedad UD, 1.00%, 1/12/22(4) | CRC | 64,199 | $ | 105,208 | ||||||||
Total Costa Rica | $ | 105,208 |
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Dominican Republic — 6.3% | ||||||||||||
Dominican Republic, 10.375%, 3/4/22(2) | DOP | 1,152,300 | $ | 24,397,341 | ||||||||
Dominican Republic, 10.40%, 5/10/19(2) | DOP | 279,000 | 5,772,321 | |||||||||
Dominican Republic, 10.50%, 4/7/23(2) | DOP | 260,000 | 5,613,452 | |||||||||
Dominican Republic, 14.00%, 6/8/18(2) | DOP | 13,400 | 271,859 | |||||||||
Dominican Republic, 15.00%, 4/5/19(2) | DOP | 409,000 | 8,854,724 | |||||||||
Dominican Republic, 15.95%, 6/4/21(2) | DOP | 322,600 | 7,831,597 | |||||||||
Dominican Republic, 16.00%, 7/10/20(2) | DOP | 9,900 | 233,547 | |||||||||
Dominican Republic, 16.95%, 2/4/22(2) | DOP | 3,600 | 93,699 | |||||||||
Total Dominican Republic | $ | 53,068,540 | ||||||||||
Fiji — 0.3% | ||||||||||||
Republic of Fiji, 6.625%, 10/2/20(2) | USD | 2,581 | $ | 2,606,784 | ||||||||
Total Fiji | $ | 2,606,784 | ||||||||||
Georgia — 0.3% | ||||||||||||
Georgia Treasury Bond, 6.75%, 10/6/18 | GEL | 210 | $ | 85,504 | ||||||||
Georgia Treasury Bond, 8.00%, 6/9/18 | GEL | 2,258 | 922,140 | |||||||||
Georgia Treasury Bond, 10.25%, 4/16/20 | GEL | 130 | 55,744 | |||||||||
Georgia Treasury Bond, 10.50%, 2/5/25 | GEL | 2,934 | 1,340,658 | |||||||||
Total Georgia | $ | 2,404,046 | ||||||||||
India — 1.8% | ||||||||||||
India Government Bond, 6.68%, 9/17/31 | INR | 433,000 | $ | 5,800,085 | ||||||||
India Government Bond, 7.88%, 3/19/30 | INR | 640,580 | 9,528,555 | |||||||||
Total India | $ | 15,328,640 | ||||||||||
Indonesia — 9.4% | ||||||||||||
Indonesia Government Bond, 7.00%, 5/15/27 | IDR | 31,377,000 | $ | 2,278,991 | ||||||||
Indonesia Government Bond, 7.50%, 8/15/32 | IDR | 50,372,000 | 3,705,714 | |||||||||
Indonesia Government Bond, 7.50%, 5/15/38 | IDR | 290,618,000 | 21,043,563 | |||||||||
Indonesia Government Bond, 8.25%, 7/15/21 | IDR | 4,730,000 | 357,661 | |||||||||
Indonesia Government Bond, 8.25%, 6/15/32 | IDR | 11,609,000 | 899,240 | |||||||||
Indonesia Government Bond, 8.25%, 5/15/36 | IDR | 325,571,000 | 25,133,028 | |||||||||
Indonesia Government Bond, 8.375%, 3/15/24 | IDR | 43,330,000 | 3,347,069 | |||||||||
Indonesia Government Bond, 8.375%, 9/15/26 | IDR | 14,100,000 | 1,098,609 | |||||||||
Indonesia Government Bond, 8.75%, 5/15/31 | IDR | 114,246,000 | 9,242,327 | |||||||||
Indonesia Government Bond, 9.00%, 3/15/29 | IDR | 30,681,000 | 2,536,214 | |||||||||
Indonesia Government Bond, 9.50%, 7/15/31 | IDR | 50,388,000 | 4,270,896 | |||||||||
Indonesia Government Bond, 9.50%, 5/15/41 | IDR | 5,702,000 | 493,989 | |||||||||
Indonesia Government Bond, 10.00%, 9/15/24 | IDR | 22,100,000 | 1,844,645 | |||||||||
Indonesia Government Bond, | IDR | 8,560,000 | 735,252 | |||||||||
Indonesia Government Bond, | IDR | 22,325,000 | 1,947,671 | |||||||||
Total Indonesia | $ | 78,934,869 |
14 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Macedonia — 0.3% | ||||||||||||
Republic of Macedonia, | EUR | 1,670 | $ | 2,152,705 | ||||||||
Total Macedonia | $ | 2,152,705 | ||||||||||
Mexico — 0.9% | ||||||||||||
Mexican Bonos, 7.75%, 11/13/42 | MXN | 37,000 | $ | 2,000,392 | ||||||||
Mexican Bonos, 8.50%, 5/31/29 | MXN | 39,000 | 2,238,501 | |||||||||
Mexican Bonos, 8.50%, 11/18/38 | MXN | 36,100 | 2,102,315 | |||||||||
Mexican Bonos, 10.00%, 11/20/36 | MXN | 22,074 | 1,459,288 | |||||||||
Total Mexico | $ | 7,800,496 | ||||||||||
Peru — 3.6% | ||||||||||||
Peru Government Bond, 5.20%, 9/12/23 | PEN | 47,439 | $ | 15,312,268 | ||||||||
Peru Government Bond, 5.70%, 8/12/24 | PEN | 29,000 | 9,520,986 | |||||||||
Peru Government Bond, | PEN | 6,029 | 1,949,834 | |||||||||
Peru Government Bond, 6.35%, 8/12/28 | PEN | 1,462 | 488,682 | |||||||||
Peru Government Bond, 6.90%, 8/12/37 | PEN | 2,162 | 739,441 | |||||||||
Peru Government Bond, 8.20%, 8/12/26 | PEN | 5,312 | 1,987,037 | |||||||||
Total Peru | $ | 29,998,248 | ||||||||||
Russia — 3.6% | ||||||||||||
Russia Government Bond, 7.70%, 3/23/33 | RUB | 1,003,365 | $ | 16,350,838 | ||||||||
Russia Government Bond, 7.75%, 9/16/26 | RUB | 31,480 | 519,902 | |||||||||
Russia Government Bond, 8.15%, 2/3/27 | RUB | 630,000 | 10,658,522 | |||||||||
Russia Government Bond, 8.50%, 9/17/31 | RUB | 173,092 | 3,037,717 | |||||||||
Total Russia | $ | 30,566,979 | ||||||||||
Serbia — 7.3% | ||||||||||||
Serbia Treasury Bond, 5.75%, 7/21/23 | RSD | 2,844,150 | $ | 31,406,041 | ||||||||
Serbia Treasury Bond, 5.875%, 2/8/28 | RSD | 252,590 | 2,761,684 | |||||||||
Serbia Treasury Bond, 10.00%, 6/5/21 | RSD | 87,280 | 1,054,729 | |||||||||
Serbia Treasury Bond, 10.00%, 9/11/21 | RSD | 475,000 | 5,795,442 | |||||||||
Serbia Treasury Bond, 10.00%, 2/5/22 | RSD | 1,508,250 | 18,698,401 | |||||||||
Serbia Treasury Bond, 10.00%, 10/23/24 | RSD | 152,500 | 2,038,481 | |||||||||
Total Serbia | $ | 61,754,778 | ||||||||||
Seychelles — 0.2% | ||||||||||||
Republic of Seychelles, 8.00%, 1/1/26(2) | USD | 1,572 | $ | 1,638,637 | ||||||||
Total Seychelles | $ | 1,638,637 | ||||||||||
South Africa — 2.9% | ||||||||||||
Republic of South Africa, 8.50%, 1/31/37 | ZAR | 110,000 | $ | 8,477,272 | ||||||||
Republic of South Africa, 8.75%, 1/31/44 | ZAR | 110,987 | 8,631,815 |
Security | Principal Amount (000’s omitted) | Value | ||||||||||
South Africa (continued) | ||||||||||||
Republic of South Africa, 10.50%, 12/21/26 | ZAR | 80,000 | $ | 7,327,397 | ||||||||
Total South Africa | $ | 24,436,484 | ||||||||||
Sri Lanka — 5.9% | ||||||||||||
Sri Lanka Government Bond, 8.50%, 5/1/19 | LKR | 386,000 | $ | 2,427,573 | ||||||||
Sri Lanka Government Bond, 9.00%, 5/1/21 | LKR | 190,000 | 1,179,998 | |||||||||
Sri Lanka Government Bond, 9.25%, 5/1/20 | LKR | 54,000 | 339,609 | |||||||||
Sri Lanka Government Bond, 10.00%, 10/1/22 | LKR | 429,690 | 2,718,676 | |||||||||
Sri Lanka Government Bond, 10.25%, 3/15/25 | LKR | 677,910 | 4,306,616 | |||||||||
Sri Lanka Government Bond, 10.60%, 7/1/19 | LKR | 27,000 | 173,424 | |||||||||
Sri Lanka Government Bond, 10.60%, 9/15/19 | LKR | 432,000 | 2,774,626 | |||||||||
Sri Lanka Government Bond, 10.75%, 3/1/21 | LKR | 1,276,000 | 8,256,100 | |||||||||
Sri Lanka Government Bond, 11.00%, 8/1/21 | LKR | 682,340 | 4,469,080 | |||||||||
Sri Lanka Government Bond, 11.00%, 8/1/24 | LKR | 114,000 | 746,954 | |||||||||
Sri Lanka Government Bond, 11.00%, 6/1/26 | LKR | 445,800 | 2,939,852 | |||||||||
Sri Lanka Government Bond, 11.00%, 5/15/30 | LKR | 55,000 | 361,139 | |||||||||
Sri Lanka Government Bond, 11.20%, 9/1/23 | LKR | 45,000 | 297,515 | |||||||||
Sri Lanka Government Bond, 11.40%, 1/1/24 | LKR | 142,000 | 949,592 | |||||||||
Sri Lanka Government Bond, 11.50%, 12/15/21 | LKR | 1,415,000 | 9,429,284 | |||||||||
Sri Lanka Government Bond, 11.50%, 8/1/26 | LKR | 21,000 | 141,402 | |||||||||
Sri Lanka Government Bond, 11.50%, 9/1/28 | LKR | 1,226,240 | 8,307,259 | |||||||||
Total Sri Lanka | $ | 49,818,699 | ||||||||||
Tanzania — 0.3% | ||||||||||||
United Republic of Tanzania, 8.241%, (6 mo. USD LIBOR + 6.00%), 3/9/20(1)(2) | USD | 2,684 | $ | 2,787,803 | ||||||||
Total Tanzania | $ | 2,787,803 | ||||||||||
Thailand — 1.8% | ||||||||||||
Thailand Government Bond, 1.25%, 3/12/28(2)(4) | THB | 502,144 | $ | 15,413,707 | ||||||||
Total Thailand | $ | 15,413,707 | ||||||||||
Turkey — 2.8% | ||||||||||||
Turkey Government Bond, 10.70%, 8/17/22 | TRY | 89,000 | $ | 20,266,611 | ||||||||
Turkey Government Bond, 11.00%, 2/24/27 | TRY | 16,200 | 3,732,847 | |||||||||
Total Turkey | $ | 23,999,458 | ||||||||||
Uruguay — 0.7% | ||||||||||||
Republic of Uruguay, 8.50%, 3/15/28(2) | UYU | 176,730 | $ | 5,881,910 | ||||||||
Total Uruguay | $ | 5,881,910 | ||||||||||
Total Foreign Government Bonds | $ | 437,328,961 |
15 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Foreign Corporate Bonds — 1.3% | ||||||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Argentina — 0.8% | ||||||||||||
Banco Hipotecario SA, 25.229%, (Badlar + 2.50%), | ARS | 100,923 | $ | 4,881,003 | ||||||||
YPF SA, 26.563%, (Badlar + 4.00%), 7/7/20(1)(2) | USD | 2,550 | 1,938,179 | |||||||||
Total Argentina | $ | 6,819,182 | ||||||||||
Colombia — 0.0%(3) | ||||||||||||
Emgesa SA ESP, 8.75%, 1/25/21(2) | COP | 697,000 | $ | 258,123 | ||||||||
Total Colombia | $ | 258,123 | ||||||||||
Georgia — 0.2% | ||||||||||||
Bank of Georgia JSC, 11.00%, 6/1/18 | GEL | 3,220 | $ | 1,314,614 | ||||||||
Total Georgia | $ | 1,314,614 | ||||||||||
Indonesia — 0.2% | ||||||||||||
Jasa Marga (Persero) Tbk PT, 7.50%, 12/11/20(2) | IDR | 21,720,000 | $ | 1,545,385 | ||||||||
Total Indonesia | $ | 1,545,385 | ||||||||||
Mexico — 0.1% | ||||||||||||
America Movil SAB de CV, 6.00%, 6/9/19 | MXN | 6,000 | $ | 313,364 | ||||||||
Petroleos Mexicanos, 7.19%, 9/12/24(5) | MXN | 10,630 | 512,895 | |||||||||
Petroleos Mexicanos, 7.65%, 11/24/21 | MXN | 5,900 | 305,438 | |||||||||
Total Mexico | $ | 1,131,697 | ||||||||||
Total Foreign Corporate Bonds | $ | 11,069,001 | ||||||||||
Sovereign Loans — 0.8% | ||||||||||||
Borrower | Principal Amount (000’s omitted) | Value | ||||||||||
Barbados — 0.5% | ||||||||||||
Government of Barbados, Term Loan, 11.78%, (6 mo. USD LIBOR + 10.00%), Maturing December 20, 2019(1)(6) | $ | 3,760 | $ | 3,783,880 | ||||||||
Total Barbados | $ | 3,783,880 | ||||||||||
Ethiopia — 0.2% | ||||||||||||
Ethiopian Railways Corporation (Federal Democratic Republic of Ethiopia guaranteed), Term Loan, 5.72%, (6 mo. USD LIBOR + 3.75%), Maturing August 1, 2021(1)(6) | $ | 1,867 | $ | 1,807,792 | ||||||||
Total Ethiopia | $ | 1,807,792 |
Borrower | Principal Amount (000’s omitted) | Value | ||||||||||
Kenya — 0.1% | ||||||||||||
Government of Kenya, Term Loan, 7.50%, (6 mo. USD LIBOR + 5.00%), Maturing April 18, 2019(1) | $ | 730 | $ | 730,000 | ||||||||
Total Kenya | $ | 730,000 | ||||||||||
Total Sovereign Loans |
| $ | 6,321,672 | |||||||||
Short-Term Investments — 44.0% | ||||||||||||
Foreign Government Securities — 29.8% | ||||||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Argentina — 3.1% | ||||||||||||
Banco Central Del Argentina, 0.00%, 5/16/18 | ARS | 274,574 | $ | 13,235,497 | ||||||||
Banco Central Del Argentina, 0.00%, 6/21/18 | ARS | 78,590 | 3,677,851 | |||||||||
Banco Central Del Argentina, 0.00%, 7/18/18 | ARS | 201,200 | 9,219,599 | |||||||||
Banco Central Del Argentina, 0.00%, 8/15/18 | ARS | 7,620 | 342,557 | |||||||||
Total Argentina | $ | 26,475,504 | ||||||||||
Egypt — 10.4% | ||||||||||||
Egypt Treasury Bill, 0.00%, 5/1/18 | EGP | 52,800 | $ | 2,990,654 | ||||||||
Egypt Treasury Bill, 0.00%, 5/8/18 | EGP | 135,150 | 7,669,600 | |||||||||
Egypt Treasury Bill, 0.00%, 5/15/18 | EGP | 174,975 | 9,839,433 | |||||||||
Egypt Treasury Bill, 0.00%, 5/22/18 | EGP | 61,375 | 3,439,816 | |||||||||
Egypt Treasury Bill, 0.00%, 5/29/18 | EGP | 40,925 | 2,286,074 | |||||||||
Egypt Treasury Bill, 0.00%, 6/5/18 | EGP | 43,575 | 2,426,082 | |||||||||
Egypt Treasury Bill, 0.00%, 7/10/18 | EGP | 231,100 | 12,659,646 | |||||||||
Egypt Treasury Bill, 0.00%, 7/17/18 | EGP | 189,275 | 10,366,963 | |||||||||
Egypt Treasury Bill, 0.00%, 7/24/18 | EGP | 283,175 | 15,413,991 | |||||||||
Egypt Treasury Bill, 0.00%, 7/31/18 | EGP | 57,825 | 3,159,420 | |||||||||
Egypt Treasury Bill, 0.00%, 8/7/18 | EGP | 18,425 | 1,003,502 | |||||||||
Egypt Treasury Bill, 0.00%, 8/14/18 | EGP | 122,325 | 6,641,253 | |||||||||
Egypt Treasury Bill, 0.00%, 8/21/18 | EGP | 6,350 | 343,667 | |||||||||
Egypt Treasury Bill, 0.00%, 9/4/18 | EGP | 14,375 | 769,860 | |||||||||
Egypt Treasury Bill, 0.00%, 9/11/18 | EGP | 32,000 | 1,708,410 | |||||||||
Egypt Treasury Bill, 0.00%, 10/2/18 | EGP | 136,025 | 7,194,571 | |||||||||
Total Egypt | $ | 87,912,942 | ||||||||||
Georgia — 0.6% | ||||||||||||
Georgia Treasury Bill, 0.00%, 5/3/18 | GEL | 560 | $ | 228,492 | ||||||||
Georgia Treasury Bill, 0.00%, 5/10/18 | GEL | 1,260 | 513,360 | |||||||||
Georgia Treasury Bill, 0.00%, 6/14/18 | GEL | 1,581 | 639,692 |
16 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Georgia (continued) | ||||||||||||
Georgia Treasury Bill, 0.00%, 7/19/18 | GEL | 4,714 | $ | 1,894,162 | ||||||||
Georgia Treasury Bill, 0.00%, 12/6/18 | GEL | 3,930 | 1,537,111 | |||||||||
Georgia Treasury Bill, 0.00%, 2/7/19 | GEL | 1,400 | 541,086 | |||||||||
Total Georgia | $ | 5,353,903 | ||||||||||
Kazakhstan — 4.4% | ||||||||||||
National Bank of Kazakhstan Note, 0.00%, 5/18/18 | KZT | 1,512,216 | $ | 4,602,590 | ||||||||
National Bank of Kazakhstan Note, 0.00%, 6/1/18 | KZT | 1,467,390 | 4,450,747 | |||||||||
National Bank of Kazakhstan Note, 0.00%, 6/29/18 | KZT | 2,664,010 | 8,030,719 | |||||||||
National Bank of Kazakhstan Note, 0.00%, 7/27/18 | KZT | 2,619,588 | 7,847,085 | |||||||||
National Bank of Kazakhstan Note, 0.00%, 9/28/18 | KZT | 340,645 | 1,006,204 | |||||||||
National Bank of Kazakhstan Note, 0.00%, 1/18/19 | KZT | 241,000 | 694,527 | |||||||||
National Bank of Kazakhstan Note, 0.00%, 3/15/19 | KZT | 1,782,975 | 5,075,854 | |||||||||
National Bank of Kazakhstan Note, 0.00%, 4/5/19 | KZT | 1,819,330 | 5,155,795 | |||||||||
Total Kazakhstan | $ | 36,863,521 | ||||||||||
Nigeria — 7.2% | ||||||||||||
Nigeria Treasury Bill, 0.00%, 5/3/18 | NGN | 1,424,504 | $ | 3,953,778 | ||||||||
Nigeria Treasury Bill, 0.00%, 6/7/18 | NGN | 5,605,130 | 15,420,398 | |||||||||
Nigeria Treasury Bill, 0.00%, 6/28/18 | NGN | 402,018 | 1,099,071 | |||||||||
Nigeria Treasury Bill, 0.00%, 7/5/18 | NGN | 1,002,881 | 2,736,254 | |||||||||
Nigeria Treasury Bill, 0.00%, 7/12/18 | NGN | 226,780 | 617,063 | |||||||||
Nigeria Treasury Bill, 0.00%, 7/19/18 | NGN | 285,320 | 774,411 | |||||||||
Nigeria Treasury Bill, 0.00%, 7/26/18 | NGN | 1,780,247 | 4,821,965 | |||||||||
Nigeria Treasury Bill, 0.00%, 8/9/18 | NGN | 1,291,115 | 3,482,656 | |||||||||
Nigeria Treasury Bill, 0.00%, 8/16/18 | NGN | 652,754 | 1,758,438 | |||||||||
Nigeria Treasury Bill, 0.00%, 8/23/18 | NGN | 110,961 | 298,063 | |||||||||
Nigeria Treasury Bill, 0.00%, 8/30/18 | NGN | 146,123 | 392,033 | |||||||||
Nigeria Treasury Bill, 0.00%, 9/6/18 | NGN | 986,206 | 2,638,085 | |||||||||
Nigeria Treasury Bill, 0.00%, 9/13/18 | NGN | 1,214,754 | 3,245,426 | |||||||||
Nigeria Treasury Bill, 0.00%, 9/20/18 | NGN | 932,664 | 2,485,175 | |||||||||
Nigeria Treasury Bill, 0.00%, 9/27/18 | NGN | 630,000 | 1,674,631 | |||||||||
Nigeria Treasury Bill, 0.00%, 10/4/18 | NGN | 295,682 | 784,981 | |||||||||
Nigeria Treasury Bill, 0.00%, 10/18/18 | NGN | 935,444 | 2,472,910 | |||||||||
Nigeria Treasury Bill, 0.00%, 10/25/18 | NGN | 493,103 | 1,299,224 | |||||||||
Nigeria Treasury Bill, 0.00%, 11/1/18 | NGN | 810,769 | 2,132,752 | |||||||||
Nigeria Treasury Bill, 0.00%, 11/22/18 | NGN | 591,720 | 1,543,324 | |||||||||
Nigeria Treasury Bill, 0.00%, 11/29/18 | NGN | 493,100 | 1,282,747 | |||||||||
Nigeria Treasury Bill, 0.00%, 12/6/18 | NGN | 379,251 | 982,142 | |||||||||
Nigeria Treasury Bill, 0.00%, 12/27/18 | NGN | 161,440 | 412,920 | |||||||||
Nigeria Treasury Bill, 0.00%, 1/17/19 | NGN | 1,267,209 | 3,233,057 | |||||||||
Nigeria Treasury Bill, 0.00%, 1/31/19 | NGN | 369,232 | 936,916 | |||||||||
Total Nigeria | $ | 60,478,420 |
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Uruguay — 4.1% | ||||||||||||
Uruguay Treasury Bill, 0.00%, 5/4/18 | UYU | 27,740 | $ | 976,312 | ||||||||
Uruguay Treasury Bill, 0.00%, 5/9/18 | UYU | 64,953 | 2,278,492 | |||||||||
Uruguay Treasury Bill, 0.00%, 6/1/18 | UYU | 32,671 | 1,140,499 | |||||||||
Uruguay Treasury Bill, 0.00%, 6/6/18 | UYU | 15,180 | 529,326 | |||||||||
Uruguay Treasury Bill, 0.00%, 6/29/18 | UYU | 11,428 | 396,345 | |||||||||
Uruguay Treasury Bill, 0.00%, 7/20/18 | UYU | 41,608 | 1,435,732 | |||||||||
Uruguay Treasury Bill, 0.00%, 7/27/18 | UYU | 116,463 | 4,018,043 | |||||||||
Uruguay Treasury Bill, 0.00%, 8/24/18 | UYU | 72,000 | 2,462,552 | |||||||||
Uruguay Treasury Bill, 0.00%, 8/31/18 | UYU | 14,623 | 499,418 | |||||||||
Uruguay Treasury Bill, 0.00%, 9/14/18 | UYU | 62,431 | 2,124,300 | |||||||||
Uruguay Treasury Bill, 0.00%, 9/21/18 | UYU | 117,912 | 4,007,450 | |||||||||
Uruguay Treasury Bill, 0.00%, 10/12/18 | UYU | 48,726 | 1,645,209 | |||||||||
Uruguay Treasury Bill, 0.00%, 10/19/18 | UYU | 192,874 | 6,498,735 | |||||||||
Uruguay Treasury Bill, 0.00%, 11/16/18 | UYU | 92,869 | 3,105,154 | |||||||||
Uruguay Treasury Bill, 0.00%, 12/14/18 | UYU | 15,935 | 529,131 | |||||||||
Uruguay Treasury Bill, 0.00%, 3/8/19 | UYU | 11,155 | 363,602 | |||||||||
Uruguay Treasury Bill, 0.00%, 4/5/19 | UYU | 79,670 | 2,573,523 | |||||||||
Total Uruguay | $ | 34,583,823 | ||||||||||
Total Foreign Government Securities |
| $ | 251,668,113 | |||||||||
U.S. Treasury Obligations — 2.2% | ||||||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||||
U.S. Treasury Bill, 0.00%, 5/3/18(7) | $ | 7,000 | $ | 6,999,393 | ||||||||
U.S. Treasury Bill, 0.00%, 5/17/18(7) | 11,800 | 11,791,675 | ||||||||||
Total U.S. Treasury Obligations | $ | 18,791,068 |
17 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Other — 12.0% | ||||||||||
Description | Units | Value | ||||||||
Eaton Vance Cash Reserves Fund, LLC, 1.95%(8) | 100,929,657 | $ | 100,919,564 | |||||||
Total Other | $ | 100,919,564 | ||||||||
Total Short-Term Investments |
| $ | 371,378,745 | |||||||
Total Purchased Options — 0.0%(3) |
| $ | 16,904 | |||||||
Total Investments — 97.9% |
| $ | 826,115,283 | |||||||
Total Written Options — (0.0)%(3) |
| $ | (16,904 | ) | ||||||
Other Assets, Less Liabilities — 2.1% |
| $ | 17,811,015 | |||||||
Net Assets — 100.0% |
| $ | 843,909,394 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
(1) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2018. |
(2) | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At April 30, 2018, the aggregate value of these securities is $97,709,310 or 11.6% of the Portfolio’s net assets. |
(3) | Amount is less than 0.05% or (0.05)%, as applicable. |
(4) | Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal. |
(5) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2018, the aggregate value of these securities is $2,462,729 or 0.3% of the Portfolio’s net assets. |
(6) | Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date. |
(7) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
(8) | Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of April 30, 2018. |
Purchased Currency Options — 0.0%(3) | ||||||||||||||||||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||||
Call HUF/Put EUR | Deutsche Bank AG | EUR | 17,050,000 | HUF | 310.20 | 5/30/18 | $ | 16,904 | ||||||||||||||
Total | $ | 16,904 |
Written Currency Options — (0.0)%(3) | ||||||||||||||||||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||||
Call HUF/Put EUR | JPMorgan Chase Bank, N.A. | EUR | 17,050,000 | HUF | 310.20 | 5/30/18 | $ | (16,904 | ) | |||||||||||||
Total | $ | (16,904 | ) |
18 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
EUR | 1,411,698 | HUF | 442,000,000 | State Street Bank and Trust Company | 5/2/18 | $ | 3,378 | $ | — | |||||||||||||||
EUR | 127,178 | PLN | 536,238 | State Street Bank and Trust Company | 5/2/18 | 799 | — | |||||||||||||||||
HUF | 442,000,000 | EUR | 1,424,192 | Credit Agricole Corporate and Investment Bank | 5/2/18 | — | (18,466 | ) | ||||||||||||||||
PHP | 62,015,000 | USD | 1,201,282 | BNP Paribas | 5/2/18 | — | (2,913 | ) | ||||||||||||||||
PHP | 361,000,000 | USD | 6,980,567 | Deutsche Bank AG | 5/2/18 | — | (4,654 | ) | ||||||||||||||||
PHP | 356,000,000 | USD | 6,883,883 | Goldman Sachs International | 5/2/18 | — | (4,589 | ) | ||||||||||||||||
PHP | 277,860,000 | USD | 5,384,362 | JPMorgan Chase Bank, N.A. | 5/2/18 | — | (15,035 | ) | ||||||||||||||||
PHP | 358,065,000 | USD | 6,942,944 | Nomura International PLC | 5/2/18 | — | (23,747 | ) | ||||||||||||||||
PHP | 256,374,000 | USD | 4,957,440 | Standard Chartered Bank | 5/2/18 | — | (3,305 | ) | ||||||||||||||||
PHP | 275,434,000 | USD | 5,331,153 | UBS AG | 5/2/18 | — | (8,705 | ) | ||||||||||||||||
PLN | 536,238 | EUR | 128,541 | Bank of America, N.A. | 5/2/18 | — | (2,445 | ) | ||||||||||||||||
USD | 1,199,169 | PHP | 62,015,000 | BNP Paribas | 5/2/18 | 799 | — | |||||||||||||||||
USD | 6,936,972 | PHP | 361,000,000 | Deutsche Bank AG | 5/2/18 | — | (38,941 | ) | ||||||||||||||||
USD | 6,841,549 | PHP | 356,000,000 | Goldman Sachs International | 5/2/18 | — | (37,745 | ) | ||||||||||||||||
USD | 5,372,909 | PHP | 277,860,000 | JPMorgan Chase Bank, N.A. | 5/2/18 | 3,582 | — | |||||||||||||||||
USD | 6,923,813 | PHP | 358,065,000 | Nomura International PLC | 5/2/18 | 4,616 | — | |||||||||||||||||
USD | 4,937,295 | PHP | 256,374,000 | Standard Chartered Bank | 5/2/18 | — | (16,839 | ) | ||||||||||||||||
USD | 5,325,998 | PHP | 275,434,000 | UBS AG | 5/2/18 | 3,551 | — | |||||||||||||||||
BRL | 5,640,000 | USD | 1,670,369 | BNP Paribas | 5/3/18 | — | (60,412 | ) | ||||||||||||||||
BRL | 122,000,000 | USD | 35,046,393 | Credit Agricole Corporate and Investment Bank | 5/3/18 | — | (221,091 | ) | ||||||||||||||||
BRL | 6,400,000 | USD | 1,880,694 | Goldman Sachs International | 5/3/18 | — | (53,792 | ) | ||||||||||||||||
BRL | 112,068,601 | USD | 32,193,445 | Standard Chartered Bank | 5/3/18 | — | (203,093 | ) | ||||||||||||||||
BRL | 222,028,601 | USD | 66,392,142 | Standard Chartered Bank | 5/3/18 | — | (3,013,345 | ) | ||||||||||||||||
USD | 1,620,178 | BRL | 5,640,000 | BNP Paribas | 5/3/18 | 10,221 | — | |||||||||||||||||
USD | 35,158,501 | BRL | 122,000,000 | Credit Agricole Corporate and Investment Bank | 5/3/18 | 333,199 | — | |||||||||||||||||
USD | 1,838,499 | BRL | 6,400,000 | Goldman Sachs International | 5/3/18 | 11,598 | — | |||||||||||||||||
USD | 63,781,162 | BRL | 222,028,601 | Standard Chartered Bank | 5/3/18 | 402,365 | — | |||||||||||||||||
USD | 32,296,427 | BRL | 112,068,601 | Standard Chartered Bank | 5/3/18 | 306,075 | — | |||||||||||||||||
EUR | 5,031,618 | RON | 23,551,999 | Citibank, N.A. | 5/7/18 | — | (24,911 | ) | ||||||||||||||||
EUR | 4,967,980 | RON | 23,272,500 | Citibank, N.A. | 5/7/18 | — | (29,359 | ) | ||||||||||||||||
RON | 46,824,499 | EUR | 10,007,266 | Citibank, N.A. | 5/7/18 | 45,007 | — | |||||||||||||||||
RUB | 361,221,384 | USD | 6,224,199 | BNP Paribas | 5/7/18 | — | (490,786 | ) | ||||||||||||||||
RUB | 361,265,222 | USD | 6,225,491 | Deutsche Bank AG | 5/7/18 | — | (491,381 | ) | ||||||||||||||||
RUB | 614,307,000 | USD | 9,604,550 | Standard Chartered Bank | 5/7/18 | 145,914 | — | |||||||||||||||||
USD | 16,154,608 | EUR | 12,928,496 | Standard Chartered Bank | 5/7/18 | 537,803 | — | |||||||||||||||||
USD | 7,036,344 | RUB | 408,354,200 | BNP Paribas | 5/7/18 | 554,824 | — | |||||||||||||||||
USD | 1,303,020 | RUB | 75,620,752 | BNP Paribas | 5/7/18 | 102,745 | — | |||||||||||||||||
USD | 7,034,499 | RUB | 408,211,990 | Deutsche Bank AG | 5/7/18 | 555,237 | — | |||||||||||||||||
USD | 1,302,678 | RUB | 75,594,417 | Deutsche Bank AG | 5/7/18 | 102,821 | — | |||||||||||||||||
RUB | 563,955,279 | USD | 9,751,613 | BNP Paribas | 5/8/18 | — | (801,425 | ) | ||||||||||||||||
RUB | 288,858,115 | USD | 4,991,328 | Credit Suisse International | 5/8/18 | — | (407,038 | ) | ||||||||||||||||
RUB | 532,743,399 | USD | 8,387,084 | Standard Chartered Bank | 5/8/18 | 67,759 | — | |||||||||||||||||
RUB | 377,451,298 | USD | 6,070,105 | Standard Chartered Bank | 5/8/18 | — | (79,807 | ) |
19 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
USD | 16,666,615 | RUB | 963,863,660 | BNP Paribas | 5/8/18 | $ | 1,369,726 | $ | — | |||||||||||||||
USD | 3,086,394 | RUB | 178,492,336 | BNP Paribas | 5/8/18 | 253,652 | — | |||||||||||||||||
CZK | 125,521,000 | EUR | 4,906,998 | JPMorgan Chase Bank, N.A. | 5/10/18 | — | (4,163 | ) | ||||||||||||||||
CZK | 54,680,000 | EUR | 2,145,997 | JPMorgan Chase Bank, N.A. | 5/10/18 | — | (11,949 | ) | ||||||||||||||||
CZK | 180,777,021 | EUR | 7,094,860 | JPMorgan Chase Bank, N.A. | 5/10/18 | — | (39,506 | ) | ||||||||||||||||
THB | 400,000,000 | USD | 12,320,012 | Deutsche Bank AG | 5/10/18 | 355,665 | — | |||||||||||||||||
THB | 110,000,000 | USD | 3,325,775 | Deutsche Bank AG | 5/10/18 | 160,036 | — | |||||||||||||||||
THB | 84,000,000 | USD | 2,689,721 | Deutsche Bank AG | 5/10/18 | — | (27,829 | ) | ||||||||||||||||
THB | 250,000,000 | USD | 8,043,111 | Deutsche Bank AG | 5/10/18 | — | (120,813 | ) | ||||||||||||||||
USD | 15,829,689 | TRY | 65,081,390 | Goldman Sachs International | 5/10/18 | — | (153,406 | ) | ||||||||||||||||
USD | 21,537,293 | TRY | 88,733,000 | Standard Chartered Bank | 5/10/18 | — | (254,312 | ) | ||||||||||||||||
IDR | 20,000,000,000 | USD | 1,431,947 | Bank of America, N.A. | 5/14/18 | 3,588 | — | |||||||||||||||||
IDR | 70,097,734,652 | USD | 5,093,202 | BNP Paribas | 5/14/18 | — | (61,816 | ) | ||||||||||||||||
IDR | 9,079,986,947 | USD | 661,276 | Goldman Sachs International | 5/14/18 | — | (9,545 | ) | ||||||||||||||||
IDR | 90,688,000,000 | USD | 6,554,496 | Goldman Sachs International | 5/14/18 | — | (45,208 | ) | ||||||||||||||||
IDR | 190,000,000,000 | USD | 13,850,416 | Standard Chartered Bank | 5/14/18 | — | (212,839 | ) | ||||||||||||||||
USD | 20,666,566 | IDR | 284,433,946,900 | BNP Paribas | 5/14/18 | 250,830 | — | |||||||||||||||||
USD | 5,231,418 | IDR | 72,000,000,000 | BNP Paribas | 5/14/18 | 63,494 | — | |||||||||||||||||
USD | 4,738,394 | IDR | 65,423,000,000 | Standard Chartered Bank | 5/14/18 | 42,545 | — | |||||||||||||||||
USD | 1,525,622 | IDR | 21,064,260,000 | Standard Chartered Bank | 5/14/18 | 13,698 | — | |||||||||||||||||
COP | 17,620,060,000 | USD | 6,034,577 | Bank of America, N.A. | 5/15/18 | 237,793 | — | |||||||||||||||||
COP | 3,031,090,000 | USD | 1,040,289 | BNP Paribas | 5/15/18 | 38,715 | — | |||||||||||||||||
COP | 7,516,328,000 | USD | 2,577,616 | Citibank, N.A. | 5/15/18 | 98,038 | — | |||||||||||||||||
COP | 7,589,682,000 | USD | 2,600,720 | JPMorgan Chase Bank, N.A. | 5/15/18 | 101,046 | — | |||||||||||||||||
COP | 3,031,090,000 | USD | 1,040,896 | Standard Chartered Bank | 5/15/18 | 38,108 | — | |||||||||||||||||
EUR | 4,200,000 | USD | 5,164,748 | Bank of America, N.A. | 5/15/18 | — | (88,532 | ) | ||||||||||||||||
EUR | 5,250,000 | USD | 6,525,204 | Bank of America, N.A. | 5/15/18 | — | (179,933 | ) | ||||||||||||||||
THB | 90,000,000 | USD | 2,889,709 | Citibank, N.A. | 5/15/18 | — | (37,248 | ) | ||||||||||||||||
THB | 260,000,000 | USD | 8,288,173 | Deutsche Bank AG | 5/15/18 | — | (47,730 | ) | ||||||||||||||||
THB | 87,000,000 | USD | 2,800,760 | Goldman Sachs International | 5/15/18 | — | (43,381 | ) | ||||||||||||||||
THB | 271,197,138 | USD | 8,730,552 | JPMorgan Chase Bank, N.A. | 5/15/18 | — | (135,226 | ) | ||||||||||||||||
THB | 333,802,862 | USD | 10,745,996 | JPMorgan Chase Bank, N.A. | 5/15/18 | — | (166,443 | ) | ||||||||||||||||
RSD | 27,583,946 | EUR | 233,076 | Citibank, N.A. | 5/16/18 | 36 | — | |||||||||||||||||
RSD | 120,000,000 | EUR | 1,009,336 | Deutsche Bank AG | 5/16/18 | 5,748 | — | |||||||||||||||||
RSD | 190,000,000 | EUR | 1,604,730 | Deutsche Bank AG | 5/16/18 | 1,106 | — | |||||||||||||||||
PLN | 8,500,000 | EUR | 2,009,305 | Credit Agricole Corporate and Investment Bank | 5/21/18 | — | (7,389 | ) | ||||||||||||||||
USD | 1,657,604 | INR | 109,435,000 | Bank of America, N.A. | 5/21/18 | 17,882 | — | |||||||||||||||||
USD | 411,511 | INR | 27,170,000 | Bank of America, N.A. | 5/21/18 | 4,409 | — | |||||||||||||||||
USD | 2,083,194 | INR | 137,470,000 | Citibank, N.A. | 5/21/18 | 23,410 | — | |||||||||||||||||
USD | 2,068,968 | INR | 136,645,000 | Citibank, N.A. | 5/21/18 | 21,545 | — | |||||||||||||||||
USD | 1,657,602 | INR | 109,410,000 | Citibank, N.A. | 5/21/18 | 18,255 | — | |||||||||||||||||
USD | 1,657,225 | INR | 109,410,000 | Citibank, N.A. | 5/21/18 | 17,878 | — | |||||||||||||||||
USD | 1,034,647 | INR | 68,235,000 | Citibank, N.A. | 5/21/18 | 12,247 | — | |||||||||||||||||
USD | 1,997,728 | INR | 131,900,000 | Deutsche Bank AG | 5/21/18 | 21,402 | — | |||||||||||||||||
USD | 2,050,738 | INR | 135,400,000 | Goldman Sachs International | 5/21/18 | 21,970 | — |
20 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
USD | 2,070,497 | INR | 136,570,000 | JPMorgan Chase Bank, N.A. | 5/21/18 | $ | 24,198 | $ | — | |||||||||||||||
USD | 4,111,582 | INR | 271,570,000 | Standard Chartered Bank | 5/21/18 | 42,508 | — | |||||||||||||||||
USD | 2,051,204 | INR | 135,400,000 | Standard Chartered Bank | 5/21/18 | 22,436 | — | |||||||||||||||||
USD | 2,056,641 | INR | 135,800,000 | Standard Chartered Bank | 5/21/18 | 21,879 | — | |||||||||||||||||
USD | 84,634 | INR | 5,585,000 | Standard Chartered Bank | 5/21/18 | 951 | — | |||||||||||||||||
USD | 639,619 | KZT | 209,795,000 | Citibank, N.A. | 5/21/18 | 1,208 | — | |||||||||||||||||
USD | 521,310 | KZT | 171,511,000 | Citibank, N.A. | 5/21/18 | — | (602 | ) | ||||||||||||||||
USD | 632,448 | KZT | 211,870,000 | Citibank, N.A. | 5/21/18 | — | (12,277 | ) | ||||||||||||||||
USD | 1,897,370 | KZT | 637,200,000 | Citibank, N.A. | 5/21/18 | — | (41,644 | ) | ||||||||||||||||
USD | 2,529,800 | KZT | 846,060,000 | Citibank, N.A. | 5/21/18 | — | (44,780 | ) | ||||||||||||||||
USD | 1,201,582 | EUR | 973,422 | Standard Chartered Bank | 5/24/18 | 24,322 | — | |||||||||||||||||
USD | 32,434,674 | EUR | 26,882,720 | Standard Chartered Bank | 5/24/18 | — | (77,393 | ) | ||||||||||||||||
PLN | 55,945,700 | EUR | 13,190,597 | Credit Agricole Corporate and Investment Bank | 5/30/18 | — | (15,782 | ) | ||||||||||||||||
EUR | 10,924,980 | USD | 13,400,745 | Deutsche Bank AG | 6/1/18 | — | (180,439 | ) | ||||||||||||||||
USD | 4,292,257 | EUR | 3,505,457 | Deutsche Bank AG | 6/1/18 | 50,307 | — | |||||||||||||||||
USD | 231,906 | EUR | 190,227 | Deutsche Bank AG | 6/1/18 | 1,712 | — | |||||||||||||||||
BRL | 122,000,000 | USD | 35,061,501 | Credit Agricole Corporate and Investment Bank | 6/4/18 | — | (341,255 | ) | ||||||||||||||||
BRL | 112,068,601 | USD | 32,207,323 | Standard Chartered Bank | 6/4/18 | — | (313,476 | ) | ||||||||||||||||
USD | 3,162,257 | KZT | 1,057,775,000 | Citibank, N.A. | 6/4/18 | — | (46,963 | ) | ||||||||||||||||
COP | 7,548,750,000 | USD | 2,600,327 | BNP Paribas | 6/5/18 | 86,587 | — | |||||||||||||||||
COP | 11,284,000,000 | USD | 3,915,065 | Citibank, N.A. | 6/5/18 | 101,380 | — | |||||||||||||||||
EUR | 36,422 | USD | 45,167 | State Street Bank and Trust Company | 6/8/18 | — | (1,069 | ) | ||||||||||||||||
HUF | 3,950,000,000 | EUR | 12,696,364 | Goldman Sachs International | 6/11/18 | — | (135,631 | ) | ||||||||||||||||
COP | 25,539,568,000 | USD | 8,904,078 | Citibank, N.A. | 6/12/18 | 184,635 | — | |||||||||||||||||
COP | 23,048,577,501 | USD | 8,035,203 | Citibank, N.A. | 6/12/18 | 167,047 | — | |||||||||||||||||
COP | 5,200,893,000 | USD | 1,813,232 | Citibank, N.A. | 6/12/18 | 37,599 | — | |||||||||||||||||
COP | 4,693,627,000 | USD | 1,636,294 | Citibank, N.A. | 6/12/18 | 34,018 | — | |||||||||||||||||
USD | 619,950 | EUR | 501,878 | Standard Chartered Bank | 6/12/18 | 12,085 | — | |||||||||||||||||
USD | 607,389 | EUR | 491,646 | Standard Chartered Bank | 6/12/18 | 11,917 | — | |||||||||||||||||
RUB | 142,948,000 | USD | 2,353,441 | Bank of America, N.A. | 6/13/18 | — | (94,554 | ) | ||||||||||||||||
CZK | 46,849,000 | EUR | 1,840,102 | Goldman Sachs International | 6/14/18 | — | (13,722 | ) | ||||||||||||||||
USD | 914,383 | EUR | 739,798 | Standard Chartered Bank | 6/14/18 | 18,202 | — | |||||||||||||||||
USD | 324,707 | EUR | 262,710 | Standard Chartered Bank | 6/14/18 | 6,464 | — | |||||||||||||||||
COP | 15,535,516,000 | USD | 5,437,227 | Citibank, N.A. | 6/15/18 | 90,875 | — | |||||||||||||||||
COP | 15,264,484,000 | USD | 5,350,327 | Deutsche Bank AG | 6/18/18 | 80,850 | — | |||||||||||||||||
PLN | 54,023,293 | EUR | 12,756,437 | Citibank, N.A. | 6/19/18 | — | (57,509 | ) | ||||||||||||||||
PEN | 12,650,000 | USD | 3,855,532 | Bank of America, N.A. | 6/20/18 | 27,596 | — | |||||||||||||||||
PEN | 5,750,000 | USD | 1,773,323 | Bank of America, N.A. | 6/20/18 | — | (8,265 | ) | ||||||||||||||||
USD | 12,489,924 | PEN | 40,979,440 | Bank of America, N.A. | 6/20/18 | — | (89,398 | ) | ||||||||||||||||
USD | 1,982,606 | PEN | 6,505,525 | Citibank, N.A. | 6/20/18 | — | (14,373 | ) | ||||||||||||||||
HUF | 830,000,000 | EUR | 2,666,580 | Bank of America, N.A. | 6/21/18 | — | (27,408 | ) | ||||||||||||||||
HUF | 442,000,000 | EUR | 1,410,866 | State Street Bank and Trust Company | 6/21/18 | — | (3,483 | ) | ||||||||||||||||
PLN | 4,449,293 | EUR | 1,052,862 | Societe Generale | 6/21/18 | — | (7,632 | ) | ||||||||||||||||
PLN | 536,238 | EUR | 126,804 | State Street Bank and Trust Company | 6/21/18 | — | (812 | ) |
21 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
MXN | 600,235,220 | USD | 31,573,487 | Goldman Sachs International | 6/22/18 | $ | 270,457 | $ | — | |||||||||||||||
USD | 2,051,699 | MXN | 38,000,000 | Goldman Sachs International | 6/22/18 | 35,707 | — | |||||||||||||||||
USD | 2,029,490 | MXN | 38,582,098 | Goldman Sachs International | 6/22/18 | — | (17,385 | ) | ||||||||||||||||
COP | 11,000,000,000 | USD | 3,851,406 | Goldman Sachs International | 6/25/18 | 61,638 | — | |||||||||||||||||
COP | 35,747,558,000 | USD | 12,471,021 | JPMorgan Chase Bank, N.A. | 6/25/18 | 245,503 | — | |||||||||||||||||
COP | 31,845,162,000 | USD | 11,115,822 | Standard Chartered Bank | 6/25/18 | 212,498 | — | |||||||||||||||||
INR | 242,100,000 | USD | 3,665,128 | Goldman Sachs International | 6/25/18 | — | (46,648 | ) | ||||||||||||||||
INR | 377,900,000 | USD | 5,720,990 | UBS AG | 6/25/18 | — | (72,814 | ) | ||||||||||||||||
PLN | 15,000,000 | USD | 4,354,990 | Credit Agricole Corporate and Investment Bank | 6/25/18 | — | (77,928 | ) | ||||||||||||||||
PLN | 64,631,555 | USD | 18,764,651 | Credit Agricole Corporate and Investment Bank | 6/25/18 | — | (335,774 | ) | ||||||||||||||||
USD | 9,386,118 | INR | 620,000,000 | Goldman Sachs International | 6/25/18 | 119,462 | — | |||||||||||||||||
USD | 521,310 | KZT | 173,075,000 | Goldman Sachs International | 6/26/18 | — | (1,735 | ) | ||||||||||||||||
PLN | 9,507,825 | EUR | 2,238,210 | Societe Generale | 6/27/18 | — | (3,169 | ) | ||||||||||||||||
USD | 1,706,054 | KZT | 566,410,000 | Goldman Sachs International | 6/27/18 | — | (5,375 | ) | ||||||||||||||||
CZK | 40,005,000 | EUR | 1,571,795 | Citibank, N.A. | 6/28/18 | — | (12,951 | ) | ||||||||||||||||
CZK | 17,291,500 | EUR | 677,832 | JPMorgan Chase Bank, N.A. | 6/28/18 | — | (3,718 | ) | ||||||||||||||||
RUB | 773,000,000 | USD | 13,296,637 | Bank of America, N.A. | 6/29/18 | — | (1,104,581 | ) | ||||||||||||||||
USD | 4,453,728 | RUB | 258,917,500 | Bank of America, N.A. | 6/29/18 | 369,981 | — | |||||||||||||||||
EUR | 110,016 | USD | 135,950 | Goldman Sachs International | 7/12/18 | — | (2,369 | ) | ||||||||||||||||
EUR | 111,169 | USD | 138,116 | Goldman Sachs International | 7/12/18 | — | (3,137 | ) | ||||||||||||||||
EUR | 3,324,655 | USD | 4,173,274 | Goldman Sachs International | 7/12/18 | — | (136,533 | ) | ||||||||||||||||
EUR | 24,456,818 | USD | 30,612,599 | Goldman Sachs International | 7/12/18 | — | (917,545 | ) | ||||||||||||||||
EUR | 24,000,000 | USD | 30,140,160 | Goldman Sachs International | 7/12/18 | — | (999,766 | ) | ||||||||||||||||
USD | 3,144,741 | EUR | 2,504,094 | Goldman Sachs International | 7/12/18 | 104,313 | — | |||||||||||||||||
USD | 2,824,537 | EUR | 2,256,561 | Goldman Sachs International | 7/12/18 | 84,659 | — | |||||||||||||||||
PLN | 14,400,000 | EUR | 3,406,602 | Credit Agricole Corporate and Investment Bank | 7/16/18 | — | (29,560 | ) | ||||||||||||||||
MXN | 443,085,020 | USD | 24,230,284 | Credit Agricole Corporate and Investment Bank | 7/18/18 | — | (818,181 | ) | ||||||||||||||||
MXN | 40,000,000 | USD | 2,152,376 | Goldman Sachs International | 7/18/18 | — | (38,822 | ) | ||||||||||||||||
PLN | 29,000,000 | EUR | 6,884,861 | Bank of America, N.A. | 7/23/18 | — | (92,259 | ) | ||||||||||||||||
MXN | 440,000,000 | USD | 24,007,317 | Credit Agricole Corporate and Investment Bank | 7/25/18 | — | (783,231 | ) | ||||||||||||||||
USD | 2,213,580 | KZT | 748,190,000 | Citibank, N.A. | 7/27/18 | — | (38,147 | ) | ||||||||||||||||
UAH | 237,903,000 | USD | 8,189,432 | Standard Chartered Bank | 7/30/18 | 542,054 | — | |||||||||||||||||
USD | 786,215 | KZT | 261,220,000 | Deutsche Bank AG | 7/30/18 | 341 | — | |||||||||||||||||
USD | 4,447,190 | KZT | 1,440,000,000 | Standard Chartered Bank | 7/30/18 | 114,986 | — | |||||||||||||||||
RUB | 107,052,000 | USD | 1,673,603 | Bank of America, N.A. | 7/31/18 | 8,586 | — | |||||||||||||||||
RUB | 100,000,000 | USD | 1,728,907 | Citibank, N.A. | 7/31/18 | — | (157,532 | ) | ||||||||||||||||
RUB | 160,000,000 | USD | 2,783,577 | Societe Generale | 7/31/18 | — | (269,376 | ) | ||||||||||||||||
USD | 4,772,360 | RUB | 305,264,000 | Bank of America, N.A. | 7/31/18 | — | (24,485 | ) | ||||||||||||||||
PHP | 361,000,000 | USD | 6,889,313 | Deutsche Bank AG | 8/2/18 | 58,857 | — | |||||||||||||||||
PHP | 356,000,000 | USD | 6,794,541 | Goldman Sachs International | 8/2/18 | 57,393 | — | |||||||||||||||||
PHP | 256,374,000 | USD | 4,902,363 | Standard Chartered Bank | 8/2/18 | 32,069 | — |
22 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
USD | 24,097,663 | ZAR | 301,999,017 | Credit Agricole Corporate and Investment Bank | 8/2/18 | $ | 153,256 | $ | — | |||||||||||||||
USD | 1,876,895 | ZAR | 23,521,800 | Credit Agricole Corporate and Investment Bank | 8/2/18 | 11,937 | — | |||||||||||||||||
USD | 5,597,300 | EUR | 4,438,779 | JPMorgan Chase Bank, N.A. | 9/13/18 | 180,594 | — | |||||||||||||||||
CZK | 298,283,500 | EUR | 11,692,807 | JPMorgan Chase Bank, N.A. | 9/20/18 | — | (92,332 | ) | ||||||||||||||||
DOP | 492,000,000 | USD | 9,798,845 | Citibank, N.A. | 10/9/18 | — | (69,734 | ) | ||||||||||||||||
USD | 9,073,490 | EUR | 7,229,296 | JPMorgan Chase Bank, N.A. | 10/12/18 | 230,570 | — | |||||||||||||||||
USD | 803,033 | KZT | 270,020,000 | Citibank, N.A. | 10/25/18 | 927 | — | |||||||||||||||||
MAD | 9,720,000 | USD | 1,012,500 | BNP Paribas | 1/22/19 | 14,732 | — | |||||||||||||||||
MAD | 9,490,000 | USD | 995,281 | BNP Paribas | 1/22/19 | 7,645 | — | |||||||||||||||||
TRY | 3,689,471 | USD | 885,190 | Deutsche Bank AG | 1/28/19 | — | (49,766 | ) | ||||||||||||||||
TRY | 3,689,000 | USD | 884,864 | Standard Chartered Bank | 1/28/19 | — | (49,547 | ) | ||||||||||||||||
USD | 158,949 | KZT | 54,440,000 | Deutsche Bank AG | 1/28/19 | — | (651 | ) | ||||||||||||||||
USD | 426,511 | KZT | 146,080,000 | Deutsche Bank AG | 1/28/19 | — | (1,747 | ) | ||||||||||||||||
USD | 860,785 | TRY | 3,589,471 | Deutsche Bank AG | 1/28/19 | 48,004 | — | |||||||||||||||||
USD | 885,714 | TRY | 3,689,000 | Standard Chartered Bank | 1/28/19 | 50,397 | — | |||||||||||||||||
UAH | 124,521,000 | USD | 4,094,739 | Bank of America, N.A. | 1/29/19 | 144,396 | — | |||||||||||||||||
UAH | 117,200,000 | USD | 4,000,000 | JPMorgan Chase Bank, N.A. | 1/29/19 | — | (10,099 | ) | ||||||||||||||||
UAH | 31,315,900 | USD | 1,068,802 | Goldman Sachs International | 1/30/19 | — | (3,130 | ) | ||||||||||||||||
TRY | 24,500,000 | USD | 5,381,741 | Standard Chartered Bank | 4/9/19 | 47,382 | — | |||||||||||||||||
TRY | 41,747,000 | USD | 9,087,683 | Goldman Sachs International | 2/3/20 | — | (606,491 | ) | ||||||||||||||||
TRY | 29,500,000 | USD | 6,402,604 | JPMorgan Chase Bank, N.A. | 2/3/20 | — | (409,475 | ) | ||||||||||||||||
TRY | 3,589,471 | USD | 778,965 | Deutsche Bank AG | 2/10/20 | — | (51,153 | ) | ||||||||||||||||
TRY | 3,689,000 | USD | 801,434 | Standard Chartered Bank | 2/10/20 | — | (53,441 | ) | ||||||||||||||||
TRY | 468,264 | USD | 101,598 | Standard Chartered Bank | 2/14/20 | — | (6,756 | ) | ||||||||||||||||
TRY | 4,711,529 | USD | 1,023,467 | Standard Chartered Bank | 2/14/20 | — | (69,200 | ) | ||||||||||||||||
TRY | 5,652,500 | USD | 1,131,405 | Bank of America, N.A. | 3/20/20 | 2,466 | — | |||||||||||||||||
TRY | 51,100,000 | USD | 10,413,695 | Bank of America, N.A. | 3/20/20 | — | (163,219 | ) | ||||||||||||||||
$ | 10,644,701 | $ | (16,859,321 | ) |
Non-deliverable Bond Forward Contracts* | ||||||||||||||||||
Settlement Date | Notional Amount (000’s omitted) | Reference Entity | Counterparty | Aggregate Cost | Net Unrealized Appreciation | |||||||||||||
6/22/18 | COP | 6,269,800 | Republic of Colombia, 6.00%, 4/28/28 | Deutsche Bank AG | $ | 2,232,076 | $ | 11,779 | ||||||||||
6/22/18 | COP | 22,650,000 | Republic of Colombia, 7.00%, 9/11/19 | Deutsche Bank AG | 8,063,497 | 32,068 | ||||||||||||
6/22/18 | COP | 16,000,000 | Republic of Colombia, 7.00%, 6/30/32 | Deutsche Bank AG | 5,696,068 | 39,297 | ||||||||||||
6/22/18 | COP | 6,393,000 | Republic of Colombia, 7.50%, 8/26/26 | Deutsche Bank AG | 2,275,935 | 20,001 | ||||||||||||
6/22/18 | COP | 10,000,000 | Republic of Colombia, 7.75%, 9/18/30 | Deutsche Bank AG | 3,560,043 | 18,769 |
23 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Non-deliverable Bond Forward Contracts* (continued) | ||||||||||||||||||
Settlement Date | Notional Amount (000’s omitted) | Reference Entity | Counterparty | Aggregate Cost | Net Unrealized Appreciation | |||||||||||||
6/22/18 | COP | 10,000,000 | Republic of Colombia, 7.75%, 9/18/30 | Deutsche Bank AG | $ | 3,560,043 | $ | 21,560 | ||||||||||
6/22/18 | COP | 17,000,000 | Republic of Colombia, 7.75%, 9/18/30 | Deutsche Bank AG | 6,052,073 | 56,575 | ||||||||||||
6/22/18 | COP | 34,254,800 | Republic of Colombia, 10.00%, 7/24/24 | Deutsche Bank AG | 12,194,855 | 90,071 | ||||||||||||
$ | 290,120 |
* | Represents a short-term forward contract to purchase the reference entity denominated in a non-deliverable foreign currency. |
Futures Contracts | ||||||||||||||||||||
Description | Number of Contracts | Position | Expiration Month/Year | Notional Amount | Value/Net Unrealized Appreciation | |||||||||||||||
Interest Rate Futures | ||||||||||||||||||||
5-Year USD Deliverable Interest Rate Swap | 113 | Short | Jun-18 | $ | (10,806,508 | ) | $ | 58,266 | ||||||||||||
10-Year USD Deliverable Interest Rate Swap | 71 | Short | Jun-18 | (6,624,078 | ) | 40,011 | ||||||||||||||
U.S. 5-Year Treasury Note | 225 | Short | Jun-18 | (25,539,258 | ) | 70,074 | ||||||||||||||
$ | 168,351 |
Centrally Cleared Interest Rate Swaps | ||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Unrealized Appreciation (Depreciation) | ||||||||||||
CME Group, Inc. | BRL | 124,963 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.77% (pays upon termination) | 1/2/19 | $ | (142,489 | ) | |||||||||
CME Group, Inc. | BRL | 62,150 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.79% (pays upon termination) | 1/2/19 | (73,987 | ) | ||||||||||
CME Group, Inc. | BRL | 147,339 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.79% (pays upon termination) | 1/2/19 | (175,627 | ) | ||||||||||
CME Group, Inc. | BRL | 48,747 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.80% (pays upon termination) | 1/2/19 | (55,584 | ) | ||||||||||
CME Group, Inc. | BRL | 56,030 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.82% (pays upon termination) | 1/2/19 | (71,015 | ) | ||||||||||
CME Group, Inc. | BRL | 15,272 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.31% (pays upon termination) | 1/2/19 | 138,303 |
24 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Unrealized Appreciation (Depreciation) | ||||||||||||
CME Group, Inc. | BRL | 7,647 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.33% (pays upon termination) | 1/2/19 | $ | 69,829 | ||||||||||
CME Group, Inc. | BRL | 7,687 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.35% (pays upon termination) | 1/2/19 | 71,179 | |||||||||||
CME Group, Inc. | BRL | 15,269 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.35% (pays upon termination) | 1/2/19 | 141,375 | |||||||||||
CME Group, Inc. | BRL | 22,974 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.38% (pays upon termination) | 1/2/19 | 215,474 | |||||||||||
CME Group, Inc. | BRL | 26,985 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.39% (pays upon termination) | 1/2/19 | 256,087 | |||||||||||
CME Group, Inc. | BRL | 30,354 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.27% (pays upon termination) | 1/2/23 | 151,801 | |||||||||||
CME Group, Inc. | BRL | 19,650 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.29% (pays upon termination) | 1/2/23 | 104,830 | |||||||||||
CME Group, Inc. | BRL | 9,631 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.31% (pays upon termination) | 1/2/23 | 54,053 | |||||||||||
CME Group, Inc. | BRL | 9,925 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.33% (pays upon termination) | 1/2/23 | 57,772 | |||||||||||
CME Group, Inc. | BRL | 11,288 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.36% (pays upon termination) | 1/2/23 | 69,857 | |||||||||||
CME Group, Inc. | BRL | 47,000 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.58% (pays upon termination) | 1/2/25 | 160,536 | |||||||||||
CME Group, Inc. | BRL | 5,239 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.90% (pays upon termination) | 1/2/25 | 53,602 | |||||||||||
CME Group, Inc. | BRL | 23,401 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.92% (pays upon termination) | 1/2/25 | 252,131 | |||||||||||
CME Group, Inc. | MXN | 452,430 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.83% (pays monthly) | 6/28/19 | (291,167 | ) | ||||||||||
CME Group, Inc. | MXN | 204,680 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.83% (pays monthly) | 7/1/19 | (131,386 | ) | ||||||||||
CME Group, Inc. | MXN | 242,890 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.83% (pays monthly) | 7/1/19 | (155,357 | ) | ||||||||||
CME Group, Inc. | MXN | 1,350,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.03% (pays monthly) | 8/23/19 | (745,605 | ) |
25 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Unrealized Appreciation (Depreciation) | ||||||||||||
CME Group, Inc. | MXN | 1,150,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.26% (pays monthly) | 11/6/19 | $ | (449,621 | ) | |||||||||
CME Group, Inc. | MXN | 386,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.89% (pays monthly) | 1/8/20 | 60,728 | |||||||||||
CME Group, Inc. | MXN | 135,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.16% (pays monthly) | 4/21/20 | (67,787 | ) | ||||||||||
CME Group, Inc. | MXN | 108,400 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.78% (pays monthly) | 7/11/22 | (151,998 | ) | ||||||||||
CME Group, Inc. | MXN | 154,600 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.29% (pays monthly) | 11/22/22 | (88,662 | ) | ||||||||||
CME Group, Inc. | MXN | 67,771 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.08% (pays monthly) | 6/27/24 | (267,540 | ) | ||||||||||
CME Group, Inc. | MXN | 130,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.21% (pays monthly) | 6/29/26 | (627,508 | ) | ||||||||||
CME Group, Inc. | MXN | 176,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.86% (pays monthly) | 1/5/28 | 55,202 | |||||||||||
CME Group, Inc. | MXN | 70,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.43% (pays monthly) | 6/22/37 | (232,987 | ) | ||||||||||
LCH.Clearnet | EUR | 16,650 | Receives | 6-month Euro Interbank Offered Rate (pays semi-annually) | 0.25% (pays annually)(1) | 9/20/22 | (69,372 | ) | ||||||||||
LCH.Clearnet | MXN | 267,700 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.58% (pays monthly) | 3/21/23 | 40,416 | |||||||||||
LCH.Clearnet | PLN | 16,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.44% (pays annually) | 5/9/19 | 189,034 | |||||||||||
LCH.Clearnet | PLN | 21,430 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.25% (pays annually) | 6/5/19 | 228,883 | |||||||||||
LCH.Clearnet | PLN | 6,426 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.72% (pays annually) | 2/27/20 | (4,441 | ) | ||||||||||
LCH.Clearnet | PLN | 4,106 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.78% (pays annually) | 2/27/20 | (1,623 | ) | ||||||||||
LCH.Clearnet | PLN | 2,300 | Pays | 6-month PLN WIBOR (pays semi-annually) | 5.36% (pays annually) | 7/30/20 | 72,518 | |||||||||||
LCH.Clearnet | PLN | 4,400 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.19% (pays annually) | 10/28/21 | 16,194 | |||||||||||
LCH.Clearnet | PLN | 11,400 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.44% (pays annually) | 10/28/24 | 17,371 | |||||||||||
LCH.Clearnet | PLN | 26,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.62% (pays annually) | 3/20/25 | 17,360 | |||||||||||
LCH.Clearnet | PLN | 75,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.84% (pays annually) | 1/10/28 | 70,960 | |||||||||||
LCH.Clearnet | USD | 2,208 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 1.87% (pays semi-annually) | 9/18/22 | 93,629 | |||||||||||
LCH.Clearnet | USD | 4,500 | Receives | 3-month USD-LIBOR-BBA (pays quarterly) | 2.11% (pays semi-annually) | 9/5/27 | 314,035 | |||||||||||
LCH.Clearnet | ZAR | 44,500 | Pays | 3-month ZAR JIBAR (pays quarterly) | 7.67% (pays quarterly) | 5/15/24 | 57,383 |
26 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Unrealized Appreciation (Depreciation) | ||||||||||||
LCH.Clearnet | ZAR | 68,770 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.79% (pays quarterly) | 3/18/26 | $ | 413,273 | ||||||||||
LCH.Clearnet | ZAR | 54,320 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.12% (pays quarterly) | 10/6/26 | 143,648 | |||||||||||
$ | (216,293 | ) |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Interest Rate Swaps | ||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Unrealized Appreciation (Depreciation) | ||||||||||||
Bank of America, N.A. | BRL | 12,953 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.10% (pays upon termination) | 1/2/23 | $ | 1,559,175 | ||||||||||
Bank of America, N.A. | MXN | 26,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.46% (pays monthly) | 9/24/20 | (35,896 | ) | ||||||||||
Bank of America, N.A. | PLN | 3,600 | Pays | 6-month PLN WIBOR (pays semi-annually) | 4.95% (pays annually) | 9/14/20 | 100,843 | |||||||||||
Bank of America, N.A. | PLN | 8,765 | Pays | 6-month PLN WIBOR (pays semi-annually) | 5.45% (pays annually) | 6/7/21 | 356,501 | |||||||||||
Bank of America, N.A. | THB | 400,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.91% (pays semi-annually) | 11/2/22 | (10,556 | ) | ||||||||||
Bank of America, N.A. | THB | 230,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.90% (pays semi-annually) | 12/8/22 | (7,890 | ) | ||||||||||
Bank of America, N.A. | THB | 450,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.88% (pays semi-annually) | 1/25/23 | (67,483 | ) | ||||||||||
Bank of America, N.A. | THB | 340,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 2.00% (pays semi-annually) | 5/2/23 | (41,839 | ) | ||||||||||
Barclays Bank PLC | BRL | 22,098 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.72% (pays upon termination) | 1/4/21 | 885,695 | |||||||||||
Citibank, N.A. | MYR | 44,600 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.95% (pays quarterly) | 3/20/23 | (19,914 | ) | ||||||||||
Citibank, N.A. | THB | 490,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 2.03% (pays semi-annually) | 4/24/22 | 75,156 | |||||||||||
Citibank, N.A. | THB | 260,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.79% (pays semi-annually) | 8/10/22 | (38,601 | ) |
27 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Interest Rate Swaps (continued) | ||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Unrealized Appreciation (Depreciation) | ||||||||||||
Citibank, N.A. | THB | 1,110,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.91% (pays semi-annually) | 11/15/22 | $ | (4,133 | ) | |||||||||
Citibank, N.A. | THB | 330,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.87% (pays semi-annually) | 3/27/23 | (85,205 | ) | ||||||||||
Credit Suisse International | RUB | 193,050 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 8.07% (pays annually) | 5/10/22 | 262,033 | |||||||||||
Credit Suisse International | RUB | 51,950 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 7.85% (pays annually) | 5/23/22 | 62,156 | |||||||||||
Credit Suisse International | RUB | 275,000 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 7.85% (pays annually) | 11/1/22 | 138,246 | |||||||||||
Deutsche Bank AG | BRL | 1,970 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 12.98% (pays upon termination) | 1/2/23 | 227,076 | |||||||||||
Deutsche Bank AG | COP | 13,747,900 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 5.49% (pays quarterly) | 3/21/19 | 68,554 | |||||||||||
Deutsche Bank AG | COP | 2,715,200 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 5.41% (pays quarterly) | 3/22/19 | 12,776 | |||||||||||
Deutsche Bank AG | COP | 3,673,900 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 5.36% (pays quarterly) | 3/26/19 | 16,655 | |||||||||||
Deutsche Bank AG | MYR | 10,800 | Pays | 3-month MYR KLIBOR (pays quarterly) | 4.38% (pays quarterly) | 11/23/20 | 39,449 | |||||||||||
Goldman Sachs International | COP | 13,748,000 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 5.49% (pays semi-annually) | 3/21/19 | 68,311 | |||||||||||
Goldman Sachs International | MYR | 10,122 | Pays | 3-month MYR KLIBOR (pays quarterly) | 4.04% (pays quarterly) | 11/18/21 | 12,851 | |||||||||||
Goldman Sachs International | PLN | 11,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 5.54% (pays annually) | 5/10/21 | 458,750 | |||||||||||
Goldman Sachs International | RUB | 500,000 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 7.73% (pays annually) | 12/6/22 | 217,149 | |||||||||||
HSBC Bank USA, N.A. | MXN | 44,030 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.28% (pays monthly) | 12/23/20 | (16,434 | ) | ||||||||||
HSBC Bank USA, N.A. | PLN | 11,250 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.44% (pays annually) | 5/9/19 | 131,245 |
28 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Interest Rate Swaps (continued) | ||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Net Unrealized Appreciation (Depreciation) | ||||||||||||
JPMorgan Chase Bank, N.A. | MYR | 4,750 | Pays | 3-month MYR KLIBOR (pays quarterly) | 4.44% (pays quarterly) | 4/8/19 | $ | 8,044 | ||||||||||
JPMorgan Chase Bank, N.A. | MYR | 9,556 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.90% (pays quarterly) | 11/26/19 | 5,376 | |||||||||||
JPMorgan Chase Bank, N.A. | MYR | 10,000 | Pays | 3-month MYR KLIBOR (pays quarterly) | 4.13% (pays quarterly) | 10/19/20 | 18,259 | |||||||||||
JPMorgan Chase Bank, N.A. | MYR | 21,070 | Pays | 3-month MYR KLIBOR (pays quarterly) | 4.14% (pays quarterly) | 11/26/24 | 13,494 | |||||||||||
JPMorgan Chase Bank, N.A. | PLN | 9,900 | Pays | 6-month PLN WIBOR (pays semi-annually) | 4.91% (pays annually) | 10/11/18 | 113,223 | |||||||||||
Morgan Stanley & Co. International PLC | BRL | 41,201 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 15.58% (pays upon termination) | 1/2/19 | 2,300,974 | |||||||||||
Morgan Stanley & Co. International PLC | MXN | 29,200 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.95% (pays monthly) | 12/3/31 | 109 | |||||||||||
Nomura International PLC | BRL | 2,006 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 12.90% (pays upon termination) | 1/2/23 | 223,777 | |||||||||||
Nomura International PLC | BRL | 4,440 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 12.83% (pays upon termination) | 1/2/23 | 481,948 | |||||||||||
Nomura International PLC | MYR | 7,320 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.91% (pays quarterly) | 10/24/19 | 3,724 | |||||||||||
Nomura International PLC | MYR | 4,070 | Pays | 3-month MYR KLIBOR (pays quarterly) | 4.19% (pays quarterly) | 10/24/24 | 5,503 | |||||||||||
$ | 7,539,101 |
Centrally Cleared Credit Default Swaps — Buy Protection | ||||||||||||||||||||||||
Reference Entity | Counterparty | Notional Amount (000’s omitted) | Contract Annual Fixed Rate** | Termination Date | Market Value | Unamortized Upfront Payments | Net Unrealized Depreciation | |||||||||||||||||
Markit CDX Emerging Markets Index (CDX.EM.29.V1) | ICE Clear Credit | $ | 100 | 1.00% (pays quarterly)(1) | 6/20/23 | $ | 1,830 | $ | (1,993 | ) | $ | (163 | ) | |||||||||||
South Africa | ICE Clear Credit | 150 | 1.00% (pays quarterly)(1) | 12/20/19 | (1,059 | ) | (1,498 | ) | (2,557 | ) | ||||||||||||||
South Africa | ICE Clear Credit | 100 | 1.00% (pays quarterly)(1) | 3/20/20 | (685 | ) | (1,176 | ) | (1,861 | ) | ||||||||||||||
Total | $ | 86 | $ | (4,667 | ) | $ | (4,581 | ) |
29 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Credit Default Swaps — Sell Protection | ||||||||||||||||||||||||||||
Reference Entity | Counterparty | Notional Amount* (000’s omitted) | Contract Annual Fixed Rate** | Termination Date | Current Market Annual Fixed Rate*** | Market Value | Unamortized Upfront Payments Received | Net Unrealized Appreciation | ||||||||||||||||||||
Bahamas | Deutsche Bank AG | $ | 1,600 | 1.00% (pays quarterly)(1) | 6/20/22 | 1.78 | % | $ | (45,572 | ) | $ | 119,057 | $ | 73,485 | ||||||||||||||
Turkey | Barclays Bank PLC | 7,630 | 1.00% (pays quarterly)(1) | 9/20/19 | 0.87 | 22,789 | 87,746 | 110,535 | ||||||||||||||||||||
Turkey | Deutsche Bank AG | 3,220 | 1.00% (pays quarterly)(1) | 9/20/19 | 0.87 | 9,617 | 36,544 | 46,161 | ||||||||||||||||||||
Total | $ | 12,450 | $ | (13,166 | ) | $ | 243,347 | $ | 230,181 |
Credit Default Swaps — Buy Protection | ||||||||||||||||||||||
Reference Entity | Counterparty | Notional Amount (000’s omitted) | Contract Annual Fixed Rate** | Termination Date | Market Value | Unamortized Upfront Payments Paid | Net Unrealized Depreciation | |||||||||||||||
South Africa | Bank of America, N.A. | $ | 300 | 1.00% (pays quarterly)(1) | 12/20/19 | $ | (2,125 | ) | $ | (2,279 | ) | $ | (4,404 | ) | ||||||||
South Africa | Bank of America, N.A. | 525 | 1.00% (pays quarterly)(1) | 12/20/20 | (2,227 | ) | (5,856 | ) | (8,083 | ) | ||||||||||||
South Africa | Bank of America, N.A. | 775 | 1.00% (pays quarterly)(1) | 12/20/20 | (3,288 | ) | (7,881 | ) | (11,169 | ) | ||||||||||||
South Africa | Barclays Bank PLC | 300 | 1.00% (pays quarterly)(1) | 12/20/19 | (2,125 | ) | (2,635 | ) | (4,760 | ) | ||||||||||||
South Africa | Barclays Bank PLC | 100 | 1.00% (pays quarterly)(1) | 3/20/20 | (691 | ) | (754 | ) | (1,445 | ) | ||||||||||||
South Africa | Barclays Bank PLC | 565 | 1.00% (pays quarterly)(1) | 12/20/20 | (2,397 | ) | (5,724 | ) | (8,121 | ) | ||||||||||||
South Africa | Barclays Bank PLC | 750 | 1.00% (pays quarterly)(1) | 12/20/20 | (3,182 | ) | (8,053 | ) | (11,235 | ) | ||||||||||||
South Africa | Credit Suisse International | 100 | 1.00% (pays quarterly)(1) | 3/20/20 | (691 | ) | (827 | ) | (1,518 | ) | ||||||||||||
South Africa | Credit Suisse International | 100 | 1.00% (pays quarterly)(1) | 3/20/20 | (691 | ) | (1,006 | ) | (1,697 | ) | ||||||||||||
South Africa | Credit Suisse International | 775 | 1.00% (pays quarterly)(1) | 12/20/20 | (3,288 | ) | (8,379 | ) | (11,667 | ) | ||||||||||||
South Africa | Credit Suisse International | 790 | 1.00% (pays quarterly)(1) | 12/20/20 | (3,352 | ) | (8,975 | ) | (12,327 | ) | ||||||||||||
South Africa | Credit Suisse International | 840 | 1.00% (pays quarterly)(1) | 12/20/20 | (3,564 | ) | (11,729 | ) | (15,293 | ) | ||||||||||||
South Africa | Deutsche Bank AG | 500 | 1.00% (pays quarterly)(1) | 9/20/20 | (2,735 | ) | (6,796 | ) | (9,531 | ) | ||||||||||||
South Africa | Deutsche Bank AG | 610 | 1.00% (pays quarterly)(1) | 12/20/20 | (2,588 | ) | (6,440 | ) | (9,028 | ) | ||||||||||||
South Africa | Goldman Sachs International | 815 | 1.00% (pays quarterly)(1) | 12/20/20 | (3,458 | ) | (8,779 | ) | (12,237 | ) | ||||||||||||
South Africa | Goldman Sachs International | 820 | 1.00% (pays quarterly)(1) | 12/20/20 | (3,479 | ) | (8,976 | ) | (12,455 | ) | ||||||||||||
South Africa | JPMorgan Chase Bank, N.A. | 100 | 1.00% (pays quarterly)(1) | 12/20/19 | (708 | ) | (1,041 | ) | (1,749 | ) |
30 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Credit Default Swaps — Buy Protection (continued) | ||||||||||||||||||||||||
Reference Entity | Counterparty | Notional Amount (000’s omitted) | Contract Annual Fixed Rate** | Termination Date | Market Value | Unamortized Upfront Payments Paid | Net Unrealized Depreciation | |||||||||||||||||
South Africa | JPMorgan Chase Bank, N.A. | $ | 100 | 1.00% (pays quarterly)(1) | 12/20/19 | $ | (708 | ) | $ | (1,250 | ) | $ | (1,958 | ) | ||||||||||
South Africa | JPMorgan Chase Bank, N.A. | 100 | 1.00% (pays quarterly)(1) | 3/20/20 | (691 | ) | (812 | ) | (1,503 | ) | ||||||||||||||
South Africa | JPMorgan Chase Bank, N.A. | 100 | 1.00% (pays quarterly)(1) | 3/20/20 | (690 | ) | (841 | ) | (1,531 | ) | ||||||||||||||
South Africa | JPMorgan Chase Bank, N.A. | 100 | 1.00% (pays quarterly)(1) | 3/20/20 | (690 | ) | (1,163 | ) | (1,853 | ) | ||||||||||||||
Total | $ | (43,368 | ) | $ | (100,196 | ) | $ | (143,564 | ) |
* | If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At April 30, 2018, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $12,450,000. |
** | The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract. |
*** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Total Return Swaps | ||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Receives | Portfolio Pays | Termination Date | Value/Net Unrealized Appreciation (Depreciation) | |||||||||||
Citibank, N.A. | UAH | 11,524 | Total Return on Ukraine Treasury Bill, 0.00% due 7/25/18 (pays upon termination) | 3-month USD-LIBOR-BBA + 150 bp on $398,679 (Notional Amount) (pays upon termination) plus Notional Amount at termination date | 7/27/18 | $ | 24,523 | |||||||||
Citibank, N.A. | LKR | 750,000 | Total Return on Sri Lanka Government Bond, 11.50% due 12/15/21 (pays semi-annually) | 6-month USD-LIBOR-BBA + 115 bp on $5,274,012 (Notional Amount) (pays semi-annually) plus Notional Amount at termination date | 12/17/21 | (117,693 | ) | |||||||||
Citibank, N.A. | LKR | 1,000,000 | Total Return on Sri Lanka Government Bond, 11.50% due 5/15/23 (pays semi-annually) | 6-month USD-LIBOR-BBA + 115 bp on $7,153,635 (Notional Amount) (pays semi-annually) plus Notional Amount at termination date | 5/17/23 | (207,591 | ) | |||||||||
$ | (300,761 | ) |
31 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Cross-Currency Swaps | ||||||||||
Counterparty | Portfolio Receives* | Portfolio Pays* | Effective Date/ Termination Date(1) | Value/Net Unrealized Appreciation (Depreciation) | ||||||
Barclays Bank PLC | 3-month ZAR JIBAR + 49 bp on ZAR 105,055,556 (Notional Amount) (pays quarterly) plus USD equivalent of Notional Amount at effective date | 3-month USD-LIBOR-BBA on USD equivalent of Notional Amount at effective date (pays quarterly) plus Notional Amount | 10/6/19/ 10/6/22 | $ | 9,854 | |||||
Barclays Bank PLC | 3-month ZAR JIBAR + 51 bp on ZAR 106,780,000 (Notional Amount) (pays quarterly) plus USD equivalent of Notional Amount at effective date | 3-month USD-LIBOR-BBA on USD equivalent of Notional Amount at effective date (pays quarterly) plus Notional Amount | 10/23/19/ 10/23/22 | 12,013 | ||||||
Barclays Bank PLC | 3-month ZAR JIBAR + 54 bp on ZAR 109,971,000 (Notional Amount) (pays quarterly) plus USD equivalent of Notional Amount at effective date | 3-month USD-LIBOR-BBA on USD equivalent of Notional Amount at effective date (pays quarterly) plus Notional Amount | 3/9/20/ 3/8/23 | 19,018 | ||||||
Barclays Bank PLC | 3-month ZAR JIBAR + 54 bp on ZAR 109,971,000 (Notional Amount) (pays quarterly) plus USD equivalent of Notional Amount at effective date | 3-month USD-LIBOR-BBA on USD equivalent of Notional Amount at effective date (pays quarterly) plus Notional Amount | 3/12/20/ 3/8/23 | 18,879 | ||||||
Barclays Bank PLC | 3-month PLN WIBOR + 45 bp on PLN 44,199,615 (Notional Amount) (pays quarterly) plus EUR equivalent of Notional Amount at effective date | 3-month Euro Interbank Offered Rate on EUR equivalent of Notional Amount at effective date (pays quarterly) plus Notional Amount | 12/7/20/ 12/5/23 | 13,361 | ||||||
Barclays Bank PLC | 3-month PLN WIBOR + 53.5 bp on PLN 31,075,576 (Notional Amount) (pays quarterly) plus EUR equivalent of Notional Amount at effective date | 3-month Euro Interbank Offered Rate on EUR equivalent of Notional Amount at effective date (pays quarterly) plus Notional Amount | 10/27/22/ 10/27/27 | (7,536 | ) | |||||
Barclays Bank PLC | 3-month PLN WIBOR + 51.5 bp on PLN 20,036,400 (Notional Amount) (pays quarterly) plus EUR equivalent of Notional Amount at effective date | 3-month Euro Interbank Offered Rate on EUR equivalent of Notional Amount at effective date (pays quarterly) plus Notional Amount | 11/3/22/ 11/3/27 | (9,491 | ) | |||||
Barclays Bank PLC | 3-month PLN WIBOR + 51.5 bp on PLN 28,463,120 (Notional Amount) (pays quarterly) plus EUR equivalent of Notional Amount at effective date | 3-month Euro Interbank Offered Rate on EUR equivalent of Notional Amount at effective date (pays quarterly) plus Notional Amount | 11/16/22/ 11/16/27 | (13,570 | ) | |||||
Deutsche Bank AG | 10.54% on TRY 21,450,000 (pays annually) plus USD 9,981,225 | 3-month USD-LIBOR-BBA on USD 9,981,225 (pays quarterly) plus TRY 21,450,000 | Not Applicable/ 4/3/19 | (4,854,697 | ) |
32 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Portfolio of Investments (Unaudited) — continued
Cross-Currency Swaps (continued) | ||||||||||
Counterparty | Portfolio Receives* | Portfolio Pays* | Effective Date/ Termination Date(1) | Value/Net Unrealized Appreciation (Depreciation) | ||||||
Deutsche Bank AG | 3-month ZAR JIBAR + 50 bp on ZAR 47,360,000 (Notional Amount) (pays quarterly) plus USD equivalent of Notional Amount at effective date | 3-month USD-LIBOR-BBA on USD equivalent of Notional Amount at effective date (pays quarterly) plus Notional Amount | 7/29/19/ 7/29/22 | $ | 7,759 | |||||
Goldman Sachs International | 9.56% on TRY 16,903,000 (pays annually) plus USD 5,549,245 | 3-month USD-LIBOR-BBA on USD 5,549,245 (pays quarterly) plus TRY 16,903,000 | Not Applicable/ 7/28/23 | (1,581,398 | ) | |||||
Goldman Sachs International | 9.51% on TRY 43,482,000 (pays annually) plus USD 14,326,853 | 3-month USD-LIBOR-BBA on USD 14,326,853 (pays quarterly) plus TRY 43,482,000 | Not Applicable/ 7/29/23 | (4,148,169 | ) | |||||
$ | (10,533,977 | ) |
* | 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. |
(1) | Effective date represents the date on which the Portfolio and counterparty exchange the currencies and begin interest payment accrual. |
Abbreviations:
ARPP7DRR | – | Argentina Central Bank 7-day Repo Reference Rate | ||
LIBOR | – | London Interbank Offered Rate |
Currency Abbreviations:
ALL | – | Albanian Lek | ||
ARS | – | Argentine Peso | ||
BAM | – | Bosnia-Herzegovina Convertible Mark | ||
BRL | – | Brazilian Real | ||
COP | – | Colombian Peso | ||
CRC | – | Costa Rican Colon | ||
CZK | – | Czech Koruna | ||
DOP | – | Dominican Peso | ||
EGP | – | Egyptian Pound | ||
EUR | – | Euro | ||
GEL | – | Georgian Lari | ||
HUF | – | Hungarian Forint | ||
IDR | – | Indonesian Rupiah | ||
INR | – | Indian Rupee | ||
KZT | – | Kazakhstani Tenge | ||
LKR | – | Sri Lankan Rupee |
MAD | – | Moroccan Dirham | ||
MXN | – | Mexican Peso | ||
MYR | – | Malaysian Ringgit | ||
NGN | – | Nigerian Naira | ||
PEN | – | Peruvian Sol | ||
PHP | – | Philippine Peso | ||
PLN | – | Polish Zloty | ||
RON | – | Romanian Leu | ||
RSD | – | Serbian Dinar | ||
RUB | – | Russian Ruble | ||
THB | – | Thai Baht | ||
TRY | – | New Turkish Lira | ||
UAH | – | Ukrainian Hryvnia | ||
USD | – | United States Dollar | ||
UYU | – | Uruguayan Peso | ||
ZAR | – | South African Rand |
33 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Statement of Assets and Liabilities (Unaudited)
Assets | April 30, 2018 | |||
Unaffiliated investments, at value (identified cost, $740,095,525) | $ | 725,195,719 | ||
Affiliated investment, at value (identified cost, $100,919,564) | 100,919,564 | |||
Cash | 4,048,489 | |||
Deposits for derivatives collateral — | ||||
Financial futures contracts | 683,450 | |||
Centrally cleared swap contracts | 7,452,459 | |||
OTC derivatives | 1,948,000 | |||
Foreign currency, at value (identified cost, $15,942,006) | 15,818,421 | |||
Interest receivable | 10,054,652 | |||
Dividends receivable from affiliated investment | 105,023 | |||
Receivable for open forward foreign currency exchange contracts | 10,644,701 | |||
Receivable for open swap contracts | 8,202,640 | |||
Premium paid on open non-centrally cleared swap contracts | 100,196 | |||
Receivable for open non-deliverable bond forward contracts | 290,120 | |||
Tax reclaims receivable | 2,773 | |||
Total assets | $ | 885,466,207 | ||
Liabilities | ||||
Cash collateral due to brokers | $ | 1,948,000 | ||
Written options outstanding, at value (premiums received, $171,309) | 16,904 | |||
Payable for investments purchased | 9,329,891 | |||
Payable for variation margin on open financial futures contracts | 27,750 | |||
Payable for variation margin on open centrally cleared swap contracts | 291,782 | |||
Payable for open forward foreign currency exchange contracts | 16,859,321 | |||
Payable for open swap contracts | 11,411,660 | |||
Premium received on open non-centrally cleared swap contracts | 243,347 | |||
Payable to affiliates: | ||||
Investment adviser fee | 452,556 | |||
Trustees’ fees | 2,520 | |||
Accrued foreign capital gains taxes | 485,812 | |||
Accrued expenses | 487,270 | |||
Total liabilities | $ | 41,556,813 | ||
Net Assets applicable to investors’ interest in Portfolio | $ | 843,909,394 | ||
Sources of Net Assets | ||||
Investors’ capital | $ | 868,754,619 | ||
Net unrealized depreciation | (24,845,225 | ) | ||
Total | $ | 843,909,394 |
34 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Statement of Operations (Unaudited)
Investment Income | Six Months Ended April 30, 2018 | |||
Interest (net of foreign taxes, $1,319,873) | $ | 31,657,846 | ||
Dividends from affiliated investment | 404,935 | |||
Total investment income | $ | 32,062,781 | ||
Expenses | ||||
Investment adviser fee | $ | 2,429,261 | ||
Trustees’ fees and expenses | 15,125 | |||
Custodian fee | 611,979 | |||
Legal and accounting services | 70,561 | |||
Interest expense and fees | 57,848 | |||
Miscellaneous | 17,871 | |||
Total expenses | $ | 3,202,645 | ||
Net investment income | $ | 28,860,136 | ||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) — | ||||
Investment transactions (net of foreign capital gains taxes of $42,986) | $ | (1,781,729 | ) | |
Investment transactions — affiliated investment | (10,346 | ) | ||
Written options | 217,597 | |||
Financial futures contracts | 1,196,430 | |||
Swap contracts | 777,741 | |||
Foreign currency transactions | (1,478,380 | ) | ||
Forward foreign currency exchange contracts | 6,543,657 | |||
Non-deliverable bond forward contracts | 753,338 | |||
Net realized gain | $ | 6,218,308 | ||
Change in unrealized appreciation (depreciation) — | ||||
Investments (including net decrease in accrued foreign capital gains taxes of $30,219) | $ | (9,263,321 | ) | |
Investments — affiliated investment | 1,723 | |||
Written options | (57,795 | ) | ||
Financial futures contracts | (37,444 | ) | ||
Swap contracts | (209,259 | ) | ||
Foreign currency | (214,769 | ) | ||
Forward foreign currency exchange contracts | (2,192,027 | ) | ||
Non-deliverable bond forward contracts | 322,151 | |||
Net change in unrealized appreciation (depreciation) | $ | (11,650,741 | ) | |
Net realized and unrealized loss | $ | (5,432,433 | ) | |
Net increase in net assets from operations | $ | 23,427,703 |
35 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Statements of Changes in Net Assets
Increase (Decrease) in Net Assets | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||
From operations — | ||||||||
Net investment income | $ | 28,860,136 | $ | 25,155,105 | ||||
Net realized gain | 6,218,308 | 12,815,031 | ||||||
Net change in unrealized appreciation (depreciation) | (11,650,741 | ) | (6,695,693 | ) | ||||
Net increase in net assets from operations | $ | 23,427,703 | $ | 31,274,443 | ||||
Capital transactions — | ||||||||
Contributions | $ | 246,212,669 | $ | 284,624,454 | ||||
Withdrawals | (42,912,442 | ) | (47,021,808 | ) | ||||
Net increase in net assets from capital transactions | $ | 203,300,227 | $ | 237,602,646 | ||||
Net increase in net assets | $ | 226,727,930 | $ | 268,877,089 | ||||
Net Assets | ||||||||
At beginning of period | $ | 617,181,464 | $ | 348,304,375 | ||||
At end of period | $ | 843,909,394 | $ | 617,181,464 |
36 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Financial Highlights
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
Ratios/Supplemental Data | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||
Ratios (as a percentage of average daily net assets): | ||||||||||||||||||||||||
Expenses(1) | 0.85 | %(2)(3) | 0.81 | %(4) | 0.91 | %(4) | 0.95 | %(4) | 0.92 | %(4) | 0.97 | %(4) | ||||||||||||
Net investment income | 7.70 | %(2) | 5.90 | % | 5.94 | % | 5.88 | % | 5.53 | % | 5.25 | % | ||||||||||||
Portfolio Turnover | 18 | %(5) | 40 | % | 73 | % | 47 | % | 97 | % | 27 | % | ||||||||||||
Total Return | 3.78 | %(5) | 8.32 | % | 16.39 | % | (17.07 | )% | 0.00 | %(6) | (3.10 | )% | ||||||||||||
Net assets, end of period (000’s omitted) | $ | 843,909 | $ | 617,181 | $ | 348,304 | $ | 280,052 | $ | 423,532 | $ | 564,863 |
(1) | Excludes the effect of custody fee credits, if any, of less than 0.005%. Effective September 1, 2015, custody fee credits, which were earned on cash deposit balances, were discontinued by the custodian. |
(2) | Annualized. |
(3) | Includes interest expense of 0.02% of average daily net assets for the six months ended April 30, 2018. |
(4) | Includes interest and dividend expense, primarily on securities sold short and reverse repurchase agreements, of 0.02%, 0.05%, 0.07%, 0.06% and 0.14% for the years ended October 31, 2017, 2016, 2015, 2014 and 2013, respectively. |
(5) | Not annualized. |
(6) | Amount is less than 0.005%. |
37 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2018
Notes to Financial Statements (Unaudited)
1 Significant Accounting Policies
Emerging Markets Local Income Portfolio (the Portfolio) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a non-diversified, open-end management investment company. The Portfolio’s investment objective is total return. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. At April 30, 2018, Eaton Vance Emerging Markets Local Income Fund, Eaton Vance Short Duration Strategic Income Fund, Eaton Vance International (Cayman Islands) Emerging Markets Local Income Fund and Eaton Vance International (Cayman Islands) Short Duration Strategic Income Fund held an interest of 89.6%, 7.3%, 1.8% and 1.3%, respectively, in the Portfolio.
The following is a summary of significant accounting policies of the Portfolio. The policies are in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Portfolio is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946.
A Investment Valuation — The following methodologies are used to determine the market value or fair value of investments.
Debt Obligations. Debt obligations are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. Short-term obligations purchased with a remaining maturity of sixty days or less for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value.
Derivatives. Non U.S. exchange-traded options and over-the-counter options (including options on securities, indices and foreign currencies) are valued by a third party pricing service using techniques that consider factors including the value of the underlying instrument, the volatility of the underlying instrument and the period of time until option expiration. Financial futures contracts are valued at the closing 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. Non-deliverable bond forward contracts are generally valued based on the current price of the underlying bond as provided by a third party pricing service and current interest rates. Swaps are normally valued using valuations provided by a third party pricing service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract, and in the case of credit default swaps, based on credit spread quotations obtained from broker/dealers and expected default recovery rates determined by the pricing service using proprietary models. In the case of total return swaps, the pricing service valuations are based on the value of the underlying index or instrument and reference interest rate. Future cash flows on swaps are discounted to their present value using swap rates provided by electronic data services or by broker/dealers.
Foreign Securities and Currencies. Foreign securities and currencies are valued in U.S. dollars, based on foreign currency exchange rate quotations supplied by a third party pricing service. The pricing service uses a proprietary model to determine the exchange rate. Inputs to the model include reported trades and implied bid/ask spreads.
Affiliated Fund. The Portfolio may invest in Eaton Vance Cash Reserves Fund, LLC (Cash Reserves Fund), an affiliated investment company managed by Eaton Vance Management (EVM). While Cash Reserves Fund is not a registered money market mutual fund, it conducts all of its investment activities in accordance with the requirements of Rule 2a-7 under the 1940 Act. Investments in Cash Reserves Fund are valued at the closing net asset value per unit on the valuation day. Cash Reserves Fund generally values its investment securities based on available market quotations provided by a third party pricing service.
Fair Valuation. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Portfolio in a manner that fairly reflects the security’s value, or the amount that the Portfolio might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
B Investment Transactions — Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost.
C Income — Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Fees associated with loan amendments are recognized immediately. Inflation adjustments to the principal amount of inflation-adjusted bonds and notes are reflected as interest income. Deflation adjustments to the principal amount of an inflation-adjusted bond or note are reflected as reductions to interest income to the extent of interest income previously recorded on such bond or note. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. Withholding taxes on foreign interest, dividends and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable countries’ tax rules and rates.
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Emerging Markets Local Income Portfolio
April 30, 2018
Notes to Financial Statements (Unaudited) — continued
D Federal and Other Taxes — The Portfolio has elected to be treated as a partnership for federal tax purposes. No provision is made by the Portfolio for federal or state taxes on any taxable income of the Portfolio because each investor in the Portfolio is ultimately responsible for the payment of any taxes on its share of taxable income. Since at least one of the Portfolio’s investors is a regulated investment company that invests all or substantially all of its assets in the Portfolio, the Portfolio normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order for its investors to satisfy them. The Portfolio will allocate, at least annually among its investors, each investor’s distributive share of the Portfolio’s net investment income, net realized capital gains and losses and any other items of income, gain, loss, deduction or credit.
In addition to the requirements of the Internal Revenue Code, the Portfolio may also be subject to local taxes on the recognition of capital gains in certain countries. In determining the daily net asset value, the Portfolio estimates the accrual for such taxes, if any, based on the unrealized appreciation on certain portfolio securities and the related tax rates. Taxes attributable to unrealized appreciation are included in the change in unrealized appreciation (depreciation) on investments. Capital gains taxes on securities sold are included in net realized gain (loss) on investments.
As of April 30, 2018, the Portfolio had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Portfolio files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
E Foreign Currency Translation — Investment valuations, other assets, and liabilities initially expressed in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates in effect on the respective dates of such transactions. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
F Unfunded Loan Commitments — The Portfolio may enter into certain loan agreements all or a portion of which may be unfunded. The Portfolio is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are disclosed in the accompanying Portfolio of Investments.
G Use of Estimates — The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.
H Indemnifications — Under the Portfolio’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Portfolio. Under Massachusetts law, if certain conditions prevail, interestholders in the Portfolio could be deemed to have personal liability for the obligations of the Portfolio. However, the Portfolio’s Declaration of Trust contains an express disclaimer of liability on the part of Portfolio interestholders and the By-laws provide that the Portfolio shall assume the defense on behalf of any Portfolio interestholder. Moreover, the By-laws also provide for indemnification out of Portfolio property of any interestholder held personally liable solely by reason of being or having been an interestholder for all loss or expense arising from such liability. Additionally, in the normal course of business, the Portfolio enters into agreements with service providers that may contain indemnification clauses. The Portfolio’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet occurred.
I Financial Futures Contracts — Upon entering into a financial futures contract, the Portfolio is required to deposit with the broker, either in cash or securities, an amount equal to a certain percentage of the contract amount (initial margin). Subsequent payments, known as variation margin, are made or received by the Portfolio each business day, depending on the daily fluctuations in the value of the underlying security, and are recorded as unrealized gains or losses by the Portfolio. Gains (losses) are realized upon the expiration or closing of the financial futures contracts. Should market conditions change unexpectedly, the Portfolio may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. Futures contracts have minimal counterparty risk as they are exchange traded and the clearinghouse for the exchange is substituted as the counterparty, guaranteeing counterparty performance.
J Forward Foreign Currency Exchange and Non-Deliverable Bond Forward Contracts — The Portfolio may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contracts have been closed. The Portfolio may also enter into non-deliverable bond forward contracts for the purchase or sale of a bond denominated in a non-deliverable foreign currency at a fixed price on a future date. For non-deliverable bond forward contracts, unrealized gains and losses, based on changes in the value of the contract, and realized gains and losses are accounted for as described above. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from movements in the value of a foreign currency relative to the U.S. dollar.
K Written Options — Upon the writing of a call or a put option, the premium received by the Portfolio is included in the 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
39 |
Emerging Markets Local Income Portfolio
April 30, 2018
Notes to Financial Statements (Unaudited) — continued
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 Statement of Assets and Liabilities as an investment. The amount of the investment is subsequently marked-to-market to reflect the current market value of the option purchased, in accordance with the Portfolio’s policies on investment valuations discussed above. As the purchaser of an index option, the Portfolio has the right to receive a cash payment equal to any depreciation in the value of the index below the strike price of the option (in the case of a put) or equal to any appreciation in the value of the index over the strike price of the option (in the case of a call) as of the valuation date of the option. If an option which the Portfolio had purchased expires on the stipulated expiration date, the Portfolio will realize a loss in the amount of the cost of the option. If the Portfolio enters into a closing sale transaction, the Portfolio will realize a gain or loss, depending on whether the sales proceeds from the closing sale transaction are greater or less than the cost of the option. If the Portfolio exercises a put option on a security, it will realize a gain or loss from the sale of the underlying security, and the proceeds from such sale will be decreased by the premium originally paid. If the Portfolio exercises a call option on a security, the cost of the security which the Portfolio purchases upon exercise will be increased by the premium originally paid. The risk associated with purchasing options is limited to the premium originally paid. Purchased options traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.
M Interest Rate Swaps — Swap contracts are privately negotiated agreements between the Portfolio and a counterparty. Certain swap contracts may be centrally cleared (“centrally cleared swaps”), whereby all payments made or received by the Portfolio pursuant to the contract are with a central clearing party (CCP) rather than the original counterparty. The CCP guarantees the performance of the original parties to the contract. Upon entering into centrally cleared swaps, the Portfolio is required to deposit with the CCP, either in cash or securities, an amount of initial margin determined by the CCP, which is subject to adjustment.
Pursuant to interest rate swap agreements, the Portfolio either makes floating-rate payments to the counterparty (or CCP in the case of centrally cleared swaps) based on a benchmark interest rate in exchange for fixed-rate payments or the Portfolio makes fixed-rate payments to the counterparty (or CCP in the case of a centrally cleared swap) in exchange for payments on a floating benchmark interest rate. Payments received or made are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The value of the swap is determined by changes in the relationship between two rates of interest. The Portfolio is exposed to credit loss in the event of non-performance by the swap counterparty. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP. Risk may also arise from movements in interest rates.
N 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 (or CCP in the case of a centrally cleared swap) to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, the Portfolio pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Portfolio would have spent the stream of payments and received no proceeds from the contract. When the Portfolio is the seller of a credit default swap contract, it receives the stream of payments, but is obligated to pay to the buyer of the protection an amount up to the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the Portfolio is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Portfolio could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Portfolio for the same referenced obligation. As the seller, the Portfolio may create economic leverage to its portfolio because, in addition to its total net assets, the Portfolio is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap contract, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The Portfolio also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments, if any, are amortized over the life of the swap contract as realized gains or losses. Those upfront payments that are paid or received, typically for non-centrally cleared swaps, are recorded as other assets or other liabilities, respectively, net of amortization. For financial reporting purposes, unamortized upfront payments, if any, are netted with unrealized appreciation or depreciation on swap contracts to determine the market value of swaps as presented in Notes 5 and 8. The Portfolio segregates assets in the form of
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Emerging Markets Local Income Portfolio
April 30, 2018
Notes to Financial Statements (Unaudited) — 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. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP.
P Total Return Swaps — In a total return swap, the buyer receives a periodic return equal to the total return of a specified security, securities or index for a specified period of time. In return, the buyer pays the counterparty a fixed or variable stream of payments, typically based upon short-term interest rates, possibly plus or minus an agreed upon spread. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains and losses. Periodic payments received or made are recorded as realized gains or losses. The Portfolio is exposed to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of exchange rates, interest rates, securities, or the index.
Q Interim Financial Statements — The interim financial statements relating to April 30, 2018 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Portfolio’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
2 Investment Adviser Fee and Other Transactions with Affiliates
The investment adviser fee is earned by Boston Management and Research (BMR), a subsidiary of EVM, as compensation for investment advisory services rendered to the Portfolio. The fee is computed at an annual rate of 0.650% of the Portfolio’s average daily net assets up to $1 billion, 0.625% from $1 billion but less than $2 billion, 0.600% from $2 billion but less than $5 billion, and 0.575% of average daily net assets of $5 billion or more, and is payable monthly. For the six months ended April 30, 2018, the Portfolio’s investment adviser fee amounted to $2,429,261 or 0.65% (annualized) of the Portfolio’s average daily net assets. The Portfolio invests its cash in Cash Reserves Fund. EVM does not currently receive a fee for advisory services provided to Cash Reserves Fund.
Trustees and officers of the Portfolio who are members of EVM’s or BMR’s organizations receive remuneration for their services to the Portfolio out of the investment adviser fee. Trustees of the Portfolio who are not affiliated with the investment adviser may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the six months ended April 30, 2018, no significant amounts have been deferred. Certain officers and Trustees of the Portfolio are officers of the above organizations.
3 Purchases and Sales of Investments
Purchases and sales of investments, other than short-term obligations and including maturities and paydowns, aggregated $122,366,627 and $82,465,700, respectively, for the six months ended April 30, 2018.
4 Federal Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts of the Portfolio at April 30, 2018, as determined on a federal income tax basis, were as follows:
Aggregate cost | $ | 848,879,689 | ||
Gross unrealized appreciation | $ | 36,075,816 | ||
Gross unrealized depreciation | (68,043,169 | ) | ||
Net unrealized depreciation | $ | (31,967,353 | ) |
5 Financial Instruments
The Portfolio may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include written options, forward foreign currency exchange contracts, non-deliverable bond forward 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 April 30, 2018 is included in the Portfolio of Investments. At April 30, 2018, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.
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Notes to Financial Statements (Unaudited) — continued
In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:
Credit Risk: The Portfolio enters into credit default swap contracts to manage certain investment risks and/or to enhance total return.
Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts, currency options, total return swaps and cross-currency swaps to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.
Interest Rate Risk: The Portfolio utilizes various interest rate derivatives including non-deliverable bond forward contracts, interest rate futures contracts, interest rate swaps and cross-currency swaps to enhance total return, to seek to hedge against fluctuations in interest rates and/or to change the effective duration of its portfolio.
The Portfolio enters into over-the-counter (OTC) derivatives that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Portfolio’s net assets below a certain level over a certain period of time, which would trigger a payment by the Portfolio for those derivatives in a liability position. At April 30, 2018, the fair value of derivatives with credit-related contingent features in a net liability position was $28,233,261. The aggregate fair value of assets pledged as collateral by the Portfolio for such liability was $18,502,251 at April 30, 2018.
The OTC derivatives in which the Portfolio invests (except for written options, as the Portfolio, not the counterparty is obligated to perform) are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. To mitigate this risk, the Portfolio has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with substantially all its derivative counterparties. An ISDA Master Agreement is a bilateral agreement between the Portfolio and a counterparty that governs certain OTC derivatives and typically contains, among other things, set-off provisions in the event of a default and/or termination event as defined under the relevant ISDA Master Agreement. Under an ISDA Master Agreement, the Portfolio may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy or insolvency. Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Portfolio’s net assets decline by a stated percentage or the Portfolio fails to meet the terms of its ISDA Master Agreements, which would cause the counterparty to accelerate payment by the Portfolio of any net liability owed to it.
The collateral requirements for derivatives traded under an ISDA Master Agreement are governed by a Credit Support Annex to the ISDA Master Agreement. Collateral requirements are determined at the close of business each day and are typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement. Generally, the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of the Portfolio and/or counterparty is held in segregated accounts by the Portfolio’s custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as deposits for derivatives collateral and, in the case of cash pledged by a counterparty for the benefit of the Portfolio, a corresponding liability on the Statement of Assets and Liabilities. Securities pledged by the Portfolio as collateral, if any, are identified as such in the Portfolio of Investments. The carrying amount of the liability for cash collateral due to brokers at April 30, 2018 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 8) at April 30, 2018.
The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at April 30, 2018 was as follows:
Fair Value | ||||||||||||||||
Statement of Assets and Liabilities Caption | Credit | Foreign Exchange | Interest Rate | Total | ||||||||||||
Unaffiliated Investments, at value | $ | — | $ | 16,904 | $ | — | $ | 16,904 | ||||||||
Net unrealized depreciation* | 1,830 | — | 3,755,814 | 3,757,644 | ||||||||||||
Receivable for open forward foreign currency exchange contracts | — | 10,644,701 | — | 10,644,701 | ||||||||||||
Receivable/payable for open swap contracts; Premium paid/received on open non-centrally cleared swap contracts | 32,406 | 24,523 | 7,947,936 | 8,004,865 | ||||||||||||
Receivable for open non-deliverable bond forward contracts | — | — | 290,120 | 290,120 | ||||||||||||
Total Asset Derivatives | $ | 34,236 | $ | 10,686,128 | $ | 11,993,870 | $ | 22,714,234 | ||||||||
Derivatives not subject to master netting or similar agreements | $ | 1,830 | $ | — | $ | 3,755,814 | $ | 3,757,644 | ||||||||
Total Asset Derivatives subject to master netting or similar agreements | $ | 32,406 | $ | 10,686,128 | $ | 8,238,056 | $ | 18,956,590 |
42 |
Emerging Markets Local Income Portfolio
April 30, 2018
Notes to Financial Statements (Unaudited) — continued
Fair Value | ||||||||||||||||
Statement of Assets and Liabilities Caption | Credit | Foreign Exchange | Interest Rate | Total | ||||||||||||
Written options outstanding, at value | $ | — | $ | (16,904 | ) | $ | — | $ | (16,904 | ) | ||||||
Net unrealized depreciation* | (1,744 | ) | — | (3,803,756 | ) | (3,805,500 | ) | |||||||||
Payable for open forward foreign currency exchange contracts | — | (16,859,321 | ) | — | (16,859,321 | ) | ||||||||||
Payable/receivable for open swap contracts; Premium paid/received on open non-centrally cleared swap contracts | (88,940 | ) | (325,284 | ) | (10,942,812 | ) | (11,357,036 | ) | ||||||||
Total Liability Derivatives | $ | (90,684 | ) | $ | (17,201,509 | ) | $ | (14,746,568 | ) | $ | (32,038,761 | ) | ||||
Derivatives not subject to master netting or similar agreements | $ | (1,744 | ) | $ | — | $ | (3,803,756 | ) | $ | (3,805,500 | ) | |||||
Total Liability Derivatives subject to master netting or similar agreements | $ | (88,940 | ) | $ | (17,201,509 | ) | $ | (10,942,812 | ) | $ | (28,233,261 | ) |
* | For futures contracts and centrally cleared swap contracts, amount represents value as shown in the Portfolio of Investments. Only the current day’s variation margin on open futures contracts and centrally cleared swap contracts is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open financial futures contracts and centrally cleared swap contracts, as applicable. |
The Portfolio’s derivative assets and liabilities at fair value by risk, which are reported gross in the Statement of Assets and Liabilities, are presented in the table above. The following tables present the Portfolio’s derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement and net of the related collateral received by the Portfolio for such assets and pledged by the Portfolio for such liabilities as of April 30, 2018.
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral | Net Amount of Derivative Assets(b) | Total Cash Collateral Received | ||||||||||||||||||
Bank of America, N.A. | $ | 2,833,216 | $ | (2,046,383 | ) | $ | — | $ | (786,833 | ) | $ | — | $ | 988,000 | ||||||||||
Barclays Bank PLC | 981,609 | (38,992 | ) | — | (810,000 | ) | 132,617 | 810,000 | ||||||||||||||||
BNP Paribas | 2,753,970 | (1,417,352 | ) | (1,302,924 | ) | — | 33,694 | — | ||||||||||||||||
Citibank, N.A. | 953,784 | (953,784 | ) | — | — | — | — | |||||||||||||||||
Credit Agricole Corporate and Investment Bank | 498,392 | (498,392 | ) | — | — | — | — | |||||||||||||||||
Credit Suisse International | 462,435 | (418,624 | ) | — | (43,811 | ) | — | 150,000 | ||||||||||||||||
Deutsche Bank AG | 2,130,996 | (2,130,996 | ) | — | — | — | — | |||||||||||||||||
Goldman Sachs International | 1,524,258 | (1,524,258 | ) | — | — | — | — | |||||||||||||||||
HSBC Bank USA, N.A. | 131,245 | (16,434 | ) | (114,811 | ) | — | — | — | ||||||||||||||||
JPMorgan Chase Bank, N.A. | 943,889 | (908,337 | ) | (35,552 | ) | — | — | — | ||||||||||||||||
Morgan Stanley & Co. International PLC | 2,301,083 | — | (2,301,083 | ) | — | — | — | |||||||||||||||||
Nomura International PLC | 719,568 | (23,747 | ) | (646,155 | ) | — | 49,666 | — | ||||||||||||||||
Standard Chartered Bank | 2,714,417 | (2,714,417 | ) | — | — | — | — | |||||||||||||||||
State Street Bank and Trust Company | 4,177 | (4,177 | ) | — | — | — | — | |||||||||||||||||
UBS AG | 3,551 | (3,551 | ) | — | — | — | — | |||||||||||||||||
$ | 18,956,590 | $ | (12,699,444 | ) | $ | (4,400,525 | ) | $ | (1,640,644 | ) | $ | 215,977 | $ | 1,948,000 |
43 |
Emerging Markets Local Income Portfolio
April 30, 2018
Notes to Financial Statements (Unaudited) — continued
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(c) | Total Cash Collateral Pledged | ||||||||||||||||||
Bank of America, N.A. | $ | (2,046,383 | ) | $ | 2,046,383 | $ | — | $ | — | $ | — | $ | — | |||||||||||
Barclays Bank PLC | (38,992 | ) | 38,992 | — | — | — | — | |||||||||||||||||
BNP Paribas | (1,417,352 | ) | 1,417,352 | — | — | — | — | |||||||||||||||||
Citibank, N.A. | (1,061,167 | ) | 953,784 | 107,383 | — | — | — | |||||||||||||||||
Credit Agricole Corporate and Investment Bank | (2,648,657 | ) | 498,392 | 1,623,364 | — | (526,901 | ) | — | ||||||||||||||||
Credit Suisse International | (418,624 | ) | 418,624 | — | — | — | — | |||||||||||||||||
Deutsche Bank AG | (5,920,696 | ) | 2,130,996 | 3,581,835 | — | (207,865 | ) | — | ||||||||||||||||
Goldman Sachs International | (9,012,459 | ) | 1,524,258 | 7,488,201 | — | — | — | |||||||||||||||||
HSBC Bank USA, N.A. | (16,434 | ) | 16,434 | — | — | — | — | |||||||||||||||||
JPMorgan Chase Bank, N.A. | (908,337 | ) | 908,337 | — | — | — | — | |||||||||||||||||
Nomura International PLC | (23,747 | ) | 23,747 | — | — | — | — | |||||||||||||||||
Societe Generale | (280,177 | ) | — | 201,857 | — | (78,320 | ) | — | ||||||||||||||||
Standard Chartered Bank | (4,353,353 | ) | 2,714,417 | 1,638,936 | — | — | — | |||||||||||||||||
State Street Bank and Trust Company | (5,364 | ) | 4,177 | — | — | (1,187 | ) | — | ||||||||||||||||
UBS AG | (81,519 | ) | 3,551 | 77,968 | — | — | — | |||||||||||||||||
$ | (28,233,261 | ) | $ | 12,699,444 | $ | 14,719,544 | $ | — | $ | (814,273 | ) | $ | — | |||||||||||
Total — Deposits for derivatives collateral — OTC derivatives |
| $ | 1,948,000 |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations by risk exposure for the six months ended April 30, 2018 was as follows:
Statement of Operations Caption | Credit | Foreign Exchange | Interest Rate | |||||||||
Net realized gain (loss) — | $ | — | $ | (73,005 | ) | $ | — | |||||
Written options | — | 217,597 | — | |||||||||
Financial futures contracts | — | — | 1,196,430 | |||||||||
Swap contracts | 62,413 | 343,200 | 372,128 | |||||||||
Forward foreign currency exchange contracts | — | 6,543,657 | — | |||||||||
Non-deliverable bond forward contracts | — | — | 753,338 | |||||||||
Total | $ | 62,413 | $ | 7,031,449 | $ | 2,321,896 | ||||||
Change in unrealized appreciation (depreciation) — | $ | — | $ | 53,386 | $ | — | ||||||
Written options | — | (57,795 | ) | — | ||||||||
Financial futures contracts | — | — | (37,444 | ) | ||||||||
Swap contracts | (82,585 | ) | (300,761 | ) | 174,087 | |||||||
Forward foreign currency exchange contracts | — | (2,192,027 | ) | — | ||||||||
Non-deliverable bond forward contracts | — | — | 322,151 | |||||||||
Total | $ | (82,585 | ) | $ | (2,497,197 | ) | $ | 458,794 |
44 |
Emerging Markets Local Income Portfolio
April 30, 2018
Notes to Financial Statements (Unaudited) — continued
The average notional cost of futures contracts and average notional amounts of other derivative contracts outstanding during the six months ended April 30, 2018, which are indicative of the volume of these derivative types, were approximately as follows:
Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* | Non-deliverable Bond Forward Contracts | Swap Contracts | |||||||||||
$37,641,000 | $ | 1,109,072,000 | $ | 34,829,000 | $ | 703,769,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
The average principal amount of purchased currency options contracts and written currency options contracts outstanding during the six months ended April 30, 2018, which are indicative of the volume of these derivative types, were approximately $23,664,000 and $20,212,000, respectively.
6 Line of Credit
The Portfolio participates with other portfolios and funds managed by EVM and its affiliates in a $625 million unsecured line of credit agreement with a group of banks, which is in effect through October 30, 2018. Borrowings are made by the Portfolio solely to facilitate the handling of unusual and/or unanticipated short-term cash requirements. Interest is charged to the Portfolio based on its borrowings at an amount above either the Eurodollar rate or Federal Funds rate. In addition, a fee computed at an annual rate of 0.15% on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. Because the line of credit is not available exclusively to the Portfolio, it may be unable to borrow some or all of its requested amounts at any particular time. The Portfolio did not have any significant borrowings or allocated fees during the six months ended April 30, 2018.
7 Risks Associated with Foreign Investments
The Portfolio’s investments in foreign instruments can be adversely affected by changes in currency exchange rates and political, economic and market developments abroad. In emerging or less developed countries, these risks can be more significant. Investment markets in emerging market countries are typically substantially smaller, less liquid and more volatile than the major markets in developed countries. Emerging market countries may have relatively unstable governments and economies. Emerging market investments often are subject to speculative trading, which typically contributes to volatility.
The Portfolio may have difficulties enforcing its legal or contractual rights in a foreign country. Economic data as reported by foreign governments and other issuers may be delayed, inaccurate or fraudulent. In the event of a default by a sovereign entity, there are typically no assets to be seized or cash flows to be attached. Furthermore, the willingness or ability of a foreign government to renegotiate defaulted debt may be limited.
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.
45 |
Emerging Markets Local Income Portfolio
April 30, 2018
Notes to Financial Statements (Unaudited) — continued
At April 30, 2018, the hierarchy of inputs used in valuing the Portfolio’s investments and open derivative instruments, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Foreign Government Bonds | $ | — | $ | 437,328,961 | $ | — | $ | 437,328,961 | ||||||||
Foreign Corporate Bonds | — | 11,069,001 | — | 11,069,001 | ||||||||||||
Sovereign Loans | — | 6,321,672 | — | 6,321,672 | ||||||||||||
Short-Term Investments — | ||||||||||||||||
Foreign Government Securities | — | 251,668,113 | — | 251,668,113 | ||||||||||||
U.S. Treasury Obligations | — | 18,791,068 | — | 18,791,068 | ||||||||||||
Other | — | 100,919,564 | — | 100,919,564 | ||||||||||||
Purchased Currency Options | — | 16,904 | — | 16,904 | ||||||||||||
Total Investments | $ | — | $ | 826,115,283 | $ | — | $ | 826,115,283 | ||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 10,644,701 | $ | — | $ | 10,644,701 | ||||||||
Non-deliverable Bond Forward Contracts | — | 290,120 | — | 290,120 | ||||||||||||
Futures Contracts | 168,351 | — | — | 168,351 | ||||||||||||
Swap Contracts | — | 11,594,158 | — | 11,594,158 | ||||||||||||
Total | $ | 168,351 | $ | 848,644,262 | $ | — | $ | 848,812,613 | ||||||||
Liability Description | ||||||||||||||||
Written Currency Options | $ | — | $ | (16,904 | ) | $ | — | $ | (16,904 | ) | ||||||
Forward Foreign Currency Exchange Contracts | — | (16,859,321 | ) | — | (16,859,321 | ) | ||||||||||
Swap Contracts | — | (15,162,536 | ) | — | (15,162,536 | ) | ||||||||||
Total | $ | — | $ | (32,038,761 | ) | $ | — | $ | (32,038,761 | ) |
At April 30, 2018, there were no investments transferred between Level 1 and Level 2 during the six months then ended.
46 |
Eaton Vance
Emerging Markets Local Income Fund
April 30, 2018
Board of Trustees’ Contract Approval
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended (the “1940 Act”), provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of trustees, including by a vote of a majority of the trustees who are not “interested persons” of the fund (“Independent Trustees”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees (each a “Board”) of the registered investment companies advised by either Eaton Vance Management or its affiliate, Boston Management and Research, (the “Eaton Vance Funds”) held on April 24, 2018, the Board, including a majority of the Independent Trustees, voted to approve continuation of existing investment advisory and sub-advisory agreements for the Eaton Vance Funds for an additional one-year period. In voting its approval, the Board relied upon the affirmative recommendation of its Contract Review Committee, which is a committee comprised exclusively of Independent Trustees. Prior to making its recommendation, the Contract Review Committee reviewed information furnished by each adviser to the Eaton Vance Funds (including information specifically requested by the Board) for a series of meetings of the Contract Review Committee held between February and April 2018. The Contract Review Committee also considered information received at prior meetings of the Board and its committees, as relevant to its annual evaluation of the investment advisory and sub-advisory agreements.
The information that the Board considered included, among other things, the following (for funds that invest through one or more underlying portfolio(s), references to “each fund” in this section may include information that was considered at the portfolio-level):
Information about Fees, Performance and Expenses
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds as identified by the independent data provider (“comparable funds”); |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund (including, where relevant, yield data, Sharpe ratios and information ratios) to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices, as well as customized groups of peer funds and blended indices identified by the adviser in consultation with the Board; |
• | For each fund, comparative information concerning the fees charged and the services provided by each adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for each adviser with respect to each fund; |
Information about Portfolio Management and Trading
• | Descriptions of the investment management services provided to each fund, including the fund’s investment strategies and policies; |
• | The procedures and processes used to determine the fair value of fund assets and actions taken to monitor and test the effectiveness of such procedures and processes; |
• | Information about each adviser’s policies and practices with respect to trading, including each adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by each adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
• | Data relating to portfolio turnover rates of each fund; |
Information about each Adviser
• | Reports detailing the financial results and condition of each adviser; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their responsibilities with respect to managing other mutual funds and investment accounts; |
• | The Code of Ethics of each adviser and its affiliates, together with information relating to compliance with and the administration of such codes; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | Information concerning the resources devoted to compliance efforts undertaken by each adviser and its affiliates (including descriptions of various compliance programs) and their record of compliance; |
• | Information concerning the business continuity and disaster recovery plans of each adviser and its affiliates; |
• | A description of Eaton Vance Management’s procedures for overseeing third party advisers and sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
47 |
Eaton Vance
Emerging Markets Local Income Fund
April 30, 2018
Board of Trustees’ Contract Approval — continued
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by Eaton Vance Management and its affiliates; |
• | Information concerning management of the relationship with the custodian, subcustodians and fund accountants by each adviser or the funds’ administrator; and |
• | The terms of each investment advisory agreement. |
Over the course of the twelve-month period ended April 30, 2018, with respect to one or more funds, the Board met seven times and the Contract Review Committee, the Audit Committee, the Governance Committee, the Portfolio Management Committee and the Compliance Reports and Regulatory Matters Committee, each of which is a Committee comprised solely of Independent Trustees, met seven, thirteen, six, eight and nine times, respectively. At such meetings, the Trustees participated in investment and performance reviews with the portfolio managers and other investment professionals of each investment adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective, such as the use of derivative instruments, as well as risk management techniques. The Board and its Committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, fund governance and other issues with respect to the funds, and received and participated in reports and presentations provided by Eaton Vance Management and other fund advisers with respect to such matters. In addition to the formal meetings of the Board and its Committees, the Independent Trustees hold regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of investment advisory and sub-advisory agreements.
For funds that invest through one or more underlying portfolios, the Board considered similar information about the portfolio(s) when considering the approval of investment advisory agreements. In addition, in cases where the fund’s investment adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any sub-advisory agreement.
The Contract Review Committee was assisted throughout the contract review process by Goodwin Procter LLP, independent legal counsel for the Independent Trustees. The members of the Contract Review Committee relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and sub-advisory agreement and the weight to be given to each such factor. The conclusions reached with respect to each investment advisory and sub-advisory agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each member of the Contract Review Committee may have placed varying emphasis on particular factors in reaching conclusions with respect to each investment advisory and sub-advisory agreement. In evaluating each investment advisory and sub-advisory agreement, including the specific fee structures and other terms of the agreements, the Contract Review Committee was informed by multiple years of analysis and discussion among the Independent Trustees and the Eaton Vance Funds’ advisers and sub-advisers.
Results of the Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Contract Review Committee concluded that the continuation of the investment advisory agreement of Eaton Vance Emerging Markets Local Income Fund (the “Fund”) with Eaton Vance Management (“EVM”), as well as the investment advisory agreement of Emerging Markets Local Income Portfolio (the “Portfolio”), the portfolio in which the Fund invests, with Boston Management and Research (“BMR”) (EVM, with respect to the Fund, and BMR, with respect to the Portfolio, are each referred to herein as the “Adviser”), including their fee structures, is in the interests of shareholders and, therefore, the Contract Review Committee recommended to the Board approval of each agreement. The Board accepted the recommendation of the Contract Review Committee based on the material factors considered and conclusions reached by the Contract Review Committee with respect to the agreements. Accordingly, the Board, including a majority of the Independent Trustees, voted to approve continuation of the investment advisory agreements for the Fund and the Portfolio.
Nature, Extent and Quality of Services
In considering whether to approve the investment advisory agreements of the Fund and the Portfolio, the Board evaluated the nature, extent and quality of services provided to the Fund and the Portfolio by the applicable Adviser.
The Board considered each Adviser’s management capabilities and investment process with respect to the types of investments held by the Fund and the Portfolio, including the education, experience and number of its investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund and the Portfolio. The Board considered the Adviser’s expertise with respect to emerging markets and in-house research capabilities. The Board also took into account the resources dedicated to portfolio management and other services, as well as the compensation methods of each Adviser and other factors, such as the reputation and resources of the Adviser to recruit and retain highly qualified research, advisory and supervisory investment professionals. In addition, the Board considered the time and attention devoted to the Eaton Vance Funds, including the Fund and the Portfolio, by senior management, as well as the infrastructure, operational capabilities and support staff in place to assist in the portfolio management and operations of the Fund and the Portfolio, including the provision of administrative services. The Board also considered the business-related and other risks to which each Adviser or its affiliates may be subject in managing the Fund and the Portfolio.
48 |
Eaton Vance
Emerging Markets Local Income Fund
April 30, 2018
Board of Trustees’ Contract Approval — continued
The Board noted that under the terms of the investment advisory agreement of the Fund, EVM may invest assets of the Fund directly in securities, for which it would receive a fee, or in the Portfolio, for which it receives no separate fee but for which BMR receives an advisory fee from the Portfolio. The Trustees considered the potential benefits to the Fund of the ability to make direct investments, such as an improved ability to: gain exposure to sectors of the market EVM believes may not be represented or underrepresented by the Portfolio; to hedge certain Portfolio exposures; and/or to otherwise manage the exposures of the Fund.
The Board considered the compliance programs of each Adviser and relevant affiliates thereof. Among other matters, the Board considered compliance and reporting matters relating to personal trading by investment professionals, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity and the allocation of investment opportunities. The Board also considered the responses of each Adviser and its affiliates to requests in recent years from regulatory authorities such as the Securities and Exchange Commission and the Financial Industry Regulatory Authority.
The Board considered shareholder and other administrative services provided or managed by Eaton Vance Management and its affiliates, including transfer agency and accounting services. The Board evaluated the benefits to shareholders of investing in a fund that is a part of a large fund complex offering exposure to a variety of asset classes and investment disciplines, as well as the ability, in many cases, to exchange an investment among different funds without incurring additional sales charges.
After consideration of the foregoing factors, among others, the Board concluded that the nature, extent and quality of services provided by each Adviser, taken as a whole, are appropriate and consistent with the terms of the applicable investment advisory agreement.
Fund Performance
The Board compared the Fund’s investment performance to that of comparable funds and appropriate benchmark indices. The Board’s review included comparative performance data for the one-, three-, five- and ten-year periods ended September 30, 2017 for the Fund. In this regard, the Board noted that the performance of the Fund was higher than the median performance of the Fund’s peer group for the three-year period. The Board also noted that the performance of the Fund was higher than its primary benchmark index for the three-year period. The Board concluded that the performance of the Fund was satisfactory.
Management Fees and Expenses
The Board considered contractual fee rates payable by the Portfolio and by the Fund for advisory and administrative services (referred to collectively as “management fees”). As part of its review, the Board considered the Fund’s management fees and total expense ratio for the one year period ended September 30, 2017, as compared to those of comparable funds, before and after giving effect to any undertaking to waive fees or reimburse expenses. The Board also received and considered information about the services offered and the fee rates charged by the Adviser to other types of clients with investment objectives and strategies that are substantially similar to and/or managed in a similar investment style as the Portfolio. In this regard, the Board received information about the differences in the nature and scope of services the Adviser provides to the Portfolio as compared to other types of clients and the material differences in compliance, reporting and other legal burdens and risks to the Adviser as between the Portfolio and other types of clients. The Board also considered factors that had an impact on Fund expense ratios relative to comparable funds.
After considering the foregoing information, and in light of the nature, extent and quality of the services provided by each Adviser, the Board concluded that the management fees charged for advisory and related services are reasonable.
Profitability and Other “Fall-Out” Benefits
The Board considered the level of profits realized by each Adviser and relevant affiliates thereof in providing investment advisory and administrative services to the Fund, to the Portfolio and to all Eaton Vance Funds as a group. The Board considered the level of profits realized without regard to marketing support or other payments by each Adviser and its affiliates to third parties in respect of distribution services. The Board also considered other direct or indirect fall-out benefits received by each Adviser and its affiliates in connection with their relationships with the Fund and the Portfolio, including the benefits of research services that may be available to each Adviser as a result of securities transactions effected for the Fund and the Portfolio and other investment advisory clients.
The Board concluded that, in light of the foregoing factors and the nature, extent and quality of the services rendered, the profits realized by each Adviser and its affiliates are deemed not to be excessive.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the applicable Adviser and its affiliates, on the one hand, and the Fund and the Portfolio , on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and the Portfolio increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from economies of scale, if any, with respect to the management of any specific fund or group of funds. The Board reviewed data summarizing the increases and decreases in the assets of the Fund and of all Eaton Vance Funds as a group over various time periods, and evaluated the extent to which the total expense ratio of the Fund and the profitability of each
49 |
Eaton Vance
Emerging Markets Local Income Fund
April 30, 2018
Board of Trustees’ Contract Approval — continued
Adviser and its affiliates may have been affected by such increases or decreases. Based upon the foregoing, the Board concluded that the Fund currently shares in any benefits from economies of scale. The Board also concluded that, assuming reasonably foreseeable increases in the assets of the Fund and the Portfolio, the structure of the advisory fees, which include breakpoints at several asset levels, will allow the Fund and the Portfolio to continue to benefit from any economies of scale in the future.
50 |
Eaton Vance
Emerging Markets Local Income Fund
April 30, 2018
Officers and Trustees
Officers of Eaton Vance Emerging Markets Local Income Fund
Payson F. Swaffield
President
Maureen A. Gemma
Vice President, Secretary and
Chief Legal Officer
James F. Kirchner
Treasurer
Richard F. Froio
Chief Compliance Officer
Officers of Emerging Markets Local Income Portfolio
Payson F. Swaffield
President
Maureen A. Gemma
Vice President, Secretary and
Chief Legal Officer
James F. Kirchner
Treasurer
Richard F. Froio
Chief Compliance Officer
Trustees of Eaton Vance Emerging Markets Local Income Fund and Emerging Markets Local Income Portfolio
William H. Park
Chairperson
Thomas E. Faust Jr.*
Mark R. Fetting
Cynthia E. Frost
George J. Gorman
Valerie A. Mosley
Helen Frame Peters
Susan J. Sutherland
Harriett Tee Taggart
Scott E. Wennerholm
* | Interested Trustee |
51 |
Eaton Vance Funds
IMPORTANT NOTICES
Privacy. The Eaton Vance organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Eaton Vance fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Eaton Vance may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Privacy Policy periodically for changes by accessing the link on our homepage: www.eatonvance.com. |
Our pledge of privacy applies to the following entities within the Eaton Vance organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton Vance Investment Counsel, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Management’s Real Estate Investment Group and Boston Management and Research. In addition, our Privacy Policy applies only to those Eaton Vance customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Eaton Vance’s Privacy Policy, please call 1-800-262-1122.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Eaton Vance, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Eaton Vance, or your financial advisor, otherwise. If you would prefer that your Eaton Vance documents not be householded, please contact Eaton Vance at 1-800-262-1122, or contact your financial advisor. Your instructions that householding not apply to delivery of your Eaton Vance documents will typically be effective within 30 days of receipt by Eaton Vance or your financial advisor.
Portfolio Holdings. Each Eaton Vance Fund and its underlying Portfolio(s) (if applicable) will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Eaton Vance website at www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. From time to time, funds are required to vote proxies related to the securities held by the funds. The Eaton Vance Funds or their underlying Portfolios (if applicable) vote proxies according to a set of policies and procedures approved by the Funds’ and Portfolios’ Boards. You may obtain a description of these policies and procedures and information on how the Funds or Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge, upon request, by calling 1-800-262-1122 and by accessing the SEC’s website at www.sec.gov.
52 |
Investment Adviser of Emerging Markets Local Income Portfolio
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
Two International Place
Boston, MA 02110
Principal Underwriter*
Eaton Vance Distributors, Inc.
Two International Place
Boston, MA 02110
(617) 482-8260
Custodian
State Street Bank and Trust Company
State Street Financial Center, One Lincoln Street
Boston, MA 02111
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
Attn: Eaton Vance Funds
P.O. Box 9653
Providence, RI 02940-9653
(800) 262-1122
Fund Offices
Two International Place
Boston, MA 02110
* | FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org. |
7756 4.30.18
Item 2. Code of Ethics
Not required in this filing.
Item 3. Audit Committee Financial Expert
Not required in this filing.
Item 4. Principal Accountant Fees and Services
Not required in this filing.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
No material changes.
Item 11. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits
(a)(1) | Registrant’s Code of Ethics – Not applicable (please see Item 2). | |
(a)(2)(i) | Treasurer’s Section 302 certification. | |
(a)(2)(ii) | President’s Section 302 certification. | |
(b) | Combined Section 906 certification. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Emerging Markets Local Income Portfolio
| ||
By: | /s/ Payson F. Swaffield | |
Payson F. Swaffield | ||
President | ||
Date: | June 21, 2018 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer | ||
Date: | June 21, 2018 | |
By: | /s/ Payson F. Swaffield | |
Payson F. Swaffield | ||
President | ||
Date: | June 21, 2018 |