International Income Portfolio
January 31, 2021
PORTFOLIO OF INVESTMENTS (Unaudited)
Foreign Corporate Bonds — 3.6%
Security | Principal Amount (000’s omitted) | Value | ||||||
Iceland — 3.6% |
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Arion Banki HF, 6.00%, 4/12/24 (1) | ISK | 100,000 | $ | 860,574 | ||||
Islandsbanki HF, 6.40%, 10/26/23 | ISK | 40,000 | 343,826 | |||||
Landsbankinn HF, 5.00%, 11/23/23 (1) | ISK | 120,000 | 995,374 | |||||
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Total Iceland |
| $ | 2,199,774 | |||||
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Total Foreign Corporate Bonds |
| $ | 2,199,774 | |||||
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Foreign Government Bonds — 39.8% |
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Security | Principal Amount (000’s omitted) | Value | ||||||
Australia — 6.7% |
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Australian Capital Territory, 1.25%, 5/22/25 (1) | AUD | 2,350 | $ | 1,869,214 | ||||
New South Wales Treasury Corp., 4.00%, 5/20/26 (1) | AUD | 2,500 | 2,258,696 | |||||
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Total Australia |
| $ | 4,127,910 | |||||
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Bahrain — 0.9% |
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Kingdom of Bahrain, 7.00%, 10/12/28 (1) | USD | 500 | $ | 580,097 | ||||
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Total Bahrain |
| $ | 580,097 | |||||
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Egypt — 2.2% |
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Arab Republic of Egypt, 8.875%, 5/29/50 (1) | USD | 1,200 | $ | 1,362,648 | ||||
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Total Egypt |
| $ | 1,362,648 | |||||
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Georgia — 0.2% |
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Georgia Treasury Bond, 7.00%, 5/30/24 | GEL | 430 | $ | 126,190 | ||||
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Total Georgia |
| $ | 126,190 | |||||
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Iceland — 3.8% |
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Republic of Iceland, 5.00%, 11/15/28 | ISK | 59,300 | $ | 519,529 | ||||
Republic of Iceland, 6.50%, 1/24/31 | ISK | 184,200 | 1,811,857 | |||||
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Total Iceland |
| $ | 2,331,386 | |||||
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Indonesia — 6.7% |
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Indonesia Government Bond, 7.00%, 9/15/30 | IDR | 13,850,000 | $ | 1,038,197 | ||||
Indonesia Government Bond, 7.50%, 6/15/35 | IDR | 35,000,000 | 2,663,892 | |||||
Indonesia Government International Bond, 3.85%, 10/15/30 | USD | 375 | 434,087 | |||||
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Total Indonesia |
| $ | 4,136,176 | |||||
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1
Security | Principal Amount (000’s omitted) | Value | ||||||
Mongolia — 0.4% |
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Mongolia Government International Bond, 5.125%, 4/7/26 (1) | USD | 200 | $ | 214,484 | ||||
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Total Mongolia |
| $ | 214,484 | |||||
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New Zealand — 4.6% |
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New Zealand Government Bond, 3.00%, 9/20/30 (1)(2) | NZD | 2,932 | $ | 2,827,109 | ||||
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Total New Zealand |
| $ | 2,827,109 | |||||
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Philippines — 2.3% |
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Republic of the Philippines, 2.95%, 5/5/45 | USD | 500 | $ | 519,140 | ||||
Republic of the Philippines, 6.25%, 1/14/36 | PHP | 34,000 | 914,136 | |||||
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Total Philippines |
| $ | 1,433,276 | |||||
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Romania — 1.1% |
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Romania Government International Bond, 3.375%, 1/28/50 (1) | EUR | 500 | $ | 685,089 | ||||
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Total Romania |
| $ | 685,089 | |||||
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Serbia — 7.5% |
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Serbia Treasury Bond, 5.875%, 2/8/28 | RSD | 370,200 | $ | 4,617,838 | ||||
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Total Serbia |
| $ | 4,617,838 | |||||
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Ukraine — 3.4% |
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Ukraine Government International Bond, 15.84%, 2/26/25 | UAH | 53,710 | $ | 2,117,812 | ||||
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Total Ukraine |
| $ | 2,117,812 | |||||
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Total Foreign Government Bonds |
| $ | 24,560,015 | |||||
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Mortgage Pass-Throughs — 5.4% | ||||||||
Security | Principal Amount | Value | ||||||
Federal National Mortgage Association: | ||||||||
2.00%, 30-Year, TBA(3) | $ | 3,000,000 | $ | 3,097,645 | ||||
3.902%, (COF + 1.78%), with maturity at 2035(4) | 226,416 | 239,072 | ||||||
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$ | 3,336,717 | |||||||
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Total Mortgage Pass-Throughs | $ | 3,336,717 | ||||||
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2
Short-Term Investments — 48.3% | ||||||||
Foreign Government Securities — 4.0% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
Egypt — 4.0% | ||||||||
Egypt Treasury Bill, 0.00%, 4/6/21 | EGP | 14,600 | $ | 918,111 | ||||
Egypt Treasury Bill, 0.00%, 5/25/21 | EGP | 10,050 | 615,417 | |||||
Egypt Treasury Bill, 0.00%, 7/13/21 | EGP | 7,325 | 442,516 | |||||
Egypt Treasury Bill, 0.00%, 10/12/21 | EGP | 7,750 | 453,796 | |||||
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Total Egypt | $ | 2,429,840 | ||||||
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Georgia — 0.0%(5) | ||||||||
Georgia Treasury Bill, 0.00%, 12/9/21 | GEL | 36 | $ | 10,205 | ||||
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Total Georgia | $ | 10,205 | ||||||
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Total Foreign Government Securities | $ | 2,440,045 | ||||||
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U.S. Treasury Obligations — 40.5% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
U.S. Treasury Bill, 0.00%, 2/4/21 | $ | 6,000 | $ | 5,999,986 | ||||
U.S. Treasury Bill, 0.00%, 3/25/21 | 9,000 | 8,999,415 | ||||||
U.S. Treasury Bill, 0.00%, 4/29/21 | 10,000 | 9,998,852 | ||||||
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Total U.S. Treasury Obligations | $ | 24,998,253 | ||||||
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Other — 3.8% |
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Description | Units | Value | ||||||
Eaton Vance Cash Reserves Fund, LLC, 0.11%(6) | 2,348,106 | $ | 2,348,106 | |||||
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Total Other | $ | 2,348,106 | ||||||
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Total Short-Term Investments | $ | 29,786,404 | ||||||
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Total Purchased Options — 0.1% | $ | 38,350 | ||||||
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Total Investments — 97.2% | $ | 59,921,260 | ||||||
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Other Assets, Less Liabilities — 2.8% | $ | 1,722,496 | ||||||
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Net Assets — 100.0% | $ | 61,643,756 | ||||||
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3
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
(1) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, 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, as amended. At January 31, 2021, the aggregate value of these securities is $11,653,285 or 18.9% of the Portfolio’s net assets. |
(2) | Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal. |
(3) | TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement. |
(4) | Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at January 31, 2021. |
(5) | Amount is less than 0.05%. |
(6) | 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 January 31, 2021. |
4
Purchased Call Options — 0.1%
Description | Counterparty | Notional Amount | Spread | Expiration Date | Value | |||||||||||||||
2-year 10 Constant Maturity Swap Curve Cap | Bank of America, N.A. | USD | 23,500,000 | 1.09 | % | 1/4/23 | $ | 38,350 |
Centrally Cleared Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Settlement Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||||
BRL | 1,075,000 | USD | 196,315 | 2/2/21 | $ | 161 | ||||||||||||||
BRL | 1,075,000 | USD | 206,229 | 2/2/21 | (9,753 | ) | ||||||||||||||
USD | 200,595 | BRL | 1,075,000 | 2/2/21 | 4,119 | |||||||||||||||
USD | 196,315 | BRL | 1,075,000 | 2/2/21 | (161 | ) | ||||||||||||||
PEN | 2,739,000 | USD | 757,781 | 2/4/21 | (4,842 | ) | ||||||||||||||
PEN | 4,219,400 | USD | 1,166,508 | 2/4/21 | (6,613 | ) | ||||||||||||||
USD | 379,077 | PEN | 1,369,000 | 2/4/21 | 2,745 | |||||||||||||||
USD | 1,167,354 | PEN | 4,219,400 | 2/4/21 | 7,459 | |||||||||||||||
USD | 378,914 | PEN | 1,370,000 | 2/4/21 | 2,306 | |||||||||||||||
USD | 1,433,172 | NZD | 1,997,285 | 2/5/21 | (2,071 | ) | ||||||||||||||
INR | 35,989,275 | USD | 485,227 | 2/8/21 | 8,059 | |||||||||||||||
INR | 28,534,933 | USD | 384,723 | 2/8/21 | 6,390 | |||||||||||||||
USD | 374,824 | INR | 27,856,927 | 2/8/21 | (6,996 | ) | ||||||||||||||
USD | 9,123 | INR | 678,006 | 2/8/21 | (170 | ) | ||||||||||||||
USD | 893,135 | PHP | 43,000,000 | 2/8/21 | (1,534 | ) | ||||||||||||||
AUD | 1,319,448 | USD | 965,007 | 2/16/21 | 43,460 | |||||||||||||||
USD | 108,256 | NZD | 157,550 | 2/16/21 | (4,959 | ) | ||||||||||||||
JPY | 359,921,501 | USD | 3,470,863 | 2/25/21 | (33,995 | ) | ||||||||||||||
USD | 2,450,000 | JPY | 254,094,523 | 2/25/21 | 23,667 | |||||||||||||||
USD | 209,809 | ZAR | 3,116,090 | 2/25/21 | 4,471 | |||||||||||||||
NZD | 365,456 | USD | 264,196 | 3/2/21 | (1,576 | ) | ||||||||||||||
JPY | 791,027,959 | USD | 7,584,063 | 3/8/21 | (29,703 | ) | ||||||||||||||
INR | 35,010,725 | USD | 470,846 | 3/9/21 | 7,003 | |||||||||||||||
INR | 27,759,067 | USD | 373,322 | �� | 3/9/21 | 5,552 | ||||||||||||||
USD | 375,838 | INR | 27,759,067 | 3/9/21 | (3,036 | ) | ||||||||||||||
COP | 1,477,000,000 | USD | 424,763 | 3/17/21 | (11,567 | ) | ||||||||||||||
MXN | 5,100,000 | USD | 255,849 | 3/17/21 | (8,191 | ) | ||||||||||||||
USD | 27,941 | COP | 96,221,200 | 3/17/21 | 1,023 | |||||||||||||||
USD | 217,258 | COP | 756,000,000 | 3/17/21 | 5,765 | |||||||||||||||
USD | 255,851 | MXN | 5,100,000 | 3/17/21 | 8,193 | |||||||||||||||
ZAR | 6,400,000 | USD | 424,277 | 3/17/21 | (3,720 | ) | ||||||||||||||
IDR | 5,698,075,000 | USD | 400,230 | 3/22/21 | 3,614 | |||||||||||||||
USD | 10,507 | IDR | 150,521,475 | 3/22/21 | (161 | ) | ||||||||||||||
USD | 201,078 | IDR | 2,848,075,000 | 3/22/21 | (775 | ) | ||||||||||||||
AUD | 4,764,246 | USD | 3,672,257 | 3/29/21 | (30,021 | ) | ||||||||||||||
NZD | 510,343 | USD | 366,447 | 3/29/21 | 286 | |||||||||||||||
USD | 5,172,860 | AUD | 6,711,071 | 3/29/21 | 42,289 | |||||||||||||||
USD | 921,004 | AUD | 1,194,876 | 3/29/21 | 7,529 | |||||||||||||||
USD | 188,038 | IDR | 2,699,478,525 | 3/29/21 | (3,139 | ) | ||||||||||||||
JPY | 47,620,464 | USD | 462,521 | 4/6/21 | (7,588 | ) |
5
Currency Purchased | Currency Sold | Settlement Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||||
NZD | 364,515 | USD | 259,959 | 4/6/21 | $ | 1,981 | ||||||||||||||
USD | 2,192,127 | NZD | 3,054,719 | 4/6/21 | (2,993 | ) | ||||||||||||||
USD | 67,171 | NZD | 92,450 | 4/12/21 | 737 | |||||||||||||||
SGD | 4,670,000 | USD | 3,526,485 | 4/26/21 | (11,043 | ) | ||||||||||||||
USD | 513,489 | SGD | 680,000 | 4/26/21 | 1,604 | |||||||||||||||
USD | 219,391 | ZAR | 3,283,910 | 4/26/21 | 4,766 | |||||||||||||||
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$ | 8,572 | |||||||||||||||||||
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Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||||
MYR | 3,544,890 | USD | 878,100 | Barclays Bank PLC | 2/2/21 | $ | — | $ | (1,195 | ) | ||||||||||||||||
MYR | 3,544,890 | USD | 876,537 | Credit Agricole Corporate and Investment Bank | 2/2/21 | 369 | — | |||||||||||||||||||
MYR | 652,728 | USD | 161,399 | Credit Agricole Corporate and Investment Bank | 2/2/21 | 68 | — | |||||||||||||||||||
MYR | 2,229,728 | USD | 534,195 | Morgan Stanley & Co. International PLC | 2/2/21 | 17,377 | — | |||||||||||||||||||
MYR | 1,577,000 | USD | 389,941 | State Street Bank and Trust Company | 2/2/21 | 164 | — | |||||||||||||||||||
USD | 876,537 | MYR | 3,544,890 | Barclays Bank PLC | 2/2/21 | — | (368 | ) | ||||||||||||||||||
USD | 161,287 | MYR | 652,728 | Credit Agricole Corporate and Investment Bank | 2/2/21 | — | (179 | ) | ||||||||||||||||||
USD | 875,930 | MYR | 3,544,890 | Credit Agricole Corporate and Investment Bank | 2/2/21 | — | (975 | ) | ||||||||||||||||||
USD | 551,340 | MYR | 2,229,728 | Morgan Stanley & Co. International PLC | 2/2/21 | — | (232 | ) | ||||||||||||||||||
USD | 388,471 | MYR | 1,577,000 | State Street Bank and Trust Company | 2/2/21 | — | (1,634 | ) | ||||||||||||||||||
USD | 179,992 | COP | 624,778,800 | Standard Chartered Bank | 2/4/21 | 4,945 | — | |||||||||||||||||||
EUR | 21,961,000 | USD | 27,060,783 | Standard Chartered Bank | 2/8/21 | — | (406,634 | ) | ||||||||||||||||||
PLN | 6,600,000 | EUR | 1,466,301 | UBS AG | 2/8/21 | — | (7,756 | ) | ||||||||||||||||||
USD | 1,359,767 | EUR | 1,120,000 | JPMorgan Chase Bank, N.A. | 2/8/21 | 419 | — | |||||||||||||||||||
USD | 4,805,658 | EUR | 3,900,000 | Standard Chartered Bank | 2/8/21 | 72,213 | — | |||||||||||||||||||
USD | 4,729,142 | EUR | 3,837,904 | Standard Chartered Bank | 2/8/21 | 71,063 | — | |||||||||||||||||||
USD | 4,357,653 | EUR | 3,536,425 | Standard Chartered Bank | 2/8/21 | 65,481 | — | |||||||||||||||||||
USD | 2,563,600 | EUR | 2,080,473 | Standard Chartered Bank | 2/8/21 | 38,522 | — | |||||||||||||||||||
USD | 2,313,366 | EUR | 1,877,397 | Standard Chartered Bank | 2/8/21 | 34,762 | — | |||||||||||||||||||
USD | 955,882 | EUR | 775,740 | Standard Chartered Bank | 2/8/21 | 14,364 | — | |||||||||||||||||||
USD | 949,912 | EUR | 770,895 | Standard Chartered Bank | 2/8/21 | 14,274 | — | |||||||||||||||||||
USD | 614,047 | EUR | 498,325 | Standard Chartered Bank | 2/8/21 | 9,227 | — | |||||||||||||||||||
USD | 320,287 | EUR | 259,927 | Standard Chartered Bank | 2/8/21 | 4,813 | — | |||||||||||||||||||
CNH | 4,820,123 | USD | 722,380 | Standard Chartered Bank | 2/9/21 | 24,856 | — | |||||||||||||||||||
CNH | 4,139,477 | USD | 620,373 | Standard Chartered Bank | 2/9/21 | 21,346 | — | |||||||||||||||||||
USD | 596,655 | CNH | 3,864,000 | Bank of America, N.A. | 2/9/21 | — | (2,359 | ) | ||||||||||||||||||
GBP | 1,000,000 | USD | 1,364,621 | JPMorgan Chase Bank, N.A. | 2/16/21 | 5,619 | — | |||||||||||||||||||
GBP | 2,175,000 | USD | 2,864,139 | Societe Generale | 2/16/21 | 116,134 | — | |||||||||||||||||||
THB | 23,301,315 | USD | 776,581 | Standard Chartered Bank | 2/16/21 | 1,907 | — | |||||||||||||||||||
USD | 421,200 | THB | 12,709,808 | Standard Chartered Bank | 2/16/21 | — | (3,430 | ) | ||||||||||||||||||
MYR | 652,728 | USD | 161,068 | Credit Agricole Corporate and Investment Bank | 3/2/21 | — | (213 | ) | ||||||||||||||||||
MYR | 3,544,890 | USD | 874,742 | Credit Agricole Corporate and Investment Bank | 3/2/21 | — | (1,155 | ) | ||||||||||||||||||
MYR | 924,272 | USD | 226,760 | Goldman Sachs International | 3/2/21 | 1,014 | — | |||||||||||||||||||
USD | 389,095 | MYR | 1,577,000 | Goldman Sachs International | 3/2/21 | 466 | — | |||||||||||||||||||
CNH | 1,987,162 | USD | 302,635 | Citibank, N.A. | 3/9/21 | 4,788 | — | |||||||||||||||||||
CNH | 469,765 | USD | 71,543 | Citibank, N.A. | 3/9/21 | 1,132 | — | |||||||||||||||||||
CNH | 1,627,931 | USD | 248,054 | Goldman Sachs International | 3/9/21 | 3,794 | — | |||||||||||||||||||
CNH | 384,843 | USD | 58,640 | Goldman Sachs International | 3/9/21 | 897 | — |
6
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||||
USD | 240,552 | THB | 7,262,748 | Standard Chartered Bank | 3/16/21 | $ | — | $ | (2,074 | ) | ||||||||||||||||
TRY | 9,200,000 | USD | 1,206,859 | HSBC Bank USA, N.A. | 4/7/21 | 17,085 | — | |||||||||||||||||||
CNH | 9,640,247 | USD | 1,489,430 | Bank of America, N.A. | 4/12/21 | — | (1,433 | ) | ||||||||||||||||||
USD | 244,892 | CNH | 1,585,046 | Bank of America, N.A. | 4/12/21 | 236 | — | |||||||||||||||||||
USD | 110,227 | THB | 3,328,759 | Standard Chartered Bank | 4/16/21 | — | (968 | ) | ||||||||||||||||||
CNH | 1,924,538 | USD | 294,715 | Goldman Sachs International | 4/21/21 | 2,143 | — | |||||||||||||||||||
CNH | 454,961 | USD | 69,671 | Goldman Sachs International | 4/21/21 | 507 | — | |||||||||||||||||||
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$ | 549,985 | $ | (430,605 | ) | ||||||||||||||||||||||
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Futures Contracts
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation | |||||||||||||||
Interest Rate Futures |
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Euro-Buxl | (2 | ) | Short | 3/8/21 | $ | (537,117 | ) | $ | 3,932 | |||||||||||
U.S. 5-Year Treasury Note | (2 | ) | Short | 3/31/21 | (251,750 | ) | 94 | |||||||||||||
U.S. 10-Year Treasury Note | (3 | ) | Short | 3/22/21 | (411,094 | ) | 2,873 | |||||||||||||
U.S. Long Treasury Bond | (4 | ) | Short | 3/22/21 | (674,875 | ) | 22,904 | |||||||||||||
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| |||||||||||||||||||
$ | 29,803 | |||||||||||||||||||
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Centrally Cleared Interest Rate Swaps
Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
BRL | 5,838 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 3.42% (pays upon termination) | 1/3/22 | $ | (6,231 | ) | $ | — | $ | (6,231 | ) | |||||||||||
BRL | 46,281 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 3.44% (pays upon termination) | 1/3/22 | (51,808 | ) | — | (51,808 | ) | ||||||||||||||
BRL | 52,136 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 3.08% (pays upon termination) | 1/3/22 | 19,763 | — | 19,763 | ||||||||||||||||
CNY | 21,500 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.28% (pays quarterly) | 6/8/25 | (64,728 | ) | — | (64,728 | ) | ||||||||||||||
CNY | 9,300 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.79% (pays quarterly) | 9/8/25 | 2,584 | — | 2,584 | ||||||||||||||||
MXN | 27,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 5.11% (pays monthly) | 5/5/25 | 25,819 | — | 25,819 | ||||||||||||||||
MXN | 24,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.70% (pays monthly) | 10/3/29 | 114,337 | — | 114,337 |
7
Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
SGD | 3,500 | Pays | 6-month Singapore Swap Offered Rate (pays semi-annually) | 1.64% (pays semi-annually) | 10/16/29 | $ | 162,389 | $ | — | $ | 162,389 | |||||||||||||
THB | 70,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.37% (pays semi-annually) | 10/17/29 | 60,004 | — | 60,004 | ||||||||||||||||
USD | 96 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.64% (pays semi-annually) | 6/30/30 | 3,813 | — | 3,813 | ||||||||||||||||
USD | 270 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.62% (pays semi-annually) | 7/1/30 | 11,145 | — | 11,145 | ||||||||||||||||
USD | 340 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.82% (pays semi-annually) | 5/12/50 | 64,705 | — | 64,705 | ||||||||||||||||
USD | 200 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.92% (pays semi-annually) | 6/30/50 | 33,336 | — | 33,336 | ||||||||||||||||
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Total | $ | 375,128 | $ | — | $ | 375,128 | ||||||||||||||||||
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Centrally Cleared Credit Default Swaps — Sell Protection
Reference Entity | Notional Amount* (000’s omitted) | Contract Annual Fixed Rate** | Termination Date | Current Market Annual Fixed Rate*** | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Brazil | $ | 731 | 1.00% (pays quarterly)(1) | 12/20/25 | 1.72 | % | $ | (24,167 | ) | $ | 48,693 | $ | 24,526 | |||||||||||
Chile | 651 | 1.00% (pays quarterly)(1) | 12/20/25 | 0.55 | 15,210 | (9,401 | ) | 5,809 | ||||||||||||||||
Colombia | 689 | 1.00% (pays quarterly)(1) | 12/20/25 | 1.13 | (3,404 | ) | 17,390 | 13,986 | ||||||||||||||||
Greece | 3,200 | 1.00% (pays quarterly)(1) | 12/20/25 | 0.96 | 10,037 | 79,464 | 89,501 | |||||||||||||||||
Mexico | 689 | 1.00% (pays quarterly)(1) | 12/20/25 | 0.95 | 2,512 | 19,110 | 21,622 | |||||||||||||||||
Peru | 661 | 1.00% (pays quarterly)(1) | 12/20/25 | 0.63 | 12,664 | (5,059 | ) | 7,605 | ||||||||||||||||
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Total | $ | 6,621 | $ | 12,852 | $ | 150,197 | $ | 163,049 | ||||||||||||||||
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Credit Default Swaps — Sell Protection
Reference Entity | Counterparty | Notional Amount* (000’s omitted) | Contract Annual Fixed Rate** | Termination Date | Current Market Annual Fixed Rate*** | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Vietnam | Barclays Bank PLC | $ | 300 | 1.00% (pays quarterly)(1) | 12/20/25 | 1.03 | % | $ | (147 | ) | $ | 3,739 | $ | 3,592 | ||||||||||||||
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Total | $ | 300 | $ | (147 | ) | $ | 3,739 | $ | 3,592 | |||||||||||||||||||
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Credit Default Swaps — Buy Protection
Reference Entity | Counterparty | Notional Amount (000’s omitted) | Contract Annual Fixed Rate** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Vietnam | Goldman Sachs International | $ | 200 | 1.00% (pays quarterly)(1) | 12/20/25 | $ | (98 | ) | $ | 2,516 | $ | 2,418 | ||||||||||||
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Total | $ | (98 | ) | $ | 2,516 | $ | 2,418 | |||||||||||||||||
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* | 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 January 31, 2021, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $6,921,000. |
** | 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. |
Abbreviations:
COF | - | Cost of Funds 11th District | ||
TBA | - | To Be Announced |
Currency Abbreviations:
AUD | - | Australian Dollar | ||
BRL | - | Brazilian Real | ||
CNH | - | Yuan Renminbi Offshore | ||
CNY | - | Yuan Renminbi | ||
COP | - | Colombian Peso | ||
EGP | - | Egyptian Pound | ||
EUR | - | Euro | ||
GBP | - | British Pound Sterling | ||
GEL | - | Georgian Lari | ||
IDR | - | Indonesian Rupiah | ||
INR | - | Indian Rupee | ||
ISK | - | Icelandic Krona | ||
JPY | - | Japanese Yen | ||
MXN | - | Mexican Peso | ||
MYR | - | Malaysian Ringgit |
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NZD | - | New Zealand Dollar | ||
PEN | - | Peruvian Sol | ||
PHP | - | Philippine Peso | ||
PLN | - | Polish Zloty | ||
RSD | - | Serbian Dinar | ||
SGD | - | Singapore Dollar | ||
THB | - | Thai Baht | ||
TRY | - | New Turkish Lira | ||
UAH | - | Ukrainian Hryvnia | ||
USD | - | United States Dollar | ||
ZAR | - | South African Rand |
At January 31, 2021, the Portfolio had sufficient cash and/or securities to cover commitments under open derivative contracts.
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 enhance total return and/or as a substitute for the purchase or sale of securities.
Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts 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 interest rate futures contracts, interest rate swaps and options contracts to enhance total return, to seek to hedge against fluctuations in interest rates, and/or to change the effective duration of its portfolio.
At January 31, 2021, the value of the Portfolio’s investment in affiliated funds was $2,348,106, which represents 3.8% of the Portfolio’s net assets. Transactions in affiliated funds by the Portfolio for the fiscal year to date ended January 31, 2021 were as follows:
Name of affiliated fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period | ||||||||||||||||||||||||
Short-Term Investments |
| |||||||||||||||||||||||||||||||
Eaton Vance Cash Reserves Fund, LLC | $ | 3,099,970 | $ | 8,832,873 | $ | (9,584,737 | ) | $ | — | $ | — | $ | 2,348,106 | $ | 1,399 | 2,348,106 |
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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.
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At January 31, 2021, 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 Corporate Bonds | $ | — | $ | 2,199,774 | $ | — | $ | 2,199,774 | ||||||||
Foreign Government Bonds | — | 24,560,015 | — | 24,560,015 | ||||||||||||
Mortgage Pass-Throughs | — | 3,336,717 | — | 3,336,717 | ||||||||||||
Short-Term Investments — | ||||||||||||||||
Foreign Government Securities | — | 2,440,045 | — | 2,440,045 | ||||||||||||
U.S. Treasury Obligations | — | 24,998,253 | — | 24,998,253 | ||||||||||||
Other | — | 2,348,106 | — | 2,348,106 | ||||||||||||
Purchased Call Options | — | 38,350 | — | 38,350 | ||||||||||||
Total Investments | $ | — | $ | 59,921,260 | $ | — | $ | 59,921,260 | ||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 743,164 | $ | — | $ | 743,164 | ||||||||
Futures Contracts | 29,803 | — | — | 29,803 | ||||||||||||
Swap Contracts | — | 538,318 | — | 538,318 | ||||||||||||
Total | $ | 29,803 | $ | 61,202,742 | $ | — | $ | 61,232,545 | ||||||||
Liability Description | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (615,212 | ) | $ | — | $ | (615,212 | ) | ||||||
Swap Contracts | — | (150,583 | ) | — | (150,583 | ) | ||||||||||
Total | $ | — | $ | (765,795 | ) | $ | — | $ | (765,795 | ) |
Investment Valuation — Derivatives. U.S. exchange-traded options are valued at the mean between the bid and asked prices at valuation time as reported by the Options Price Reporting Authority. 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.
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. As the purchaser of an index or other cash settled option, the Portfolio has the right to receive a cash payment equal to any depreciation in the value of the index or underlying instrument below the exercise price of the option (in the case of a put) or equal to any appreciation in the value of the index or underlying instrument over the exercise 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. 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.
For additional information on the Portfolio’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio’s most recent financial statements included in its semiannual or annual report to shareholders.
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