Eaton Vance
Short Duration Inflation-Protected Income Fund
July 31, 2021 (Unaudited)
Eaton Vance Short Duration Inflation-Protected Income Fund (the Fund), a non-diversified series of Eaton Vance Special Investment Trust, pursues its investment objective by investing in inflation protected instruments, including Treasury Inflation Protected Securities, and other fixed or floating-rate debt obligations with respect to which the Fund enters into agreements to swap nominal interest payments for payments based on changes in the U.S. Consumer Price Index or other measure of inflation and in interests in Senior Debt Portfolio (the Portfolio), a Massachusetts business trust managed by Boston Management and Research. The Fund owns a pro rata interest in the net assets of the Portfolio in which it invests. At July 31, 2021, the Fund owned 1.2% of the Portfolio’s outstanding interests. The Fund’s Portfolio of Investments at July 31, 2021 is set forth below.
Eaton Vance
Short Duration Inflation-Protected Income Fund
July 31, 2021
PORTFOLIO OF INVESTMENTS (Unaudited)
Investment in Affiliated Portfolio — 28.7%
Description | Value | |||||||
Senior Debt Portfolio | $ | 95,424,818 | ||||||
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Total Investment in Affiliated Portfolio | $ | 95,424,818 | ||||||
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Asset-Backed Securities — 2.2% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
ARI Fleet Lease Trust, Series 2018-B, Class A2, 3.22%, 8/16/27(1) | $ | 27 | $ | 26,700 | ||||
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 1,576 | 1,583,638 | ||||||
Consumer Loan Underlying Bond Credit Trust, Series 2018-P3, Class B, 4.32%, 1/15/26(1) | 36 | 35,808 | ||||||
Foundation Finance Trust, Series 2017-1A, Class A, 3.30%, 7/15/33(1) | 294 | 298,565 | ||||||
FREED ABS Trust: |
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Series 2019-2, Class A, 2.62%, 11/18/26(1) | 58 | 58,466 | ||||||
Series 2020-FP1, Class A, 2.52%, 3/18/27(1) | 139 | 139,699 | ||||||
LL ABS Trust, Series 2020-1A, Class A, 2.33%, 1/17/28(1) | 382 | 384,341 | ||||||
Marlette Funding Trust: |
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Series 2019-2A, Class A, 3.13%, 7/16/29(1) | 105 | 105,576 | ||||||
Series 2020-2A, Class B, 1.83%, 9/16/30(1) | 425 | 428,055 | ||||||
MVW, LLC, Series 2020-1A, Class A, 1.74%, 10/20/37(1) | 95 | 97,399 | ||||||
Small Business Lending Trust, Series 2020-A, Class A, 2.62%, 12/15/26(1) | 186 | 186,406 | ||||||
Sofi Consumer Loan Program, LLC, Series 2017-5, Class A2, 2.78%, 9/25/26(1) | 2 | 2,035 | ||||||
SpringCastle America Funding, LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(1) | 1,264 | 1,283,970 | ||||||
Stack Infrastructure Issuer, LLC, Series 2019-1A, Class A2, 4.54%, 2/25/44(1) | 971 | 1,029,302 | ||||||
Tesla Auto Lease Trust: |
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Series 2020-A, Class A3, 0.68%, 12/20/23(1) | 164 | 164,874 | ||||||
Series 2020-A, Class A4, 0.78%, 12/20/23(1) | 104 | 104,792 | ||||||
Theorem Funding Trust, Series 2020-1A, Class A, 2.48%, 10/15/26(1) | 135 | 135,356 | ||||||
Vantage Data Centers, LLC, Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 1,105 | 1,116,904 | ||||||
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Total Asset-Backed Securities | $ | 7,181,886 | ||||||
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Commercial Mortgage-Backed Securities — 0.7% |
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Security | Principal Amount (000’s omitted) | Value | ||||||
COMM Mortgage Trust: |
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Series 2013-CR11, Class D, 5.285%, 8/10/50(1)(2) | $ | 455 | $ | 453,541 | ||||
Series 2015-CR22, Class D, 4.244%, 3/10/48(1)(2) | 1,000 | 1,019,663 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C5, Class D, | 830 | 743,946 | ||||||
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Total Commercial Mortgage-Backed Securities | $ | 2,217,150 | ||||||
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U.S. Treasury Obligations — 65.5% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
U.S. Treasury Inflation-Protected Bonds: |
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2.00%, 1/15/26(3) | $ | 9,492 | $ | 11,311,842 | ||||
2.375%, 1/15/25(3) | 11,422 | 13,361,569 | ||||||
U.S. Treasury Inflation-Protected Notes: |
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0.125%, 4/15/22(3) | 1,107 | 1,133,545 | ||||||
0.125%, 7/15/22(3) | 3,511 | 3,628,441 | ||||||
0.125%, 1/15/23(3) | 12,825 | 13,396,550 | ||||||
0.125%, 7/15/24(3) | 10,767 | 11,654,029 | ||||||
0.125%, 10/15/24(3) | 12,588 | 13,660,077 | ||||||
0.125%, 4/15/25(3) | 14,587 | 15,909,480 | ||||||
0.125%, 10/15/25(3) | 11,409 | 12,580,681 | ||||||
0.125%, 4/15/26(3) | 6,157 | 6,796,836 | ||||||
0.125%, 7/15/26(3) | 4,491 | 5,003,515 | ||||||
0.25%, 1/15/25(3) | 17,044 | 18,601,802 | ||||||
0.375%, 7/15/23(3) | 11,565 | 12,319,302 | ||||||
0.375%, 7/15/25(3) | 9,646 | 10,708,895 | ||||||
0.50%, 4/15/24(3) | 12,805 | 13,869,396 | ||||||
0.625%, 4/15/23(3) | 16,252 | 17,198,070 | ||||||
0.625%, 1/15/24(3) | 17,301 | 18,702,362 | ||||||
0.625%, 1/15/26(3) | 15,857 | 17,861,524 | ||||||
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Total U.S. Treasury Obligations |
| $ | 217,697,916 | |||||
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Short-Term Investments — 1.4% |
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Description | Units | Value | ||||||
Eaton Vance Cash Reserves Fund, LLC, 0.08%(4) | 4,738,679 | $ | 4,738,679 | |||||
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Total Short-Term Investments |
| $ | 4,738,679 | |||||
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Value | ||||||
Total Investments — 98.5% | $ | 327,260,449 | ||||
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Other Assets, Less Liabilities — 1.5% | $ | 5,110,812 | ||||
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Net Assets — 100.0% | $ | 332,371,261 | ||||
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The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
(1) | Security exempt from registration under Rule 144A of 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 July 31, 2021, the aggregate value of these securities is $9,399,036 or 2.8% of the Fund’s net assets. |
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(2) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at July 31, 2021. |
(3) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. |
(4) | 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 July 31, 2021. |
Centrally Cleared Inflation Swaps
Notional Amount (000’s omitted) | Fund Pays/Receives Return on Reference Index | Reference Index | Fund Pays/Receives Rate | Annual Rate | Termination Date | Value/ Unrealized Appreciation | ||||||||||||
USD 7,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.335% (pays upon termination) | 3/2/25 | $ | 257,420 | |||||||||||
USD 5,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 1.404% (pays upon termination) | 3/6/25 | 380,596 | ||||||||||||
USD 4,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 0.655% (pays upon termination) | 3/27/25 | 457,556 | ||||||||||||
USD 6,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 1.915% (pays upon termination) | 9/2/25 | 411,299 | ||||||||||||
USD 4,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 0.454% (pays upon termination) | 3/24/26 | 588,381 |
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Notional Amount (000’s omitted) | Fund Pays/Receives Return on Reference Index | Reference Index | Fund Pays/Receives Rate | Annual Rate | Termination Date | Value/ Unrealized Appreciation | ||||||||||||
USD 10,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.729% (pays upon termination) | 5/27/26 | $ | 138,027 | |||||||||||
USD 5,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 1.901% (pays upon termination) | 9/1/26 | 384,413 | ||||||||||||
USD 10,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.545% (pays upon termination) | 4/19/27 | 262,660 | ||||||||||||
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$ | 2,880,352 | |||||||||||||||||
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Inflation Swaps | ||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Fund | Reference Index | Fund Rate | Annual Rate | Termination | Value/ Unrealized Appreciation | |||||||||||
Bank of America, N.A. | $ | 5,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 1.784% (pays upon termination) | 6/19/22 | $ | 216,065 | |||||||||
Bank of America, N.A. | 5,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 1.770% (pays upon termination) | 6/22/22 | 219,222 | |||||||||||
Bank of America, N.A. | 8,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 1.856% (pays upon termination) | 1/9/24 | 351,367 | |||||||||||
Barclays Bank PLC | 6,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 1.934% (pays upon termination) | 7/20/22 | 214,408 | |||||||||||
Barclays Bank PLC | 10,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.157% (pays upon termination) | 1/9/23 | 252,089 | |||||||||||
Citibank, N.A. | 5,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.207% (pays upon termination) | 1/23/23 | 111,106 | |||||||||||
Citibank, N.A. | 5,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 1.763% (pays upon termination) | 1/2/24 | 241,045 |
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Counterparty | Notional Amount (000’s omitted) | Fund | Reference Index | Fund Rate | Annual Rate | Termination | Value/ Unrealized Appreciation | |||||||||||
Goldman Sachs International | $ | 7,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 1.890% (pays upon termination) | 12/21/23 | $ | 315,082 | |||||||||
Goldman Sachs International | 6,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 1.783% (pays upon termination) | 12/28/23 | 294,540 | |||||||||||
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$ | 2,214,924 | |||||||||||||||||
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Abbreviations:
CPI-U (NSA) | - | Consumer Price Index All Urban Non-Seasonally Adjusted |
Currency Abbreviations:
USD | - | United States Dollar |
At July 31, 2021, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.
The Fund is subject to interest rate risk in the normal course of pursuing its investment objective and its use of derivatives. The Fund enters into inflation swap agreements to swap nominal interest payments with respect to its investments in certain fixed or floating-rate debt (including floating-rate loans) for payments based on changes in the U.S. Consumer Price Index or other measures of inflation.
At July 31, 2021, the value of the Fund’s investment in affiliated funds was $4,738,679, which represents 1.4% of the Fund’s net assets. Transactions in affiliated funds by the Fund for the fiscal year to date ended July 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 | ||||||||||||||||||||||||
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Short-Term Investments |
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Eaton Vance Cash Reserves Fund, LLC | $ | 2,961,814 | $ | 102,834,425 | $ | (101,057,612 | ) | $ | 52 | $ | — | $ | 4,738,679 | $ | 2,561 | 4,738,679 |
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
• | Level 1 — quoted prices in active markets for identical investments |
• | Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 — significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At July 31, 2021, the hierarchy of inputs used in valuing the Fund’s investments and open derivative instruments, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investment in Affiliated Portfolio | $ | 95,424,818 | $ | — | $ | — | $ | 95,424,818 | ||||||||
Asset-Backed Securities | — | 7,181,886 | — | 7,181,886 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 2,217,150 | — | 2,217,150 | ||||||||||||
U.S. Treasury Obligations | — | 217,697,916 | — | 217,697,916 | ||||||||||||
Short-Term Investments | — | 4,738,679 | — | 4,738,679 | ||||||||||||
Total Investments | $ | 95,424,818 | $ | 231,835,631 | $ | — | $ | 327,260,449 | ||||||||
Swap Contracts | $ | — | $ | 5,095,276 | $ | — | $ | 5,095,276 | ||||||||
Total | $ | 95,424,818 | $ | 236,930,907 | $ | — | $ | 332,355,725 |
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For information on the Fund’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.
A copy of Part F to Form N-PORT (containing a Portfolio of Investments) for Senior Debt Portfolio at July 31, 2021 is available by calling Eaton Vance at 1-800-262-1122 or in the EDGAR database on the Securities and Exchange Commission’s website at www.sec.gov.
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