Eaton Vance
Emerging Markets Debt Fund
October 31, 2021
PORTFOLIO OF INVESTMENTS (Unaudited)
Foreign Corporate Bonds — 5.2%
| Security | Principal Amount (000’s omitted) | Value | ||||||
Brazil — 0.9% | ||||||||
Petrobras Global Finance BV, 6.90%, 3/19/49 | $ | 72 | $ | 75,780 | ||||
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Total Brazil | $ | 75,780 | ||||||
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Mexico — 2.1% | ||||||||
Petroleos Mexicanos: | ||||||||
6.75%, 9/21/47 | $ | 142 | $ | 125,892 | ||||
6.84%, 1/23/30 | 51 | 53,418 | ||||||
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Total Mexico | $ | 179,310 | ||||||
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Vietnam — 2.2% | ||||||||
Debt and Asset Trading Corp., 1.00%, 10/10/25(1) | $ | 200 | $ | 183,125 | ||||
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Total Vietnam | $ | 183,125 | ||||||
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Total Foreign Corporate Bonds | $ | 438,215 | ||||||
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Sovereign Government Bonds — 62.2% | ||||||||
| Security | Principal Amount* (000’s omitted) | Value | ||||||
Argentina — 3.0% | ||||||||
Republic of Argentina: | ||||||||
1.125% to 7/9/22, 7/9/35(2) | 135 | $ | 41,817 | |||||
2.00% to 7/9/22, 1/9/38(2) | 471 | 173,281 | ||||||
2.50% to 7/9/22, 7/9/41(2) | 116 | 40,290 | ||||||
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Total Argentina | $ | 255,388 | ||||||
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Bahrain — 2.3% | ||||||||
Kingdom of Bahrain, 5.45%, 9/16/32(1) | 200 | $ | 196,170 | |||||
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Total Bahrain | $ | 196,170 | ||||||
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Barbados — 2.4% | ||||||||
Government of Barbados, 6.50%, 10/1/29(1) | 206 | $ | 207,142 | |||||
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Total Barbados | $ | 207,142 | ||||||
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Belarus — 2.4% | ||||||||
Republic of Belarus, 6.875%, 2/28/23(1) | 200 | $ | 202,532 | |||||
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Total Belarus | $ | 202,532 | ||||||
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Benin — 2.5% | ||||||||
Benin Government International Bond, 6.875%, 1/19/52(1) | EUR | 180 | $ | 209,383 | ||||
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Total Benin | $ | 209,383 | ||||||
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1
| Security | Principal Amount* (000’s omitted) | Value | ||||||
Brazil — 0.6% | ||||||||
Federative Republic of Brazil, 8.25%, 1/20/34 | 37 | $ | 47,730 | |||||
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Total Brazil | $ | 47,730 | ||||||
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Croatia — 2.8% | ||||||||
Croatia Government International Bond, 1.75%, 3/4/41(1) | EUR | 200 | $ | 235,568 | ||||
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Total Croatia | $ | 235,568 | ||||||
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Dominican Republic — 3.0% | ||||||||
Dominican Republic, 7.45%, 4/30/44(1) | 210 | $ | 250,690 | |||||
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Total Dominican Republic | $ | 250,690 | ||||||
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Ecuador — 2.5% | ||||||||
Republic of Ecuador: | ||||||||
0.50% to 7/31/22, 7/31/40(1)(2) | 182 | $ | 91,588 | |||||
1.00% to 7/31/22, 7/31/35(1)(2) | 94 | 62,393 | ||||||
5.00% to 7/31/22, 7/31/30(1)(2) | 68 | 56,360 | ||||||
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Total Ecuador | $ | 210,341 | ||||||
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Egypt — 8.7% | ||||||||
Arab Republic of Egypt: | ||||||||
8.15%, 11/20/59(1) | 200 | $ | 179,180 | |||||
8.50%, 1/31/47(1) | 400 | 370,734 | ||||||
8.875%, 5/29/50(1) | 200 | 189,041 | ||||||
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Total Egypt | $ | 738,955 | ||||||
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El Salvador — 1.0% | ||||||||
Republic of El Salvador, 7.75%, 1/24/23(1) | 100 | $ | 88,725 | |||||
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Total El Salvador | $ | 88,725 | ||||||
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India — 2.5% | ||||||||
Export-Import Bank of India, 2.25%, 1/13/31(1) | 227 | $ | 212,352 | |||||
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Total India | $ | 212,352 | ||||||
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Ivory Coast — 2.7% | ||||||||
Ivory Coast Government International Bond: | ||||||||
4.875%, 1/30/32(1) | EUR | 100 | $ | 113,368 | ||||
6.625%, 3/22/48(1) | EUR | 100 | 115,595 | |||||
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Total Ivory Coast | $ | 228,963 | ||||||
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Lebanon — 0.3% | ||||||||
Lebanese Republic: | ||||||||
6.25%, 11/4/24(1)(3) | 33 | $ | 5,139 | |||||
6.40%, 5/26/23(3) | 33 | 5,121 | ||||||
6.65%, 4/22/24(1)(3) | 24 | 3,737 | ||||||
6.65%, 11/3/28(1)(3) | 14 | 2,148 | ||||||
6.85%, 5/25/29(3) | 36 | 5,441 | ||||||
7.00%, 12/3/24(3) | 15 | 2,336 | ||||||
7.00%, 3/20/28(1)(3) | 11 | 1,705 | ||||||
7.05%, 11/2/35(1)(3) | 5 | 769 | ||||||
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Total Lebanon | $ | 26,396 | ||||||
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Oman — 2.6% | ||||||||
Oman Government International Bond, 6.25%, 1/25/31(1) | 200 | $ | 216,875 | |||||
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Total Oman | $ | 216,875 | ||||||
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2
| Security | Principal Amount* (000’s omitted) | Value | ||||||
Paraguay — 2.7% | ||||||||
Republic of Paraguay, 4.95%, 4/28/31(1) | 200 | $ | 224,750 | |||||
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Total Paraguay | $ | 224,750 | ||||||
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Romania — 4.2% | ||||||||
Romania Government International Bond: | ||||||||
2.625%, 12/2/40(1) | EUR | 13 | $ | 13,783 | ||||
2.75%, 2/26/26(1) | EUR | 30 | 37,543 | |||||
3.375%, 1/28/50(1) | EUR | 23 | 25,940 | |||||
4.625%, 4/3/49(1) | EUR | 209 | 280,056 | |||||
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Total Romania | $ | 357,322 | ||||||
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Suriname — 3.5% | ||||||||
Republic of Suriname, 9.25%, 10/26/26(1)(3) | 405 | $ | 293,625 | |||||
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Total Suriname | $ | 293,625 | ||||||
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Ukraine — 10.1% | ||||||||
Ukraine Government International Bond: | ||||||||
1.258%, GDP-Linked, 5/31/40(1)(4) | 144 | $ | 152,104 | |||||
9.75%, 11/1/28(1) | 600 | 697,593 | ||||||
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Total Ukraine | $ | 849,697 | ||||||
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United Arab Emirates — 2.4% | ||||||||
Finance Department Government of Sharjah, 4.375%, 3/10/51(1) | 210 | $ | 199,050 | |||||
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Total United Arab Emirates | $ | 199,050 | ||||||
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Total Sovereign Government Bonds | $ | 5,251,654 | ||||||
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Sovereign Loans — 12.0% | ||||||||
| Borrower | Principal Amount (000’s omitted) | Value | ||||||
Kenya — 3.1% | ||||||||
Government of Kenya, Term Loan, 6.616%, (6 mo. USD LIBOR + 6.45%), 6/29/25(5) | $ | 260 | $ | 263,279 | ||||
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Total Kenya | $ | 263,279 | ||||||
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Nigeria — 2.2% | ||||||||
Bank of Industry Limited, Term Loan, 6.116%, (3 mo. USD LIBOR + 6.00%), 12/14/23(5)(6) | $ | 185 | $ | 184,463 | ||||
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Total Nigeria | $ | 184,463 | ||||||
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Tanzania — 6.7% | ||||||||
Government of the United Republic of Tanzania: | ||||||||
Term Loan, 5.456%, (6 mo. USD LIBOR + 5.20%), 6/23/22(5) | $ | 229 | $ | 231,602 | ||||
Term Loan, 6.446%, (6 mo. USD LIBOR + 6.30%), 4/28/31(5) | 340 | 336,215 | ||||||
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Total Tanzania | $ | 567,817 | ||||||
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Total Sovereign Loans | $ | 1,015,559 | ||||||
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3
Short-Term Investments — 12.2% | ||||||||
| Description | Units | Value | ||||||
Eaton Vance Cash Reserves Fund, LLC, 0.09%(7) | 1,025,680 | $ | 1,025,680 | |||||
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Total Short-Term Investments | $ | 1,025,680 | ||||||
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Total Investments — 91.6% | $ | 7,731,108 | ||||||
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Other Assets, Less Liabilities — 8.4% | $ | 713,298 | ||||||
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Net Assets — 100.0% | $ | 8,444,406 | ||||||
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The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
| * | In U.S. dollars unless otherwise indicated. |
| (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 October 31, 2021, the aggregate value of these securities is $5,118,763 or 60.6% of the Fund’s net assets. |
| (2) | Step coupon security. Interest rate represents the rate in effect at October 31, 2021. |
| (3) | Issuer is in default with respect to interest payments. |
| (4) | Amounts payable in respect of the security are contingent upon and determined by reference to Ukraine’s GDP and Real GDP Growth Rate. Principal amount represents the notional amount used to calculate payments due to the security holder and does not represent an entitlement for payment. |
| (5) | Variable rate security. The stated interest rate represents the rate in effect at October 31, 2021. |
| (6) | Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date. |
| (7) | Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of October 31, 2021. |
Centrally Cleared Forward Foreign Currency Exchange Contracts
| Currency Purchased | Currency Sold | Settlement Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
| EUR | 97,263 | USD | 112,557 | 12/15/21 | $ | (4 | ) | |||||||||||||||||
| EUR | 108,480 | USD | 125,536 | 12/15/21 | (4 | ) | ||||||||||||||||||
| EUR | 177,759 | USD | 210,420 | 12/15/21 | (4,717 | ) | ||||||||||||||||||
| USD | 826,314 | EUR | 698,057 | 12/15/21 | 18,524 | |||||||||||||||||||
| USD | 431,091 | EUR | 364,178 | 12/15/21 | 9,664 | |||||||||||||||||||
| USD | 250,543 | EUR | 211,654 | 12/15/21 | 5,617 | |||||||||||||||||||
| USD | 239,264 | EUR | 202,127 | 12/15/21 | 5,364 | |||||||||||||||||||
| USD | 214,280 | EUR | 181,020 | 12/15/21 | 4,804 | |||||||||||||||||||
| USD | 688 | EUR | 581 | 12/15/21 | 15 | |||||||||||||||||||
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| $ | 39,263 | |||||||||||||||||||||||
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4
| Forward Foreign Currency Exchange Contracts | ||||||||||||||||||||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
| EUR | 161,673 | USD | 187,419 | Citibank, N.A. | 11/5/21 | $ | — | $ | (514 | ) | ||||||||||||||
| EUR | 3,978 | USD | 4,637 | Deutsche Bank AG | 11/5/21 | — | (39 | ) | ||||||||||||||||
| EUR | 2,797 | USD | 3,235 | Standard Chartered Bank | 11/5/21 | — | (2 | ) | ||||||||||||||||
| EUR | 6,535 | USD | 7,558 | Standard Chartered Bank | 11/5/21 | — | (3 | ) | ||||||||||||||||
| EUR | 1,989 | USD | 2,315 | Standard Chartered Bank | 11/5/21 | — | (15 | ) | ||||||||||||||||
| EUR | 6,492 | USD | 7,529 | Standard Chartered Bank | 11/5/21 | — | (24 | ) | ||||||||||||||||
| EUR | 3,550 | USD | 4,148 | Standard Chartered Bank | 11/5/21 | — | (44 | ) | ||||||||||||||||
| EUR | 25,493 | USD | 29,548 | Standard Chartered Bank | 11/5/21 | — | (77 | ) | ||||||||||||||||
| EUR | 114,391 | USD | 132,649 | Standard Chartered Bank | 11/5/21 | — | (405 | ) | ||||||||||||||||
| EUR | 21,592 | USD | 24,980 | Standard Chartered Bank | 11/12/21 | — | (14 | ) | ||||||||||||||||
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| $ | — | $ | (1,137 | ) | ||||||||||||||||||||
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Futures Contracts
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||
Interest Rate Futures | ||||||||||||||||||||
U.S. 5-Year Treasury Note | 4 | Long | 12/31/21 | $ | 487,000 | $ | (6,629 | ) | ||||||||||||
U.S. Long Treasury Bond | 2 | Long | 12/21/21 | 321,688 | (737 | ) | ||||||||||||||
U.S. Ultra-Long Treasury Bond | 8 | Long | 12/21/21 | 1,571,250 | 4,187 | |||||||||||||||
Euro-Bobl | (1 | ) | Short | 12/8/21 | (154,627 | ) | 1,975 | |||||||||||||
Euro-Bund | (6 | ) | Short | 12/8/21 | (1,166,080 | ) | 30,717 | |||||||||||||
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| $ | 29,513 | |||||||||||||||||||
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Centrally Cleared Interest Rate Swaps
| Notional Amount (000’s omitted) | Fund Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
| EUR | 19 | Receives | 6-month EURIBOR (pays semi-annually) | 0.37% (pays annually) | 2/12/50 | $ | (424 | ) | $ | — | $ | (424 | ) | |||||||||||
| EUR | 23 | Receives | 6-month EURIBOR (pays semi-annually) | 0.12% (pays annually) | 6/8/50 | 1,288 | — | 1,288 | ||||||||||||||||
| USD | 200 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.55% (pays semi-annually) | 3/12/23 | (387 | ) | — | (387 | ) | ||||||||||||||
| USD | 1,605 | Pays | 3-month USD-LIBOR (pays quarterly) | 0.61% (pays semi-annually) | 3/16/25 | (21,827 | ) | — | (21,827 | ) | ||||||||||||||
| USD | 147 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.74% (pays semi-annually) | 12/16/26 | (4,581 | ) | — | (4,581 | ) | ||||||||||||||
| USD | 209 | Pays | 3-month USD-LIBOR (pays quarterly) | 2.34% (pays semi-annually) | 5/17/29 | 15,626 | — | 15,626 | ||||||||||||||||
| USD | 438 | Receives | 3-month USD-LIBOR (pays quarterly) | 2.09% (pays semi-annually) | 7/15/29 | (22,945 | ) | 115 | (22,830 | ) | ||||||||||||||
| USD | 95 | Receives | 3-month USD-LIBOR (pays quarterly) | 2.88% (pays semi-annually) | 1/31/49 | (25,111 | ) | (46 | ) | (25,157 | ) | |||||||||||||
5
| Notional Amount (000’s omitted) | Fund Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
| USD | 121 | Receives | 3-month USD-LIBOR (pays quarterly) | 2.54% (pays semi-annually) | 5/17/49 | $ | (23,590 | ) | $ | 13,804 | $ | (9,786 | ) | |||||||||||
| USD | 99 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.65% (pays semi-annually) | 9/9/49 | 1,652 | — | 1,652 | ||||||||||||||||
| USD | 7 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.70% (pays semi-annually) | 9/12/49 | 40 | — | 40 | ||||||||||||||||
| USD | 37 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.97% (pays semi-annually) | 11/15/49 | (2,346 | ) | — | (2,346 | ) | ||||||||||||||
| USD | 130 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.84% (pays semi-annually) | 3/30/50 | 26,790 | — | 26,790 | ||||||||||||||||
| USD | 50 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.93% (pays semi-annually) | 5/26/50 | 9,131 | — | 9,131 | ||||||||||||||||
| USD | 65 | Pays | 3-month USD-LIBOR (pays quarterly) | 2.13% (pays semi-annually) | 4/8/51 | 6,326 | — | 6,326 | ||||||||||||||||
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| Total | $ | (40,358 | ) | $ | 13,873 | $ | (26,485 | ) | ||||||||||||||||
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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 | $ | 480 | | 1.00 (pays quarterly) | % (1) | 12/20/26 | 2.45 | % | $ | (32,855 | ) | $ | 26,871 | $ | (5,984 | ) | ||||||||||||||
| Indonesia | 320 | | 1.00 (pays quarterly) | % (1) | 12/20/26 | 0.82 | 3,172 | (4,760 | ) | (1,588 | ) | |||||||||||||||||||
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| Total | $ | 800 | $ | (29,683 | ) | $ | 22,111 | $ | (7,572 | ) | ||||||||||||||||||||
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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) | ||||||||||||||||||||||
| Mexico | Citibank, N.A. | $ | 251 | | 1.00 (pays quarterly) | % (1) | 12/20/31 | 1.65 | % | $ | (14,225 | ) | $ | 11,369 | $ | (2,856 | ) | |||||||||||||
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| Total | $ | 251 | $ | (14,225 | ) | $ | 11,369 | $ | (2,856 | ) | ||||||||||||||||||||
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| * | If the Fund is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Fund could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At October 31, 2021, such maximum potential amount for all open credit default swaps in which the Fund is the seller was $1,051,000. |
| ** | The contract annual fixed rate represents the fixed rate of interest received by the Fund (as a seller 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. |
6
| (1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Abbreviations:
EURIBOR | - | Euro Interbank Offered Rate | ||
GDP | - | Gross Domestic Product | ||
LIBOR | - | London Interbank Offered Rate | ||
Currency Abbreviations:
EUR | - | Euro | ||
USD | - | United States Dollar | ||
At October 31, 2021, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.
In the normal course of pursuing its investment objective, the Fund is subject to the following risks:
Credit Risk: The Fund 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 Fund engages in forward foreign currency exchange contracts to enhance total return and/or to seek to hedge against fluctuations in currency exchange rates.
Interest Rate Risk: The Fund utilizes various interest rate derivatives including interest rate futures contracts and interest rate swaps to enhance total return, to seek to hedge against fluctuations in interest rates, and/or to change the effective duration of its portfolio.
At October 31, 2021, the value of the Fund’s investment in affiliated funds was $1,025,680, which represents 12.2% of the Fund’s net assets. Transactions in affiliated funds by the Fund for the fiscal year to date ended October 31, 2021 were as follows:
| Name | 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 | $ | 499,206 | $ | 7,137,509 | $ | (6,611,035 | ) | $ | — | $ | — | $ | 1,025,680 | $ | 444 | 1,025,680 | ||||||||||||||||
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.
7
At October 31, 2021, the hierarchy of inputs used in valuing the Fund’s investments and open derivatives instruments, which are carried at value, were as follows:
| Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Foreign Corporate Bonds | $ | — | $ | 438,215 | $ | — | $ | 438,215 | ||||||||
Sovereign Government Bonds | — | 5,251,654 | — | 5,251,654 | ||||||||||||
Sovereign Loans | — | 1,015,559 | — | 1,015,559 | ||||||||||||
Short-Term Investments | — | 1,025,680 | — | 1,025,680 | ||||||||||||
Total Investments | $ | — | $ | 7,731,108 | $ | — | $ | 7,731,108 | ||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 43,988 | $ | — | $ | 43,988 | ||||||||
Futures Contracts | 36,879 | — | — | 36,879 | ||||||||||||
Swap Contracts | — | 64,026 | — | 64,026 | ||||||||||||
Total | $ | 36,879 | $ | 7,839,122 | $ | — | $ | 7,876,001 | ||||||||
| Liability Description | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (5,862 | ) | $ | — | $ | (5,862 | ) | ||||||
Futures Contracts | (7,366 | ) | — | — | (7,366 | ) | ||||||||||
Swap Contracts | — | (148,292 | ) | — | (148,292 | ) | ||||||||||
Total | $ | (7,366 | ) | $ | (154,154 | ) | $ | — | $ | (161,520 | ) | |||||
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.
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