N-CSR 1 d290777dncsr.htm CORE BOND PORTFOLIO Core Bond Portfolio

 

 

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: 811-09833

 

 

Core Bond Portfolio

(Exact Name of Registrant as Specified in Charter)

 

 

Two International Place, Boston, Massachusetts 02110

(Address of Principal Executive Offices)

 

 

Deidre E. Walsh

Two International Place, Boston, Massachusetts 02110

(Name and Address of Agent for Services)

 

 

(617) 482-8260

(Registrant’s Telephone Number)

December 31

Date of Fiscal Year End

December 31, 2021

Date of Reporting Period

 

 

 

Item 1. Reports to Stockholders

 

Core Bond Portfolio

December 31, 2021

 

Portfolio of Investments

 

 

Asset-Backed Securities — 13.3%

 

Security   Principal
Amount
(000’s omitted)		     Value  

Adams Outdoor Advertising L.P., Series 2018-1, Class A, 4.81%, 11/15/48(1)

   $ 689     $ 711,408  

Affirm Asset Securitization Trust, Series 2021-A, Class A, 0.88%, 8/15/25(1)

     505       505,198  

Aligned Data Centers Issuer, LLC, Series 2021-1A, Class A2, 1.937%, 8/15/46(1)

     1,011       996,563  

Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1)

     2,262       2,261,170  
Conn’s Receivables Funding, LLC:  

Series 2021-A, Class A, 1.05%, 5/15/26(1)

     2,609       2,608,036  

Series 2021-A, Class B, 2.87%, 5/15/26(1)

     1,260       1,257,016  

DataBank Issuer, Series 2021-2A, Class A2, 2.40%, 10/25/51(1)

     1,186       1,176,480  

DB Master Finance, LLC, Series 2017-1A, Class A2II, 4.03%, 11/20/47(1)

     327       343,049  
Diamond Infrastructure Funding, LLC:  

Series 2021-1A, Class A, 1.76%, 4/15/49(1)

     1,460       1,436,144  

Series 2021-1A, Class C, 3.475%, 4/15/49(1)

     313       311,969  

Driven Brands Funding, LLC, Series 2018-1A, Class A2, 4.739%, 4/20/48(1)

     1,119       1,168,448  

FOCUS Brands Funding, LLC, Series 2017-1A, Class A2II, 5.093%, 4/30/47(1)

     955       1,009,241  

Foundation Finance Trust, Series 2017-1A, Class A, 3.30%, 7/15/33(1)

     274       276,787  

Horizon Aircraft Finance III, Ltd., Series 2019-2, Class A, 3.425%, 11/15/39(1)

     1,485       1,461,044  

Jack in the Box Funding, LLC, Series 2019-1A, Class A2I, 3.982%, 8/25/49(1)

     1,573       1,586,510  

Jersey Mike’s Funding, Series 2019-1A, Class A2, 4.433%, 2/15/50(1)

     1,039       1,095,670  
JPMorgan Chase Bank, NA:  

Series 2021-2, Class B, 0.889%, 12/26/28(1)

     1,673       1,664,746  

Series 2021-3, Class B, 0.76%, 2/26/29(1)

     1,308       1,300,064  

LL ABS Trust, Series 2020-1A, Class A, 2.33%, 1/17/28(1)

     131       131,235  

Lunar Aircraft, Ltd., Series 2020-1A, Class B, 4.335%, 2/15/45(1)

     330       300,963  

Marlette Funding Trust, Series 2021-1A, Class A, 0.60%, 6/16/31(1)

     134       133,611  

Neighborly Issuer, LLC, Series 2021-1A, Class A2, 3.584%, 4/30/51(1)

     1,363       1,374,640  

NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A, 3.474%, 11/25/26(1)

     2,320       2,320,419  

OneMain Financial Issuance Trust, Series 2018-1A, Class A, 3.30%, 3/14/29(1)

     668       668,445  

Oportun Funding XIV, LLC, Series 2021-A, Class B, 1.76%, 3/8/28(1)

     419       418,201  
Security   Principal
Amount
(000’s omitted)		     Value  
Oportun Issuance Trust:  

Series 2021-B, Class A, 1.47%, 5/8/31(1)

   $ 1,547     $ 1,538,403  

Series 2021-C, Class A, 2.18%, 10/8/31(1)

     4,685       4,660,030  
Pagaya AI Debt Selection Trust:  

Series 2021-2, 3.00%, 1/25/29(1)

     1,716       1,716,938  

Series 2021-3, Class A, 1.15%, 5/15/29(1)

     3,232       3,218,380  

Series 2021-HG1, Class A, 1.22%, 1/16/29(1)

     1,006       1,001,719  
Planet Fitness Master Issuer, LLC:  

Series 2018-1A, Class A2I, 4.262%, 9/5/48(1)

     1,959       1,966,748  

Series 2019-1A, Class A2, 3.858%, 12/5/49(1)

     1,019       1,049,641  
ServiceMaster Funding, LLC:  

Series 2020-1, Class A2I, 2.841%, 1/30/51(1)

     556       553,434  

Series 2020-1, Class A2II, 3.337%, 1/30/51(1)

     648       655,369  

SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1)

     3,673       3,768,689  

Small Business Lending Trust, Series 2020-A, Class A, 2.62%, 12/15/26(1)

     75       74,987  

Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1)

     1,806       1,877,643  

SpringCastle America Funding, LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(1)

     1,519       1,513,300  
Stack Infrastructure Issuer, LLC:  

Series 2019-1A, Class A2, 4.54%, 2/25/44(1)

     8,662       8,983,524  

Series 2019-2A, Class A2, 3.08%, 10/25/44(1)

     750       765,183  

Sunnova Helios II Issuer, LLC, Series 2021-A, Class A, 1.80%, 2/20/48(1)

     262       258,620  

Sunnova Sol II Issuer, LLC, Series 2020-2A, Class A, 2.73%, 11/1/55(1)

     2,480       2,486,068  

Tesla Auto Lease Trust, Series 2019-A, Class A3, 2.16%, 10/20/22(1)

     3,419       3,433,657  

Theorem Funding Trust, Series 2021-1A, Class A, 1.21%, 12/15/27(1)

     2,347       2,343,427  

Towd Point Asset Trust, Series 2018-SL1, Class A, 0.703%, (1 mo. USD LIBOR + 0.60%), 1/25/46(1)(2)

     2,251       2,250,457  
Vantage Data Centers Issuer, LLC:  

Series 2019-1A, Class A2, 3.188%, 7/15/44(1)

     1,140       1,165,267  

Series 2020-2A, Class A2, 1.992%, 9/15/45(1)

     2,220       2,181,155  

Series 2021-1A, Class A2, 2.165%, 10/15/46(1)

     869       867,619  
Willis Engine Structured Trust V:  

Series 2020-A, Class B, 4.212%, 3/15/45(1)

     952       888,347  

Series 2020-A, Class C, 6.657%, 3/15/45(1)

     283       205,649  

Total Asset-Backed Securities
(identified cost $75,743,453)

 

   $ 75,941,311  
 

 

  17   See Notes to Financial Statements.

Core Bond Portfolio

December 31, 2021

 

Portfolio of Investments — continued

 

 

Collateralized Mortgage Obligations — 4.3%

 

Security   Principal
Amount
(000’s omitted)		     Value  
Bellemeade Re, Ltd.:  

Series 2021-1A, Class M1A, 1.80%, (30-day average SOFR + 1.75%), 3/25/31(1)(2)

   $ 550     $ 552,597  

Series 2021-1A, Class M1B, 2.25%, (30-day average SOFR + 2.20%), 3/25/31(1)(2)

     390       394,023  

Series 2021-2A, Class M1A, 1.25%, (30-day average SOFR + 1.20%), 6/25/31(1)(2)

     2,112       2,108,790  

Series 2021-3A, Class A2, 1.05%, (30-day average SOFR + 1.00%), 9/25/31(1)(2)

     830       826,012  
Federal Home Loan Mortgage Corp. Structured Agency
Credit Risk Debt Notes:		            

Series 2017-DNA3, Class M2, 2.603%, (1 mo. USD LIBOR + 2.50%), 3/25/30(2)

     752       767,761  

Series 2018-DNA1, Class M2AT, 1.153%, (1 mo. USD LIBOR + 1.05%), 7/25/30(2)

     1,029       1,032,163  

Series 2019-DNA3, Class M2, 2.153%, (1 mo. USD LIBOR + 2.05%), 7/25/49(1)(2)

     1,879       1,895,366  

Series 2019-DNA4, Class M2, 2.053%, (1 mo. USD LIBOR + 1.95%), 10/25/49(1)(2)

     338       339,339  

Series 2020-DNA5, Class M2, 2.85%, (30-day average SOFR + 2.80%), 10/25/50(1)(2)

     333       336,203  

Series 2020-DNA6, Class M2, 2.05%, (30-day average SOFR + 2.00%), 12/25/50(1)(2)

     1,215       1,223,085  

Series 2021-DNA3, Class M1, 0.80%, (30-day average SOFR + 0.75%), 10/25/33(1)(2)

     938       939,727  
Federal National Mortgage Association:  

Series 2005-58, Class MA, 5.50%, 7/25/35

    99       109,709  

Series 2011-135, Class PK, 4.50%, 5/25/40

    190       193,282  

Series 2013-6, Class HD, 1.50%, 12/25/42

    67       67,429  

Series 2014-70, Class KP, 3.50%, 3/25/44

    462       481,554  

Series 2018-M4, Class A2, 3.059%, 3/25/28(3)

     596       646,529  

Series 2019-M1, Class A2, 3.552%, 9/25/28(3)

     2,771       3,091,958  

Series 2020-M1, Class A2, 2.444%, 10/25/29

    4,434       4,672,501  
Federal National Mortgage Association Connecticut
Avenue Securities:		  

Series 2013-C01, Class M2, 5.353%, (1 mo. USD LIBOR + 5.25%), 10/25/23(2)

     618       643,546  

Series 2014-C02, Class 2M2, 2.703%, (1 mo. USD LIBOR + 2.60%), 5/25/24(2)

     270       274,553  

Series 2014-C03, Class 2M2, 3.003%, (1 mo. USD LIBOR + 2.90%), 7/25/24(2)

     486       493,864  

Series 2018-R07, Class 1M2, 2.502%, (1 mo. USD LIBOR + 2.40%), 4/25/31(1)(2)

     219       220,480  

Series 2019-R05, Class 1M2, 2.103%, (1 mo. USD LIBOR + 2.00%), 7/25/39(1)(2)

     31       30,979  

FMC GMSR Issuer Trust, Series 2021-GT2, Class A, 3.85%, 10/25/26(1)(3)

     1,225       1,218,062  
Security   Principal
Amount
(000’s omitted)		     Value  

Home Re, Ltd., Series 2021-1, Class M1B, 1.652%, (1 mo. USD LIBOR + 1.55%), 7/25/33(1)(2)

   $ 1,135     $ 1,131,602  

Toorak Mortgage Corp., Ltd., Series 2020-1, Class A1, 2.734% to 1/25/23, 3/25/23(1)(4)

     730       731,853  

Total Collateralized Mortgage Obligations
(identified cost $24,032,796)

 

   $ 24,422,967  
Commercial Mortgage-Backed Securities — 9.6%

 

Security   Principal
Amount
(000’s omitted)		     Value  
BAMLL Commercial Mortgage Securities Trust:  

Series 2019-BPR, Class DNM, 3.719%, 11/5/32(1)(3)

   $ 3,325     $ 3,208,605  

Series 2019-BPR, Class FNM, 3.719%, 11/5/32(1)(3)

     1,635       1,312,337  
BX Commercial Mortgage Trust:  

Series 2019-XL, Class A, 1.026%, (1 mo. USD LIBOR + 0.92%), 10/15/36(1)(2)

     2,770       2,772,957  

Series 2019-XL, Class B, 1.186%, (1 mo. USD LIBOR + 1.08%), 10/15/36(1)(2)

     1,122       1,121,721  

Series 2021-VOLT, Class B, 1.059%, (1 mo. USD LIBOR + 0.95%), 9/15/36(1)(2)

     3,103       3,082,971  

Series 2021-VOLT, Class C, 1.209%, (1 mo. USD LIBOR + 1.10%), 9/15/36(1)(2)

     1,461       1,446,339  

Series 2021-VOLT, Class D, 1.759%, (1 mo. USD LIBOR + 1.65%), 9/15/36(1)(2)

     1,074       1,067,090  
CFCRE Commercial Mortgage Trust:  

Series 2016-C7, Class C, 4.402%, 12/10/54(3)

     1,250       1,221,793  

Series 2016-C7, Class D, 4.402%, 12/10/54(1)(3)

     2,000       1,802,560  

CGMS Commercial Mortgage Trust, Series 2017-MDRB, Class C, 2.61%, (1 mo. USD LIBOR + 2.50%), 7/15/30(1)(2)

     3,000       2,989,924  

CHT COSMO Mortgage Trust, Series 2017-CSMO, Class E, 3.11%, (1 mo. USD LIBOR + 3.00%), 11/15/36(1)(2)

     1,685       1,688,571  

COMM Mortgage Trust, Series 2014-CR21, Class C, 4.421%, 12/10/47(3)

     500       511,228  

Credit Suisse Mortgage Trust, Series 2016-NXSR, Class C, 4.455%, 12/15/49(3)

     1,775       1,561,175  
Extended Stay America Trust:  

Series 2021-ESH, Class A, 1.19%, (1 mo. USD LIBOR + 1.08%), 7/15/38(1)(2)

     495       496,179  

Series 2021-ESH, Class C, 1.81%, (1 mo. USD LIBOR + 1.70%), 7/15/38(1)(2)

     1,729       1,732,373  

Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust, Series 2020-01, Class M10, 3.852%, (1 mo. USD LIBOR + 3.75%), 3/25/50(1)(2)

     1,260       1,282,079  

Hawaii Hotel Trust, Series 2019-MAUI, Class A, 1.26%, (1 mo. USD LIBOR + 1.15%), 5/15/38(1)(2)

     2,443       2,446,382  
 

 

  18   See Notes to Financial Statements.

Core Bond Portfolio

December 31, 2021

 

Portfolio of Investments — continued

 

 

Security   Principal
Amount
(000’s omitted)		     Value  
JPMBB Commercial Mortgage Securities Trust:  

Series 2014-C22, Class D, 4.553%, 9/15/47(1)(3)

   $ 990     $ 784,639  

Series 2014-C25, Class D, 3.941%, 11/15/47(1)(3)

     1,960       1,586,224  
JPMorgan Chase Commercial Mortgage Securities Trust:  

Series 2011-C5, Class D, 5.733%, 8/15/46(1)(3)

     217       216,233  

Series 2012-CIBX, Class AS, 4.271%, 6/15/45

     3,325       3,358,980  

Series 2013-C13, Class D, 4.077%, 1/15/46(1)(3)

     2,000       2,017,670  

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C29, Class C, 4.729%, 5/15/49(3)(5)

     993       1,014,911  
Morgan Stanley Capital I Trust:  

Series 2016-UBS12, Class D, 3.312%, 12/15/49(1)(5)

     1,745       1,017,226  

Series 2019-BPR, Class A, 1.51%, (1 mo. USD LIBOR + 1.40%), 5/15/36(1)(2)(5)

     2,521       2,493,382  

Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class C, 2.31%, (1 mo. USD LIBOR + 2.20%), 6/15/35(1)(2)

     5,000       4,669,268  

SLG Office Trust, Series 2021-OVA, Class A, 2.585%, 7/15/41(1)

     2,427       2,489,773  
VMC Finance, LLC:  

Series 2021-HT1, Class A, 1.753%, (1 mo. USD LIBOR + 1.65%), 1/18/37(1)(2)

     1,989       1,994,394  

Series 2021-HT1, Class B, 4.603%, (1 mo. USD LIBOR + 4.50%), 1/18/37(1)(2)

     2,000       2,002,363  
Wells Fargo Commercial Mortgage Trust:  

Series 2015-LC22, Class C, 4.557%, 9/15/58(3)

     900       933,819  

Series 2016-C35, Class D, 3.142%, 7/15/48(1)

     500       425,154  

Total Commercial Mortgage-Backed Securities
(identified cost $56,060,476)

 

   $ 54,748,320  
U.S. Government Agency Mortgage-Backed Securities — 10.7%

 

Security   Principal
Amount
(000’s omitted)		     Value  
Federal Home Loan Mortgage Corp.:  

Pool #A93547, 4.50%, 8/1/40

   $ 382     $ 421,256  

Pool #C03490, 4.50%, 8/1/40

     214       235,897  

Pool #C09031, 2.50%, 2/1/43

     795       816,213  

Pool #G07589, 5.50%, 6/1/41

     1,327       1,523,589  

Pool #G08596, 4.50%, 7/1/44

     336       368,685  

Pool #G08670, 3.00%, 10/1/45

     477       501,451  

Pool #G08701, 3.00%, 4/1/46

     637       666,538  

Pool #G60608, 4.00%, 5/1/46

     1,439       1,555,300  

Pool #G60761, 3.00%, 10/1/43

     852       898,684  

Pool #Q17453, 3.50%, 4/1/43

     832       892,005  

Pool #Q34310, 3.50%, 6/1/45

     526       562,001  

Pool #Q40264, 3.50%, 5/1/46

     446       474,935  

Pool #Q45051, 3.00%, 12/1/46

     1,711       1,806,937  
Security   Principal
Amount
(000’s omitted)		     Value  
Federal Home Loan Mortgage Corp.: (continued)  

Pool #Q46889, 3.50%, 3/1/47

   $ 1,288     $ 1,384,805  

Pool #Q47999, 4.00%, 5/1/47

     1,432       1,553,489  

Pool #ZT0383, 3.50%, 3/1/48

     555       589,655  
      $ 14,251,440  
Federal National Mortgage Association:  

2.50%, 30-Year, TBA(6)

   $ 24,521     $ 25,042,082  

3.00%, 30-Year, TBA(6)

     6,075       6,296,880  

Pool #AB3678, 3.50%, 10/1/41

     2,056       2,196,339  

Pool #AL7524, 5.00%, 7/1/41

     313       351,360  

Pool #AS3892, 4.00%, 11/1/44

     446       481,819  

Pool #AS5332, 4.00%, 7/1/45

     463       501,137  

Pool #AS6014, 4.00%, 10/1/45

     278       301,379  

Pool #BA0891, 3.50%, 1/1/46

     1,049       1,115,741  

Pool #BA3938, 3.50%, 1/1/46

     639       679,997  

Pool #BD1183, 3.50%, 12/1/46

     387       411,964  

Pool #BE2316, 3.50%, 1/1/47

     1,188       1,263,985  

Pool #BM1144, 2.50%, 3/1/47

     915       943,606  

Pool #FM7023, 3.00%, 7/1/49

     1,169       1,214,033  

Pool #MA1789, 4.50%, 2/1/44

     331       363,192  

Pool #MA2653, 4.00%, 6/1/46

     691       746,258  
      $ 41,909,772  
Government National Mortgage Association:  

Pool #AQ1784, 3.50%, 12/20/45

   $ 1,129     $ 1,216,060  

Pool #CB2653, 2.50%, 3/20/51

     1,439       1,482,213  

Pool #CB8629, 2.50%, 4/20/51

     2,111       2,182,164  
      $ 4,880,437  

Total U.S. Government Agency Mortgage-Backed Securities
(identified cost $60,328,107)

           $ 61,041,649  
Corporate Bonds — 38.3%

 

Security   Principal
Amount
(000’s omitted)		     Value  
Aerospace & Defense — 0.4%  

Delta Air Lines, Inc., 3.625%, 3/15/22

   $ 914     $ 914,034  

Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(1)

     1,436       1,569,235  
      $ 2,483,269  
Automotive — 0.5%  

General Motors Co., 4.20%, 10/1/27

   $ 2,383     $ 2,609,852  
      $ 2,609,852  
 

 

  19   See Notes to Financial Statements.

Core Bond Portfolio

December 31, 2021

 

Portfolio of Investments — continued

 

 

Security   Principal
Amount
(000’s omitted)		     Value  
Banks — 14.4%  

Australia & New Zealand Banking Group, Ltd.,
2.95% to 7/22/25, 7/22/30(1)(7)

   $ 2,150     $ 2,204,541  

Banco de Chile, 2.99%, 12/9/31(1)

     1,171       1,156,228  

Banco Safra S.A., 4.125%, 2/8/23(1)

     1,210       1,239,724  

Banco Santander S.A., 1.722% to 9/14/26, 9/14/27(7)

     1,200       1,178,842  
Bank of America Corp.:        

1.53% to 12/6/24, 12/6/25(7)

     2,700       2,706,136  

1.734% to 7/22/26, 7/22/27(7)

     4,426       4,396,205  

1.898% to 7/23/30, 7/23/31(7)

     2,400       2,299,560  

1.922% to 10/24/30, 10/24/31(7)

     1,806       1,731,160  

2.087% to 6/14/28, 6/14/29(7)

     1,881       1,869,207  

2.299% to 7/21/31, 7/21/32(7)

     2,050       2,017,771  

2.456% to 10/22/24, 10/22/25(7)

     963       989,695  

2.572% to 10/20/31, 10/20/32(7)

     1,560       1,568,629  

BankUnited, Inc., 5.125%, 6/11/30

     490       558,693  
Barclays PLC:        

2.852% to 5/7/25, 5/7/26(7)

     1,281       1,322,205  

4.836%, 5/9/28

     1,610       1,774,877  
BBVA Bancomer S.A./Texas:  

1.875%, 9/18/25(1)

     1,165       1,156,327  

5.125% to 1/18/28, 1/18/33(1)(7)

     1,000       1,027,865  

Capital One Financial Corp., 3.30%, 10/30/24

     1,759       1,852,477  
Citigroup, Inc.:        

1.281% to 11/3/24, 11/3/25(7)

     451       450,069  

3.106% to 4/8/25, 4/8/26(7)

     1,447       1,517,928  

3.668% to 7/24/27, 7/24/28(7)

     1,889       2,038,912  

3.70%, 1/12/26

     1,000       1,082,250  

4.00% to 12/10/25(7)(8)

     1,090       1,100,900  

4.075% to 4/23/28, 4/23/29(7)

     1,855       2,047,336  

Discover Bank, 4.682% to 8/9/23, 8/9/28(7)

     1,193       1,247,241  
Goldman Sachs Group, Inc. (The):        

1.948% to 10/21/26, 10/21/27(7)

     3,719       3,704,333  

2.65% to 10/21/31, 10/21/32(7)

     2,315       2,331,806  

3.75%, 2/25/26

     970       1,045,571  
HSBC Holdings PLC:        

2.251% to 11/22/26, 11/22/27(7)

     1,966       1,971,251  

2.357% to 8/18/30, 8/18/31(7)

     982       960,474  

International Bank for Reconstruction & Development, 0.18%, (SOFR + 0.13%), 1/13/23(2)

     2,756       2,757,711  
JPMorgan Chase & Co.:        

0.63%, (SOFR + 0.58%), 3/16/24(2)

     482       483,062  

1.47% to 9/22/26, 9/22/27(7)

     2,098       2,057,447  

2.522% to 4/22/30, 4/22/31(7)

     1,500       1,517,722  

2.739% to 10/15/29, 10/15/30(7)

     3,235       3,327,257  

2.956% to 5/13/30, 5/13/31(7)

     634       657,121  

5.625%, 8/16/43

     628       879,671  
Security   Principal
Amount
(000’s omitted)		     Value  
Banks (continued)  

Lloyds Banking Group PLC, 2.438% to 2/5/25, 2/5/26(7)

   $ 1,030     $ 1,050,807  
Macquarie Bank, Ltd.:        

3.052% to 3/3/31, 3/3/36(1)(7)

     1,331       1,313,753  

3.624%, 6/3/30(1)

     762       795,932  

National Bank of Canada, 0.55% to 11/15/23, 11/15/24(7)

     1,294       1,279,491  

PPTT, 2006-A GS, Class A, 5.877%(1)(8)(9)

     259       289,247  
Santander Holdings USA, Inc.:        

3.45%, 6/2/25

     1,788       1,877,391  

4.50%, 7/17/25

     712       771,392  

Societe Generale S.A., 4.75% to 5/26/26(1)(7)(8)

     777       790,916  
Standard Chartered PLC:        

1.319% to 10/14/22, 10/14/23(1)(7)

     800       800,799  

1.456% to 1/14/26, 1/14/27(1)(7)

     808       783,233  

1.822% to 11/23/24, 11/23/25(1)(7)

     929       928,472  
Synovus Bank/Columbus, GA:        

2.289% to 2/10/22, 2/10/23(7)

     1,314       1,315,061  

4.00% to 10/29/25, 10/29/30(7)

     940       979,850  

Synovus Financial Corp., 3.125%, 11/1/22

     622       632,151  

Texas Capital Bancshares, Inc.,
4.00% to 5/6/26, 5/6/31(7)

     655       677,563  
Truist Financial Corp.:        

1.267% to 3/2/26, 3/2/27(7)

     433       425,055  

5.10% to 3/1/30(7)(8)

     1,427       1,598,240  

UBS AG, 1.25%, 6/1/26(1)

     1,442       1,409,893  

UBS Group AG, 2.095% to 2/11/31, 2/11/32(1)(7)

     1,652       1,600,416  

Westpac Banking Corp., 3.02% to 11/18/31, 11/18/36(7)

     867       858,001  
      $ 82,405,867  
Beverages — 0.1%  

Coca-Cola Europacific Partners PLC, 1.50%, 1/15/27(1)

   $ 541     $ 530,539  
      $ 530,539  
Biotechnology — 0.3%  

Royalty Pharma PLC, 3.35%, 9/2/51

   $ 1,588     $ 1,522,695  
      $ 1,522,695  
Building Materials — 0.9%  

Builders FirstSource, Inc., 5.00%, 3/1/30(1)

   $ 2,715     $ 2,916,752  

Owens Corning, 3.95%, 8/15/29

     2,207       2,420,360  
      $ 5,337,112  
 

 

  20   See Notes to Financial Statements.

Core Bond Portfolio

December 31, 2021

 

Portfolio of Investments — continued

 

 

Security   Principal
Amount
(000’s omitted)		     Value  
Chemicals — 0.4%  
Alpek SAB de CV:  

3.25%, 2/25/31(1)

   $ 1,200     $ 1,198,722  

4.25%, 9/18/29(1)

     920       979,970  
      $ 2,178,692  
Commercial Services — 1.0%  

Ashtead Capital, Inc., 4.25%, 11/1/29(1)

   $ 1,752     $ 1,869,756  

Block Financial, LLC, 3.875%, 8/15/30

     1,362       1,458,865  

Ford Foundation (The), 2.415%, 6/1/50

     650       615,959  

Western Union Co. (The), 6.20%, 11/17/36

     1,275       1,576,105  
      $ 5,520,685  
Computers — 1.0%  

DXC Technology Co., 2.375%, 9/15/28

   $ 1,181     $ 1,155,409  

Kyndryl Holdings, Inc., 2.05%, 10/15/26(1)

     1,472       1,434,093  
Seagate HDD Cayman:  

3.375%, 7/15/31

     870       850,277  

4.091%, 6/1/29

     463       480,048  

5.75%, 12/1/34

     1,473       1,699,724  
      $ 5,619,551  
Consumer Products — 0.2%  

Natura Cosmeticos S.A., 4.125%, 5/3/28(1)

   $ 1,117     $ 1,097,866  
      $ 1,097,866  
Diversified Financial Services — 3.5%  
AerCap Ireland Capital DAC/AerCap Global Aviation Trust:  

4.50%, 9/15/23

   $ 1,246     $ 1,307,375  

6.50%, 7/15/25

     742       848,505  

Affiliated Managers Group, Inc., 3.30%, 6/15/30

     1,810       1,917,105  

Air Lease Corp., 2.875%, 1/15/26

     700       722,699  

Alliance Data Systems Corp., 4.75%, 12/15/24(1)

     1,140       1,164,396  

Banco BTG Pactual S.A./Cayman Islands, 4.50%, 1/10/25(1)

     3,000       3,029,880  

Brookfield Finance, LLC, 3.45%, 4/15/50

     1,258       1,314,153  
CI Financial Corp.:  

3.20%, 12/17/30

     1,403       1,441,198  

4.10%, 6/15/51

     1,090       1,184,040  
Ford Motor Credit Co., LLC:  

2.979%, 8/3/22

     1,083       1,089,915  

4.14%, 2/15/23

     300       307,515  

KKR Group Finance Co. VII, LLC, 3.625%, 2/25/50(1)

     1,350       1,453,561  

KKR Group Finance Co. X, LLC, 3.25%, 12/15/51(1)

     420       419,596  
Security   Principal
Amount
(000’s omitted)		     Value  
Diversified Financial Services (continued)  

Neuberger Berman Group, LLC/Neuberger Berman Finance Corp., 4.875%, 4/15/45(1)

   $ 1,157     $ 1,374,170  

Stifel Financial Corp., 4.00%, 5/15/30

     1,408       1,545,754  

UniCredit SpA, 5.459% to 6/30/30, 6/30/35(1)(7)

     611       666,396  
      $ 19,786,258  
Electric Utilities — 0.9%  

AES Corp. (The), 2.45%, 1/15/31

   $ 2,342     $ 2,284,253  

Enel Finance International N.V., 1.375%, 7/12/26(1)

     873       851,028  

ITC Holdings Corp., 4.05%, 7/1/23

     680       704,484  

NextEra Energy Capital Holdings, Inc., 1.90%, 6/15/28

     1,240       1,227,879  

NextEra Energy Operating Partners, L.P., 4.25%, 9/15/24(1)

     38       39,463  
      $ 5,107,107  
Electrical and Electronic Equipment — 1.1%  
Jabil, Inc.:  

3.00%, 1/15/31

   $ 2,773     $ 2,852,944  

3.60%, 1/15/30

     2,207       2,378,386  

4.70%, 9/15/22

     934       958,865  
      $ 6,190,195  
Foods — 0.9%  

JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.75%, 12/1/31(1)

   $ 1,587     $ 1,613,082  

Kraft Heinz Foods Co., 4.375%, 6/1/46

     1,757       2,061,927  
Smithfield Foods, Inc.:  

2.625%, 9/13/31(1)

     1,120       1,084,852  

3.00%, 10/15/30(1)

     210       209,391  
      $ 4,969,252  
Health Care — 0.6%  
Centene Corp.:  

2.50%, 3/1/31

   $ 1,583     $ 1,543,710  

3.375%, 2/15/30

     784       799,723  

4.25%, 12/15/27

     798       833,296  
      $ 3,176,729  
Insurance — 0.8%  

Athene Global Funding, 2.45%, 8/20/27(1)

   $ 1,294     $ 1,319,748  

Liberty Mutual Group, Inc., 4.125% to 9/15/26, 12/15/51(1)(7)

     823       822,156  
 

 

  21   See Notes to Financial Statements.

Core Bond Portfolio

December 31, 2021

 

Portfolio of Investments — continued

 

 

Security   Principal
Amount
(000’s omitted)		     Value  
Insurance (continued)  

Primerica, Inc., 2.80%, 11/19/31

   $ 856     $ 866,186  

Stewart Information Services Corp., 3.60%, 11/15/31

     1,286       1,303,557  
      $ 4,311,647  
Lodging and Gaming — 0.1%  
Hyatt Hotels Corp.:  

1.30%, 10/1/23

   $ 577     $ 577,198  

1.80%, 10/1/24

     237       237,251  
      $ 814,449  
Machinery — 0.3%  

Valmont Industries, Inc., 5.25%, 10/1/54

   $ 1,373     $ 1,756,059  
      $ 1,756,059  
Media — 1.3%  
Charter Communications Operating, LLC/Charter
Communications Operating Capital:		  

2.80%, 4/1/31

   $ 1,473     $ 1,459,332  

4.80%, 3/1/50

     2,895       3,249,289  
Comcast Corp.:  

2.887%, 11/1/51(1)

     2,240       2,172,354  

2.937%, 11/1/56(1)

     832       794,678  
      $ 7,675,653  
Miscellaneous Manufacturing — 0.0%(10)  

Hexcel Corp., 4.20%, 2/15/27

   $ 229     $ 246,055  
      $ 246,055  
Oil and Gas — 0.5%  

NOV, Inc., 3.60%, 12/1/29

   $ 961     $ 993,683  
Patterson-UTI Energy, Inc.:  

3.95%, 2/1/28

     1,601       1,610,115  

5.15%, 11/15/29

     212       215,342  
      $ 2,819,140  
Other Revenue — 0.8%  

BlueHub Loan Fund, Inc., 3.099%, 1/1/30

   $ 3,160     $ 3,273,036  

OneMain Finance Corp., 3.50%, 1/15/27

     1,146       1,134,523  
      $ 4,407,559  
Pharmaceuticals — 0.2%  

CVS Health Corp., 3.00%, 8/15/26

   $ 1,236     $ 1,306,508  
      $ 1,306,508  
Security   Principal
Amount
(000’s omitted)		     Value  
Real Estate Investment Trusts (REITs) — 2.5%  

Agree, L.P., 2.00%, 6/15/28

   $ 520     $ 509,822  

Corporate Office Properties, L.P., 2.90%, 12/1/33

     872       853,465  

Digital Realty Trust, L.P., 3.70%, 8/15/27

     1,272       1,379,524  

Extra Space Storage, L.P., 2.55%, 6/1/31

     1,011       996,073  

HAT Holdings I, LLC/HAT Holdings II, LLC, 3.375%, 6/15/26(1)

     1,436       1,452,284  
Iron Mountain, Inc.:  

4.50%, 2/15/31(1)

     977       989,213  

5.00%, 7/15/28(1)

     339       348,833  

Life Storage, L.P., 2.40%, 10/15/31

     1,473       1,449,495  

Newmark Group, Inc., 6.125%, 11/15/23

     2,890       3,095,190  

Sabra Health Care, L.P., 3.20%, 12/1/31

     1,435       1,403,903  

SITE Centers Corp., 3.625%, 2/1/25

     874       915,770  
Sun Communities Operating, L.P.:  

2.30%, 11/1/28

     543       542,762  

2.70%, 7/15/31

     455       451,797  
      $ 14,388,131  
Retail – Specialty and Apparel — 0.9%  

7-Eleven, Inc., 0.80%, 2/10/24(1)

   $ 1,003     $ 992,011  

Macy’s Retail Holdings, LLC, 2.875%, 2/15/23

     1,182       1,195,363  
Nordstrom, Inc.:  

4.25%, 8/1/31

     819       805,912  

4.375%, 4/1/30

     1,040       1,050,712  

5.00%, 1/15/44

     1,508       1,408,563  
      $ 5,452,561  
Technology — 0.2%  

CDW, LLC/CDW Finance Corp., 3.276%, 12/1/28

   $ 731     $ 750,379  

Western Digital Corp., 4.75%, 2/15/26

     439       480,597  
      $ 1,230,976  
Telecommunications — 2.7%  
AT&T, Inc.:  

3.55%, 9/15/55

   $ 1,251     $ 1,257,653  

3.65%, 6/1/51

     3,037       3,152,137  

3.65%, 9/15/59

     372       376,410  

3.80%, 12/1/57

     2,258       2,356,078  
Nokia Oyj:  

4.375%, 6/12/27

     981       1,060,672  

6.625%, 5/15/39

     1,242       1,720,331  

SES Global Americas Holdings GP, 5.30%, 3/25/44(1)

     661       757,238  

SES S.A., 5.30%, 4/4/43(1)

     393       451,233  
 

 

  22   See Notes to Financial Statements.

Core Bond Portfolio

December 31, 2021

 

Portfolio of Investments — continued

 

 

Security   Principal
Amount
(000’s omitted)		     Value  
Telecommunications (continued)  
T-Mobile USA, Inc.:  

2.25%, 11/15/31

   $ 278     $ 270,060  

2.55%, 2/15/31

     646       643,268  

2.625%, 4/15/26

     1,594       1,604,050  

4.50%, 4/15/50

     1,511       1,771,029  
      $ 15,420,159  
Transportation — 0.3%  

FedEx Corp., 4.55%, 4/1/46

   $ 500     $ 600,639  

SMBC Aviation Capital Finance DAC, 3.55%, 4/15/24(1)

     1,200       1,253,500  
      $ 1,854,139  
Utilities — 1.5%  
American Water Capital Corp.:  

2.30%, 6/1/31

   $ 2,740     $ 2,742,856  

2.95%, 9/1/27

     1,426       1,505,676  

Southern Co. (The), Series B,
4.00% to 10/15/25, 1/15/51(7)

     1,704       1,746,600  
Southern Co. Gas Capital Corp.:  

2.45%, 10/1/23

     1,060       1,082,499  

3.95%, 10/1/46

     1,270       1,397,403  
      $ 8,475,034  

Total Corporate Bonds
(identified cost $213,875,017)

           $ 218,693,739  
Preferred Securities — 0.9%

 

Security   Shares     Value  
Oil, Gas & Consumable Fuels — 0.1%  

NuStar Energy, L.P., Series B, 7.625% to 6/15/22(7)

     24,632     $ 554,220  
      $ 554,220  
Real Estate Management & Development — 0.4%  

Brookfield Property Partners, L.P., Series A, 5.75%

     85,000     $ 2,002,600  
      $ 2,002,600  
Wireless Telecommunication Services — 0.4%  

United States Cellular Corp., 5.50%

     90,800     $ 2,397,120  
      $ 2,397,120  

Total Preferred Securities
(identified cost $4,912,096)

           $ 4,953,940  
Senior Floating-Rate Loans — 1.2%(11)

 

Borrower/Description   Principal
Amount
(000’s omitted)		     Value  
Building and Development — 0.2%  

Cushman & Wakefield U.S. Borrower, LLC, Term Loan, 2.852%, (1 mo. USD LIBOR + 2.75%), 8/21/25

   $ 1,213     $ 1,206,710  
      $ 1,206,710  
Electronics/Electrical — 0.3%  

Hyland Software, Inc., Term Loan, 4.25%, (1 mo. USD LIBOR + 3.50%, Floor 0.75%), 7/1/24

   $ 1,002     $ 1,004,417  

MA FinanceCo., LLC, Term Loan, 2.854%, (1 mo. USD LIBOR + 2.75%), 6/21/24

     76       75,677  

Seattle Spinco, Inc., Term Loan, 2.854%, (1 mo. USD LIBOR + 2.75%), 6/21/24

     514       511,063  
      $ 1,591,157  
Equipment Leasing — 0.1%  

Avolon TLB Borrower 1 (US), LLC, Term Loan, 2.50%, (1 mo. USD LIBOR + 1.75%, Floor 0.75%), 1/15/25

   $ 631     $ 632,306  
      $ 632,306  
Health Care — 0.1%  

Change Healthcare Holdings, LLC, Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), 3/1/24

   $ 722     $ 721,931  
      $ 721,931  
Insurance — 0.1%  
Asurion, LLC:  

Term Loan, 3.229%, (1 mo. USD LIBOR + 3.125%), 11/3/23

   $ 432     $ 431,466  

Term Loan, 3.354%, (1 mo. USD LIBOR + 3.25%), 12/23/26

     248       246,082  
            $ 677,548  
Leisure Goods/Activities/Movies — 0.1%  

Bombardier Recreational Products, Inc., Term Loan, 2.101%, (1 mo. USD LIBOR + 2.00%), 5/24/27

   $ 243     $ 239,932  
      $ 239,932  
Telecommunications — 0.3%  

CenturyLink, Inc., Term Loan, 2.354%, (1 mo. USD LIBOR + 2.25%), 3/15/27

   $ 490     $ 484,756  

Level 3 Financing, Inc., Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 3/1/27

     250       246,658  
 

 

  23   See Notes to Financial Statements.

Core Bond Portfolio

December 31, 2021

 

Portfolio of Investments — continued

 

 

Borrower/Description   Principal
Amount
(000’s omitted)		     Value  
Telecommunications (continued)  

Ziggo Financing Partnership, Term Loan, 2.61%, (1 mo. USD LIBOR + 2.50%), 4/30/28

   $ 1,000     $ 990,625  
      $ 1,722,039  

Total Senior Floating-Rate Loans
(identified cost $6,819,010)

           $ 6,791,623  
Sovereign Government Bonds — 1.2%

 

Security   Principal
Amount
(000’s omitted)		     Value  

Kreditanstalt fuer Wiederaufbau, 2.00%, 9/29/22

   $ 7,000     $ 7,082,768  

Total Sovereign Government Bonds
(identified cost $7,095,323)

           $ 7,082,768  
Taxable Municipal Obligations — 2.0%

 

Security   Principal
Amount
(000’s omitted)		     Value  
Special Tax Revenue — 0.3%  

California Health Facilities Financing Authority, (No Place Like Home Program), 3.034%, 6/1/34

   $ 1,430     $ 1,490,789  
      $ 1,490,789  
Water and Sewer — 1.7%  
Narragansett Bay Commission, RI, Wastewater System
Revenue:		            

Green Bonds, 2.094%, 9/1/30

   $ 820     $ 832,800  

Green Bonds, 2.184%, 9/1/31

     650       658,840  

Green Bonds, 2.264%, 9/1/32

     585       591,938  

Green Bonds, 2.344%, 9/1/33

     635       639,922  

San Francisco City and County Public Utilities Commission, CA, Water Revenue, Green Bonds, 3.303%, 11/1/39

     6,750       6,983,550  
      $ 9,707,050  

Total Taxable Municipal Obligations
(identified cost $10,870,000)

           $ 11,197,839  
U.S. Treasury Obligations — 15.6%

 

Security   Principal
Amount
(000’s omitted)		     Value  
U.S. Treasury Bonds:  

1.375%, 8/15/50

   $ 2,806     $ 2,459,086  

1.625%, 11/15/50

     8,674       8,083,914  

1.875%, 2/15/51

     7,427       7,350,989  

2.00%, 8/15/51

     347       353,832  

2.25%, 5/15/41

     4,238       4,453,873  
U.S. Treasury Notes:  

0.25%, 6/15/24

     978       963,909  

0.25%, 5/31/25

     3,310       3,220,268  

0.375%, 11/30/25

     1,414       1,371,414  

0.375%, 12/31/25

     10,941       10,606,787  

0.375%, 1/31/26

     8,006       7,747,369  

0.50%, 2/28/26

     3,144       3,055,207  

0.625%, 7/31/26

     6,812       6,624,404  

0.75%, 11/15/24

     400       397,813  

0.75%, 4/30/26

     4,821       4,725,898  

1.00%, 7/31/28

     5,244       5,106,550  

1.125%, 2/29/28

     5,780       5,697,364  

1.125%, 8/31/28

     1,045       1,024,998  

1.25%, 3/31/28

     2,415       2,394,057  

1.25%, 4/30/28

     8,955       8,875,594  

1.25%, 6/30/28

     1,455       1,440,450  

1.375%, 10/31/28

     2,510       2,500,587  

1.625%, 5/15/31

     898       909,716  

Total U.S. Treasury Obligations
(identified cost $90,496,984)

           $ 89,364,079  
Short-Term Investments — 6.7%

 

Description   Units     Value  

Eaton Vance Cash Reserves Fund, LLC, 0.08%(12)

     38,100,244     $ 38,096,434  

Total Short-Term Investments
(identified cost $38,096,434)

 

   $ 38,096,434  

Total Investments — 103.8%
(identified cost $588,329,696)

 

   $ 592,334,669  

Other Assets, Less Liabilities — (3.8)%

 

   $ (21,462,356 ) 

Net Assets — 100.0%

 

   $ 570,872,313  

The percentage shown for each investment category in the Portfolio of Investments is based on net assets.

 

 

  24   See Notes to Financial Statements.

Core Bond Portfolio

December 31, 2021

 

Portfolio of Investments — continued

 

 

  (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 December 31, 2021, the aggregate value of these securities is $184,389,185 or 32.3% of the Portfolio’s net assets.

 

  (2) 

Variable rate security. The stated interest rate represents the rate in effect at December 31, 2021.

 

  (3) 

Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at December 31, 2021.

 

  (4) 

Step coupon security. Interest rate represents the rate in effect at December 31, 2021.

 

  (5) 

Represents an investment in an issuer that may be deemed to be an affiliate effective March 1, 2021 (see Note 7).

 

  (6) 

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.

 

  (7) 

Security converts to variable rate after the indicated fixed-rate coupon period.

 

  (8) 

Perpetual security with no stated maturity date but may be subject to calls by the issuer.

  (9) 

Variable rate security. The stated interest rate, which resets quarterly, is determined at auction and represents the rate in effect at December 31, 2021.

 

  (10) 

Amount is less than 0.05%.

 

  (11) 

Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”). Base lending rates may be subject to a floor, or a minimum rate. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold.

 

  (12) 

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 December 31, 2021.

 

 

Futures Contracts  
Description    Number of
Contracts		      Position      Expiration
Date		      Notional
Amount		      Value/Unrealized
Appreciation
(Depreciation)		  

Interest Rate Futures

               
U.S. 2-Year Treasury Note      278        Long        3/31/22      $ 60,651,781      $ (20,713 ) 
U.S. 5-Year Treasury Note      126        Long        3/31/22        15,243,047        33,651  
U.S. 10-Year Treasury Note      38        Long        3/22/22        4,957,812        56,051  
U.S. Ultra-Long Treasury Bond      109        Long        3/22/22        21,486,625        495,583  
U.S. Ultra 10-Year Treasury Note      (320 )       Short        3/22/22        (46,860,000 )       (794,052 ) 
       $ (229,480 ) 

Abbreviations:

 

LIBOR   –   London Interbank Offered Rate
PPTT   –   Preferred Pass-Through Trust
SOFR   –   Secured Overnight Financing Rate
TBA   –   To Be Announced
Currency Abbreviations:
USD   –   United States Dollar

 

  25   See Notes to Financial Statements.

Core Bond Portfolio

December 31, 2021

 

Statement of Assets and Liabilities

 

 

Assets    December 31, 2021  

Unaffiliated investments, at value (identified cost, $545,325,163)

    $ 549,712,716  

Affiliated investments, at value (identified cost, $43,004,533)

      42,621,953  

Cash

      50,456  

Deposits for derivatives collateral — financial futures contracts

      681,942  

Interest receivable

      2,518,946  

Interest and dividends receivable from affiliated investments

      10,816  

Receivable for investments sold

      6,779,416  

Receivable for variation margin on open financial futures contracts

      156,949  

Total assets

    $ 602,533,194  
Liabilities         

Payable for when-issued/delayed delivery/forward commitment securities

    $ 31,340,523  

Payable to affiliates:

   

Investment adviser fee

      219,005  

Trustees’ fees

      6,878  

Other

      125  

Accrued expenses

      94,350  

Total liabilities

    $ 31,660,881  

Net Assets applicable to investors’ interest in Portfolio

    $ 570,872,313  

 

  26   See Notes to Financial Statements.

Core Bond Portfolio

December 31, 2021

 

Statement of Operations

 

 

Investment Income   

Year Ended

December 31, 2021

  

Interest (net of foreign taxes, $659)

    $ 13,974,476  

Dividends (net of foreign taxes, $3,910)

      298,692  

Interest and dividends from affiliated investments

      153,142  

Total investment income

    $ 14,426,310  
Expenses         

Investment adviser fee

    $ 2,548,345  

Trustees’ fees and expenses

      27,413  

Custodian fee

      152,476  

Legal and accounting services

      69,351  

Miscellaneous

      14,974  

Total expenses

    $ 2,812,559  

Deduct —

   

Allocation of expenses to affiliate

    $ 35,527  

Total expense reductions

    $ 35,527  

Net expenses

    $ 2,777,032  

Net investment income

    $ 11,649,278  
Realized and Unrealized Gain (Loss)         

Net realized gain (loss) —

   

Investment transactions

    $ 8,019,256  

Investment transactions — affiliated investments

      182,763  

Financial futures contracts

      310,967  

Net realized gain

    $ 8,512,986  

Change in unrealized appreciation (depreciation) —

   

Investments

    $ (15,693,080 ) 

Investments — affiliated investments

      (193,439 ) 

Financial futures contracts

      (146,244 ) 

Net change in unrealized appreciation (depreciation)

    $ (16,032,763 ) 

Net realized and unrealized loss

    $ (7,519,777 ) 

Net increase in net assets from operations

    $ 4,129,501  

 

  27   See Notes to Financial Statements.

Core Bond Portfolio

December 31, 2021

 

Statements of Changes in Net Assets

 

 

     Year Ended December 31,  
Increase (Decrease) in Net Assets    2021      2020  

From operations —

      

Net investment income

    $ 11,649,278      $ 13,749,867  

Net realized gain

      8,512,986        16,372,622  

Net change in unrealized appreciation (depreciation)

      (16,032,763 )       10,973,429  

Net increase in net assets from operations

    $ 4,129,501      $ 41,095,918  

Capital transactions —

      

Contributions

    $ 73,755,473      $ 80,326,660  

Withdrawals

      (82,966,119 )       (135,858,908 ) 

Net decrease in net assets from capital transactions

    $ (9,210,646 )     $ (55,532,248 ) 

Net decrease in net assets

    $ (5,081,145 )     $ (14,436,330 ) 
Net Assets                  

At beginning of year

    $ 575,953,458      $ 590,389,788  

At end of year

    $ 570,872,313      $ 575,953,458  

 

  28   See Notes to Financial Statements.

Core Bond Portfolio

December 31, 2021

 

Financial Highlights

 

 

     Year Ended December 31,  
Ratios/Supplemental Data    2021      2020      2019      2018     2017  

Ratios (as a percentage of average daily net assets):

              

Expenses(1)

      0.49 %       0.49 %       0.49 %       0.49 %      0.49 % 

Net investment income

      2.06 %       2.46 %       2.86 %       2.98 %      2.46 % 

Portfolio Turnover

      122 %(2)       93 %(2)       89 %       65 %      123 % 

Total Return(1)

      0.70 %       8.16 %       9.28 %       (0.50 )%      4.48 % 

Net assets, end of year (000’s omitted)

    $ 570,872      $ 575,953      $ 590,390      $ 506,016     $ 479,364  

 

(1) 

The investment adviser reimbursed certain operating expenses (equal to 0.01%, 0.01%, 0.01%, 0.02% and 0.01% of average daily net assets for the years ended December 31, 2021, 2020, 2019, 2018 and 2017, respectively). Absent this reimbursement, total return would be lower.

 

(2) 

Includes the effect of To Be Announced (TBA) transactions.

 

  29   See Notes to Financial Statements.

Core Bond Portfolio

December 31, 2021

 

Notes to Financial Statements

 

 

1  Significant Accounting Policies

Core Bond Portfolio (the Portfolio) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a diversified, open-end management investment company. The Portfolio’s investment objectives are to seek current income and total return. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. At December 31, 2021, Eaton Vance Balanced Fund and Eaton Vance Core Bond Fund held an interest of 76.0% and 24.0%, 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 ask 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 debt 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.

Preferred Securities. Preferred securities listed on a U.S. securities exchange generally are valued at the last sale or closing price on the day of valuation or, if no sales took place on such date, at the mean between the closing bid and ask prices on the exchange where such securities are principally traded. Preferred securities listed on the NASDAQ National Market System are valued at the NASDAQ official closing price. Preferred securities that are not listed or traded in the over-the-counter market are valued by a third party pricing service that uses various techniques that consider factors including, but not limited to, prices or yields of securities with similar characteristics, benchmark yields, broker/dealer quotes, quotes of underlying common stock, issuer spreads, as well as industry and economic events.

Senior Floating-Rate Loans. Interests in senior floating-rate loans (Senior Loans) for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service.

Derivatives. U.S. exchange-traded options are valued at the mean between the bid and ask prices at valuation time as reported by the Options Price Reporting Authority. Non-U.S. exchange-traded options and over-the-counter options 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.

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 most fairly reflects the security’s “fair value”, which is 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 statements, 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. 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 and dividends have been provided for in accordance with the Portfolio’s understanding of the applicable countries’ tax rules and rates.

D  Federal Taxes — The Portfolio has elected to be treated as a partnership for federal tax purposes. No provision is made by the Portfolio for federal or state taxes on any taxable income of the Portfolio because each investor in the Portfolio is ultimately responsible for the payment of any taxes on its share of taxable income. Since at least one of the Portfolio’s investors is a regulated investment company that invests all or substantially all of its assets in the Portfolio, the Portfolio normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order

 

  30  

Core Bond Portfolio

December 31, 2021

 

Notes to Financial Statements — continued

 

 

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.

As of December 31, 2021, 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  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.

F  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.

G  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. 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.

H  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.

I  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 exercise price of the option (in the case of a put) or equal to any appreciation in the value of the index 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. 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.

J  When-Issued Securities and Delayed Delivery Transactions — The Portfolio may purchase securities on a delayed delivery, when-issued or forward commitment basis, including TBA (To Be Announced) securities. Payment and delivery may take place after the customary settlement period for that security. At the time the transaction is negotiated, the price of the security that will be delivered is fixed. The Portfolio maintains cash and/or security positions for these commitments such that sufficient liquid assets will be available to make payments upon settlement. Securities purchased on a delayed delivery, when-issued or forward commitment basis are marked-to-market daily and begin earning interest on settlement date. Such security purchases are subject to the risk that when delivered they will be worth less than the agreed upon payment price. Losses may arise if the counterparty does not perform under the contract. A forward purchase commitment may be closed by entering into an offsetting commitment. If an offsetting commitment is entered into, the Portfolio will realize a gain or loss on investments based on the price established when the Portfolio entered into the commitment.

2  Investment Adviser Fee and Other Transactions with Affiliates

The investment adviser fee is earned by Boston Management and Research (BMR) as compensation for investment advisory services rendered to the Portfolio. On March 1, 2021, Morgan Stanley acquired Eaton Vance Corp. (the “Transaction”) and BMR became an indirect, wholly-owned subsidiary of Morgan Stanley. In connection with the Transaction, the Portfolio entered into a new investment advisory agreement (the “New Agreement”) with BMR, which took effect on March 1, 2021. The Portfolio’s prior fee reduction agreement was incorporated into the New Agreement. Pursuant to the New

 

  31  

Core Bond Portfolio

December 31, 2021

 

Notes to Financial Statements — continued

 

 

Agreement (and the Portfolio’s investment advisory agreement and related fee reduction agreement with BMR in effect prior to March 1, 2021), the investment adviser fee is computed at an annual rate as a percentage of the Portfolio’s average daily net assets as follows and is payable monthly:

 

Average Daily Net Assets    Annual Fee
Rate		  

Up to $1 billion

      0.450 % 

$1 billion up to $2 billion

      0.425 % 

$2 billion up to $5 billion

      0.415 % 

$5 billion and over

      0.405 % 

For the year ended December 31, 2021, the Portfolio’s investment adviser fee amounted to $2,548,345 or 0.45% of the Portfolio’s average daily net assets. Pursuant to an expense reimbursement, BMR was allocated $35,527 of the Portfolio’s operating expenses for the year ended December 31, 2021. The Portfolio may invest 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 year ended December 31, 2021, no significant amounts have been deferred. Certain officers and Trustees of the Portfolio are officers of the above organizations.

3  Purchases and Sales of Investments

Purchases and sales of investments, other than short-term obligations and including maturities, paydowns, principal repayments on Senior Loans and TBA transactions, for the year ended December 31, 2021 were as follows:

 

      Purchases      Sales  

Investments (non-U.S. Government)

    $ 188,586,742      $ 194,213,982  

U.S. Government and Agency Securities

      514,396,239        510,676,933  
     $ 702,982,981      $ 704,890,915  

4  Federal Income Tax Basis of Investments

The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Portfolio at December 31, 2021, as determined on a federal income tax basis, were as follows:

 

Aggregate cost

    $ 588,776,345  

Gross unrealized appreciation

    $ 8,976,610  

Gross unrealized depreciation

      (5,418,286 ) 

Net unrealized appreciation

    $ 3,558,324  

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 futures 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 December 31, 2021 is included in the Portfolio of Investments. At December 31, 2021, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.

 

  32  

Core Bond Portfolio

December 31, 2021

 

Notes to Financial Statements — continued

 

 

The Portfolio is subject to interest rate risk in the normal course of pursuing its investment objectives. Because the Portfolio holds fixed-rate bonds, the value of these bonds may decrease if interest rates rise. The Portfolio enters into U.S. Treasury futures contracts and options thereon to hedge against fluctuations in interest rates.

The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is interest rate risk at December 31, 2021 was as follows:

 

     Fair Value  
Derivative    Asset Derivative(1)      Liability Derivative(1)  

Financial futures contracts

    $ 585,285      $ (814,765 ) 

 

(1) 

Only the current day’s variation margin on open futures contracts is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open financial futures contracts, as applicable.

The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is interest rate risk for the year ended December 31, 2021 was as follows:

 

Derivative    Realized Gain (Loss)
on Derivatives Recognized
in Income(1)		      Change in Unrealized
Appreciation (Depreciation) on
Derivatives Recognized in Income(2)		  

Purchased options

    $ (43,749 )     $ —  

Financial futures contracts

      310,967        (146,244 ) 

Total

    $ 267,218      $ (146,244 ) 

 

(1) 

Statement of Operations location: Net realized gain (loss) – Investment transactions and Financial futures contracts, respectively.

 

(2) 

Statement of Operations location: Change in unrealized appreciation (depreciation) – Financial futures contracts.

The average notional cost of futures contracts outstanding during the year ended December 31, 2021, which is indicative of the volume of this derivative type, was approximately as follows:

 

Futures
Contracts — Long		     Futures
Contracts — Short		  
  $60,261,000     $ 64,450,000  

The average number of purchased options contracts outstanding during the year ended December 31, 2021, which is indicative of the volume of this derivative type, was 15 contracts.

6  Line of Credit

The Portfolio participates with other portfolios and funds managed by EVM and its affiliates in an $800 million unsecured line of credit agreement with a group of banks, which is in effect through October 25, 2022. Borrowings are made by the Portfolio solely for temporary purposes related to redemptions and other short-term cash needs. Interest is charged to the Portfolio based on its borrowings at an amount above either the Secured Overnight Financing Rate (SOFR) 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. In connection with the renewal of the agreement in October 2021, an arrangement fee totaling $150,000 was incurred that was allocated to the participating portfolios and funds. Because the line of credit is not available exclusively to the Portfolio, it may be unable to borrow some or all of its requested amounts at any particular time. The Portfolio did not have any significant borrowings or allocated fees during the year ended December 31, 2021.

 

  33  

Core Bond Portfolio

December 31, 2021

 

Notes to Financial Statements — continued

 

 

7  Investments in Affiliated Issuers and Funds

The Portfolio invested in issuers that may be deemed to be affiliated with Morgan Stanley. At December 31, 2021, the value of the Portfolio’s investment in affiliated issuers and funds was $42,621,953, which represents 7.5% of the Portfolio’s net assets. Transactions in affiliated issuers and funds by the Portfolio for the year ended December 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

    

Interest/

Dividend
income

    

Principal

amount/

Units, end

of period

  

Commercial Mortgage-Backed Securities

                

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C29, Class C, 4.729%, 5/15/49(1)

   $ —     $ —     $ —     $ —     $ (35,084 )    $ 1,014,911     $ 39,863     $ 993,200  

Morgan Stanley Capital I Trust:

                

Series 2016-UBS12, Class D, 3.312%, 12/15/49(1)

     —       —       —       —       4,730       1,017,226       60,360       1,745,000  

Series 2019-BPR, Class A, 1.51%, (1 mo. USD LIBOR + 1.40%), 5/15/36(1)

     —       —       —       —       40,991       2,493,382       32,165       2,521,000  

Corporate Bonds

                

Morgan Stanley:

                

0.71%, (SOFR + 0.70%), 1/20/23(1)

     —       —       (4,546,503 )      12,503       (21,490 )      —       2,375       —  

3.772% to 1/24/28, 1/24/29(1)

     —       —       (1,142,216 )      122,216       (125,574 )      —       214       —  

4.875%, 11/1/22(1)

     —       —       (1,207,629 )      50,463       (57,012 )      —       3,716       —  

Short-Term Investments

                

Eaton Vance Cash Reserves Fund, LLC

     52,287,209       255,377,689       (269,566,045 )      (2,419 )      —       38,096,434       14,449       38,100,244  

Totals

                           $ 182,763     $ (193,439 )    $ 42,621,953     $ 153,142          

 

(1) 

Affiliated issuer/May be deemed to be an affiliated issuer as of March 1, 2021 (see Note 2).

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.

 

  34  

Core Bond Portfolio

December 31, 2021

 

Notes to Financial Statements — continued

 

 

At December 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  

Asset-Backed Securities

    $ —      $ 75,941,311      $         —      $ 75,941,311  

Collateralized Mortgage Obligations

      —        24,422,967        —        24,422,967  

Commercial Mortgage-Backed Securities

      —        54,748,320        —        54,748,320  

U.S. Government Agency Mortgage-Backed Securities

      —        61,041,649        —        61,041,649  

Corporate Bonds

      —        218,693,739        —        218,693,739  

Preferred Securities

      4,953,940        —        —        4,953,940  

Senior Floating-Rate Loans

      —        6,791,623        —        6,791,623  

Sovereign Government Bonds

      —        7,082,768        —        7,082,768  

Taxable Municipal Obligations

      —        11,197,839        —        11,197,839  

U.S. Treasury Obligations

      —        89,364,079        —        89,364,079  

Short-Term Investments

      —        38,096,434        —        38,096,434  

Total Investments

    $ 4,953,940      $ 587,380,729      $ —      $ 592,334,669  

Futures Contracts

    $ 585,285      $ —      $ —      $ 585,285  

Total

    $ 5,539,225      $ 587,380,729      $ —      $ 592,919,954  

Liability Description

                                    

Futures Contracts

    $ (814,765 )     $ —      $ —      $ (814,765 ) 

Total

    $ (814,765 )     $ —      $ —      $ (814,765 ) 

9  Risks and Uncertainties

Pandemic Risk

An outbreak of respiratory disease caused by a novel coronavirus was first detected in China in late 2019 and subsequently spread internationally. This coronavirus has resulted in closing borders, enhanced health screenings, changes to healthcare service preparation and delivery, quarantines, cancellations, disruptions to supply chains and customer activity, as well as general concern and uncertainty. Health crises caused by outbreaks, such as the coronavirus outbreak, may exacerbate other pre-existing political, social and economic risks and disrupt normal market conditions and operations. The impact of this outbreak has negatively affected the worldwide economy, the economies of individual countries, individual companies, and the market in general, and may continue to do so in significant and unforeseen ways, as may other epidemics and pandemics that may arise in the future. Any such impact could adversely affect the Portfolio’s performance, or the performance of the securities in which the Portfolio invests.

 

  35  

Core Bond Portfolio

December 31, 2021

 

Report of Independent Registered Public Accounting Firm

 

 

To the Trustees and Investors of Core Bond Portfolio:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of Core Bond Portfolio (the “Portfolio”), including the portfolio of investments, as of December 31, 2021, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2021, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Portfolio is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities and senior loans owned as of December 31, 2021, by correspondence with the custodian, brokers and selling or agent banks; when replies were not received from brokers and selling or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

February 23, 2022

We have served as the auditor of one or more Eaton Vance investment companies since 1959.

 

  36  

Eaton Vance

Core Bond Fund

December 31, 2021

 

Management and Organization

 

 

Fund Management.  The Trustees of Eaton Vance Special Investment Trust (the Trust) and Core Bond Portfolio (the Portfolio) are responsible for the overall management and supervision of the Trust and the Portfolio’s affairs. The Board members and officers of the Trust and the Portfolio are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Board members hold indefinite terms of office. Each Trustee holds office until his or her successor is elected and qualified, subject to a prior death, resignation, retirement, disqualification or removal. Under the terms of the Fund’s and the Portfolio’s current Trustee retirement policy, an Independent Trustee must retire and resign as a Trustee on the earlier of: (i) the first day of July following his or her 74th birthday; or (ii), with limited exception, December 31st of the 20th year in which he or she has served as a Trustee. However, if such retirement and resignation would cause the Fund or Portfolio to be out of compliance with Section 16 of the 1940 Act or any other regulations or guidance of the SEC, then such retirement and resignation will not become effective until such time as action has been taken for the Fund or Portfolio to be in compliance therewith. The “noninterested Trustees” consist of those Trustees who are not “interested persons” of the Trust and the Portfolio, as that term is defined under the 1940 Act. The business address of each Board member and officer is Two International Place, Boston, Massachusetts 02110. As used below, “BMR” refers to Boston Management and Research, “EVC” refers to Eaton Vance Corp., “EV” refers to EV LLC, “EVM” refers to Eaton Vance Management and “EVD” refers to Eaton Vance Distributors, Inc. EV is the trustee of each of EVM and BMR. Effective March 1, 2021, each of EVM, BMR, EVD and EV are indirect, wholly owned subsidiaries of Morgan Stanley. Each officer affiliated with EVM may hold a position with other EVM affiliates that is comparable to his or her position with EVM listed below. Each Trustee oversees 138 funds (with the exception of Messrs. Faust and Wennerholm and Ms. Frost who oversee 137 funds) in the Eaton Vance fund complex (including both funds and portfolios in a hub and spoke structure).

 

Name and Year of Birth    Trust/Portfolio
Position(s)		      Length of Service     

Principal Occupation(s) and Other Directorships

During Past Five Years and Other Relevant Experience

Interested Trustee              

Thomas E. Faust Jr.

1958

    Trustee      Since 2007     

Chairman of Morgan Stanley Investment Management, Inc. (MSIM), member of the Board of Managers and President of EV, Chief Executive Officer of EVM and BMR, and Director of EVD. Formerly, Chairman, Chief Executive Officer and President of EVC. Mr. Faust is an interested person because of his positions with MSIM, BMR, EVM, EVD, and EV, which are affiliates of the Trust and the Portfolio, and his former position with EVC, which was an affiliate of the Trust and the Portfolio prior to March 1, 2021.

Other Directorships. Formerly, Director of EVC (2007-2021) and Hexavest Inc. (investment management firm) (2012-2021).

Noninterested Trustees              

Mark R. Fetting

1954

    Trustee      Since 2016     

Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000).

Other Directorships. None.

Cynthia E. Frost

1961

    Trustee      Since 2014     

Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985).

Other Directorships. None.

George J. Gorman

1952

    Chairperson of the Board and Trustee      Since 2021 (Chairperson) and 2014 (Trustee)     

Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009).

Other Directorships. None.

Valerie A. Mosley

1960

    Trustee      Since 2014     

Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUP, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990).

Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Groupon, Inc. (e-commerce provider) (since April 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020).

 

  37  

Eaton Vance

Core Bond Fund

December 31, 2021

 

Management and Organization — continued

 

 

Name and Year of Birth    Trust/Portfolio
Position(s)		      Length of Service     

Principal Occupation(s) and Other Directorships

During Past Five Years and Other Relevant Experience

Noninterested Trustees (continued)              

William H. Park

1947

    Trustee      Since 2003     

Private investor. Formerly, Consultant (management and transactional) (2012-2014). Formerly, Chief Financial Officer, Aveon Group L.P. (investment management firm) (2010-2011). Formerly, Vice Chairman, Commercial Industrial Finance Corp. (specialty finance company) (2006-2010). Formerly, President and Chief Executive Officer, Prizm Capital Management, LLC (investment management firm) (2002-2005). Formerly, Executive Vice President and Chief Financial Officer, United Asset Management Corporation (investment management firm) (1982-2001). Formerly, Senior Manager, Price Waterhouse (now PricewaterhouseCoopers) (a registered public accounting firm) (1972-1981).

Other Directorships. None.

Helen Frame Peters

1948

    Trustee      Since 2008     

Professor of Finance, Carroll School of Management, Boston College. Formerly, Dean, Carroll School of Management, Boston College (2000-2002). Formerly, Chief Investment Officer, Fixed Income, Scudder Kemper Investments (investment management firm) (1998-1999). Formerly, Chief Investment Officer, Equity and Fixed Income, Colonial Management Associates (investment management firm) (1991-1998).

Other Directorships. None.

Keith Quinton

1958

    Trustee      Since 2018     

Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014).

Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank.

Marcus L. Smith

1966

    Trustee      Since 2018     

Private investor. Formerly, Portfolio Manager at MFS Investment Management (investment management firm) (1994-2017).

Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018).

Susan J. Sutherland

1957

    Trustee      Since 2015     

Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013).

Other Directorships. Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (since 2021).

Scott E. Wennerholm

1959

    Trustee      Since 2016     

Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997).

Other Directorships. None.

 

Name and Year of Birth    Trust/Portfolio
Position(s)		      Length of Service     

Principal Occupation(s)

During Past Five Years

Principal Officers who are not Trustees       

Eric A. Stein

1980

    President of the Trust      Since 2020      Vice President and Chief Investment Officer, Fixed Income of EVM and BMR. Prior to November 1, 2020, Mr. Stein was a co-Director of Eaton Vance’s Global Income Investments. Also Vice President of Calvert Research and Management (“CRM”).

Deidre E. Walsh

1971

    Vice President and Chief Legal Officer      Since 2009      Vice President of EVM and BMR. Also Vice President of CRM.

 

  38  

Eaton Vance

Core Bond Fund

December 31, 2021

 

Management and Organization — continued

 

 

Name and Year of Birth    Trust/Portfolio
Position(s)		      Length of Service     

Principal Occupation(s)

During Past Five Years

Principal Officers who are not Trustees (continued)       

James F. Kirchner

1967

    Treasurer      Since 2007      Vice President of EVM and BMR. Also Vice President of CRM.

Jill R. Damon

1984

    Secretary      Since 2022      Vice President of EVM and BMR since 2017. Formerly, associate at Dechert LLP (2009-2017).

Richard F. Froio

1968

    Chief Compliance Officer      Since 2017      Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012).

The SAI for the Fund includes additional information about the Trustees and officers of the Trust and the Portfolio and can be obtained without charge on Eaton Vance’s website at www.eatonvance.com or by calling 1-800-262-1122.

 

  39  

Eaton Vance Funds

 

Privacy Notice    April 2021

 

 

FACTS    WHAT DOES EATON VANCE DO WITH YOUR
PERSONAL INFORMATION?
      
  
Why?    Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.
   
      
What?   

The types of personal information we collect and share depend on the product or service you have with us. This information can include:

 

∎   Social Security number and income

∎   investment experience and risk tolerance

∎   checking account number and wire transfer instructions

   
      
How?    All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing.
   
      

 

Reasons we can share your
personal information		    Does Eaton Vance share?    Can you limit this sharing?
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus    Yes    No
For our marketing purposes — to offer our products and services to you    Yes    No
For joint marketing with other financial companies    No    We don’t share
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness    Yes    Yes
For our affiliates’ everyday business purposes — information about your transactions and experiences    Yes    No
For our affiliates’ everyday business purposes — information about your creditworthiness    No    We don’t share
For our investment management affiliates to market to you    Yes    Yes
For our affiliates to market to you    No    We don’t share
For nonaffiliates to market to you    No    We don’t share

 

To limit our sharing   

Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com

 

Please note:

 

If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing.

   
      
   
Questions?    Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com
   
      

 

  40  

Eaton Vance Funds

 

Privacy Notice — continued    April 2021

 

 

Page 2     

 

Who we are
Who is providing this notice?   Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below)
What we do
How does Eaton Vance protect my personal information?   To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information.
How does Eaton Vance collect my personal information?  

We collect your personal information, for example, when you

 

∎   open an account or make deposits or withdrawals from your account

∎   buy securities from us or make a wire transfer

∎   give us your contact information

 

We also collect your personal information from others, such as credit bureaus, affiliates, or other companies.

Why can’t I limit all sharing?  

Federal law gives you the right to limit only

 

∎   sharing for affiliates’ everyday business purposes — information about your creditworthiness

∎   affiliates from using your information to market to you

∎   sharing for nonaffiliates to market to you

 

State laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law.

Definitions
Investment Management Affiliates   Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker-dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co.
Affiliates  

Companies related by common ownership or control. They can be financial and nonfinancial companies.

 

∎   Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co.

Nonaffiliates  

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

 

∎   Eaton Vance does not share with nonaffiliates so they can market to you.

Joint marketing  

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

 

∎   Eaton Vance doesn’t jointly market.

Other important information

Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.

 

California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us.

 

  41  

Eaton Vance Funds

 

IMPORTANT NOTICES

 

 

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 intermediary, may household the mailing of your documents indefinitely unless you instruct Eaton Vance, or your financial intermediary, 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 intermediary. 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 intermediary.

Portfolio Holdings.  Each Eaton Vance Fund and its underlying Portfolio(s) (if applicable) files a schedule of portfolio holdings on Part F to Form N-PORT with the SEC. Certain information filed on Form N-PORT may be viewed 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.

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.

 

  42  

This Page Intentionally Left Blank

This Page Intentionally Left Blank

Investment Adviser of Core Bond Portfolio

Boston Management and Research

Two International Place

Boston, MA 02110

Investment Adviser and Administrator of Eaton Vance Core Bond 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

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

200 Berkeley Street

Boston, MA 02116-5022

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.

 

2978    12.31.21

Item 2. Code of Ethics

The registrant (sometimes referred to as the “Fund” has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-262-1122. The registrant has not amended the code of ethics as described in Form N-CSR during the period covered by this report. The registrant has not granted any waiver, including an implicit waiver, from a provision of the code of ethics as described in Form N-CSR during the period covered by this report.

Item 3. Audit Committee Financial Expert

The registrant’s Board of Trustees (the “Board”) has designated George J. Gorman, William H. Park and Scott E. Wennerholm, each an independent trustee, as audit committee financial experts. Mr. Gorman is a certified public accountant who is the Principal at George J. Gorman LLC (a consulting firm). Previously, Mr. Gorman served in various capacities at Ernst & Young LLP (a registered public accounting firm), including as Senior Partner. Mr. Gorman also has experience serving as an independent trustee and audit committee financial

expert of other mutual fund complexes. Mr. Park is a certified public accountant who is a private investor. Previously, he served as a consultant, as the Chief Financial Officer of Aveon Group, L.P. (an investment management firm), as the Vice Chairman of Commercial Industrial Finance Corp. (specialty finance company), as President and Chief Executive Officer of Prizm Capital Management, LLC (investment management firm), as Executive Vice President and Chief Financial Officer of United Asset Management Corporation (an institutional investment management firm) and as a Senior Manager at Price Waterhouse (now PricewaterhouseCoopers) (a registered public accounting firm). Mr. Wennerholm is a private investor. Previously, Mr. Wennerholm served as a Trustee at Wheelock College (postsecondary institution), as a Consultant at GF Parish Group (executive recruiting firm), Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm), Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm), and Vice President at Fidelity Investments Institutional Services (investment management firm).

Item 4. Principal Accountant Fees and Services

(a)-(d)

The following table presents the aggregate fees billed to the registrant for the registrant’s fiscal years ended December 31, 2020 and December 31, 2021 by the registrant’s principal accountant, Deloitte & Touche LLP (“D&T”), for professional services rendered for the audit of the registrant’s annual financial statements and fees billed for other services rendered by D&T during such periods.

 

Fiscal Years Ended

    12/31/20      12/31/21  

Audit Fees

    $ 56,225      $ 47,700  

Audit-Related Fees(1)

    $ 0      $ 0  

Tax Fees(2)

    $ 19,213      $ 19,213  

All Other Fees(3)

    $ 0      $ 0  
  

 

 

     

 

 

  

Total

    $ 75,438      $ 66,913  
  

 

 

     

 

 

  

 

(1) 

Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under the category of audit fees.

(2) 

Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other related tax compliance/planning matters.

(3) 

All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services.

(e)(1) The registrant’s audit committee has adopted policies and procedures relating to the pre-approval of services provided by the registrant’s principal accountant (the “Pre-Approval Policies”). The Pre-Approval Policies establish a framework intended to assist the audit committee in the proper discharge of its pre-approval responsibilities. As a general matter, the Pre-Approval Policies (i) specify certain types of audit, audit-related, tax, and other services determined to be pre-approved by the audit committee; and (ii) delineate specific procedures governing the mechanics of the pre-approval process, including the approval and monitoring of audit and non-audit service fees. Unless a service is specifically pre-approved under the Pre-Approval Policies, it must be separately pre-approved by the audit committee.

The Pre-Approval Policies and the types of audit and non-audit services pre-approved therein must be reviewed and ratified by the registrant’s audit committee at least annually. The registrant’s audit committee maintains full responsibility for the appointment, compensation, and oversight of the work of the registrant’s principal accountant.

(e)(2) No services described in paragraphs (b)-(d) above were approved by the registrant’s audit committee pursuant to the “de minimis exception” set forth in Rule 2-01 (c)(7)(i)(C) of Regulation S-X.

(f) Not applicable

(g) The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the registrant by D&T for the registrant’s fiscal years ended December 31, 2020 and December 31, 2021; and (ii) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the Eaton Vance organization by D&T for the same time periods.

 

Fiscal Years Ended

    12/31/20      12/31/21  

Registrant

    $ 19,213      $ 19,213  

Eaton Vance(1)

    $ 150,300      $ 51,800  

 

(1) 

The investment adviser to the registrant, as well as any of its affiliates that provide ongoing services to the registrant, are subsidiaries of Morgan Stanley.

(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed Registrants

Not 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 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.

 

Core Bond Portfolio
By:  

/s/ Eric A. Stein

  Eric A. Stein
  President

Date: February 23, 2022

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: February 23, 2022

 

By:  

/s/ Eric A. Stein

  Eric A. Stein
  President

Date: February 23, 2022