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: 811-21323
Eaton Vance Limited Duration Income Fund
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrants Telephone Number)
March 31
Date of Fiscal Year End
March 31, 2021
Date of Reporting Period
Item 1. | Reports to Stockholders |
Eaton Vance
Limited Duration Income Fund (EVV)
Annual Report
March 31, 2021
Commodity Futures Trading Commission Registration. The Commodity Futures Trading Commission (CFTC) has adopted regulations that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The investment adviser has claimed an exclusion from the definition of commodity pool operator under the Commodity Exchange Act with respect to its management of the Fund. Accordingly, neither the Fund nor the adviser with respect to the operation of the Fund is subject to CFTC regulation. Because of its management of other strategies, the Funds adviser is registered with the CFTC as a commodity pool operator. The adviser is also registered as a commodity trading advisor.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested.
Annual Report March 31, 2021
Eaton Vance
Limited Duration Income Fund
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The Funds Investment Objectives, Principal Strategies |
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Eaton Vance
Limited Duration Income Fund
March 31, 2021
Managements Discussion of Fund Performance1
Economic and Market Conditions
As the 12-month period ended March 31, 2021 began, the COVID-19 pandemic led to a flight to quality that sparked a brief fixed-income market rally. It also ended the longest-ever period of U.S. economic expansion and brought about a global economic slowdown. Credit markets, along with equity markets, declined in value amid unprecedented volatility.
In response, the U.S. Federal Reserve (the Fed) announced two emergency rate cuts in March 2020, along with other measures designed to shore up credit markets. At its July meeting, the Fed provided additional reassurances that it would maintain rates close to zero percent for the foreseeable future and use all tools at its disposal to support the U.S. economy. These actions helped calm investment markets and reinforced the fixed-income rally that began in April and lasted through most of the summer.
Midway through August, however, the fixed-income rally stalled as investors grew concerned about a resurgence of what had become known as COVID-19 and the consequences for the nascent economic recovery. In the fourth quarter 2020, positive vaccine news and ongoing policy support lifted investor sentiment, producing broad gains in risk markets and adding to positive returns from the second and third quarters of the year.
In the fourth quarter, the Fed held rates steady and continued its asset purchase program. Overseas, major central banks also held rates low, and the European Central Bank and Bank of England increased the sizes of their bond-buying programs. France and Japan, among others, unveiled new COVID-19 aid packages. After prolonged negotiations, the U.S. Congress passed a $900-billion economic stimulus package in the final days of 2020.
For the period as a whole, most fixed-income asset classes delivered modestly positive returns. The Bloomberg Barclays U.S. Aggregate Bond Index, a broad measure of the U.S. bond market, returned 0.71% during the period and the ICE BofA U.S. Mortgage-Backed Securities Index returned 0.10% during the same period. Although several asset classes delivered outsized returns over the period the ICE BofA U.S. High Yield Index returned 23.31% and the S&P/LSTA Leveraged Loan Index, a broad measure of floating-rate loans, returned 20.71% those returns became more moderate in the final months of the period amid building concern that a new round of federal stimulus and an upsurge in economic growth could start fueling inflation and push rates higher.
Fund Performance
For the fiscal year ended March 31, 2021, Eaton Vance Limited Duration Income Fund (the Fund) had a total return of 27.62% at net asset value of its common shares (NAV). By comparison, the blended benchmark of 33.33% S&P/LSTA Leveraged Loan Index (Loan Index), 33.34% ICE BofA U.S. Mortgage-Backed Securities Index (MBS Index) and 33.33% ICE BofA B U.S. High Yield Index (High Yield Index) (the Blended Index) returned 13.91% for the same 12-month period.
For the Funds benchmark allocations, investments in floating-rate corporate loans was a relative contributor to the Funds performance, as this allocation outperformed the Loan Index during the 12-month period. In particular, the Funds modest allocation to collateralized loan obligations (CLOs) contributed to performance relative to the Loan Index, as CLOs prices rose during the 12-month period. The Loan Index does not include CLOs. Additionally, loan selection in the financial intermediaries, home furnishings and cable & satellite television industries aided relative performance to the Loan Index. On the other hand, underweights to the volatile oil & gas and retailers segments and selection within those industries detracted from the Funds performance versus the Loan Index.
The Funds exposure to mortgage-backed securities (MBS) had a positive contribution to Fund performance versus the MBS Index during the 12-month period, as the Funds MBS sleeve outperformed the MBS Index. In the agency MBS market, record low mortgage rates sparked a wave of refinancing activity, which led to a spike in supply of new MBS. The extremely hot U.S. housing market further exacerbated the glut of MBS supply. Thankfully, the Fed asset purchase program, which includes substantial purchases of agency MBS, served as an offsetting source of demand. Agency MBS spreads are likely to remain well supported by the Feds program for the foreseeable future.
The Funds allocation to high-yield corporate bonds had a positive contribution to the Funds performance relative to the High Yield Index as this portion of the Funds portfolio outperformed the High Yield Index. From a sector perspective, credit selection in the energy, services and leisure sectors contributed the most to the Funds relative performance versus the High Yield Index, while underweight positions in the food, beverage & tobacco and containers sectors were also additive to Fund performance relative to the High Yield Index. Exposure to lower quality, CCC rated securities, along with a small
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated net of management fees and other expenses by determining the percentage change in net asset value (NAV) or market price (as applicable) with all distributions reinvested in accordance with the Funds Dividend Reinvestment Plan. Performance at market price will differ from performance at NAV due to variations in the Funds market price versus NAV, which may reflect factors such as fluctuations in supply and demand for Fund shares, changes in Fund distributions, shifting market expectations for the Funds future returns and distribution rates, and other considerations affecting the trading prices of closed-end funds. Investment return and principal value will fluctuate so that shares, when sold, may be worth more or less than their original cost. Performance for periods less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month-end, please refer to eatonvance.com.
2 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Managements Discussion of Fund Performance1 continued
allocation to bonds rated below CCC, helped the Funds relative performance to the High Yield Index. Meanwhile, overweights to the health care, cable & satellite TV and utilities sectors detracted from the Funds High Yield Index-relative performance. Furthermore, security selection in the health care, gaming and utilities sectors negatively impacted the Funds relative performance to the High Yield Index. An exposure to higher quality, BB rated high yield bonds, as well as bonds rated single-B, hurt the Funds performance relative to the High Yield Index.
For the Funds out-of-benchmark exposures, investment-grade corporate bonds, commercial MBS and emerging market debt, as well as European high-yield bonds and floating-rate loans, all contributed to the Funds performance during the 12-month period relative to the blended benchmark.
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated net of management fees and other expenses by determining the percentage change in net asset value (NAV) or market price (as applicable) with all distributions reinvested in accordance with the Funds Dividend Reinvestment Plan. Performance at market price will differ from performance at NAV due to variations in the Funds market price versus NAV, which may reflect factors such as fluctuations in supply and demand for Fund shares, changes in Fund distributions, shifting market expectations for the Funds future returns and distribution rates, and other considerations affecting the trading prices of closed-end funds. Investment return and principal value will fluctuate so that shares, when sold, may be worth more or less than their original cost. Performance for periods less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month-end, please refer to eatonvance.com.
3 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio Managers Catherine C. McDermott, Andrew Szczurowski, CFA, Eric A. Stein, CFA and Kelley G. Baccei
% Average Annual Total Returns | Inception Date | One Year | Five Years | Ten Years | ||||||||||||
Fund at NAV |
05/30/2003 | 27.62 | % | 6.87 | % | 6.03 | % | |||||||||
Fund at Market Price |
| 32.25 | 7.41 | 5.89 | ||||||||||||
| ||||||||||||||||
Blended Index |
| 13.91 | % | 5.18 | % | 4.38 | % | |||||||||
% Premium/Discount to NAV5 | ||||||||||||||||
6.86 | % | |||||||||||||||
Distributions6 | ||||||||||||||||
Total Distributions per share for the period |
$ | 1.200 | ||||||||||||||
Distribution Rate at NAV |
8.85 | % | ||||||||||||||
Distribution Rate at Market Price |
9.50 | |||||||||||||||
% Total Leverage7 | ||||||||||||||||
Auction Preferred Shares (APS) |
9.15 | % | ||||||||||||||
Borrowings |
24.14 |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated net of management fees and other expenses by determining the percentage change in net asset value (NAV) or market price (as applicable) with all distributions reinvested in accordance with the Funds Dividend Reinvestment Plan. Performance at market price will differ from performance at NAV due to variations in the Funds market price versus NAV, which may reflect factors such as fluctuations in supply and demand for Fund shares, changes in Fund distributions, shifting market expectations for the Funds future returns and distribution rates, and other considerations affecting the trading prices of closed-end funds. Investment return and principal value will fluctuate so that shares, when sold, may be worth more or less than their original cost. Performance for periods less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month-end, please refer to eatonvance.com.
4 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
See Endnotes and Additional Disclosures in this report.
5 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
The Funds Investment Objectives, Principal Strategies and Principal Risks2
See Endnotes and Additional Disclosures in this report.
6 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
The Funds Investment Objectives, Principal Strategies and Principal Risks2 continued
See Endnotes and Additional Disclosures in this report.
7 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
The Funds Investment Objectives, Principal Strategies and Principal Risks2 continued
See Endnotes and Additional Disclosures in this report.
8 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
The Funds Investment Objectives, Principal Strategies and Principal Risks2 continued
See Endnotes and Additional Disclosures in this report.
9 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Endnotes and Additional Disclosures
10 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Endnotes and Additional Disclosures continued
11 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
12 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
13 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
14 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
15 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
16 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
17 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
18 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
19 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
20 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
21 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
22 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
23 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
24 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
25 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
26 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
27 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
28 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
29 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
30 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
31 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
32 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
33 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
34 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
35 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
36 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
37 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
38 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
39 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
40 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
41 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
42 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
43 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
44 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
45 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
46 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
47 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
48 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
49 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
50 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
Centrally Cleared Forward Foreign Currency Exchange Contracts | ||||||||||||||||||
Currency Purchased | Currency Sold | Settlement Date |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||||
EUR | 2,192,471 | USD | 2,576,809 | 4/6/21 | $ | (5,698 | ) | |||||||||||
EUR | 2,406,802 | USD | 2,828,712 | 4/6/21 | (6,255 | ) | ||||||||||||
EUR | 7,528,791 | USD | 8,848,580 | 4/6/21 | (19,567 | ) | ||||||||||||
USD | 9,145,728 | EUR | 7,528,791 | 4/6/21 | 316,715 | |||||||||||||
USD | 2,923,704 | EUR | 2,406,802 | 4/6/21 | 101,247 | |||||||||||||
USD | 2,663,342 | EUR | 2,192,471 | 4/6/21 | 92,231 | |||||||||||||
USD | 8,853,478 | EUR | 7,528,791 | 5/4/21 | 19,336 | |||||||||||||
USD | 2,830,278 | EUR | 2,406,802 | 5/4/21 | 6,181 | |||||||||||||
USD | 2,578,235 | EUR | 2,192,471 | 5/4/21 | 5,631 | |||||||||||||
USD | 2,161,559 | EUR | 1,803,684 | 6/16/21 | 43,213 | |||||||||||||
$ | 553,034 |
Forward Foreign Currency Exchange Contracts | ||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||
EUR | 408,087 | USD | 478,315 | State Street Bank and Trust Company | 4/1/21 | $ | 248 | $ | | |||||||||||||
EUR | 100,600 | USD | 119,813 | State Street Bank and Trust Company | 4/1/21 | | (1,839 | ) | ||||||||||||||
EUR | 102,983 | USD | 121,000 | State Street Bank and Trust Company | 4/6/21 | | (232 | ) | ||||||||||||||
GBP | 100,000 | USD | 137,863 | State Street Bank and Trust Company | 4/7/21 | | (2 | ) | ||||||||||||||
EUR | 416,005 | USD | 496,269 | Bank of America, N.A. | 4/9/21 | | (8,389 | ) | ||||||||||||||
USD | 386,628 | EUR | 324,487 | Bank of America, N.A. | 4/9/21 | 6,079 | | |||||||||||||||
USD | 626,701 | EUR | 528,580 | Deutsche Bank AG | 4/9/21 | 6,797 | | |||||||||||||||
USD | 1,815,530 | EUR | 1,541,239 | Goldman Sachs International | 4/9/21 | 8,007 | | |||||||||||||||
USD | 631,958 | EUR | 530,296 | State Street Bank and Trust Company | 4/9/21 | 10,041 | | |||||||||||||||
EUR | 100,000 | USD | 117,316 | State Street Bank and Trust Company | 4/13/21 | | (29 | ) | ||||||||||||||
EUR | 130,820 | USD | 157,728 | Bank of America, N.A. | 4/30/21 | | (4,239 | ) | ||||||||||||||
EUR | 103,102 | USD | 125,357 | Bank of America, N.A. | 4/30/21 | | (4,389 | ) | ||||||||||||||
EUR | 343,686 | USD | 407,845 | Bank of America, N.A. | 4/30/21 | | (4,604 | ) |
51 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||
EUR | 144,323 | USD | 174,469 | Bank of America, N.A. | 4/30/21 | $ | | $ | (5,138 | ) | ||||||||||||
EUR | 620,795 | USD | 741,648 | Bank of America, N.A. | 4/30/21 | | (13,279 | ) | ||||||||||||||
EUR | 419,786 | USD | 508,104 | Bank of America, N.A. | 4/30/21 | | (15,575 | ) | ||||||||||||||
EUR | 321,385 | USD | 393,621 | Bank of America, N.A. | 4/30/21 | | (16,545 | ) | ||||||||||||||
EUR | 907,498 | USD | 1,083,891 | Bank of America, N.A. | 4/30/21 | | (19,138 | ) | ||||||||||||||
EUR | 628,964 | USD | 757,956 | Bank of America, N.A. | 4/30/21 | | (20,003 | ) | ||||||||||||||
EUR | 542,586 | USD | 650,401 | Citibank, N.A. | 4/30/21 | | (13,794 | ) | ||||||||||||||
EUR | 190,629 | USD | 226,969 | Goldman Sachs International | 4/30/21 | | (3,307 | ) | ||||||||||||||
EUR | 100,620 | USD | 122,132 | State Street Bank and Trust Company | 4/30/21 | | (4,076 | ) | ||||||||||||||
EUR | 212,117 | USD | 253,220 | State Street Bank and Trust Company | 4/30/21 | | (4,347 | ) | ||||||||||||||
EUR | 190,457 | USD | 230,062 | State Street Bank and Trust Company | 4/30/21 | | (6,602 | ) | ||||||||||||||
EUR | 767,499 | USD | 907,879 | State Street Bank and Trust Company | 4/30/21 | | (7,384 | ) | ||||||||||||||
EUR | 1,026,799 | USD | 1,214,606 | State Street Bank and Trust Company | 4/30/21 | | (9,879 | ) | ||||||||||||||
EUR | 404,194 | USD | 490,081 | State Street Bank and Trust Company | 4/30/21 | | (15,847 | ) | ||||||||||||||
EUR | 455,686 | USD | 552,889 | State Street Bank and Trust Company | 4/30/21 | | (18,240 | ) | ||||||||||||||
GBP | 107,578 | USD | 151,698 | State Street Bank and Trust Company | 4/30/21 | | (3,379 | ) | ||||||||||||||
USD | 9,570,745 | EUR | 7,885,277 | Bank of America, N.A. | 4/30/21 | 319,077 | | |||||||||||||||
USD | 3,669,484 | EUR | 3,023,265 | Bank of America, N.A. | 4/30/21 | 122,336 | | |||||||||||||||
USD | 359,806 | EUR | 301,251 | Bank of America, N.A. | 4/30/21 | 6,353 | | |||||||||||||||
USD | 182,771 | EUR | 151,591 | Bank of America, N.A. | 4/30/21 | 4,912 | | |||||||||||||||
USD | 122,759 | EUR | 100,945 | Bank of America, N.A. | 4/30/21 | 4,322 | | |||||||||||||||
USD | 6,223,599 | EUR | 5,128,000 | Citibank, N.A. | 4/30/21 | 206,999 | | |||||||||||||||
USD | 2,386,036 | EUR | 1,966,000 | Citibank, N.A. | 4/30/21 | 79,360 | | |||||||||||||||
USD | 85,416 | EUR | 71,257 | Citibank, N.A. | 4/30/21 | 1,812 | | |||||||||||||||
USD | 164,787 | EUR | 139,844 | Citibank, N.A. | 4/30/21 | 711 | | |||||||||||||||
USD | 6,223,637 | EUR | 5,127,648 | Goldman Sachs International | 4/30/21 | 207,450 | | |||||||||||||||
USD | 2,386,312 | EUR | 1,966,080 | Goldman Sachs International | 4/30/21 | 79,542 | | |||||||||||||||
USD | 235,583 | EUR | 197,864 | Goldman Sachs International | 4/30/21 | 3,433 | | |||||||||||||||
USD | 34,534,655 | EUR | 28,346,338 | HSBC Bank USA, N.A. | 4/30/21 | 1,276,354 | | |||||||||||||||
USD | 252,529 | EUR | 207,664 | HSBC Bank USA, N.A. | 4/30/21 | 8,880 | | |||||||||||||||
USD | 125,563 | EUR | 103,820 | HSBC Bank USA, N.A. | 4/30/21 | 3,752 | | |||||||||||||||
USD | 357,571 | EUR | 294,784 | JPMorgan Chase Bank, N.A. | 4/30/21 | 11,705 | | |||||||||||||||
USD | 6,981,869 | EUR | 5,753,816 | State Street Bank and Trust Company | 4/30/21 | 231,010 | | |||||||||||||||
USD | 2,676,892 | EUR | 2,206,049 | State Street Bank and Trust Company | 4/30/21 | 88,571 | | |||||||||||||||
USD | 417,939 | EUR | 346,656 | State Street Bank and Trust Company | 4/30/21 | 11,213 | | |||||||||||||||
USD | 1,176,911 | EUR | 995,000 | State Street Bank and Trust Company | 4/30/21 | 9,493 | | |||||||||||||||
USD | 1,147,389 | EUR | 970,000 | State Street Bank and Trust Company | 4/30/21 | 9,303 | | |||||||||||||||
USD | 253,947 | EUR | 209,301 | State Street Bank and Trust Company | 4/30/21 | 8,377 | | |||||||||||||||
USD | 121,343 | EUR | 99,970 | State Street Bank and Trust Company | 4/30/21 | 4,050 | | |||||||||||||||
USD | 107,824 | EUR | 88,634 | State Street Bank and Trust Company | 4/30/21 | 3,832 | | |||||||||||||||
USD | 118,654 | EUR | 98,879 | State Street Bank and Trust Company | 4/30/21 | 2,641 | | |||||||||||||||
USD | 112,047 | EUR | 94,034 | State Street Bank and Trust Company | 4/30/21 | 1,718 | | |||||||||||||||
USD | 127,833 | EUR | 108,539 | State Street Bank and Trust Company | 4/30/21 | 486 | | |||||||||||||||
USD | 119,473 | EUR | 101,429 | State Street Bank and Trust Company | 4/30/21 | 468 | | |||||||||||||||
USD | 120,997 | EUR | 102,930 | State Street Bank and Trust Company | 4/30/21 | 231 | |
52 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||||
USD | 117,357 | EUR | 100,000 | State Street Bank and Trust Company | 4/30/21 | $ | 28 | $ | | |||||||||||||||
USD | 478,365 | EUR | 407,873 | State Street Bank and Trust Company | 4/30/21 | | (186 | ) | ||||||||||||||||
USD | 205,330 | GBP | 150,000 | Citibank, N.A. | 4/30/21 | | (1,477 | ) | ||||||||||||||||
USD | 2,769,215 | GBP | 2,023,000 | Citibank, N.A. | 4/30/21 | | (19,916 | ) | ||||||||||||||||
USD | 26,954 | GBP | 19,458 | Goldman Sachs International | 4/30/21 | 127 | | |||||||||||||||||
USD | 7,055 | GBP | 5,093 | Goldman Sachs International | 4/30/21 | 33 | | |||||||||||||||||
USD | 4,320,640 | GBP | 3,055,842 | State Street Bank and Trust Company | 4/30/21 | 107,519 | | |||||||||||||||||
USD | 137,872 | GBP | 100,000 | State Street Bank and Trust Company | 4/30/21 | 1 | | |||||||||||||||||
USD | 204,984 | GBP | 149,752 | State Street Bank and Trust Company | 4/30/21 | | (1,481 | ) | ||||||||||||||||
USD | 2,768,034 | GBP | 2,022,201 | State Street Bank and Trust Company | 4/30/21 | | (19,995 | ) | ||||||||||||||||
USD | 36,301,712 | EUR | 30,869,910 | Standard Chartered Bank | 5/4/21 | 79,537 | | |||||||||||||||||
USD | 964,337 | EUR | 792,424 | State Street Bank and Trust Company | 5/28/21 | 34,053 | | |||||||||||||||||
USD | 31,609,469 | EUR | 26,809,497 | Goldman Sachs International | 6/30/21 | 113,064 | | |||||||||||||||||
$ | 3,073,925 | $ | (243,311 | ) |
Futures Contracts | ||||||||||||||||||||
Description | Number of Contracts |
Position | Expiration Date |
Notional Amount |
Value/ Unrealized Appreciation (Depreciation) |
|||||||||||||||
Interest Rate Futures |
||||||||||||||||||||
U.S. 10-Year Treasury Note | 100 | Long | 6/21/21 | $ | 13,093,750 | $ | (244,384 | ) | ||||||||||||
5-Year USD Deliverable Interest Rate Swap | (4 | ) | Short | 6/14/21 | (387,375 | ) | 2,781 | |||||||||||||
10-Year USD Deliverable Interest Rate Swap | (4 | ) | Short | 6/14/21 | (358,625 | ) | 5,785 | |||||||||||||
Euro-Bobl | (2 | ) | Short | 6/8/21 | (316,817 | ) | (563 | ) | ||||||||||||
Euro-Bund | (30 | ) | Short | 6/8/21 | (6,025,802 | ) | (19,694 | ) | ||||||||||||
Euro-Buxl | (25 | ) | Short | 6/8/21 | (6,040,578 | ) | 36,924 | |||||||||||||
U.S. 5-Year Treasury Note | (4 | ) | Short | 6/30/21 | (493,594 | ) | 1,063 | |||||||||||||
U.S. 10-Year Treasury Note | (209 | ) | Short | 6/21/21 | (27,365,937 | ) | 659,391 | |||||||||||||
U.S. Long Treasury Bond | (216 | ) | Short | 6/21/21 | (33,392,250 | ) | 1,168,495 | |||||||||||||
U.S. Ultra-Long Treasury Bond | (30 | ) | Short | 6/21/21 | (5,436,562 | ) | 137,854 | |||||||||||||
$ | 1,747,652 |
53 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
Centrally Cleared Interest Rate Swaps | ||||||||||||||||||||||||||
Notional Amount (000s omitted) |
Fund Pays/ Receives Floating Rate |
Floating Rate |
Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
EUR | 246 | Receives | 6-month EURIBOR (pays semi-annually) |
0.37% (pays annually) |
2/12/50 | $ | 9,055 | $ | | $ | 9,055 | |||||||||||||||
EUR | 207 | Receives | 6-month EURIBOR (pays semi-annually) |
0.38% (pays annually) |
2/13/50 | 7,184 | 3 | 7,187 | ||||||||||||||||||
EUR | 242 | Receives | 6-month EURIBOR (pays semi-annually) |
0.39% (pays annually) |
2/13/50 | 7,885 | | 7,885 | ||||||||||||||||||
EUR | 1,500 | Receives | 6-month EURIBOR (pays semi-annually) |
0.26% (pays annually) |
2/25/50 | 110,171 | | 110,171 | ||||||||||||||||||
EUR | 260 | Receives | 6-month EURIBOR (pays semi-annually) |
0.21% (pays annually) |
2/26/50 | 23,469 | (2 | ) | 23,467 | |||||||||||||||||
EUR | 681 | Receives | 6-month EURIBOR (pays semi-annually) |
0.12% (pays annually) |
6/8/50 | 80,515 | | 80,515 | ||||||||||||||||||
USD | 2,680 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.55% (pays semi-annually) |
3/12/23 | (14,637 | ) | | (14,637 | ) | ||||||||||||||||
USD | 200 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.49% (pays semi-annually) |
1/28/25 | (6,125 | ) | | (6,125 | ) | ||||||||||||||||
USD | 461 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.46% (pays semi-annually) |
1/30/25 | (13,614 | ) | | (13,614 | ) | ||||||||||||||||
USD | 800 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.41% (pays semi-annually) |
2/3/25 | (21,869 | ) | | (21,869 | ) | ||||||||||||||||
USD | 260 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.44% (pays semi-annually) |
2/18/25 | (7,199 | ) | | (7,199 | ) | ||||||||||||||||
USD | 200 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.16% (pays semi-annually) |
2/28/25 | (3,269 | ) | | (3,269 | ) | ||||||||||||||||
USD | 120 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.83% (pays semi-annually) |
3/5/25 | (339 | ) | | (339 | ) | ||||||||||||||||
USD | 452 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.39% (pays semi-annually) |
6/19/25 | 8,167 | | 8,167 | ||||||||||||||||||
USD | 2,240 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.74% (pays semi-annually) |
12/16/26 | (78,150 | ) | | (78,150 | ) | ||||||||||||||||
USD | 5,222 | Receives | 3-month USD-LIBOR (pays quarterly) |
2.09% (pays semi-annually) |
7/15/29 | (216,979 | ) | 1,469 | (215,510 | ) | ||||||||||||||||
USD | 800 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.76% (pays semi-annually) |
12/12/29 | (11,214 | ) | | (11,214 | ) | ||||||||||||||||
USD | 511 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.60% (pays semi-annually) |
5/12/30 | 47,533 | | 47,533 | ||||||||||||||||||
USD | 1,850 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.66% (pays semi-annually) |
6/2/30 | 165,178 | | 165,178 | ||||||||||||||||||
USD | 511 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.80% (pays semi-annually) |
6/11/30 | 39,583 | | 39,583 | ||||||||||||||||||
USD | 68 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.77% (pays semi-annually) |
6/12/30 | 5,408 | | 5,408 | ||||||||||||||||||
USD | 375 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.69% (pays semi-annually) |
6/16/30 | 32,643 | | 32,643 | ||||||||||||||||||
USD | 313 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.74% (pays semi-annually) |
6/18/30 | 25,981 | | 25,981 |
54 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||||||||||
Notional Amount (000s omitted) |
Fund Pays/ Receives Floating Rate |
Floating Rate |
Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
USD | 1,280 | Receives | 3-month USD-LIBOR (pays quarterly) |
2.88% (pays semi-annually) |
1/31/49 | $ | (195,985 | ) | $ | (625 | ) | $ | (196,610 | ) | ||||||||||||
USD | 128 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.71% (pays semi-annually) |
8/27/49 | 13,482 | | 13,482 | ||||||||||||||||||
USD | 148 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.70% (pays semi-annually) |
8/27/49 | 15,951 | | 15,951 | ||||||||||||||||||
USD | 160 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.65% (pays semi-annually) |
8/28/49 | 19,235 | | 19,235 | ||||||||||||||||||
USD | 85 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.54% (pays semi-annually) |
8/30/49 | 12,279 | | 12,279 | ||||||||||||||||||
USD | 88 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.70% (pays semi-annually) |
9/12/49 | 9,643 | | 9,643 | ||||||||||||||||||
USD | 1,400 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.87% (pays semi-annually) |
10/25/49 | 90,552 | | 90,552 | ||||||||||||||||||
USD | 92 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.82% (pays semi-annually) |
12/6/49 | 7,610 | | 7,610 | ||||||||||||||||||
USD | 91 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.81% (pays semi-annually) |
12/6/49 | 7,636 | | 7,636 | ||||||||||||||||||
USD | 19 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.94% (pays semi-annually) |
1/9/50 | 1,040 | | 1,040 | ||||||||||||||||||
USD | 1,650 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.96% (pays semi-annually) |
6/2/50 | 454,900 | | 454,900 | ||||||||||||||||||
USD | 316 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.93% (pays semi-annually) |
6/15/50 | 89,787 | | 89,787 | ||||||||||||||||||
USD | 121 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.97% (pays semi-annually) |
6/16/50 | 33,169 | | 33,169 | ||||||||||||||||||
Total |
$ | 748,676 | $ | 845 | $ | 749,521 |
Centrally Cleared Credit Default Swaps Sell Protection | ||||||||||||||||||||||||||
Reference Entity |
Notional Amount* (000s omitted) |
Contract Annual Fixed Rate** |
Termination Date |
Current Market |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
Indonesia | $ | 3,750 | 1.00% (pays quarterly)(1) |
6/20/26 | 0.88 | % | $ | 23,722 | $ | (24,677 | ) | $ | (955 | ) | ||||||||||||
South Africa | 1,840 | 1.00% (pays quarterly)(1) |
6/20/21 | 0.57 | 2,383 | 4,840 | 7,223 | |||||||||||||||||||
Turkey | 1,996 | 1.00% (pays quarterly)(1) |
6/20/21 | 3.95 | (12,553 | ) | 21,212 | 8,659 | ||||||||||||||||||
Turkey | 2,400 | 1.00% (pays quarterly)(1) |
6/20/25 | 4.70 | (330,806 | ) | 362,698 | 31,892 | ||||||||||||||||||
Total |
$ | 9,986 | $ | (317,254 | ) | $ | 364,073 | $ | 46,819 |
55 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Portfolio of Investments continued
Credit Default Swaps Sell Protection | ||||||||||||||||||||||||||||
Reference Entity |
Counterparty | Notional Amount* (000s omitted) |
Contract Annual Fixed Rate** |
Termination Date |
Current Market Annual Fixed Rate*** |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
Bahamas | Deutsche Bank AG | $ | 1,150 | 1.00% (pays quarterly)(1) |
6/20/22 | 4.14 | % | $ | (42,759 | ) | $ | 25,202 | $ | (17,557 | ) | |||||||||||||
Mexico | Goldman Sachs International | 3,540 | 1.00% (pays quarterly)(1) |
6/20/31 | 1.76 | (238,823 | ) | 230,763 | (8,060 | ) | ||||||||||||||||||
Total |
$ | 4,690 | $ | (281,582 | ) | $ | 255,965 | $ | (25,617 | ) |
* | If the Fund is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Fund could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At March 31, 2021, such maximum potential amount for all open credit default swaps in which the Fund is the seller was $14,676,000. |
** | The contract annual fixed rate represents the fixed rate of interest received by the Fund (as a seller of protection) on the notional amount of the credit default swap contract. |
*** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the markets perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as Defaulted indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Abbreviations:
CMT | | Constant Maturity Treasury | ||
COF | | Cost of Funds 11th District | ||
DIP | | Debtor In Possession | ||
EURIBOR | | Euro Interbank Offered Rate | ||
GDP | | Gross Domestic Product | ||
LIBOR | | London Interbank Offered Rate | ||
PIK | | Payment In Kind | ||
SOFR | | Secured Overnight Financing Rate | ||
TBA | | To Be Announced |
Currency Abbreviations:
EUR | | Euro | ||
GBP | | British Pound Sterling | ||
USD | | United States Dollar |
56 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Statement of Assets and Liabilities
Assets | March 31, 2021 | |||
Unaffiliated investments, at value (identified cost, $2,433,415,033) |
$ | 2,414,218,365 | ||
Affiliated investments, at value (identified cost, $30,144,687) |
29,104,415 | |||
Cash |
42,607,853 | |||
Deposits for derivatives collateral |
||||
Financial futures contracts |
1,695,344 | |||
Centrally cleared derivatives |
5,863,333 | |||
OTC derivatives |
3,390,000 | |||
Deposits for forward commitment securities |
2,190,000 | |||
Foreign currency, at value (identified cost, $4,000,051) |
4,030,724 | |||
Interest and dividends receivable |
17,990,493 | |||
Interest and dividends receivable from affiliated investments |
39,704 | |||
Receivable for investments sold |
9,791,216 | |||
Receivable for variation margin on open financial futures contracts |
25,017 | |||
Receivable for variation margin on open centrally cleared derivatives |
50,363 | |||
Receivable for open forward foreign currency exchange contracts |
3,073,925 | |||
Tax reclaims receivable |
7,695 | |||
Prepaid upfront fees on notes payable |
375,134 | |||
Prepaid expenses |
24,177 | |||
Total assets |
$ | 2,534,477,758 | ||
Liabilities | ||||
Notes payable |
$ | 570,000,000 | ||
Cash collateral due to brokers |
3,390,000 | |||
Payable for investments purchased |
22,013,302 | |||
Payable for when-issued/delayed delivery/forward commitment securities |
104,922,139 | |||
Payable for open forward foreign currency exchange contracts |
243,311 | |||
Payable for open swap contracts |
25,617 | |||
Upfront receipts on open non-centrally cleared swap contracts |
255,965 | |||
Payable to affiliate: |
||||
Investment adviser fee |
1,509,439 | |||
Accrued expenses |
1,876,355 | |||
Other liabilities |
38,546,811 | |||
Total liabilities |
$ | 742,782,939 | ||
Auction preferred shares (8,640 shares outstanding) at liquidation value plus cumulative unpaid dividends |
$ | 216,002,722 | ||
Net assets applicable to common shares |
$ | 1,575,692,097 | ||
Sources of Net Assets | ||||
Common shares, $0.01 par value, unlimited number of shares authorized, 116,147,018 shares issued and outstanding |
$ | 1,161,470 | ||
Additional paid-in capital |
1,742,516,950 | |||
Accumulated loss |
(167,986,323 | ) | ||
Net assets applicable to common shares |
$ | 1,575,692,097 | ||
Net Asset Value Per Common Share | ||||
($1,575,692,097 ÷ 116,147,018 common shares issued and outstanding) |
$ | 13.57 |
57 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Statement of Operations
Investment Income | Year Ended March 31, 2021 |
|||
Interest and other income |
$ | 114,483,269 | ||
Interest from affiliated investments |
39,196 | |||
Dividends (net of foreign taxes, $14,932) |
2,486,108 | |||
Dividends from affiliated investment |
73,873 | |||
Total investment income |
$ | 117,082,446 | ||
Expenses | ||||
Investment adviser fee |
$ | 17,628,579 | ||
Trustees fees and expenses |
108,500 | |||
Custodian fee |
620,277 | |||
Transfer and dividend disbursing agent fees |
21,504 | |||
Legal and accounting services |
1,203,023 | |||
Printing and postage |
443,556 | |||
Interest expense and fees |
8,854,421 | |||
Preferred shares service fee |
226,603 | |||
Miscellaneous |
190,999 | |||
Total expenses |
$ | 29,297,462 | ||
Net investment income |
$ | 87,784,984 | ||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) |
||||
Investment transactions |
$ | (15,221,440 | ) | |
Investment transactions affiliated investments |
14,291 | |||
Financial futures contracts |
6,289,538 | |||
Swap contracts |
(668,736 | ) | ||
Foreign currency transactions |
14,875 | |||
Forward foreign currency exchange contracts |
(11,876,568 | ) | ||
Net realized loss |
$ | (21,448,040 | ) | |
Change in unrealized appreciation (depreciation) - |
||||
Investments |
$ | 278,177,795 | ||
Investments affiliated investments |
(21,189 | ) | ||
Financial futures contracts |
(2,993,132 | ) | ||
Swap contracts |
5,104,352 | |||
Foreign currency |
1,127,318 | |||
Forward foreign currency exchange contracts |
3,010,257 | |||
Net change in unrealized appreciation (depreciation) |
$ | 284,405,401 | ||
Net realized and unrealized gain |
$ | 262,957,361 | ||
Distributions to preferred shareholders |
$ | (870,765 | ) | |
Net increase in net assets from operations |
$ | 349,871,580 |
58 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Statements of Changes in Net Assets
Year Ended March 31, | ||||||||
Increase (Decrease) in Net Assets | 2021 | 2020 | ||||||
From operations |
||||||||
Net investment income |
$ | 87,784,984 | $ | 88,499,011 | ||||
Net realized loss |
(21,448,040 | ) | (21,565,589 | ) | ||||
Net change in unrealized appreciation (depreciation) |
284,405,401 | (255,637,607 | ) | |||||
Distributions to preferred shareholders |
(870,765 | ) | (6,436,406 | ) | ||||
Net increase (decrease) in net assets from operations |
$ | 349,871,580 | $ | (195,140,591 | ) | |||
Distributions to common shareholders |
$ | (91,690,091 | ) | $ | (97,429,716 | ) | ||
Tax return of capital to common shareholders |
$ | (47,686,331 | ) | $ | (20,691,801 | ) | ||
Net increase (decrease) in net assets |
$ | 210,495,158 | $ | (313,262,108 | ) | |||
Net Assets Applicable to Common Shares |
| |||||||
At beginning of year |
$ | 1,365,196,939 | $ | 1,678,459,047 | ||||
At end of year |
$ | 1,575,692,097 | $ | 1,365,196,939 |
59 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Statement of Cash Flows
Cash Flows From Operating Activities | Year Ended March 31, 2021 |
|||
Net increase in net assets from operations |
$ | 349,871,580 | ||
Distributions to preferred shareholders |
870,765 | |||
Net increase in net assets from operations excluding distributions to preferred shareholders |
$ | 350,742,345 | ||
Adjustments to reconcile net increase in net assets from operations to net cash provided by operating activities: |
||||
Investments purchased |
(1,282,899,556 | ) | ||
Investments sold and principal repayments |
1,329,009,588 | |||
Decrease in short-term investments, net |
8,016,043 | |||
Net amortization/accretion of premium (discount) |
8,586,250 | |||
Amortization of prepaid upfront fees on notes payable |
519,863 | |||
Decrease in interest and dividends receivable |
3,099,852 | |||
Increase in interest and dividends receivable from affiliated investments |
(3,777 | ) | ||
Increase in receivable for variation margin on open financial futures contracts |
(25,017 | ) | ||
Decrease in receivable for variation margin on open centrally cleared derivatives |
509,000 | |||
Increase in receivable for open forward foreign currency exchange contracts |
(2,016,165 | ) | ||
Increase in tax reclaims receivable |
(2,304 | ) | ||
Decrease in prepaid expenses |
29,037 | |||
Increase in cash collateral due to brokers |
3,060,000 | |||
Decrease in payable for variation margin on open financial futures contracts |
(672,603 | ) | ||
Decrease in payable for open forward foreign currency exchange contracts |
(297,094 | ) | ||
Increase in payable for open swap contracts |
13,959 | |||
Increase in upfront receipts on open non-centrally cleared swap contracts |
210,093 | |||
Decrease in payable to affiliate for investment adviser fee |
(45,815 | ) | ||
Decrease in accrued expenses |
(708,470 | ) | ||
Increase in other liabilities |
38,546,811 | |||
Decrease in accrued interest on reverse repurchase agreements |
(23,405 | ) | ||
Increase in unfunded loan commitments |
1,475,870 | |||
Net change in unrealized (appreciation) depreciation from investments |
(278,156,606 | ) | ||
Net realized loss from investments |
15,207,149 | |||
Net cash provided by operating activities |
$ | 194,175,048 | ||
Cash Flows From Financing Activities | ||||
Cash distributions paid to common shareholders |
$ | (139,376,422 | ) | |
Cash distributions paid to preferred shareholders |
(939,945 | ) | ||
Proceeds from notes payable |
293,000,000 | |||
Repayments of notes payable |
(248,000,000 | ) | ||
Repayments of reverse repurchase agreements, net |
(66,480,156 | ) | ||
Net cash used in financing activities |
$ | (161,796,523 | ) | |
Net increase in cash and restricted cash* |
$ | 32,378,525 | ||
Cash and restricted cash at beginning of year (including foreign currency) |
$ | 27,398,729 | ||
Cash and restricted cash at end of year (including foreign currency) |
$ | 59,777,254 | ||
Supplemental disclosure of cash flow information: | ||||
Cash paid for interest and fees on borrowings and reverse repurchase agreements |
$ | 8,897,823 |
* | Includes net change in unrealized appreciation (depreciation) on foreign currency of $(8,483). |
60 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Statement of Cash Flows continued
The following table provides a reconciliation of cash and restricted cash reported within the Statement of Assets and Liabilities that sum to the total of such amounts shown on the Statement of Cash Flows.
March 31, 2021 | ||||
Cash |
$ | 42,607,853 | ||
Deposits for derivatives collateral |
||||
Financial futures contracts |
1,695,344 | |||
Centrally cleared derivatives |
5,863,333 | |||
OTC derivatives |
3,390,000 | |||
Deposits for forward commitment securities |
2,190,000 | |||
Foreign currency |
4,030,724 | |||
Total cash and restricted cash as shown on the Statement of Cash Flows |
$ | 59,777,254 |
61 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Financial Highlights
Selected data for a common share outstanding during the periods stated
Year Ended March 31, | ||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
Net asset value Beginning of year (Common shares) |
$ | 11.750 | $ | 14.450 | $ | 14.740 | $ | 15.110 | $ | 14.510 | ||||||||||
Income (Loss) From Operations | ||||||||||||||||||||
Net investment income(1) |
$ | 0.756 | $ | 0.762 | $ | 0.826 | $ | 0.808 | $ | 0.899 | ||||||||||
Net realized and unrealized gain (loss) |
2.271 | (2.390 | ) | (0.267 | ) | (0.168 | ) | 0.834 | ||||||||||||
Distributions to preferred shareholders |
||||||||||||||||||||
From net investment income(1) |
(0.007 | ) | (0.055 | ) | (0.066 | ) | (0.043 | ) | (0.018 | ) | ||||||||||
Discount on redemption and repurchase of auction preferred shares(1) |
| | 0.035 | | | |||||||||||||||
Total income (loss) from operations |
$ | 3.020 | $ | (1.683 | ) | $ | 0.528 | $ | 0.597 | $ | 1.715 | |||||||||
Less Distributions to Common Shareholders | ||||||||||||||||||||
From net investment income |
$ | (0.789 | ) | $ | (0.839 | ) | $ | (0.818 | ) | $ | (0.818 | ) | $ | (0.991 | ) | |||||
Tax return of capital |
(0.411 | ) | (0.178 | ) | | (0.149 | ) | (0.124 | ) | |||||||||||
Total distributions to common shareholders |
$ | (1.200 | ) | $ | (1.017 | ) | $ | (0.818 | ) | $ | (0.967 | ) | $ | (1.115 | ) | |||||
Net asset value End of year (Common shares) |
$ | 13.570 | $ | 11.750 | $ | 14.450 | $ | 14.740 | $ | 15.110 | ||||||||||
Market value End of year (Common shares) |
$ | 12.630 | $ | 10.570 | $ | 12.650 | $ | 13.020 | $ | 13.830 | ||||||||||
Total Investment Return on Net Asset Value(2) |
27.62 | % | (11.69 | )% | 4.57 | %(3) | 4.72 | % | 12.99 | % | ||||||||||
Total Investment Return on Market Value(2) |
32.25 | % | (9.33 | )% | 3.70 | % | 0.99 | % | 13.85 | % |
62 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Financial Highlights continued
Selected data for a common share outstanding during the periods stated
Year Ended March 31, | ||||||||||||||||||||
Ratios/Supplemental Data | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net assets applicable to common shares, end of year (000s omitted) |
$ | 1,575,692 | $ | 1,365,197 | $ | 1,678,459 | $ | 1,712,583 | $ | 1,755,135 | ||||||||||
Ratios (as a percentage of average daily net assets applicable to common shares):(4) |
||||||||||||||||||||
Expenses excluding interest and fees |
1.33 | % | 1.29 | % | 1.31 | % | 1.30 | % | 1.32 | % | ||||||||||
Interest and fee expense(5) |
0.58 | % | 1.33 | % | 1.43 | % | 1.00 | % | 0.73 | % | ||||||||||
Total expenses |
1.91 | % | 2.62 | % | 2.74 | % | 2.30 | % | 2.05 | % | ||||||||||
Net investment income |
5.73 | % | 5.33 | % | 5.71 | % | 5.36 | % | 6.01 | % | ||||||||||
Portfolio Turnover |
57 | %(6) | 49 | % | 34 | % | 43 | % | 45 | % | ||||||||||
Senior Securities: |
||||||||||||||||||||
Total notes payable outstanding (in 000s) |
$ | 570,000 | $ | 525,000 | $ | 595,000 | $ | 663,000 | $ | 585,000 | ||||||||||
Asset coverage per $1,000 of notes payable(7) |
$ | 4,143 | $ | 4,012 | $ | 4,184 | $ | 3,985 | $ | 4,456 | ||||||||||
Total preferred shares outstanding |
8,640 | 8,640 | 8,640 | 10,665 | 10,665 | |||||||||||||||
Asset coverage per preferred share(8) |
$ | 75,118 | $ | 71,062 | $ | 76,744 | $ | 71,059 | $ | 76,524 | ||||||||||
Involuntary liquidation preference per preferred share(9) |
$ | 25,000 | $ | 25,000 | $ | 25,000 | $ | 25,000 | $ | 25,000 | ||||||||||
Approximate market value per preferred share(9) |
$ | 25,000 | $ | 25,000 | $ | 25,000 | $ | 25,000 | $ | 25,000 |
(1) | Computed using average common shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value or market value with all distributions reinvested. Distributions are assumed to be reinvested at prices obtained under the Funds dividend reinvestment plan. |
(3) | The total return based on net asset value reflects the impact of the tender and repurchase by the Fund of a portion of its Auction Preferred Shares at 92% of the per share liquidation preference. Absent this transaction, the total return based on net asset value would have been 4.31%. |
(4) | Ratios do not reflect the effect of dividend payments to preferred shareholders. |
(5) | Interest and fee expense relates to the notes payable, a portion of which was incurred to partially redeem the Funds Auction Preferred Shares (see Note 2), and the reverse repurchase agreements (see Note 11). |
(6) | Includes the effect of To-Be-Announced (TBA) transactions. |
(7) | Calculated by subtracting the Funds total liabilities (not including the notes payable and preferred shares) from the Funds total assets, and dividing the result by the notes payable balance in thousands. |
(8) | Calculated by subtracting the Funds total liabilities (not including the notes payable and preferred shares) from the Funds total assets, dividing the result by the sum of the value of the notes payable and liquidation value of the preferred shares, and multiplying the result by the liquidation value of one preferred share. Such amount equates to 300%, 284%, 307%, 284% and 306% at March 31, 2021, 2020, 2019, 2018 and 2017, respectively. |
(9) | Plus accumulated and unpaid dividends. |
| Ratios based on net assets applicable to common shares plus preferred shares and borrowings are presented below. Ratios do not reflect the effect of dividend payments to preferred shareholders. |
Year Ended March 31, | ||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
Expenses excluding interest and fees |
0.88 | % | 0.86 | % | 0.87 | % | 0.87 | % | 0.87 | % | ||||||||||
Interest and fee expense |
0.38 | % | 0.89 | % | 0.95 | % | 0.67 | % | 0.49 | % | ||||||||||
Total expenses |
1.26 | % | 1.75 | % | 1.82 | % | 1.54 | % | 1.36 | % | ||||||||||
Net investment income |
3.79 | % | 3.57 | % | 3.79 | % | 3.58 | % | 3.99 | % |
63 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Notes to Financial Statements
1 Significant Accounting Policies
Eaton Vance Limited Duration Income Fund (the Fund) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a diversified, closed-end management investment company. The Funds primary investment objective is to provide a high level of current income. The Fund may, as a secondary objective, also seek capital appreciation to the extent it is consistent with its primary objective.
The following is a summary of significant accounting policies of the Fund. The policies are in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Fund 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.
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. Other Senior Loans are valued at fair value by the investment adviser under procedures approved by the Trustees. In fair valuing a Senior Loan, the investment adviser utilizes one or more of the valuation techniques described in (i) through (iii) below to assess the likelihood that the borrower will make a full repayment of the loan underlying such Senior Loan relative to yields on other Senior Loans issued by companies of comparable credit quality. If the investment adviser believes that there is a reasonable likelihood of full repayment, the investment adviser will determine fair value using a matrix pricing approach that considers the yield on the Senior Loan. If the investment adviser believes there is not a reasonable likelihood of full repayment, the investment adviser will determine fair value using analyses that include, but are not limited to: (i) a comparison of the value of the borrowers outstanding equity and debt to that of comparable public companies; (ii) a discounted cash flow analysis; or (iii) when the investment adviser believes it is likely that a borrower will be liquidated or sold, an analysis of the terms of such liquidation or sale. In certain cases, the investment adviser will use a combination of analytical methods to determine fair value, such as when only a portion of a borrowers assets are likely to be sold. In conducting its assessment and analyses for purposes of determining fair value of a Senior Loan, the investment adviser will use its discretion and judgment in considering and appraising relevant factors. Fair value determinations are made by the portfolio managers of the Fund based on information available to such managers. The portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may not possess the same information about a Senior Loan borrower as the portfolio managers of the Fund. At times, the fair value of a Senior Loan determined by the portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may vary from the fair value of the same Senior Loan determined by the portfolio managers of the Fund. The fair value of each Senior Loan is periodically reviewed and approved by the investment advisers Valuation Committee and by the Trustees based upon procedures approved by the Trustees. Junior Loans (i.e., subordinated loans and second lien loans) are valued in the same manner as Senior Loans.
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.
Equity Securities. Equity 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. Equity securities listed on the NASDAQ Global or Global Select Market generally are valued at the NASDAQ official closing price. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and ask prices or, in the case of preferred equity securities that are not listed or traded in the over-the-counter market, 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.
Derivatives. Financial futures contracts are valued at the closing settlement price established by the board of trade or exchange on which they are traded. Forward foreign currency exchange contracts are generally valued at the mean of the average bid and average ask prices that are reported by currency dealers to a third party pricing service at the valuation time. Such third party pricing service valuations are supplied for specific settlement periods and the Funds forward foreign currency exchange contracts are valued at an interpolated rate between the closest preceding and subsequent settlement period reported by the third party pricing service. Swaps are normally valued using valuations provided by a third party pricing service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract, and in the case of credit default swaps, based on credit spread quotations obtained from broker/dealers and expected default recovery rates determined by the pricing service using proprietary models. Future cash flows on swaps are discounted to their present value using swap rates provided by electronic data services or by broker/dealers.
Foreign Securities and Currencies. Foreign securities and currencies are valued in U.S. dollars, based on foreign currency exchange rate quotations supplied by a third party pricing service. The pricing service uses a proprietary model to determine the exchange rate. Inputs to the model include reported trades and implied bid/ask spreads. The daily valuation of exchange-traded foreign securities generally is determined as of the close of trading on the principal exchange on which such securities trade. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities that meet certain criteria, the Funds Trustees have approved the use of a fair value service that values such securities to reflect
64 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Notes to Financial Statements continued
market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities.
Affiliated Fund. The Fund 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 Fund in a manner that most fairly reflects the securitys fair value, which is the amount that the Fund 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 securitys 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 companys or entitys 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. Fees associated with loan amendments are recognized immediately. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. Withholding taxes on foreign dividends have been provided for in accordance with the Funds understanding of the applicable countries tax rules and rates. Distributions from investment companies are recorded as dividend income, capital gains or return of capital based on the nature of the distribution.
D Federal Taxes The Funds policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders each year substantially all of its net investment income, and all or substantially all of its net realized capital gains. Accordingly, no provision for federal income or excise tax is necessary.
As of March 31, 2021, the Fund had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Fund files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
E Foreign Currency Translation Investment valuations, other assets, and liabilities initially expressed in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates in effect on the respective dates of such transactions. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
F Unfunded Loan Commitments The Fund may enter into certain loan agreements all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrowers discretion. These commitments are disclosed in the accompanying Portfolio of Investments. At March 31, 2021, the Fund had sufficient cash and/or securities to cover these commitments.
G Use of Estimates The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.
H Indemnifications Under the Funds organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Fund. Under Massachusetts law, if certain conditions prevail, shareholders of a Massachusetts business trust (such as the Fund) could be deemed to have personal liability for the obligations of the Fund. However, the Funds Declaration of Trust contains an express disclaimer of liability on the part of Fund shareholders and the By-laws provide that the Fund shall assume, upon request by the shareholder, the defense on behalf of any Fund shareholders. Moreover, the By-laws also provide for indemnification out of Fund property of any shareholder held personally liable solely by reason of being or having been a shareholder for all loss or expense arising from such liability. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Funds maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
I Financial Futures Contracts Upon entering into a financial futures contract, the Fund 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 Fund 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 Fund. Gains (losses) are realized upon the expiration or closing of the financial futures contracts. Should market conditions change unexpectedly,
65 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Notes to Financial Statements continued
the Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. Futures contracts have minimal counterparty risk as they are exchange traded and the clearinghouse for the exchange is substituted as the counterparty, guaranteeing counterparty performance.
J Forward Foreign Currency Exchange Contracts The Fund may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contracts have been closed. While forward foreign currency exchange contracts are privately negotiated agreements between the Fund and a counterparty, certain contracts may be centrally cleared, whereby all payments made or received by the Fund pursuant to the contract are with a central clearing party (CCP) rather than the original counterparty. The CCP guarantees the performance of the original parties to the contract. Upon entering into centrally cleared contracts, the Fund is required to deposit with the CCP, either in cash or securities, an amount of initial margin determined by the CCP, which is subject to adjustment. For centrally cleared contracts, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. Risks may arise upon entering forward foreign currency exchange contracts from the potential inability of counterparties to meet the terms of their contracts and from movements in the value of a foreign currency relative to the U.S. dollar. In the case of centrally cleared contracts, counterparty risk is minimal due to protections provided by the CCP.
K Interest Rate Swaps Pursuant to interest rate swap agreements, the Fund either makes floating-rate payments to the counterparty (or CCP in the case of centrally cleared swaps) based on a benchmark interest rate in exchange for fixed-rate payments or the Fund makes fixed-rate payments to the counterparty (or CCP in the case of a centrally cleared swap) in exchange for payments on a floating benchmark interest rate. Payments received or made, including amortization of upfront payments/receipts, are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The value of the swap is determined by changes in the relationship between two rates of interest. The Fund is exposed to credit loss in the event of non-performance by the swap counterparty. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP. Risk may also arise from movements in interest rates.
L Credit Default Swaps When the Fund is the buyer of a credit default swap contract, the Fund is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation (or basket of debt obligations) from the counterparty (or CCP in the case of a centrally cleared swap) to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, the Fund pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Fund would have spent the stream of payments and received no proceeds from the contract. When the Fund is the seller of a credit default swap contract, it receives the stream of payments, but is obligated to pay to the buyer of the protection an amount up to the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the Fund is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Fund could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Fund for the same referenced obligation. As the seller, the Fund may create economic leverage to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap contract, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The Fund also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments and receipts, if any, are amortized over the life of the swap contract as realized gains or losses. Those upfront payments or receipts for non-centrally cleared swaps are recorded as other assets or other liabilities, respectively, net of amortization. For financial reporting purposes, unamortized upfront payments or receipts, if any, are netted with unrealized appreciation or depreciation on swap contracts to determine the market value of swaps as presented in Notes 8 and 13. The Fund segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. The Fund segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, marked-to-market on a daily basis. These transactions involve certain risks, including the risk that the seller may be unable to fulfill the transaction. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP.
M When-Issued Securities and Delayed Delivery Transactions The Fund may purchase or sell 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 Fund 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. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract. A forward purchase or sale commitment may be closed by entering into an offsetting commitment or delivery of securities. The Fund will realize a gain or loss on investments based on the price established when the Fund entered into the commitment.
N Reverse Repurchase Agreements Under a reverse repurchase agreement, the Fund temporarily transfers possession of a portfolio security to another party, such as a bank or broker/dealer, in return for cash. At the same time, the Fund agrees to repurchase the security at an agreed upon time and price,
66 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Notes to Financial Statements continued
which reflects an interest payment. In periods of increased demand for a security, the Fund may receive a payment from the counterparty for the use of the security, which is recorded as interest income. Because the Fund retains effective control over the transferred security, the transaction is accounted for as a secured borrowing. The Fund may enter into such agreements when it believes it is able to invest the cash acquired at a rate higher than the cost of the agreement, which would increase earned income. When the Fund enters into a reverse repurchase agreement, any fluctuations in the market value of either the securities transferred to another party or the securities in which the proceeds may be invested would affect the market value of the Funds assets. Because reverse repurchase agreements may be considered to be the practical equivalent of borrowing funds (and the counterparty making a loan), they constitute a form of leverage. The Fund segregates cash or liquid assets equal to its obligation to repurchase the security. During the term of the agreement, the Fund may also be obligated to pledge additional cash and/or securities in the event of a decline in the fair value of the transferred security. In the event the counterparty to a reverse repurchase agreement becomes insolvent, recovery of the security transferred by the Fund may be delayed or the Fund may incur a loss equal to the amount by which the value of the security transferred by the Fund exceeds the repurchase price payable by the Fund.
O Stripped Mortgage-Backed Securities The Fund may invest in Interest Only (IO) and Principal Only (PO) securities, a form of stripped mortgage-backed securities, whereby the IO security receives all the interest and the PO security receives all the principal on a pool of mortgage assets. The yield to maturity on an IO security is extremely sensitive to the rate of principal payments (including prepayments) on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on the yield to maturity from these securities. If the underlying mortgages experience greater than anticipated prepayments of principal, the Fund may fail to recoup its initial investment in an IO security. The market value of IO and PO securities can be unusually volatile due to changes in interest rates.
2 Auction Preferred Shares
The Fund issued Auction Preferred Shares (APS) on July 25, 2003 in a public offering. Dividends on the APS, which accrue daily, are cumulative at rates which are reset every seven days by an auction, unless a special dividend period has been set. Series of APS are identical in all respects except for the reset dates of the dividend rates. If the APS auctions do not successfully clear, the dividend payment rate over the next period for the APS holders is set at a specified maximum applicable rate until such time as the APS auctions are successful. Auctions have not cleared since February 13, 2008 and the rate since that date has been the maximum applicable rate (see Note 3). The maximum applicable rate on the APS is 150% of the AA Financial Composite Commercial Paper Rate at the date of the auction. The stated spread over the reference benchmark rate is determined based on the credit rating of the APS.
The number of APS issued and outstanding at March 31, 2021 are as follows:
APS Issued and Outstanding |
||||
Series A |
1,728 | |||
Series B |
1,728 | |||
Series C |
1,728 | |||
Series D |
1,728 | |||
Series E |
1,728 |
The APS are redeemable at the option of the Fund at a redemption price equal to $25,000 per share, plus accumulated and unpaid dividends, on any dividend payment date. The APS are also subject to mandatory redemption at a redemption price equal to $25,000 per share, plus accumulated and unpaid dividends, if the Fund is in default for an extended period on its asset maintenance requirements with respect to the APS. If the dividends on the APS remain unpaid in an amount equal to two full years dividends, the holders of the APS as a class have the right to elect a majority of the Board of Trustees. In general, the holders of the APS and the common shares have equal voting rights of one vote per share, except that the holders of the APS, as a separate class, have the right to elect at least two members of the Board of Trustees. The APS have a liquidation preference of $25,000 per share, plus accumulated and unpaid dividends. The Fund is required to maintain certain asset coverage with respect to the APS as defined in the Funds By-Laws and the 1940 Act. The Fund pays an annual fee up to 0.15% of the liquidation value of the APS to broker/dealers as a service fee if the auctions are unsuccessful; otherwise, the annual fee is 0.25%.
67 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Notes to Financial Statements continued
3 Distributions to Shareholders and Income Tax Information
The Fund intends to make monthly distributions of net investment income to common shareholders, after payment of any dividends on any outstanding APS. In addition, at least annually, the Fund intends to distribute all or substantially all of its net realized capital gains. Distributions to common shareholders are recorded on the ex-dividend date. Distributions to preferred shareholders are recorded daily and are payable at the end of each dividend period. The dividend rates for the APS at March 31, 2021, and the amount of dividends accrued (including capital gains, if any) to APS shareholders, average APS dividend rates, and dividend rate ranges for the year then ended were as follows:
APS Dividend Rates at March 31, 2021 |
Dividends Accrued to APS Shareholders |
Average APS Dividend Rates |
Dividend Ranges (%) |
|||||||||||||
Series A |
0.12 | % | $ | 172,608 | 0.40 | % | 0.063.32 | |||||||||
Series B |
0.12 | 176,215 | 0.41 | 0.063.32 | ||||||||||||
Series C |
0.12 | 174,940 | 0.40 | 0.063.32 | ||||||||||||
Series D |
0.12 | 177,667 | 0.41 | 0.093.32 | ||||||||||||
Series E |
0.12 | 169,335 | 0.39 | 0.093.32 |
Beginning February 13, 2008 and consistent with the patterns in the broader market for auction-rate securities, the Funds APS auctions were unsuccessful in clearing due to an imbalance of sell orders over bids to buy the APS. As a result, the dividend rates of the APS were reset to the maximum applicable rates. The table above reflects such maximum dividend rate for each series as of March 31, 2021.
Distributions to shareholders are determined in accordance with income tax regulations, which may differ from U.S. GAAP. As required by U.S. GAAP, only distributions in excess of tax basis earnings and profits are reported in the financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid-in capital. For tax purposes, distributions from short-term capital gains are considered to be from ordinary income.
The tax character of distributions declared for the years ended March 31, 2021 and March 31, 2020 was as follows:
Year Ended March 31, | ||||||||
2021 | 2020 | |||||||
Ordinary income |
$ | 92,560,856 | $ | 103,866,122 | ||||
Tax return of capital |
$ | 47,686,331 | $ | 20,691,801 |
During the year ended March 31, 2021, accumulated loss was decreased by $172,069 and paid-in capital was decreased by $172,069 due to differences between book and tax accounting. These reclassifications had no effect on the net assets or net asset value per share of the Fund.
As of March 31, 2021, the components of distributable earnings (accumulated loss) on a tax basis were as follows:
Deferred capital losses |
$ | (138,416,954 | ) | |
Net unrealized depreciation |
(29,569,369 | ) | ||
Accumulated loss |
$ | (167,986,323 | ) |
At March 31, 2021, the Fund, for federal income tax purposes, had deferred capital losses of $138,416,954 which would reduce its taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Funds next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at March 31, 2021, $23,984,326 are short-term and $114,432,628 are long-term.
68 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Notes to Financial Statements continued
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Fund at March 31, 2021, as determined on a federal income tax basis, were as follows:
Aggregate cost |
$ | 2,473,500,144 | ||
Gross unrealized appreciation |
$ | 57,689,640 | ||
Gross unrealized depreciation |
(88,452,443 | ) | ||
Net unrealized depreciation |
$ | (30,762,803 | ) |
4 Investment Adviser Fee and Other Transactions with Affiliates
The investment adviser fee is earned by EVM as compensation for investment advisory services rendered to the Fund. On March 1, 2021, Morgan Stanley acquired Eaton Vance Corp. (the Transaction) and EVM became an indirect, wholly-owned subsidiary of Morgan Stanley. In connection with the Transaction, the Fund entered into a new investment advisory agreement (the New Agreement) with EVM, which took effect on March 1, 2021. Pursuant to the New Agreement (and the Funds investment advisory agreement with EVM in effect prior to March 1, 2021), the fee is computed at an annual rate of 0.75% of the Funds average weekly gross assets and is payable monthly. Gross assets are calculated by deducting accrued liabilities of the Fund except the principal amount of any indebtedness for money borrowed, including debt securities issued by the Fund, and the amount of any outstanding preferred shares issued by the Fund. Accrued liabilities are expenses incurred in the normal course of operations. For the year ended March 31, 2021, the Funds investment adviser fee amounted to $17,628,579. The Fund may invest its cash in Cash Reserves Fund. EVM does not currently receive a fee for advisory services provided to Cash Reserves Fund. EVM also serves as administrator of the Fund, but receives no compensation.
Trustees and officers of the Fund who are members of EVMs organization receive remuneration for their services to the Fund out of the investment adviser fee. Trustees of the Fund who are not affiliated with EVM 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 March 31, 2021, no significant amounts have been deferred. Certain officers and Trustees of the Fund are officers of EVM.
5 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 March 31, 2021 were as follows:
Purchases | Sales | |||||||
Investments (non-U.S. Government) |
$ | 797,061,058 | $ | 807,228,949 | ||||
U.S. Government and Agency Securities |
580,461,878 | 525,954,850 | ||||||
$ | 1,377,522,936 | $ | 1,333,183,799 |
6 Common Shares of Beneficial Interest
The Fund may issue common shares pursuant to its dividend reinvestment plan. There were no common shares issued by the Fund for the years ended March 31, 2021 and March 31, 2020.
In November 2013, the Board of Trustees initially approved a share repurchase program for the Fund. Pursuant to the reauthorization of the share repurchase program by the Board of Trustees in March 2019, the Fund is authorized to repurchase up to 10% of its common shares outstanding as of the last day of the prior calendar year at market prices when shares are trading at a discount to net asset value. The share repurchase program does not obligate the Fund to purchase a specific amount of shares. There were no repurchases of common shares by the Fund for the years ended March 31, 2021 and March 31, 2020.
7 Restricted Securities
At March 31, 2021, the Fund owned the following securities (representing less than 0.05% of net assets applicable to common shares) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Fund has various registration rights
69 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Notes to Financial Statements continued
(exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.
Description | Date of Acquisition |
Shares | Cost | Value | ||||||||||||
Common Stocks |
||||||||||||||||
Extraction Oil & Gas, Inc. |
1/28/21 | 2,089 | $ | 30,894 | $ | 74,746 | ||||||||||
Nine Point Energy Holdings, Inc. |
7/15/14 | 29,787 | 1,370,397 | 0 | ||||||||||||
Convertible Preferred Stocks |
||||||||||||||||
Nine Point Energy Holdings, Inc., Series A, 12.00% |
5/26/17 | 555 | 555,000 | 0 | ||||||||||||
Total Restricted Securities |
$ | 1,956,291 | $ | 74,746 |
8 Financial Instruments
The Fund may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include forward foreign currency exchange contracts, financial futures contracts and swap contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Fund 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 March 31, 2021 is included in the Portfolio of Investments. At March 31, 2021, the Fund had sufficient cash and/or securities to cover commitments under these contracts.
In the normal course of pursuing its investment objectives, the Fund is subject to the following risks:
Credit Risk: The Fund enters into credit default swap contracts to enhance total return and/or as a substitute for the purchase of securities.
Foreign Exchange Risk: The Fund holds foreign currency denominated investments. The value of these investments and related receivables and payables may change due to future changes in foreign currency exchange rates. To hedge against this risk, the Fund enters into forward foreign currency exchange contracts.
Interest Rate Risk: The Fund utilizes various interest rate derivatives including futures contracts and interest rate swaps to manage the duration of its portfolio and to hedge against fluctuations in securities prices due to interest rates.
The Fund enters into over-the-counter (OTC) derivatives that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Funds net assets below a certain level over a certain period of time, which would trigger a payment by the Fund for those derivatives in a liability position. At March 31, 2021, the fair value of derivatives with credit-related contingent features in a net liability position was $524,893. At March 31, 2021, there were no assets pledged by the Fund for such liability.
The OTC derivatives in which the Fund invests are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. To mitigate this risk, the Fund has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with substantially all its derivative counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, set-off provisions in the event of a default and/or termination event as defined under the relevant ISDA Master Agreement. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy or insolvency. Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Funds net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the counterparty to accelerate payment by the Fund of any net liability owed to it.
The collateral requirements for derivatives traded under an ISDA Master Agreement are governed by a Credit Support Annex to the ISDA Master Agreement. Collateral requirements are determined at the close of business each day and are typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement. Generally, the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of the Fund and/or counterparty is held in segregated accounts by the Funds custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as deposits for derivatives collateral and, in the case of cash pledged by a counterparty for the
70 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Notes to Financial Statements continued
benefit of the Fund, a corresponding liability on the Statement of Assets and Liabilities. Securities pledged by the Fund as collateral, if any, are identified as such in the Portfolio of Investments. The carrying amount of the liability for cash collateral due to brokers at March 31, 2021 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 13) at March 31, 2021.
The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at March 31, 2021 was as follows:
Fair Value | ||||||||||||||||
Statement of Assets and Liabilities Caption | Credit | Foreign Exchange |
Interest Rate | Total | ||||||||||||
Accumulated loss |
$ | 26,105 | * | $ | 584,554 | * | $ | 3,330,349 | * | $ | 3,941,008 | |||||
Receivable for open forward foreign currency exchange contracts |
| 3,073,925 | | 3,073,925 | ||||||||||||
Total Asset Derivatives |
$ | 26,105 | $ | 3,658,479 | $ | 3,330,349 | $ | 7,014,933 | ||||||||
Derivatives not subject to master netting or similar agreements |
$ | 26,105 | $ | 584,554 | $ | 3,330,349 | $ | 3,941,008 | ||||||||
Total Asset Derivatives subject to master netting or similar agreements |
$ | | $ | 3,073,925 | $ | | $ | 3,073,925 | ||||||||
Accumulated loss |
$ | (343,359 | )* | $ | (31,520 | )* | $ | (834,021 | )* | $ | (1,208,900 | ) | ||||
Payable for open forward foreign currency exchange contracts |
| (243,311 | ) | | (243,311 | ) | ||||||||||
Payable/receivable for open swap contracts; Upfront receipts on open non-centrally cleared swap contracts |
(281,582 | ) | | | (281,582 | ) | ||||||||||
Total Liability Derivatives |
$ | (624,941 | ) | $ | (274,831 | ) | $ | (834,021 | ) | $ | (1,733,793 | ) | ||||
Derivatives not subject to master netting or similar agreements |
$ | (343,359 | ) | $ | (31,520 | ) | $ | (834,021 | ) | $ | (1,208,900 | ) | ||||
Total Liability Derivatives subject to master netting or similar agreements |
$ | (281,582 | ) | $ | (243,311 | ) | $ | | $ | (524,893 | ) |
* | For futures contracts and centrally cleared derivatives, amount represents value as shown in the Portfolio of Investments. Only the current days variation margin on open futures contracts and centrally cleared derivatives is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open financial futures contracts and centrally cleared derivatives, as applicable. |
The Funds derivative assets and liabilities at fair value by risk, which are reported gross in the Statement of Assets and Liabilities, are presented in the table above. The following tables present the Funds derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement and net of the related collateral received by the Fund for such assets and pledged by the Fund for such liabilities as of March 31, 2021.
Counterparty | Derivative Assets Subject to Master Netting Agreement |
Derivatives Available for Offset |
Non-cash Collateral Received(a) |
Cash Collateral Received(a) |
Net Amount of Derivative Assets(b) |
Total Cash Collateral Received |
||||||||||||||||||
Bank of America, N.A. |
$ | 463,079 | $ | (111,299 | ) | $ | | $ | (280,000 | ) | $ | 71,780 | $ | 280,000 | ||||||||||
Citibank, N.A. |
288,882 | (35,187 | ) | | (250,000 | ) | 3,695 | 250,000 | ||||||||||||||||
Deutsche Bank AG |
6,797 | (6,797 | ) | | | | | |||||||||||||||||
Goldman Sachs International |
411,656 | (242,130 | ) | | (169,526 | ) | | 1,680,000 | ||||||||||||||||
HSBC Bank USA, N.A. |
1,288,986 | | (1,288,986 | ) | | | | |||||||||||||||||
JPMorgan Chase Bank, N.A. |
11,705 | | | | 11,705 | | ||||||||||||||||||
Standard Chartered Bank |
79,537 | | | (79,537 | ) | | 1,180,000 | |||||||||||||||||
State Street Bank and Trust Company |
523,283 | (93,518 | ) | (319,614 | ) | | 110,151 | | ||||||||||||||||
$ | 3,073,925 | $ | (488,931 | ) | $ | (1,608,600 | ) | $ | (779,063 | ) | $ | 197,331 | $ | 3,390,000 |
71 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Notes to Financial Statements continued
Counterparty | Derivative Liabilities Subject to Master Netting Agreement |
Derivatives Available for Offset |
Non-cash Collateral Pledged(a) |
Cash Collateral Pledged(a) |
Net Amount of Derivative Liabilities(c) |
Total Cash Collateral Pledged |
||||||||||||||||||
Bank of America, N.A. |
$ | (111,299 | ) | $ | 111,299 | $ | | $ | | $ | | $ | | |||||||||||
Citibank, N.A. |
(35,187 | ) | 35,187 | | | | | |||||||||||||||||
Deutsche Bank AG |
(42,759 | ) | 6,797 | | | (35,962 | ) | | ||||||||||||||||
Goldman Sachs International |
(242,130 | ) | 242,130 | | | | | |||||||||||||||||
State Street Bank and Trust Company |
(93,518 | ) | 93,518 | | | | | |||||||||||||||||
$ | (524,893 | ) | $ | 488,931 | $ | | $ | | $ | (35,962 | ) | $ | | |||||||||||
Total Deposits for derivatives collateral OTC derivatives |
$ | 3,390,000 |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Information with respect to reverse repurchase agreements during the year ended March 31, 2021 is included at Note 11.
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations by risk exposure for the year ended March 31, 2021 was as follows:
Statement of Operations Caption | Credit | Foreign Exchange |
Interest Rate | Total | ||||||||||||
Net realized gain (loss) |
||||||||||||||||
Financial futures contracts |
$ | | $ | | $ | 6,289,538 | $ | 6,289,538 | ||||||||
Swap contracts |
1,673,972 | | (2,342,708 | ) | (668,736 | ) | ||||||||||
Forward foreign currency exchange contracts |
| (11,876,568 | ) | | (11,876,568 | ) | ||||||||||
Total |
$ | 1,673,972 | $ | (11,876,568 | ) | $ | 3,946,830 | $ | (6,255,766 | ) | ||||||
Change in unrealized appreciation (depreciation) |
||||||||||||||||
Financial futures contracts |
$ | | $ | | $ | (2,993,132 | ) | $ | (2,993,132 | ) | ||||||
Swap contracts |
(68,781 | ) | | 5,173,133 | 5,104,352 | |||||||||||
Forward foreign currency exchange contracts |
| 3,010,257 | | 3,010,257 | ||||||||||||
Total |
$ | (68,781 | ) | $ | 3,010,257 | $ | 2,180,001 | $ | 5,121,477 |
The average notional cost of futures contracts and average notional amounts of other derivative contracts outstanding during the year ended March 31, 2021, which are indicative of the volume of these derivative types, were approximately as follows:
Futures Contracts Long |
Futures Contracts Short |
Forward Foreign Currency Exchange Contracts* |
Swap Contracts |
|||||||||||
$51,416,000 | $ | 22,176,000 | $ | 203,444,000 | $ | 51,813,000 |
* | The average notional amount of forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
9 Credit Agreement
The Fund has entered into a Credit Agreement, as amended (the Agreement) with major financial institutions to borrow up to $850 million. Borrowings under the Agreement are secured by the assets of the Fund. Interest is charged at a rate above the London Interbank Offered Rate (LIBOR) and is payable
72 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Notes to Financial Statements continued
monthly. Under the terms of the Agreement, in effect through December 17, 2021, the Fund pays a facility fee of 0.25% per annum on the borrowing limit. In connection with the renewal of the Agreement on December 18, 2018, the Fund paid an upfront fee of $1,530,000, which is being amortized to interest expense over a period of three years through December 2021. The unamortized balance at March 31, 2021 is approximately $375,000 and is included in prepaid upfront fees on notes payable on the Statement of Assets and Liabilities. The Fund is required to maintain certain net asset levels during the term of the Agreement. At March 31, 2021, the Fund had borrowings outstanding under the Agreement of $570,000,000 at an annual interest rate of 1.01%. Based on the short-term nature of the borrowings under the Agreement and the variable interest rate, the carrying amount of the borrowings at March 31, 2021 approximated its fair value. If measured at fair value, borrowings under the Agreement would have been considered as Level 2 in the fair value hierarchy (see Note 13) at March 31, 2021. Facility fees for the year ended March 31, 2021 totaled $2,154,515 and are included in interest expense and fees on the Statement of Operations. For the year ended March 31, 2021, the average borrowings under the Agreement and the average interest rate (excluding fees) were $570,090,411 and 1.05%, respectively.
10 Cash Advances
Pursuant to the custodian agreement, State Street Bank and Trust Company (SSBT) may, in its discretion, advance funds to the Fund in connection with the sale of certain securities, including certain foreign currency transactions, on a contractual settlement basis. Simultaneously with making a cash advance, the Fund grants to SSBT a security interest and a lien on any and all assets held by it for the account of the Fund. Cash advances are repayable on demand by SSBT. At March 31, 2021, the Fund owed SSBT $38,546,811 pursuant to the foregoing arrangement, which is included in other liabilities on the Statement of Assets and Liabilities. The Fund repaid the amount subsequent to year end. Based on the short-term nature of the agreement, the carrying value of other liabilities approximated its fair value at March 31, 2021. If measured at fair value, other liabilities would have been considered as Level 2 in the fair value hierarchy (see Note 13) at March 31, 2021.
11 Reverse Repurchase Agreements
There were no reverse repurchase agreements outstanding as of March 31, 2021. For the year ended March 31, 2021, the average borrowings under settled reverse repurchase agreements and the average interest rate were $36,311,273 and 0.40%, respectively.
12 Investments in Affiliated Issuers and Funds
The Fund invested in issuers that may be deemed to be affiliated with Morgan Stanley. At March 31, 2021, the value of the Funds investment in affiliated issuers and funds was $29,104,415, which represents 1.8% of the Funds net assets applicable to common shares. Transactions in affiliated issuers and funds by the Fund for the year ended March 31, 2021 were as follows:
Name of affiliated security/fund |
Value, beginning of period |
Purchases | Sales proceeds | Net realized gain (loss) |
Change in unrealized appreciation (depreciation) |
Value, end of period |
Interest/ Dividend |
Principal amount/ Units, end of |
||||||||||||||||||||||||
Commercial Mortgage-Backed Securities |
| |||||||||||||||||||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: |
||||||||||||||||||||||||||||||||
Series 2015-C23, Class D, 4.145%, 7/15/50(1) |
$ | | $ | | $ | | $ | | $ | (16,810 | ) | $ | 1,973,960 | $ | 6,909 | $ | 2,000,000 | |||||||||||||||
Series 2016-C29, Class D, 3.00%, 5/15/49(1) |
| | | | (28,328 | ) | 3,034,696 | 8,943 | 3,577,365 | |||||||||||||||||||||||
Series 2016-C32, Class D, 3.396%, 12/15/49(1) |
| | | | 34,113 | 1,286,773 | 4,528 | 1,600,000 | ||||||||||||||||||||||||
Morgan Stanley Capital I Trust: |
| |||||||||||||||||||||||||||||||
Series 2016-UBS12, Class D, 3.312%, 12/15/49(1) |
| | | | (15,795 | ) | 2,560,201 | 12,389 | 4,488,667 | |||||||||||||||||||||||
Series 2017-CLS, Class A, 0.806%, (1 mo. USD LIBOR + 0.70%), 11/15/34(1) |
| | | | (558 | ) | 2,001,683 | 1,393 | 2,000,000 | |||||||||||||||||||||||
Series 2019-BPR, Class C, 3.156%, (1 mo. USD LIBOR + 3.05%), 5/15/36(1) |
| | | | 6,594 | 1,587,708 | 5,034 | 1,845,000 | ||||||||||||||||||||||||
Short-Term Investments |
| |||||||||||||||||||||||||||||||
Eaton Vance Cash Reserves Fund, LLC |
24,661,698 | 995,427,382 | (1,003,443,572 | ) | 14,291 | (405 | ) | 16,659,394 | 73,873 | 16,659,394 | ||||||||||||||||||||||
$ | 14,291 | $ | (21,189 | ) | $ | 29,104,415 | $ | 113,069 |
(1) | May be deemed to be an affiliated issuer as of March 1, 2021 (see Note 4). |
73 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Notes to Financial Statements continued
13 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 funds own assumptions in determining the fair value of investments) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At March 31, 2021, the hierarchy of inputs used in valuing the Funds 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 |
$ | | $ | 122,462,599 | $ | | $ | 122,462,599 | ||||||||
Closed-End Funds |
25,693,918 | | | 25,693,918 | ||||||||||||
Collateralized Mortgage Obligations |
| 201,271,250 | | 201,271,250 | ||||||||||||
Commercial Mortgage-Backed Securities |
| 80,283,826 | | 80,283,826 | ||||||||||||
U.S. Government Agency Mortgage-Backed Securities |
| 333,654,315 | | 333,654,315 | ||||||||||||
Common Stocks |
2,942,575 | 5,405,937 | 2,161,267 | 10,509,779 | ||||||||||||
Convertible Bonds |
| 771,856 | | 771,856 | ||||||||||||
Convertible Preferred Stocks |
| | 0 | 0 | ||||||||||||
Corporate Bonds |
| 787,868,413 | 2,347,545 | 790,215,958 | ||||||||||||
Exchange-Traded Funds |
574,464 | | | 574,464 | ||||||||||||
Preferred Stocks |
2,145,704 | 1,545,537 | 0 | 3,691,241 | ||||||||||||
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) |
| 768,693,947 | 1,617,418 | 770,311,365 | ||||||||||||
Sovereign Government Securities |
| 77,130,420 | | 77,130,420 | ||||||||||||
Sovereign Loans |
| 9,359,440 | | 9,359,440 | ||||||||||||
Warrants |
| 59,559 | 100,360 | 159,919 | ||||||||||||
Miscellaneous |
| 6,824 | 0 | 6,824 | ||||||||||||
Short-Term Investments |
||||||||||||||||
Sovereign Government Securities |
| 66,220 | | 66,220 | ||||||||||||
U.S. Treasury Obligations |
| 499,992 | | 499,992 | ||||||||||||
Other |
| 16,659,394 | | 16,659,394 | ||||||||||||
Total Investments |
$ | 31,356,661 | $ | 2,405,739,529 | $ | 6,226,590 | $ | 2,443,322,780 | ||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | 3,658,479 | $ | | $ | 3,658,479 | ||||||||
Futures Contracts |
2,012,293 | | | 2,012,293 | ||||||||||||
Swap Contracts |
| 1,344,161 | | 1,344,161 | ||||||||||||
Total |
$ | 33,368,954 | $ | 2,410,742,169 | $ | 6,226,590 | $ | 2,450,337,713 | ||||||||
Liability Description |
||||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | (274,831 | ) | $ | | $ | (274,831 | ) | ||||||
Futures Contracts |
(264,641 | ) | | | (264,641 | ) | ||||||||||
Swap Contracts |
| (1,194,321 | ) | | (1,194,321 | ) | ||||||||||
Total |
$ | (264,641 | ) | $ | (1,469,152 | ) | $ | | $ | (1,733,793 | ) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
74 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Notes to Financial Statements continued
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the year ended March 31, 2021 is not presented.
14 Risks and Uncertainties
Risks Associated with Foreign Investments
Investing in securities issued by companies or entities whose principal business activities are outside the United States may involve significant risks not present in domestic investments. For example, there is generally less publicly available information about foreign companies, particularly those not subject to the disclosure and reporting requirements of the U.S. securities laws. Certain foreign issuers are generally not bound by uniform accounting, auditing, and financial reporting requirements and standards of practice comparable to those applicable to domestic issuers. Investments in foreign securities also involve the risk of possible adverse changes in investment or exchange control regulations, expropriation or confiscatory taxation, limitation on the removal of funds or other assets of the Fund, political or financial instability or diplomatic and other developments which could affect such investments. Foreign securities markets, while growing in volume and sophistication, are generally not as developed as those in the United States, and securities of some foreign issuers (particularly those located in developing countries) may be less liquid and more volatile than securities of comparable U.S. companies. In general, there is less overall governmental supervision and regulation of foreign securities markets, broker/dealers and issuers than in the United States.
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 Funds performance, or the performance of the securities in which the Fund invests.
75 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Report of Independent Registered Public Accounting Firm
To the Trustees and Shareholders of Eaton Vance Limited Duration Income Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Eaton Vance Limited Duration Income Fund (the Fund), including the portfolio of investments, as of March 31, 2021, the related statements of operations and cash flows 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 Fund as of March 31, 2021, the results of its operations and its cash flows 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 Funds management. Our responsibility is to express an opinion on the Funds 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 Fund 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 Fund 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 Funds 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 March 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
May 19, 2021
We have served as the auditor of one or more Eaton Vance investment companies since 1959.
76 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Federal Tax Information (Unaudited)
The Form 1099-DIV you receive in February 2022 will show the tax status of all distributions paid to your account in calendar year 2021. Shareholders are advised to consult their own tax adviser with respect to the tax consequences of their investment in the Fund. As required by the Internal Revenue Code and/or regulations, shareholders must be notified regarding the status of qualified dividend income for individuals and 163(j) interest dividends.
Qualified Dividend Income. For the fiscal year ended March 31, 2021, the Fund designates approximately $2,189,073, or up to the maximum amount of such dividends allowable pursuant to the Internal Revenue Code, as qualified dividend income eligible for the reduced tax rate of 15%.
163(j) Interest Dividends. For the fiscal year ended March 31, 2021, the Fund designates 96.01% of distributions from net investment income as a 163(j) interest dividend.
77 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Joint Special Meeting of Shareholders (Unaudited)
The Fund held a Joint Special Meeting of Shareholders (the Special Meeting) with certain other Eaton Vance closed-end funds on January 7, 2021 for the following purpose: approval of a new investment advisory agreement with EVM (Proposal 1). The shareholder meeting results are as follows:
Number of Shares(1) | ||||||||||||||||
For | Against | Abstain(2) | Broker Non-Votes(2) |
|||||||||||||
Proposal 1 |
49,059,001 | 13,035,691 | 1,396,764 | 0 |
(1) | Fractional shares were voted proportionately. |
(2) | All shares that were voted and votes to abstain were counted towards establishing a quorum, as were broker non-votes. (Broker non-votes are shares for which a broker returns a proxy but for which (i) the beneficial owner has not voted and (ii) the broker holding the shares does not have discretionary authority to vote on the particular matter.) Abstentions and broker non-votes had the effect of a negative vote on the Proposal. Broker non-votes were not expected with respect to the Proposal because brokers are required to receive instructions from the beneficial owners or persons entitled to vote in order to submit proxies. |
78 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Annual Meeting of Shareholders (Unaudited)
The Fund held its Annual Meeting of Shareholders on February 11, 2021. The following actions were taken by the shareholders:
Proposal 1: The election of George J. Gorman, Helen Frame Peters, Marcus L. Smith and Susan J. Sutherland as Class III Trustees of the Fund, each for a three-year term ending in 2024.
The following votes were cast by the Funds common and APS shareholders, voting together as a single class:
Nominees for Trustee | Number of Shares | |||||||
For | Withheld | |||||||
Helen Frame Peters |
68,375,889 | 29,260,455 | ||||||
Marcus L. Smith |
68,349,491 | 29,286,853 | ||||||
Susan J. Sutherland |
68,337,525 | 29,298,819 |
The following votes were cast by the Funds APS shareholders, voting separately as a single class:
Nominee for Trustee | Number of Shares | |||||||
For | Withheld | |||||||
George J. Gorman |
2,466 | 4,954 |
79 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
The Fund offers a dividend reinvestment plan (Plan) pursuant to which shareholders may elect to have distributions automatically reinvested in common shares (Shares) of the Fund. You may elect to participate in the Plan by completing the Dividend Reinvestment Plan Application Form. If you do not participate, you will receive all distributions in cash paid by check mailed directly to you by American Stock Transfer & Trust Company, LLC (AST) as dividend paying agent. On the distribution payment date, if the NAV per Share is equal to or less than the market price per Share plus estimated brokerage commissions, then new Shares will be issued. The number of Shares shall be determined by the greater of the NAV per Share or 95% of the market price. Otherwise, Shares generally will be purchased on the open market by AST, the Plan agent (Agent). Distributions subject to income tax (if any) are taxable whether or not Shares are reinvested.
If your Shares are in the name of a brokerage firm, bank, or other nominee, you can ask the firm or nominee to participate in the Plan on your behalf. If the nominee does not offer the Plan, you will need to request that the Funds transfer agent re-register your Shares in your name or you will not be able to participate.
The Agents service fee for handling distributions will be paid by the Fund. Plan participants will be charged their pro rata share of brokerage commissions on all open-market purchases.
Plan participants may withdraw from the Plan at any time by writing to the Agent at the address noted on the following page. If you withdraw, you will receive Shares in your name for all Shares credited to your account under the Plan. If a participant elects by written notice to the Agent to sell part or all of his or her Shares and remit the proceeds, the Agent is authorized to deduct a $5.00 fee plus brokerage commissions from the proceeds.
If you wish to participate in the Plan and your Shares are held in your own name, you may complete the form on the following page and deliver it to the Agent. Any inquiries regarding the Plan can be directed to the Agent at 1-866-439-6787.
80 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Application for Participation in Dividend Reinvestment Plan
This form is for shareholders who hold their common shares in their own names. If your common shares are held in the name of a brokerage firm, bank, or other nominee, you should contact your nominee to see if it will participate in the Plan on your behalf. If you wish to participate in the Plan, but your brokerage firm, bank, or nominee is unable to participate on your behalf, you should request that your common shares be re-registered in your own name which will enable your participation in the Plan.
The following authorization and appointment is given with the understanding that I may terminate it at any time by terminating my participation in the Plan as provided in the terms and conditions of the Plan.
Please print exact name on account
Shareholder signature Date
Shareholder signature Date
Please sign exactly as your common shares are registered. All persons whose names appear on the share certificate must sign.
YOU SHOULD NOT RETURN THIS FORM IF YOU WISH TO RECEIVE YOUR DISTRIBUTIONS IN CASH. THIS IS NOT A PROXY.
This authorization form, when signed, should be mailed to the following address:
Eaton Vance Limited Duration Income Fund
c/o American Stock Transfer & Trust Company, LLC
P.O. Box 922
Wall Street Station
New York, NY 10269-0560
81 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Board of Trustees Contract Approval
Overview of the Contract Review Process
Even though the following description of the Boards (as defined below) consideration of investment advisory agreements covers multiple funds, for purposes of this shareholder report, the description is only relevant as to Eaton Vance Limited Duration Income Fund.
At a meeting held on November 10, 2020 (the November Meeting), the Board of Trustees (each, a Board and, collectively, the Board) of each closed-end Fund (each, a Fund and, collectively, the Funds1) managed by Eaton Vance Management (Eaton Vance), including a majority of the Board members (the Independent Trustees) who are not interested persons (as defined in the Investment Company Act of 1940 (the 1940 Act)) of the Funds or Eaton Vance, voted to approve a new investment advisory agreement between each Fund and Eaton Vance, each of which is intended to go into effect upon the completion of the Transaction (as defined below) (each, a New Agreement and, collectively, the New Agreements). The Boards evaluative process is more fully described below. In voting its approval of the New Agreements at the November Meeting, the Board relied on an order issued by the Securities and Exchange Commission in response to the impacts of the COVID-19 pandemic that provided temporary relief from the in-person meeting requirements under Section 15 of the 1940 Act.
In voting its approval of the New Agreements, the Board of each Fund relied upon the recommendation of its Contract Review Committee, which is a committee comprised exclusively of Independent Trustees. Prior to and during meetings leading up to the November Meeting, the Contract Review Committee reviewed and discussed information furnished by Eaton Vance and Morgan Stanley, as requested by the Independent Trustees, that the Contract Review Committee considered reasonably necessary to evaluate the terms of the New Agreements and to form its recommendations. Such information included, among other things, the terms and anticipated impacts of Morgan Stanleys pending acquisition of Eaton Vance Corp. (the Transaction) on the Funds and their shareholders. In addition to considering information furnished specifically to evaluate the impact of the Transaction on the Funds and their respective shareholders, the Board and its Contract Review Committee also considered information furnished for prior meetings of the Board and its committees, including, but not limited to, information provided in connection with the annual contract review process for the Funds, which most recently culminated in April 2020 (the 2020 Annual Approval Process).
The Board of each Fund, including the Independent Trustees, concluded that the applicable New Agreement, including the fees payable thereunder, was fair and reasonable, and it voted to approve the New Agreement and to recommend that shareholders do so as well.
Shortly after the announcement of the Transaction, the Board, including all of the Independent Trustees, met with senior representatives from Eaton Vance and Morgan Stanley at its meeting held on October 13, 2020 to discuss certain aspects of the Transaction and the expected impacts of the Transaction on the Funds and their shareholders. As part of the Boards evaluation process, counsel to the Independent Trustees, on behalf of the Contract Review Committee, requested additional information to assist the Independent Trustees in their evaluation of the New Agreements and the implications of the Transaction, as well as other contractual arrangements that may be affected by the Transaction. The Contract Review Committee considered information furnished by Eaton Vance and Morgan Stanley and their respective affiliates during meetings on November 5, 2020 and November 10, 2020.
The Contract Review Committee again met with senior representatives of Eaton Vance and Morgan Stanley at its meeting on November 10, 2020, to further discuss the approval of the New Agreements. The representatives from Eaton Vance and Morgan Stanley each made presentations to, and responded to questions from, the Independent Trustees. The Contract Review Committee considered Eaton Vances and Morgan Stanleys responses related to the Transaction and specifically to the Funds, as well as information received in connection with the 2020 Annual Approval Process, with respect to its evaluation of the New Agreements. Among other information, the Board considered:
Information about the Transaction and its Terms
| Information about the material terms and conditions, and expected impact, of the Transaction that relate to the Funds, including the expected impact on the businesses conducted by Eaton Vance with respect to the Funds; |
| Information about the advantages of the Transaction as they relate to the Funds and their shareholders; |
| A commitment that the Funds would not bear any expenses, directly or indirectly, in connection with the Transaction, including with respect to the solicitation of shareholder approval of the New Agreements; |
| A commitment that, for a period of three years after the Closing, at least 75% of each Funds Board members must not be interested persons (as defined in the 1940 Act) of the investment adviser (or predecessor investment adviser, if applicable) pursuant to Section 15(f)(1)(A) of the 1940 Act; |
| A commitment that Morgan Stanley would use its reasonable best efforts to ensure that it did not impose any unfair burden (as that term is used in section 15(f)(1)(B) of the 1940 Act) on the Funds as a result of the Transaction; |
| Information with respect to the potential impact of the Transaction on personnel and/or other resources of Eaton Vance and its affiliates, as well as any expected changes to compensation, including any retention-based compensation intended to incentivize key personnel at Eaton Vance and its affiliates; |
| Information regarding any changes that are expected with respect to the Funds slate of officers as a result of the Transaction; |
1 | References to the Funds do not include Eaton Vance Floating-Rate Income Plus Fund. |
82 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Board of Trustees Contract Approval continued
Information about Morgan Stanley
| Information about Morgan Stanleys overall business, including information about the advisory, brokerage and related businesses that Morgan Stanley operates; |
| Information about Morgan Stanleys financial condition, including its access to capital and other resources required to support the investment advisory businesses related to the Funds; |
| Information on how the Funds are expected to fit within Morgan Stanleys overall business strategy, and any changes that Morgan Stanley contemplates implementing to the Funds in the short- or long-term following the closing of the Transaction (the Closing); |
| Information regarding risk management functions at Morgan Stanley and its affiliates, including how existing risk management protocols and procedures may impact the Funds and/or the businesses of Eaton Vance and its affiliates as they relate to the Funds; |
| Information on the anticipated benefits of the Transaction to the Funds with respect to potential additional distribution capabilities and the ability to access new markets and customer segments through Morgan Stanleys distribution network, including, in particular, its institutional client base; |
| Information regarding the financial condition and reputation of Morgan Stanley, its worldwide presence, experience as a fund sponsor and manager, commitment to maintain a high level of cooperation with, and support to, the Funds, strong client service capabilities, and relationships in the asset management industry; |
Information about the New Agreements
| A representation that, after the Closing, all of the Funds will continue to be advised by Eaton Vance, and will continue under the Eaton Vance brand; |
| Information regarding the terms of the New Agreements, including certain changes as compared to the current investment advisory agreement between each Fund and Eaton Vance (collectively, the Current Agreements); |
| Information confirming that the fee rates payable under the New Agreements are not changed as compared to the Current Agreements; |
| A representation that the New Agreements will not cause any diminution in the nature, extent and quality of services provided by Eaton Vance to the Funds and their respective shareholders, including with respect to compliance and other non-advisory services; |
Information about Fund Performance, Fees and Expenses
| A report from an independent data provider comparing the investment performance of each Fund (including, as relevant, total return data, income data, Sharpe ratios and information ratios) to the investment performance of comparable funds and, as applicable, benchmark indices, over various time periods as of the 2020 Annual Approval Process, as well as performance information as of a more recent date; |
| A report from an independent data provider comparing each Funds total expense ratio (and its components) to those of comparable funds as of the 2020 Annual Approval Process, as well as fee and expense information as of a more recent date; |
| In certain instances, data regarding investment performance relative to customized groups of peer funds and blended indices identified by Eaton Vance in consultation with the Portfolio Management Committee of the Board as of the 2020 Annual Approval Process, as well as corresponding performance information as of a more recent date; |
| Comparative information concerning the fees charged and services provided by Eaton Vance to each Fund in managing other accounts (which may include other mutual funds, collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such Fund(s), if any; |
| Profitability analyses of Eaton Vance with respect to each of the Funds as of the 2020 Annual Approval Process, as well as information regarding the impact of the Transaction on profitability; |
Information about Portfolio Management and Trading
| Descriptions of the investment management services currently provided and expected to be provided to each Fund after the Closing, as well as each of the Funds investment strategies and policies; |
| The procedures and processes used to determine the fair value of Fund assets, when necessary, and actions taken to monitor and test the effectiveness of such procedures and processes; |
| Information regarding any contemplated changes to the policies and practices of Eaton Vance with respect to trading, including their processes for seeking best execution of portfolio transactions; |
| Information regarding the impact on trading and access to capital markets associated with the Funds post-Closing affiliations with Morgan Stanley and its affiliates, including potential restrictions with respect to the Funds ability to execute portfolio transactions with Morgan Stanley and its affiliates; |
Information about Eaton Vance
| Information about the financial results and condition of Eaton Vance since the culmination of the 2020 Annual Approval Process and any material changes in financial condition that are reasonably expected to occur before and after the Closing; |
| Confirmation that there are no immediately contemplated post-Closing changes to the individual investment professionals whose responsibilities include portfolio management and investment research for the Funds, and, for portfolio managers and certain other investment professionals, information relating to their responsibilities with respect to managing other mutual funds and investment accounts, as applicable post-Closing; |
83 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Board of Trustees Contract Approval continued
| The Code of Ethics of Eaton Vance and its affiliates, together with information relating to compliance with, and the administration of, such codes; |
| Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
| Information concerning the resources devoted to compliance efforts undertaken by Eaton Vance and its affiliates, including descriptions of their various compliance programs and their record of compliance; |
| Information concerning the business continuity and disaster recovery plans of Eaton Vance and its affiliates; |
Other Relevant Information
| Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by Eaton Vance and its affiliates; |
| Information concerning oversight of the relationship with the custodian, subcustodians and fund accountants by Eaton Vance and/or administrator to each of the Funds; |
| Information concerning the benefits of the closed-end fund structure, as well as, where relevant, the closed-end funds market prices, trading volume data, distribution rates and other relevant matters; |
| Confirmation that Eaton Vance intends to continue to manage the Funds in a manner materially consistent with each Funds current investment objective(s) and principal investment strategies; |
| Information regarding Morgan Stanleys commitment to maintaining competitive compensation arrangements to attract and retain highly qualified personnel; |
| Confirmation that Eaton Vance and Morgan Stanley will continue to keep the Board apprised of developments as the Transaction progresses and prior to and, as applicable, following the Closing; |
| Confirmation that the current senior management team at Eaton Vance has indicated its strong support of the Transaction; and |
| Information regarding the fact that Morgan Stanley and Eaton Vance Corp. will each derive benefits from the Transaction and that, as a result, they have a financial interest in the matters that were being considered. |
As indicated above, the Board and its Contract Review Committee also considered information received at its regularly scheduled meetings throughout the year, which included information from portfolio managers and other investment professionals of Eaton Vance regarding investment and performance matters, and considered various investment and trading strategies used in pursuing the Funds investment objectives. The Board also received information regarding risk management techniques employed in connection with the management of the Funds. The Board and its committees evaluated issues pertaining to industry and regulatory developments, compliance procedures, fund governance and other issues with respect to the Funds, and received reports and participated in presentations provided by Eaton Vance and its affiliates with respect to such matters.
The Contract Review Committee was advised throughout the evaluation process by Goodwin Procter LLP, independent legal counsel for the Independent Trustees. The members of the Contract Review Committee, with the advice of such counsel, exercised their own business judgment in determining the material factors to be considered in evaluating the New Agreements and the weight to be given to each such factor. The conclusions reached with respect to the New Agreements were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Independent Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to the New Agreements.
Nature, Extent and Quality of Services
In considering whether to approve the New Agreements, the Board evaluated the nature, extent and quality of services currently provided to each Fund by Eaton Vance under the Current Agreements. In evaluating the nature, extent and quality of services to be provided by Eaton Vance under the New Agreements, the Board considered, among other information, the expected impact, if any, of the Transaction on the operations, facilities, organization and personnel of Eaton Vance, and that Morgan Stanley and Eaton Vance have advised the Board that, following the Closing, there is not expected to be any diminution in the nature, extent and quality of services provided by Eaton Vance to the Funds and their shareholders, including compliance and other non-advisory services, and that there are not expected to be any changes in portfolio management personnel as a result of the Transaction.
The Board also considered the financial resources of Morgan Stanley and Eaton Vance and the importance of having a Fund manager with, or with access to, significant organizational and financial resources. The Board considered the benefits to the Funds of being part of a larger combined organization with greater financial resources following the Closing, particularly during periods of market disruptions and volatility. In this regard, the Board considered information provided by Morgan Stanley regarding its business and operating structure, scale of operation, leadership and reputation, distribution capabilities and financial condition, as well as information on how the Funds are expected to fit within Morgan Stanleys overall business strategy and any changes that Morgan Stanley contemplates in the short- or long-term following the Closing. The Board also noted Morgan Stanleys and Eaton Vances commitment to keep the Board apprised of developments with respect to its long-term integration plans for Eaton Vance and existing Morgan Stanley affiliates and their respective personnel.
The Board considered Eaton Vances management capabilities, investment processes and investment performance in light of the types of investments held by each Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to each Fund. In particular, the Board considered the abilities and experience of Eaton Vances investment professionals in implementing each Funds investment strategies. The Board also took into account the resources dedicated to portfolio management and
84 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Board of Trustees Contract Approval continued
other services, the compensation methods of Eaton Vance and other factors, including the reputation and resources of Eaton Vance to recruit and retain highly qualified research, advisory and supervisory investment professionals. With respect to the recruitment and retention of key personnel, the Board noted information from Morgan Stanley and Eaton Vance regarding the benefits of joining Morgan Stanley. In addition, the Board considered the time and attention devoted to the Funds by senior management, as well as the infrastructure, operational capabilities and support staff in place to assist in the portfolio management and operations of the Funds, including the provision of administrative services. With respect to the foregoing, the Board also considered information from Eaton Vance and Morgan Stanley regarding the anticipated impact of the Transaction on such matters. The Board also considered the business-related and other risks to which Eaton Vance or its affiliates may be subject in managing the Funds and in connection with the Transaction. The Board considered the deep experience of Eaton Vance and its affiliates with managing and operating funds organized as exchange-listed closed-end funds, such as the Funds. In this regard, the Board considered, among other things, Eaton Vances and its affiliates experience with implementing leverage arrangements, monitoring and assessing trading price discounts and premiums and adhering to the requirements of securities exchanges.
The Board considered the compliance programs of Eaton Vance and relevant affiliates thereof. The Board considered compliance and reporting matters regarding, among other things, personal trading by investment professionals, disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity and the allocation of investment opportunities. The Board also considered the responses of Eaton Vance and its affiliates to requests in recent years from regulatory authorities, such as the Securities and Exchange Commission and the Financial Industry Regulatory Authority. The Board also considered certain information relating to the compliance record of Morgan Stanley and its affiliates, including information requests in recent years from regulatory authorities. With respect to the foregoing, including the compliance programs of Eaton Vance, the Board noted information regarding the impact of the Transaction, as well as Eaton Vances and Morgan Stanleys commitment to keep the Board apprised of developments with respect to its long-term integration plans for Eaton Vance and existing Morgan Stanley affiliates and their respective personnel.
The Board considered other administrative services provided and to be provided or overseen by Eaton Vance and its affiliates, including transfer agency and accounting services. The Board evaluated the benefits to shareholders of investing in a fund that is a part of a large fund complex offering exposure to a variety of asset classes and investment disciplines. The Board noted information that the Transaction was not expected to have any material impact on such matters in the near-term.
In evaluating the nature, extent and quality of the services to be provided under the New Agreements, the Board also considered investment performance information provided for each Fund in connection with the 2020 Annual Approval Process, as well as information provided as of a more recent date. In this regard, the Board compared each Funds investment performance to that of comparable funds identified by an independent data provider (the peer group), as well as appropriate benchmark indices and, for certain Funds, a custom peer group of similarly managed funds. The Board also considered, where applicable, Fund-specific performance explanations based on criteria established by the Board in connection with the 2020 Annual Approval Process and, where applicable, performance explanations as of a more recent date. In addition to the foregoing information, it was also noted that the Board has received and discussed with management information throughout the year at periodic intervals comparing each Funds performance against applicable benchmark indices and peer groups. In addition, the Board considered each Funds performance in light of overall financial market conditions. Where a Funds relative underperformance to its peers was significant during one or more specified periods, the Board noted the explanations from Eaton Vance concerning the Funds relative performance versus the peer group.
After consideration of the foregoing factors, among others, and based on their review of the materials provided and the assurances received from, and recommendations of, Eaton Vance and Morgan Stanley, the Board determined that the Transaction was not expected to adversely affect the nature, extent and quality of services provided to the Funds by Eaton Vance and its affiliates and that the Transaction was not expected to have an adverse effect on the ability of Eaton Vance and its affiliates to provide those services. The Board concluded that the nature, extent and quality of services expected to be provided by Eaton Vance, taken as a whole, are appropriate and expected to be consistent with the terms of the New Agreements.
Management Fees and Expenses
The Board considered contractual fee rates payable by each Fund for advisory and administrative services (referred to collectively as management fees) in connection with the 2020 Annual Approval Process, as well as information provided as of a more recent date. As part of its review, the Board considered each Funds management fees and total expense ratio over various periods, as compared to those of comparable funds, before and after giving effect to any undertaking to waive fees or reimburse expenses.
The Board also considered factors, and, where applicable, certain Fund-specific factors, that had an impact on a Funds total expense ratio relative to comparable funds, as identified by Eaton Vance in response to inquiries from the Contract Review Committee. The Board considered that the New Agreement does not change a Funds management fee rate or the computation method for calculating such fees, including any separately executed permanent contractual management fee reduction currently in place for the Fund.
The Board also received and considered, where applicable, information about the services offered and the fee rates charged by Eaton Vance to other types of accounts with investment objectives and strategies that are substantially similar to and/or managed in a similar investment style as a Fund. In this regard, the Board received information about the differences in the nature and scope of services Eaton Vance provides to the Funds as compared to other types of accounts and the material differences in compliance, reporting and other legal burdens and risks to Eaton Vance as between each Fund and other types of accounts.
85 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Board of Trustees Contract Approval continued
After considering the foregoing information, and in light of the nature, extent and quality of the services expected to be provided by Eaton Vance, the Board concluded that the management fees charged for advisory and related services are reasonable with respect to its approval of the New Agreements.
Profitability and Fall-Out Benefits
During the 2020 Annual Approval Process, the Board considered the level of profits realized by Eaton Vance and relevant affiliates thereof in providing investment advisory and administrative services to the Funds and to all Eaton Vance funds as a group. The Board considered the level of profits realized without regard to marketing support or other payments by Eaton Vance and its affiliates to third parties in respect of distribution or other services. In light of the foregoing factors and the nature, extent and quality of the services rendered, the profits realized by Eaton Vance and its affiliates were not deemed to be excessive by the Board.
The Board noted that Morgan Stanley and Eaton Vance are expected to realize, over time, cost savings from the Transaction based on eliminating duplicate corporate overhead expenses. The Board considered, however, information from Eaton Vance and Morgan Stanley that such cost savings are not expected to be realized immediately upon the Closing and that, accordingly, there are currently no specific expected changes in the levels of profitability associated with the advisory and other services provided to the Funds that are contemplated as a result of the Transaction. The Board noted that it will continue to receive information regarding profitability during its annual contract review processes, including the extent to which cost savings and/or other efficiencies result in changes to profitability levels.
The Board also considered direct or indirect fall-out benefits received by Eaton Vance and its affiliates in connection with their respective relationships with the Funds, including the benefits of research services that may be available to Eaton Vance and its affiliates as a result of securities transactions effected for the Funds and other investment advisory clients. In evaluating the fall-out benefits to be received by Eaton Vance and its affiliates under the New Agreements, the Board considered whether the Transaction would have an impact on the fall-out benefits currently realized by Eaton Vance and its affiliates in connection with services provided pursuant to the Current Agreements.
The Board of each Fund considered that Morgan Stanley may derive reputational and other benefits from its ability to use the names of Eaton Vance and its affiliates in connection with operating and marketing the Funds. The Board considered that the Transaction, if completed, would significantly increase Morgan Stanleys assets under management and expand Morgan Stanleys investment capabilities.
Economies of Scale
The Board also considered the extent to which Eaton Vance and its affiliates, on the one hand, and the Funds, on the other hand, can expect to realize benefits from economies of scale as the assets of the Funds increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from economies of scale, if any, with respect to the management of any specific Fund or group of funds. As part of the 2020 Annual Approval Process, the Board reviewed data summarizing the increases and decreases in the assets of the Funds and of all Eaton Vance funds as a group over various time periods, and evaluated the extent to which the total expense ratio of each Fund and the profitability of Eaton Vance and its affiliates may have been affected by such increases or decreases.
The Board noted that Morgan Stanley and Eaton Vance are expected to benefit from possible growth of the Funds resulting from enhanced distribution capabilities, including with respect to the Funds potential access to Morgan Stanleys institutional client base. Based upon the foregoing, the Board concluded that the Funds currently share in the benefits from economies of scale, if any, when they are realized by Eaton Vance, and that the Transaction is not expected to impede a Fund from continuing to benefit from any future economies of scale realized by Eaton Vance. The Board also considered the fact that the Funds are not continuously offered in the same manner as an open-end fund and that the Funds assets may not increase materially in the foreseeable future.
Conclusion
Based on its consideration of the foregoing, and such other information it deemed relevant, including the factors and conclusions described above, the Contract Review Committee recommended to the Board approval of the New Agreements. Based on the recommendation of the Contract Review Committee, the Board, including a majority of the Independent Trustees, unanimously voted to approve the New Agreements for the Funds and recommended that shareholders approve the New Agreements.
86 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Fund Management. The Trustees of Eaton Vance Limited Duration Income Fund (the Fund) are responsible for the overall management and supervision of the Funds affairs. The Trustees and officers of the Fund 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. The Noninterested Trustees consist of those Trustees who are not interested persons of the Fund, as that term is defined under the 1940 Act. The business address of each Trustee and officer is Two International Place, Boston, Massachusetts 02110. As used below, EVC refers to Eaton Vance Corp., EV refers to EV LLC, EVM refers to Eaton Vance Management, BMR refers to Boston Management and Research 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 139 portfolios (with the exception of Messrs. Faust and Wennerholm and Ms. Frost who oversee 138 portfolios) in the Eaton Vance Complex (including all master and feeder funds in a master feeder structure). Each officer serves as an officer of certain other Eaton Vance funds.
Name and Year of Birth | Position(s) with the |
Term Expiring; Trustee Since(1) |
Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience | |||
Interested Trustee | ||||||
Thomas E. Faust Jr. 1958 |
Class II Trustee |
Until 2023. 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. Trustee and/or officer of 138 registered investment companies. Mr. Faust is an interested person because of his positions with MSIM, BMR, EVM, EVD, and EV, which are affiliates of the Trust, and his former position with EVC, which was an affiliate of the Trust prior to March 1, 2021. Directorships in the Last Five Years. Formerly, Director of EVC (2007-2021) and Hexavest Inc. (2012-2021) (investment management firm). | |||
Noninterested Trustees | ||||||
Mark R. Fetting 1954 |
Class II Trustee |
Until 2023. 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 in the Last Five Years. None. | |||
Cynthia E. Frost 1961 |
Class I Trustee |
Until 2022. 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 in the Last Five Years. None. | |||
George J. Gorman 1952 |
Vice-Chairperson of the Board and Class III Trustee |
Until 2024. Vice-Chairperson of the Board since 2021 and Trustee since 2014. |
Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships in the Last Five Years. None. | |||
Valerie A. Mosley 1960 |
Class I Trustee |
Until 2022. 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 in the Last Five Years. 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). |
87 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Management and Organization continued
Name and Year of Birth | Position(s) with the |
Term Expiring; Trustee Since(1) |
Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience | |||
Noninterested Trustees (continued) | ||||||
William H. Park 1947 |
Chairperson of the Board and Class II Trustee |
Until 2023. Chairperson of the Board since 2016 and 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 in the Last Five Years. None. | |||
Helen Frame Peters 1948 |
Class III Trustee |
Until 2024. 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 in the Last Five Years. None. | |||
Keith Quinton 1958 |
Class II Trustee |
Until 2023. Trustee since 2018. |
Private investor, researcher and lecturer. Independent Investment Committee Member at New Hampshire Retirement System (since 2017). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships in the Last Five Years. Director (since 2016) and Chairman (since 2019) of New Hampshire Municipal Bond Bank. | |||
Marcus L. Smith 1966 |
Class III Trustee |
Until 2024. Trustee since 2018. |
Private investor. Member of Posse Boston Advisory Board (foundation) (since 2015). Formerly, Portfolio Manager at MFS Investment Management (investment management firm) (1994-2017). Other Directorships in the Last Five Years. 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 |
Class III Trustee |
Until 2024. 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 in the Last Five Years. Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (since 2021). | |||
Scott E. Wennerholm 1959 |
Class I Trustee |
Until 2022. 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 in the Last Five Years. None. | |||
Name and Year of Birth | Position(s) with the Fund |
Officer Since(2) | Principal Occupation(s) During Past Five Years | |||
Principal Officers who are not Trustees | ||||||
Eric A. Stein 1980 |
President | 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 Vances Global Income Investments. Also Vice President of Calvert Research and Management (CRM). |
88 |
Eaton Vance
Limited Duration Income Fund
March 31, 2021
Management and Organization continued
Name and Year of Birth | Position(s) with the Fund |
Officer Since(2) |
Principal Occupation(s) During Past Five Years | |||
Principal Officers who are not Trustees (continued) | ||||||
Deidre E. Walsh 1971 |
Vice President | 2009 | Vice President of EVM and BMR. | |||
Maureen A. Gemma 1960 |
Secretary and Chief Legal Officer | 2005 | Vice President of EVM and BMR. Also Vice President of CRM. | |||
James F. Kirchner 1967 |
Treasurer | 2007 | Vice President of EVM and BMR. Also Vice President of CRM. | |||
Richard F. Froio 1968 |
Chief Compliance Officer | 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). |
(1) | Year first appointed to serve as Trustee for a fund in the Eaton Vance family of funds. Each Trustee has served continuously since appointment unless indicated otherwise. |
(2) | Year first elected to serve as officer of a fund in the Eaton Vance family of funds when the officer has served continuously. Otherwise, year of most recent election as an officer of a fund in the Eaton Vance family of funds. Titles may have changed since initial election. Each officer serves until his or her successor is elected. |
89 |
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 dont 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 dont share | ||
For our investment management affiliates to market to you | Yes | Yes | ||
For our affiliates to market to you | No | We dont share | ||
For nonaffiliates to market to you | No | We dont 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 | |
90 |
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 Managements 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 cant 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 doesnt 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. |
91 |
Eaton Vance Funds
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. American Stock Transfer & Trust Company, LLC (AST), the closed-end funds transfer agent, or your financial intermediary, may household the mailing of your documents indefinitely unless you instruct AST, or your financial intermediary, otherwise. If you would prefer that your Eaton Vance documents not be householded, please contact AST or 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 AST 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 SECs 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 SECs website at www.sec.gov.
Share Repurchase Program. The Funds Board of Trustees has approved a share repurchase program authorizing the Fund to repurchase up to 10% of its common shares outstanding as of the last day of the prior calendar year in open-market transactions at a discount to net asset value. The repurchase program does not obligate the Fund to purchase a specific amount of shares. The Funds repurchase activity, including the number of shares purchased, average price and average discount to net asset value, is disclosed in the Funds annual and semi-annual reports to shareholders.
Additional Notice to Shareholders. If applicable, a Fund may also redeem or purchase its outstanding preferred shares in order to maintain compliance with regulatory requirements, borrowing or rating agency requirements or for other purposes as it deems appropriate or necessary.
Closed-End Fund Information. Eaton Vance closed-end funds make fund performance data and certain information about portfolio characteristics available on the Eaton Vance website shortly after the end of each month. Other information about the funds is available on the website. The funds net asset value per share is readily accessible on the Eaton Vance website. Portfolio holdings for the most recent month-end are also posted to the website approximately 30 days following the end of the month. This information is available at www.eatonvance.com on the fund information pages under Individual Investors Closed-End Funds.
92 |
1856 3.31.21
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. 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 registrants Board of Trustees (the Board) has designated George J. Gorman and William H. Park, 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).
Item 4. | Principal Accountant Fees and Services |
(a) (d)
The following table presents the aggregate fees billed to the registrant for the registrants fiscal years ended March 31, 2020 and March 31, 2021 by the registrants principal accountant, Deloitte & Touche LLP (D&T), for professional services rendered for the audit of the registrants annual financial statements and fees billed for other services rendered by D&T during such periods.
Fiscal Years Ended |
3/31/20 | 3/31/21 | ||||||
Audit Fees |
$ | 141,850 | $ | 148,700 | ||||
Audit-Related Fees(1) |
$ | 0 | $ | 0 | ||||
Tax Fees(2) |
$ | 20,942 | $ | 20,782 | ||||
All Other Fees(3) |
$ | 0 | $ | 0 | ||||
|
|
|
|
|||||
Total |
$ | 162,792 | $ | 169,482 | ||||
|
|
|
|
(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 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 registrants audit committee has adopted policies and procedures relating to the pre-approval of services provided by the registrants 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 registrants audit committee at least annually. The registrants audit committee maintains full responsibility for the appointment, compensation, and oversight of the work of the registrants principal accountant.
(e)(2) No services described in paragraphs (b)-(d) above were approved by the registrants 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 registrants fiscal years ended March 31, 2020 and March 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 |
3/31/20 | 3/31/21 | ||||||
Registrant |
$ | 20,942 | $ | 20,782 | ||||
Eaton Vance(1) |
$ | 51,903 | $ | 150,300 |
(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 registrants audit committee has considered whether the provision by the registrants principal accountant of non-audit services to the registrants 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 accountants independence.
Item 5. | Audit Committee of Listed Registrants |
The registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities and Exchange Act of 1934, as amended. George J. Gorman (Chair), William H. Park, Helen Frame Peters and Scott E. Wennerholm are the members of the registrants audit committee.
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 |
The Board of the Fund has adopted a proxy voting policy and procedure (the Fund Policy), pursuant to which the trustees have delegated proxy voting responsibility to the Funds investment adviser and adopted the investment advisers proxy voting policies and procedures (the Policies) which are described below. The trustees will review the Policies annually. In the event that a conflict of interest arises between the Funds shareholders and the investment adviser, the administrator, or any of their affiliates or any affiliate of the Fund, the investment adviser will generally refrain from voting the proxies related to the companies giving rise to such conflict until it consults with the Board, or any committee, sub-committee or group of independent trustees identified by the Board, which will instruct the investment adviser on the appropriate course of action. If the Board Members are unable to meet and the failure to vote a proxy would have a material adverse impact on the Fund, the investment adviser may vote such proxy, provided that it discloses the existence of the material conflict to the Chairperson of the Funds Board as soon as practicable and to the Board at its next meeting.
The Policies are designed to promote accountability of a companys management to its shareholders and to align the interests of management with those shareholders. An independent proxy voting service (Agent), currently Institutional Shareholder Services, Inc., has been retained to assist in the voting of proxies through the provision of vote analysis, implementation and recordkeeping and disclosure services. The investment adviser will generally vote proxies through the Agent. The Agent is required to vote all proxies in accordance with customized proxy voting guidelines (the Guidelines) and/or refer them back to the investment adviser pursuant to the Policies.
The Agent is required to establish and maintain adequate internal controls and policies in connection with the provision of proxy voting services, including methods to reasonably ensure that its analysis and recommendations are not influenced by a conflict of interest. The Guidelines include voting guidelines for matters relating to, among other things, the election of directors, approval of independent auditors, executive compensation, corporate structure and anti-takeover defenses. The investment adviser may cause the Fund to abstain from voting from time to time where it determines that the costs associated with voting a proxy outweigh the benefits derived from exercising the right to vote or it is unable to access or access timely ballots or other proxy information, among other stated reasons. The Agent will refer Fund proxies to the investment adviser for instructions under circumstances where, among others: (1) the application of the Guidelines is unclear; (2) a particular proxy question is not covered by the Guidelines; or (3) the Guidelines require input from the investment adviser. When a proxy voting issue has been referred to the investment adviser, the analyst (or portfolio manager if applicable) covering the company subject to the proxy proposal determines the final vote (or decision not to vote) and the investment advisers Proxy Administrator (described below) instructs the Agent to vote accordingly for securities held by the Fund. Where more than one analyst covers a particular company and the recommendations of such analysts voting a proposal conflict, the investment advisers Global Proxy Group (described below) will review such recommendations and any other available information related to the proposal and determine the manner in which it should be voted, which may result in different recommendations for the Fund that may differ from other clients of the investment adviser.
The investment adviser has appointed a Proxy Administrator to assist in the coordination of the voting of client proxies (including the Funds) in accordance with the Guidelines and the Policies. The investment adviser and its affiliates have also established a Global Proxy Group. The Global Proxy Group develops the investment advisers positions on all major corporate issues, creates the Guidelines and oversees the proxy voting process. The Proxy Administrator maintains a record of all proxy questions that have been referred by the Agent, all applicable recommendations, analysis and research received and any resolution of the matter. Before instructing the Agent to vote contrary to the Guidelines or the recommendation of the Agent, the Proxy Administrator will provide the Global Proxy Group with the Agents recommendation for the proposal along with any other relevant materials, including the basis for the analysts recommendation. The Proxy Administrator will then instruct the Agent to vote the proxy in the manner determined by the Global Proxy Group. A similar process will be followed if the Agent has a conflict of interest with respect to a proxy. The investment adviser will report to the Funds Board any votes cast contrary to the Guidelines or Agent recommendations, as applicable, no less than annually.
The investment advisers Global Proxy Group is responsible for monitoring and resolving possible material conflicts with respect to proxy voting. Because the Guidelines are predetermined and designed to be in the best interests of shareholders, application of the Guidelines to vote client proxies should, in most cases, adequately address any possible conflict of interest. The investment adviser will monitor situations that may result in a conflict of interest between any of its clients and the investment adviser or any of its affiliates by maintaining a list of significant existing and prospective corporate clients. The Proxy Administrator will compare such list with the names of companies of which he or she has been referred a proxy statement (the Proxy Companies). If a company on the list is also a Proxy Company, the Proxy Administrator will report that fact to the Global Proxy Group. If the Proxy Administrator intends to instruct the Agent to vote in a manner inconsistent with the Guidelines, the Global Proxy Group will first determine, in consultation with legal counsel if necessary, whether a material conflict exists. If it is determined that a material conflict exists, the investment adviser will
seek instruction on how the proxy should be voted from the Funds Board, or any committee or subcommittee identified by the Board. If a matter is referred to the Global Proxy Group, the decision made and basis for the decision will be documented by the Proxy Administrator and/or Global Proxy Group.
Information on how the Fund voted proxies relating to portfolio securities during the most recent 12 month period ended June 30 is available (1) without charge, upon request, by calling 1-800-262-1122, and (2) on the Securities and Exchange Commissions website at http://www.sec.gov.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Eaton Vance Management (EVM or Eaton Vance) is the investment adviser of the Fund. Kelley G. Baccei, Catherine C. McDermott, Eric A. Stein and Andrew Szczurowski comprise the investment team responsible for the overall management of the Funds investments.
Ms. Baccei is a Vice President of EVM and has been a portfolio manager of the Fund since March 2019. Ms. McDermott is a Vice President of EVM and has been a portfolio manager of the Fund since January 2008. Mr. Stein is a Vice President and Chief Investment Officer, Fixed Income of EVM, has been a portfolio manager of the Fund since December 2012. Mr. Szczurowski is a Vice President of EVM and has been a portfolio manager of the Fund since November 2011. Mmes. Baccei and McDermott and Messrs. Stein and Szczurowski have managed other Eaton Vance portfolios for more than five years. This information is provided as of the date of filing this report.
The following table shows, as of the Funds most recent fiscal year end, the number of accounts each portfolio manager managed in each of the listed categories and the total assets (in millions of dollars) in the accounts managed within each category. The table also shows the number of accounts with respect to which the advisory fee is based on the performance of the account, if any, and the total assets (in millions of dollars) in those accounts.
Number of All Accounts |
Total Assets of All Accounts |
Number of Accounts Paying a Performance Fee |
Total Assets of Accounts Paying a Performance Fee |
|||||||||||||
Kelley G. Baccei(1) |
||||||||||||||||
Registered Investment Companies |
10 | $ | 13,099.9 | 0 | $ | 0 | ||||||||||
Other Pooled Investment Vehicles |
1 | $ | 67.9 | 0 | $ | 0 | ||||||||||
Other Accounts |
0 | $ | 0 | 0 | $ | 0 | ||||||||||
Catherine C. McDermott |
||||||||||||||||
Registered Investment Companies |
8 | $ | 5,867.1 | 0 | $ | 0 | ||||||||||
Other Pooled Investment Vehicles |
0 | $ | 0 | 0 | $ | 0 | ||||||||||
Other Accounts |
0 | $ | 0 | 0 | $ | 0 | ||||||||||
Eric A. Stein(2) |
||||||||||||||||
Registered Investment Companies |
12 | $ | 19,888.2 | 0 | $ | 0 | ||||||||||
Other Pooled Investment Vehicles |
7 | $ | 1,747.0 | 0 | $ | 0 | ||||||||||
Other Accounts |
0 | $ | 0 | 0 | $ | 0 | ||||||||||
Andrew Szczurowski(2) |
||||||||||||||||
Registered Investment Companies |
5 | $ | 20,082.1 | 0 | $ | 0 | ||||||||||
Other Pooled Investment Vehicles |
1 | $ | 90.6 | 0 | $ | 0 | ||||||||||
Other Accounts |
0 | $ | 0 | 0 | $ | 0 |
(1) | This portfolio manager serves as portfolio manager of one or more registered investment companies and/or pooled investment vehicles that invest or may invest in one or more underlying registered investment companies in the Eaton Vance family of funds. The underlying investment companies may be managed by this portfolio manager or another portfolio manager. |
(2) | This portfolio manager serves as portfolio manager of one or more registered investment companies and/or pooled investment vehicles that invest or may invest in one or more underlying registered investment companies and/or separate pooled investment vehicles in the Eaton Vance family of funds. The underlying investment companies may be managed by this portfolio manager or another portfolio manager. |
The following table shows the dollar range of Fund shares beneficially owned by each portfolio manager as of the Funds most recent fiscal year end.
Portfolio Manager |
Dollar Range of Equity Securities Beneficially Owned in the Fund | |
Kelley G. Baccei |
None | |
Catherine C. McDermott |
None | |
Eric A. Stein |
$1 - $10,000 | |
Andrew Szczurowski |
$10,001 - $50,000 |
Potential for Conflicts of Interest. It is possible that conflicts of interest may arise in connection with a portfolio managers management of the Funds investments on the one hand and the investments of other accounts for which a portfolio manager is responsible on the other. For example, a portfolio manager may have conflicts of interest in allocating management time, resources and investment opportunities among the Fund and other accounts he or she advises. In addition, due to differences in the investment strategies or restrictions between the Fund and the other accounts, the portfolio manager may take action with respect to another account that differs from the action taken with respect to the Fund. In some cases, another account managed by a portfolio manager may compensate the investment adviser based on the performance of the securities held by that account. The existence of such a performance based fee may create additional conflicts of interest for the portfolio manager in the allocation of management time, resources and investment opportunities. Whenever conflicts of interest arise, the portfolio manager will endeavor to exercise his or her discretion in a manner that he or she believes is equitable to all interested persons. EVM has adopted several policies and procedures designed to address these potential conflicts including a code of ethics and policies that govern the investment advisers trading practices, including among other things the aggregation and allocation of trades among clients, brokerage allocations, cross trades and best execution.
Compensation Structure for EVM
Compensation of EVMs portfolio managers and other investment professionals has the following primary components: (1) a base salary, (2) an annual cash bonus, and (3) annual non-cash compensation consisting of restricted shares of Morgan Stanley stock that are subject to a fixed vesting and distribution schedule. EVMs investment professionals also receive certain retirement, insurance and other benefits that are broadly available to EVMs employees. Compensation of EVMs investment professionals is reviewed primarily on an annual basis. Cash bonuses, stock-based compensation awards, and adjustments in base salary are typically paid or put into effect at or shortly after the December 31st fiscal year end of Morgan Stanley.
Method to Determine Compensation. EVM compensates its portfolio managers based primarily on the scale and complexity of their portfolio responsibilities and the total return performance of managed funds and accounts versus the benchmark(s) stated in the prospectus, as well as an appropriate peer group (as described below). In addition to rankings within peer groups of funds on the basis of absolute performance, consideration may also be given to relative risk-adjusted performance. Risk-adjusted performance measures include, but are not limited to the Sharpe ratio, which uses standard deviation and excess return to determine reward per unit of risk.
Performance is normally based on periods ending on the September 30th preceding fiscal year end. Fund performance is normally evaluated primarily versus peer groups of funds as determined by Lipper Inc. and/or Morningstar, Inc. When a funds peer group as determined by Lipper or Morningstar is deemed by EVMs management not to provide a fair comparison, performance may instead be evaluated primarily against a custom peer group or market index. In evaluating the performance of a fund and its manager, primary emphasis is normally placed on three-year performance, with secondary consideration of performance over longer and shorter periods. For funds that are tax-managed or otherwise have an objective of after-tax returns, performance is measured net of taxes. For other funds, performance is evaluated on a pre-tax basis. For funds with an investment objective other than total return (such as current income), consideration will also be given to the funds success in achieving its objective. For managers responsible for multiple funds and accounts, investment performance is evaluated on an aggregate basis, based on averages or weighted averages among managed funds and accounts. Funds and accounts that have performance-based advisory fees are not accorded disproportionate weightings in measuring aggregate portfolio manager performance.
The compensation of portfolio managers with other job responsibilities (such as heading an investment group or providing analytical support to other portfolios) will include consideration of the scope of such responsibilities and the managers performance in meeting them.
EVM seeks to compensate portfolio managers commensurate with their responsibilities and performance, and competitive with other firms within the investment management industry. EVM participates in investment-industry compensation surveys and utilizes survey data as a factor in determining salary, bonus and stock-based compensation levels for portfolio managers and other investment professionals. Salaries, bonuses and stock-based compensation are also influenced by the operating performance of EVM and its parent company. The overall annual cash bonus pool is generally based on a substantially fixed percentage of pre-bonus adjusted operating income. While the salaries of EVMs portfolio managers are comparatively fixed, cash bonuses and stock-based compensation may fluctuate significantly from year to year, based on changes in manager performance and other factors as described herein. For a high performing portfolio manager, cash bonuses and stock-based compensation may represent a substantial portion of total compensation.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
REGISTRANT PURCHASES OF EQUITY SECURITIES
Period* |
Total Number of Shares Purchased |
Average Price Paid per Share |
Total Number of Shares Purchased as Part of
Publicly Programs |
Maximum Number of Shares that May Yet Be Purchased Under the Programs | ||||
April 2020 |
| | | 10,354,702 | ||||
May 2020 |
| | | 10,354,702 | ||||
June 2020 |
| | | 10,354,702 | ||||
July 2020 |
| | | 10,354,702 | ||||
August 2020 |
| | | 10,354,702 | ||||
September 2020 |
| | | 10,354,702 | ||||
October 2020 |
| | | 10,354,702 | ||||
November 2020 |
| | | 10,354,702 | ||||
December 2020 |
| | | 10,354,702 | ||||
January 2021 |
| | | 10,354,702 | ||||
February 2021 |
| | | 10,354,702 | ||||
March 2021 |
| | | 10,354,702 | ||||
|
|
|
||||||
Total |
| | | |||||
|
|
|
* | On November 11, 2013, the Funds Board of Trustees approved a share repurchase program authorizing the Fund to repurchase up to 10% of its then currently outstanding common shares in open-market transactions at a discount to net asset value. The repurchase program was announced on November 15, 2013. |
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 registrants principal executive officer and principal financial officer that the effectiveness of the registrants 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 Commissions rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrants principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrants internal controls over financial reporting during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
No activity to report for the registrants most recent fiscal year end.
Item 13. | Exhibits |
(a)(1) |
Registrants Code of Ethics Not applicable (please see Item 2). | |
Treasurers Section 302 certification. | ||
Presidents Section 302 certification. | ||
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.
Eaton Vance Limited Duration Income Fund | ||
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | May 24, 2021 |
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: | May 24, 2021 | |
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | May 24, 2021 |
Eaton Vance Limited Duration Income Fund
FORM N-CSR
Exhibit 13(a)(2)(i)
CERTIFICATION
I, James F. Kirchner, certify that:
1. I have reviewed this report on Form N-CSR of Eaton Vance Limited Duration Income Fund;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
Date: May 24, 2021 | /s/ James F. Kirchner | |||||
James F. Kirchner | ||||||
Treasurer |
Eaton Vance Limited Duration Income Fund
FORM N-CSR
Exhibit 13(a)(2)(ii)
CERTIFICATION
I, Eric A. Stein, certify that:
1. I have reviewed this report on Form N-CSR of Eaton Vance Limited Duration Income Fund;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
Date: May 24, 2021 | /s/ Eric A. Stein | |||||
Eric A. Stein | ||||||
President |
Form N-CSR Item 13(b) Exhibit
CERTIFICATION PURSUANT TO
18 U.S.C. SECTION 1350,
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
The undersigned hereby certify in their capacity as Treasurer and President, respectively, of Eaton Vance Limited Duration Income Fund (the Fund), that:
(a) | The Annual Report of the Fund on Form N-CSR for the period ended March 31, 2021 (the Report) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
(b) | The information contained in the Report fairly presents, in all material respects, the financial condition and the results of operations of the Fund for such period. |
A signed original of this written statement required by section 906 has been provided to the Fund and will be retained by the Fund and furnished to the Securities and Exchange Commission or its staff upon request.
Eaton Vance Limited Duration Income Fund
Date: May 24, 2021 |
/s/ James F. Kirchner |
James F. Kirchner |
Treasurer |
Date: May 24, 2021 |
/s/ Eric A. Stein |
Eric A. Stein |
President |
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