N-CSR 1 d452284dncsr.htm EMERGING MARKETS LOCAL INCOME PORTFOLIO Emerging Markets Local Income Portfolio

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-22048

Emerging Markets Local Income Portfolio

(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

(Registrant’s Telephone Number)

October 31

Date of Fiscal Year End

October 31, 2012

Date of Reporting Period

 

 

 


Item 1. Reports to Stockholders


Emerging Markets Local Income Portfolio

October 31, 2012

 

Consolidated Portfolio of Investments

 

 

Foreign Government Bonds — 78.4%   
     
Security        Principal
Amount
    Value  
     

Albania — 0.6%

  

Republic of Albania, 7.50%, 11/4/15

  EUR     3,500,000      $ 4,630,656   
   

Total Albania

  

  $ 4,630,656   
   

Bermuda — 0.1%

  

Government of Bermuda, 5.603%, 7/20/20(1)

  USD     900,000      $ 1,063,700   
   

Total Bermuda

  

  $ 1,063,700   
   

Bosnia and Herzegovina — 0.3%

                   

Bosnia & Herzegovina Government Bond, 2.50%, 8/31/14

  BAM     16,594      $ 9,842   

Bosnia & Herzegovina Government Bond, 2.50%, 9/30/14

  BAM     86,137        51,752   

Bosnia & Herzegovina Government Bond, 2.50%, 3/31/15

  BAM     76,307        42,982   

Bosnia & Herzegovina Government Bond, 2.50%, 8/31/15

  BAM     120,409        66,782   

Republic of Srpska, 1.50%, 6/30/23

  BAM     262,652        93,124   

Republic of Srpska, 1.50%, 10/30/23

  BAM     193,820        65,379   

Republic of Srpska, 1.50%, 12/15/23

  BAM     47,963        16,055   

Republic of Srpska, 1.50%, 5/31/25

  BAM     5,336,944        1,547,730   

Republic of Srpska, 1.50%, 6/9/25

  BAM     533,631        156,452   
   

Total Bosnia and Herzegovina

  

  $ 2,050,098   
   

Brazil — 5.7%

                   

Letra do Tesouro Nacional, 0.00%, 1/1/15

  BRL     11,193,000      $ 4,677,214   

Nota do Tesouro Nacional, 6.00%, 5/15/15(2)

  BRL     3,302,663        1,778,583   

Nota do Tesouro Nacional, 10.00%, 1/1/14

  BRL     23,509,000        11,889,636   

Nota do Tesouro Nacional, 10.00%, 1/1/17

  BRL     21,314,000        11,045,019   

Nota do Tesouro Nacional, 10.00%, 1/1/21

  BRL     16,127,000        8,376,146   

Republic of Brazil, 10.25%, 1/10/28

  BRL     620,000        396,839   

Republic of Brazil, 12.50%, 1/5/16

  BRL     10,030,000        6,205,015   
   

Total Brazil

  

  $ 44,368,452   
   

Chile — 0.2%

                   

Government of Chile, 6.00%, 3/1/18

  CLP     300,000,000      $ 643,652   

Government of Chile, 6.00%, 1/1/20

  CLP     465,000,000        1,006,352   
   

Total Chile

  

  $ 1,650,004   
   

Colombia — 3.9%

                   

Republic of Colombia, 7.75%, 4/14/21

  COP     6,301,000,000      $ 4,360,012   

Republic of Colombia, 9.85%, 6/28/27

  COP     8,093,000,000        6,914,394   

Republic of Colombia, 12.00%, 10/22/15

  COP     19,718,000,000        13,345,265   
Security        Principal
Amount
    Value  
     

Colombia (continued)

  

Titulos De Tesoreria B, 9.25%, 5/14/14

  COP     2,500,000,000      $ 1,452,561   

Titulos De Tesoreria B, 11.25%, 10/24/18

  COP     5,461,000,000        3,831,538   
   

Total Colombia

  

  $ 29,903,770   
   

Costa Rica — 0.0%(3)

                   

Titulo Propiedad Ud, 1.00%, 1/12/22(2)

  CRC     56,227,473      $ 87,009   

Titulo Propiedad Ud, 1.63%, 7/13/16(2)

  CRC     6,316,817        11,959   
   

Total Costa Rica

  

  $ 98,968   
   

Cyprus — 0.2%

                   

Republic of Cyprus, 3.75%, 6/3/13

  EUR     1,110,000      $ 1,330,821   

Republic of Cyprus, 4.625%, 2/3/20

  EUR     600,000        514,442   
   

Total Cyprus

  

  $ 1,845,263   
   

Dominican Republic — 0.4%

                   

Dominican Republic “Bonos Internos” Total Return Linked Bond (Citibank NA), 13.00%, 2/25/13(4)

  DOP     107,000,000      $ 2,742,794   
   

Total Dominican Republic

  

  $ 2,742,794   
   

Georgia — 0.6%

                   

Georgia Treasury Bond, 7.40%, 4/19/14

  GEL     1,994,000      $ 1,208,957   

Georgia Treasury Bond, 8.90%, 1/12/14

  GEL     850,000        523,266   

Georgia Treasury Bond, 9.10%, 12/8/13

  GEL     370,000        227,969   

Georgia Treasury Bond, 9.80%, 4/26/17

  GEL     403,000        260,024   

Georgia Treasury Bond, 11.30%, 1/26/17

  GEL     500,000        337,497   

Georgia Treasury Bond, 12.20%, 5/13/13

  GEL     1,484,000        920,110   

Georgia Treasury Bond, 12.80%, 2/10/13

  GEL     500,000        306,456   

Georgia Treasury Bond, 13.80%, 12/16/12

  GEL     1,246,000        757,948   
   

Total Georgia

  

  $ 4,542,227   
   

Germany — 0.8%

                   

Bundesrepublik Deutschland, 4.75%, 7/4/34

  EUR     3,150,000      $ 5,859,687   
   

Total Germany

  

  $ 5,859,687   
   

Ghana — 0.1%

                   

Ghana Government Bond, 23.00%, 8/21/17

  GHS     1,400,000      $ 837,795   
   

Total Ghana

  

  $ 837,795   
   

Hungary — 5.9%

                   

Hungary Government Bond, 5.50%, 2/12/14

  HUF     2,120,600,000      $ 9,666,830   

Hungary Government Bond, 5.50%, 2/12/16

  HUF     367,700,000        1,650,751   

Hungary Government Bond, 6.00%, 11/24/23

  HUF     195,000,000        824,981   
 

 

  19   See Notes to Consolidated Financial Statements.


Emerging Markets Local Income Portfolio

October 31, 2012

 

Consolidated Portfolio of Investments — continued

 

 

Security        Principal
Amount
    Value  
     

Hungary (continued)

  

Hungary Government Bond, 6.50%, 6/24/19

  HUF     579,100,000      $ 2,643,773   

Hungary Government Bond, 6.75%, 2/12/13

  HUF     505,300,000        2,310,421   

Hungary Government Bond, 6.75%, 2/24/17

  HUF     1,554,520,000        7,217,809   

Hungary Government Bond, 6.75%, 11/24/17

  HUF     1,123,980,000        5,231,451   

Hungary Government Bond, 7.00%, 6/24/22

  HUF     435,000,000        2,005,057   

Hungary Government Bond, 7.50%, 10/24/13

  HUF     796,000,000        3,699,066   

Hungary Government Bond, 7.50%, 11/12/20

  HUF     668,800,000        3,203,239   

Hungary Government Bond, 8.00%, 2/12/15

  HUF     455,000,000        2,170,503   

National Bank of Hungary, 8.875%, 11/1/13

  USD     710,000        729,023   

Republic of Hungary, 3.50%, 7/18/16

  EUR     1,362,000        1,700,885   

Republic of Hungary, 4.375%, 7/4/17

  EUR     374,000        473,954   

Republic of Hungary, 4.50%, 1/29/14

  EUR     1,539,000        2,020,666   
   

Total Hungary

  

  $ 45,548,409   
   

Indonesia — 9.5%

                   

Indonesia Government Bond, 7.00%, 5/15/27

  IDR     31,377,000,000      $ 3,534,608   

Indonesia Government Bond, 7.375%, 9/15/16

  IDR     74,748,000,000        8,360,873   

Indonesia Government Bond, 8.25%, 7/15/21

  IDR     4,730,000,000        578,819   

Indonesia Government Bond, 8.25%, 6/15/32

  IDR     30,296,000,000        3,783,452   

Indonesia Government Bond, 8.375%, 9/15/26

  IDR     14,100,000,000        1,776,262   

Indonesia Government Bond, 9.00%, 9/15/13

  IDR     26,300,000,000        2,834,195   

Indonesia Government Bond, 9.00%, 9/15/18

  IDR     13,080,000,000        1,603,122   

Indonesia Government Bond, 9.50%, 6/15/15

  IDR     33,485,000,000        3,842,363   

Indonesia Government Bond, 9.50%, 7/15/23

  IDR     35,245,000,000        4,733,582   

Indonesia Government Bond, 9.50%, 7/15/31

  IDR     118,958,000,000        16,533,985   

Indonesia Government Bond, 9.50%, 5/15/41

  IDR     5,702,000,000        810,331   

Indonesia Government Bond, 10.00%, 7/15/17

  IDR     10,200,000,000        1,265,153   

Indonesia Government Bond, 10.00%, 9/15/24

  IDR     22,100,000,000        3,086,062   

Indonesia Government Bond, 10.00%, 2/15/28

  IDR     8,560,000,000        1,218,274   

Indonesia Government Bond, 10.25%, 7/15/27

  IDR     22,325,000,000        3,209,089   

Indonesia Government Bond, 10.50%, 8/15/30

  IDR     30,978,000,000        4,634,606   

Indonesia Government Bond, 10.50%, 7/15/38

  IDR     10,900,000,000        1,671,031   

Indonesia Government Bond, 11.00%, 11/15/20

  IDR     14,560,000,000        2,034,366   

Indonesia Government Bond, 11.00%, 9/15/25

  IDR     16,440,000,000        2,453,279   

Indonesia Government Bond, 11.25%, 5/15/14

  IDR     16,743,000,000        1,903,218   

Indonesia Government Bond, 11.50%, 9/15/19

  IDR     25,200,000,000        3,510,201   
   

Total Indonesia

  

  $ 73,376,871   
   

Malaysia — 4.4%

                   

Malaysia Government Bond, 3.502%, 5/31/27

  MYR     4,125,000      $ 1,329,149   

Malaysia Government Bond, 3.741%, 2/27/15

  MYR     24,076,000        8,027,670   

Malaysia Government Bond, 3.814%, 2/15/17

  MYR     7,003,000        2,358,209   

Malaysia Government Bond, 4.012%, 9/15/17

  MYR     10,786,000        3,665,678   

Malaysia Government Bond, 4.16%, 7/15/21

  MYR     26,063,000        8,969,531   
Security        Principal
Amount
    Value  
     

Malaysia (continued)

                   

Malaysia Government Bond, 4.24%, 2/7/18

  MYR     15,775,000      $ 5,423,803   

Malaysia Government Bond, 4.378%, 11/29/19

  MYR     3,750,000        1,308,218   

Malaysia Government Bond, 4.392%, 4/15/26

  MYR     4,047,000        1,437,379   

Malaysia Government Bond, 4.498%, 4/15/30

  MYR     3,480,000        1,244,666   
   

Total Malaysia

  

  $ 33,764,303   
   

Mexico — 4.4%

                   

Mexican Bonos, 7.25%, 12/15/16

  MXN     20,800,000      $ 1,716,726   

Mexican Bonos, 7.50%, 6/3/27

  MXN     30,480,000        2,669,530   

Mexican Bonos, 7.75%, 12/14/17

  MXN     9,500,000        811,027   

Mexican Bonos, 8.00%, 12/19/13

  MXN     61,900,000        4,899,635   

Mexican Bonos, 8.00%, 6/11/20

  MXN     21,018,000        1,868,167   

Mexican Bonos, 8.50%, 12/13/18

  MXN     6,832,600        608,016   

Mexican Bonos, 8.50%, 5/31/29

  MXN     39,000,000        3,703,007   

Mexican Bonos, 8.50%, 11/18/38

  MXN     36,100,000        3,425,985   

Mexican Bonos, 9.50%, 12/18/14

  MXN     23,060,000        1,923,458   

Mexican Bonos, 10.00%, 12/5/24

  MXN     63,550,000        6,716,401   

Mexican Bonos, 10.00%, 11/20/36

  MXN     56,570,000        6,125,200   
   

Total Mexico

  

  $ 34,467,152   
   

New Zealand — 2.8%

                   

New Zealand Government Bond, 5.00%, 3/15/19

  NZD     1,570,000      $ 1,438,715   

New Zealand Government Bond, 5.50%, 4/15/23

  NZD     7,032,000        6,794,025   

New Zealand Government Bond, 6.00%, 12/15/17

  NZD     1,570,000        1,486,702   

New Zealand Government Bond, 6.00%, 5/15/21

  NZD     12,363,000        12,200,038   
   

Total New Zealand

  

  $ 21,919,480   
   

Nigeria — 0.4%

                   

Nigeria Treasury Bond, 16.00%, 6/29/19

  NGN     251,000,000      $ 1,797,720   

Nigeria Treasury Bond, 16.39%, 1/27/22

  NGN     225,472,000        1,669,506   
   

Total Nigeria

  

  $ 3,467,226   
   

Peru — 2.6%

                   

Republic of Peru, 6.90%, 8/12/37(1)

  PEN     2,367,000      $ 1,125,318   

Republic of Peru, 6.90%, 8/12/37

  PEN     2,700,000        1,283,633   

Republic of Peru, 6.90%, 8/12/37(5)

  PEN     4,730,000        2,248,735   

Republic of Peru, 6.95%, 8/12/31

  PEN     2,000,000        942,157   

Republic of Peru, 7.84%, 8/12/20

  PEN     1,782,000        852,664   

Republic of Peru, 7.84%, 8/12/20(5)

  PEN     15,334,000        7,337,125   

Republic of Peru, 8.20%, 8/12/26

  PEN     5,775,000        3,053,742   

Republic of Peru, 8.60%, 8/12/17

  PEN     5,305,000        2,533,258   

Republic of Peru, 9.91%, 5/5/15

  PEN     1,760,000        790,795   
   

Total Peru

  

  $ 20,167,427   
   
 

 

  20   See Notes to Consolidated Financial Statements.


Emerging Markets Local Income Portfolio

October 31, 2012

 

Consolidated Portfolio of Investments — continued

 

 

Security        Principal
Amount
    Value  
     

Philippines — 1.1%

                   

Republic of the Philippines, 4.95%, 1/15/21

  PHP     139,000,000      $ 3,719,886   

Republic of the Philippines, 6.25%, 1/14/36

  PHP     150,000,000        4,280,675   

Republic of the Philippines, 8.75%, 3/3/13

  PHP     28,430,000        709,070   
   

Total Philippines

  

  $ 8,709,631   
   

Poland — 0.6%

                   

Poland Government Bond, 5.25%, 10/25/17

  PLN     3,575,000      $ 1,176,624   

Poland Government Bond, 5.75%, 9/23/22

  PLN     5,420,000        1,860,844   

Poland Government Bond, 6.25%, 10/24/15

  PLN     2,900,000        966,862   

Republic of Poland, 3.00%, 3/17/23

  USD     662,000        656,755   
   

Total Poland

  

  $ 4,661,085   
   

Russia — 7.8%

                   

Russia Foreign Bond, 7.85%, 3/10/18(1)

  RUB     630,000,000      $ 21,557,045   

Russia Foreign Bond, 7.85%, 3/10/18(5)

  RUB     250,000,000        8,554,383   

Russia Government Bond, 7.00%, 6/3/15

  RUB     240,063,000        7,718,019   

Russia Government Bond, 7.10%, 3/13/14

  RUB     449,000,000        14,432,089   

Russia Government Bond, 7.35%, 1/20/16

  RUB     68,000,000        2,203,037   

Russia Government Bond, 7.40%, 6/14/17

  RUB     103,974,000        3,375,582   

Russia Government Bond, 7.60%, 4/14/21

  RUB     88,535,000        2,887,499   
   

Total Russia

  

  $ 60,727,654   
   

Serbia — 3.0%

                   

Serbia Treasury Bill, 0.00%, 11/22/12

  RSD     401,520,000      $ 4,547,510   

Serbia Treasury Bill, 0.00%, 4/4/13

  RSD     237,360,000        2,563,840   

Serbia Treasury Bill, 0.00%, 4/25/13

  RSD     539,100,000        5,790,453   

Serbia Treasury Bill, 0.00%, 11/8/13

  RSD     202,000,000        2,017,594   

Serbia Treasury Bill, 0.00%, 12/12/13

  RSD     673,400,000        6,622,499   

Serbia Treasury Bill, 0.00%, 1/30/14

  RSD     76,900,000        739,019   

Serbia Treasury Bill, 0.00%, 3/13/14

  RSD     23,880,000        224,237   

Serbia Treasury Bond, 10.00%, 4/27/15

  RSD     109,590,000        1,105,168   
   

Total Serbia

  

  $ 23,610,320   
   

Slovenia — 0.7%

                   

Republic of Slovenia, 4.125%, 1/26/20

  EUR     300,000      $ 361,237   

Republic of Slovenia, 4.375%, 1/18/21

  EUR     2,650,000        3,180,621   

Republic of Slovenia, 5.50%, 10/26/22(1)

  USD     1,852,000        1,859,068   
   

Total Slovenia

  

  $ 5,400,926   
   

South Africa — 5.5%

                   

Republic of South Africa, 6.25%, 3/31/36

  ZAR     64,175,000      $ 5,725,898   

Republic of South Africa, 6.75%, 3/31/21

  ZAR     45,745,000        5,308,533   

Republic of South Africa, 7.00%, 2/28/31

  ZAR     19,600,000        1,987,239   
Security        Principal
Amount
    Value  
     

South Africa (continued)

                   

Republic of South Africa, 7.25%, 1/15/20

  ZAR     32,400,000      $ 3,905,275   

Republic of South Africa, 7.50%, 1/15/14

  ZAR     34,500,000        4,088,588   

Republic of South Africa, 8.25%, 9/15/17

  ZAR     19,430,000        2,468,292   

Republic of South Africa, 8.75%, 12/21/14

  ZAR     29,990,000        3,721,103   

Republic of South Africa, 10.50%, 12/21/26

  ZAR     30,356,000        4,331,911   

Republic of South Africa, 13.50%, 9/15/15

  ZAR     81,005,000        11,315,457   
   

Total South Africa

  

  $ 42,852,296   
   

Sri Lanka — 0.6%

                   

Republic of Sri Lanka, 5.875%, 7/25/22(1)

  USD     1,140,000      $ 1,266,483   

Republic of Sri Lanka, 6.25%, 10/4/20(1)

  USD     950,000        1,068,750   

Republic of Sri Lanka, 6.25%, 10/4/20(5)

  USD     390,000        438,750   

Sri Lanka Government Bond, 8.50%, 1/15/13

  LKR     170,340,000        1,300,330   

Sri Lanka Government Bond, 10.50%, 4/1/13

  LKR     49,400,000        377,092   
   

Total Sri Lanka

  

  $ 4,451,405   
   

Thailand — 3.6%

                   

Kingdom of Thailand, 3.125%, 12/11/15

  THB     120,041,000      $ 3,932,798   

Kingdom of Thailand, 3.85%, 12/12/25

  THB     62,668,000        2,106,068   

Kingdom of Thailand, 3.875%, 6/13/19

  THB     44,600,000        1,519,155   

Kingdom of Thailand, 4.25%, 3/13/13

  THB     124,861,000        4,094,182   

Kingdom of Thailand, 4.50%, 4/9/24

  THB     61,371,000        2,192,935   

Kingdom of Thailand, 4.75%, 12/20/24

  THB     30,000,000        1,097,571   

Kingdom of Thailand, 5.25%, 5/12/14

  THB     275,409,000        9,303,424   

Kingdom of Thailand, 5.67%, 3/13/28

  THB     92,500,000        3,753,828   
   

Total Thailand

  

  $ 27,999,961   
   

Turkey — 11.8%

                   

Turkey Government Bond, 0.00%, 7/17/13

  TRY     25,300,000      $ 13,504,060   

Turkey Government Bond, 4.00%, 4/1/20(2)

  TRY     10,846,458        6,985,906   

Turkey Government Bond, 8.00%, 10/9/13

  TRY     15,615,000        8,819,230   

Turkey Government Bond, 9.00%, 1/27/16

  TRY     5,100,000        2,994,561   

Turkey Government Bond, 9.00%, 3/8/17

  TRY     13,255,000        7,860,566   

Turkey Government Bond, 9.50%, 1/12/22

  TRY     2,090,000        1,282,566   

Turkey Government Bond, 10.00%, 1/9/13

  TRY     6,225,000        3,506,663   

Turkey Government Bond, 10.00%, 4/10/13

  TRY     29,195,000        16,608,983   

Turkey Government Bond, 10.00%, 6/17/15

  TRY     23,800,000        14,220,251   

Turkey Government Bond, 10.50%, 1/15/20

  TRY     6,051,000        3,887,156   

Turkey Government Bond, 11.00%, 8/6/14

  TRY     17,891,000        10,649,761   

Turkey Government Bond, 16.00%, 8/28/13

  TRY     1,330,000        799,484   
   

Total Turkey

  

  $ 91,119,187   
   
 

 

  21   See Notes to Consolidated Financial Statements.


Emerging Markets Local Income Portfolio

October 31, 2012

 

Consolidated Portfolio of Investments — continued

 

 

Security        Principal
Amount
    Value  
     

Uruguay — 0.3%

                   

Monetary Regulation Bill, 0.00%, 1/11/13

  UYU     7,500,000      $ 372,730   

Monetary Regulation Bill, 0.00%, 8/15/13

  UYU     5,900,000        276,968   

Monetary Regulation Bill, 0.00%, 2/27/14(2)

  UYU     1,981,103        97,913   

Republic of Uruguay, 4.375%, 12/15/28(2)

  UYU     18,296,141        1,103,327   

Uruguay Notas Del Teso, 10.25%, 8/22/15

  UYU     7,240,000        372,997   
   

Total Uruguay

  

  $ 2,223,935   
   

Venezuela — 0.5%

                   

Bolivarian Republic of Venezuela, 7.00%, 3/31/38(5)

  USD     1,297,000      $ 933,840   

Bolivarian Republic of Venezuela, 9.25%, 5/7/28(5)

  USD     1,368,100        1,214,189   

Bolivarian Republic of Venezuela, 11.75%, 10/21/26(5)

  USD     1,639,000        1,667,682   
                     

Total Venezuela

      $ 3,815,711   
                     

Total Foreign Government Bonds
(identified cost $612,729,617)

      $ 607,876,393   
                     
Common Stocks — 0.4%      
     
Security        Shares     Value  

France — 0.1%

                   

Sanofi

      2,403      $ 211,049   

Total SA

      4,163        209,691   
                     

Total France

      $ 420,740   
                     

Germany — 0.2%

                   

Deutsche EuroShop AG

      16,011      $ 654,369   

Deutsche Wohnen AG

      33,254        609,023   

GSW Immobilien AG

      15,096        620,510   
                     

Total Germany

      $ 1,883,902   
                     

Luxembourg — 0.1%

                   

GAGFAH SA(6)

      49,517      $ 563,546   
                     

Total Luxembourg

      $ 563,546   
                     

Total Common Stocks
(identified cost $2,463,626)

      $ 2,868,188   
                     
     
Precious Metals — 1.0%      
     
Description        Troy Ounces     Value  

Platinum(6)

      4,784      $ 7,508,916   
                     

Total Precious Metals
(identified cost $8,395,923)

      $ 7,508,916   
                     
Currency Call Options Purchased — 0.1%   
         
Description   Counterparty   Principal
Amount
of
Contracts
(000’s
omitted)
    Strike
Price
    Expiration
Date
    Value  
         

Indian Rupee

  Australia and New
Zealand Banking
Group
Limited
    INR 
153,000
       INR 54.00        8/12/13      $ 51,592   

Indian Rupee

  Australia
and New
Zealand Banking
Group
Limited
    INR 
123,000
       INR 54.00        8/12/13        41,476   

Indian Rupee

  Bank of America     INR 
204,774
       INR 52.00        5/6/13        28,431   

Indian Rupee

  Bank of
America
    INR 
186,766
       INR 52.00        5/6/13        25,931   

Indian Rupee

  Bank of America     INR 
187,000
       INR 55.00        7/1/13        86,386   

Indian Rupee

  Bank of America     INR 
155,000
       INR 54.00        8/12/13        52,267   

Indian Rupee

  Bank of America     INR 
173,000
       INR 55.00        8/16/13        79,597   

Indian Rupee

  Barclays
Bank PLC
    INR 
205,061
       INR 52.00        5/6/13        28,471   

Indian Rupee

  Barclays Bank PLC     INR 
153,000
       INR 54.00        8/12/13        51,593   

Indian Rupee

  Deutsche Bank     INR 
161,200
       INR 51.00        5/8/13        14,120   

Indian Rupee

  Deutsche Bank     INR 
150,000
       INR 54.00        8/12/13        50,581   

Indian Rupee

  Goldman Sachs
International
    INR 
187,000
       INR 51.00        5/8/13        16,380   

Indian Rupee

  Goldman Sachs
International
    INR 
154,000
       INR 55.00        7/1/13        71,141   

Indian Rupee

  Goldman
Sachs
International
    INR 
100,000
       INR 54.00        8/12/13        33,721   

Indian Rupee

  Goldman Sachs
International
    INR 
110,000
       INR 55.00        8/19/13        50,926   

Indian Rupee

  HSBC Bank USA     INR 
190,800
       INR 53.00        7/3/13        44,207   

Indian Rupee

  JPMorgan
Chase
Bank
    INR 
159,000
       INR 53.00        7/3/13        36,839   

Indian Rupee

  JPMorgan Chase Bank     INR 
108,000
       INR 54.00        8/12/13        36,418   

Indian Rupee

  JPMorgan Chase Bank     INR 
105,000
       INR 54.00        8/12/13        35,407   

Indian Rupee

  Standard Chartered
Bank
    INR 
165,900
       INR 52.00        5/6/13        23,034   

Indian Rupee

  Standard
Chartered
Bank
    INR 
106,000
       INR 53.00        7/3/13        24,560   
                                     

Total Currency Call Options Purchased
(identified cost $733,333)

   

    $ 883,078   
                                     
Currency Put Options Purchased — 0.0%(3)     
         
Description   Counterparty   Principal
Amount
of
Contracts
(000’s
omitted)
    Strike
Price
    Expiration
Date
    Value  

Yuan
Offshore Renminbi

  Barclays Bank PLC     CNH 
21,665
       CNH 6.50        5/20/13      $ 8,206   

Yuan Offshore Renminbi

  Citibank NA     CNH 
20,488
       CNH 6.50        5/20/13        7,760   
 

 

  22   See Notes to Consolidated Financial Statements.


Emerging Markets Local Income Portfolio

October 31, 2012

 

Consolidated Portfolio of Investments — continued

 

 

Description   Counterparty   Principal
Amount
of
Contracts
(000’s
omitted)
    Strike
Price
    Expiration
Date
    Value  
         

Yuan Offshore Renminbi

  HSBC
Bank USA
    CNH 
23,153
       CNH 6.50        5/20/13      $ 8,769   

Yuan Offshore Renminbi

  Standard
Chartered Bank
    CNH 
19,403
       CNH 6.50        5/20/13        7,349   
                                     

Total Currency Put Options Purchased
(identified cost $111,836)

   

    $ 32,084   
                                     
Put Options Purchased — 0.1%   
       
Description   Number of
Contracts
    Strike
Price
    Expiration
Date
    Value  
       

Brent Crude Oil Future 9/2013

    83      $ 95.00        8/12/13      $ 581,000   
                                 

Total Put Options Purchased
(identified cost $587,640)

   

    $ 581,000   
                                 
Short-Term Investments — 20.3%   
Foreign Government Securities — 10.4%   
     
Security       

Principal
Amount

(000’s omitted)

    Value  
     

Bosnia and Herzegovina — 0.0%(3)

                   

Bosnia & Herzegovina Government Bond, 2.50%, 8/31/13

  BAM     6      $ 4,069   
                     

Total Bosnia and Herzegovina

      $ 4,069   
   

Croatia — 0.6%

  

Croatia Treasury Bill, 0.00%, 11/15/12

  EUR     380      $ 492,086   

Croatia Treasury Bill, 0.00%, 11/22/12

  EUR     173        223,906   

Croatia Treasury Bill, 0.00%, 11/29/12

  EUR     422        545,873   

Croatia Treasury Bill, 0.00%, 1/24/13

  EUR     410        527,960   

Croatia Treasury Bill, 0.00%, 1/31/13

  EUR     225        289,738   

Croatia Treasury Bill, 0.00%, 2/7/13

  EUR     180        231,645   

Croatia Treasury Bill, 0.00%, 2/28/13

  EUR     389        499,657   

Croatia Treasury Bill, 0.00%, 3/14/13

  EUR     463        593,930   

Croatia Treasury Bill, 0.00%, 3/28/13

  EUR     389        498,340   

Croatia Treasury Bill, 0.00%, 4/4/13

  EUR     320        409,756   
   

Total Croatia

  

  $ 4,312,891   
   

Georgia — 0.1%

  

Georgia Treasury Bill, 0.00%, 5/23/13

  GEL     570      $ 331,279   

Georgia Treasury Bill, 0.00%, 7/18/13

  GEL     300        172,684   
   

Total Georgia

  

  $ 503,963   
   
Security       

Principal
Amount

(000’s omitted)

    Value  
     

Nigeria — 4.1%

  

Nigeria Treasury Bill, 0.00%, 2/7/13

  NGN     143,000      $ 878,307   

Nigeria Treasury Bill, 0.00%, 2/21/13

  NGN     820,274        5,013,969   

Nigeria Treasury Bill, 0.00%, 3/7/13

  NGN     2,163,500        13,124,468   

Nigeria Treasury Bill, 0.00%, 3/28/13

  NGN     175,600        1,063,435   

Nigeria Treasury Bill, 0.00%, 4/4/13

  NGN     87,800        530,406   

Nigeria Treasury Bill, 0.00%, 4/11/13

  NGN     139,000        833,490   

Nigeria Treasury Bill, 0.00%, 5/9/13

  NGN     82,600        491,243   

Nigeria Treasury Bill, 0.00%, 5/23/13

  NGN     128,000        760,004   

Nigeria Treasury Bill, 0.00%, 9/5/13

  NGN     1,633,000        9,294,459   
   

Total Nigeria

  

  $ 31,989,781   
   

Philippines — 0.6%

                   

Philippine Treasury Bill, 0.00%, 11/7/12

  PHP     28,980      $ 703,448   

Philippine Treasury Bill, 0.00%, 3/6/13

  PHP     82,120        1,990,391   

Philippine Treasury Bill, 0.00%, 7/24/13

  PHP     58,940        1,422,205   

Philippine Treasury Bill, 0.00%, 8/7/13

  PHP     22,810        550,137   
   

Total Philippines

  

  $ 4,666,181   
   

Serbia — 2.0%

                   

Serbia Treasury Bill, 0.00%, 1/17/13

  RSD     26,350      $ 292,723   

Serbia Treasury Bill, 0.00%, 2/13/13

  RSD     609,300        6,704,099   

Serbia Treasury Bill, 0.00%, 4/11/13

  RSD     10,470        112,804   

Serbia Treasury Bill, 0.00%, 5/23/13

  RSD     117,950        1,253,232   

Serbia Treasury Bill, 0.00%, 6/13/13

  RSD     19,800        208,782   

Serbia Treasury Bill, 0.00%, 6/28/13

  RSD     630,700        6,614,374   

Serbia Treasury Bill, 0.00%, 10/31/13

  RSD     44,700        448,071   
   

Total Serbia

  

  $ 15,634,085   
   

South Korea — 0.6%

                   

Korea Monetary Stabilization Bond, 0.00%, 11/13/12

  KRW     533,380      $ 488,573   

Korea Monetary Stabilization Bond, 0.00%, 12/11/12

  KRW     659,000        601,818   

Korea Monetary Stabilization Bond, 0.00%, 12/18/12

  KRW     2,210,520        2,018,859   

Korea Monetary Stabilization Bond, 0.00%, 12/25/12

  KRW     1,488,510        1,358,848   
   

Total South Korea

  

  $ 4,468,098   
   

Sri Lanka — 2.0%

                   

Sri Lanka Treasury Bill, 0.00%, 11/2/12

  LKR     164,870      $ 1,265,474   

Sri Lanka Treasury Bill, 0.00%, 12/21/12

  LKR     214,130        1,620,819   

Sri Lanka Treasury Bill, 0.00%, 2/1/13

  LKR     23,440        175,306   

Sri Lanka Treasury Bill, 0.00%, 3/1/13

  LKR     531,440        3,937,005   

Sri Lanka Treasury Bill, 0.00%, 3/8/13

  LKR     18,920        139,826   

Sri Lanka Treasury Bill, 0.00%, 3/8/13

  LKR     134,000        990,313   
 

 

  23   See Notes to Consolidated Financial Statements.


Emerging Markets Local Income Portfolio

October 31, 2012

 

Consolidated Portfolio of Investments — continued

 

 

Security       

Principal
Amount

(000’s omitted)

    Value  
     

Sri Lanka (continued)

                   

Sri Lanka Treasury Bill, 0.00%, 3/29/13

  LKR     136,490      $ 1,001,421   

Sri Lanka Treasury Bill, 0.00%, 4/12/13

  LKR     46,830        341,900   

Sri Lanka Treasury Bill, 0.00%, 8/30/13

  LKR     586,380        4,088,050   

Sri Lanka Treasury Bill, 0.00%, 10/4/13

  LKR     57,530        396,406   

Sri Lanka Treasury Bill, 0.00%, 11/1/13

  LKR     185,450        1,265,825   
   

Total Sri Lanka

  

  $ 15,222,345   
   

Uruguay — 0.4%

                   

Monetary Regulation Bill, 0.00%, 11/5/12

  UYU     14,411      $ 728,943   

Monetary Regulation Bill, 0.00%, 2/15/13

  UYU     3,770        185,639   

Monetary Regulation Bill, 0.00%, 3/22/13(2)

  UYU     16,562        833,933   

Monetary Regulation Bill, 0.00%, 4/26/13(2)

  UYU     5,469        274,898   

Monetary Regulation Bill, 0.00%, 5/31/13(2)

  UYU     10,885        546,942   

Monetary Regulation Bill, 0.00%, 7/5/13(2)

  UYU     18,643        935,232   
   

Total Uruguay

  

  $ 3,505,587   
   

Total Foreign Government Securities
(identified cost $79,781,611)

      $ 80,307,000   
   
U.S. Treasury Obligations — 2.3%   
     
Security       

Principal
Amount

(000’s omitted)

    Value  

U.S. Treasury Bill, 0.00%, 11/15/12(7)

    $ 14,904      $ 14,903,627   

U.S. Treasury Bill, 0.00%, 11/29/12(7)

      3,000        2,999,796   
   

Total U.S. Treasury Obligations
(identified cost $17,903,007)

   

  $ 17,903,423   
   
Repurchase Agreements — 3.9%   
     
Description       

Principal

Amount

(000’s omitted)

   

Value

 

Bank of America:

     

Dated 10/5/12 with a maturity date of 12/7/12, an interest rate of 0.10% payable by the Portfolio and repurchase proceeds of EUR 965,394, collateralized by EUR 820,000 Government of France 3.75%, due 10/25/19 and a market value, including accrued interest, of $1,216,597.

  EUR     966      $ 1,251,497   
Description       

Principal

Amount

(000’s omitted)

   

Value

 
     

Dated 10/15/12 with a maturity date of 11/16/12, an interest rate of 0.12% payable by the Portfolio and repurchase proceeds of EUR 6,280,518, collateralized by EUR 5,450,000 Government of France 3.75%, due 4/25/17 and a market value, including accrued interest, of $8,109,386.

  EUR     6,281      $ 8,141,277   

Dated 10/23/12 with a maturity date of 1/24/13, an interest rate of 0.65% payable by the Portfolio and repurchase proceeds of EUR 812,428, collateralized by EUR 700,000 European Investment Bank 3.625%, due 1/15/21 and a market value, including accrued interest, of $1,063,565.

  EUR     814        1,054,742   

Dated 10/23/12 with a maturity date of 1/24/13, an interest rate of 0.65% payable by the Portfolio and repurchase proceeds of EUR 1,105,201, collateralized by EUR 900,000 European Investment Bank 4.625%, due 4/15/20 and a market value, including accrued interest, of $1,445,791.

  EUR     1,107        1,434,837   

Dated 10/23/12 with a maturity date of 1/24/13, an interest rate of 0.65% payable by the Portfolio and repurchase proceeds of EUR 1,171,643, collateralized by EUR 980,000 European Investment Bank 4.25%, due 4/15/19 and a market value, including accrued interest, of $1,529,249.

  EUR     1,174        1,521,096   

Barclays Bank PLC:

     

Dated 10/15/12 with a maturity date of 11/19/12, an interest rate of 0.10% payable by the Portfolio and repurchase proceeds of EUR 2,708,107, collateralized by EUR 2,225,000 Government of France 4.00%, due 10/25/38 and a market value, including accrued interest, of $3,336,615.

  EUR     2,708        3,510,423   

Citibank NA:

     

Dated 10/24/12 with a maturity date of 11/29/12, an interest rate of 0.08% payable by the Portfolio and repurchase proceeds of EUR 5,324,183, collateralized by EUR 4,610,000 Government of France 4.00%, due 10/25/38 and a market value, including accrued interest, of $6,913,166.

  EUR     5,325        6,901,412   

Nomura International PLC:

     

Dated 10/9/12 with a maturity date of 11/12/12, an interest rate of 0.06% payable by the Portfolio and repurchase proceeds of EUR 3,546,208, collateralized by EUR 3,150,000 Belgium Kingdom Government Bond 3.75%, due 9/28/20 and a market value, including accrued interest, of $4,604,919.

  EUR     3,546        4,596,652   
 

 

  24   See Notes to Consolidated Financial Statements.


Emerging Markets Local Income Portfolio

October 31, 2012

 

Consolidated Portfolio of Investments — continued

 

 

Description       

Principal

Amount

(000’s omitted)

   

Value

 
     

Dated 10/24/12 with a maturity date of 1/28/13, an interest rate of 0.07% payable by the Portfolio and repurchase proceeds of EUR 1,505,596, collateralized by EUR 1,500,000 Bundesrepublik Deutschland 0.50%, due 4/7/17 and a market value, including accrued interest, of $1,959,815

  EUR     1,506      $ 1,951,823   
   

Total Repurchase Agreements
(identified cost $30,335,942)

   

  $ 30,363,759   
   
Other — 3.7%      
Description       

Interest

(000’s omitted)

   

Value

 

Eaton Vance Cash Reserves Fund, LLC, 0.12%(8)

    $ 28,664      $ 28,664,279   
                     

Total Other
(identified cost $28,664,279)

      $ 28,664,279   
                     

Total Short-Term Investments
(identified cost $156,684,839)

      $ 157,238,461   
                     

Total Investments — 100.3%
(identified cost $781,706,814)

      $ 776,988,120   
                     
Currency Call Options Written — (0.1)%     
         
Description   Counter
party
  Principal
Amount
of
Contracts
(000’s
omitted)
    Strike
Price
    Expiration
Date
    Value  
         

Indian Rupee

  Bank of
America
    INR 
208,818
       INR 54.00        8/12/13      $ (70,415

Indian Rupee

  Citibank NA     INR 
198,558
       INR 54.00        8/12/13        (66,955

Indian Rupee

  Deutsche Bank     INR 
106,752
       INR 54.00        8/12/13        (35,997

Indian Rupee

  Goldman Sachs
International
    INR 
173,000
       INR 55.00        8/16/13        (79,983

Indian Rupee

  HSBC Bank USA     INR 
216,702
       INR 54.00        8/12/13        (73,073

Indian Rupee

  JPMorgan Chase
Bank
    INR 
110,000
       INR 55.00        8/19/13        (50,926

Indian Rupee

  Nomura
International
PLC
    INR 
216,702
       INR 54.00        8/12/13        (73,073

Indian Rupee

  Standard
Chartered Bank
    INR   
99,468
       INR 54.00        8/12/13        (33,541
                                     

Total Currency Call Options Written
(premiums received $965,937)

   

    $ (483,963
                                     
Currency Put Options Written — (0.0)%(3)   
         
Description   Counter
party
  Principal
Amount
of
Contracts
(000’s
omitted)
    Strike
Price
    Expiration
Date
    Value  
         

Indian Rupee

  Bank of
America
    INR 
110,500
       INR 65.00        7/1/13      $ (7,863

Indian Rupee

  Goldman Sachs
International
    INR   
91,000
       INR 65.00        7/1/13        (6,476

Indian Rupee

  HSBC
Bank
USA
    INR 
115,200
       INR 64.00        7/3/13        (10,405

Indian Rupee

  JPMorgan
Chase Bank
    INR   
96,000
       INR 64.00        7/3/13        (8,671

Indian Rupee

  Standard
Chartered Bank
    INR   
64,000
       INR 64.00        7/3/13        (5,781
                                     

Total Currency Put Options Written
(premiums received $197,403)

   

    $ (39,196
                                     

Other Assets, Less Liabilities — (0.2)%

  

  $ (1,372,085
                                     

Net Assets — 100.0%

  

  $ 775,092,876   
                                     

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

 

BAM     Bosnia-Herzegovina Convertible Mark
BRL     Brazilian Real
CLP     Chilean Peso
CNH     Yuan Offshore Renminbi
COP     Colombian Peso
CRC     Costa Rican Colon
DOP     Dominican Peso
EUR     Euro
GEL     Georgian Lari
GHS     Ghanaian Cedi
HUF     Hungarian Forint
IDR     Indonesian Rupiah
INR     Indian Rupee
KRW     South Korean Won
LKR     Sri Lankan Rupee
MXN     Mexican Peso
MYR     Malaysian Ringgit
NGN     Nigerian Naira
NZD     New Zealand Dollar
PEN     Peruvian New Sol
PHP     Philippine Peso
PLN     Polish Zloty
RSD     Serbian Dinar
RUB     Russian Ruble
THB     Thai Baht
TRY     New Turkish Lira
USD     United States Dollar
 

 

  25   See Notes to Consolidated Financial Statements.


Emerging Markets Local Income Portfolio

October 31, 2012

 

Consolidated Portfolio of Investments — continued

 

 

UYU     Uruguayan Peso
ZAR     South African Rand

 

(1) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At October 31, 2012, the aggregate value of these securities is $27,940,364 or 3.6% of the Portfolio’s net assets.

 

(2) 

Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal.

 

(3) 

Amount is less than 0.05%.

 

(4) 

Represents a structured security whose market value and interest rate are linked to the performance of the underlying security.

 

(5) 

Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.

 

(6) 

Non-income producing.

 

(7) 

Security (or a portion thereof) has been pledged to cover collateral requirements on open financial contracts and/or securities sold short.

 

(8) 

Affiliated investment company available to Eaton Vance portfolios and funds which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of October 31, 2012.

 

Securities Sold Short — (4.4)%   
Foreign Government Bonds — (3.9)%   
     
Security        Principal
Amount
(000’s omitted)
    Value  
     
     

Belgium — (0.6)%

                   

Belgium Kingdom Government Bond, 3.75%, 9/28/20

  EUR     (3,150   $ (4,590,657
                     

Total Belgium

      $ (4,590,657
                     

France — (2.5)%

                   

Government of France, 3.75%, 4/25/17

  EUR     (5,450   $ (7,971,493

Government of France, 3.75%, 10/25/19

  EUR     (820     (1,215,832

Government of France, 4.00%, 10/25/38

  EUR     (6,835     (10,242,985
                     

Total France

      $ (19,430,310
                     

Germany — (0.3)%

                   

Bundesrepublik Deutschland, 0.50%, 4/7/17

  EUR     (1,500   $ (1,954,276
                     

Total Germany

      $ (1,954,276
                     
Security        Principal
Amount
(000’s omitted)
    Value  
     

Supranational — (0.5)%

                   

European Investment Bank, 3.625%, 1/15/21

  EUR     (700   $ (1,037,343

European Investment Bank, 4.25%, 4/15/19

  EUR     (980     (1,499,669

European Investment Bank, 4.625%, 4/15/20

  EUR     (900     (1,416,228
                     

Total Supranational

      $ (3,953,240
                     

Total Foreign Government Bonds
(proceeds $28,926,403)

      $ (29,928,483
                     
Common Stocks — (0.5)%      
     
Security        Shares     Value  

China — (0.5)%

                   

Agricultural Bank of China, Ltd., Class H

      (2,120,000   $ (910,707

Bank of China, Ltd., Class H

      (2,277,000     (932,846

China Construction Bank Corp., Class H

      (1,373,000     (1,031,053

Industrial & Commercial Bank of China, Class H

      (1,675,000     (1,102,986
                     

Total Common Stocks
(proceeds $3,491,181)

      $ (3,977,592
                     

Total Securities Sold Short
(proceeds $32,417,584)

      $ (33,906,075
                     
 

 

  26   See Notes to Consolidated Financial Statements.


Emerging Markets Local Income Portfolio

October 31, 2012

 

Consolidated Statement of Assets and Liabilities

 

 

Assets   October 31, 2012  

Investments —

 

Securities of unaffiliated issuers, at value (identified cost, $744,646,612)

  $ 740,814,925   

Affiliated investment, at value (identified cost, $28,664,279)

    28,664,279   

Precious metals, at value (identified cost, $8,395,923)

    7,508,916   

Total Investments, at value (identified cost, $781,706,814)

  $ 776,988,120   

Cash

  $ 1,740,296   

Foreign currency, at value (identified cost, $7,545,596)

    7,560,229   

Cash collateral for securities sold short

    4,249,550   

Interest and dividends receivable

    10,904,246   

Interest receivable from affiliated investment

    3,308   

Receivable for variation margin on open futures contracts

    121,458   

Receivable for open forward foreign currency exchange contracts

    2,301,764   

Receivable for closed forward foreign currency exchange contracts

    415,502   

Receivable for open swap contracts

    12,455,364   

Receivable for closed swap contracts

    14,428   

Receivable for closed options

    23,685   

Premium paid on open swap contracts

    6,016,940   

Total assets

  $ 822,794,890   
Liabilities   

Written options outstanding, at value (premiums received, $1,163,340)

  $ 523,159   

Payable for investments purchased

    1,293,856   

Payable for open forward foreign currency exchange contracts

    5,135,857   

Payable for closed forward foreign currency exchange contracts

    376,724   

Payable for open swap contracts

    3,705,714   

Premium payable on open swap contracts

    282,184   

Premium received on open swap contracts

    1,199,337   

Payable for securities sold short, at value (proceeds, $32,417,584)

    33,906,075   

Payable to affiliates:

 

Investment adviser fee

    431,059   

Trustees’ fees

    2,500   

Interest payable

    638,322   

Accrued expenses

    207,227   

Total liabilities

  $ 47,702,014   

Net Assets applicable to investors’ interest in Portfolio

  $ 775,092,876   
Sources of Net Assets   

Investors’ capital

  $ 774,838,454   

Net unrealized appreciation

    254,422   

Total

  $ 775,092,876   

 

  27   See Notes to Consolidated Financial Statements.


Emerging Markets Local Income Portfolio

October 31, 2012

 

Consolidated Statement of Operations

 

 

Investment Income   Year Ended
October 31, 2012
 

Interest (net of foreign taxes, $993,649)

  $ 49,533,876   

Dividends (net of foreign taxes, $2,873)

    43,178   

Interest allocated from affiliated investment

    33,308   

Expenses allocated from affiliated investment

    (4,558

Total investment income

  $ 49,605,804   
Expenses        

Investment adviser fee

  $ 4,959,810   

Trustees’ fees and expenses

    30,478   

Custodian fee

    1,106,039   

Legal and accounting services

    134,564   

Interest expense

    28,270   

Interest and dividends on securities sold short

    1,114,976   

Miscellaneous

    41,979   

Total expenses

  $ 7,416,116   

Deduct —

 

Reduction of custodian fee

  $ 944   

Total expense reductions

  $ 944   

Net expenses

  $ 7,415,172   

Net investment income

  $ 42,190,632   
Realized and Unrealized Gain (Loss)        

Net realized gain (loss) —

 

Investment transactions (net of foreign capital gains taxes of
$170,913) and (including a gain of $614,608 from precious metals)

  $ (14,972,490

Investment transactions allocated from affiliated investment

    481   

Securities sold short

    58,070   

Futures contracts

    (152,535

Swap contracts

    2,480,491   

Forward commodity contracts

    (414,003

Foreign currency and forward foreign currency exchange contract transactions

    11,333,574   

Net realized loss

  $ (1,666,412

Change in unrealized appreciation (depreciation) —

 

Investments (including net decrease of $1,054,551 from precious metals)

  $ 12,563,187   

Written options

    640,181   

Securities sold short

    (2,105,686

Futures contracts

    60,021   

Swap contracts

    2,392,371   

Forward commodity contracts

    705,490   

Foreign currency and forward foreign currency exchange contracts

    (2,173,734

Net change in unrealized appreciation (depreciation)

  $ 12,081,830   

Net realized and unrealized gain

  $ 10,415,418   

Net increase in net assets from operations

  $ 52,606,050   

 

  28   See Notes to Consolidated Financial Statements.


Emerging Markets Local Income Portfolio

October 31, 2012

 

Consolidated Statements of Changes in Net Assets

 

 

    Year Ended October 31,  
Increase (Decrease) in Net Assets   2012     2011  

From operations —

   

Net investment income

  $ 42,190,632      $ 33,035,889   

Net realized loss from investment transactions, written options, securities sold short, futures contracts, swap contracts, forward commodity contracts, and foreign currency and forward foreign currency exchange contract transactions

    (1,666,412     (12,441,570

Net change in unrealized appreciation (depreciation) from investments, written options, securities sold short, futures contracts, swap contracts, forward commodity contracts, foreign currency and forward foreign currency exchange contracts

    12,081,830        (30,104,043

Net increase (decrease) in net assets from operations

  $ 52,606,050      $ (9,509,724

Capital transactions —

   

Contributions

  $ 100,744,364      $ 495,269,928   

Withdrawals

    (181,643,952     (83,021,660

Net increase (decrease) in net assets from capital transactions

  $ (80,899,588   $ 412,248,268   

Net increase (decrease) in net assets

  $ (28,293,538   $ 402,738,544   
Net Assets                

At beginning of year

  $ 803,386,414      $ 400,647,870   

At end of year

  $ 775,092,876      $ 803,386,414   

 

  29   See Notes to Consolidated Financial Statements.


Emerging Markets Local Income Portfolio

October 31, 2012

 

Consolidated Supplementary Data

 

 

    Year Ended October 31,  
Ratios/Supplemental Data   2012     2011     2010     2009     2008  

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

                                       

Expenses(1)

    0.97 %(2)      0.92 %(2)      0.93     0.91     0.96

Net investment income

    5.53     4.90     5.30     5.70     5.51

Portfolio Turnover

    24     16     17     26     38

Total Return

    7.78     0.13     19.03     30.48     (13.13 )% 

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

  $ 775,093      $ 803,386      $ 400,648      $ 116,040      $ 60,837   

 

(1) 

Excludes the effect of custody fee credits, if any, of less than 0.005%.

 

(2)

Includes interest and dividend expense primarily on securities sold short of 0.15% and 0.08% for the years ended October 31, 2012 and 2011, respectively.

 

  30   See Notes to Consolidated Financial Statements.


Emerging Markets Local Income Portfolio

October 31, 2012

 

Notes to Consolidated Financial Statements

 

 

1  Significant Accounting Policies

Emerging Markets Local Income Portfolio (the Portfolio) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a non-diversified, open-end management investment company. The Portfolio’s investment objective is total return. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. At October 31, 2012, Eaton Vance Emerging Markets Local Income Fund, Eaton Vance Strategic Income Fund, Eaton Vance International (Cayman Islands) Strategic Income Fund and Eaton Vance International (Cayman Islands) Emerging Markets Local Income Fund held an interest of 78.5%, 17.6%, 2.9% and 1.0%, respectively, in the Portfolio.

The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance EMLIP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The Portfolio may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at October 31, 2012 were $38,702,626 or 5.0% of the Portfolio’s consolidated net assets. The accompanying consolidated financial statements include the accounts of the Subsidiary. Intercompany balances and transactions have been eliminated in consolidation.

The following is a summary of significant accounting policies of the Portfolio. The policies are in conformity with accounting principles generally accepted in the United States of America.

A  Investment Valuation — Debt obligations (including short-term obligations with a remaining maturity of more than sixty days and excluding most seasoned, fixed-rate 30-year mortgage-backed securities as noted below) 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 asked prices, broker/dealer quotations, prices or yields of securities with similar characteristics, 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. Most seasoned, fixed-rate 30-year mortgage-backed securities are valued through the use of the investment adviser’s matrix pricing system, which takes into account bond prices, yield differentials, anticipated prepayments and interest rates provided by dealers. Short-term obligations purchased with a remaining maturity of sixty days or less (excluding those that are non-U.S. dollar denominated, which typically are valued by a pricing service or dealer quotes) are generally valued at amortized cost, which approximates market value. Equity securities (including common shares of closed-end investment companies) 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 asked prices therefore 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 asked 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 will use 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. 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 Portfolio’s Trustees have approved the use of a fair value service that values such securities to reflect 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. Precious metals are valued at the New York composite mean quotation reported by Bloomberg at the valuation time. Exchange-traded options are valued at the mean between the bid and asked prices at valuation time as reported by the Options Price Reporting Authority for U.S. listed options or by the relevant exchange or board of trade for non-U.S. listed options. Over-the-counter options (including options on securities, indices and foreign currencies) are valued by a third party pricing service using techniques that consider factors including the value of the underlying instrument, the volatility of the underlying instrument and the period of time until option expiration. Financial and commodities 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 asked 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 Portfolio’s 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. Forward commodity contracts are generally valued based on the price of the underlying futures or forward contract provided by the exchange on which the underlying instruments are traded or if unavailable, based on forward rates provided by broker/dealers. Interest rate and cross-currency 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. Future cash flows are discounted to their present value using swap rates provided by electronic data services or by broker/dealers. Credit default swaps are normally valued using valuations provided by a third party pricing service. The pricing services employ electronic data processing techniques to determine the present value based on credit spread quotations obtained from broker/dealers and expected default recovery rates determined by the pricing service using proprietary models. 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. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Portfolio in a manner that fairly reflects the security’s value, or the amount that the Portfolio might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or

 

  31  


Emerging Markets Local Income Portfolio

October 31, 2012

 

Notes to Consolidated Financial Statements — continued

 

 

of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.

The Portfolio may invest in Eaton Vance Cash Reserves Fund, LLC (Cash Reserves Fund), an affiliated investment company managed by Eaton Vance Management (EVM). Cash Reserves Fund generally values its investment securities utilizing the amortized cost valuation technique in accordance with Rule 2a-7 under the 1940 Act. This technique involves initially valuing a portfolio security at its cost and thereafter assuming a constant amortization to maturity of any discount or premium. If amortized cost is determined not to approximate fair value, Cash Reserves Fund may value its investment securities in the same manner as debt obligations described above.

B  Investment Transactions — Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost.

C  Income — Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Inflation adjustments to the principal amount of inflation-adjusted bonds and notes are reflected as interest income. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. However, if the ex-dividend date has passed, certain dividends from foreign securities are recorded as the Portfolio is informed of the ex-dividend date. Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable countries’ tax rules and rates.

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

The Subsidiary is treated as a controlled foreign corporation under the Internal Revenue Code and is not expected to be subject to U.S. federal income tax. The Portfolio is treated as a U.S. shareholder of the Subsidiary. As a result, the Portfolio is required to include in gross income for U.S. federal tax purposes all of the Subsidiary’s income, whether or not such income is distributed by the Subsidiary. If a net loss is realized by the Subsidiary, such loss is not generally available to offset the income earned by the Portfolio.

As of October 31, 2012, the Portfolio had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Portfolio files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.

E  Expense Reduction — State Street Bank and Trust Company (SSBT) serves as custodian of the Portfolio. Pursuant to the custodian agreement, SSBT receives a fee reduced by credits, which are determined based on the average daily cash balance the Portfolio maintains with SSBT. All credit balances, if any, used to reduce the Portfolio’s custodian fees are reported as a reduction of expenses in the Consolidated Statement of Operations.

F  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.

G  Use of Estimates — The preparation of the consolidated financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated 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 Portfolio’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Portfolio. Under Massachusetts law, if certain conditions prevail, interestholders in the Portfolio could be deemed to have personal liability for the obligations of the Portfolio. However, the Portfolio’s Declaration of Trust contains an express disclaimer of liability on the part of Portfolio interestholders and the By-laws provide that the Portfolio shall assume the defense on behalf of any Portfolio interestholder. Moreover, the By-laws also provide for indemnification out of Portfolio property of any interestholder held personally liable solely by reason of being or having been an interestholder for all loss or expense arising from such liability. Additionally, in the normal course of business, the Portfolio enters into agreements with service providers that may contain indemnification clauses. The Portfolio’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet occurred.

I  Financial and Commodities Futures Contracts — Upon entering into a financial or commodities futures contract, the Portfolio is required to deposit with the broker, either in cash or securities, an amount equal to a certain percentage of the purchase price (initial margin). Subsequent payments, known as

 

  32  


Emerging Markets Local Income Portfolio

October 31, 2012

 

Notes to Consolidated Financial Statements — continued

 

 

variation margin, are made or received by the Portfolio each business day, depending on the daily fluctuations in the value of the underlying security, commodity or currency, and are recorded as unrealized gains or losses by the Portfolio. Gains (losses) are realized upon the expiration or closing of the financial or commodities futures contracts. Should market conditions change unexpectedly, the Portfolio may not achieve the anticipated benefits of the financial or commodities 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 and Forward Commodity Contracts — The Portfolio 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 or offset by another contract with the same broker for the same settlement date and currency. Unrealized and realized gains and losses on forward commodity contracts, which are entered into for the purchase or sale of a specific commodity at a fixed price on a future date, are accounted for as described above. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and, in the case of forward foreign currency exchange contracts, from movements in the value of a foreign currency relative to the U.S. dollar.

K  Written Options — Upon the writing of a call or a put option, the premium received by the Portfolio is included in the Consolidated Statement of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written, in accordance with the Portfolio’s policies on investment valuations discussed above. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or are closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. When an index option is exercised, the Portfolio is required to deliver an amount of cash determined by the excess of the strike price of the option over the value of the index (in the case of a put) or the excess of the value of the index over the strike price of the option (in the case of a call) at contract termination. If a put option on a security is exercised, the premium reduces the cost basis of the securities purchased by the Portfolio. The Portfolio, as a writer of an option, may have no control over whether the underlying securities or other assets may be sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the securities or other assets underlying the written option. The Portfolio may also bear the risk of not being able to enter into a closing transaction if a liquid secondary market does not exist.

L  Purchased Options — Upon the purchase of a call or put option, the premium paid by the Portfolio is included in the Consolidated Statement of Assets and Liabilities as an investment. The amount of the investment is subsequently marked-to-market to reflect the current market value of the option purchased, in accordance with the Portfolio’s policies on investment valuations discussed above. As the purchaser of an index option, the Portfolio has the right to receive a cash payment equal to any depreciation in the value of the index below the strike price of the option (in the case of a put) or equal to any appreciation in the value of the index over the strike price of the option (in the case of a call) as of the valuation date of the option. If an option which the Portfolio had purchased expires on the stipulated expiration date, the Portfolio will realize a loss in the amount of the cost of the option. If the Portfolio enters into a closing sale transaction, the Portfolio will realize a gain or loss, depending on whether the sales proceeds from the closing sale transaction are greater or less than the cost of the option. If the Portfolio exercises a put option on a security, it will realize a gain or loss from the sale of the underlying security, and the proceeds from such sale will be decreased by the premium originally paid. If the Portfolio exercises a call option on a security, the cost of the security which the Portfolio purchases upon exercise will be increased by the premium originally paid. The risk associated with purchasing options is limited to the premium originally paid.

M  Interest Rate Swaps — Pursuant to interest rate swap agreements, the Portfolio either makes floating-rate payments based on a benchmark interest rate in exchange for fixed-rate payments or the Portfolio makes fixed-rate payments in exchange for payments on a floating benchmark interest rate. Payments received or made 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. The value of the swap is determined by changes in the relationship between two rates of interest. The Portfolio is exposed to credit loss in the event of non-performance by the swap counterparty. Risk may also arise from movements in interest rates.

N  Cross-Currency Swaps — Cross-currency swaps are interest rate swaps in which interest cash flows are exchanged between two parties based on the notional amounts of two different currencies. The notional amounts are typically determined based on the spot exchange rates at the inception of the trade. Cross-currency swaps also involve the exchange of the notional amounts at the start of the contract at the current spot rate with an agreement to re-exchange such amounts at a later date at either the same exchange rate, a specified rate or the then current spot rate. The entire principal value of a cross-currency swap is subject to the risk that the counterparty to the swap will default on its contractual delivery obligations.

O  Credit Default Swaps — When the Portfolio is the buyer of a credit default swap contract, the Portfolio is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation (or basket of debt obligations) from the counterparty 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 Portfolio 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 Portfolio would have spent the stream of payments and received no proceeds from the contract. When the Portfolio 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 Portfolio is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Portfolio 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 Portfolio for the same referenced obligation.

 

  33  


Emerging Markets Local Income Portfolio

October 31, 2012

 

Notes to Consolidated Financial Statements — continued

 

 

As the seller, the Portfolio may create economic leverage to its portfolio because, in addition to its total net assets, the Portfolio 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 Portfolio also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. Upfront payments or receipts, if any, are recorded as other assets or other liabilities, respectively, and amortized over the life of the swap contract as realized gains or losses. For financial reporting purposes, unamortized upfront payments, if any, are netted with unrealized appreciation or depreciation on swap contracts to determine the market value of swaps as presented in Notes 5 and 8. The Portfolio 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 Portfolio 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.

P  Repurchase Agreements — A repurchase agreement is the purchase by the Portfolio of securities from a counterparty in exchange for cash that is coupled with an agreement to resell those securities to the counterparty at a specified date and price. When a repurchase agreement is entered, the Portfolio typically receives securities with a value that equals or exceeds the repurchase price, including any accrued interest earned on the agreement. The value of such securities will be marked to market daily, and cash or additional securities will be exchanged between the parties as needed. Except in the case of a repurchase agreement entered to settle a short sale, the value of the securities delivered to the Portfolio will be at least equal to 90% of the repurchase price during the term of the repurchase agreement. The terms of a repurchase agreement entered to settle a short sale may provide that the cash purchase price paid by the Portfolio is more than the value of purchased securities that effectively collateralize the repurchase price payable by the counterparty. Since in such a transaction, the Portfolio normally will have used the purchased securities to settle the short sale, the Portfolio will segregate liquid assets equal to the marked to market value of the purchased securities that it is obligated to return to the counterparty under the repurchase agreement. In the event of insolvency of the counterparty to a repurchase agreement, recovery of the repurchase price owed to the Portfolio may be delayed. Such an insolvency also may result in a loss to the extent that the value of the purchased securities decreases during the delay or that value has otherwise not been maintained at an amount at least equal to the repurchase price.

Q  Securities Sold Short — A short sale is a transaction in which the Portfolio sells a security it does not own in anticipation of a decline in the market value of that security. To complete such a transaction, the Portfolio must borrow the security to make delivery to the buyer with an obligation to replace such borrowed security at a later date. Until the security is replaced, the Portfolio is required to repay the lender any dividends or interest, which accrue during the period of the loan. The proceeds received from a short sale are recorded as a liability and the Portfolio records an unrealized gain or loss to the extent of the difference between the proceeds received and the value of the open short position on the day of determination. A gain, limited to the price at which the Portfolio sold the security short, or a loss, potentially unlimited as there is no upward limit on the price of a security, is recorded when the short position is terminated. Interest and dividends payable on securities sold short are recorded as an expense.

2  Investment Adviser Fee and Other Transactions with Affiliates

The investment adviser fee is earned by Boston Management and Research (BMR), a subsidiary of EVM, as compensation for investment advisory services rendered to the Portfolio and the Subsidiary. Pursuant to the investment advisory agreement between the Portfolio and BMR and the investment advisory agreement between the Subsidiary and BMR, the Portfolio and Subsidiary each pay BMR a fee at an annual rate of 0.650% of its respective average daily net assets up to $1 billion, 0.625% from $1 billion but less than $2 billion, 0.600% from $2 billion but less than $5 billion, and 0.575% of average daily net assets of $5 billion or more, and is payable monthly. In determining the investment adviser fee for the Portfolio and Subsidiary, the applicable advisory fee rate is based on the average daily net assets of the Portfolio (inclusive of its interest in the Subsidiary). Such fee rate is then assessed separately on the Portfolio’s average daily net assets (exclusive of its interest in the Subsidiary) and the Subsidiary’s average daily net assets to determine the amount of the investment adviser fee. The Portfolio invests its cash in Cash Reserves Fund. EVM does not currently receive a fee for advisory services provided to Cash Reserves Fund. For the year ended October 31, 2012, the Portfolio’s investment adviser amounted to $4,959,810 or 0.65% of the Portfolio’s consolidated average daily net assets.

Trustees and officers of the Portfolio who are members of EVM’s or BMR’s organizations receive remuneration for their services to the Portfolio out of the investment adviser fee. Trustees of the Portfolio who are not affiliated with the investment adviser may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the year ended October 31, 2012, no significant amounts have been deferred. Certain officers and Trustees of the Portfolio are officers of the above organizations.

 

  34  


Emerging Markets Local Income Portfolio

October 31, 2012

 

Notes to Consolidated Financial Statements — continued

 

 

3  Purchases and Sales of Investments

Purchases and sales of investments, other than short-term obligations and including maturities, paydowns and securities sold short, for the year ended October 31, 2012 were as follows:

 

     Purchases      Sales  

Investments (non-U.S. Government)

  $ 147,802,374       $ 137,087,893   

U.S. Government and Agency Securities

            21,012,384   
    $ 147,802,374       $ 158,100,277   

4  Federal Income Tax Basis of Investments

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at October 31, 2012, as determined on a federal income tax basis, were as follows:

 

Aggregate cost

  $ 791,595,809   

Gross unrealized appreciation

  $ 21,904,688   

Gross unrealized depreciation

    (36,512,377

Net unrealized depreciation

  $ (14,607,689

The net unrealized appreciation on written options, securities sold short, futures contracts, swap contracts, foreign currency and forward foreign currency exchange contracts at October 31, 2012 on a federal income tax basis was $9,153,227.

5  Financial Instruments

The Portfolio may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include written options, forward foreign currency exchange contracts, 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 Portfolio has in particular classes of financial instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered.

A summary of obligations under these financial instruments at October 31, 2012 is as follows:

 

Forward Foreign Currency Exchange Contracts  
        

Sales

                  
Settlement Date   Deliver   In Exchange For   Counterparty    Net Unrealized
Appreciation
(Depreciation)
 
        
11/5/12  

New Taiwan Dollar

44,152,000

 

United States Dollar

1,475,422

  Australia and New Zealand Banking Group Limited    $ (35,973
11/5/12  

New Taiwan Dollar

32,965,000

 

United States Dollar

1,101,587

  Citibank NA      (26,859
11/5/12  

New Taiwan Dollar

36,993,000

 

United States Dollar

1,236,190

  JPMorgan Chase Bank      (30,141
11/5/12  

New Taiwan Dollar

42,795,000

 

United States Dollar

1,430,027

  Nomura International PLC      (34,916
11/7/12  

New Turkish Lira

3,633,448

 

United States Dollar

1,994,427

  Barclays Bank PLC      (31,020
11/8/12  

Serbian Dinar

97,070,000

 

Euro

850,000

  Deutsche Bank      (4,464

 

  35  


Emerging Markets Local Income Portfolio

October 31, 2012

 

Notes to Consolidated Financial Statements — continued

 

 

Forward Foreign Currency Exchange Contracts (continued)  
        

Sales

                  
Settlement Date   Deliver   In Exchange For   Counterparty    Net Unrealized
Appreciation
(Depreciation)
 
11/13/12  

Polish Zloty

8,174,691

 

Euro

1,988,661

  Barclays Bank PLC    $ 19,856   
11/15/12  

Euro

380,000

 

United States Dollar

515,728

  Goldman Sachs International      23,136   
11/15/12  

Japanese Yen

659,000,000

 

United States Dollar

8,418,498

  Goldman Sachs International      162,610   
11/16/12  

New Taiwan Dollar

51,757,000

 

United States Dollar

1,729,153

  BNP Paribas SA      (42,520
11/16/12  

New Taiwan Dollar

46,827,000

 

United States Dollar

1,564,185

  JPMorgan Chase Bank      (38,731
11/16/12  

New Taiwan Dollar

49,705,000

 

United States Dollar

1,660,320

  Nomura International PLC      (41,112
11/19/12  

Euro

2,360,000

 

United States Dollar

3,099,010

  Goldman Sachs International      39,645   
11/19/12  

Singapore Dollar

1,644,000

 

United States Dollar

1,335,565

  Goldman Sachs International      (12,173
11/20/12  

Euro

23,000,332

 

United States Dollar

28,297,242

  Australia and New Zealand Banking Group Limited      (1,519,299
11/20/12  

Euro

15,474,650

 

United States Dollar

19,212,558

  Bank of America      (848,045
11/20/12  

Euro

997,019

 

United States Dollar

1,225,162

  Goldman Sachs International      (67,326
11/22/12  

Serbian Dinar

88,900,000

 

Euro

779,278

  Citibank NA      775   
11/22/12  

Serbian Dinar

47,220,000

 

Euro

413,377

  Citibank NA      (293
11/23/12  

Euro

173,000

 

United States Dollar

235,091

  Credit Suisse International      10,817   
11/26/12  

Euro

5,780,926

 

United States Dollar

7,497,861

  State Street Bank and Trust Co.      3,351   
11/29/12  

Euro

422,000

 

United States Dollar

566,240

  Standard Chartered Bank      19,136   
11/29/12  

Malaysian Ringgit

4,710,000

 

United States Dollar

1,526,495

  Goldman Sachs International      (16,618
12/3/12  

New Zealand Dollar

6,636,940

 

United States Dollar

5,483,208

  Australia and New Zealand Banking Group Limited      35,738   
12/3/12  

New Zealand Dollar

20,130,638

 

United States Dollar

16,651,057

  Goldman Sachs International      128,228   
12/7/12  

New Taiwan Dollar

61,405,000

 

United States Dollar

2,059,879

  Barclays Bank PLC      (42,034
12/7/12  

New Taiwan Dollar

67,873,000

 

United States Dollar

2,277,235

  Nomura International PLC      (46,079
12/10/12  

Euro

6,920,745

 

United States Dollar

9,017,731

  Deutsche Bank      44,214   
12/17/12   Australian Dollar 10,590,000  

United States Dollar

10,801,853

  Deutsche Bank      (151,329
12/24/12   New Taiwan Dollar 44,080,200  

United States Dollar

1,506,552

  Australia and New Zealand Banking Group Limited      (2,576

 

  36  


Emerging Markets Local Income Portfolio

October 31, 2012

 

Notes to Consolidated Financial Statements — continued

 

 

Forward Foreign Currency Exchange Contracts (continued)  
        

Sales

                  
Settlement Date   Deliver   In Exchange For   Counterparty    Net Unrealized
Appreciation
(Depreciation)
 
12/24/12  

New Taiwan Dollar

55,100,250

 

United States Dollar

1,882,997

  Citibank NA    $ (3,414
12/24/12  

New Taiwan Dollar

47,753,550

 

United States Dollar

1,631,930

  Nomura International PLC      (2,958
1/24/13  

Euro

410,000

 

United States Dollar

535,009

  Standard Chartered Bank      3,141   
1/31/13  

Euro

225,000

 

United States Dollar

296,208

  State Street Bank and Trust Co.      4,310   
2/7/13  

Euro

180,000

 

United States Dollar

239,142

  Standard Chartered Bank      5,609   
2/28/13  

Euro

389,000

 

United States Dollar

520,997

  Standard Chartered Bank      16,207   
3/8/13  

Sri Lankan Rupee

18,920,000

 

United States Dollar

146,044

  HSBC Bank USA      5,886   
3/14/13  

Euro

463,000

 

United States Dollar

605,664

  Deutsche Bank      4,768   
3/28/13  

Euro

389,000

 

United States Dollar

520,548

  JPMorgan Chase Bank      15,625   
4/4/13  

Euro

320,000

 

United States Dollar

427,867

  Barclays Bank PLC      12,479   
                 $ (2,442,349
        

Purchases

 
Settlement Date   In Exchange For   Deliver   Counterparty    Net Unrealized
Appreciation
(Depreciation)
 
11/8/12  

Serbian Dinar

66,105,172

 

Euro

592,075

  Citibank NA    $ (14,097
11/8/12  

South African Rand

12,600,000

 

United States Dollar

1,407,979

  Standard Bank      43,947   
11/8/12  

South African Rand

31,204,124

 

United States Dollar

3,681,251

  Standard Bank      (85,531
11/8/12  

South African Rand

48,559,000

 

United States Dollar

5,851,328

  Standard Bank      (255,768
11/8/12  

South African Rand

6,124,479

 

United States Dollar

747,115

  Standard Chartered Bank      (41,378
11/8/12  

South African Rand

48,559,516

 

United States Dollar

5,854,635

  Standard Chartered Bank      (259,016
11/9/12  

Peruvian New Sol

3,010,200

 

United States Dollar

1,158,081

  Standard Chartered Bank      3,266   
11/13/12  

Hong Kong Dollar

99,984,981

 

United States Dollar

12,891,972

  Standard Chartered Bank      9,498   
11/13/12  

Polish Zloty

9,956,000

 

Euro

2,422,090

  JPMorgan Chase Bank      (24,297
11/13/12  

South Korean Won

4,953,000,000

 

United States Dollar

4,352,181

  Nomura International PLC      186,550   

 

  37  


Emerging Markets Local Income Portfolio

October 31, 2012

 

Notes to Consolidated Financial Statements — continued

 

 

Forward Foreign Currency Exchange Contracts (continued)  
        

Purchases

 
Settlement Date   In Exchange For   Deliver   Counterparty    Net Unrealized
Appreciation
(Depreciation)
 
        
11/13/12  

Thai Baht

615,825,000

 

United States Dollar

19,656,080

  BNP Paribas SA    $ 421,910   
11/13/12  

Yuan Renminbi

10,940,000

 

United States Dollar

1,743,426

  Bank of America      8,786   
11/15/12  

Indian Rupee

70,844,000

 

United States Dollar

1,267,108

  Goldman Sachs International      46,387   
11/15/12  

Indian Rupee

86,588,000

 

United States Dollar

1,548,426

  Standard Chartered Bank      56,973   
11/15/12  

Yuan Offshore Renminbi

34,164,000

 

United States Dollar

5,413,234

  Deutsche Bank      55,215   
11/19/12  

Hong Kong Dollar

26,759,835

 

United States Dollar

3,452,214

  Goldman Sachs International      756   
11/19/12  

Indian Rupee

215,703,000

 

United States Dollar

4,111,761

  Deutsche Bank      (115,686
11/19/12  

Malaysian Ringgit

6,866,000

 

United States Dollar

2,231,322

  Citibank NA      19,864   
11/19/12  

Philippine Peso

81,011,000

 

United States Dollar

1,957,781

  Australia and New Zealand Banking Group Limited      8,414   
11/19/12  

Polish Zloty

161,650,473

 

United States Dollar

50,399,225

  State Street Bank and Trust Co.      147,139   
11/19/12  

Singapore Dollar

11,184,000

 

United States Dollar

9,096,973

  Standard Chartered Bank      71,579   
11/19/12  

Yuan Offshore Renminbi

8,552,000

 

United States Dollar

1,361,133

  Goldman Sachs International      7,337   
11/19/12  

Yuan Offshore Renminbi

9,453,000

 

United States Dollar

1,503,938

  Standard Chartered Bank      8,708   
11/20/12  

Indian Rupee

118,686,000

 

United States Dollar

2,193,421

  Deutsche Bank      4,895   
11/20/12  

Indian Rupee

88,264,000

 

United States Dollar

1,630,894

  Goldman Sachs International      3,942   
11/20/12  

Thai Baht

251,158,000

 

United States Dollar

7,928,593

  Nomura International PLC      256,337   
11/20/12  

Yuan Offshore Renminbi

18,187,000

 

United States Dollar

2,893,485

  Bank of America      16,540   
11/20/12  

Yuan Offshore Renminbi

17,321,000

 

United States Dollar

2,755,708

  Barclays Bank PLC      15,753   
11/20/12  

Yuan Offshore Renminbi

17,703,000

 

United States Dollar

2,814,915

  Citibank NA      17,667   
11/21/12  

South Korean Won

2,199,658,000

 

United States Dollar

1,941,703

  Standard Chartered Bank      73,070   
11/26/12  

Hungarian Forint

748,858,885

 

United States Dollar

3,376,280

  State Street Bank and Trust Co.      39,055   
11/26/12  

Swedish Krona

20,263,000

 

Euro

2,379,264

  Barclays Bank PLC      (31,751
11/26/12  

Swedish Krona

9,300,000

 

Euro

1,092,075

  Credit Suisse International      (14,673
11/26/12  

Swedish Krona

20,263,800

 

Euro

2,379,386

  Deutsche Bank      (31,789

 

  38  


Emerging Markets Local Income Portfolio

October 31, 2012

 

Notes to Consolidated Financial Statements — continued

 

 

Forward Foreign Currency Exchange Contracts (continued)  
        

Purchases

 
        
Settlement Date   In Exchange For   Deliver   Counterparty    Net Unrealized
Appreciation
(Depreciation)
 
11/27/12  

Polish Zloty

82,989,923

 

Euro

20,124,136

  HSBC Bank USA    $ (164,586
11/29/12  

South Korean Won

2,199,516,000

 

United States Dollar

1,984,854

  Standard Chartered Bank      28,885   
11/30/12  

Hong Kong Dollar

3,500,000

 

United States Dollar

451,415

  Standard Chartered Bank      219   
12/3/12  

Malaysian Ringgit

5,600,000

 

United States Dollar

1,820,250

  Citibank NA      13,891   
12/4/12  

Brazilian Real

77,294,000

 

United States Dollar

37,872,507

  BNP Paribas SA      31,232   
12/10/12   South African Rand 24,551,603  

United States Dollar

2,870,160

  Credit Suisse International      (54,364
12/10/12   South African Rand 4,500,000  

United States Dollar

523,353

  Deutsche Bank      (7,253
12/14/12  

Hungarian Forint

68,091,500

 

United States Dollar

286,039

  Goldman Sachs International      23,808   
12/17/12  

South Korean Won

2,887,426,000

 

United States Dollar

2,587,995

  Standard Chartered Bank      53,096   
12/18/12  

Russian Ruble

264,394,000

 

United States Dollar

8,447,093

  BNP Paribas SA      (86,092
12/31/12  

Mexican Peso

729,625,389

 

United States Dollar

55,922,847

  Toronto-Dominion Bank      (510,046
1/11/13  

Colombian Peso

1,178,600,000

 

United States Dollar

647,689

  Bank of Nova Scotia      (9,360
1/14/13  

Indian Rupee

44,175,000

 

United States Dollar

823,699

  Deutsche Bank      (13,490
1/14/13  

Indian Rupee

45,301,000

 

United States Dollar

844,853

  Goldman Sachs International      (13,992
1/22/13  

Malaysian Ringgit

184,051,000

 

United States Dollar

60,405,986

  HSBC Bank USA      (333,052
1/29/13  

Indian Rupee

51,700,000

 

United States Dollar

949,495

  Citibank NA      (3,557
1/29/13  

Indian Rupee

55,500,000

 

United States Dollar

1,019,471

  Deutsche Bank      (4,006
1/30/13  

Yuan Renminbi

6,541,350

 

United States Dollar

1,038,969

  Citibank NA      1,148   
1/31/13  

Norwegian Krone

22,382,941

 

Euro

2,991,672

  Barclays Bank PLC      31,938   
1/31/13  

Norwegian Krone

22,382,941

 

Euro

2,992,332

  Deutsche Bank      31,082   
1/31/13  

Peruvian New Sol

6,787,570

 

United States Dollar

2,599,108

  Deutsche Bank      7,346   
2/19/13  

Indian Rupee

69,732,000

 

United States Dollar

1,298,306

  Bank of America      (26,698
2/19/13  

Indian Rupee

97,053,000

 

United States Dollar

1,807,318

  Citibank NA      (37,495
                 $ (391,744

 

  39  


Emerging Markets Local Income Portfolio

October 31, 2012

 

Notes to Consolidated Financial Statements — continued

 

 

 

Futures Contracts  
Expiration Month/Year   Contracts    Position    Aggregate Cost      Value      Net Unrealized
Appreciation
(Depreciation)
 
11/12  

32

CAC 40 Index

   Short    $ (1,456,872    $ (1,420,580    $ 36,292   
11/12   89
Hang Seng H-Shares
   Long      6,089,453         6,090,432         979   
12/12   39
Dow Jones Euro Stoxx 50 Index
   Short      (1,281,438      (1,265,767      15,671   
12/12   140
Euro-Bobl
   Short      (22,796,805      (22,833,227      (36,422
12/12   17
Euro-Bund
   Short      (3,076,416      (3,121,853      (45,437
12/12   11
Euro-Schatz
   Short      (1,579,605      (1,578,322      1,283   
12/12   8
Japan 10-Year Bond
   Short      (14,421,143      (14,455,719      (34,576
1/13   22
Platinum
   Long      1,833,986         1,734,700         (99,286
                                $ (161,496

CAC 40 Index: Cotation Assistée en Continu Index comprised of the 40 largest companies listed on the Paris Bourse Exchange.

Dow Jones Euro Stoxx 50 Index: Market capitalization-weighted stock index of 50 large, blue chip European companies operating within eurozone nations.

Euro-Bobl: Medium-term debt securities issued by the Federal Republic of Germany with a term to maturity of 4.5 to 5 years.

Euro-Bund: Long-term debt securities issued by the Federal Republic of Germany with a term to maturity of 8.5 to 10.5 years.

Euro-Schatz: Short-term debt securities issued by the Federal Republic of Germany with a term to maturity of 1.75 to 2.25 years.

Hang Seng H-Shares: Hang Seng China Enterprises Index comprised of H-Shares listed on the Hong Kong Stock Exchange.

Japan 10-Year Bond: Japanese Government Bonds (JGB) having a maturity of 7 years or more but less than 11 years.

 

Interest Rate Swaps  
           
Counterparty   Notional
Amount
(000’s omitted)
  Portfolio
Pays/Receives
Floating Rate
  Floating
Rate Index
  Annual
Fixed Rate
    Termination
Date
    Net Unrealized
Appreciation
(Depreciation)
 
Bank of America   MXN 26,000   Pays   Mexican Interbank Deposit Rate     6.46     9/24/20      $ 90,138   
Bank of America   PLN 10,700   Pays   6-month PLN WIBOR     4.88        9/14/14        39,843   
Bank of America   PLN 1,553   Pays   6-month PLN WIBOR     4.34        7/30/17        1,723   
Bank of America   PLN 1,820   Pays   6-month PLN WIBOR     4.31        8/10/17        1,464   
Bank of America   PLN 2,950   Pays   6-month PLN WIBOR     4.35        8/23/17        4,209   
Bank of America   PLN 2,970   Pays   6-month PLN WIBOR     4.30        9/18/17        3,153   
Bank of America   PLN 3,600   Pays   6-month PLN WIBOR     4.95        9/14/20        45,871   
Bank of America   PLN 8,765   Pays   6-month PLN WIBOR     5.45        6/7/21        218,487   
Barclays Bank PLC   MXN 48,400   Pays   Mexican Interbank Deposit Rate     7.11        5/21/21             328,192   
Barclays Bank PLC   MYR 26,000   Pays   3-month MYR KLIBOR     3.39        11/23/13        26,057   

 

  40  


Emerging Markets Local Income Portfolio

October 31, 2012

 

Notes to Consolidated Financial Statements — continued

 

 

Interest Rate Swaps (continued)  
           
Counterparty   Notional
Amount
(000’s omitted)
  Portfolio
Pays/Receives
Floating Rate
  Floating
Rate Index
  Annual
Fixed Rate
    Termination
Date
    Net Unrealized
Appreciation
(Depreciation)
 
Barclays Bank PLC   MYR 18,000   Pays   3-month MYR KLIBOR     3.70     10/19/15      $ 95,665   
Barclays Bank PLC   MYR 21,700   Pays   3-month MYR KLIBOR     3.96        7/26/16             193,143   
Barclays Bank PLC   MYR 10,000   Pays   3-month MYR KLIBOR     4.13        10/19/20        147,033   
Barclays Bank PLC   PLN 8,000   Pays   6-month PLN WIBOR     5.42        6/1/14        49,025   
Barclays Bank PLC   PLN 14,300   Pays   6-month PLN WIBOR     5.02        7/30/14        57,324   
Barclays Bank PLC   PLN 24,000   Pays   6-month PLN WIBOR     5.18        11/9/14        347,458   
Barclays Bank PLC   PLN 6,570   Pays   6-month PLN WIBOR     4.43        7/27/17        15,507   
Barclays Bank PLC   PLN 3,893   Pays   6-month PLN WIBOR     4.32        8/2/17        3,307   
Barclays Bank PLC   PLN 2,200   Pays   6-month PLN WIBOR     4.35        8/27/17        3,177   
Barclays Bank PLC   PLN 2,300   Pays   6-month PLN WIBOR     5.36        7/30/20        48,420   
Barclays Bank PLC   THB 143,000   Pays   6-month THBFIX     3.34        2/16/15        62,589   
Barclays Bank PLC   THB 149,550   Pays   6-month THBFIX     3.21        10/4/20        (40,716
Barclays Bank PLC   ZAR 53,700   Pays   3-month JIBAR     7.41        9/24/20        277,569   
BNP Paribas NA   PLN 3,946   Pays   6-month PLN WIBOR     4.25        8/7/17        (437
Citibank NA   MXN 50,000   Pays   Mexican Interbank Deposit Rate     9.08        8/6/13        123,899   
Citibank NA   MXN 48,000   Pays   Mexican Interbank Deposit Rate     6.86        11/10/20        259,113   
Citibank NA   MYR 37,000   Pays   3-month MYR KLIBOR     3.48        3/4/13        15,912   
Citibank NA   MYR 17,300   Pays   3-month MYR KLIBOR     3.72        5/7/22        77,332   
Citibank NA   PLN 2,983   Pays   6-month PLN WIBOR     4.33        7/30/17        3,206   
Citibank NA   PLN 2,427   Pays   6-month PLN WIBOR     4.31        8/2/17        1,892   
Citibank NA   PLN 1,780   Pays   6-month PLN WIBOR     4.30        8/10/17        1,182   
Citibank NA   PLN 1,320   Pays   6-month PLN WIBOR     4.40        8/20/17        2,858   
Citibank NA   THB 69,000   Pays   6-month THBFIX     3.40        1/14/15        34,787   
Credit Suisse International   MXN 42,000   Pays   Mexican Interbank Deposit Rate     6.24        7/31/15        91,953   
Credit Suisse International   MXN 45,000   Pays   Mexican Interbank Deposit Rate     5.84        10/1/15        66,784   
Credit Suisse International   MXN 41,500   Pays   Mexican Interbank Deposit Rate     6.36        10/23/20        122,715   
Credit Suisse International   PLN 1,670   Pays   6-month PLN WIBOR     4.40        8/20/17        3,615   
Credit Suisse International   USD 1,614   Receives   3-month-USD-LIBOR-BBA     1.81        10/23/22        (10,764
Deutsche Bank   BRL 19,700   Pays   Brazilian Interbank Deposit Rate     10.02        7/1/15        631,380   
Deutsche Bank   MXN 85,500   Pays   Mexican Interbank Deposit Rate     6.38        6/17/16        244,429   
Deutsche Bank   MYR 10,800   Pays   3-month MYR KLIBOR     4.38        11/23/20        228,112   
Deutsche Bank   PLN 5,400   Pays   6-month PLN WIBOR     4.85        4/23/14        54,357   
Deutsche Bank   PLN 3,100   Pays   6-month PLN WIBOR     5.11        4/23/17        60,321   
Deutsche Bank   PLN 1,764   Pays   6-month PLN WIBOR     4.34        7/30/17        2,081   
Deutsche Bank   PLN 5,339   Pays   6-month PLN WIBOR     4.36        8/1/17        7,609   
Deutsche Bank   PLN 2,880   Pays   6-month PLN WIBOR     4.28        8/6/17        881   
Deutsche Bank   PLN 2,174   Pays   6-month PLN WIBOR     4.24        8/7/17        (394
Deutsche Bank   PLN 1,550   Pays   6-month PLN WIBOR     4.33        8/17/17        1,625   

 

  41  


Emerging Markets Local Income Portfolio

October 31, 2012

 

Notes to Consolidated Financial Statements — continued

 

 

Interest Rate Swaps (continued)  
           
Counterparty   Notional
Amount
(000’s omitted)
  Portfolio
Pays/Receives
Floating Rate
  Floating
Rate Index
  Annual
Fixed Rate
    Termination
Date
    Net Unrealized
Appreciation
(Depreciation)
 
Deutsche Bank   PLN 13,900   Pays   6-month PLN WIBOR     5.04     4/18/22      $ 330,970   
Goldman Sachs International   PLN 1,061   Pays   6-month PLN WIBOR     4.35        8/1/17        1,334   
Goldman Sachs International   PLN 17,000   Pays   6-month PLN WIBOR     5.32        7/11/18        290,182   
Goldman Sachs International   PLN 11,000   Pays   6-month PLN WIBOR     5.54        5/10/21        300,410   
Goldman Sachs International   ZAR 31,560   Pays   3-month JIBAR     8.07        7/7/21        298,229   
HSBC Bank USA   MXN 44,030   Pays   Mexican Interbank Deposit Rate     7.28        12/23/20        335,210   
HSBC Bank USA   THB 262,000   Pays   6-month THBFIX     2.67        10/21/15        (38,726
HSBC Bank USA   THB 94,300   Pays   6-month THBFIX     3.26        8/19/20        (9,227
HSBC Bank USA   THB 159,000   Pays   6-month THBFIX     3.50        11/25/20        81,316   
JPMorgan Chase Bank   BRL 41,183   Pays   Brazilian Interbank Deposit Rate     9.63        1/2/14        721,169   
JPMorgan Chase Bank   BRL 11,100   Pays   Brazilian Interbank Deposit Rate     9.19        1/2/17        185,034   
JPMorgan Chase Bank   MYR 27,300   Pays   3-month MYR KLIBOR     3.25        9/8/14        26,823   
JPMorgan Chase Bank   MYR 4,750   Pays   3-month MYR KLIBOR     4.44        4/8/19        95,660   
JPMorgan Chase Bank   PLN 16,600   Pays   6-month PLN WIBOR     4.75        10/11/13        13,315   
JPMorgan Chase Bank   PLN 31,500   Pays   6-month PLN WIBOR     5.06        11/26/13        320,222   
JPMorgan Chase Bank   PLN 1,210   Pays   6-month PLN WIBOR     4.33        8/17/17        1,268   
JPMorgan Chase Bank   PLN 4,670   Pays   6-month PLN WIBOR     4.25        10/8/17        1,972   
JPMorgan Chase Bank   PLN 16,200   Pays   6-month PLN WIBOR     4.93        10/13/17        163,797   
JPMorgan Chase Bank   PLN 9,900   Pays   6-month PLN WIBOR     4.91        10/11/18        106,406   
JPMorgan Chase Bank   PLN 15,099   Pays   6-month PLN WIBOR     5.62        4/8/21        547,788   
JPMorgan Chase Bank   THB 108,000   Pays   6-month THBFIX     3.22        10/21/20        (23,778
JPMorgan Chase Bank   ZAR 36,500   Pays   3-month JIBAR     9.05        10/12/15        427,847   
Morgan Stanley & Co. International PLC   MXN 118,400   Pays   Mexican Interbank Deposit Rate     4.82        9/4/14        (44,200
Morgan Stanley & Co. International PLC   MXN 29,200   Pays   Mexican Interbank Deposit Rate     7.95        12/3/31        303,759   
Morgan Stanley & Co. International PLC   PLN 32,000   Pays   6-month PLN WIBOR     4.87        10/26/16        261,691   
Standard Bank   ZAR 62,500   Pays   3-month JIBAR     7.98        5/20/19        643,413   
Standard Bank   ZAR 22,000   Pays   3-month JIBAR     7.93        6/2/21        192,083   
Standard Bank   ZAR 32,700   Pays   3-month JIBAR     7.12        6/27/22        37,411   
Standard Chartered Bank   BRL 19,000   Pays   Brazilian Interbank Deposit Rate     12.12        1/2/13        441,395   
                                $ 10,055,859   

 

BRL     Brazilian Real
MXN     Mexican Peso
MYR     Malaysian Ringgit
PLN     Polish Zloty
THB     Thai Baht
USD     United States Dollar
ZAR     South African Rand

 

  42  


Emerging Markets Local Income Portfolio

October 31, 2012

 

Notes to Consolidated Financial Statements —continued

 

 

 

Credit Default Swaps — Sell Protection  
               
Reference
Entity
  Counterparty   Notional
Amount*
(000’s omitted)
    Contract
Annual
Fixed Rate**
    Termination
Date
    Current
Market
Annual
Fixed Rate***
    Market
Value
    Upfront
Payments
Received
(Paid)
    Net Unrealized
Appreciation
(Depreciation)
 
Argentina   Bank of America   $ 667        5.00 %(1)      6/20/13        29.91   $ (90,433   $ (3,676   $ (94,109
Argentina   Bank of America     695        5.00 (1)      6/20/13        29.91        (94,146     (3,953     (98,099
Argentina   Bank of America     760        5.00 (1)      6/20/13        29.91        (102,995     (3,174     (106,169
Argentina   Bank of America     1,520        5.00 (1)      6/20/13        29.91        (205,992     (6,164     (212,156
Argentina   Bank of America     4,959        5.00 (1)      6/20/13        29.91        (672,047     (8,817     (680,864
Argentina   Credit Suisse International     379        5.00 (1)      6/20/13        29.91        (51,362     (1,127     (52,489
Argentina   Credit Suisse International     734        5.00 (1)      6/20/13        29.91        (99,473     (3,073     (102,546