NPORT-EX 2 FS1V.htm HTML

Eaton Vance

Emerging Markets Debt Fund

October 31, 2019

PORTFOLIO OF INVESTMENTS (Unaudited)

Foreign Government Bonds — 64.7%

 

                                                 
Security   

Principal
Amount

(000’s omitted)

      Value  

Angola — 2.5%

      

Republic of Angola, 8.25%, 5/9/28(1)

    USD  200      $ 209,407  
     

 

 

  

Total Angola

       $ 209,407  
     

 

 

  

Bahamas — 2.5%

      

Commonwealth of Bahamas, 5.75%, 1/16/24(1)

    USD 200      $ 210,000  
     

 

 

  

Total Bahamas

       $ 210,000  
     

 

 

  

Bahrain — 2.8%

      

Bahrain Government International Bond, 7.00%, 1/26/26(1)

    USD 200      $ 229,287  
     

 

 

  

Total Bahrain

       $ 229,287  
     

 

 

  

Barbados — 3.0%

      

Government of Barbados, 7.25%, 12/15/21(1)(2)

    USD 350      $ 250,670  
     

 

 

  

Total Barbados

       $ 250,670  
     

 

 

  

Benin — 4.1%

      

Benin Government International Bond, 5.75%, 3/26/26(1)

    EUR 300      $ 345,464  
     

 

 

  

Total Benin

       $ 345,464  
     

 

 

  

Colombia — 2.8%

      

Republic of Colombia, 5.00%, 6/15/45

    USD 200      $ 233,452  
     

 

 

  

Total Colombia

       $ 233,452  
     

 

 

  

Ecuador — 2.3%

      

Republic of Ecuador, 7.875%, 3/27/25(1)

    USD 200      $ 190,000  
     

 

 

  

Total Ecuador

       $ 190,000  
     

 

 

  

Egypt — 10.5%

      

Arab Republic of Egypt, 4.75%, 4/16/26(1)

    EUR 100      $ 114,635  

Arab Republic of Egypt, 6.375%, 4/11/31(1)

    EUR 106        123,202  

Arab Republic of Egypt, 8.50%, 1/31/47(1)

    USD 400        422,150  

Arab Republic of Egypt, 8.70%, 3/1/49(1)

    USD 200        214,897  
     

 

 

  

Total Egypt

       $ 874,884  
     

 

 

  

El Salvador — 5.1%

      

Republic of El Salvador, 7.125%, 1/20/50(1)

    USD  200      $ 203,650  

Republic of El Salvador, 7.65%, 6/15/35(1)

    USD 200        218,502  
     

 

 

  

Total El Salvador

       $ 422,152  
     

 

 

  

Fiji — 2.4%

      

Republic of Fiji, 6.625%, 10/2/20(1)

    USD 200      $ 200,500  
     

 

 

  

Total Fiji

       $ 200,500  
     

 

 

  

 

1

 

 

                                                 
Security   

Principal
Amount

(000’s omitted)

      Value  

Jordan — 2.5%

      

Jordan Government International Bond, 7.375%, 10/10/47(1)

    USD 200      $ 211,570  
     

 

 

  

Total Jordan

       $ 211,570  
     

 

 

  

Kenya — 2.5%

      

Republic of Kenya, 7.25%, 2/28/28(1)

    USD 200      $ 211,642  
     

 

 

  

Total Kenya

       $ 211,642  
     

 

 

  

Nigeria — 5.2%

      

Republic of Nigeria, 7.875%, 2/16/32(1)

    USD 200      $ 206,942  

Republic of Nigeria, 8.747%, 1/21/31(1)

    USD 207        228,491  
     

 

 

  

Total Nigeria

       $ 435,433  
     

 

 

  

Sri Lanka — 4.7%

      

Republic of Sri Lanka, 6.125%, 6/3/25(1)

    USD 400      $ 394,977  
     

 

 

  

Total Sri Lanka

       $ 394,977  
     

 

 

  

Ukraine — 11.8%

      

Ukraine Government International Bond, 0.00%, GDP-Linked, 5/31/40(1)(3)(4)

    USD 289      $ 272,354  

Ukraine Government International Bond, 9.75%, 11/1/28(1)

    USD 600        715,286  
     

 

 

  

Total Ukraine

       $ 987,640  
     

 

 

  

Total Foreign Government Bonds
(identified cost $5,228,860)

       $ 5,407,078  
     

 

 

  

Foreign Corporate Bonds — 8.6%

      
Security    Principal
Amount
(000’s omitted)		      Value  

Indonesia — 4.2%

      

Perusahaan Listrik Negara PT, 5.25%, 10/24/42(1)

    USD  320      $ 354,400  
     

 

 

  

Total Indonesia

       $ 354,400  
     

 

 

  

Mexico — 2.5%

      

Petroleos Mexicanos, 6.50%, 3/13/27

    USD 200      $ 212,500  
     

 

 

  

Total Mexico

       $ 212,500  
     

 

 

  

Vietnam — 1.9%

      

Debt and Asset Trading Corp., 1.00%, 10/10/25(1)

    USD 200      $ 155,500  
     

 

 

  

Total Vietnam

       $ 155,500  
     

 

 

  

Total Foreign Corporate Bonds
(identified cost $655,487)

       $ 722,400  
     

 

 

  

 

2

 

 

                                                 

Sovereign Loans — 10.6%

      
Borrower    Principal
Amount
(000’s omitted)		      Value  

Kenya — 4.0%

      

Republic Government of Kenya, Term Loan, 8.65%, (6 mo. USD LIBOR + 6.45%), Maturing June 29, 2025(5)

    $  325      $ 330,817  
     

 

 

  

Total Kenya

       $ 330,817  
     

 

 

  

Nigeria — 1.8%

      

Bank of Industry Limited, Term Loan, 7.98%, (3 mo. USD LIBOR + 6.00%), Maturing May 21, 2021(5)(6)

    $ 150      $ 149,252  
     

 

 

  

Total Nigeria

       $ 149,252  
     

 

 

  

Tanzania — 4.8%

      

Government of the United Republic of Tanzania, Term Loan, 7.76%, (6 mo. USD LIBOR + 5.20%), Maturing June 23, 2022(5)

    $ 400      $ 405,213  
     

 

 

  

Total Tanzania

       $ 405,213  
     

 

 

  

Total Sovereign Loans
(identified cost $870,803)

       $ 885,282  
     

 

 

  

Short-Term Investments — 8.1%

      
Description    Units      Value  

Eaton Vance Cash Reserves Fund, LLC, 1.97%(7)

      673,854      $ 673,854  
     

 

 

  

Total Short-Term Investments
(identified cost $673,849)

       $ 673,854  
     

 

 

  

Total Investments — 92.0%
(identified cost $7,428,999)

       $ 7,688,614  
     

 

 

  

Other Assets, Less Liabilities — 8.0%

       $ 666,949  
     

 

 

  

Net Assets — 100.0%

       $ 8,355,563  
     

 

 

  

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

 

(1)

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. At October 31, 2019, the aggregate value of these securities is $5,683,526 or 68.0% of the Fund’s net assets.

 

(2)

Issuer is in default with respect to interest payments.

 

(3)

Amounts payable in respect of the security are contingent upon and determined by reference to Ukraine’s GDP and Real GDP Growth Rate. Principal amount represents the notional amount used to calculate payments due to the security holder and does not represent an entitlement for payment.

 

3

 

 

(4)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. This security may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At October 31, 2019, the value of this security is $272,354 or 3.3% of the Fund’s net assets.

 

(5)

Variable rate security. The stated interest rate represents the rate in effect at October 31, 2019.

 

(6)

Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date.

 

(7)

Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of October 31, 2019.

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased		      Currency
Sold		     

Counterparty

    Settlement
Date		      Unrealized
Appreciation		      Unrealized
(Depreciation)		  
EUR      301,925      USD      335,013      Citibank, N.A.      11/1/19      $ 1,724      $ —  
EUR      89,400      USD      99,197      Citibank, N.A.      11/1/19        510        —  
EUR      2,768      USD      3,071      Citibank, N.A.      11/1/19        16        —  
USD      3,053      EUR      2,768      Citibank, N.A.      11/1/19        —        (34 ) 
USD      98,557      EUR      89,400      Citibank, N.A.      11/1/19        —        (1,151 ) 
USD      332,851      EUR      301,925      Citibank, N.A.      11/1/19        —        (3,886 ) 
EUR      185,837      USD      207,617      Citibank, N.A.      12/6/19        81        —  
USD      236,254      EUR      211,470      Citibank, N.A.      12/6/19        —        (92 ) 
USD      99,546      EUR      89,400      Goldman Sachs International      12/6/19        —        (371 ) 
USD      336,191      EUR      301,925      Goldman Sachs International      12/6/19        —        (1,252 ) 
USD      185,868      EUR      169,119      Societe Generale      1/9/20        —        (3,647 ) 
EUR      110,438      USD      124,353      Citibank, N.A.      1/22/20        —        (496 ) 
USD      23,542      EUR      21,038      Citibank, N.A.      1/22/20        —        (52 ) 
                 

 

 

     

 

 

  
                  $     2,331      $     (10,981 ) 
                 

 

 

     

 

 

  

Futures Contracts

 

                                                                                                                            

Description

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

Interest Rate Futures

              

Euro-Bobl

      2        Short        12/6/19      $ (300,283 )    $ 3,458  

U.S. 5-Year Treasury Note

      15        Long        12/31/19        1,788,047       (10,463 ) 

U.S. 10-Year Treasury Note

      18        Long        12/19/19        2,345,344       (23,384 ) 

U.S. Long Treasury Bond

      3        Long        12/19/19        484,125       (13,012 ) 

U.S. Ultra-Long Treasury Bond

      5        Long        12/19/19        948,750       (40,671 ) 
             

 

 

  
              $ (84,072 ) 
             

 

 

  

Centrally Cleared Interest Rate Swaps

 

Notional
Amount
(000’s omitted)		     

Fund
Pays/Receives
Floating Rate

   

Floating Rate

   

Annual Fixed Rate

    Termination
Date		     
Value		     Unamortized
Upfront
Receipts
(Payments)		     Unrealized
Appreciation
(Depreciation)		  
  EUR       100      Receives    6-month EURIBOR
(pays semi-annually)		    (0.53)%
(pays annually)		      8/22/24      $ 1,344     $ —     $ 1,344  
  EUR       66      Receives    6-month EURIBOR
(pays semi-annually)		    1.06%
(pays annually)		      10/16/28            (7,387 )      (14 )      (7,401 ) 
  EUR       86      Receives    6-month EURIBOR
(pays semi-annually)		    (0.05)%
(pays annually)		      8/6/29        448       —       448  

 

4

 

 

Notional
Amount
(000’s omitted)		     

Fund
Pays/Receives
Floating Rate

   

Floating Rate

   

Annual Fixed Rate

    Termination
Date		     
Value		     Unamortized
Upfront
Receipts
(Payments)		     Unrealized
Appreciation
(Depreciation)		  
EUR     10      Receives    6-month EURIBOR
(pays semi-annually)		    (0.16)%
(pays annually)		      9/12/29      $ 195     $ —     $ 195  
USD     200      Receives    3-month USD-LIBOR
(pays quarterly)		    3.06%
(pays semi-annually)		      10/2/23        (12,077 )      (19 )      (12,096 ) 
USD     19      Pays    3-month USD-LIBOR
(pays quarterly)		    2.36%
(pays semi-annually)		      4/29/24        724       —       724  
USD     35      Pays    3-month USD-LIBOR
(pays quarterly)		    2.33%
(pays semi-annually)		      4/30/24        1,287       —       1,287  
USD     203      Receives    3-month USD-LIBOR
(pays quarterly)		    1.44%
(pays semi-annually)		      9/26/24        600       —       600  
USD     145      Receives    3-month USD-LIBOR
(pays quarterly)		    2.63%
(pays semi-annually)		      3/25/29        (13,291 )      1,294       (11,997 ) 
USD     300      Pays    3-month USD-LIBOR
(pays quarterly)		    2.34%
(pays semi-annually)		      5/17/29        21,806       —       21,806  
USD     438      Receives    3-month USD-LIBOR
(pays quarterly)		    2.09%
(pays semi-annually)		      7/15/29        (21,647 )      144       (21,503 ) 
USD     190      Receives    3-month USD-LIBOR
(pays quarterly)		    1.35%
(pays semi-annually)		      9/6/29        4,555       —       4,555  
USD     194      Receives    3-month USD-LIBOR
(pays quarterly)		    1.66%
(pays semi-annually)		      9/16/29        (878 )      —       (878 ) 
USD     150      Receives    3-month USD-LIBOR
(pays quarterly)		    1.69%
(pays semi-annually)		      10/22/29        (1,284 )      —       (1,284 ) 
USD     185      Pays    3-month USD-LIBOR
(pays quarterly)		    1.70%
(pays semi-annually)		      10/24/29        1,743       —       1,743  
USD     95      Receives    3-month USD-LIBOR
(pays quarterly)		    2.88%
(pays semi-annually)		      1/31/49        (24,230 )      (49 )      (24,279 ) 
USD     125      Receives    3-month USD-LIBOR
(pays quarterly)		    2.54%
(pays semi-annually)		      5/17/49        (22,462 )      —       (22,462 ) 
USD     116      Receives    3-month USD-LIBOR
(pays quarterly)		    2.21%
(pays semi-annually)		      8/1/49        (11,061 )      —       (11,061 ) 
USD     90      Receives    3-month USD-LIBOR
(pays quarterly)		    1.57%
(pays semi-annually)		      8/29/49        4,784       —       4,784  
USD     99      Receives    3-month USD-LIBOR
(pays quarterly)		    1.65%
(pays semi-annually)		      9/9/49        3,381       —       3,381  
USD     7      Receives    3-month USD-LIBOR
(pays quarterly)		    1.70%
(pays semi-annually)		      9/12/49        161       —       161  
USD     72      Receives    3-month USD-LIBOR
(pays quarterly)		    1.89%
(pays semi-annually)		      10/24/49        (1,648 )      —       (1,648 ) 
USD     110      Receives    3-month USD-LIBOR
(pays quarterly)		    1.87%
(pays semi-annually)		      10/25/49        (1,996 )      —       (1,996 ) 
                

 

 

    

 

 

    

 

 

  

Total

          $     (76,933 )    $     1,356     $     (75,577 ) 
                

 

 

    

 

 

    

 

 

  

 

5

 

 

Centrally Cleared Credit Default Swaps — Sell Protection

 

Reference Entity    Notional
Amount*
(000’s omitted)		     

Contract
Annual
Fixed Rate**

    Termination
Date		      Current
Market
Annual
Fixed
Rate***		     Value     Unamortized
Upfront
Receipts
(Payments)		     Unrealized
Appreciation		  
Brazil    $     200      1.00%
(pays quarterly)(1)		      6/20/24        1.10 %    $     (656 )    $     5,575     $     4,919  
Brazil      150      1.00%
(pays quarterly)(1)		      12/20/24        1.21       (1,393 )      1,727       334  
Mexico      200      1.00%
(pays quarterly)(1)		      12/20/24        0.93       955       962       1,917  
Russia      200      1.00%
(pays quarterly)(1)		      12/20/24        0.77       2,543       (1,847 )      696  
Turkey      85      1.00%
(pays quarterly)(1)		      6/20/20        1.25       (36 )      1,793       1,757  
Turkey      190      1.00%
(pays quarterly)(1)		      12/20/24        3.35       (20,138 )      23,567       3,429  
  

 

 

             

 

 

    

 

 

    

 

 

  
Total    $ 1,025              $     (18,725 )    $     31,777     $     13,052  
  

 

 

             

 

 

    

 

 

    

 

 

  

 

*

If the Fund is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Fund could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At October 31, 2019, such maximum potential amount for all open credit default swaps in which the Fund is the seller was $1,025,000.

 

**

The contract annual fixed rate represents the fixed rate of interest received by the Fund (as a seller of protection) on the notional amount of the credit default swap contract.

 

***

Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity.

 

(1)

Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon.

Abbreviations:

 

EURIBOR

   -   Euro Interbank Offered Rate

GDP

   -   Gross Domestic Product

LIBOR

   -   London Interbank Offered Rate

Currency Abbreviations:

 

EUR

   -   Euro

USD

   -   United States Dollar

    

 

At October 31, 2019 the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.

 

6

 

 

In the normal course of pursuing its investment objective, the Fund is subject to the following risks:

Credit Risk: The Fund enters into credit default swap contracts to enhance total return and/or as a substitute for the purchase of securities.

Foreign Exchange Risk: The Fund engages in forward foreign currency exchange contracts to enhance total return and/or to seek to hedge against fluctuations in currency exchange rates.

Interest Rate Risk: The Fund utilizes various interest rate derivatives including interest rate futures contracts and interest rate swaps to enhance total return, to seek to hedge against fluctuations in interest rates, and/or to change the effective duration of its portfolio.

The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at October 31, 2019 was as follows:

 

          Fair Value  

Risk

   

Derivative

    Asset
Derivative		      Liability
Derivative		  
Credit    Credit Default Swaps (Centrally Cleared)    $ 3,498      $ (22,223 ) 
     

 

 

     

 

 

  

Total

       $ 3,498      $ (22,223 ) 
     

 

 

     

 

 

  
Foreign Exchange    Forward Foreign Currency Exchange Contracts    $ 2,331      $ (10,981 ) 
     

 

 

     

 

 

  

Total

       $ 2,331      $ (10,981 ) 
     

 

 

     

 

 

  
Interest Rate    Futures Contracts*    $ 3,458      $ (87,530 ) 
Interest Rate    Interest Rate Swaps (Centrally Cleared)      41,028        (117,961 ) 
     

 

 

     

 

 

  

Total

       $     44,486      $     (205,491 ) 
     

 

 

     

 

 

  

At October 31, 2019, the value of the Fund’s investment in affiliated funds was $673,854, which represents 8.1% of the Fund’s net assets. Transactions in affiliated funds by the Fund for the fiscal year to date ended October 31, 2019 were as follows:

 

                                                                                                                                                                                                       

Name of
affiliated fund

    Value,
beginning of
period		      Purchases      Sales proceeds     Net realized
gain (loss)		     Change in
unrealized
appreciation
(depreciation)		      Value, end
of period		      Dividend
income		      Units, end
of period		  

Short-Term Investments

 

Eaton Vance Cash Reserves Fund, LLC, 1.97%

    $     24,800      $     6,632,796      $     (5,983,654 )    $     (93 )    $     5      $     673,854      $     5,883        673,854  

 

7

 

 

Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

 

•  

Level 1 — quoted prices in active markets for identical investments

 

•  

Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

 

•  

Level 3 — significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)

In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

At October 31, 2019, the hierarchy of inputs used in valuing the Fund’s investments and open derivatives instruments, which are carried at value, were as follows:

 

Asset Description    Level 1      Level 2      Level 3      Total  

Foreign Government Bonds

    $ —      $ 5,407,078      $ —      $ 5,407,078  

Foreign Corporate Bonds

      —        722,400        —        722,400  

Sovereign Loans

      —        885,282        —        885,282  

Short-Term Investments

      —        673,854        —        673,854  

Total Investments

    $ —      $     7,688,614      $     —      $     7,688,614  

Forward Foreign Currency Exchange Contracts

    $ —      $ 2,331      $ —      $ 2,331  

Futures Contracts

      3,458        —        —        3,458  

Swap Contracts

      —        44,526        —        44,526  

Total

    $ 3,458      $ 7,735,471      $ —      $ 7,738,929  
Liability Description                          

Forward Foreign Currency Exchange Contracts

    $ —      $ (10,981 )     $ —      $ (10,981 ) 

Futures Contracts

      (87,530 )       —        —        (87,530 ) 

Swap Contracts

      —        (140,184 )       —        (140,184 ) 

Total

    $     (87,530 )     $ (151,165 )     $ —      $ (238,695 ) 

For information on the Fund’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.

 

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