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:
811-21563
Eaton Vance Short Duration Diversified Income Fund
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrants Telephone Number)
October 31
Date of Fiscal Year End
April 30, 2011
Date of Reporting Period
Item 1. Reports to Stockholders
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Eaton Vance
Short Duration Diversified
Income Fund
Semiannual Report
April 30, 2011
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Managed Distribution Plan.
On March 10, 2009, the Fund
received authorization from the
Securities and Exchange Commission to distribute long-term capital gains to shareholders more
frequently than once per year. In this connection, the Board of Trustees formally approved the
implementation of a Managed Distribution Plan (MDP) to make monthly cash distributions to common
shareholders, stated in terms of a fixed amount per common share.
The Fund intends to pay monthly cash distributions equal to $0.09 per share. You should not draw
any conclusions about the Funds investment performance from the amount of these distributions or
from the terms of the MDP. The MDP will be subject to regular periodic review by the Funds Board
of Trustees.
With each distribution, the Fund will issue a notice to shareholders and an accompanying press
release which will provide detailed information required by the Funds exemptive order. The Funds
Board of Trustees may amend or terminate the MDP at any time without prior notice to Fund
shareholders. However, at this time there are no reasonably foreseeable circumstances that might
cause the termination of the MDP.
Fund shares are not insured by the FDIC and are not deposits or other
obligations of, or guaranteed
by, any depository institution. Shares are subject to investment risks, including possible loss of
principal invested.
Semiannual Report
April 30, 2011
Eaton Vance
Short Duration Diversified Income Fund
Table of Contents
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Performance
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2
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Fund Profile
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3
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Endnotes and Additional Disclosures
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4
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Financial Statements
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5
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Annual Meeting of Shareholders
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47
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Board of Trustees Contract Approval
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48
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Officers and Trustees
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51
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Important Notices
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52
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Eaton Vance
Short Duration Diversified Income Fund
April 30, 2011
Portfolio Managers
Payson F. Swaffield, CFA; Mark S. Venezia, CFA; Susan Schiff, CFA; Scott H.
Page, CFA; Catherine C. McDermott
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New York Stock Exchange (NYSE) Symbol
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Inception Date (2/28/05)
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EVG
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% Average Annual Total Returns at net asset value (NAV)
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Six Months
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4.45
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One Year
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6.88
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Five Years
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8.00
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Since Inception
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7.42
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% Average Annual Total Returns at market price, NYSE
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Six Months
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-1.07
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One Year
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2.54
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Five Years
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8.73
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Since Inception
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5.83
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% Premium/(Discount) to NAV (4/30/11)
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(8.75
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)
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Distributions
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Total
Distributions per share (10/31/10 4/30/11)
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$
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0.620
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Distribution Rate at NAV
2
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5.87
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%
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Distribution Rate at market price
2
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6.43
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%
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% Total Leverage
3
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Derivatives
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38.5
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Borrowings
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15.5
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Comparative Performance
4
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% Return
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Lipper Global Income Funds Average at NAV
*
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Six Months
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6.21
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One Year
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14.56
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Five Years
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9.04
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Since Inception (2/28/05)
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8.68
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*
Source: Lipper.
See Endnotes and Additional Disclosures on page 4.
Past performance is no guarantee of future results. Returns are historical and are calculated by
determining the percentage change in NAV or market price (as applicable) with all distributions
reinvested. Fund performance at market price will differ from its results at NAV due to factors
such as changing perceptions about the Fund, market conditions, fluctuations in supply and demand
for Fund shares, or changes in Fund distributions. Investment return and principal value will
fluctuate so that shares, when sold, may be worth more or less than their original cost.
Performance less than one year is cumulative. Performance is for the stated time period only; due
to market volatility, current Fund performance may be lower or higher than the quoted return. For
performance as of the most recent month end, please refer to www.eatonvance.com.
2
Eaton Vance
Short Duration Diversified Income Fund
April 30, 2011
Asset Allocations
5
(% of total leveraged assets)
See Endnotes and Additional Disclosures on page 4.
3
Eaton Vance
Short Duration Diversified Income Fund
April 30, 2011
Endnotes and Additional Disclosures
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1.
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Performance results reflect the effects of leverage.
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2.
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The Distribution Rate is based on the Funds last regular distribution per share in
the period (annualized) divided by the Funds NAV or market price at the end of the period.
The Funds distributions may be comprised of ordinary income, net realized capital gains and
return of capital.
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3.
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The use of leverage creates an opportunity for income, but creates risks including
greater price volatility. The cost of borrowings rises and falls with changes in short-term
interest rates. The Fund is required to maintain prescribed asset coverage for its borrowings,
which could be reduced if Fund asset values decline.
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4.
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It is not possible to invest in a Lipper classification. Lipper Average reflects the
average annual total return, at NAV, of funds in the same Lipper classification as the Fund.
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5.
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Total leveraged assets include all assets of the Fund (including those acquired with
financial leverage), the notional value of long and short forward foreign currency contracts
and other foreign obligations derivatives held by the Fund. Fund Allocations as a percentage
of the Funds net assets amounted to 217.3%. Fund Allocations are subject to change due to
active management. Please refer to the definition of total leveraged assets within the Notes
to Consolidated Financial Statements included herein.
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Important Notice to Shareholders
Effective
April 29, 2011, the Funds portfolio management team
includes Payson F. Swaffield, Mark S. Venezia, Susan
Schiff, Scott H. Page and Catherine C. McDermott.
4
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited)
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Senior Floating-Rate Interests
44.0%
(1)
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Principal
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Amount*
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(000s omitted)
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Borrower/Tranche Description
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Value
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Aerospace and
Defense 0.6%
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DAE Aviation Holdings, Inc.
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111
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Term Loan, 5.28%, Maturing July 31, 2014
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$
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111,925
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115
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Term Loan, 5.28%, Maturing July 31, 2014
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116,186
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Doncasters (Dundee HoldCo 4 Ltd.)
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114
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Term Loan, 4.21%, Maturing July 13, 2015
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111,534
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114
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Term Loan, 4.71%, Maturing July 13, 2015
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111,534
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GBP
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250
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Term Loan - Second Lien, 6.63%, Maturing January 13,
2016
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397,752
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Evergreen International Aviation
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174
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Term Loan, 10.50%, Maturing October 31,
2011
(2)
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172,246
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International Lease Finance Co.
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500
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Term Loan, 6.75%, Maturing March 17, 2015
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503,795
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TransDigm, Inc.
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449
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Term Loan, 4.00%, Maturing February 14, 2017
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454,380
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$
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1,979,352
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Automotive 2.7%
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Adesa, Inc.
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677
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Term Loan, 2.97%, Maturing October 18, 2013
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$
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676,094
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Allison Transmission, Inc.
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757
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Term Loan, 2.99%, Maturing August 7, 2014
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757,340
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Delphi Automotive
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1,675
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Term Loan, 5.00%, Maturing April 14, 2017
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1,673,828
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Federal-Mogul Corp.
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557
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Term Loan, 2.15%, Maturing December 28, 2015
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544,637
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944
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Term Loan, 2.17%, Maturing December 29, 2014
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922,393
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Ford Motor Co.
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768
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Term Loan, 2.97%, Maturing December 16, 2013
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769,802
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Goodyear Tire & Rubber Co.
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3,175
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Term Loan - Second Lien, 1.94%, Maturing April 30, 2014
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3,136,106
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Metaldyne, LLC
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199
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Term Loan, 7.75%, Maturing October 28, 2016
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203,975
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TriMas Corp.
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357
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Term Loan, 6.00%, Maturing August 2, 2011
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359,447
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273
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Term Loan, 6.00%, Maturing December 15, 2015
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275,449
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$
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9,319,071
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Building and
Development 0.2%
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Brickman Group Holdings, Inc.
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249
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Term Loan, 7.25%, Maturing October 14, 2016
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$
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254,882
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Panolam Industries Holdings, Inc.
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116
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Term Loan, 8.25%, Maturing December 31, 2013
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107,713
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RE/MAX International, Inc.
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415
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Term Loan, 5.50%, Maturing April 15, 2016
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417,318
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$
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779,913
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Business Equipment and
Services 4.0%
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Activant Solutions, Inc.
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65
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Term Loan, 2.31%, Maturing May 2, 2013
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$
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65,217
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392
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Term Loan, 4.81%, Maturing February 2, 2016
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392,009
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Acxiom Corp.
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407
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Term Loan, 3.27%, Maturing March 15, 2015
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406,182
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Advantage Sales & Marketing, Inc.
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374
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Term Loan, 5.25%, Maturing December 18, 2017
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376,477
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Affinion Group, Inc.
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1,041
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Term Loan, 5.00%, Maturing October 10, 2016
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1,044,742
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Dealer Computer Services, Inc.
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475
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Term Loan, 3.75%, Maturing April 20, 2018
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479,647
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Education Management, LLC
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842
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Term Loan, 2.06%, Maturing June 3, 2013
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829,348
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Fifth Third Processing Solution
|
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175
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Term Loan, 5.50%, Maturing November 3, 2016
|
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176,374
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First American Corp.
|
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248
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Term Loan, 4.75%, Maturing April 12, 2016
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249,521
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Language Line, LLC
|
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449
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Term Loan, 6.25%, Maturing June 20, 2016
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453,364
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Mitchell International, Inc.
|
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187
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Term Loan, 2.31%, Maturing March 28, 2014
|
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181,221
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NE Customer Service
|
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398
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Term Loan, 6.00%, Maturing March 23, 2016
|
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397,778
|
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Protection One Alarm Monitor, Inc.
|
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372
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|
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Term Loan, 6.00%, Maturing May 16, 2016
|
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374,091
|
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Quintiles Transnational Corp.
|
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872
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|
|
Term Loan, 2.31%, Maturing March 29, 2013
|
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870,960
|
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Sabre, Inc.
|
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1,337
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|
|
Term Loan, 2.23%, Maturing September 30, 2014
|
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1,238,425
|
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Serena Software, Inc.
|
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1,185
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|
|
Term Loan, 4.31%, Maturing March 10, 2016
|
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1,181,297
|
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Sitel (Client Logic)
|
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165
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|
|
Term Loan, 5.79%, Maturing January 30, 2014
|
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164,920
|
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SunGard Data Systems, Inc.
|
|
79
|
|
|
Term Loan, 1.98%, Maturing February 28, 2014
|
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78,592
|
|
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|
2,238
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|
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Term Loan, 3.93%, Maturing February 26, 2016
|
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2,251,691
|
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See Notes to
Consolidated Financial Statements.
5
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited) continued
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Principal
|
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Amount*
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(000s omitted)
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Borrower/Tranche Description
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Value
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Business Equipment and
Services (continued)
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Travelport, LLC
|
EUR
|
526
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|
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Term Loan, 5.66%, Maturing August 21, 2015
|
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$
|
758,340
|
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Valassis Communications, Inc.
|
|
106
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|
|
Term Loan, 2.56%, Maturing March 2, 2014
|
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105,951
|
|
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|
|
468
|
|
|
Term Loan, 2.56%, Maturing March 2, 2014
|
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466,771
|
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West Corp.
|
|
139
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|
|
Term Loan, 2.73%, Maturing October 24, 2013
|
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139,186
|
|
|
|
|
965
|
|
|
Term Loan, 4.59%, Maturing July 15, 2016
|
|
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974,327
|
|
|
|
|
339
|
|
|
Term Loan, 4.61%, Maturing July 15, 2016
|
|
|
342,680
|
|
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$
|
13,999,111
|
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Cable and Satellite
Television 3.3%
|
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Atlantic Broadband Finance, LLC
|
|
253
|
|
|
Term Loan, 4.00%, Maturing March 8, 2016
|
|
$
|
254,965
|
|
|
|
Bresnan Communications, LLC
|
|
224
|
|
|
Term Loan, 4.50%, Maturing December 14, 2017
|
|
|
226,598
|
|
|
|
Charter Communications Operating, LLC
|
|
782
|
|
|
Term Loan, 2.22%, Maturing March 6, 2014
|
|
|
782,433
|
|
|
|
CSC Holdings, Inc.
|
|
1,455
|
|
|
Term Loan, 2.06%, Maturing March 29, 2016
|
|
|
1,460,044
|
|
|
|
Insight Midwest Holdings, LLC
|
|
946
|
|
|
Term Loan, 2.02%, Maturing April 7, 2014
|
|
|
940,191
|
|
|
|
Kabel Deutschland GmbH
|
EUR
|
978
|
|
|
Term Loan, 3.46%, Maturing March 31, 2014
|
|
|
1,452,235
|
|
|
|
MCC Iowa, LLC
|
|
1,939
|
|
|
Term Loan, 1.94%, Maturing January 31, 2015
|
|
|
1,933,181
|
|
|
|
NDS Finance, Ltd.
|
|
275
|
|
|
Term Loan, 4.00%, Maturing March 12, 2018
|
|
|
276,203
|
|
|
|
ProSiebenSat.1 Media AG
|
EUR
|
232
|
|
|
Term Loan, 2.92%, Maturing June 26, 2015
|
|
|
333,554
|
|
|
|
EUR
|
9
|
|
|
Term Loan, 2.96%, Maturing July 3, 2015
|
|
|
13,537
|
|
|
|
EUR
|
56
|
|
|
Term Loan, 3.68%, Maturing March 6, 2015
|
|
|
76,502
|
|
|
|
EUR
|
56
|
|
|
Term Loan, 3.93%, Maturing March 4, 2016
|
|
|
76,502
|
|
|
|
UPC Broadband Holding B.V.
|
EUR
|
1,394
|
|
|
Term Loan, 4.71%, Maturing December 31, 2016
|
|
|
2,052,468
|
|
|
|
EUR
|
604
|
|
|
Term Loan, 4.96%, Maturing December 31, 2017
|
|
|
890,122
|
|
|
|
YPSO Holding SA
|
EUR
|
252
|
|
|
Term Loan, 4.95%, Maturing June 16,
2014
(2)
|
|
|
338,873
|
|
|
|
EUR
|
97
|
|
|
Term Loan, 5.11%, Maturing June 16,
2014
(2)
|
|
|
130,777
|
|
|
|
EUR
|
159
|
|
|
Term Loan, 5.11%, Maturing June 16,
2014
(2)
|
|
|
213,373
|
|
|
|
|
|
|
|
|
|
|
|
$
|
11,451,558
|
|
|
|
|
|
|
|
Chemicals and
Plastics 2.4%
|
|
Celanese Holdings, LLC
|
|
1,029
|
|
|
Term Loan, 3.30%, Maturing October 31, 2016
|
|
$
|
1,038,717
|
|
|
|
Huntsman International, LLC
|
|
567
|
|
|
Term Loan, 1.74%, Maturing April 21, 2014
|
|
|
563,139
|
|
|
|
|
1,547
|
|
|
Term Loan, 2.77%, Maturing April 19, 2017
|
|
|
1,540,098
|
|
|
|
INEOS Group
|
|
1,117
|
|
|
Term Loan, 7.50%, Maturing December 16, 2013
|
|
|
1,158,791
|
|
|
|
|
1,118
|
|
|
Term Loan, 8.00%, Maturing December 16, 2014
|
|
|
1,159,503
|
|
|
|
MacDermid, Inc.
|
EUR
|
322
|
|
|
Term Loan, 3.40%, Maturing April 11, 2014
|
|
|
469,080
|
|
|
|
Momentive Performance Materials
|
|
496
|
|
|
Term Loan, 3.75%, Maturing May 5, 2015
|
|
|
493,633
|
|
|
|
Nalco Co.
|
|
299
|
|
|
Term Loan, 4.50%, Maturing October 5, 2017
|
|
|
301,609
|
|
|
|
Rockwood Specialties Group, Inc.
|
|
475
|
|
|
Term Loan, 3.75%, Maturing February 9, 2018
|
|
|
480,344
|
|
|
|
Solutia, Inc.
|
|
529
|
|
|
Term Loan, 3.50%, Maturing August 1, 2017
|
|
|
533,039
|
|
|
|
Styron S.A.R.L.
|
|
399
|
|
|
Term Loan, 6.00%, Maturing August 2, 2017
|
|
|
403,612
|
|
|
|
Univar, Inc.
|
|
299
|
|
|
Term Loan, 5.00%, Maturing June 30, 2017
|
|
|
301,895
|
|
|
|
|
|
|
|
|
|
|
|
$
|
8,443,460
|
|
|
|
|
|
|
|
Conglomerates 1.7%
|
|
Goodman Global Holdings, Inc.
|
|
373
|
|
|
Term Loan, 5.75%, Maturing October 28, 2016
|
|
$
|
376,972
|
|
|
|
Jarden Corp.
|
|
529
|
|
|
Term Loan, 3.24%, Maturing January 31, 2017
|
|
|
535,387
|
|
|
|
Manitowoc Company, Inc. (The)
|
|
526
|
|
|
Term Loan, 5.31%, Maturing November 6, 2013
|
|
|
527,310
|
|
|
|
|
59
|
|
|
Term Loan, 8.00%, Maturing November 6, 2014
|
|
|
59,779
|
|
|
|
RBS Global, Inc.
|
|
2,000
|
|
|
Term Loan, 2.79%, Maturing July 19, 2013
|
|
|
2,000,000
|
|
|
|
RGIS Holdings, LLC
|
|
37
|
|
|
Term Loan, 2.80%, Maturing April 30, 2014
|
|
|
36,055
|
|
|
|
|
731
|
|
|
Term Loan, 2.81%, Maturing April 30, 2014
|
|
|
721,104
|
|
|
|
Service Master Co.
|
|
45
|
|
|
Term Loan, 2.72%, Maturing July 24, 2014
|
|
|
44,517
|
|
|
|
|
454
|
|
|
Term Loan, 2.76%, Maturing July 24, 2014
|
|
|
447,019
|
|
|
|
US Investigations Services, Inc.
|
|
507
|
|
|
Term Loan, 3.06%, Maturing February 21, 2015
|
|
|
503,202
|
|
|
|
See Notes to
Consolidated Financial Statements.
6
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited) continued
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
|
|
|
|
Conglomerates (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Walter Industries, Inc.
|
|
450
|
|
|
Term Loan, 4.00%, Maturing April 2, 2018
|
|
$
|
454,472
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,705,817
|
|
|
|
|
|
|
|
Containers and Glass
Products 0.9%
|
|
Berry Plastics Corp.
|
|
524
|
|
|
Term Loan, 2.31%, Maturing April 3, 2015
|
|
$
|
505,801
|
|
|
|
Consolidated Container Co.
|
|
292
|
|
|
Term Loan, 2.44%, Maturing March 28, 2014
|
|
|
286,033
|
|
|
|
Crown Americas, Inc.
|
EUR
|
378
|
|
|
Term Loan, 2.65%, Maturing November 15, 2012
|
|
|
557,147
|
|
|
|
Graham Packaging Holdings Co.
|
|
769
|
|
|
Term Loan, 6.75%, Maturing April 5, 2014
|
|
|
777,191
|
|
|
|
Reynolds Group Holdings, Inc.
|
|
990
|
|
|
Term Loan, 4.25%, Maturing February 9, 2018
|
|
|
996,806
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,122,978
|
|
|
|
|
|
|
|
Cosmetics / Toiletries 0.7%
|
|
Alliance Boots Holdings, Ltd.
|
EUR
|
1,000
|
|
|
Term Loan, 4.20%, Maturing July 5, 2015
|
|
$
|
1,460,785
|
|
|
|
Bausch & Lomb, Inc.
|
|
114
|
|
|
Term Loan, 3.46%, Maturing April 24, 2015
|
|
|
113,748
|
|
|
|
|
467
|
|
|
Term Loan, 3.54%, Maturing April 24, 2015
|
|
|
467,889
|
|
|
|
Prestige Brands, Inc.
|
|
404
|
|
|
Term Loan, 4.76%, Maturing March 24, 2016
|
|
|
407,763
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,450,185
|
|
|
|
|
|
|
|
Drugs 0.2%
|
|
Pharmaceutical Holdings Corp.
|
|
13
|
|
|
Term Loan, 4.47%, Maturing January 30, 2012
|
|
$
|
12,812
|
|
|
|
Warner Chilcott Corp.
|
|
154
|
|
|
Term Loan, 4.25%, Maturing March 15, 2018
|
|
|
155,732
|
|
|
|
|
309
|
|
|
Term Loan, 4.25%, Maturing March 15, 2018
|
|
|
311,464
|
|
|
|
WC Luxco S.A.R.L.
|
|
212
|
|
|
Term Loan, 4.25%, Maturing March 15, 2018
|
|
|
214,132
|
|
|
|
|
|
|
|
|
|
|
|
$
|
694,140
|
|
|
|
|
|
|
|
Ecological Services and
Equipment 0.2%
|
|
Big Dumpster Merger Sub, Inc.
|
|
92
|
|
|
Term Loan, 2.47%, Maturing February 5, 2013
|
|
$
|
77,720
|
|
|
|
Sensus Metering Systems, Inc.
|
|
347
|
|
|
Term Loan, 7.00%, Maturing June 3, 2013
|
|
|
348,266
|
|
|
|
Wastequip, Inc.
|
|
377
|
|
|
Term Loan, 2.47%, Maturing February 5, 2013
|
|
|
319,736
|
|
|
|
|
|
|
|
|
|
|
|
$
|
745,722
|
|
|
|
|
|
|
|
Electronics / Electrical 1.8%
|
|
Aspect Software, Inc.
|
|
371
|
|
|
Term Loan, 6.25%, Maturing April 19, 2016
|
|
$
|
374,499
|
|
|
|
Edwards (Cayman Island II), Ltd.
|
|
224
|
|
|
Term Loan, 5.50%, Maturing May 31, 2016
|
|
|
225,279
|
|
|
|
Freescale Semiconductor, Inc.
|
|
939
|
|
|
Term Loan, 4.49%, Maturing December 1, 2016
|
|
|
940,455
|
|
|
|
Infor Enterprise Solutions Holdings
|
|
250
|
|
|
Term Loan, 5.71%, Maturing March 2, 2014
|
|
|
225,781
|
|
|
|
|
377
|
|
|
Term Loan, 5.97%, Maturing July 28, 2015
|
|
|
369,012
|
|
|
|
|
722
|
|
|
Term Loan, 5.97%, Maturing July 28, 2015
|
|
|
717,756
|
|
|
|
|
92
|
|
|
Term Loan - Second Lien, 6.46%, Maturing March 2, 2014
|
|
|
83,875
|
|
|
|
|
158
|
|
|
Term Loan - Second Lien, 6.46%, Maturing March 2, 2014
|
|
|
145,617
|
|
|
|
Network Solutions, LLC
|
|
467
|
|
|
Term Loan, 2.47%, Maturing March 7, 2014
|
|
|
461,415
|
|
|
|
NXP B.V.
|
|
550
|
|
|
Term Loan, 4.50%, Maturing March 7, 2017
|
|
|
556,531
|
|
|
|
Open Solutions, Inc.
|
|
312
|
|
|
Term Loan, 2.40%, Maturing January 23, 2014
|
|
|
279,681
|
|
|
|
Sensata Technologies Finance Co.
|
|
960
|
|
|
Term Loan, 2.02%, Maturing April 26, 2013
|
|
|
955,619
|
|
|
|
Spectrum Brands, Inc.
|
|
648
|
|
|
Term Loan, 5.01%, Maturing June 17, 2016
|
|
|
656,711
|
|
|
|
SS&C Technologies, Inc.
|
|
298
|
|
|
Term Loan, 2.29%, Maturing November 23, 2012
|
|
|
299,412
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,291,643
|
|
|
|
|
|
|
|
Equipment
Leasing 0.2%
|
|
Hertz Corp.
|
|
700
|
|
|
Term Loan, 3.75%, Maturing March 9, 2018
|
|
$
|
707,194
|
|
|
|
|
|
|
|
|
|
|
|
$
|
707,194
|
|
|
|
|
|
|
|
Financial
Intermediaries 0.9%
|
|
Citco III, Ltd.
|
|
635
|
|
|
Term Loan, 4.46%, Maturing June 30, 2014
|
|
$
|
634,603
|
|
|
|
HarbourVest Partners, LLC
|
|
261
|
|
|
Term Loan, 6.25%, Maturing December 14, 2016
|
|
|
262,929
|
|
|
|
See Notes to
Consolidated Financial Statements.
7
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited) continued
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
|
|
|
|
Financial
Intermediaries (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Interactive Data Corp.
|
|
450
|
|
|
Term Loan, 4.75%, Maturing February 12, 2018
|
|
$
|
453,620
|
|
|
|
Jupiter Asset Management Group
|
GBP
|
114
|
|
|
Term Loan, 4.57%, Maturing March 17, 2015
|
|
|
190,545
|
|
|
|
LPL Holdings, Inc.
|
|
113
|
|
|
Term Loan, 2.03%, Maturing June 28, 2013
|
|
|
113,453
|
|
|
|
|
357
|
|
|
Term Loan, 4.25%, Maturing June 25, 2015
|
|
|
358,900
|
|
|
|
MSCI, Inc.
|
|
690
|
|
|
Term Loan, 3.75%, Maturing March 14, 2017
|
|
|
697,523
|
|
|
|
Nuveen Investments, Inc.
|
|
231
|
|
|
Term Loan, 3.29%, Maturing November 13, 2014
|
|
|
224,203
|
|
|
|
|
269
|
|
|
Term Loan, 5.79%, Maturing May 12, 2017
|
|
|
270,745
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,206,521
|
|
|
|
|
|
|
|
Food Products 0.7%
|
|
Acosta, Inc.
|
|
250
|
|
|
Term Loan, 4.75%, Maturing March 1, 2018
|
|
$
|
252,083
|
|
|
|
Dole Food Company, Inc.
|
|
692
|
|
|
Term Loan, 5.22%, Maturing March 2, 2017
|
|
|
699,440
|
|
|
|
|
279
|
|
|
Term Loan, 5.50%, Maturing March 2, 2017
|
|
|
281,606
|
|
|
|
Pierre Foods, Inc.
|
|
274
|
|
|
Term Loan, 7.00%, Maturing September 30, 2016
|
|
|
276,076
|
|
|
|
Pinnacle Foods Finance, LLC
|
|
1,031
|
|
|
Term Loan, 2.74%, Maturing April 2, 2014
|
|
|
1,029,201
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,538,406
|
|
|
|
|
|
|
|
Food Service 2.3%
|
|
Aramark Corp.
|
|
43
|
|
|
Term Loan, 2.12%, Maturing January 27, 2014
|
|
$
|
42,417
|
|
|
|
|
529
|
|
|
Term Loan, 2.18%, Maturing January 27, 2014
|
|
|
526,533
|
|
|
|
GBP
|
527
|
|
|
Term Loan, 2.82%, Maturing January 27, 2014
|
|
|
859,856
|
|
|
|
|
77
|
|
|
Term Loan, 3.49%, Maturing July 26, 2016
|
|
|
77,041
|
|
|
|
|
1,168
|
|
|
Term Loan, 3.56%, Maturing July 26, 2016
|
|
|
1,171,467
|
|
|
|
Buffets, Inc.
|
|
34
|
|
|
Term Loan, 7.56%, Maturing April 22,
2015
(2)
|
|
|
25,837
|
|
|
|
|
297
|
|
|
Term Loan, 12.00%, Maturing April 21,
2015
(2)
|
|
|
270,044
|
|
|
|
Burger King Corp.
|
|
599
|
|
|
Term Loan, 4.50%, Maturing October 19, 2016
|
|
|
598,926
|
|
|
|
Del Monte Corp.
|
|
750
|
|
|
Term Loan, 4.50%, Maturing March 8, 2018
|
|
|
754,158
|
|
|
|
DineEquity, Inc.
|
|
321
|
|
|
Term Loan, 4.25%, Maturing October 19, 2017
|
|
|
325,744
|
|
|
|
Dunkin Brands, Inc.
|
|
549
|
|
|
Term Loan, 4.25%, Maturing November 23, 2017
|
|
|
553,467
|
|
|
|
JRD Holdings, Inc.
|
|
592
|
|
|
Term Loan, 2.47%, Maturing July 2, 2014
|
|
|
589,050
|
|
|
|
OSI Restaurant Partners, LLC
|
|
637
|
|
|
Term Loan, 2.50%, Maturing June 14, 2014
|
|
|
625,574
|
|
|
|
|
63
|
|
|
Term Loan, 3.29%, Maturing June 14, 2013
|
|
|
61,762
|
|
|
|
Selecta
|
EUR
|
741
|
|
|
Term Loan, 3.62%, Maturing June 28, 2015
|
|
|
1,003,203
|
|
|
|
U.S. Foodservice, Inc.
|
|
500
|
|
|
Term Loan, 2.71%, Maturing July 3, 2014
|
|
|
484,791
|
|
|
|
|
|
|
|
|
|
|
|
$
|
7,969,870
|
|
|
|
|
|
|
|
Food / Drug
Retailers 1.2%
|
|
General Nutrition Centers, Inc.
|
|
581
|
|
|
Term Loan, 4.25%, Maturing March 2, 2018
|
|
$
|
583,971
|
|
|
|
NBTY, Inc.
|
|
449
|
|
|
Term Loan, 4.25%, Maturing October 2, 2017
|
|
|
452,663
|
|
|
|
Rite Aid Corp.
|
|
952
|
|
|
Term Loan, 1.98%, Maturing June 4, 2014
|
|
|
919,297
|
|
|
|
|
413
|
|
|
Term Loan, 4.50%, Maturing February 28, 2018
|
|
|
412,118
|
|
|
|
Roundys Supermarkets, Inc.
|
|
1,144
|
|
|
Term Loan, 7.00%, Maturing November 3, 2013
|
|
|
1,148,965
|
|
|
|
Supervalu, Inc.
|
|
650
|
|
|
Term Loan, Maturing April 28,
2018
(3)
|
|
|
646,750
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,163,764
|
|
|
|
|
|
|
|
Forest
Products 0.5%
|
|
Georgia-Pacific Corp.
|
|
1,185
|
|
|
Term Loan, 2.31%, Maturing December 20, 2012
|
|
$
|
1,187,097
|
|
|
|
|
419
|
|
|
Term Loan, 3.56%, Maturing December 23, 2014
|
|
|
421,788
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,608,885
|
|
|
|
|
|
|
|
Health Care 4.9%
|
|
Ascend Learning
|
|
224
|
|
|
Term Loan, 7.75%, Maturing December 6, 2016
|
|
$
|
224,812
|
|
|
|
Aveta Holdings, LLC
|
|
128
|
|
|
Term Loan, 8.50%, Maturing April 14, 2015
|
|
|
128,668
|
|
|
|
|
128
|
|
|
Term Loan, 8.50%, Maturing April 14, 2015
|
|
|
128,668
|
|
|
|
Biomet, Inc.
|
|
748
|
|
|
Term Loan, 3.28%, Maturing March 25, 2015
|
|
|
748,016
|
|
|
|
EUR
|
338
|
|
|
Term Loan, 4.13%, Maturing March 25, 2015
|
|
|
500,839
|
|
|
|
Cardinal Health 409, Inc.
|
|
409
|
|
|
Term Loan, 2.46%, Maturing April 10, 2014
|
|
|
399,398
|
|
|
|
Carestream Health, Inc.
|
|
250
|
|
|
Term Loan, 5.00%, Maturing February 25, 2017
|
|
|
234,656
|
|
|
|
See Notes to
Consolidated Financial Statements.
8
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited) continued
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
|
|
|
|
Health Care (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Carl Zeiss Vision Holding GmbH
|
|
360
|
|
|
Term Loan, 1.74%, Maturing October 24, 2014
|
|
$
|
323,700
|
|
|
|
|
40
|
|
|
Term Loan, 4.00%, Maturing September 30, 2019
|
|
|
32,050
|
|
|
|
Community Health Systems, Inc.
|
|
71
|
|
|
Term Loan, 2.56%, Maturing July 25, 2014
|
|
|
68,925
|
|
|
|
|
1,370
|
|
|
Term Loan, 2.56%, Maturing July 25, 2014
|
|
|
1,339,214
|
|
|
|
|
688
|
|
|
Term Loan, 3.81%, Maturing January 25, 2017
|
|
|
678,634
|
|
|
|
Dako EQT Project Delphi
|
|
250
|
|
|
Term Loan - Second Lien, 4.05%, Maturing December 12,
2016
|
|
|
225,521
|
|
|
|
DaVita, Inc.
|
|
648
|
|
|
Term Loan, 4.50%, Maturing October 20, 2016
|
|
|
655,259
|
|
|
|
DJO Finance, LLC
|
|
160
|
|
|
Term Loan, 3.21%, Maturing May 20, 2014
|
|
|
159,153
|
|
|
|
Fenwal, Inc.
|
|
71
|
|
|
Term Loan, 2.56%, Maturing February 28, 2014
|
|
|
67,234
|
|
|
|
|
416
|
|
|
Term Loan, 2.56%, Maturing February 28, 2014
|
|
|
392,172
|
|
|
|
Grifols SA
|
|
450
|
|
|
Term Loan, Maturing November 23,
2016
(3)
|
|
|
454,990
|
|
|
|
HCA, Inc.
|
|
455
|
|
|
Term Loan, 2.56%, Maturing November 18, 2013
|
|
|
454,875
|
|
|
|
|
1,091
|
|
|
Term Loan, 3.56%, Maturing March 31, 2017
|
|
|
1,094,068
|
|
|
|
Health Management Associates, Inc.
|
|
1,011
|
|
|
Term Loan, 2.06%, Maturing February 28, 2014
|
|
|
997,915
|
|
|
|
Iasis Healthcare, LLC
|
|
325
|
|
|
Term Loan, Maturing May 17,
2018
(3)
|
|
|
323,375
|
|
|
|
IM U.S. Holdings, LLC
|
|
801
|
|
|
Term Loan, 2.23%, Maturing June 26, 2014
|
|
|
793,127
|
|
|
|
inVentiv Health, Inc.
|
|
496
|
|
|
Term Loan, 4.75%, Maturing August 14, 2016
|
|
|
499,978
|
|
|
|
Kindred Healthcare, Inc.
|
|
350
|
|
|
Term Loan, Maturing April 9,
2018
(3)
|
|
|
349,453
|
|
|
|
Mylan, Inc.
|
|
202
|
|
|
Term Loan, 3.56%, Maturing October 2, 2014
|
|
|
202,816
|
|
|
|
Nyco Holdings
|
EUR
|
290
|
|
|
Term Loan, 5.20%, Maturing December 29, 2014
|
|
|
429,840
|
|
|
|
EUR
|
290
|
|
|
Term Loan, 5.70%, Maturing December 29, 2015
|
|
|
429,734
|
|
|
|
P&F Capital S.A.R.L.
|
EUR
|
59
|
|
|
Term Loan, 3.42%, Maturing December 20, 2013
|
|
|
87,343
|
|
|
|
EUR
|
91
|
|
|
Term Loan, 3.42%, Maturing December 20, 2013
|
|
|
134,698
|
|
|
|
EUR
|
114
|
|
|
Term Loan, 3.42%, Maturing December 20, 2013
|
|
|
168,209
|
|
|
|
EUR
|
190
|
|
|
Term Loan, 3.42%, Maturing December 20, 2013
|
|
|
281,043
|
|
|
|
EUR
|
32
|
|
|
Term Loan, 4.17%, Maturing December 22, 2014
|
|
|
47,197
|
|
|
|
EUR
|
66
|
|
|
Term Loan, 4.17%, Maturing December 22, 2014
|
|
|
97,819
|
|
|
|
EUR
|
86
|
|
|
Term Loan, 4.17%, Maturing December 22, 2014
|
|
|
126,824
|
|
|
|
EUR
|
269
|
|
|
Term Loan, 4.17%, Maturing December 22, 2014
|
|
|
398,528
|
|
|
|
RadNet Management, Inc.
|
|
248
|
|
|
Term Loan, 5.75%, Maturing April 1, 2016
|
|
|
247,871
|
|
|
|
ReAble Therapeutics Finance, LLC
|
|
425
|
|
|
Term Loan, 2.22%, Maturing November 18, 2013
|
|
|
425,275
|
|
|
|
Select Medical Holdings Corp.
|
|
347
|
|
|
Term Loan, 4.06%, Maturing August 22, 2014
|
|
|
348,158
|
|
|
|
|
356
|
|
|
Term Loan, 4.08%, Maturing August 22, 2014
|
|
|
357,512
|
|
|
|
TriZetto Group, Inc. (The)
|
|
300
|
|
|
Term Loan, Maturing May 2,
2018
(3)
|
|
|
298,500
|
|
|
|
Vanguard Health Holding Co., LLC
|
|
744
|
|
|
Term Loan, 5.00%, Maturing January 29, 2016
|
|
|
748,111
|
|
|
|
VWR Funding, Inc.
|
|
931
|
|
|
Term Loan, 2.71%, Maturing June 30, 2014
|
|
|
917,467
|
|
|
|
|
|
|
|
|
|
|
|
$
|
17,021,645
|
|
|
|
|
|
|
|
Home
Furnishings 0.3%
|
|
National Bedding Co., LLC
|
|
976
|
|
|
Term Loan, 3.81%, Maturing November 28, 2013
|
|
$
|
978,929
|
|
|
|
Oreck Corp.
|
|
85
|
|
|
Term Loan - Second Lien, 3.81%, Maturing March 19,
2016
(4)
|
|
|
76,273
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,055,202
|
|
|
|
|
|
|
|
Industrial
Equipment 0.9%
|
|
Brand Energy and Infrastructure Services, Inc.
|
|
183
|
|
|
Term Loan, 3.56%, Maturing February 7, 2014
|
|
$
|
179,678
|
|
|
|
EPD Holdings, (Goodyear Engineering Products)
|
|
85
|
|
|
Term Loan, 2.72%, Maturing July 31, 2014
|
|
|
79,916
|
|
|
|
|
591
|
|
|
Term Loan, 2.72%, Maturing July 31, 2014
|
|
|
557,963
|
|
|
|
|
200
|
|
|
Term Loan - Second Lien, 5.96%, Maturing July 13, 2015
|
|
|
175,417
|
|
|
|
Generac Acquisition Corp.
|
|
252
|
|
|
Term Loan, 2.80%, Maturing November 11, 2013
|
|
|
251,726
|
|
|
|
Gleason Corp.
|
|
175
|
|
|
Term Loan, 2.01%, Maturing June 30, 2013
|
|
|
174,038
|
|
|
|
JMC Steel Group, Inc.
|
|
150
|
|
|
Term Loan, 4.75%, Maturing April 3, 2017
|
|
|
150,686
|
|
|
|
Pinafore, LLC
|
|
443
|
|
|
Term Loan, 4.25%, Maturing September 29, 2016
|
|
|
447,628
|
|
|
|
Polypore, Inc.
|
|
799
|
|
|
Term Loan, 2.22%, Maturing July 3, 2014
|
|
|
792,361
|
|
|
|
See Notes to
Consolidated Financial Statements.
9
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited) continued
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
|
|
|
|
Industrial
Equipment (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Sequa Corp.
|
|
397
|
|
|
Term Loan, 3.50%, Maturing December 3, 2014
|
|
$
|
394,450
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,203,863
|
|
|
|
|
|
|
|
Insurance 0.9%
|
|
Alliant Holdings I, Inc.
|
|
477
|
|
|
Term Loan, 3.31%, Maturing August 21, 2014
|
|
$
|
474,328
|
|
|
|
Applied Systems, Inc.
|
|
299
|
|
|
Term Loan, 5.50%, Maturing December 8, 2016
|
|
|
301,370
|
|
|
|
CCC Information Services Group, Inc.
|
|
250
|
|
|
Term Loan, 5.50%, Maturing November 11, 2015
|
|
|
251,717
|
|
|
|
Conseco, Inc.
|
|
260
|
|
|
Term Loan, 7.50%, Maturing September 30, 2016
|
|
|
262,600
|
|
|
|
Crawford & Company
|
|
328
|
|
|
Term Loan, 5.00%, Maturing October 30, 2013
|
|
|
330,491
|
|
|
|
Crump Group, Inc.
|
|
162
|
|
|
Term Loan, 3.22%, Maturing August 1, 2014
|
|
|
160,963
|
|
|
|
HUB International Holdings, Inc.
|
|
128
|
|
|
Term Loan, 2.81%, Maturing June 13, 2014
|
|
|
127,303
|
|
|
|
|
570
|
|
|
Term Loan, 2.81%, Maturing June 13, 2014
|
|
|
566,331
|
|
|
|
U.S.I. Holdings Corp.
|
|
705
|
|
|
Term Loan, 2.72%, Maturing May 5, 2014
|
|
|
698,090
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,173,193
|
|
|
|
|
|
|
|
Leisure
Goods / Activities / Movies 2.3%
|
|
AMC Entertainment, Inc.
|
|
1,939
|
|
|
Term Loan, 3.46%, Maturing December 16, 2016
|
|
$
|
1,942,254
|
|
|
|
Bombardier Recreational Products
|
|
522
|
|
|
Term Loan, 2.79%, Maturing June 28, 2013
|
|
|
518,406
|
|
|
|
Cinemark, Inc.
|
|
977
|
|
|
Term Loan, 3.52%, Maturing April 29, 2016
|
|
|
984,495
|
|
|
|
Miramax Film NY, LLC
|
|
189
|
|
|
Term Loan, 7.75%, Maturing May 20, 2016
|
|
|
191,596
|
|
|
|
National CineMedia, LLC
|
|
725
|
|
|
Term Loan, 1.81%, Maturing February 13, 2015
|
|
|
715,937
|
|
|
|
Regal Cinemas Corp.
|
|
1,222
|
|
|
Term Loan, 3.56%, Maturing August 23, 2017
|
|
|
1,226,515
|
|
|
|
Revolution Studios Distribution Co., LLC
|
|
277
|
|
|
Term Loan, 3.97%, Maturing December 21, 2014
|
|
|
206,011
|
|
|
|
|
225
|
|
|
Term Loan - Second Lien, 7.22%, Maturing June 21,
2015
(4)
|
|
|
72,000
|
|
|
|
SeaWorld Parks & Entertainment, Inc.
|
|
254
|
|
|
Term Loan, 2.96%, Maturing February 17, 2016
|
|
|
253,931
|
|
|
|
|
229
|
|
|
Term Loan, 4.00%, Maturing August 17, 2017
|
|
|
231,267
|
|
|
|
Six Flags Theme Parks, Inc.
|
|
605
|
|
|
Term Loan, 5.25%, Maturing June 30, 2016
|
|
|
610,629
|
|
|
|
Universal City Development Partners, Ltd.
|
|
601
|
|
|
Term Loan, 5.50%, Maturing November 6, 2014
|
|
|
607,133
|
|
|
|
Zuffa, LLC
|
|
481
|
|
|
Term Loan, 2.25%, Maturing June 19, 2015
|
|
|
473,830
|
|
|
|
|
|
|
|
|
|
|
|
$
|
8,034,004
|
|
|
|
|
|
|
|
Lodging and
Casinos 0.9%
|
|
Harrahs Operating Co.
|
|
403
|
|
|
Term Loan, 3.25%, Maturing January 28, 2015
|
|
$
|
378,885
|
|
|
|
|
1,564
|
|
|
Term Loan, 3.27%, Maturing January 28, 2015
|
|
|
1,469,981
|
|
|
|
Herbst Gaming, Inc.
|
|
411
|
|
|
Term Loan, 10.00%, Maturing December 31, 2015
|
|
|
428,563
|
|
|
|
Las Vegas Sands, LLC
|
|
107
|
|
|
Term Loan, 3.00%, Maturing November 23, 2016
|
|
|
105,725
|
|
|
|
|
531
|
|
|
Term Loan, 3.00%, Maturing November 23, 2016
|
|
|
522,849
|
|
|
|
VML US Finance, LLC
|
|
109
|
|
|
Term Loan, 4.72%, Maturing May 25, 2012
|
|
|
109,509
|
|
|
|
|
218
|
|
|
Term Loan, 4.72%, Maturing May 27, 2013
|
|
|
219,018
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,234,530
|
|
|
|
|
|
|
|
Nonferrous
Metals / Minerals 0.4%
|
|
Fairmount Minerals, Ltd.
|
|
575
|
|
|
Term Loan, 5.25%, Maturing March 1, 2017
|
|
$
|
578,863
|
|
|
|
Noranda Aluminum Acquisition
|
|
341
|
|
|
Term Loan, 1.96%, Maturing May 18, 2014
|
|
|
338,159
|
|
|
|
Novelis, Inc.
|
|
424
|
|
|
Term Loan, 4.00%, Maturing March 10, 2017
|
|
|
428,840
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,345,862
|
|
|
|
|
|
|
|
Oil and Gas 0.8%
|
|
CITGO Petroleum Corp.
|
|
571
|
|
|
Term Loan, 9.00%, Maturing June 23, 2017
|
|
$
|
600,767
|
|
|
|
Dynegy Holdings, Inc.
|
|
73
|
|
|
Term Loan, 4.03%, Maturing April 2, 2013
|
|
|
73,385
|
|
|
|
|
925
|
|
|
Term Loan, 4.03%, Maturing April 2, 2013
|
|
|
923,420
|
|
|
|
MEG Energy Corp.
|
|
250
|
|
|
Term Loan, 4.00%, Maturing March 16, 2018
|
|
|
252,630
|
|
|
|
Obsidian Natural Gas Trust
|
|
622
|
|
|
Term Loan, 7.00%, Maturing November 2, 2015
|
|
|
640,523
|
|
|
|
See Notes to
Consolidated Financial Statements.
10
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited) continued
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
|
|
|
|
Oil and Gas (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Sheridan Production Partners I, LLC
|
|
25
|
|
|
Term Loan, 6.50%, Maturing April 20, 2017
|
|
$
|
24,767
|
|
|
|
|
40
|
|
|
Term Loan, 6.50%, Maturing April 20, 2017
|
|
|
40,548
|
|
|
|
|
304
|
|
|
Term Loan, 6.50%, Maturing April 20, 2017
|
|
|
306,002
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,862,042
|
|
|
|
|
|
|
|
Publishing 1.7%
|
|
Cengage Learning, Inc.
|
|
485
|
|
|
Term Loan, 2.46%, Maturing July 3, 2014
|
|
$
|
467,674
|
|
|
|
GateHouse Media Operating, Inc.
|
|
307
|
|
|
Term Loan, 2.22%, Maturing August 28, 2014
|
|
|
135,207
|
|
|
|
|
731
|
|
|
Term Loan, 2.22%, Maturing August 28, 2014
|
|
|
321,472
|
|
|
|
Getty Images, Inc.
|
|
1,244
|
|
|
Term Loan, 5.25%, Maturing November 7, 2016
|
|
|
1,259,103
|
|
|
|
Laureate Education, Inc.
|
|
58
|
|
|
Term Loan, 3.52%, Maturing August 17, 2014
|
|
|
57,639
|
|
|
|
|
387
|
|
|
Term Loan, 3.52%, Maturing August 17, 2014
|
|
|
384,964
|
|
|
|
MediaNews Group, Inc.
|
|
32
|
|
|
Term Loan, 8.50%, Maturing March 19, 2014
|
|
|
32,195
|
|
|
|
Nielsen Finance, LLC
|
|
1,629
|
|
|
Term Loan, 2.23%, Maturing August 9, 2013
|
|
|
1,625,777
|
|
|
|
SGS International, Inc.
|
|
371
|
|
|
Term Loan, 3.96%, Maturing September 30, 2013
|
|
|
370,998
|
|
|
|
Xsys, Inc.
|
EUR
|
793
|
|
|
Term Loan, 5.78%, Maturing September 27, 2014
|
|
|
1,178,524
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,833,553
|
|
|
|
|
|
|
|
Radio and
Television 1.2%
|
|
Block Communications, Inc.
|
|
261
|
|
|
Term Loan, 2.21%, Maturing December 22, 2011
|
|
$
|
257,957
|
|
|
|
CMP KC, LLC
|
|
533
|
|
|
Term Loan, 6.46%, Maturing June 3,
2011
(2)(4)
|
|
|
98,631
|
|
|
|
CMP Susquehanna Corp.
|
|
580
|
|
|
Term Loan, 2.25%, Maturing May 5, 2013
|
|
|
573,169
|
|
|
|
Live Nation Worldwide, Inc.
|
|
520
|
|
|
Term Loan, 4.50%, Maturing November 7, 2016
|
|
|
522,833
|
|
|
|
Mission Broadcasting, Inc.
|
|
126
|
|
|
Term Loan, 5.00%, Maturing September 30, 2016
|
|
|
126,114
|
|
|
|
New Young Broadcasting Holding Co., Inc.
|
|
108
|
|
|
Term Loan, 8.00%, Maturing June 30, 2015
|
|
|
109,002
|
|
|
|
Nexstar Broadcasting, Inc.
|
|
197
|
|
|
Term Loan, 5.00%, Maturing September 30, 2016
|
|
|
197,255
|
|
|
|
Tyrol Acquisition 2 SAS
|
EUR
|
250
|
|
|
Term Loan, 3.20%, Maturing January 30, 2015
|
|
|
336,576
|
|
|
|
EUR
|
250
|
|
|
Term Loan, 3.45%, Maturing January 29, 2016
|
|
|
336,576
|
|
|
|
Univision Communications, Inc.
|
|
667
|
|
|
Term Loan, 2.21%, Maturing September 29, 2014
|
|
|
653,832
|
|
|
|
|
667
|
|
|
Term Loan, 4.46%, Maturing March 31, 2017
|
|
|
653,082
|
|
|
|
Weather Channel
|
|
269
|
|
|
Term Loan, 4.25%, Maturing February 13, 2017
|
|
|
272,439
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,137,466
|
|
|
|
|
|
|
|
Retailers (Except Food and
Drug) 1.5%
|
|
Amscan Holdings, Inc.
|
|
323
|
|
|
Term Loan, 6.75%, Maturing December 4, 2017
|
|
$
|
326,688
|
|
|
|
Dollar General Corp.
|
|
500
|
|
|
Term Loan, 2.97%, Maturing July 7, 2014
|
|
|
500,438
|
|
|
|
Harbor Freight Tools USA, Inc.
|
|
374
|
|
|
Term Loan, 6.50%, Maturing December 22, 2017
|
|
|
383,414
|
|
|
|
J Crew Operating Corp.
|
|
350
|
|
|
Term Loan, 4.75%, Maturing March 7, 2018
|
|
|
349,811
|
|
|
|
Jo-Ann Stores, Inc.
|
|
350
|
|
|
Term Loan, 4.75%, Maturing March 22, 2018
|
|
|
350,438
|
|
|
|
Michaels Stores, Inc.
|
|
463
|
|
|
Term Loan, 2.58%, Maturing October 31, 2013
|
|
|
459,525
|
|
|
|
Neiman Marcus Group, Inc.
|
|
191
|
|
|
Term Loan, 4.31%, Maturing April 6, 2016
|
|
|
191,221
|
|
|
|
Orbitz Worldwide, Inc.
|
|
764
|
|
|
Term Loan, 3.25%, Maturing July 25, 2014
|
|
|
727,343
|
|
|
|
PETCO Animal Supplies, Inc.
|
|
248
|
|
|
Term Loan, 4.50%, Maturing November 24, 2017
|
|
|
250,001
|
|
|
|
Pilot Travel Centers, LLC
|
|
350
|
|
|
Term Loan, 4.25%, Maturing March 30, 2018
|
|
|
352,844
|
|
|
|
Rent-A-Center, Inc.
|
|
1
|
|
|
Term Loan, 1.97%, Maturing June 30, 2012
|
|
|
893
|
|
|
|
|
214
|
|
|
Term Loan, 3.31%, Maturing March 31, 2015
|
|
|
214,482
|
|
|
|
Savers, Inc.
|
|
225
|
|
|
Term Loan, 4.25%, Maturing March 3, 2017
|
|
|
226,734
|
|
|
|
Visant Holding Corp.
|
|
274
|
|
|
Term Loan, 5.25%, Maturing December 31, 2016
|
|
|
275,991
|
|
|
|
Yankee Candle Company, Inc. (The)
|
|
531
|
|
|
Term Loan, 2.22%, Maturing February 6, 2014
|
|
|
530,595
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,140,418
|
|
|
|
|
|
|
See Notes to
Consolidated Financial Statements.
11
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited) continued
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
|
|
|
|
Steel 0.1%
|
|
Niagara Corp.
|
|
200
|
|
|
Term Loan, 10.50%, Maturing June 29,
2014
(2)(4)
|
|
$
|
190,044
|
|
|
|
|
|
|
|
|
|
|
|
$
|
190,044
|
|
|
|
|
|
|
|
Surface
Transport 0.1%
|
|
Swift Transportation Co., Inc.
|
|
448
|
|
|
Term Loan, 6.00%, Maturing December 21, 2016
|
|
$
|
453,787
|
|
|
|
|
|
|
|
|
|
|
|
$
|
453,787
|
|
|
|
|
|
|
|
Telecommunications 2.6%
|
|
Alaska Communications Systems Holdings, Inc.
|
|
374
|
|
|
Term Loan, 5.50%, Maturing October 21, 2016
|
|
$
|
376,354
|
|
|
|
Asurion Corp.
|
|
412
|
|
|
Term Loan, 3.25%, Maturing July 3, 2014
|
|
|
410,646
|
|
|
|
|
270
|
|
|
Term Loan, 6.75%, Maturing March 31, 2015
|
|
|
274,353
|
|
|
|
BCM Luxembourg, Ltd.
|
EUR
|
368
|
|
|
Term Loan, 3.08%, Maturing September 30, 2014
|
|
|
501,091
|
|
|
|
EUR
|
369
|
|
|
Term Loan, 3.33%, Maturing September 30, 2015
|
|
|
501,163
|
|
|
|
EUR
|
500
|
|
|
Term Loan - Second Lien, 5.45%, Maturing March 31, 2016
|
|
|
505,237
|
|
|
|
CommScope, Inc.
|
|
400
|
|
|
Term Loan, 5.00%, Maturing January 14, 2018
|
|
|
404,583
|
|
|
|
Intelsat Jackson Holdings SA
|
|
2,150
|
|
|
Term Loan, 5.25%, Maturing April 2, 2018
|
|
|
2,174,020
|
|
|
|
IPC Systems, Inc.
|
GBP
|
241
|
|
|
Term Loan, 3.07%, Maturing May 31, 2014
|
|
|
397,480
|
|
|
|
Macquarie UK Broadcast Ventures, Ltd.
|
GBP
|
219
|
|
|
Term Loan, 2.88%, Maturing December 1, 2014
|
|
|
339,995
|
|
|
|
MetroPCS Wireless
|
|
399
|
|
|
Term Loan, 4.00%, Maturing March 15, 2018
|
|
|
400,434
|
|
|
|
Syniverse Technologies, Inc.
|
|
299
|
|
|
Term Loan, 5.25%, Maturing December 21, 2017
|
|
|
302,679
|
|
|
|
Telesat Canada, Inc.
|
|
39
|
|
|
Term Loan, 3.22%, Maturing October 31, 2014
|
|
|
39,071
|
|
|
|
|
455
|
|
|
Term Loan, 3.22%, Maturing October 31, 2014
|
|
|
454,862
|
|
|
|
Wind Telecomunicazioni SpA
|
EUR
|
750
|
|
|
Term Loan, Maturing December 15,
2017
(3)
|
|
|
1,114,227
|
|
|
|
Windstream Corp.
|
|
845
|
|
|
Term Loan, 3.02%, Maturing December 17, 2015
|
|
|
849,366
|
|
|
|
|
|
|
|
|
|
|
|
$
|
9,045,561
|
|
|
|
|
|
|
|
Utilities 0.9%
|
|
Calpine Corp.
|
|
550
|
|
|
Term Loan, 4.50%, Maturing April 2, 2018
|
|
$
|
555,804
|
|
|
|
NRG Energy, Inc.
|
|
0
|
|
|
Term Loan, 2.06%, Maturing February 1,
2013
(5)
|
|
|
213
|
|
|
|
|
100
|
|
|
Term Loan, 2.06%, Maturing February 1, 2013
|
|
|
99,425
|
|
|
|
|
660
|
|
|
Term Loan, 3.50%, Maturing August 31, 2015
|
|
|
666,218
|
|
|
|
|
556
|
|
|
Term Loan, 3.56%, Maturing August 31, 2015
|
|
|
560,434
|
|
|
|
TXU Texas Competitive Electric Holdings Co., LLC
|
|
1,351
|
|
|
Term Loan, 4.74%, Maturing October 10, 2017
|
|
|
1,084,889
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,966,983
|
|
|
|
|
|
|
|
|
Total Senior Floating-Rate Interests
|
|
|
(identified cost $149,595,551)
|
|
$
|
152,875,743
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations 5.7%
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
|
|
|
|
Federal Home Loan Mortgage Corp.
:
|
$
|
3,960
|
|
|
Series 2113, Class QG, 6.00%, 1/15/29
|
|
$
|
4,310,993
|
|
|
|
|
2,296
|
|
|
Series 2167, Class BZ, 7.00%, 6/15/29
|
|
|
2,446,791
|
|
|
|
|
2,975
|
|
|
Series 2182, Class ZB, 8.00%, 9/15/29
|
|
|
3,306,277
|
|
|
|
|
|
|
|
|
|
|
|
$
|
10,064,061
|
|
|
|
|
|
|
Federal National Mortgage Association
:
|
$
|
144
|
|
|
Series 1989-89, Class H, 9.00%, 11/25/19
|
|
$
|
167,225
|
|
|
|
|
410
|
|
|
Series 1991-122, Class N, 7.50%, 9/25/21
|
|
|
464,730
|
|
|
|
|
3,410
|
|
|
Series 1993-84, Class M, 7.50%, 6/25/23
|
|
|
3,903,009
|
|
|
|
|
1,199
|
|
|
Series 1994-42, Class K, 6.50%, 4/25/24
|
|
|
1,342,681
|
|
|
|
|
1,040
|
|
|
Series 1997-28, Class ZA, 7.50%, 4/20/27
|
|
|
1,209,310
|
|
|
|
|
943
|
|
|
Series 1997-38, Class N, 8.00%, 5/20/27
|
|
|
1,106,551
|
|
|
|
|
1,407
|
|
|
Series G-33, Class PT, 7.00%, 10/25/21
|
|
|
1,563,477
|
|
|
|
|
|
|
|
|
|
|
|
$
|
9,756,983
|
|
|
|
|
|
|
|
|
Total Collateralized Mortgage
Obligations
|
|
|
(identified cost $18,676,194)
|
|
$
|
19,821,044
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities 2.6%
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
|
|
|
|
$
|
595
|
|
|
CSFB, Series 2004-C3, Class A5,
5.113%, 7/15/36
(6)
|
|
$
|
640,215
|
|
|
|
|
835
|
|
|
CSFB, Series 2003-C3, Class D, 4.131%, 5/15/38
|
|
|
846,636
|
|
|
|
|
160
|
|
|
GCCFC, Series 2003-C1, Class D,
4.29%, 7/5/35
(7)
|
|
|
164,578
|
|
|
|
|
1,250
|
|
|
GECMC, Series 2004-C3, Class A4,
5.189%, 7/10/39
(6)
|
|
|
1,349,514
|
|
|
|
See Notes to
Consolidated Financial Statements.
12
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited) continued
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
|
|
|
|
$
|
1,250
|
|
|
GSMS, Series 2004-GG2, Class A6,
5.396%, 8/10/38
(6)
|
|
$
|
1,357,006
|
|
|
|
|
500
|
|
|
JPMCC, Series 2010-C2, Class C,
5.715%, 11/15/43
(6)(7)
|
|
|
520,110
|
|
|
|
|
1,000
|
|
|
MLMT, Series 2004-BPC1, Class A4,
4.724%, 10/12/41
(6)
|
|
|
1,052,972
|
|
|
|
|
500
|
|
|
MSC, Series 2003-IQ6, Class A4, 4.97%, 12/15/41
|
|
|
534,814
|
|
|
|
|
675
|
|
|
RBSCF, Series 2010-MB1, Class C,
4.824%, 4/15/24
(6)(7)
|
|
|
705,546
|
|
|
|
|
1,225
|
|
|
WBCMT, Series 2004-C12, Class A4,
5.484%, 7/15/41
(6)
|
|
|
1,329,640
|
|
|
|
|
500
|
|
|
WFCM, Series 2010-C1, Class C,
5.776%, 11/15/43
(6)(7)
|
|
|
524,235
|
|
|
|
|
|
|
|
|
Total Commercial Mortgage-Backed
Securities
|
|
|
(identified cost $8,107,215)
|
|
$
|
9,025,266
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage Pass-Throughs 36.1%
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
|
|
|
|
Federal Home Loan Mortgage Corp.:
|
$
|
5,661
|
|
|
2.998%, with maturity at
2035
(8)
|
|
$
|
5,907,293
|
|
|
|
|
7,749
|
|
|
5.00%, with maturity at
2019
(9)
|
|
|
8,301,025
|
|
|
|
|
6,172
|
|
|
6.00%, with various maturities to 2029
|
|
|
6,854,371
|
|
|
|
|
1,805
|
|
|
6.15%, with maturity at 2027
|
|
|
2,005,376
|
|
|
|
|
3,752
|
|
|
6.50%, with maturity at 2019
|
|
|
4,187,003
|
|
|
|
|
10,500
|
|
|
7.00%, with various maturities to 2035
|
|
|
12,002,163
|
|
|
|
|
4,400
|
|
|
7.50%, with various maturities to 2035
|
|
|
5,143,366
|
|
|
|
|
5,457
|
|
|
8.00%, with various maturities to 2032
|
|
|
6,538,932
|
|
|
|
|
4,707
|
|
|
8.50%, with various maturities to 2031
|
|
|
5,693,637
|
|
|
|
|
439
|
|
|
9.00%, with maturity at 2031
|
|
|
545,169
|
|
|
|
|
332
|
|
|
9.50%, with various maturities to 2022
|
|
|
386,973
|
|
|
|
|
579
|
|
|
11.50%, with maturity at 2019
|
|
|
612,584
|
|
|
|
|
|
|
|
|
|
|
|
$
|
58,177,892
|
|
|
|
|
|
|
Federal National Mortgage Association:
|
$
|
3,134
|
|
|
5.50%, with various maturities to 2029
|
|
$
|
3,425,432
|
|
|
|
|
5,013
|
|
|
6.00%, with maturity at 2023
|
|
|
5,541,929
|
|
|
|
|
2,693
|
|
|
6.324%, with maturity at
2032
(8)
|
|
|
2,916,687
|
|
|
|
|
4,359
|
|
|
6.50%, with maturity at 2018
|
|
|
4,795,516
|
|
|
|
|
13,583
|
|
|
7.00%, with various maturities to
2033
(9)
|
|
|
15,466,555
|
|
|
|
|
10,441
|
|
|
7.50%, with various maturities to 2031
|
|
|
12,247,678
|
|
|
|
|
2,829
|
|
|
8.00%, with various maturities to 2029
|
|
|
3,324,557
|
|
|
|
|
675
|
|
|
8.50%, with various maturities to 2027
|
|
|
800,478
|
|
|
|
|
1,401
|
|
|
9.00%, with various maturities to 2029
|
|
|
1,698,144
|
|
|
|
|
23
|
|
|
9.50%, with maturity at 2014
|
|
|
24,812
|
|
|
|
|
1,107
|
|
|
10.00%, with various maturities to 2031
|
|
|
1,300,098
|
|
|
|
|
|
|
|
|
|
|
|
$
|
51,541,886
|
|
|
|
|
|
Government National Mortgage Association:
|
$
|
4,640
|
|
|
7.50%, with maturity at 2025
|
|
$
|
5,428,604
|
|
|
|
|
5,033
|
|
|
8.00%, with various maturities to 2027
|
|
|
6,041,834
|
|
|
|
|
2,556
|
|
|
9.00%, with various maturities to 2026
|
|
|
3,180,652
|
|
|
|
|
399
|
|
|
9.50%, with maturity at 2025
|
|
|
475,794
|
|
|
|
|
451
|
|
|
11.00%, with maturity at 2018
|
|
|
496,786
|
|
|
|
|
|
|
|
|
|
|
|
$
|
15,623,670
|
|
|
|
|
|
|
|
|
Total Mortgage Pass-Throughs
|
|
|
(identified cost $116,912,300)
|
|
$
|
125,343,448
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities 0.1%
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
|
|
|
|
$
|
500
|
|
|
Centurion CDO 9 Ltd., Series 2005-9A, Class D1,
5.026%, 7/17/19
(10)
|
|
$
|
384,983
|
|
|
|
|
|
|
|
|
Total Asset-Backed Securities
|
|
|
(identified cost $500,000)
|
|
$
|
384,983
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds & Notes 0.5%
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
|
|
|
|
|
Building and
Development 0.1%
|
|
Grohe Holding GmbH, Variable Rate
|
EUR
|
394
|
|
|
4.202%, 1/15/14
(11)
|
|
$
|
583,573
|
|
|
|
|
|
|
|
|
|
|
|
$
|
583,573
|
|
|
|
|
|
|
|
Utilities 0.4%
|
|
Calpine Corp., Sr. Notes
|
|
575
|
|
|
7.50%, 2/15/21
(7)
|
|
$
|
610,937
|
|
|
|
|
675
|
|
|
7.875%, 1/15/23
(7)
|
|
|
719,719
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,330,656
|
|
|
|
|
|
|
|
|
Total Corporate Bonds & Notes
|
|
|
(identified cost $1,759,540)
|
|
$
|
1,914,229
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to
Consolidated Financial Statements.
13
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited) continued
|
|
|
|
|
|
|
|
|
|
|
Foreign Corporate Bonds & Notes 0.8%
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
|
|
|
|
Chile 0.8%
|
|
JPMorgan Chilean Inflation Linked Note
|
$
|
2,421
|
|
|
3.80%,
11/17/15
(12)
|
|
$
|
2,789,092
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Chile
|
|
$
|
2,789,092
|
|
|
|
|
|
|
|
|
Total Foreign Corporate Bonds
& Notes
|
|
|
(identified cost $2,000,000)
|
|
$
|
2,789,092
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Government Bonds 15.7%
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
|
|
|
|
|
Bermuda 0.8%
|
|
|
2,600
|
|
|
Government of Bermuda,
5.603%, 7/20/20
(7)
|
|
$
|
2,768,735
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Bermuda
|
|
$
|
2,768,735
|
|
|
|
|
|
|
|
Brazil 0.6%
|
|
BRL
|
3,389
|
|
|
Nota Do Tesouro Nacional,
6.00%, 5/15/15
(12)
|
|
$
|
2,110,679
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Brazil
|
|
$
|
2,110,679
|
|
|
|
|
|
|
|
Chile 0.8%
|
|
CLP
|
1,280,000
|
|
|
Government of Chile, 6.00%, 3/1/18
|
|
$
|
2,750,089
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Chile
|
|
$
|
2,750,089
|
|
|
|
|
|
|
|
Colombia 0.7%
|
|
COP
|
1,751,700
|
|
|
Titulos De Tesoreria B, 9.25%, 8/15/12
|
|
$
|
1,046,884
|
|
|
|
COP
|
2,430,000
|
|
|
Titulos De Tesoreria B, 11.00%, 5/18/11
|
|
|
1,382,227
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Colombia
|
|
$
|
2,429,111
|
|
|
|
|
|
|
|
Congo 0.4%
|
|
|
2,270
|
|
|
Republic of Congo, 3.00%, 6/30/29
|
|
$
|
1,441,164
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Congo
|
|
$
|
1,441,164
|
|
|
|
|
|
|
|
Dominican
Republic 1.2%
|
|
DOP
|
31,000
|
|
|
Dominican Republic Bonos Internos Total Return
Linked Bond (Citibank, N.A.),
13.00%, 2/25/13
(13)
|
|
$
|
832,464
|
|
|
|
DOP
|
24,000
|
|
|
Dominican Republic Bonos Internos Total Return
Linked Bond (Citibank, N.A.),
15.00%, 3/12/12
(13)
|
|
|
652,520
|
|
|
|
DOP
|
94,600
|
|
|
Dominican Republic Bonos Internos Total Return
Linked Bond (Citibank, N.A.),
16.00%, 7/10/20
(13)
|
|
|
2,579,245
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Dominican Republic
|
|
$
|
4,064,229
|
|
|
|
|
|
|
|
Israel 0.8%
|
|
ILS
|
2,481
|
|
|
Israel Government Bond,
3.00%, 10/31/19
(12)
|
|
$
|
774,474
|
|
|
|
ILS
|
6,101
|
|
|
Israel Government Bond,
5.00%, 4/30/15
(12)
|
|
|
2,054,794
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Israel
|
|
$
|
2,829,268
|
|
|
|
|
|
|
|
Macedonia 0.7%
|
|
EUR
|
1,716
|
|
|
Republic of Macedonia, 4.625%, 12/8/15
|
|
$
|
2,424,738
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Macedonia
|
|
$
|
2,424,738
|
|
|
|
|
|
|
|
Philippines 0.6%
|
|
PHP
|
98,000
|
|
|
Philippine Government International Bond, 6.25%, 1/14/36
|
|
$
|
2,214,770
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Philippines
|
|
$
|
2,214,770
|
|
|
|
|
|
|
|
Poland 0.9%
|
|
PLN
|
7,737
|
|
|
Poland Government Bond,
3.00%, 8/24/16
(12)
|
|
$
|
3,003,471
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Poland
|
|
$
|
3,003,471
|
|
|
|
|
|
|
|
Serbia 1.2%
|
|
RSD
|
115,840
|
|
|
Serbia Treasury Bill, 0.00%, 8/9/12
|
|
$
|
1,484,010
|
|
|
|
RSD
|
194,870
|
|
|
Serbia Treasury Bill, 0.00%, 9/6/12
|
|
|
2,473,862
|
|
|
|
RSD
|
30,290
|
|
|
Serbia Treasury Bill, 0.00%, 4/25/13
|
|
|
357,087
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Serbia
|
|
$
|
4,314,959
|
|
|
|
|
|
|
|
South Africa 3.5%
|
|
ZAR
|
13,809
|
|
|
Republic of South Africa,
2.50%, 1/31/17
(12)
|
|
$
|
2,189,336
|
|
|
|
ZAR
|
15,058
|
|
|
Republic of South Africa,
2.60%, 3/31/28
(12)
|
|
|
2,265,196
|
|
|
|
ZAR
|
2,998
|
|
|
Republic of South Africa,
2.75%, 1/31/22
(12)
|
|
|
459,975
|
|
|
|
ZAR
|
2,693
|
|
|
Republic of South Africa,
5.50%, 12/7/23
(12)
|
|
|
536,453
|
|
|
|
|
5,854
|
|
|
Republic of South Africa, 6.50%, 6/2/14
|
|
|
6,556,480
|
|
|
|
|
|
|
|
|
|
|
|
|
Total South Africa
|
|
$
|
12,007,440
|
|
|
|
|
|
|
See Notes to
Consolidated Financial Statements.
14
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited) continued
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
|
|
|
|
Taiwan 0.8%
|
|
TWD
|
50,000
|
|
|
Taiwan Government Bond, 0.25%, 10/21/11
|
|
$
|
1,744,397
|
|
|
|
TWD
|
28,300
|
|
|
Taiwan Government Bond, 0.25%, 2/10/12
|
|
|
986,190
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Taiwan
|
|
$
|
2,730,587
|
|
|
|
|
|
|
|
Turkey 1.0%
|
|
TRY
|
5,366
|
|
|
Turkey Government Bond,
3.00%, 1/6/21
(12)
|
|
$
|
3,596,844
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Turkey
|
|
$
|
3,596,844
|
|
|
|
|
|
|
|
Uruguay 1.0%
|
|
UYU
|
53,432
|
|
|
Republic of Uruguay,
5.00%, 9/14/18
(12)
|
|
$
|
3,395,865
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Uruguay
|
|
$
|
3,395,865
|
|
|
|
|
|
|
|
Venezuela 0.7%
|
|
|
3,383
|
|
|
Bolivarian Republic of Venezuela,
7.00%, 3/31/38
(11)
|
|
$
|
1,936,767
|
|
|
|
|
650
|
|
|
Bolivarian Republic of Venezuela,
9.25%, 5/7/28
(11)
|
|
|
442,975
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Venezuela
|
|
$
|
2,379,742
|
|
|
|
|
|
|
|
|
Total Foreign Government Bonds
|
|
|
(identified cost $49,129,551)
|
|
$
|
54,461,691
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks 1.3%
|
|
Shares
|
|
|
Security
|
|
Value
|
|
|
|
|
|
|
6,477
|
|
|
Buffets,
Inc.
(4)(14)
|
|
$
|
26,718
|
|
|
|
|
8,898
|
|
|
Dayco Products,
LLC
(14)(15)
|
|
|
502,737
|
|
|
|
|
234
|
|
|
Euramax International,
Inc.
(4)(14)(15)
|
|
|
67,773
|
|
|
|
|
30,203
|
|
|
Hayes Lemmerz International,
Inc.
(4)(14)(15)
|
|
|
1,781,977
|
|
|
|
|
23,498
|
|
|
Herbst Gaming,
Inc.
(4)(14)(15)
|
|
|
109,501
|
|
|
|
|
1,357
|
|
|
Ion Media Networks,
Inc.
(4)(14)(15)
|
|
|
848,125
|
|
|
|
|
3,419
|
|
|
KNIA Holdings,
Inc.
(4)(14)(15)
|
|
|
44,725
|
|
|
|
|
3,023
|
|
|
MediaNews Group,
Inc.
(4)(14)(15)
|
|
|
84,644
|
|
|
|
|
19,828
|
|
|
Metro-Goldwyn-Mayer Holdings,
Inc.
(14)(15)
|
|
|
450,260
|
|
|
|
|
178
|
|
|
New Young Broadcasting Holding Co.,
Inc.
(14)(15)
|
|
|
441,663
|
|
|
|
|
1,510
|
|
|
Oreck
Corp.
(4)(14)(15)
|
|
|
102,272
|
|
|
|
|
1,346
|
|
|
SuperMedia,
Inc.
(14)
|
|
|
6,919
|
|
|
|
|
154
|
|
|
United Subcontractors,
Inc.
(4)(14)(15)
|
|
|
15,586
|
|
|
|
|
|
|
|
|
Total Common Stocks
|
|
|
(identified cost $1,820,645)
|
|
$
|
4,482,900
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Warrants 0.0%
|
|
Shares
|
|
|
Security
|
|
Value
|
|
|
|
|
|
|
United States 0.0%
|
|
|
1,795
|
|
|
Oriental Trading Co., Inc., Expires
2/11/16
(4)(14)(15)
|
|
$
|
0
|
|
|
|
|
1,636
|
|
|
Oriental Trading Co., Inc., Expires
2/11/16
(4)(14)(15)
|
|
|
0
|
|
|
|
|
|
|
|
|
Total Warrants
|
|
|
(identified cost $0)
|
|
$
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Precious Metals 2.2%
|
|
Description
|
|
Troy Ounces
|
|
|
Value
|
|
|
|
|
|
Gold
(14)
|
|
|
1,983
|
|
|
$
|
3,098,629
|
|
|
|
Platinum
(14)
|
|
|
2,364
|
|
|
|
4,424,630
|
|
|
|
|
|
|
|
|
Total Precious Metals
|
|
|
(identified cost $6,775,524)
|
|
$
|
7,523,259
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency Options Purchased
0.0%
(16)
|
|
|
|
Principal Amount
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of Contracts
|
|
|
Strike
|
|
|
Expiration
|
|
|
|
|
|
|
Description
|
|
(000s omitted)
|
|
|
Price
|
|
|
Date
|
|
|
Value
|
|
|
|
|
|
Euro Put Option
|
|
EUR
|
11,837
|
|
|
E
|
UR 1.17
|
|
|
|
5/3/12
|
|
|
$
|
111,699
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Currency Options Purchased
|
|
|
|
|
|
|
(identified cost $540,846)
|
|
$
|
111,699
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put Options Purchased
0.0%
(16)
|
|
|
|
Number of
|
|
|
Strike
|
|
|
Expiration
|
|
|
|
|
|
|
Description
|
|
Contracts
|
|
|
Price
|
|
|
Date
|
|
|
Value
|
|
|
|
|
|
Light Sweet Crude Oil Future 12/11
|
|
|
5
|
|
|
$
|
80
|
|
|
|
11/15/11
|
|
|
$
|
4,400
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Put Options Purchased
|
|
|
|
|
|
|
(identified cost $34,750)
|
|
$
|
4,400
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Investments 25.8%
|
|
Foreign Government Securities 24.2%
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
|
|
|
|
|
Brazil 0.3%
|
|
BRL
|
1,903
|
|
|
Letras Do Tesouro Nacional, 0.00%, 7/1/11
|
|
$
|
1,185,607
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Brazil
|
|
$
|
1,185,607
|
|
|
|
|
|
|
See Notes to
Consolidated Financial Statements.
15
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited) continued
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
|
|
|
|
Croatia 2.2%
|
|
EUR
|
2,400
|
|
|
Croatia Treasury Bill, 0.00%, 6/2/11
|
|
$
|
3,549,247
|
|
|
|
EUR
|
600
|
|
|
Croatia Treasury Bill, 0.00%, 8/4/11
|
|
|
883,580
|
|
|
|
EUR
|
1,355
|
|
|
Croatia Treasury Bill, 0.00%, 8/25/11
|
|
|
1,991,988
|
|
|
|
EUR
|
898
|
|
|
Croatia Treasury Bill, 0.00%, 9/8/11
|
|
|
1,318,586
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Croatia
|
|
$
|
7,743,401
|
|
|
|
|
|
|
|
Georgia 0.2%
|
|
|
775
|
|
|
Bank of Georgia Promissory Note, 9.00%, 12/7/11
|
|
$
|
775,000
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Georgia
|
|
$
|
775,000
|
|
|
|
|
|
|
|
Ghana 0.3%
|
|
GHS
|
1,541
|
|
|
Ghana Government Bond, 14.47%, 12/15/11
|
|
$
|
1,046,702
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Ghana
|
|
$
|
1,046,702
|
|
|
|
|
|
|
|
Iceland 1.1%
|
|
ISK
|
229,707
|
|
|
Iceland Treasury Bill, 0.00%, 5/16/11
|
|
$
|
1,756,428
|
|
|
|
ISK
|
269,911
|
|
|
Iceland Treasury Bill, 0.00%, 6/15/11
|
|
|
2,058,806
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Iceland
|
|
$
|
3,815,234
|
|
|
|
|
|
|
|
Indonesia 0.7%
|
|
IDR
|
2,276,000
|
|
|
Indonesia Treasury Bill, 0.00%, 6/23/11
|
|
$
|
263,475
|
|
|
|
IDR
|
5,662,000
|
|
|
Indonesia Treasury Bill, 0.00%, 7/6/11
|
|
|
654,294
|
|
|
|
IDR
|
6,712,000
|
|
|
Indonesia Treasury Bill, 0.00%, 7/7/11
|
|
|
776,902
|
|
|
|
IDR
|
5,088,000
|
|
|
Indonesia Treasury Bill, 0.00%, 7/20/11
|
|
|
587,504
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Indonesia
|
|
$
|
2,282,175
|
|
|
|
|
|
|
|
Israel 5.4%
|
|
ILS
|
8,362
|
|
|
Israel Treasury Bill, 0.00%, 6/1/11
|
|
$
|
2,467,762
|
|
|
|
ILS
|
15,577
|
|
|
Israel Treasury Bill, 0.00%, 8/3/11
|
|
|
4,570,504
|
|
|
|
ILS
|
21,288
|
|
|
Israel Treasury Bill, 0.00%, 9/7/11
|
|
|
6,235,213
|
|
|
|
ILS
|
13,228
|
|
|
Israel Treasury Bill, 0.00%, 10/5/11
|
|
|
3,859,562
|
|
|
|
ILS
|
5,500
|
|
|
Israel Treasury Bill, 0.00%, 11/2/11
|
|
|
1,600,574
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Israel
|
|
$
|
18,733,615
|
|
|
|
|
|
|
|
Kazakhstan 2.4%
|
|
KZT
|
145,969
|
|
|
Kazakhstan National Bank, 0.00%, 5/27/11
|
|
$
|
1,000,498
|
|
|
|
KZT
|
22,160
|
|
|
Kazakhstan National Bank, 0.00%, 6/3/11
|
|
|
151,866
|
|
|
|
KZT
|
99,541
|
|
|
Kazakhstan National Bank, 0.00%, 6/10/11
|
|
|
682,061
|
|
|
|
KZT
|
101,011
|
|
|
Kazakhstan National Bank, 0.00%, 6/17/11
|
|
|
692,009
|
|
|
|
KZT
|
265,215
|
|
|
Kazakhstan National Bank, 0.00%, 7/8/11
|
|
|
1,815,814
|
|
|
|
KZT
|
43,557
|
|
|
Kazakhstan National Bank, 0.00%, 7/15/11
|
|
|
298,144
|
|
|
|
KZT
|
44,535
|
|
|
Kazakhstan National Bank, 0.00%, 7/22/11
|
|
|
304,762
|
|
|
|
KZT
|
238,703
|
|
|
Kazakhstan National Bank, 0.00%, 7/29/11
|
|
|
1,633,054
|
|
|
|
KZT
|
98,831
|
|
|
Kazakhstan National Bank, 0.00%, 8/5/11
|
|
|
675,949
|
|
|
|
KZT
|
151,600
|
|
|
Kazakhstan National Bank, 0.00%, 8/19/11
|
|
|
1,036,215
|
|
|
|
KZT
|
3,767
|
|
|
Kazakhstan National Bank, 0.00%, 3/4/12
|
|
|
25,492
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Kazakhstan
|
|
$
|
8,315,864
|
|
|
|
|
|
|
|
Lebanon 1.2%
|
|
LBP
|
1,501,600
|
|
|
Lebanon Treasury Bill, 0.00%, 6/30/11
|
|
$
|
992,797
|
|
|
|
LBP
|
150,710
|
|
|
Lebanon Treasury Bill, 0.00%, 7/14/11
|
|
|
99,494
|
|
|
|
LBP
|
3,573,620
|
|
|
Lebanon Treasury Bill, 0.00%, 7/28/11
|
|
|
2,355,635
|
|
|
|
LBP
|
560,050
|
|
|
Lebanon Treasury Bill, 0.00%, 9/22/11
|
|
|
366,486
|
|
|
|
LBP
|
301,420
|
|
|
Lebanon Treasury Note, 6.74%, 10/20/11
|
|
|
202,703
|
|
|
|
LBP
|
150,710
|
|
|
Lebanon Treasury Note, 6.86%, 10/6/11
|
|
|
101,350
|
|
|
|
LBP
|
150,710
|
|
|
Lebanon Treasury Note, 9.06%, 11/10/11
|
|
|
102,642
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Lebanon
|
|
$
|
4,221,107
|
|
|
|
|
|
|
|
Malaysia 3.6%
|
|
MYR
|
1,606
|
|
|
Malaysia Treasury Bill, 0.00%, 5/24/11
|
|
$
|
541,338
|
|
|
|
MYR
|
1,270
|
|
|
Malaysia Treasury Bill, 0.00%, 5/26/11
|
|
|
428,016
|
|
|
|
MYR
|
3,485
|
|
|
Malaysia Treasury Bill, 0.00%, 6/16/11
|
|
|
1,172,508
|
|
|
|
MYR
|
5,378
|
|
|
Malaysia Treasury Bill, 0.00%, 6/30/11
|
|
|
1,807,192
|
|
|
|
MYR
|
2,854
|
|
|
Malaysia Treasury Bill, 0.00%, 7/14/11
|
|
|
958,401
|
|
|
|
MYR
|
6,330
|
|
|
Malaysia Treasury Bill, 0.00%, 7/21/11
|
|
|
2,124,129
|
|
|
|
MYR
|
893
|
|
|
Malaysia Treasury Bill, 0.00%, 7/28/11
|
|
|
299,481
|
|
|
|
MYR
|
2,357
|
|
|
Malaysia Treasury Bill, 0.00%, 8/9/11
|
|
|
789,665
|
|
|
|
MYR
|
542
|
|
|
Malaysia Treasury Bill, 0.00%, 8/16/11
|
|
|
181,482
|
|
|
|
MYR
|
7,431
|
|
|
Malaysia Treasury Bill, 0.00%, 8/23/11
|
|
|
2,487,435
|
|
|
|
MYR
|
5,390
|
|
|
Malaysia Treasury Bill, 0.00%, 8/24/11
|
|
|
1,803,760
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Malaysia
|
|
$
|
12,593,407
|
|
|
|
|
|
|
|
Mexico 0.2%
|
|
MXN
|
7,523
|
|
|
Mexico Treasury Bill, 0.00%, 7/7/11
|
|
$
|
648,412
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Mexico
|
|
$
|
648,412
|
|
|
|
|
|
|
See Notes to
Consolidated Financial Statements.
16
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited) continued
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
|
|
|
|
Philippines 0.6%
|
|
PHP
|
45,110
|
|
|
Philippine Treasury Bill, 0.00%, 6/8/11
|
|
$
|
1,052,530
|
|
|
|
PHP
|
45,110
|
|
|
Philippine Treasury Bill, 0.00%, 9/7/11
|
|
|
1,051,148
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Philippines
|
|
$
|
2,103,678
|
|
|
|
|
|
|
|
Romania 1.3%
|
|
RON
|
980
|
|
|
Romania Treasury Bill, 0.00%, 12/28/11
|
|
$
|
340,693
|
|
|
|
RON
|
6,240
|
|
|
Romania Treasury Bill, 0.00%, 3/21/12
|
|
|
2,129,303
|
|
|
|
RON
|
5,590
|
|
|
Romania Treasury Bill, 0.00%, 4/11/12
|
|
|
1,905,418
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Romania
|
|
$
|
4,375,414
|
|
|
|
|
|
|
|
Serbia 0.6%
|
|
RSD
|
22,940
|
|
|
Serbia Treasury Bill, 0.00%, 12/13/11
|
|
$
|
316,971
|
|
|
|
RSD
|
110,190
|
|
|
Serbia Treasury Bill, 0.00%, 3/22/12
|
|
|
1,472,958
|
|
|
|
RSD
|
17,930
|
|
|
Serbia Treasury Bill, 0.00%, 4/5/12
|
|
|
238,589
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Serbia
|
|
$
|
2,028,518
|
|
|
|
|
|
|
|
Sri Lanka 2.3%
|
|
LKR
|
200,370
|
|
|
Sri Lanka Treasury Bill, 0.00%, 5/13/11
|
|
$
|
1,818,280
|
|
|
|
LKR
|
230,890
|
|
|
Sri Lanka Treasury Bill, 0.00%, 7/15/11
|
|
|
2,070,762
|
|
|
|
LKR
|
135,510
|
|
|
Sri Lanka Treasury Bill, 0.00%, 8/5/11
|
|
|
1,210,805
|
|
|
|
LKR
|
35,800
|
|
|
Sri Lanka Treasury Bill, 0.00%, 10/7/11
|
|
|
316,100
|
|
|
|
LKR
|
91,000
|
|
|
Sri Lanka Treasury Bill, 0.00%, 1/20/12
|
|
|
787,514
|
|
|
|
LKR
|
30,490
|
|
|
Sri Lanka Treasury Bill, 0.00%, 3/9/12
|
|
|
261,003
|
|
|
|
LKR
|
36,270
|
|
|
Sri Lanka Treasury Bill, 0.00%, 3/16/12
|
|
|
310,019
|
|
|
|
LKR
|
67,120
|
|
|
Sri Lanka Treasury Bill, 0.00%, 3/23/12
|
|
|
572,795
|
|
|
|
LKR
|
61,000
|
|
|
Sri Lanka Treasury Bill, 0.00%, 4/27/12
|
|
|
516,308
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Sri Lanka
|
|
$
|
7,863,586
|
|
|
|
|
|
|
|
Turkey 0.8%
|
|
TRY
|
2,793
|
|
|
Turkey Government Bond, 0.00%, 5/11/11
|
|
$
|
1,832,094
|
|
|
|
TRY
|
1,206
|
|
|
Turkey Treasury Bill, 0.00%, 7/20/11
|
|
|
779,999
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Turkey
|
|
$
|
2,612,093
|
|
|
|
|
|
|
|
Uruguay 0.4%
|
|
UYU
|
2,655
|
|
|
Uruguay Treasury Bill, 0.00%, 7/5/11
|
|
$
|
138,946
|
|
|
|
UYU
|
5,110
|
|
|
Uruguay Treasury Bill, 0.00%, 8/11/11
|
|
|
265,250
|
|
|
|
UYU
|
10,152
|
|
|
Uruguay Treasury Bill, 0.00%, 8/17/11
|
|
|
526,237
|
|
|
|
UYU
|
7,833
|
|
|
Uruguay Treasury Bill, 0.00%, 8/30/11
|
|
|
404,790
|
|
|
|
UYU
|
2,775
|
|
|
Uruguay Treasury Bill, 0.00%, 9/16/11
|
|
|
142,853
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Uruguay
|
|
$
|
1,478,076
|
|
|
|
|
|
|
|
Zambia 0.6%
|
|
ZMK
|
805,000
|
|
|
Zambia Treasury Bill, 0.00%, 6/13/11
|
|
$
|
169,876
|
|
|
|
ZMK
|
2,565,000
|
|
|
Zambia Treasury Bill, 0.00%, 8/29/11
|
|
|
533,317
|
|
|
|
ZMK
|
975,000
|
|
|
Zambia Treasury Bill, 0.00%, 9/12/11
|
|
|
201,945
|
|
|
|
ZMK
|
470,000
|
|
|
Zambia Treasury Bill, 0.00%, 10/10/11
|
|
|
96,526
|
|
|
|
ZMK
|
3,050,000
|
|
|
Zambia Treasury Bill, 0.00%, 12/12/11
|
|
|
618,391
|
|
|
|
ZMK
|
505,000
|
|
|
Zambia Treasury Bill, 0.00%, 3/12/12
|
|
|
100,047
|
|
|
|
ZMK
|
2,390,000
|
|
|
Zambia Treasury Bill, 0.00%, 3/19/12
|
|
|
472,124
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Zambia
|
|
$
|
2,192,226
|
|
|
|
|
|
|
|
|
Total Foreign Government Securities
|
|
|
(identified cost $80,758,191)
|
|
$
|
84,014,115
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations 0.1%
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
|
|
|
|
$
|
220
|
|
|
United States Treasury Bill,
0.00%, 7/28/11
(9)
|
|
$
|
219,784
|
|
|
|
|
86
|
|
|
United States Treasury Bill,
0.00%, 10/6/11
(9)
|
|
|
86,268
|
|
|
|
|
|
|
|
|
Total U.S. Treasury Obligations
|
|
|
(identified cost $305,960)
|
|
$
|
306,052
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements 0.8%
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
Description
|
|
(000s omitted)
|
|
|
Value
|
|
|
|
|
|
Bank of America, dated 4/27/11 with a maturity date of 7/1/11,
an interest rate of 0.75% and repurchase proceeds of EUR
1,883,623, collateralized by EUR 1,910,000 Belgium Kingdom
Government Bond 3.75% due 9/28/20 and a market value, including
accrued interest, of $2,809,563
|
|
EUR
|
1,881
|
|
|
$
|
2,786,562
|
|
|
|
|
|
|
|
|
Total Repurchase Agreements
|
|
|
(identified cost $2,783,173)
|
|
$
|
2,786,562
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to
Consolidated Financial Statements.
17
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited) continued
|
|
|
|
|
|
|
|
|
|
|
Other Securities 0.7%
|
|
|
|
Interest/
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
Description
|
|
(000s omitted)
|
|
|
Value
|
|
|
|
|
|
Eaton Vance Cash Reserves Fund, LLC,
0.16%
(17)
|
|
$
|
1,803
|
|
|
$
|
1,802,745
|
|
|
|
State Street Bank and Trust Euro Time Deposit,
0.01%, 5/2/11
|
|
|
825
|
|
|
|
825,159
|
|
|
|
|
|
|
|
|
Total Other Securities
|
|
|
(identified cost $2,627,904)
|
|
$
|
2,627,904
|
|
|
|
|
|
|
|
|
Total Short-Term Investments
|
|
|
(identified cost $86,475,228)
|
|
$
|
89,734,633
|
|
|
|
|
|
|
|
|
Total Investments 134.8%
|
|
|
(identified cost $442,327,344)
|
|
$
|
468,472,387
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Assets and
Liabilities (34.8)%
|
|
$
|
(120,948,847
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets 100.0%
|
|
$
|
347,523,540
|
|
|
|
|
|
The percentage shown for each investment category in the
Consolidated Portfolio of Investments is based on net assets.
|
|
|
CSFB
|
|
- Credit Suisse First Boston Mortgage Securities Corp.
|
GCCFC
|
|
- Greenwich Capital Commercial Funding Corp.
|
GECMC
|
|
- General Electric Commercial Mortgage Corporation
|
GSMS
|
|
- Goldman Sachs Mortgage Securities Corporation II
|
JPMCC
|
|
- JPMorgan Chase Commercial Mortgage Securities Corp.
|
MLMT
|
|
- Merrill Lynch Mortgage Trust
|
MSC
|
|
- Morgan Stanley Capital I
|
RBSCF
|
|
- Royal Bank of Scotland Commercial Funding
|
WBCMT
|
|
- Wachovia Bank Commercial Mortgage Trust
|
WFCM
|
|
- Wells Fargo Commercial Mortgage Trust
|
BRL
|
|
- Brazilian Real
|
CLP
|
|
- Chilean Peso
|
COP
|
|
- Colombian Peso
|
DOP
|
|
- Dominican Peso
|
EUR
|
|
- Euro
|
GBP
|
|
- British Pound Sterling
|
GHS
|
|
- Ghanaian Cedi
|
IDR
|
|
- Indonesian Rupiah
|
ILS
|
|
- Israeli Shekel
|
ISK
|
|
- Icelandic Krona
|
KZT
|
|
- Kazak Tenge
|
LBP
|
|
- Lebanese Pound
|
LKR
|
|
- Sri Lankan Rupee
|
MXN
|
|
- Mexican Peso
|
MYR
|
|
- Malaysian Ringgit
|
PHP
|
|
- Philippine Peso
|
PLN
|
|
- Polish Zloty
|
RON
|
|
- Romanian Leu
|
RSD
|
|
- Serbian Dinar
|
TRY
|
|
- New Turkish Lira
|
TWD
|
|
- New Taiwan Dollar
|
UYU
|
|
- Uruguayan Peso
|
ZAR
|
|
- South African Rand
|
ZMK
|
|
- Zambian Kwacha
|
|
|
|
*
|
|
In U.S. dollars unless otherwise indicated.
|
|
|
|
(1)
|
|
Senior floating-rate interests (Senior Loans) often require
prepayments from excess cash flows or permit the borrowers to
repay at their election. The degree to which borrowers repay,
whether as a contractual requirement or at their election,
cannot be predicted with accuracy. As a result, the actual
remaining maturity may be substantially less than the stated
maturities shown. However, Senior Loans will have an expected
average life of approximately two to four years. The stated
interest rate represents the weighted average interest rate of
all contracts within the senior loan facility and includes
commitment fees on unfunded loan commitments, if any. Senior
Loans typically have rates of interest which are redetermined
either daily, monthly, quarterly or semi-annually by reference
to a base lending rate, plus a premium. These base lending rates
are primarily the London Interbank Offered Rate
(LIBOR) and secondarily, the prime rate offered by
one or more major United States banks (the Prime
Rate) and the certificate of deposit (CD) rate
or other base lending rates used by commercial lenders.
|
|
(2)
|
|
Represents a
payment-in-kind
security which may pay all or a portion of interest in
additional par.
|
|
(3)
|
|
This Senior Loan will settle after April 30, 2011, at which
time the interest rate will be determined.
|
|
(4)
|
|
Security valued at fair value using methods determined in good
faith by or at the direction of the Trustees.
|
|
(5)
|
|
Principal amount is less than $500.
|
|
(6)
|
|
Weighted average fixed-rate coupon that changes/updates monthly.
|
|
(7)
|
|
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 April 30,
2011, the aggregate value of these securities is $6,013,860 or
1.7% of the Funds net assets.
|
|
(8)
|
|
Adjustable rate mortgage security. Rate shown is the rate at
April 30, 2011.
|
|
(9)
|
|
Security (or a portion thereof) has been pledged to cover
collateral requirements on open financial contracts.
|
|
(10)
|
|
Variable rate security. The stated interest rate represents the
rate in effect at April 30, 2011.
|
|
(11)
|
|
Security exempt from registration under Regulation S of the
Securities Act of 1933, which exempts from registration
securities offered and sold
|
See Notes to
Consolidated Financial Statements.
18
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited) continued
|
|
|
|
|
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.
|
|
(12)
|
|
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.
|
|
(13)
|
|
Represents a structured security whose market value and interest
rate are linked to the performance of the underlying security.
|
|
(14)
|
|
Non-income producing.
|
|
(15)
|
|
Security was acquired in connection with a restructuring of a
Senior Loan and may be subject to restrictions on resale.
|
|
(16)
|
|
Amount is less than 0.05%.
|
|
(17)
|
|
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 April 30, 2011.
|
|
|
|
|
|
|
|
|
|
|
|
Securities Sold Short
|
Foreign Government Bonds
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
|
|
|
|
EUR
|
(1,550
|
)
|
|
Belgium Kingdom Government Bond, 3.75%, 9/28/20
|
|
|
$(2,229,074
|
)
|
|
|
|
|
|
|
|
Total Foreign Government Bonds
|
|
|
(proceeds $2,054,431)
|
|
|
$(2,229,074
|
)
|
|
|
|
|
|
|
|
Total Securities Sold Short
|
|
|
(proceeds $2,054,431)
|
|
|
$(2,229,074
|
)
|
|
|
|
|
See Notes to
Consolidated Financial Statements.
19
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Consolidated
Statement of Assets and Liabilities (Unaudited)
|
|
|
|
|
|
|
Assets
|
|
April 30, 2011
|
|
|
|
Investments
|
|
|
|
|
|
|
Securities of unaffiliated issuers, at value (identified cost,
$433,749,075)
|
|
$
|
459,146,383
|
|
|
|
Affiliated investment, at value (identified cost, $1,802,745)
|
|
|
1,802,745
|
|
|
|
Precious metals, at value (identified cost, $6,775,524)
|
|
|
7,523,259
|
|
|
|
|
|
Total Investments, at value (identified cost,
$442,327,344)
|
|
$
|
468,472,387
|
|
|
|
|
|
Cash
|
|
|
2,372,162
|
|
|
|
Restricted cash*
|
|
|
800,000
|
|
|
|
Foreign currency, at value (identified cost, $2,147,126)
|
|
|
2,254,440
|
|
|
|
Interest receivable
|
|
|
2,668,536
|
|
|
|
Interest receivable from affiliated investment
|
|
|
889
|
|
|
|
Receivable for investments sold
|
|
|
3,596,639
|
|
|
|
Receivable for open forward foreign currency exchange contracts
|
|
|
1,693,114
|
|
|
|
Receivable for closed forward foreign currency exchange contracts
|
|
|
296,717
|
|
|
|
Receivable for open swap contracts
|
|
|
1,620,983
|
|
|
|
Premium paid on open swap contracts
|
|
|
2,564,810
|
|
|
|
Tax reclaims receivable
|
|
|
23,822
|
|
|
|
Prepaid expenses and other assets
|
|
|
151,627
|
|
|
|
|
|
Total assets
|
|
$
|
486,516,126
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
Notes payable
|
|
$
|
117,000,000
|
|
|
|
Payable for investments purchased
|
|
|
11,486,380
|
|
|
|
Payable for variation margin on open financial futures contracts
|
|
|
42,665
|
|
|
|
Payable for open forward commodity contracts
|
|
|
401,224
|
|
|
|
Payable for open forward foreign currency exchange contracts
|
|
|
5,416,945
|
|
|
|
Payable for closed forward foreign currency exchange contracts
|
|
|
149,127
|
|
|
|
Payable for open swap contracts
|
|
|
1,445,760
|
|
|
|
Premium received on open swap contracts
|
|
|
35,442
|
|
|
|
Payable for securities sold short, at value (proceeds,
$2,054,431)
|
|
|
2,229,074
|
|
|
|
Payable to affiliates:
|
|
|
|
|
|
|
Investment adviser fee
|
|
|
308,269
|
|
|
|
Trustees fees
|
|
|
975
|
|
|
|
Interest payable for securities sold short
|
|
|
47,202
|
|
|
|
Accrued expenses
|
|
|
429,523
|
|
|
|
|
|
Total liabilities
|
|
$
|
138,992,586
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets
|
|
$
|
347,523,540
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sources of Net Assets
|
|
Common shares, $0.01 par value, unlimited number of shares
authorized, 18,886,596 shares issued and outstanding
|
|
$
|
188,866
|
|
|
|
Additional paid-in capital
|
|
|
352,809,215
|
|
|
|
Accumulated net realized loss
|
|
|
(28,518,943
|
)
|
|
|
Accumulated undistributed net investment income
|
|
|
1,295,216
|
|
|
|
Net unrealized appreciation
|
|
|
21,749,186
|
|
|
|
|
|
Net Assets
|
|
$
|
347,523,540
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value
|
|
($347,523,540
¸
18,886,596 common shares issued and outstanding)
|
|
$
|
18.40
|
|
|
|
|
|
|
|
|
*
|
|
Represents restricted cash on deposit at custodian as collateral
for open financial contracts.
|
See Notes to
Consolidated Financial Statements.
20
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Consolidated
Statement of Operations (Unaudited)
|
|
|
|
|
|
|
|
|
Six Months Ended
|
|
|
Investment Income
|
|
April 30, 2011
|
|
|
|
Interest (net of foreign taxes, $219,330)
|
|
$
|
10,850,987
|
|
|
|
Interest allocated from affiliated investment
|
|
|
8,574
|
|
|
|
Expenses allocated from affiliated investment
|
|
|
(376
|
)
|
|
|
|
|
Total investment income
|
|
$
|
10,859,185
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses
|
|
Investment adviser fee
|
|
$
|
2,140,061
|
|
|
|
Trustees fees and expenses
|
|
|
5,768
|
|
|
|
Custodian fee
|
|
|
313,927
|
|
|
|
Transfer and dividend disbursing agent fees
|
|
|
9,352
|
|
|
|
Legal and accounting services
|
|
|
101,778
|
|
|
|
Printing and postage
|
|
|
41,404
|
|
|
|
Interest expense and fees
|
|
|
796,899
|
|
|
|
Interest on securities sold short
|
|
|
17,337
|
|
|
|
Miscellaneous
|
|
|
33,345
|
|
|
|
|
|
Total expenses
|
|
$
|
3,459,871
|
|
|
|
|
|
Deduct
|
|
|
|
|
|
|
Reduction of investment adviser fee
|
|
$
|
375,698
|
|
|
|
Reduction of custodian fee
|
|
|
181
|
|
|
|
|
|
Total expense reductions
|
|
$
|
375,879
|
|
|
|
|
|
|
|
|
|
|
|
|
Net expenses
|
|
$
|
3,083,992
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
$
|
7,775,193
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized and Unrealized Gain (Loss)
|
|
Net realized gain (loss)
|
|
|
|
|
|
|
Investment transactions
|
|
$
|
3,205,850
|
|
|
|
Investment transactions allocated from affiliated investment
|
|
|
124
|
|
|
|
Financial futures contracts
|
|
|
267,241
|
|
|
|
Swap contracts
|
|
|
(654,944
|
)
|
|
|
Foreign currency and forward foreign currency exchange contract
transactions
|
|
|
(1,907,491
|
)
|
|
|
|
|
Net realized gain
|
|
$
|
910,780
|
|
|
|
|
|
Change in unrealized appreciation (depreciation)
|
|
|
|
|
|
|
Investments (including net increase of $681,743 from precious
metals)
|
|
$
|
7,379,919
|
|
|
|
Securities sold short
|
|
|
(174,643
|
)
|
|
|
Financial futures contracts
|
|
|
(108,818
|
)
|
|
|
Swap contracts
|
|
|
800,892
|
|
|
|
Forward commodity contracts
|
|
|
(401,224
|
)
|
|
|
Foreign currency and forward foreign currency exchange contracts
|
|
|
(2,021,699
|
)
|
|
|
|
|
Net change in unrealized appreciation (depreciation)
|
|
$
|
5,474,427
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized and unrealized gain
|
|
$
|
6,385,207
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase in net assets from operations
|
|
$
|
14,160,400
|
|
|
|
|
|
See Notes to
Consolidated Financial Statements.
21
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Consolidated
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended
|
|
|
|
|
|
|
April 30, 2011
|
|
Year Ended
|
|
|
Increase (Decrease)
in Net Assets
|
|
(Unaudited)
|
|
October 31, 2010
|
|
|
|
From operations
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
$
|
7,775,193
|
|
|
$
|
19,851,609
|
|
|
|
Net realized gain (loss) from investment transactions, financial
futures contracts, swap contracts, written options and foreign
currency and forward foreign currency exchange contract
transactions
|
|
|
910,780
|
|
|
|
(1,431,899
|
)
|
|
|
Net change in unrealized appreciation (depreciation) from
investments, securities sold short, financial futures contracts,
swap contracts, written options, forward commodity contracts,
foreign currency and forward foreign currency exchange contracts
|
|
|
5,474,427
|
|
|
|
13,566,557
|
|
|
|
|
|
Net increase in net assets from operations
|
|
$
|
14,160,400
|
|
|
$
|
31,986,267
|
|
|
|
|
|
Distributions to shareholders
|
|
|
|
|
|
|
|
|
|
|
From net investment income
|
|
$
|
(11,709,690
|
)
|
|
$
|
(20,397,524
|
)
|
|
|
|
|
Total distributions
|
|
$
|
(11,709,690
|
)
|
|
$
|
(20,397,524
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase in net assets
|
|
$
|
2,450,710
|
|
|
$
|
11,588,743
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets
|
|
At beginning of period
|
|
$
|
345,072,830
|
|
|
$
|
333,484,087
|
|
|
|
|
|
At end of period
|
|
$
|
347,523,540
|
|
|
$
|
345,072,830
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Accumulated undistributed net
investment income
included in net assets
|
|
At end of period
|
|
$
|
1,295,216
|
|
|
$
|
5,229,713
|
|
|
|
|
|
See Notes to
Consolidated Financial Statements.
22
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Consolidated
Statement of Cash Flows (Unaudited)
|
|
|
|
|
|
|
|
|
Six Months Ended
|
|
|
Cash Flows From
Operating Activities
|
|
April 30, 2011
|
|
|
|
Net increase in net assets from operations
|
|
$
|
14,160,400
|
|
|
|
Adjustments to reconcile net increase in net assets from
operations to net cash used in operating activities:
|
|
|
|
|
|
|
Investments purchased
|
|
|
(170,320,887
|
)
|
|
|
Investments sold and principal repayments
|
|
|
159,339,876
|
|
|
|
Decrease in other short-term securities, net
|
|
|
12,324,176
|
|
|
|
Net amortization/accretion of premium (discount)
|
|
|
(1,529,783
|
)
|
|
|
Amortization of structuring fee on notes payable
|
|
|
48,935
|
|
|
|
Increase in restricted cash
|
|
|
(310,000
|
)
|
|
|
Increase in interest receivable
|
|
|
(162,911
|
)
|
|
|
Decrease in interest receivable from affiliated investment
|
|
|
930
|
|
|
|
Increase in receivable for investments sold
|
|
|
(2,665,096
|
)
|
|
|
Increase in receivable for open forward foreign currency
exchange contracts
|
|
|
(963,996
|
)
|
|
|
Increase in receivable for closed forward foreign currency
exchange contracts
|
|
|
(8,254
|
)
|
|
|
Increase in receivable for open swap contracts
|
|
|
(600,843
|
)
|
|
|
Decrease in premium paid on open swap contracts
|
|
|
4,047
|
|
|
|
Decrease in tax reclaims receivable
|
|
|
3,530
|
|
|
|
Increase in prepaid expenses and other assets
|
|
|
(7,735
|
)
|
|
|
Decrease in payable for investments purchased
|
|
|
(6,921,292
|
)
|
|
|
Increase in payable for variation margin on open financial
futures contracts
|
|
|
42,151
|
|
|
|
Increase in payable for open forward foreign currency exchange
contracts
|
|
|
2,964,167
|
|
|
|
Decrease in payable for closed forward foreign currency exchange
contracts
|
|
|
(73,148
|
)
|
|
|
Decrease in payable for open swap contracts
|
|
|
(200,049
|
)
|
|
|
Increase in premium received on open swap contracts
|
|
|
26,827
|
|
|
|
Increase in payable for forward commodity contracts
|
|
|
401,225
|
|
|
|
Increase in payable for securities sold short
|
|
|
2,229,074
|
|
|
|
Increase in interest payable for securities sold short
|
|
|
47,202
|
|
|
|
Increase in payable to affiliate for investment adviser fee
|
|
|
16,015
|
|
|
|
Decrease in payable to affiliate for Trustees fees
|
|
|
(87
|
)
|
|
|
Decrease in accrued expenses
|
|
|
(91,735
|
)
|
|
|
Decrease in unfunded loan commitments
|
|
|
(252,485
|
)
|
|
|
Net change in unrealized (appreciation) depreciation from
investments
|
|
|
(7,379,919
|
)
|
|
|
Net realized gain on investments
|
|
|
(3,205,974
|
)
|
|
|
|
|
Net cash used in operating activities
|
|
$
|
(3,085,639
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash Flows From Financing Activities
|
|
Distributions paid, net of reinvestments
|
|
$
|
(11,709,690
|
)
|
|
|
Proceeds from notes payable
|
|
|
48,000,000
|
|
|
|
Repayment of notes payable
|
|
|
(29,000,000
|
)
|
|
|
|
|
Net cash provided by financing activities
|
|
$
|
7,290,310
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase in cash*
|
|
$
|
4,204,671
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash at beginning of
period
(1)
|
|
$
|
421,931
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash at end of
period
(1)
|
|
$
|
4,626,602
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental disclosure of cash
flow information:
|
|
Cash paid for interest and fees on borrowings
|
|
$
|
839,462
|
|
|
|
|
|
|
|
|
(1)
|
|
Balance includes foreign currency, at value.
|
*
|
|
Includes net change in unrealized appreciation (depreciation) on
foreign currency of $102,692.
|
See Notes to
Consolidated Financial Statements.
23
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Consolidated
Financial Highlights
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended
|
|
Year Ended October 31,
|
|
|
|
|
April 30, 2011
|
|
|
|
|
(Unaudited)
|
|
2010
|
|
2009
|
|
2008
|
|
2007
|
|
2006
|
|
|
|
Net asset value Beginning of period
|
|
$
|
18.270
|
|
|
$
|
17.660
|
|
|
$
|
14.970
|
|
|
$
|
18.510
|
|
|
$
|
18.420
|
|
|
$
|
18.570
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Income (Loss) From Operations
|
|
Net investment
income
(1)
|
|
$
|
0.412
|
|
|
$
|
1.051
|
|
|
$
|
1.130
|
|
|
$
|
1.147
|
|
|
$
|
1.129
|
|
|
$
|
1.015
|
|
|
|
Net realized and unrealized gain (loss)
|
|
|
0.338
|
|
|
|
0.639
|
|
|
|
2.670
|
|
|
|
(3.321
|
)
|
|
|
0.381
|
|
|
|
0.238
|
|
|
|
|
|
Total income (loss) from operations
|
|
$
|
0.750
|
|
|
$
|
1.690
|
|
|
$
|
3.800
|
|
|
$
|
(2.174
|
)
|
|
$
|
1.510
|
|
|
$
|
1.253
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less Distributions
|
|
From net investment income
|
|
$
|
(0.620
|
)
|
|
$
|
(1.080
|
)
|
|
$
|
(1.001
|
)
|
|
$
|
(1.366
|
)
|
|
$
|
(1.420
|
)
|
|
$
|
(1.322
|
)
|
|
|
Tax return of capital
|
|
|
|
|
|
|
|
|
|
|
(0.109
|
)
|
|
|
|
|
|
|
|
|
|
|
(0.081
|
)
|
|
|
|
|
Total distributions
|
|
$
|
(0.620
|
)
|
|
$
|
(1.080
|
)
|
|
$
|
(1.110
|
)
|
|
$
|
(1.366
|
)
|
|
$
|
(1.420
|
)
|
|
$
|
(1.403
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value End of period
|
|
$
|
18.400
|
|
|
$
|
18.270
|
|
|
$
|
17.660
|
|
|
$
|
14.970
|
|
|
$
|
18.510
|
|
|
$
|
18.420
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market value End of period
|
|
$
|
16.790
|
|
|
$
|
17.600
|
|
|
$
|
15.570
|
|
|
$
|
12.620
|
|
|
$
|
16.500
|
|
|
$
|
17.750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Return on Net Asset
Value
(2)
|
|
|
4.45
|
%
(3)
|
|
|
10.26
|
%
|
|
|
28.04
|
%
|
|
|
(11.57
|
)%
|
|
|
8.82
|
%
|
|
|
7.73
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Return on Market
Value
(2)
|
|
|
(1.07
|
)%
(3)
|
|
|
20.48
|
%
|
|
|
33.90
|
%
|
|
|
(16.36
|
)%
|
|
|
0.66
|
%
|
|
|
19.96
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data
|
|
Net assets, end of period (000s omitted)
|
|
$
|
347,524
|
|
|
$
|
345,073
|
|
|
$
|
333,484
|
|
|
$
|
282,735
|
|
|
$
|
349,620
|
|
|
$
|
347,241
|
|
|
|
Ratios (as a percentage of average daily net assets):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses excluding interest and
fees
(4)
|
|
|
1.33
|
%
(5)
|
|
|
1.27
|
%
|
|
|
1.22
|
%
|
|
|
1.15
|
%
|
|
|
1.14
|
%
|
|
|
1.11
|
%
|
|
|
Interest and fee
expense
(6)
|
|
|
0.47
|
%
(5)
|
|
|
0.46
|
%
|
|
|
0.41
|
%
|
|
|
0.06
|
%
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
(4)
|
|
|
1.80
|
%
(5)
|
|
|
1.73
|
%
|
|
|
1.63
|
%
|
|
|
1.21
|
%
|
|
|
1.14
|
%
|
|
|
1.11
|
%
|
|
|
Net investment income
|
|
|
4.53
|
%
(5)
|
|
|
5.81
|
%
|
|
|
7.17
|
%
|
|
|
6.54
|
%
|
|
|
6.12
|
%
|
|
|
5.50
|
%
|
|
|
Portfolio Turnover
|
|
|
18
|
%
(3)
|
|
|
21
|
%
|
|
|
32
|
%
|
|
|
31
|
%
|
|
|
114
|
%
|
|
|
56
|
%
|
|
|
|
|
Senior Securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total notes payable outstanding (in 000s)
|
|
$
|
117,000
|
|
|
$
|
98,000
|
|
|
$
|
111,000
|
|
|
$
|
70,900
|
|
|
$
|
|
|
|
$
|
|
|
|
|
Asset coverage per $1,000 of notes
payable
(7)
|
|
$
|
3,970
|
|
|
$
|
4,521
|
|
|
$
|
4,004
|
|
|
$
|
4,988
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
(1)
|
|
Computed using average common shares outstanding.
|
(2)
|
|
Returns are historical and are calculated by determining the
percentage change in net asset value or market value with all
distributions reinvested.
|
(3)
|
|
Not annualized.
|
(4)
|
|
Excludes the effect of custody fee credits, if any, of less than
0.005%.
|
(5)
|
|
Annualized.
|
(6)
|
|
Interest expense relates to borrowings for the purpose of
financial leverage. See Note 8.
|
(7)
|
|
Calculated by subtracting the Funds total liabilities (not
including the notes payable) from the Funds total assets,
and dividing the result by the notes payable balance in
thousands.
|
See Notes to
Consolidated Financial Statements.
24
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
1 Significant
Accounting Policies
Eaton Vance Short Duration Diversified Income Fund (the Fund) is
a Massachusetts business trust registered under the Investment
Company Act of 1940, as amended (the 1940 Act), as a
diversified, closed-end management investment company. The
Funds primary investment objective is to provide a high
level of current income, with a secondary objective of seeking
capital appreciation to the extent consistent with its primary
goal.
The Fund seeks to gain exposure to the commodity markets, in
whole or in part, through investments in Eaton Vance EVG
Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned
subsidiary of the Fund organized under the laws of the Cayman
Islands with the same objective and investment policies and
restrictions as the Fund. The Fund may invest up to 25% of its
total assets in the Subsidiary. The net assets of the Subsidiary
at April 30, 2011 were $9,365,845 or 2.7% of the
Funds 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 Fund. The policies are in conformity with accounting
principles generally accepted in the United States of America.
A Investment
Valuation
Interests in senior floating-rate
loans (Senior Loans) for which reliable market quotations are
readily available are valued generally at the average mean of
bid and ask quotations obtained from a third party pricing
service. Other Senior Loans are valued at fair value by the
investment adviser under procedures approved by the Trustees. In
fair valuing a Senior Loan, the investment adviser utilizes one
or more of the valuation techniques described in
(i) through (iii) below to assess the likelihood that
the borrower will make a full repayment of the loan underlying
such Senior Loan relative to yields on other Senior Loans issued
by companies of comparable credit quality. If the investment
adviser believes that there is a reasonable likelihood of full
repayment, the investment adviser will determine fair value
using a matrix pricing approach that considers the yield on the
Senior Loan. If the investment adviser believes there is not a
reasonable likelihood of full repayment, the investment adviser
will determine fair value using analyses that include, but are
not limited to: (i) a comparison of the value of the
borrowers outstanding equity and debt to that of
comparable public companies; (ii) a discounted cash flow
analysis; or (iii) when the investment adviser believes it
is likely that a borrower will be liquidated or sold, an
analysis of the terms of such liquidation or sale. In certain
cases, the investment adviser will use a combination of
analytical methods to determine fair value, such as when only a
portion of a borrowers assets are likely to be sold. In
conducting its assessment and analyses for purposes of
determining fair value of a Senior Loan, the investment adviser
will use its discretion and judgment in considering and
appraising relevant factors. Fair value determinations are made
by the portfolio managers of the Fund based on information
available to such managers. The portfolio managers of other
funds managed by the investment adviser that invest in Senior
Loans may not possess the same information about a Senior Loan
borrower as the portfolio managers of the Fund. At times, the
fair value of a Senior Loan determined by the portfolio managers
of other funds managed by the investment adviser that invest in
Senior Loans may vary from the fair value of the same Senior
Loan determined by the portfolio managers of the Fund. The fair
value of each Senior Loan is periodically reviewed and approved
by the investment advisers Valuation Committee and by the
Trustees based upon procedures approved by the Trustees. Junior
Loans (i.e., subordinated loans and second lien loans) are
valued in the same manner as Senior Loans.
Debt obligations (including short-term obligations with a
remaining maturity of more than sixty days and excluding most
seasoned mortgage-backed securities) 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 advisers matrix pricing system, which takes
into account bond prices, yield differentials, anticipated
prepayments and interest rates provided by dealers. Short-term
debt securities 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. 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 futures contracts are valued at the 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 Funds forward foreign currency exchange
contracts are valued at an interpolated rate between the closest
preceding and subsequent settlement period reported by the third
party pricing service. Forward commodity contracts are valued
based on interpolated rates derived from forward rates as
provided by brokers for specific settlement periods. Interest
rate swaps and cross-currency swaps are normally valued using
valuations provided by a third party pricing service.
25
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
continued
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 Fund in
a manner that most fairly reflects the securitys value, or
the amount that the Fund might reasonably expect to receive for
the security upon its current sale in the ordinary course. Each
such determination is based on a consideration of all relevant
factors, which are likely to vary from one pricing context to
another. These factors may include, but are not limited to, the
type of security, the existence of any contractual restrictions
on the securitys disposition, the price and extent of
public trading in similar securities of the issuer or of
comparable companies or entities, quotations or relevant
information obtained from broker-dealers or other market
participants, information obtained from the issuer, analysts,
and/or
the
appropriate stock exchange (for exchange-traded securities), an
analysis of the companys or entitys financial
condition, and an evaluation of the forces that influence the
issuer and the market(s) in which the security is purchased and
sold.
The Fund 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.
Fees associated with loan amendments are recognized immediately.
D Federal
Taxes
The Funds policy is to comply
with the provisions of the Internal Revenue Code applicable to
regulated investment companies and to distribute to shareholders
each year substantially all of its net investment income, and
all or substantially all of its net realized capital gains.
Accordingly, no provision for federal income or excise tax is
necessary.
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 Fund is treated as a
U.S. shareholder of the Subsidiary. As a result, the Fund is
required to include in gross income for U.S. federal income tax
purposes all of the Subsidiarys 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 Fund.
At October 31, 2010, the Fund, for federal income tax
purposes, had a capital loss carryforward of $28,160,163 which
will reduce its taxable income arising from future net realized
gains on investment transactions, if any, to the extent
permitted by the Internal Revenue Code, and thus will reduce the
amount of distributions to shareholders, which would otherwise
be necessary to relieve the Fund of any liability for federal
income or excise tax. Such capital loss carryforward will expire
on October 31, 2013 ($2,603,915), October 31, 2014
($1,684,823), October 31, 2016 ($17,966,463),
October 31, 2017 ($738,126) and October 31, 2018
($5,166,836).
As of April 30, 2011, the Fund had no uncertain tax
positions that would require financial statement recognition,
de-recognition, or disclosure. Each of the Funds federal
tax returns filed in the
3-year
period ended October 31, 2010 remains subject to
examination by the Internal Revenue Service.
E Expense
Reduction
State Street Bank and
Trust Company (SSBT) serves as custodian of the Fund.
Pursuant to the custodian agreement, SSBT receives a fee reduced
by credits, which are determined based on the average daily cash
balance the Fund maintains with SSBT. All credit balances, if
any, used to reduce the Funds 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 Unfunded Loan
Commitments
The Fund may enter into certain
credit agreements all or a portion of which may be unfunded. The
Fund is obligated to fund these commitments at the
borrowers discretion. The commitments, if any, are
disclosed in the accompanying Consolidated Portfolio of
Investments.
26
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
continued
H 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.
I Indemnifications
Under the Funds organizational documents, its officers and
Trustees may be indemnified against certain liabilities and
expenses arising out of the performance of their duties to the
Fund. Under Massachusetts law, if certain conditions prevail,
shareholders of a Massachusetts business trust (such as the
Fund) could be deemed to have personal liability for the
obligations of the Fund. However, the Funds Declaration of
Trust contains an express disclaimer of liability on the part of
Fund shareholders and the By-laws provide that the Fund shall
assume the defense on behalf of any Fund shareholders. Moreover,
the By-laws also provide for indemnification out of Fund
property of any shareholder held personally liable solely by
reason of being or having been a shareholder for all loss or
expense arising from such liability. Additionally, in the normal
course of business, the Fund enters into agreements with service
providers that may contain indemnification clauses. The
Funds maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the
Fund that have not yet occurred.
J Financial Futures
Contracts
Upon entering into a financial
futures contract, the Fund is required to deposit with the
broker, either in cash or securities, an amount equal to a
certain percentage of the purchase price (initial margin).
Subsequent payments, known as variation margin, are made or
received by the Fund each business day, depending on the daily
fluctuations in the value of the underlying security, commodity
or currency and are recorded as unrealized gains or losses by
the Fund. Gains (losses) are realized upon the expiration or
closing of the financial futures contracts. Should market
conditions change unexpectedly, the Fund may not achieve the
anticipated benefits of the financial futures contracts and may
realize a loss. Futures contracts have minimal counterparty risk
as they are exchange traded and the clearinghouse for the
exchange is substituted as the counterparty, guaranteeing
counterparty performance.
K Forward Foreign Currency
Exchange and Forward Commodity Contracts
The
Fund may enter into forward foreign currency exchange contracts
for the purchase or sale of a specific foreign currency at a
fixed price on a future date. The forward foreign currency
exchange contracts are adjusted by the daily exchange rate of
the underlying currency and any gains or losses are recorded as
unrealized until such time as the contracts have been closed 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.
L Written
Options
Upon the writing of a call or a put
option, the premium received by the Fund 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 Funds 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 Fund 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 Fund. The Fund, 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 Fund may also bear the
risk of not being able to enter into a closing transaction if a
liquid secondary market does not exist.
M Purchased
Options
Upon the purchase of a call or put
option, the premium paid by the Fund 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 Funds policies on investment
valuations discussed above. As the purchaser of an index option,
the Fund 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 Fund had purchased expires on the
stipulated expiration date, the Fund will realize a loss in the
amount of the cost of the option. If the Fund enters into a
closing sale transaction, the Fund 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 Fund 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 Fund exercises a call option on a
security, the cost of the security which the Fund purchases upon
exercise will be increased by the premium originally paid. The
risk associated with purchasing options is limited to the
premium originally paid.
N Interest Rate
Swaps
Pursuant to interest rate swap
agreements, the Fund either makes floating-rate payments based
on a benchmark interest rate in exchange for fixed-rate payments
or the Fund 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 Fund is exposed to credit loss in the
event of non-performance by the swap counterparty. Risk may also
arise from movements in interest rates.
27
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
continued
O 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.
P Credit Default
Swaps
When the Fund is the buyer of a credit
default swap contract, the Fund is entitled to receive the par
(or other
agreed-upon)
value of a referenced debt obligation (or basket of debt
obligations) from the counterparty to the contract if a credit
event by a third party, such as a U.S. or foreign corporate
issuer or sovereign issuer, on the debt obligation occurs. In
return, the Fund pays the counterparty a periodic stream of
payments over the term of the contract provided that no credit
event has occurred. If no credit event occurs, the Fund would
have spent the stream of payments and received no proceeds from
the contract. When the Fund is the seller of a credit default
swap contract, it receives the stream of payments, but is
obligated to pay to the buyer of the protection an amount up to
the notional amount of the swap and in certain instances take
delivery of securities of the reference entity upon the
occurrence of a credit event, as defined under the terms of that
particular swap agreement. Credit events are contract specific
but may include bankruptcy, failure to pay, restructuring,
obligation acceleration and repudiation/moratorium. If the Fund
is a seller of protection and a credit event occurs, the maximum
potential amount of future payments that the Fund could be
required to make would be an amount equal to the notional amount
of the agreement. This potential amount would be partially
offset by any recovery value of the respective referenced
obligation, or net amount received from the settlement of a buy
protection credit default swap agreement entered into by the
Fund for the same referenced obligation. As the seller, the Fund
effectively may create economic leverage to its portfolio
because, in addition to its total net assets, the Fund is
subject to investment exposure on the notional amount of the
swap. The interest fee paid or received on the swap contract,
which is based on a specified interest rate on a fixed notional
amount, is accrued daily as a component of unrealized
appreciation (depreciation) and is recorded as realized gain
upon receipt or realized loss upon payment. The Fund also
records an increase or decrease to unrealized appreciation
(depreciation) in an amount equal to the daily valuation.
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 7 and 10. The Fund segregates assets in
the form of cash or liquid securities in an amount equal to the
notional amount of the credit default swaps of which it is the
seller. The Fund segregates assets in the form of cash or liquid
securities in an amount equal to any unrealized depreciation of
the credit default swaps of which it is the buyer, marked to
market on a daily basis. These transactions involve certain
risks, including the risk that the seller may be unable to
fulfill the transaction.
Q Repurchase
Agreements
A repurchase agreement is the
purchase by the Fund 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 Fund
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 Fund 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 Fund is more than the value of
purchased securities that effectively collateralize the
repurchase price payable by the counterparty. Since in such a
transaction the Fund normally will have used the purchased
securities to settle the short sale, the Fund 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
the insolvency of the counterparty to a repurchase agreement,
recovery of the repurchase price owed to the Fund 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.
R Securities Sold
Short
A short sale is a transaction in which
the Fund 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 Fund 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
Fund is required to repay the lender any interest, which accrues
during the period of the loan. The proceeds received from a
short sale are recorded as a liability and the Fund 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 Fund 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 payable on securities sold short is recorded as an
expense.
S Consolidated Statement of
Cash Flows
The cash amount shown in the
Consolidated Statement of Cash Flows of the Fund is the amount
included in the Funds Consolidated Statement of Assets and
Liabilities and represents the cash on hand at its custodian and
does not include any short-term investments.
T Interim Consolidated
Financial Statements
The interim consolidated
financial statements relating to April 30, 2011 and for the
six months then ended have not been audited by an independent
registered public accounting firm, but in the opinion of the
Funds management, reflect all adjustments, consisting only
of normal recurring adjustments, necessary for the fair
presentation of the financial statements.
28
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
continued
2 Distributions
to Shareholders
Subject to its Management Distribution Plan, the Fund intends to
make monthly distributions to shareholders and to distribute all
or substantially all of its net realized capital gains (reduced
by available capital loss carryforwards from prior years, if
any). In its distributions, the Fund intends to include amounts
attributable to the imputed interest on foreign currency
exposures through long and short positions in forward currency
exchange contracts (represented by the difference between the
foreign currency spot rate and the foreign currency forward
rate) and the imputed interest derived from certain other
derivative positions. Distributions are recorded on the
ex-dividend date. The Fund distinguishes between distributions
on a tax basis and a financial reporting basis. Accounting
principles generally accepted in the United States of America
require that only distributions in excess of tax basis earnings
and profits be reported in the consolidated financial statements
as a return of capital. Permanent differences between book and
tax accounting relating to distributions are reclassified to
paid-in capital. For tax purposes, distributions from short-term
capital gains are considered to be from ordinary income. In
certain circumstances, a portion of distributions to
shareholders may include a return of capital component.
3 Investment
Adviser Fee and Other Transactions with Affiliates
The investment adviser fee is earned by EVM as compensation for
investment advisory services rendered to the Fund and the
Subsidiary. Pursuant to the investment advisory agreement and
subsequent fee reduction agreement between the Fund and EVM and
the investment advisory agreement between the Subsidiary and
EVM, the Fund and Subsidiary each pay EVM a fee at an annual
rate of 0.75% of its respective average daily total leveraged
assets (excluding its interest in the Subsidiary in the case of
the Fund), subject to the limitation described below, and is
payable monthly. Total leveraged assets as referred to herein
represent net assets plus liabilities or obligations
attributable to investment leverage and the notional value of
long and short forward currency contracts, futures contracts and
swaps held by the Fund. The notional value of a contract for
purposes of calculating total leveraged assets is the stated
dollar value of the underlying reference instrument at the time
the derivative position is entered into and remains constant
throughout the life of the derivative contract. However, the
derivative contracts are marked to market daily and any
unrealized appreciation or depreciation is reflected in the
Funds net assets. When the Fund holds both long and short
forward currency contracts in the same foreign currency, the
offsetting positions are netted for purposes of determining
total leveraged assets. When the Fund holds other long and short
positions in foreign obligations denominated in the same
currency, total leveraged assets are calculated by excluding the
smaller of the long or short position.
The advisory agreements provides that if investment leverage
exceeds 40% of the Funds total leveraged assets, EVM will
not receive a management fee on total leveraged assets in excess
of this amount. As of April 30, 2011, the Funds
investment leverage was 54% of its total leveraged assets. The
Fund invests its cash in Cash Reserves Fund. EVM does not
currently receive a fee for advisory services provided to Cash
Reserves Fund. For the six months ended April 30, 2011, the
Funds investment adviser fee amounted to $2,140,061 or
0.58% (annualized) of the Funds average daily total
leveraged assets and 1.25% (annualized) of the Funds
average daily net assets. EVM also serves as administrator of
the Fund, but receives no compensation.
In addition, EVM has contractually agreed to reimburse the Fund
for fees and other expenses at an annual rate of 0.20% of the
Funds average daily total leveraged assets during the
first five full years of the Funds operations, 0.15% of
the Funds average daily total leveraged assets in year
six, 0.10% in year seven and 0.05% in year eight. The Fund
concluded its first six full years of operations on
February 28, 2011. Pursuant to this agreement, EVM waived
$375,698 of its investment adviser fee for the six months ended
April 30, 2011.
Except for Trustees of the Fund who are not members of
EVMs organization, officers and Trustees receive
remuneration for their services to the Fund out of the
investment adviser fee. Trustees of the Fund who are not
affiliated with EVM may elect to defer receipt of all or a
percentage of their annual fees in accordance with the terms of
the Trustees Deferred Compensation Plan. For the six months
ended April 30, 2011, no significant amounts have been
deferred. Certain officers and Trustees of the Fund are officers
of EVM.
4 Purchases
and Sales of Investments
Purchases and sales of investments, other than short-term
obligations and including maturities, paydowns, principal
repayments on Senior Loans and securities sold short, for the
six months ended April 30, 2011 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchases
|
|
Sales
|
|
|
|
|
Investments
(non-U.S.
Government)
|
|
$
|
70,428,410
|
|
|
$
|
57,796,528
|
|
|
|
U.S. Government and Agency Securities
|
|
|
5,242,352
|
|
|
|
13,847,353
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
75,670,762
|
|
|
$
|
71,643,881
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 Common
Shares of Beneficial Interest
The Fund may issue common shares pursuant to its dividend
reinvestment plan. There were no transactions in common shares
for the six months ended April 30, 2011 and year ended
October 31, 2010.
29
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
continued
6 Federal
Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) of
investments of the Fund at April 30, 2011, as determined on
a federal income tax basis, were as follows:
|
|
|
|
|
|
|
Aggregate cost
|
|
$
|
443,908,764
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
24,983,195
|
|
|
|
Gross unrealized depreciation
|
|
|
(419,572
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized appreciation
|
|
$
|
24,563,623
|
|
|
|
|
|
|
|
|
|
|
|
|
7 Financial
Instruments
The Fund may trade in financial instruments with off-balance
sheet risk in the normal course of its investing activities.
These financial instruments may include forward commodity
contracts, forward foreign currency exchange contracts,
financial futures contracts and swap contracts and may involve,
to a varying degree, elements of risk in excess of the amounts
recognized for financial statement purposes. The notional or
contractual amounts of these instruments represent the
investment the Fund has in particular classes of financial
instruments and do not necessarily represent the amounts
potentially subject to risk. The measurement of the risks
associated with these instruments is meaningful only when all
related and offsetting transactions are considered.
A summary of obligations under these financial instruments at
April 30, 2011 is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Commodity
Contracts
(1)
|
Sales
|
|
|
|
|
|
|
|
|
Net Unrealized
|
|
|
Settlement Date
|
|
Deliver
|
|
In Exchange For
|
|
Counterparty
|
|
Depreciation
|
|
|
|
|
6/28/11
|
|
Gold
839 Troy Ounces
|
|
United States Dollar
1,199,021
|
|
Citigroup Global Markets
|
|
$
|
(116,280
|
)
|
|
|
10/27/11
|
|
Gold
701 Troy Ounces
|
|
United States Dollar
999,192
|
|
Citigroup Global Markets
|
|
|
(99,901
|
)
|
|
|
4/26/12
|
|
Gold
1,387 Troy Ounces
|
|
United States Dollar
1,991,233
|
|
Citigroup Global Markets
|
|
|
(185,043
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(401,224
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
|
Non-deliverable contracts that are settled with the counterparty
in cash.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency
Exchange Contracts
|
Sales
|
|
|
|
|
|
|
|
|
Net Unrealized
|
|
|
|
|
|
|
|
|
|
|
Appreciation
|
|
|
Settlement Date
|
|
Deliver
|
|
In Exchange For
|
|
Counterparty
|
|
(Depreciation)
|
|
|
|
|
5/2/11
|
|
New Turkish Lira
358,000
|
|
United States Dollar
226,525
|
|
Credit Suisse
|
|
$
|
(8,847
|
)
|
|
|
5/2/11
|
|
New Turkish Lira
5,333,347
|
|
United States Dollar
3,515,256
|
|
Deutsche Bank
|
|
|
8,782
|
|
|
|
5/2/11
|
|
New Turkish Lira
312,000
|
|
United States Dollar
197,481
|
|
Standard Bank
|
|
|
(7,647
|
)
|
|
|
5/3/11
|
|
South African Rand
194,699
|
|
United States Dollar
28,739
|
|
Standard Bank
|
|
|
(918
|
)
|
|
|
5/4/11
|
|
Czech Koruna
7,100,000
|
|
Euro
289,209
|
|
Deutsche Bank
|
|
|
(6,586
|
)
|
|
|
30
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
continued
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency
Exchange Contracts (continued)
|
Sales
|
|
|
|
|
|
|
|
|
Net Unrealized
|
|
|
|
|
|
|
|
|
|
|
Appreciation
|
|
|
Settlement Date
|
|
Deliver
|
|
In Exchange For
|
|
Counterparty
|
|
(Depreciation)
|
|
|
|
|
5/4/11
|
|
Euro
306,450
|
|
United States Dollar
435,619
|
|
Deutsche Bank
|
|
$
|
(18,267
|
)
|
|
|
5/4/11
|
|
Israeli Shekel
2,643,695
|
|
United States Dollar
789,634
|
|
Bank of America
|
|
|
7,574
|
|
|
|
5/4/11
|
|
New Zealand Dollar
1,594,800
|
|
United States Dollar
1,212,629
|
|
Credit Suisse
|
|
|
(77,877
|
)
|
|
|
5/4/11
|
|
New Zealand Dollar
455,000
|
|
United States Dollar
345,798
|
|
Goldman Sachs, Inc.
|
|
|
(22,386
|
)
|
|
|
5/4/11
|
|
New Zealand Dollar
454,800
|
|
United States Dollar
345,775
|
|
HSBC Bank USA
|
|
|
(22,247
|
)
|
|
|
5/4/11
|
|
New Zealand Dollar
215,300
|
|
United States Dollar
163,499
|
|
JPMorgan Chase Bank
|
|
|
(10,721
|
)
|
|
|
5/4/11
|
|
Serbian Dinar
57,704,000
|
|
Euro
580,523
|
|
Deutsche Bank
|
|
|
(3,058
|
)
|
|
|
5/11/11
|
|
New Turkish Lira
318,178
|
|
United States Dollar
199,322
|
|
Bank of America
|
|
|
(9,546
|
)
|
|
|
5/11/11
|
|
New Turkish Lira
391,822
|
|
United States Dollar
245,333
|
|
Standard Chartered Bank
|
|
|
(11,879
|
)
|
|
|
5/13/11
|
|
Polish Zloty
2,840,000
|
|
Euro
713,945
|
|
Standard Bank
|
|
|
(11,734
|
)
|
|
|
5/13/11
|
|
Sri Lankan Rupee
200,370,000
|
|
United States Dollar
1,785,829
|
|
HSBC Bank USA
|
|
|
(36,171
|
)
|
|
|
5/19/11
|
|
Japanese Yen
170,225,000
|
|
United States Dollar
2,044,941
|
|
Goldman Sachs, Inc.
|
|
|
(53,738
|
)
|
|
|
5/20/11
|
|
Euro
421,457
|
|
United States Dollar
616,383
|
|
Deutsche Bank
|
|
|
(7,567
|
)
|
|
|
5/20/11
|
|
Euro
107,819
|
|
United States Dollar
157,543
|
|
Goldman Sachs, Inc.
|
|
|
(2,079
|
)
|
|
|
5/20/11
|
|
Euro
9,534,333
|
|
United States Dollar
13,662,699
|
|
HSBC Bank USA
|
|
|
(452,489
|
)
|
|
|
5/20/11
|
|
Euro
9,534,333
|
|
United States Dollar
13,595,720
|
|
JPMorgan Chase Bank
|
|
|
(519,468
|
)
|
|
|
5/23/11
|
|
Euro
2,000,000
|
|
United States Dollar
2,858,800
|
|
Standard Bank
|
|
|
(101,874
|
)
|
|
|
5/31/11
|
|
British Pound Sterling
464,905
|
|
United States Dollar
746,957
|
|
JPMorgan Chase Bank
|
|
|
(29,333
|
)
|
|
|
5/31/11
|
|
Euro
11,928,110
|
|
United States Dollar
16,417,075
|
|
Citigroup Global Markets
|
|
|
(1,236,670
|
)
|
|
|
5/31/11
|
|
Euro
4,424,000
|
|
United States Dollar
6,462,800
|
|
Credit Suisse
|
|
|
(84,773
|
)
|
|
|
6/2/11
|
|
Euro
2,400,000
|
|
United States Dollar
2,935,920
|
|
HSBC Bank USA
|
|
|
(615,914
|
)
|
|
|
6/3/11
|
|
South African Rand
2,439,301
|
|
United States Dollar
367,708
|
|
Standard Bank
|
|
|
(2,316
|
)
|
|
|
6/13/11
|
|
South African Rand
38,672,546
|
|
United States Dollar
5,719,691
|
|
Standard Bank
|
|
|
(138,364
|
)
|
|
|
31
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
continued
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency
Exchange Contracts (continued)
|
Sales
|
|
|
|
|
|
|
|
|
Net Unrealized
|
|
|
|
|
|
|
|
|
|
|
Appreciation
|
|
|
Settlement Date
|
|
Deliver
|
|
In Exchange For
|
|
Counterparty
|
|
(Depreciation)
|
|
|
|
|
6/15/11
|
|
South African Rand
18,012,206
|
|
United States Dollar
2,577,333
|
|
Bank of America
|
|
$
|
(150,348
|
)
|
|
|
6/15/11
|
|
South African Rand
6,081,615
|
|
United States Dollar
867,056
|
|
Credit Suisse
|
|
|
(53,914
|
)
|
|
|
6/22/11
|
|
South African Rand
11,284,418
|
|
United States Dollar
1,580,628
|
|
Bank of America
|
|
|
(126,523
|
)
|
|
|
6/30/11
|
|
British Pound Sterling
424,623
|
|
United States Dollar
677,703
|
|
Goldman Sachs, Inc.
|
|
|
(31,045
|
)
|
|
|
7/5/11
|
|
Brazilian Real
455,000
|
|
United States Dollar
265,538
|
|
Barclays Bank PLC
|
|
|
(22,081
|
)
|
|
|
7/5/11
|
|
Brazilian Real
728,000
|
|
United States Dollar
426,354
|
|
Barclays Bank PLC
|
|
|
(33,837
|
)
|
|
|
7/5/11
|
|
Brazilian Real
455,000
|
|
United States Dollar
265,538
|
|
Citigroup Global Markets
|
|
|
(22,081
|
)
|
|
|
7/5/11
|
|
Brazilian Real
424,000
|
|
United States Dollar
247,519
|
|
Credit Suisse
|
|
|
(20,505
|
)
|
|
|
7/5/11
|
|
Brazilian Real
563,000
|
|
United States Dollar
329,432
|
|
Credit Suisse
|
|
|
(26,457
|
)
|
|
|
7/5/11
|
|
Brazilian Real
424,000
|
|
United States Dollar
247,375
|
|
Deutsche Bank
|
|
|
(20,649
|
)
|
|
|
7/5/11
|
|
Brazilian Real
424,000
|
|
United States Dollar
247,808
|
|
Goldman Sachs, Inc.
|
|
|
(20,215
|
)
|
|
|
7/5/11
|
|
Brazilian Real
477,000
|
|
United States Dollar
278,378
|
|
JPMorgan Chase Bank
|
|
|
(23,149
|
)
|
|
|
7/5/11
|
|
Brazilian Real
283,000
|
|
United States Dollar
165,255
|
|
Standard Bank
|
|
|
(13,638
|
)
|
|
|
7/5/11
|
|
Brazilian Real
971,000
|
|
United States Dollar
568,335
|
|
Standard Chartered Bank
|
|
|
(45,465
|
)
|
|
|
7/15/11
|
|
Sri Lankan Rupee
230,890,000
|
|
United States Dollar
1,943,028
|
|
HSBC Bank USA
|
|
|
(149,266
|
)
|
|
|
7/29/11
|
|
British Pound Sterling
418,958
|
|
United States Dollar
689,338
|
|
JPMorgan Chase Bank
|
|
|
(9,672
|
)
|
|
|
8/3/11
|
|
Israeli Shekel
15,576,800
|
|
United States Dollar
4,464,418
|
|
Deutsche Bank
|
|
|
(124,417
|
)
|
|
|
8/4/11
|
|
Euro
600,000
|
|
United States Dollar
791,274
|
|
Deutsche Bank
|
|
|
(95,076
|
)
|
|
|
8/5/11
|
|
Sri Lankan Rupee
135,510,000
|
|
United States Dollar
1,165,677
|
|
HSBC Bank USA
|
|
|
(60,440
|
)
|
|
|
8/25/11
|
|
Euro
1,355,000
|
|
United States Dollar
1,707,436
|
|
Deutsche Bank
|
|
|
(292,812
|
)
|
|
|
9/7/11
|
|
Israeli Shekel
5,711,600
|
|
United States Dollar
1,633,987
|
|
Barclays Bank PLC
|
|
|
(46,029
|
)
|
|
|
9/7/11
|
|
Israeli Shekel
15,576,800
|
|
United States Dollar
4,455,861
|
|
Deutsche Bank
|
|
|
(125,913
|
)
|
|
|
9/8/11
|
|
Euro
898,000
|
|
United States Dollar
1,140,316
|
|
Citigroup Global Markets
|
|
|
(184,680
|
)
|
|
|
32
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
continued
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency
Exchange Contracts (continued)
|
Sales
|
|
|
|
|
|
|
|
|
Net Unrealized
|
|
|
|
|
|
|
|
|
|
|
Appreciation
|
|
|
Settlement Date
|
|
Deliver
|
|
In Exchange For
|
|
Counterparty
|
|
(Depreciation)
|
|
|
|
|
10/5/11
|
|
Israeli Shekel
2,843,000
|
|
United States Dollar
784,601
|
|
Barclays Bank PLC
|
|
$
|
(50,614
|
)
|
|
|
10/5/11
|
|
Israeli Shekel
10,384,500
|
|
United States Dollar
2,967,424
|
|
Citigroup Global Markets
|
|
|
(83,327
|
)
|
|
|
10/7/11
|
|
Sri Lankan Rupee
35,800,000
|
|
United States Dollar
316,394
|
|
HSBC Bank USA
|
|
|
(5,734
|
)
|
|
|
1/20/12
|
|
Sri Lankan Rupee
91,000,000
|
|
United States Dollar
808,530
|
|
Standard Chartered Bank
|
|
|
(4,787
|
)
|
|
|
3/9/12
|
|
Sri Lankan Rupee
30,490,000
|
|
United States Dollar
271,263
|
|
Standard Chartered Bank
|
|
|
(487
|
)
|
|
|
3/16/12
|
|
Sri Lankan Rupee
36,270,000
|
|
United States Dollar
320,690
|
|
Standard Chartered Bank
|
|
|
(2,448
|
)
|
|
|
3/23/12
|
|
Sri Lankan Rupee
67,120,000
|
|
United States Dollar
595,299
|
|
HSBC Bank USA
|
|
|
(2,449
|
)
|
|
|
4/27/12
|
|
Sri Lankan Rupee
61,000,000
|
|
United States Dollar
538,869
|
|
Standard Chartered Bank
|
|
|
(3,297
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(5,327,468
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchases
|
|
|
|
|
|
|
|
|
Net Unrealized
|
|
|
|
|
|
|
|
|
|
|
Appreciation
|
|
|
Settlement Date
|
|
In Exchange For
|
|
Deliver
|
|
Counterparty
|
|
(Depreciation)
|
|
|
|
|
5/2/11
|
|
New Turkish Lira
6,003,347
|
|
United States Dollar
3,723,313
|
|
JPMorgan Chase Bank
|
|
$
|
223,661
|
|
|
|
5/3/11
|
|
Romanian Leu
5,303,000
|
|
Euro
1,303,028
|
|
Credit Suisse
|
|
|
(3,194
|
)
|
|
|
5/4/11
|
|
Israeli Shekel
2,579,647
|
|
United States Dollar
752,996
|
|
Credit Suisse
|
|
|
10,118
|
|
|
|
5/4/11
|
|
Israeli Shekel
1,562,450
|
|
United States Dollar
455,906
|
|
Standard Bank
|
|
|
6,299
|
|
|
|
5/4/11
|
|
Serbian Dinar
28,871,000
|
|
Euro
290,599
|
|
Credit Suisse
|
|
|
1,313
|
|
|
|
5/4/11
|
|
Serbian Dinar
28,833,000
|
|
Euro
290,597
|
|
Raiffeisen Zentralbank
|
|
|
748
|
|
|
|
5/6/11
|
|
Polish Zloty
7,062,851
|
|
Euro
1,746,955
|
|
Credit Suisse
|
|
|
72,722
|
|
|
|
5/10/11
|
|
Mexican Peso
14,874,934
|
|
United States Dollar
1,228,775
|
|
Citigroup Global Markets
|
|
|
62,572
|
|
|
|
5/10/11
|
|
Mexican Peso
10,440,000
|
|
United States Dollar
859,578
|
|
Deutsche Bank
|
|
|
46,757
|
|
|
|
5/11/11
|
|
Hong Kong Dollar
30,326,000
|
|
United States Dollar
3,900,500
|
|
JPMorgan Chase Bank
|
|
|
4,446
|
|
|
|
5/11/11
|
|
New Turkish Lira
5,333,347
|
|
United States Dollar
3,510,166
|
|
Deutsche Bank
|
|
|
(9,085
|
)
|
|
|
33
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
continued
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency
Exchange Contracts (continued)
|
Purchases
|
|
|
|
|
|
|
|
|
Net Unrealized
|
|
|
|
|
|
|
|
|
|
|
Appreciation
|
|
|
Settlement Date
|
|
In Exchange For
|
|
Deliver
|
|
Counterparty
|
|
(Depreciation)
|
|
|
|
|
5/12/11
|
|
Hong Kong Dollar
30,212,000
|
|
United States Dollar
3,903,510
|
|
Goldman Sachs, Inc.
|
|
$
|
(13,229
|
)
|
|
|
5/16/11
|
|
Czech Koruna
72,880,000
|
|
Euro
2,986,029
|
|
Bank of America
|
|
|
42,814
|
|
|
|
5/16/11
|
|
Euro
2,500,446
|
|
United States Dollar
3,615,308
|
|
Goldman Sachs, Inc.
|
|
|
86,907
|
|
|
|
5/16/11
|
|
Mexican Peso
38,285,718
|
|
United States Dollar
3,224,712
|
|
Standard Bank
|
|
|
97,225
|
|
|
|
5/18/11
|
|
Swedish Krona
30,990,000
|
|
Euro
3,430,222
|
|
Goldman Sachs, Inc.
|
|
|
46,090
|
|
|
|
5/19/11
|
|
Indonesian Rupiah
18,217,000,000
|
|
United States Dollar
2,097,283
|
|
Credit Suisse
|
|
|
29,108
|
|
|
|
5/20/11
|
|
Indonesian Rupiah
2,822,000,000
|
|
United States Dollar
324,293
|
|
Barclays Bank PLC
|
|
|
5,099
|
|
|
|
5/20/11
|
|
Indonesian Rupiah
2,435,000,000
|
|
United States Dollar
279,885
|
|
Deutsche Bank
|
|
|
4,336
|
|
|
|
5/20/11
|
|
Indonesian Rupiah
2,993,000,000
|
|
United States Dollar
344,023
|
|
Standard Chartered Bank
|
|
|
5,329
|
|
|
|
5/23/11
|
|
Czech Koruna
56,849,529
|
|
Euro
2,325,515
|
|
Credit Suisse
|
|
|
39,320
|
|
|
|
5/23/11
|
|
Serbian Dinar
9,466,210
|
|
Euro
92,870
|
|
Deutsche Bank
|
|
|
3,313
|
|
|
|
5/23/11
|
|
Serbian Dinar
47,457,000
|
|
Euro
465,265
|
|
Standard Bank
|
|
|
17,083
|
|
|
|
5/23/11
|
|
Singapore Dollar
1,327,000
|
|
United States Dollar
1,041,029
|
|
Deutsche Bank
|
|
|
43,067
|
|
|
|
5/25/11
|
|
Indian Rupee
145,080,000
|
|
United States Dollar
3,251,457
|
|
Standard Chartered Bank
|
|
|
16,146
|
|
|
|
5/25/11
|
|
Mexican Peso
4,657,000
|
|
United States Dollar
396,712
|
|
Credit Suisse
|
|
|
7,037
|
|
|
|
5/26/11
|
|
Yuan Renminbi
3,918,075
|
|
United States Dollar
595,000
|
|
Bank of America
|
|
|
10,798
|
|
|
|
5/26/11
|
|
Yuan Renminbi
7,839,720
|
|
United States Dollar
1,190,000
|
|
Barclays Bank PLC
|
|
|
22,147
|
|
|
|
5/26/11
|
|
Yuan Renminbi
3,918,670
|
|
United States Dollar
595,000
|
|
Citigroup Global Markets
|
|
|
10,890
|
|
|
|
5/31/11
|
|
Norwegian Krone
15,000,000
|
|
Euro
1,926,448
|
|
Goldman Sachs, Inc.
|
|
|
3,258
|
|
|
|
5/31/11
|
|
Polish Zloty
2,940,000
|
|
Euro
746,363
|
|
Standard Bank
|
|
|
58
|
|
|
|
5/31/11
|
|
South Korean Won
2,238,000,000
|
|
United States Dollar
2,000,715
|
|
Barclays Bank PLC
|
|
|
92,328
|
|
|
|
5/31/11
|
|
South Korean Won
2,142,200,000
|
|
United States Dollar
1,915,072
|
|
Citigroup Global Markets
|
|
|
88,376
|
|
|
|
5/31/11
|
|
Swedish Krona
21,830,400
|
|
Euro
2,469,670
|
|
Credit Suisse
|
|
|
(47,613
|
)
|
|
|
34
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
continued
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency
Exchange Contracts (continued)
|
Purchases
|
|
|
|
|
|
|
|
|
Net Unrealized
|
|
|
|
|
|
|
|
|
|
|
Appreciation
|
|
|
Settlement Date
|
|
In Exchange For
|
|
Deliver
|
|
Counterparty
|
|
(Depreciation)
|
|
|
|
|
6/3/11
|
|
Yuan Renminbi
2,300,000
|
|
United States Dollar
347,642
|
|
Bank of America
|
|
$
|
8,423
|
|
|
|
6/3/11
|
|
Yuan Renminbi
2,300,000
|
|
United States Dollar
347,485
|
|
Deutsche Bank
|
|
|
8,580
|
|
|
|
6/6/11
|
|
Indonesian Rupiah
10,687,000,000
|
|
United States Dollar
1,229,521
|
|
Bank of America
|
|
|
17,292
|
|
|
|
6/6/11
|
|
Indonesian Rupiah
10,687,000,000
|
|
United States Dollar
1,229,946
|
|
Deutsche Bank
|
|
|
16,867
|
|
|
|
6/7/11
|
|
Singapore Dollar
1,315,000
|
|
United States Dollar
1,036,984
|
|
Bank of America
|
|
|
37,302
|
|
|
|
6/7/11
|
|
Singapore Dollar
1,315,000
|
|
United States Dollar
1,037,271
|
|
Citigroup Global Markets
|
|
|
37,015
|
|
|
|
6/7/11
|
|
Swedish Krona
15,555,000
|
|
Euro
1,727,105
|
|
Credit Suisse
|
|
|
13,899
|
|
|
|
6/9/11
|
|
Indonesian Rupiah
4,510,000,000
|
|
United States Dollar
509,317
|
|
Standard Chartered Bank
|
|
|
16,759
|
|
|
|
6/9/11
|
|
South Korean Won
560,000,000
|
|
United States Dollar
520,785
|
|
Bank of America
|
|
|
2,867
|
|
|
|
6/9/11
|
|
South Korean Won
710,000,000
|
|
United States Dollar
660,895
|
|
Credit Suisse
|
|
|
3,020
|
|
|
|
6/10/11
|
|
South Korean Won
697,000,000
|
|
United States Dollar
637,112
|
|
Barclays Bank PLC
|
|
|
14,606
|
|
|
|
6/10/11
|
|
South Korean Won
709,000,000
|
|
United States Dollar
648,110
|
|
Citigroup Global Markets
|
|
|
14,828
|
|
|
|
6/10/11
|
|
South Korean Won
716,000,000
|
|
United States Dollar
654,419
|
|
Goldman Sachs, Inc.
|
|
|
15,064
|
|
|
|
6/13/11
|
|
Indian Rupee
22,350,000
|
|
United States Dollar
500,448
|
|
Bank of America
|
|
|
1,218
|
|
|
|
6/13/11
|
|
Indian Rupee
25,116,000
|
|
United States Dollar
562,382
|
|
Barclays Bank PLC
|
|
|
1,369
|
|
|
|
6/13/11
|
|
Indian Rupee
27,320,000
|
|
United States Dollar
611,870
|
|
Credit Suisse
|
|
|
1,352
|
|
|
|
6/13/11
|
|
Indian Rupee
27,320,000
|
|
United States Dollar
611,870
|
|
Goldman Sachs, Inc.
|
|
|
1,352
|
|
|
|
6/13/11
|
|
Malaysian Ringgit
10,300,000
|
|
United States Dollar
3,408,903
|
|
Standard Chartered Bank
|
|
|
70,001
|
|
|
|
6/14/11
|
|
South Korean Won
63,500,000
|
|
United States Dollar
57,949
|
|
Barclays Bank PLC
|
|
|
1,411
|
|
|
|
6/14/11
|
|
South Korean Won
57,500,000
|
|
United States Dollar
52,478
|
|
Goldman Sachs, Inc.
|
|
|
1,273
|
|
|
|
6/15/11
|
|
Yuan Renminbi
9,800,000
|
|
United States Dollar
1,483,724
|
|
Citigroup Global Markets
|
|
|
35,493
|
|
|
|
6/15/11
|
|
Yuan Renminbi
20,600,000
|
|
United States Dollar
3,116,490
|
|
HSBC Bank USA
|
|
|
76,968
|
|
|
|
35
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
continued
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency
Exchange Contracts (continued)
|
Purchases
|
|
|
|
|
|
|
|
|
Net Unrealized
|
|
|
|
|
|
|
|
|
|
|
Appreciation
|
|
|
Settlement Date
|
|
In Exchange For
|
|
Deliver
|
|
Counterparty
|
|
(Depreciation)
|
|
|
|
|
6/21/11
|
|
Serbian Dinar
28,785,000
|
|
Euro
279,656
|
|
HSBC Bank USA
|
|
$
|
11,134
|
|
|
|
6/27/11
|
|
Norwegian Krone
15,407,300
|
|
Euro
1,975,624
|
|
Standard Bank
|
|
|
5,263
|
|
|
|
6/30/11
|
|
Hungarian Forint
397,852,974
|
|
Euro
1,493,722
|
|
Standard Bank
|
|
|
5,877
|
|
|
|
6/30/11
|
|
Indian Rupee
16,060,000
|
|
United States Dollar
357,923
|
|
Citigroup Global Markets
|
|
|
1,508
|
|
|
|
6/30/11
|
|
Indian Rupee
15,180,000
|
|
United States Dollar
338,311
|
|
Deutsche Bank
|
|
|
1,426
|
|
|
|
6/30/11
|
|
Indian Rupee
15,920,000
|
|
United States Dollar
354,803
|
|
HSBC Bank USA
|
|
|
1,495
|
|
|
|
7/5/11
|
|
Serbian Dinar
57,704,000
|
|
Euro
570,057
|
|
Deutsche Bank
|
|
|
5,579
|
|
|
|
7/18/11
|
|
Ghanaian Cedi
544,860
|
|
United States Dollar
353,117
|
|
Standard Bank
|
|
|
1,056
|
|
|
|
7/20/11
|
|
Ghanaian Cedi
1,067,600
|
|
United States Dollar
691,899
|
|
Standard Bank
|
|
|
1,723
|
|
|
|
7/22/11
|
|
Malaysian Ringgit
2,144,000
|
|
United States Dollar
709,042
|
|
Credit Suisse
|
|
|
14,196
|
|
|
|
7/29/11
|
|
Serbian Dinar
28,410,000
|
|
Euro
276,631
|
|
Citigroup Global Markets
|
|
|
5,966
|
|
|
|
7/29/11
|
|
Serbian Dinar
37,720,000
|
|
Euro
368,000
|
|
Standard Bank
|
|
|
6,862
|
|
|
|
8/4/11
|
|
Serbian Dinar
26,706,000
|
|
Euro
261,567
|
|
JPMorgan Chase Bank
|
|
|
2,725
|
|
|
|
8/12/11
|
|
Yuan Renminbi
3,880,000
|
|
United States Dollar
581,448
|
|
Bank of America
|
|
|
23,588
|
|
|
|
11/28/11
|
|
Yuan Renminbi
3,863,930
|
|
United States Dollar
595,000
|
|
Barclays Bank PLC
|
|
|
12,086
|
|
|
|
11/28/11
|
|
Yuan Renminbi
3,865,418
|
|
United States Dollar
595,000
|
|
JPMorgan Chase Bank
|
|
|
12,320
|
|
|
|
11/28/11
|
|
Yuan Renminbi
7,729,050
|
|
United States Dollar
1,190,000
|
|
Standard Chartered Bank
|
|
|
24,359
|
|
|
|
1/30/12
|
|
Yuan Renminbi
3,560,000
|
|
United States Dollar
551,271
|
|
Bank of America
|
|
|
10,237
|
|
|
|
1/30/12
|
|
Yuan Renminbi
12,255,100
|
|
United States Dollar
1,899,927
|
|
Barclays Bank PLC
|
|
|
33,034
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,603,637
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At April 30, 2011, closed forward foreign currency
purchases and sales contracts excluded above amounted to a
receivable of $296,717 and a payable of $149,127.
36
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
|
|
|
|
|
|
|
|
|
Net Unrealized
|
|
|
Expiration
|
|
|
|
|
|
Aggregate
|
|
|
|
Appreciation
|
|
|
Date
|
|
Contracts
|
|
Position
|
|
Cost
|
|
Value
|
|
(Depreciation)
|
|
|
|
|
6/11
|
|
16 Euro-Bobl
|
|
Short
|
|
$
|
(2,740,957
|
)
|
|
$
|
(2,731,004
|
)
|
|
$
|
9,953
|
|
|
|
6/11
|
|
20 Euro-Bund
|
|
Short
|
|
|
(3,627,929
|
)
|
|
|
(3,641,259
|
)
|
|
|
(13,330
|
)
|
|
|
6/11
|
|
6 Euro-Buxl
|
|
Short
|
|
|
(923,704
|
)
|
|
|
(921,572
|
)
|
|
|
2,132
|
|
|
|
6/11
|
|
19 Gold
|
|
Short
|
|
|
(2,774,061
|
)
|
|
|
(2,957,160
|
)
|
|
|
(183,099
|
)
|
|
|
6/11
|
|
7 Japan
10-Year
Bond
|
|
Short
|
|
|
(11,982,371
|
)
|
|
|
(12,085,927
|
)
|
|
|
(103,556
|
)
|
|
|
6/11
|
|
47 U.S.
5-Year
Treasury Note
|
|
Short
|
|
|
(5,478,438
|
)
|
|
|
(5,568,032
|
)
|
|
|
(89,594
|
)
|
|
|
7/11
|
|
22 Platinum
|
|
Long
|
|
|
1,973,547
|
|
|
|
2,052,050
|
|
|
|
78,503
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(298,991
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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-Buxl: Long-term debt securities issued by the Federal
Republic of Germany with a term to maturity of 24 to
35 years.
Japan
10-Year
Bond: Japanese Government Bonds (JGB) having a maturity of
7 years or more but less than 11 years.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Swaps
|
|
|
Notional
|
|
Fund
|
|
|
|
|
|
|
|
Net Unrealized
|
|
|
|
|
Amount
|
|
Pays/Receives
|
|
Floating
|
|
Annual
|
|
Termination
|
|
Appreciation
|
|
|
Counterparty
|
|
(000s omitted)
|
|
Floating Rate
|
|
Rate Index
|
|
Fixed Rate
|
|
Date
|
|
(Depreciation)
|
|
|
|
|
Bank of America
|
|
ILS 2,650
|
|
Receive
|
|
3-month ILS TELBOR
|
|
|
4.20
|
%
|
|
|
11/19/14
|
|
|
$
|
(3,870
|
)
|
|
|
Bank of America
|
|
ILS 2,600
|
|
Receive
|
|
3-month ILS TELBOR
|
|
|
4.54
|
|
|
|
1/6/15
|
|
|
|
(10,028
|
)
|
|
|
Bank of America
|
|
ZAR 5,852
|
|
Receive
|
|
3-month ZAR JIBAR
|
|
|
6.86
|
|
|
|
11/17/15
|
|
|
|
23,257
|
|
|
|
Bank of America
|
|
ZAR 6,082
|
|
Receive
|
|
3-month ZAR JIBAR
|
|
|
7.18
|
|
|
|
12/15/15
|
|
|
|
14,288
|
|
|
|
Bank of America
|
|
ZAR 2,773
|
|
Receive
|
|
3-month ZAR JIBAR
|
|
|
7.26
|
|
|
|
11/16/20
|
|
|
|
22,971
|
|
|
|
Bank of America
|
|
ZAR 5,850
|
|
Receive
|
|
3-month ZAR JIBAR
|
|
|
7.42
|
|
|
|
11/17/20
|
|
|
|
38,683
|
|
|
|
Bank of America
|
|
ZAR 4,072
|
|
Receive
|
|
3-month ZAR JIBAR
|
|
|
7.31
|
|
|
|
11/19/20
|
|
|
|
31,576
|
|
|
|
Barclays Bank PLC
|
|
ILS 1,311
|
|
Receive
|
|
3-month ILS TELBOR
|
|
|
5.15
|
|
|
|
3/5/20
|
|
|
|
1,117
|
|
|
|
Barclays Bank PLC
|
|
ILS 1,334
|
|
Receive
|
|
3-month ILS TELBOR
|
|
|
5.16
|
|
|
|
3/8/20
|
|
|
|
929
|
|
|
|
Citigroup Global Markets
|
|
ZAR 2,659
|
|
Receive
|
|
3-month ZAR JIBAR
|
|
|
7.29
|
|
|
|
11/19/20
|
|
|
|
21,178
|
|
|
|
Deutsche Bank
|
|
ZAR 2,073
|
|
Receive
|
|
3-month ZAR JIBAR
|
|
|
6.71
|
|
|
|
11/19/15
|
|
|
|
10,137
|
|
|
|
Deutsche Bank
|
|
ZAR 3,825
|
|
Receive
|
|
3-month ZAR JIBAR
|
|
|
7.26
|
|
|
|
11/16/20
|
|
|
|
31,685
|
|
|
|
Deutsche Bank
|
|
ZAR 2,467
|
|
Receive
|
|
3-month ZAR JIBAR
|
|
|
7.27
|
|
|
|
11/19/20
|
|
|
|
20,165
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
202,088
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ILS - Israeli Shekel
ZAR - South African Rand
37
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swaps
Sell Protection
|
|
|
|
|
|
|
|
|
|
|
Current
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market
|
|
|
|
Upfront
|
|
|
|
|
|
|
|
|
Notional
|
|
Contract
|
|
|
|
Annual
|
|
|
|
Payments
|
|
Net Unrealized
|
|
|
|
|
|
|
Amount*
|
|
Annual
|
|
Termination
|
|
Fixed
|
|
Market
|
|
Received
|
|
Appreciation
|
|
|
Reference Entity
|
|
Counterparty
|
|
(000s omitted)
|
|
Fixed Rate**
|
|
Date
|
|
Rate***
|
|
Value
|
|
(Paid)
|
|
(Depreciation)
|
|
|
|
|
Argentina
|
|
Bank of America
|
|
$
|
2,608
|
|
|
|
5.00
|
%
(1)
|
|
|
6/20/13
|
|
|
|
4.38
|
%
|
|
$
|
48,109
|
|
|
$
|
(15,678
|
)
|
|
$
|
32,431
|
|
|
|
Argentina
|
|
Bank of America
|
|
|
859
|
|
|
|
5.00
|
(1)
|
|
|
6/20/13
|
|
|
|
4.38
|
|
|
|
15,851
|
|
|
|
(11,782
|
)
|
|
|
4,069
|
|
|
|
Argentina
|
|
Bank of America
|
|
|
430
|
|
|
|
5.00
|
(1)
|
|
|
6/20/13
|
|
|
|
4.38
|
|
|
|
7,927
|
|
|
|
(6,067
|
)
|
|
|
1,860
|
|
|
|
Argentina
|
|
Bank of America
|
|
|
437
|
|
|
|
5.00
|
(1)
|
|
|
6/20/13
|
|
|
|
4.38
|
|
|
|
8,069
|
|
|
|
(8,146
|
)
|
|
|
(77
|
)
|
|
|
Argentina
|
|
Bank of America
|
|
|
442
|
|
|
|
5.00
|
(1)
|
|
|
6/20/13
|
|
|
|
4.38
|
|
|
|
8,144
|
|
|
|
(8,494
|
)
|
|
|
(350
|
)
|
|
|
Argentina
|
|
Credit Suisse
|
|
|
435
|
|
|
|
5.00
|
(1)
|
|
|
6/20/13
|
|
|
|
4.38
|
|
|
|
8,024
|
|
|
|
(2,615
|
)
|
|
|
5,409
|
|
|
|
Argentina
|
|
Credit Suisse
|
|
|
446
|
|
|
|
5.00
|
(1)
|
|
|
6/20/13
|
|
|
|
4.38
|
|
|
|
8,228
|
|
|
|
(4,483
|
)
|
|
|
3,745
|
|
|
|
Argentina
|
|
Credit Suisse
|
|
|
442
|
|
|
|
5.00
|
(1)
|
|
|
6/20/13
|
|
|
|
4.38
|
|
|
|
8,153
|
|
|
|
(6,257
|
)
|
|
|
1,896
|
|
|
|
Argentina
|
|
Credit Suisse
|
|
|
384
|
|
|
|
5.00
|
(1)
|
|
|
6/20/13
|
|
|
|
4.38
|
|
|
|
7,083
|
|
|
|
(5,436
|
)
|
|
|
1,647
|
|
|
|
Argentina
|
|
Credit Suisse
|
|
|
608
|
|
|
|
5.00
|
(1)
|
|
|
6/20/16
|
|
|
|
3.79
|
|
|
|
(16,854
|
)
|
|
|
15,039
|
|
|
|
(1,815
|
)
|
|
|
Argentina
|
|
Credit Suisse
|
|
|
432
|
|
|
|
5.00
|
(1)
|
|
|
6/20/16
|
|
|
|
3.79
|
|
|
|
(11,974
|
)
|
|
|
9,815
|
|
|
|
(2,159
|
)
|
|
|
Argentina
|
|
Deutsche Bank
|
|
|
442
|
|
|
|
5.00
|
(1)
|
|
|
6/20/13
|
|
|
|
4.38
|
|
|
|
8,153
|
|
|
|
(6,257
|
)
|
|
|
1,896
|
|
|
|
Argentina
|
|
Deutsche Bank
|
|
|
279
|
|
|
|
5.00
|
(1)
|
|
|
6/20/13
|
|
|
|
4.38
|
|
|
|
5,150
|
|
|
|
(3,950
|
)
|
|
|
1,200
|
|
|
|
Argentina
|
|
Deutsche Bank
|
|
|
442
|
|
|
|
5.00
|
(1)
|
|
|
6/20/13
|
|
|
|
4.38
|
|
|
|
8,144
|
|
|
|
(8,494
|
)
|
|
|
(350
|
)
|
|
|
Iceland
|
|
JPMorgan Chase Bank
|
|
|
2,600
|
|
|
|
1.75
|
|
|
|
3/20/18
|
|
|
|
2.50
|
|
|
|
(106,251
|
)
|
|
|
|
|
|
|
(106,251
|
)
|
|
|
Iceland
|
|
JPMorgan Chase Bank
|
|
|
1,000
|
|
|
|
2.10
|
|
|
|
3/20/23
|
|
|
|
2.49
|
|
|
|
(29,272
|
)
|
|
|
|
|
|
|
(29,272
|
)
|
|
|
Iceland
|
|
JPMorgan Chase Bank
|
|
|
1,000
|
|
|
|
2.45
|
|
|
|
3/20/23
|
|
|
|
2.49
|
|
|
|
(170
|
)
|
|
|
|
|
|
|
(170
|
)
|
|
|
South Africa
|
|
Bank of America
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
|
12/20/15
|
|
|
|
1.10
|
|
|
|
(704
|
)
|
|
|
1,497
|
|
|
|
793
|
|
|
|
South Africa
|
|
Bank of America
|
|
|
55
|
|
|
|
1.00
|
(1)
|
|
|
12/20/15
|
|
|
|
1.10
|
|
|
|
(194
|
)
|
|
|
432
|
|
|
|
238
|
|
|
|
South Africa
|
|
Barclays Bank PLC
|
|
|
145
|
|
|
|
1.00
|
(1)
|
|
|
12/20/15
|
|
|
|
1.10
|
|
|
|
(511
|
)
|
|
|
1,274
|
|
|
|
763
|
|
|
|
South Africa
|
|
Barclays Bank PLC
|
|
|
80
|
|
|
|
1.00
|
(1)
|
|
|
12/20/15
|
|
|
|
1.10
|
|
|
|
(282
|
)
|
|
|
697
|
|
|
|
415
|
|
|
|
South Africa
|
|
Credit Suisse
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
|
12/20/15
|
|
|
|
1.10
|
|
|
|
(704
|
)
|
|
|
1,760
|
|
|
|
1,056
|
|
|
|
South Africa
|
|
Credit Suisse
|
|
|
85
|
|
|
|
1.00
|
(1)
|
|
|
12/20/15
|
|
|
|
1.10
|
|
|
|
(299
|
)
|
|
|
814
|
|
|
|
515
|
|
|
|
South Africa
|
|
Deutsche Bank
|
|
|
155
|
|
|
|
1.00
|
(1)
|
|
|
12/20/15
|
|
|
|
1.10
|
|
|
|
(546
|
)
|
|
|
1,362
|
|
|
|
816
|
|
|
|
South Africa
|
|
Goldman Sachs, Inc.
|
|
|
205
|
|
|
|
1.00
|
(1)
|
|
|
12/20/15
|
|
|
|
1.10
|
|
|
|
(721
|
)
|
|
|
1,890
|
|
|
|
1,169
|
|
|
|
South Africa
|
|
Goldman Sachs, Inc.
|
|
|
90
|
|
|
|
1.00
|
(1)
|
|
|
12/20/15
|
|
|
|
1.10
|
|
|
|
(317
|
)
|
|
|
862
|
|
|
|
545
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(27,764
|
)
|
|
$
|
(52,217
|
)
|
|
$
|
(79,981
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swaps
Buy Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
Upfront
|
|
|
|
|
|
|
|
|
Notional
|
|
Contract
|
|
|
|
|
|
Payments
|
|
Net Unrealized
|
|
|
|
|
|
|
Amount
|
|
Annual
|
|
Termination
|
|
Market
|
|
Received
|
|
Appreciation
|
|
|
Reference Entity
|
|
Counterparty
|
|
(000s omitted)
|
|
Fixed Rate**
|
|
Date
|
|
Value
|
|
(Paid)
|
|
(Depreciation)
|
|
|
|
|
Austria
|
|
Barclays Bank PLC
|
|
$
|
2,200
|
|
|
|
0.44
|
%
|
|
|
12/20/13
|
|
|
$
|
(7,709
|
)
|
|
$
|
|
|
|
$
|
(7,709
|
)
|
|
|
Austria
|
|
Barclays Bank PLC
|
|
|
1,000
|
|
|
|
1.42
|
|
|
|
3/20/14
|
|
|
|
(32,455
|
)
|
|
|
|
|
|
|
(32,455
|
)
|
|
|
Brazil
|
|
Bank of America
|
|
|
1,000
|
|
|
|
1.00
|
(1)
|
|
|
6/20/20
|
|
|
|
33,008
|
|
|
|
(33,516
|
)
|
|
|
(508
|
)
|
|
|
Brazil
|
|
Bank of America
|
|
|
625
|
|
|
|
1.00
|
(1)
|
|
|
6/20/20
|
|
|
|
20,631
|
|
|
|
(26,432
|
)
|
|
|
(5,801
|
)
|
|
|
Brazil
|
|
Bank of America
|
|
|
680
|
|
|
|
1.00
|
(1)
|
|
|
12/20/20
|
|
|
|
24,865
|
|
|
|
(24,433
|
)
|
|
|
432
|
|
|
|
Brazil
|
|
Bank of America
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
|
12/20/20
|
|
|
|
10,970
|
|
|
|
(10,544
|
)
|
|
|
426
|
|
|
|
Brazil
|
|
Bank of America
|
|
|
100
|
|
|
|
1.00
|
(1)
|
|
|
12/20/20
|
|
|
|
3,656
|
|
|
|
(3,362
|
)
|
|
|
294
|
|
|
|
38
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swaps
Buy Protection (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Upfront
|
|
|
|
|
|
|
|
|
Notional
|
|
Contract
|
|
|
|
|
|
Payments
|
|
Net Unrealized
|
|
|
|
|
|
|
Amount
|
|
Annual
|
|
Termination
|
|
Market
|
|
Received
|
|
Appreciation
|
|
|
Reference Entity
|
|
Counterparty
|
|
(000s omitted)
|
|
Fixed Rate**
|
|
Date
|
|
Value
|
|
(Paid)
|
|
(Depreciation)
|
|
|
|
|
Brazil
|
|
Barclays Bank PLC
|
|
$
|
2,300
|
|
|
|
1.65
|
%
|
|
|
9/20/19
|
|
|
$
|
(46,562
|
)
|
|
$
|
|
|
|
$
|
(46,562
|
)
|
|
|
Brazil
|
|
Barclays Bank PLC
|
|
|
630
|
|
|
|
1.00
|
(1)
|
|
|
12/20/20
|
|
|
|
23,036
|
|
|
|
(23,164
|
)
|
|
|
(128
|
)
|
|
|
Brazil
|
|
Citigroup Global Markets
|
|
|
100
|
|
|
|
1.00
|
(1)
|
|
|
12/20/20
|
|
|
|
3,657
|
|
|
|
(3,402
|
)
|
|
|
255
|
|
|
|
Brazil
|
|
Credit Suisse
|
|
|
775
|
|
|
|
1.00
|
(1)
|
|
|
6/20/20
|
|
|
|
25,582
|
|
|
|
(38,730
|
)
|
|
|
(13,148
|
)
|
|
|
Brazil
|
|
Deutsche Bank
|
|
|
170
|
|
|
|
1.00
|
(1)
|
|
|
12/20/20
|
|
|
|
6,217
|
|
|
|
(6,451
|
)
|
|
|
(234
|
)
|
|
|
Brazil
|
|
HSBC Bank USA
|
|
|
775
|
|
|
|
1.00
|
(1)
|
|
|
6/20/20
|
|
|
|
25,582
|
|
|
|
(37,114
|
)
|
|
|
(11,532
|
)
|
|
|
Brazil
|
|
HSBC Bank USA
|
|
|
130
|
|
|
|
1.00
|
(1)
|
|
|
12/20/20
|
|
|
|
4,754
|
|
|
|
(4,422
|
)
|
|
|
332
|
|
|
|
Brazil
|
|
Standard Chartered Bank
|
|
|
130
|
|
|
|
1.00
|
(1)
|
|
|
12/20/20
|
|
|
|
4,754
|
|
|
|
(4,422
|
)
|
|
|
332
|
|
|
|
Egypt
|
|
Bank of America
|
|
|
350
|
|
|
|
1.00
|
(1)
|
|
|
6/20/15
|
|
|
|
29,683
|
|
|
|
(17,963
|
)
|
|
|
11,720
|
|
|
|
Egypt
|
|
Bank of America
|
|
|
1,400
|
|
|
|
1.00
|
(1)
|
|
|
9/20/15
|
|
|
|
127,106
|
|
|
|
(58,871
|
)
|
|
|
68,235
|
|
|
|
Egypt
|
|
Barclays Bank PLC
|
|
|
105
|
|
|
|
1.00
|
(1)
|
|
|
6/20/15
|
|
|
|
8,905
|
|
|
|
(3,543
|
)
|
|
|
5,362
|
|
|
|
Egypt
|
|
Citigroup Global Markets
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
|
6/20/20
|
|
|
|
52,486
|
|
|
|
(30,402
|
)
|
|
|
22,084
|
|
|
|
Egypt
|
|
Citigroup Global Markets
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
|
6/20/20
|
|
|
|
52,486
|
|
|
|
(31,936
|
)
|
|
|
20,550
|
|
|
|
Egypt
|
|
Deutsche Bank
|
|
|
650
|
|
|
|
1.00
|
(1)
|
|
|
6/20/15
|
|
|
|
55,125
|
|
|
|
(29,270
|
)
|
|
|
25,855
|
|
|
|
Egypt
|
|
Deutsche Bank
|
|
|
210
|
|
|
|
1.00
|
(1)
|
|
|
6/20/15
|
|
|
|
17,810
|
|
|
|
(7,009
|
)
|
|
|
10,801
|
|
|
|
Egypt
|
|
Deutsche Bank
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
|
6/20/15
|
|
|
|
25,442
|
|
|
|
(15,692
|
)
|
|
|
9,750
|
|
|
|
Egypt
|
|
Deutsche Bank
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
|
6/20/15
|
|
|
|
16,962
|
|
|
|
(10,129
|
)
|
|
|
6,833
|
|
|
|
Egypt
|
|
Deutsche Bank
|
|
|
350
|
|
|
|
1.00
|
(1)
|
|
|
6/20/20
|
|
|
|
61,234
|
|
|
|
(35,638
|
)
|
|
|
25,596
|
|
|
|
Egypt
|
|
Deutsche Bank
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
|
6/20/20
|
|
|
|
52,485
|
|
|
|
(27,032
|
)
|
|
|
25,453
|
|
|
|
Egypt
|
|
Deutsche Bank
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
|
6/20/20
|
|
|
|
52,486
|
|
|
|
(30,588
|
)
|
|
|
21,898
|
|
|
|
Egypt
|
|
JPMorgan Chase Bank
|
|
|
350
|
|
|
|
1.00
|
(1)
|
|
|
6/20/15
|
|
|
|
29,683
|
|
|
|
(17,963
|
)
|
|
|
11,720
|
|
|
|
Guatemala
|
|
Citigroup Global Markets
|
|
|
1,286
|
|
|
|
1.00
|
(1)
|
|
|
9/20/20
|
|
|
|
86,183
|
|
|
|
(92,749
|
)
|
|
|
(6,566
|
)
|
|
|
Italy
|
|
Credit Suisse
|
|
|
6,800
|
|
|
|
0.20
|
|
|
|
12/20/16
|
|
|
|
433,502
|
|
|
|
|
|
|
|
433,502
|
|
|
|
Lebanon
|
|
Barclays Bank PLC
|
|
|
500
|
|
|
|
1.00
|
(1)
|
|
|
12/20/14
|
|
|
|
37,386
|
|
|
|
(28,029
|
)
|
|
|
9,357
|
|
|
|
Lebanon
|
|
Barclays Bank PLC
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
24,281
|
|
|
|
(16,474
|
)
|
|
|
7,807
|
|
|
|
Lebanon
|
|
Barclays Bank PLC
|
|
|
100
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
8,094
|
|
|
|
(5,590
|
)
|
|
|
2,504
|
|
|
|
Lebanon
|
|
Barclays Bank PLC
|
|
|
100
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
8,094
|
|
|
|
(6,393
|
)
|
|
|
1,701
|
|
|
|
Lebanon
|
|
Citigroup Global Markets
|
|
|
1,200
|
|
|
|
3.30
|
|
|
|
9/20/14
|
|
|
|
(8,141
|
)
|
|
|
|
|
|
|
(8,141
|
)
|
|
|
Lebanon
|
|
Citigroup Global Markets
|
|
|
1,000
|
|
|
|
1.00
|
(1)
|
|
|
12/20/14
|
|
|
|
74,773
|
|
|
|
(56,904
|
)
|
|
|
17,869
|
|
|
|
Lebanon
|
|
Citigroup Global Markets
|
|
|
500
|
|
|
|
1.00
|
(1)
|
|
|
12/20/14
|
|
|
|
37,386
|
|
|
|
(28,029
|
)
|
|
|
9,357
|
|
|
|
Lebanon
|
|
Citigroup Global Markets
|
|
|
350
|
|
|
|
1.00
|
(1)
|
|
|
12/20/14
|
|
|
|
26,170
|
|
|
|
(19,226
|
)
|
|
|
6,944
|
|
|
|
Lebanon
|
|
Citigroup Global Markets
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
24,282
|
|
|
|
(14,676
|
)
|
|
|
9,606
|
|
|
|
Lebanon
|
|
Credit Suisse
|
|
|
800
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
64,751
|
|
|
|
(43,907
|
)
|
|
|
20,844
|
|
|
|
Lebanon
|
|
Credit Suisse
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
16,188
|
|
|
|
(11,041
|
)
|
|
|
5,147
|
|
|
|
Lebanon
|
|
Credit Suisse
|
|
|
100
|
|
|
|
1.00
|
(1)
|
|
|
6/20/15
|
|
|
|
8,710
|
|
|
|
(5,471
|
)
|
|
|
3,239
|
|
|
|
Lebanon
|
|
Deutsche Bank
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
16,188
|
|
|
|
(10,192
|
)
|
|
|
5,996
|
|
|
|
Lebanon
|
|
Deutsche Bank
|
|
|
100
|
|
|
|
1.00
|
(1)
|
|
|
6/20/15
|
|
|
|
8,710
|
|
|
|
(5,471
|
)
|
|
|
3,239
|
|
|
|
Malaysia
|
|
Bank of America
|
|
|
800
|
|
|
|
0.83
|
|
|
|
12/20/14
|
|
|
|
(9,064
|
)
|
|
|
|
|
|
|
(9,064
|
)
|
|
|
Malaysia
|
|
Barclays Bank PLC
|
|
|
2,100
|
|
|
|
2.40
|
|
|
|
3/20/14
|
|
|
|
(123,699
|
)
|
|
|
|
|
|
|
(123,699
|
)
|
|
|
Malaysia
|
|
Barclays Bank PLC
|
|
|
1,600
|
|
|
|
0.82
|
|
|
|
12/20/14
|
|
|
|
(17,539
|
)
|
|
|
|
|
|
|
(17,539
|
)
|
|
|
Malaysia
|
|
Citigroup Global Markets
|
|
|
2,000
|
|
|
|
2.45
|
|
|
|
3/20/14
|
|
|
|
(120,793
|
)
|
|
|
|
|
|
|
(120,793
|
)
|
|
|
Philippines
|
|
Barclays Bank PLC
|
|
|
1,000
|
|
|
|
1.70
|
|
|
|
12/20/14
|
|
|
|
(30,342
|
)
|
|
|
|
|
|
|
(30,342
|
)
|
|
|
Philippines
|
|
Barclays Bank PLC
|
|
|
1,500
|
|
|
|
1.84
|
|
|
|
12/20/14
|
|
|
|
(53,243
|
)
|
|
|
|
|
|
|
(53,243
|
)
|
|
|
Philippines
|
|
Barclays Bank PLC
|
|
|
1,100
|
|
|
|
1.85
|
|
|
|
12/20/14
|
|
|
|
(39,450
|
)
|
|
|
|
|
|
|
(39,450
|
)
|
|
|
39
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swaps
Buy Protection (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Upfront
|
|
|
|
|
|
|
|
|
Notional
|
|
Contract
|
|
|
|
|
|
Payments
|
|
Net Unrealized
|
|
|
|
|
|
|
Amount
|
|
Annual
|
|
Termination
|
|
Market
|
|
Received
|
|
Appreciation
|
|
|
Reference Entity
|
|
Counterparty
|
|
(000s omitted)
|
|
Fixed Rate**
|
|
Date
|
|
Value
|
|
(Paid)
|
|
(Depreciation)
|
|
|
|
|
Philippines
|
|
Barclays Bank PLC
|
|
$
|
655
|
|
|
|
1.00
|
%
(1)
|
|
|
3/20/15
|
|
|
$
|
(1,706
|
)
|
|
$
|
(14,803
|
)
|
|
$
|
(16,509
|
)
|
|
|
Philippines
|
|
Citigroup Global Markets
|
|
|
800
|
|
|
|
1.84
|
|
|
|
12/20/14
|
|
|
|
(28,396
|
)
|
|
|
|
|
|
|
(28,396
|
)
|
|
|
Philippines
|
|
Citigroup Global Markets
|
|
|
1,100
|
|
|
|
1.86
|
|
|
|
12/20/14
|
|
|
|
(39,856
|
)
|
|
|
|
|
|
|
(39,856
|
)
|
|
|
Philippines
|
|
Credit Suisse
|
|
|
5,000
|
|
|
|
2.15
|
|
|
|
9/20/11
|
|
|
|
(50,008
|
)
|
|
|
|
|
|
|
(50,008
|
)
|
|
|
Philippines
|
|
JPMorgan Chase Bank
|
|
|
5,000
|
|
|
|
2.17
|
|
|
|
9/20/11
|
|
|
|
(50,517
|
)
|
|
|
|
|
|
|
(50,517
|
)
|
|
|
Philippines
|
|
JPMorgan Chase Bank
|
|
|
1,100
|
|
|
|
1.69
|
|
|
|
12/20/14
|
|
|
|
(32,971
|
)
|
|
|
|
|
|
|
(32,971
|
)
|
|
|
Philippines
|
|
JPMorgan Chase Bank
|
|
|
656
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
(1,708
|
)
|
|
|
(14,826
|
)
|
|
|
(16,534
|
)
|
|
|
Russia
|
|
Bank of America
|
|
|
625
|
|
|
|
1.00
|
(1)
|
|
|
6/20/15
|
|
|
|
2,032
|
|
|
|
(28,533
|
)
|
|
|
(26,501
|
)
|
|
|
Russia
|
|
Citigroup Global Markets
|
|
|
600
|
|
|
|
1.00
|
(1)
|
|
|
6/20/15
|
|
|
|
1,951
|
|
|
|
(7,709
|
)
|
|
|
(5,758
|
)
|
|
|
Russia
|
|
Credit Suisse
|
|
|
700
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
1,137
|
|
|
|
(7,791
|
)
|
|
|
(6,654
|
)
|
|
|
Russia
|
|
Credit Suisse
|
|
|
600
|
|
|
|
1.00
|
(1)
|
|
|
6/20/15
|
|
|
|
1,951
|
|
|
|
(7,287
|
)
|
|
|
(5,336
|
)
|
|
|
Russia
|
|
Deutsche Bank
|
|
|
600
|
|
|
|
1.00
|
(1)
|
|
|
6/20/15
|
|
|
|
1,951
|
|
|
|
(7,287
|
)
|
|
|
(5,336
|
)
|
|
|
Russia
|
|
Goldman Sachs, Inc.
|
|
|
625
|
|
|
|
1.00
|
(1)
|
|
|
6/20/15
|
|
|
|
2,032
|
|
|
|
(28,533
|
)
|
|
|
(26,501
|
)
|
|
|
South Africa
|
|
Bank of America
|
|
|
1,200
|
|
|
|
1.00
|
(1)
|
|
|
12/20/19
|
|
|
|
39,896
|
|
|
|
(48,098
|
)
|
|
|
(8,202
|
)
|
|
|
South Africa
|
|
Bank of America
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
|
12/20/20
|
|
|
|
8,025
|
|
|
|
(7,428
|
)
|
|
|
597
|
|
|
|
South Africa
|
|
Bank of America
|
|
|
55
|
|
|
|
1.00
|
(1)
|
|
|
12/20/20
|
|
|
|
2,207
|
|
|
|
(2,241
|
)
|
|
|
(34
|
)
|
|
|
South Africa
|
|
Barclays Bank PLC
|
|
|
1,200
|
|
|
|
1.00
|
(1)
|
|
|
12/20/19
|
|
|
|
39,897
|
|
|
|
(55,600
|
)
|
|
|
(15,703
|
)
|
|
|
South Africa
|
|
Barclays Bank PLC
|
|
|
500
|
|
|
|
1.00
|
(1)
|
|
|
3/20/20
|
|
|
|
17,504
|
|
|
|
(17,760
|
)
|
|
|
(256
|
)
|
|
|
South Africa
|
|
Barclays Bank PLC
|
|
|
145
|
|
|
|
1.00
|
(1)
|
|
|
12/20/20
|
|
|
|
5,818
|
|
|
|
(5,365
|
)
|
|
|
453
|
|
|
|
South Africa
|
|
Barclays Bank PLC
|
|
|
80
|
|
|
|
1.00
|
(1)
|
|
|
12/20/20
|
|
|
|
3,210
|
|
|
|
(3,138
|
)
|
|
|
72
|
|
|
|
South Africa
|
|
Citigroup Global Markets
|
|
|
655
|
|
|
|
1.00
|
(1)
|
|
|
12/20/19
|
|
|
|
21,777
|
|
|
|
(34,504
|
)
|
|
|
(12,727
|
)
|
|
|
South Africa
|
|
Citigroup Global Markets
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
|
3/20/20
|
|
|
|
7,001
|
|
|
|
(11,087
|
)
|
|
|
(4,086
|
)
|
|
|
South Africa
|
|
Citigroup Global Markets
|
|
|
400
|
|
|
|
1.00
|
(1)
|
|
|
3/20/20
|
|
|
|
14,003
|
|
|
|
(22,886
|
)
|
|
|
(8,883
|
)
|
|
|
South Africa
|
|
Credit Suisse
|
|
|
400
|
|
|
|
1.00
|
(1)
|
|
|
3/20/20
|
|
|
|
14,003
|
|
|
|
(15,581
|
)
|
|
|
(1,578
|
)
|
|
|
South Africa
|
|
Credit Suisse
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
|
3/20/20
|
|
|
|
7,002
|
|
|
|
(9,478
|
)
|
|
|
(2,476
|
)
|
|
|
South Africa
|
|
Credit Suisse
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
|
12/20/20
|
|
|
|
8,025
|
|
|
|
(7,898
|
)
|
|
|
127
|
|
|
|
South Africa
|
|
Credit Suisse
|
|
|
85
|
|
|
|
1.00
|
(1)
|
|
|
12/20/20
|
|
|
|
3,410
|
|
|
|
(3,527
|
)
|
|
|
(117
|
)
|
|
|
South Africa
|
|
Deutsche Bank
|
|
|
155
|
|
|
|
1.00
|
(1)
|
|
|
12/20/20
|
|
|
|
6,219
|
|
|
|
(5,977
|
)
|
|
|
242
|
|
|
|
South Africa
|
|
Goldman Sachs, Inc.
|
|
|
205
|
|
|
|
1.00
|
(1)
|
|
|
12/20/20
|
|
|
|
8,226
|
|
|
|
(8,065
|
)
|
|
|
161
|
|
|
|
South Africa
|
|
Goldman Sachs, Inc.
|
|
|
90
|
|
|
|
1.00
|
(1)
|
|
|
12/20/20
|
|
|
|
3,611
|
|
|
|
(3,598
|
)
|
|
|
13
|
|
|
|
South Africa
|
|
JPMorgan Chase Bank
|
|
|
310
|
|
|
|
1.00
|
(1)
|
|
|
12/20/19
|
|
|
|
10,307
|
|
|
|
(20,437
|
)
|
|
|
(10,130
|
)
|
|
|
South Africa
|
|
JPMorgan Chase Bank
|
|
|
600
|
|
|
|
1.00
|
(1)
|
|
|
12/20/19
|
|
|
|
19,949
|
|
|
|
(32,959
|
)
|
|
|
(13,010
|
)
|
|
|
South Africa
|
|
JPMorgan Chase Bank
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
|
3/20/20
|
|
|
|
10,502
|
|
|
|
(11,480
|
)
|
|
|
(978
|
)
|
|
|
South Africa
|
|
JPMorgan Chase Bank
|
|
|
400
|
|
|
|
1.00
|
(1)
|
|
|
3/20/20
|
|
|
|
14,003
|
|
|
|
(15,855
|
)
|
|
|
(1,852
|
)
|
|
|
South Africa
|
|
JPMorgan Chase Bank
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
|
3/20/20
|
|
|
|
7,001
|
|
|
|
(10,955
|
)
|
|
|
(3,954
|
)
|
|
|
Spain
|
|
Barclays Bank PLC
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
|
3/20/20
|
|
|
|
28,066
|
|
|
|
(3,202
|
)
|
|
|
24,864
|
|
|
|
Spain
|
|
Barclays Bank PLC
|
|
|
1,080
|
|
|
|
1.00
|
(1)
|
|
|
12/20/20
|
|
|
|
106,789
|
|
|
|
(107,985
|
)
|
|
|
(1,196
|
)
|
|
|
Spain
|
|
Citigroup Global Markets
|
|
|
1,200
|
|
|
|
1.00
|
(1)
|
|
|
3/20/20
|
|
|
|
112,264
|
|
|
|
(29,243
|
)
|
|
|
83,021
|
|
|
|
Spain
|
|
Citigroup Global Markets
|
|
|
1,200
|
|
|
|
1.00
|
(1)
|
|
|
3/20/20
|
|
|
|
112,264
|
|
|
|
(60,220
|
)
|
|
|
52,044
|
|
|
|
Spain
|
|
Deutsche Bank
|
|
|
1,200
|
|
|
|
1.00
|
(1)
|
|
|
3/20/20
|
|
|
|
112,264
|
|
|
|
(27,614
|
)
|
|
|
84,650
|
|
|
|
Spain
|
|
Deutsche Bank
|
|
|
1,200
|
|
|
|
1.00
|
(1)
|
|
|
3/20/20
|
|
|
|
112,264
|
|
|
|
(60,220
|
)
|
|
|
52,044
|
|
|
|
Spain
|
|
Deutsche Bank
|
|
|
500
|
|
|
|
1.00
|
(1)
|
|
|
6/20/20
|
|
|
|
47,688
|
|
|
|
(32,374
|
)
|
|
|
15,314
|
|
|
|
Spain
|
|
Deutsche Bank
|
|
|
1,045
|
|
|
|
1.00
|
(1)
|
|
|
12/20/20
|
|
|
|
103,329
|
|
|
|
(104,486
|
)
|
|
|
(1,157
|
)
|
|
|
Thailand
|
|
Barclays Bank PLC
|
|
|
1,900
|
|
|
|
0.97
|
|
|
|
9/20/19
|
|
|
|
53,018
|
|
|
|
|
|
|
|
53,018
|
|
|
|
40
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swaps
Buy Protection (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Upfront
|
|
|
|
|
|
|
|
|
Notional
|
|
Contract
|
|
|
|
|
|
Payments
|
|
Net Unrealized
|
|
|
|
|
|
|
Amount
|
|
Annual
|
|
Termination
|
|
Market
|
|
Received
|
|
Appreciation
|
|
|
Reference Entity
|
|
Counterparty
|
|
(000s omitted)
|
|
Fixed Rate**
|
|
Date
|
|
Value
|
|
(Paid)
|
|
(Depreciation)
|
|
|
|
|
Thailand
|
|
Citigroup Global Markets
|
|
$
|
1,600
|
|
|
|
0.86
|
%
|
|
|
12/20/14
|
|
|
$
|
1,319
|
|
|
$
|
|
|
|
$
|
1,319
|
|
|
|
Thailand
|
|
Citigroup Global Markets
|
|
|
900
|
|
|
|
0.95
|
|
|
|
9/20/19
|
|
|
|
26,425
|
|
|
|
|
|
|
|
26,425
|
|
|
|
Thailand
|
|
JPMorgan Chase Bank
|
|
|
800
|
|
|
|
0.87
|
|
|
|
12/20/14
|
|
|
|
367
|
|
|
|
|
|
|
|
367
|
|
|
|
Uruguay
|
|
Citigroup Global Markets
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
|
6/20/20
|
|
|
|
22,963
|
|
|
|
(20,927
|
)
|
|
|
2,036
|
|
|
|
Uruguay
|
|
Deutsche Bank
|
|
|
600
|
|
|
|
1.00
|
(1)
|
|
|
6/20/20
|
|
|
|
45,927
|
|
|
|
(40,874
|
)
|
|
|
5,053
|
|
|
|
Banco Comercial Portugues, S.A.
|
|
JPMorgan Chase Bank
|
|
|
470
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
123,837
|
|
|
|
(20,326
|
)
|
|
|
103,511
|
|
|
|
Banco de Sabadell, S.A.
|
|
JPMorgan Chase Bank
|
|
|
470
|
|
|
|
3.00
|
(1)
|
|
|
3/20/15
|
|
|
|
26,651
|
|
|
|
(2,391
|
)
|
|
|
24,260
|
|
|
|
Citibank Corp.
|
|
Bank of America
|
|
|
683
|
|
|
|
1.00
|
(1)
|
|
|
9/20/20
|
|
|
|
21,332
|
|
|
|
(40,588
|
)
|
|
|
(19,256
|
)
|
|
|
Citibank Corp.
|
|
JPMorgan Chase Bank
|
|
|
683
|
|
|
|
1.00
|
(1)
|
|
|
9/20/20
|
|
|
|
21,331
|
|
|
|
(42,959
|
)
|
|
|
(21,628
|
)
|
|
|
Erste Group Bank AG
|
|
Barclays Bank PLC
|
|
|
470
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
16,395
|
|
|
|
(25,938
|
)
|
|
|
(9,543
|
)
|
|
|
ING Verzekeringen N.V.
|
|
JPMorgan Chase Bank
|
|
|
470
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
21,570
|
|
|
|
(11,667
|
)
|
|
|
9,903
|
|
|
|
OAO Gazprom
|
|
Bank of America
|
|
|
700
|
|
|
|
1.00
|
(1)
|
|
|
6/20/20
|
|
|
|
56,550
|
|
|
|
(88,192
|
)
|
|
|
(31,642
|
)
|
|
|
OAO Gazprom
|
|
Barclays Bank PLC
|
|
|
500
|
|
|
|
1.00
|
(1)
|
|
|
6/20/15
|
|
|
|
13,091
|
|
|
|
(27,441
|
)
|
|
|
(14,350
|
)
|
|
|
OAO Gazprom
|
|
Deutsche Bank
|
|
|
500
|
|
|
|
1.00
|
(1)
|
|
|
6/20/15
|
|
|
|
13,091
|
|
|
|
(27,616
|
)
|
|
|
(14,525
|
)
|
|
|
OAO Gazprom
|
|
Deutsche Bank
|
|
|
170
|
|
|
|
1.00
|
(1)
|
|
|
9/20/20
|
|
|
|
14,135
|
|
|
|
(19,107
|
)
|
|
|
(4,972
|
)
|
|
|
OAO Gazprom
|
|
Deutsche Bank
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
|
9/20/20
|
|
|
|
16,630
|
|
|
|
(23,194
|
)
|
|
|
(6,564
|
)
|
|
|
OAO Gazprom
|
|
Goldman Sachs, Inc.
|
|
|
170
|
|
|
|
1.00
|
(1)
|
|
|
9/20/20
|
|
|
|
14,135
|
|
|
|
(19,220
|
)
|
|
|
(5,085
|
)
|
|
|
OAO Gazprom
|
|
Goldman Sachs, Inc.
|
|
|
310
|
|
|
|
1.00
|
(1)
|
|
|
9/20/20
|
|
|
|
25,776
|
|
|
|
(36,807
|
)
|
|
|
(11,031
|
)
|
|
|
Rabobank Nederland N.V.
|
|
JPMorgan Chase Bank
|
|
|
470
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
(2,646
|
)
|
|
|
(340
|
)
|
|
|
(2,986
|
)
|
|
|
Raiffeisen Zentralbank
|
|
Barclays Bank PLC
|
|
|
470
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
22,353
|
|
|
|
(35,017
|
)
|
|
|
(12,664
|
)
|
|
|
iTraxx Europe Senior Financials
5-Year
Index
|
|
Bank of America
|
|
|
EUR 1,260
|
|
|
|
1.00
|
(1)
|
|
|
6/20/16
|
|
|
|
23,537
|
|
|
|
(37,520
|
)
|
|
|
(13,983
|
)
|
|
|
iTraxx Europe Subordinated Financials
5-Year
Index
|
|
Goldman Sachs, Inc.
|
|
|
EUR 1,800
|
|
|
|
1.00
|
(1)
|
|
|
6/20/16
|
|
|
|
147,756
|
|
|
|
(184,817
|
)
|
|
|
(37,061
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,692,265
|
|
|
$
|
(2,477,151
|
)
|
|
$
|
215,114
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
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
April 30, 2011, such maximum potential amount for all open
credit default swaps in which the Fund is the seller was
$14,501,000.
|
**
|
The contract annual fixed rate represents the fixed rate of
interest received by the Fund (as a seller of protection) or
paid by the Fund (as a buyer of protection) annually on the
notional amount of the credit default swap contract.
|
***
|
Current market annual fixed rates, utilized in determining the
net unrealized appreciation or depreciation as of period end,
serve as an indicator of the markets perception of the
current status of the payment/performance risk associated with
the credit derivative. The current market annual fixed rate of a
particular reference entity reflects the cost, as quoted by the
pricing vendor, of selling protection against default of that
entity as of period end and may include upfront payments
required to be made to enter into the agreement. The higher the
fixed rate, the greater the market perceived risk of a credit
event involving the reference entity. A rate identified as
Defaulted indicates a credit event has occurred for
the reference entity.
|
(1)
|
Upfront payment is exchanged with the counterparty as a result
of the standardized trading coupon.
|
EUR - Euro
41
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cross-Currency Swaps
|
|
|
Notional
|
|
Notional
|
|
|
|
|
|
|
|
|
|
|
|
|
Amount on
|
|
Amount on
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed Rate
|
|
Floating Rate
|
|
|
|
|
|
|
|
|
|
|
|
|
(Currency
|
|
(Currency
|
|
|
|
|
|
|
|
Net
|
|
|
|
|
Received)
|
|
Delivered)
|
|
|
|
|
|
Termination
|
|
Unrealized
|
|
|
Counterparty
|
|
(000s omitted)
|
|
(000s omitted)
|
|
Floating Rate
|
|
Fixed Rate
|
|
Date
|
|
Depreciation
|
|
|
|
|
Citigroup Global Markets
|
|
TRY 1,163
|
|
$
|
729
|
|
|
3 Month
USD-LIBOR-BBA
|
|
|
8.23
|
%
|
|
|
2/25/21
|
|
|
$
|
(34,222
|
)
|
|
|
Deutsche Bank
|
|
TRY 4,266
|
|
|
2,680
|
|
|
3 Month
USD-LIBOR-BBA
|
|
|
8.20
|
|
|
|
2/24/21
|
|
|
|
(127,776
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(161,998
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TRY - New Turkish Lira
The Fund pays interest on the currency received and receives
interest on the currency delivered. At the termination date, the
notional amount of the currency received will be exchanged for
the notional amount of the currency delivered.
At April 30, 2011, the Fund had sufficient cash
and/or
securities to cover commitments under these contracts.
In the normal course of pursuing its investment objectives and
its use of derivatives, the Fund is subject to the following
risks:
Commodity Risk: The Fund invests in commodities-linked
derivative investments, including commodity futures contracts
and options thereon and forward commodity contracts, that
provide exposure to the investment returns of certain
commodities. Commodities-related investments are used to enhance
return.
Credit Risk: The Fund enters into credit default swap
contracts to manage its credit risk, to gain a particular
exposure to credit risk, or to enhance return.
Foreign Exchange Risk: The Fund engages in forward foreign
currency exchange contracts, currency options and cross currency
swaps to enhance return or to hedge against fluctuations in
currency exchange rates. It also enters into forward foreign
currency exchange contracts as a substitute for the purchase or
sale of securities or currencies.
Interest Rate Risk: The Fund utilizes various interest rate
derivatives including futures, options on futures and interest
rate swaps to enhance return, to change the overall duration of
the portfolio, or to hedge against fluctuations in securities
prices due to interest rates.
The Fund enters into swap contracts,
over-the-counter
options, forward commodity contracts and forward foreign
currency exchange contracts that may contain provisions whereby
the counterparty may terminate the contract under certain
conditions, including but not limited to a decline in the
Funds net assets below a certain level over a certain
period of time, which would trigger a payment by the Fund for
those derivatives in a liability position. At April 30,
2011, the amount of derivatives with credit-related contingent
features in a net liability position was $4,073,514. The
aggregate fair value of assets pledged as collateral by the Fund
for such liability was $1,846,916 at April 30, 2011.
The non-exchange traded derivatives in which the Fund invests,
including swap contracts, over-the-counter options, forward
commodity contracts and forward foreign currency exchange
contracts, are subject to the risk that the counterparty to the
contract fails to perform its obligations under the contract. At
April 30, 2011, the maximum amount of loss the Fund would
incur due to counterparty risk was $3,722,513, with the highest
amount from any one counterparty being $695,015. Such maximum
amount would be reduced by any unamortized upfront payments
received by the Fund. Such amount would be increased by any
unamortized upfront payments made by the Fund. To mitigate this
risk, the Fund has entered into master netting agreements with
substantially all its derivative counterparties, which allows it
and a counterparty to aggregate amounts owed by each of them for
derivative transactions under the agreement into a single net
amount payable by either the Fund or the counterparty. At
April 30, 2011, the maximum amount of loss the Fund would
incur due to counterparty risk would be reduced by approximately
$3,339,542 due to master netting agreements. Counterparties may
be required to pledge collateral in the form of cash, U.S.
Government securities or highly-rated bonds for the benefit of
the Fund if the net amount due from the counterparty with
respect to a derivative contract exceeds a certain threshold.
The amount of collateral posted by the counterparties with
respect to such contracts would also reduce the amount of any
loss incurred.
42
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
continued
The fair value of derivative instruments (not considered to be
hedging instruments for accounting disclosure purposes) by risk
exposure at April 30, 2011 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value
|
|
|
|
|
Foreign
|
|
Interest
|
|
|
|
|
Consolidated Statement of Assets and Liabilities Caption
|
|
Credit
|
|
Exchange
|
|
Rate
|
|
Commodity
|
|
|
|
|
Securities of unaffiliated issuers, at value
|
|
$
|
|
|
|
$
|
111,699
|
|
|
$
|
|
|
|
$
|
4,400
|
|
|
|
Net unrealized appreciation*
|
|
|
|
|
|
|
|
|
|
|
12,085
|
|
|
|
78,503
|
|
|
|
Receivable for open and closed forward foreign currency exchange
contracts
|
|
|
|
|
|
|
1,989,831
|
|
|
|
|
|
|
|
|
|
|
|
Receivable for open swap contracts; Premium paid/received on
open swap contracts
|
|
|
3,530,105
|
|
|
|
|
|
|
|
215,986
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset Derivatives
|
|
$
|
3,530,105
|
|
|
$
|
2,101,530
|
|
|
$
|
228,071
|
|
|
$
|
82,903
|
|
|
|
|
|
Net unrealized appreciation*
|
|
$
|
|
|
|
$
|
|
|
|
$
|
(206,480
|
)
|
|
$
|
(183,099
|
)
|
|
|
Payable for open forward commodity contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(401,224
|
)
|
|
|
Payable for open and closed forward foreign currency exchange
contracts
|
|
|
|
|
|
|
(5,566,072
|
)
|
|
|
|
|
|
|
|
|
|
|
Payable for open swap contracts; Premium paid/received on open
swap contracts
|
|
|
(865,604
|
)
|
|
|
|
|
|
|
(175,896
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Liability Derivatives
|
|
$
|
(865,604
|
)
|
|
$
|
(5,566,072
|
)
|
|
$
|
(382,376
|
)
|
|
$
|
(584,323
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
|
Amount represents cumulative unrealized appreciation or
(depreciation) on futures contracts in the Futures Contracts
table above. Only the current days variation margin on
open futures contracts is reported within the Consolidated
Statement of Assets and Liabilities as Receivable or Payable for
variation margin, as applicable.
|
The effect of derivative instruments (not considered to be
hedging instruments for accounting disclosure purposes) on the
Consolidated Statement of Operations by risk exposure for the
six months ended April 30, 2011 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign
|
|
Interest
|
|
|
|
|
Consolidated Statement of Operations Caption
|
|
Credit
|
|
Exchange
|
|
Rate
|
|
Commodity
|
|
|
|
|
Net realized gain (loss)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial futures contracts
|
|
$
|
|
|
|
$
|
370,075
|
|
|
$
|
|
|
|
$
|
(102,834
|
)
|
|
|
Swap contracts
|
|
|
(641,304
|
)
|
|
|
|
|
|
|
(13,640
|
)
|
|
|
|
|
|
|
Foreign currency and forward foreign currency exchange contract
transactions
|
|
|
|
|
|
|
(1,607,476
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
(641,304
|
)
|
|
$
|
(1,237,401
|
)
|
|
$
|
(13,640
|
)
|
|
$
|
(102,834
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in unrealized appreciation (depreciation)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments
|
|
$
|
|
|
|
$
|
(218,175
|
)
|
|
$
|
|
|
|
$
|
(30,350
|
)
|
|
|
Financial futures contracts
|
|
|
|
|
|
|
|
|
|
|
(4,222
|
)
|
|
|
(104,596
|
)
|
|
|
Swap contracts
|
|
|
622,318
|
|
|
|
|
|
|
|
178,574
|
|
|
|
|
|
|
|
Forward commodity contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(401,224
|
)
|
|
|
Foreign currency and forward foreign currency exchange contracts
|
|
|
|
|
|
|
(1,998,110
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
622,318
|
|
|
$
|
(2,216,285
|
)
|
|
$
|
174,352
|
|
|
$
|
(536,170
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The average notional amounts of futures contracts, forward
commodity contracts, forward foreign currency exchange contracts
and swap contracts outstanding during the six months ended
April 30, 2011, which are indicative of the volume of these
derivative types, were approximately $18,995,000, $778,000,
$237,900,000 and $112,267,000, respectively.
The average principal amount of purchased currency options
contracts and the average number of purchased commodity options
contracts outstanding during the six months ended April 30,
2011, which are indicative of the volume of these derivative
types, were approximately $16,358,000 and 4 contracts,
respectively.
43
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
continued
8 Credit
Agreement
The Fund has entered into a Credit Agreement (the Agreement)
with a bank to borrow up to a limit of $150 million
($125 million prior to February 4, 2011) pursuant
to a
364-day
revolving line of credit. Borrowings under the Agreement are
secured by the assets of the Fund. Interest is charged at a rate
above the London Interbank Offered Rate (LIBOR) and is payable
monthly. Under the terms of the Agreement, the Fund pays a
commitment fee of 0.15% on the borrowing limit. Included in
interest expense is $48,935 of amortization of previously paid
up-front fees related to the period from November 1, 2010
through February 3, 2011. In connection with the renewal of
the Agreement on February 4, 2011, the Fund was not
required to pay up-front fees. The Fund is required to maintain
certain net asset levels during the term of the Agreement. At
April 30, 2011, the Fund had borrowings outstanding under
the Agreement of $117,000,000 at an interest rate of 1.13%. The
carrying amount of the borrowings at April 30, 2011
approximated its fair value. For the six months ended
April 30, 2011, the average borrowings under the Agreement
and the average interest rate were $105,038,674 and 1.24%
(annualized), respectively.
9 Risks
Associated with Foreign Investments
Investing in securities issued by companies whose principal
business activities are outside the United States may involve
significant risks not present in domestic investments. For
example, there is generally less publicly available information
about foreign companies, particularly those not subject to the
disclosure and reporting requirements of the U.S. securities
laws. Certain foreign issuers are generally not bound by uniform
accounting, auditing, and financial reporting requirements and
standards of practice comparable to those applicable to domestic
issuers. Investments in foreign securities also involve the risk
of possible adverse changes in investment or exchange control
regulations, expropriation or confiscatory taxation, limitation
on the removal of funds or other assets of the Fund, political
or financial instability or diplomatic and other developments
which could affect such investments. Foreign securities markets,
while growing in volume and sophistication, are generally not as
developed as those in the United States, and securities of some
foreign issuers (particularly those located in developing
countries) may be less liquid and more volatile than securities
of comparable U.S. companies. In general, there is less overall
governmental supervision and regulation of foreign securities
markets, broker-dealers and issuers than in the United States.
10 Fair
Value Measurements
Under generally accepted accounting principles for fair value
measurements, a three-tier hierarchy to prioritize the
assumptions, referred to as inputs, is used in valuation
techniques to measure fair value. The three-tier hierarchy of
inputs is summarized in the three broad levels listed below.
|
|
|
Level 1 quoted prices in active markets for
identical investments
|
|
|
Level 2 other significant observable inputs
(including quoted prices for similar investments, interest
rates, prepayment speeds, credit risk, etc.)
|
|
|
Level 3 significant unobservable inputs
(including a funds own assumptions in determining the fair
value of investments)
|
In cases where the inputs used to measure fair value fall in
different levels of the fair value hierarchy, the level
disclosed is determined based on the lowest level input that is
significant to the fair value measurement in its entirety. The
inputs or methodology used for valuing securities are not
necessarily an indication of the risk associated with investing
in those securities.
44
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
continued
At April 30, 2011, the hierarchy of inputs used in valuing
the Funds investments, which are carried at value, were as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Description
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
|
|
|
Senior Floating-Rate Interests
|
|
$
|
|
|
|
$
|
152,438,795
|
|
|
$
|
436,948
|
|
|
$
|
152,875,743
|
|
|
|
Collateralized Mortgage Obligations
|
|
|
|
|
|
|
19,821,044
|
|
|
|
|
|
|
|
19,821,044
|
|
|
|
Commercial Mortgage-Backed Securities
|
|
|
|
|
|
|
9,025,266
|
|
|
|
|
|
|
|
9,025,266
|
|
|
|
Mortgage Pass-Throughs
|
|
|
|
|
|
|
125,343,448
|
|
|
|
|
|
|
|
125,343,448
|
|
|
|
Asset-Backed Securities
|
|
|
|
|
|
|
384,983
|
|
|
|
|
|
|
|
384,983
|
|
|
|
Corporate Bonds & Notes
|
|
|
|
|
|
|
1,914,229
|
|
|
|
|
|
|
|
1,914,229
|
|
|
|
Foreign Corporate Bonds & Notes
|
|
|
|
|
|
|
2,789,092
|
|
|
|
|
|
|
|
2,789,092
|
|
|
|
Foreign Government Bonds
|
|
|
|
|
|
|
54,461,691
|
|
|
|
|
|
|
|
54,461,691
|
|
|
|
Common Stocks
|
|
|
6,919
|
|
|
|
1,394,660
|
|
|
|
3,081,321
|
|
|
|
4,482,900
|
|
|
|
Warrants
|
|
|
|
|
|
|
|
|
|
|
0
|
|
|
|
0
|
|
|
|
Precious Metals
|
|
|
7,523,259
|
|
|
|
|
|
|
|
|
|
|
|
7,523,259
|
|
|
|
Currency Options Purchased
|
|
|
|
|
|
|
111,699
|
|
|
|
|
|
|
|
111,699
|
|
|
|
Put Options Purchased
|
|
|
4,400
|
|
|
|
|
|
|
|
|
|
|
|
4,400
|
|
|
|
Short-Term Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Government Securities
|
|
|
|
|
|
|
84,014,115
|
|
|
|
|
|
|
|
84,014,115
|
|
|
|
U.S. Treasury Obligations
|
|
|
86,268
|
|
|
|
219,784
|
|
|
|
|
|
|
|
306,052
|
|
|
|
Repurchase Agreements
|
|
|
|
|
|
|
2,786,562
|
|
|
|
|
|
|
|
2,786,562
|
|
|
|
Other Securities
|
|
|
|
|
|
|
2,627,904
|
|
|
|
|
|
|
|
2,627,904
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments
|
|
$
|
7,620,846
|
|
|
$
|
457,333,272
|
|
|
$
|
3,518,269
|
|
|
$
|
468,472,387
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
|
$
|
|
|
|
$
|
1,989,831
|
|
|
$
|
|
|
|
$
|
1,989,831
|
|
|
|
Futures Contracts
|
|
|
90,588
|
|
|
|
|
|
|
|
|
|
|
|
90,588
|
|
|
|
Swap Contracts
|
|
|
|
|
|
|
3,746,091
|
|
|
|
|
|
|
|
3,746,091
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
7,711,434
|
|
|
$
|
463,069,194
|
|
|
$
|
3,518,269
|
|
|
$
|
474,298,897
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liability Description
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities Sold Short
|
|
$
|
|
|
|
$
|
(2,229,074
|
)
|
|
$
|
|
|
|
$
|
(2,229,074
|
)
|
|
|
Forward Foreign Currency Exchange Contracts
|
|
|
|
|
|
|
(5,566,072
|
)
|
|
|
|
|
|
|
(5,566,072
|
)
|
|
|
Forward Commodity Contracts
|
|
|
|
|
|
|
(401,224
|
)
|
|
|
|
|
|
|
(401,224
|
)
|
|
|
Futures Contracts
|
|
|
(389,579
|
)
|
|
|
|
|
|
|
|
|
|
|
(389,579
|
)
|
|
|
Swap Contracts
|
|
|
|
|
|
|
(1,041,500
|
)
|
|
|
|
|
|
|
(1,041,500
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
(389,579
|
)
|
|
$
|
(9,237,870
|
)
|
|
$
|
|
|
|
$
|
(9,627,449
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
45
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
continued
The following is a reconciliation of Level 3 assets for
which significant unobservable inputs were used to determine
fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments
|
|
|
|
|
|
|
|
|
|
|
in Senior
|
|
Investments
|
|
|
|
|
|
|
|
|
Floating-Rate
|
|
in Common
|
|
Investments
|
|
|
|
|
|
|
Interests
|
|
Stocks
|
|
in Warrants
|
|
Total
|
|
|
|
|
Balance as of October 31, 2010
|
|
$
|
504,027
|
|
|
$
|
496,034
|
|
|
$
|
|
|
|
$
|
1,000,061
|
|
|
|
Realized gains (losses)
|
|
|
(14
|
)
|
|
|
25,314
|
|
|
|
|
|
|
|
25,300
|
|
|
|
Change in net unrealized appreciation (depreciation)*
|
|
|
(117,342
|
)
|
|
|
1,758,737
|
|
|
|
|
|
|
|
1,641,395
|
|
|
|
Cost of purchases
|
|
|
57,069
|
|
|
|
144,983
|
|
|
|
0
|
|
|
|
202,052
|
|
|
|
Proceeds from sales
|
|
|
(6,720
|
)
|
|
|
(65,851
|
)
|
|
|
|
|
|
|
(72,571
|
)
|
|
|
Accrued discount (premium)
|
|
|
(72
|
)
|
|
|
|
|
|
|
|
|
|
|
(72
|
)
|
|
|
Transfers to Level 3**
|
|
|
|
|
|
|
722,104
|
|
|
|
|
|
|
|
722,104
|
|
|
|
Transfers from Level 3**
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance as of April 30, 2011
|
|
$
|
436,948
|
|
|
$
|
3,081,321
|
|
|
$
|
0
|
|
|
$
|
3,518,269
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in net unrealized appreciation (depreciation) on
investments still held as of April 30, 2011*
|
|
$
|
(117,746
|
)
|
|
$
|
1,758,737
|
|
|
$
|
|
|
|
$
|
1,640,991
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
|
Amount is included in the related amount on investments in the
Consolidated Statement of Operations.
|
**
|
|
Transfers are reflected at the value of the securities at the
beginning of the period. Transfers from Level 2 to
Level 3 were due to a reduction in the availability of
significant observable inputs in determining the fair value of
investments.
|
At April 30, 2011, the value of investments transferred
between Level 1 and Level 2, if any, during the six
months then ended was not significant.
46
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Annual
Meeting of Shareholders (Unaudited)
The Fund held its Annual Meeting of Shareholders on
February 25, 2011. The following action was taken by the
shareholders:
Item 1:
The election of Helen Frame Peters,
Lynn A. Stout and Ralph F. Verni as Class III Trustees of the
Fund for a three-year term expiring in 2014.
|
|
|
|
|
|
|
|
|
|
|
Nominee for Trustee
|
|
Number of Shares
|
|
|
|
Elected by All Shareholders
|
|
For
|
|
|
Withheld
|
|
|
|
|
|
Helen Frame Peters
|
|
|
17,309,152
|
|
|
|
363,074
|
|
|
|
Lynn A. Stout
|
|
|
17,306,581
|
|
|
|
365,645
|
|
|
|
Ralph F. Verni
|
|
|
17,304,886
|
|
|
|
367,340
|
|
|
|
47
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Board
of Trustees Contract Approval
Overview
of the Contract Review Process
The Investment Company Act of 1940, as amended (the 1940
Act), provides, in substance, that each investment
advisory agreement between a fund and its investment adviser
will continue in effect from year to year only if its
continuance is approved at least annually by the funds
board of trustees, including by a vote of a majority of the
trustees who are not interested persons of the fund
(Independent Trustees), cast in person at a meeting
called for the purpose of considering such approval.
At a meeting of the Boards of Trustees (each a
Board) of the Eaton Vance group of mutual funds (the
Eaton Vance Funds) held on April 25, 2011, the
Board, including a majority of the Independent Trustees, voted
to approve continuation of existing advisory and
sub-advisory
agreements for the Eaton Vance Funds for an additional one-year
period. In voting its approval, the Board relied upon the
affirmative recommendation of the Contract Review Committee of
the Board, which is a committee comprised exclusively of
Independent Trustees. Prior to making its recommendation, the
Contract Review Committee reviewed information furnished for a
series of meetings of the Contract Review Committee held between
February and April 2011. Such information included, among
other things, the following:
Information about
Fees, Performance and Expenses
|
|
|
|
|
An independent report comparing the advisory and related fees
paid by each fund with fees paid by comparable funds;
|
|
|
An independent report comparing each funds total expense
ratio and its components to comparable funds;
|
|
|
An independent report comparing the investment performance of
each fund (including yield data and Sharpe and information
ratios where relevant) to the investment performance of
comparable funds over various time periods;
|
|
|
Data regarding investment performance in comparison to relevant
peer groups of similarly managed funds and appropriate indices;
|
|
|
For each fund, comparative information concerning the fees
charged and the services provided by each adviser in managing
other mutual funds and institutional accounts using investment
strategies and techniques similar to those used in managing such
fund;
|
|
|
Profitability analyses for each adviser with respect to each
fund;
|
Information about
Portfolio Management
|
|
|
|
|
Descriptions of the investment management services provided to
each fund, including the investment strategies and processes
employed, and any changes in portfolio management processes and
personnel;
|
|
|
Information about the allocation of brokerage and the benefits
received by each adviser as a result of brokerage allocation,
including information concerning the acquisition of research
through client commission arrangements
and/or
the
funds policies with respect to soft dollar
arrangements;
|
|
|
Data relating to portfolio turnover rates of each fund;
|
|
|
The procedures and processes used to determine the fair value of
fund assets and actions taken to monitor and test the
effectiveness of such procedures and processes;
|
Information about
each Adviser
|
|
|
|
|
Reports detailing the financial results and condition of each
adviser;
|
|
|
Descriptions of the qualifications, education and experience of
the individual investment professionals whose responsibilities
include portfolio management and investment research for the
funds, and information relating to their compensation and
responsibilities with respect to managing other mutual funds and
investment accounts;
|
|
|
Copies of the Codes of Ethics of each adviser and its
affiliates, together with information relating to compliance
with and the administration of such codes;
|
|
|
Copies of or descriptions of each advisers policies and
procedures relating to proxy voting, the handling of corporate
actions and class actions;
|
|
|
Information concerning the resources devoted to compliance
efforts undertaken by each adviser and its affiliates on behalf
of the funds (including descriptions of various compliance
programs) and their record of compliance with investment
policies and restrictions, including policies with respect to
market-timing, late trading and selective portfolio disclosure,
and with policies on personal securities transactions;
|
|
|
Descriptions of the business continuity and disaster recovery
plans of each adviser and its affiliates;
|
|
|
A description of Eaton Vance Managements procedures for
overseeing third party advisers and
sub-advisers;
|
Other Relevant
Information
|
|
|
|
|
Information concerning the nature, cost and character of the
administrative and other non-investment management services
provided by Eaton Vance Management and its affiliates;
|
|
|
Information concerning management of the relationship with the
custodian, subcustodians and fund accountants by each adviser or
the funds administrator; and
|
|
|
The terms of each advisory agreement.
|
In addition to the information identified above, the Contract
Review Committee considered information provided from time to
time by each adviser throughout the year at meetings of the
Board and its committees. Over the course of the twelve-month
period ended April 30, 2011, with respect to one
48
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Board
of Trustees Contract Approval continued
or more funds, the Board met nine times and the Contract Review
Committee, the Audit Committee, the Governance Committee, the
Portfolio Management Committee and the Compliance Reports and
Regulatory Matters Committee, each of which is a Committee
comprised solely of Independent Trustees, met nine, fifteen,
seven, eight and twelve times, respectively. At such meetings,
the Trustees received, among other things, presentations by the
portfolio managers and other investment professionals of each
adviser relating to the investment performance of each fund and
the investment strategies used in pursuing the funds
investment objective including, where relevant, the use of
derivative instruments, as well as trading policies and
procedures and risk management techniques.
For funds that invest through one or more underlying portfolios,
the Board considered similar information about the portfolio(s)
when considering the approval of advisory agreements. In
addition, in cases where the funds investment adviser has
engaged a
sub-adviser,
the Board considered similar information about the
sub-adviser
when considering the approval of any
sub-advisory
agreement.
The Contract Review Committee was assisted throughout the
contract review process by Goodwin Procter LLP, legal counsel
for the Independent Trustees. The members of the Contract Review
Committee relied upon the advice of such counsel and their own
business judgment in determining the material factors to be
considered in evaluating each advisory and
sub-advisory
agreement and the weight to be given to each such factor. The
conclusions reached with respect to each advisory and
sub-advisory
agreement were based on a comprehensive evaluation of all the
information provided and not any single factor. Moreover, each
member of the Contract Review Committee may have placed varying
emphasis on particular factors in reaching conclusions with
respect to each advisory and
sub-advisory
agreement.
Results
of the Process
Based on its consideration of the foregoing, and such other
information as it deemed relevant, including the factors and
conclusions described below, the Contract Review Committee
concluded that the continuance of the investment advisory
agreement of Eaton Vance Short Duration Diversified Income Fund
(the Fund) with Eaton Vance Management (the
Adviser), including its fee structure, is in the
interests of shareholders and, therefore, the Contract Review
Committee recommended to the Board approval of the agreement.
The Board accepted the recommendation of the Contract Review
Committee as well as the factors considered and conclusions
reached by the Contract Review Committee with respect to the
agreement. Accordingly, the Board, including a majority of the
Independent Trustees, voted to approve continuation of the
investment advisory agreement for the Fund.
Nature,
Extent and Quality of Services
In considering whether to approve the investment advisory
agreement of the Fund, the Board evaluated the nature, extent
and quality of services provided to the Fund by the Adviser.
The Board considered the Advisers management capabilities
and investment process with respect to the types of investments
held by the Fund, including the education, experience and number
of its investment professionals and other personnel who provide
portfolio management, investment research, and similar services
to the Fund. In particular, the Board evaluated the abilities
and experience of such investment personnel in analyzing factors
such as credit risk and special considerations relevant to
investing in senior, secured floating rate loans, foreign debt
obligations, including debt of emerging market issuers, and
mortgage-backed securities. The Board considered the
Advisers in-house research capabilities as well as other
resources available to personnel of the Adviser. The Board also
took into account the resources dedicated to portfolio
management and other services, including the compensation
methods of the Adviser to recruit and retain investment
personnel, and the time and attention devoted to the Fund by
senior management.
The Board also reviewed the compliance programs of the Adviser
and relevant affiliates thereof. Among other matters, the Board
considered compliance and reporting matters relating to personal
trading by investment personnel, selective disclosure of
portfolio holdings, late trading, frequent trading, portfolio
valuation, business continuity and the allocation of investment
opportunities. The Board also evaluated the responses of the
Adviser and its affiliates to requests in recent years from
regulatory authorities such as the Securities and Exchange
Commission and the Financial Industry Regulatory Authority.
The Board considered shareholder and other administrative
services provided or managed by Eaton Vance Management and its
affiliates, including transfer agency and accounting services.
The Board evaluated the benefits to shareholders of investing in
a fund that is a part of a large family of funds.
After consideration of the foregoing factors, among others, the
Board concluded that the nature, extent and quality of services
provided by the Adviser, taken as a whole, are appropriate and
consistent with the terms of the investment advisory agreement.
Fund Performance
The Board compared the Funds investment performance to a
relevant universe of similarly managed funds identified by an
independent data provider and appropriate benchmark indices. The
Board reviewed comparative performance data for the one-,
three-, and five-year periods ended September 30, 2010 for
the Fund. On the basis of the foregoing and other relevant
information provided by the Adviser in response to inquiries
from the Contract Review Committee, the Board concluded that the
performance of the Fund was satisfactory.
49
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Board
of Trustees Contract Approval continued
Management
Fees and Expenses
The Board reviewed contractual investment advisory fee rates
payable by the Fund (referred to as management
fees). The Board noted the nature of the management fees
which are charged on total leveraged assets, and its
relationship to the investment objectives of the Fund. The Board
concluded that the fees were appropriate in light of the manner
in which the leverage will be used by the Adviser in managing
the Fund.
As part of its review, the Board considered the management fees
and the Funds total expense ratio for the year ended
September 30, 2010, as compared to a group of similarly
managed funds selected by an independent data provider. The
Board noted that the Fund has established a wholly-owned
subsidiary for the primary purpose of investing in
commodity-related investments. The subsidiary is managed by
Eaton Vance Management pursuant to a separate investment
advisory agreement that is subject to annual approval by the
Board. The subsidiarys fee rates are the same as those
charged to the Fund, and the Fund will not pay any additional
management fees with respect to its assets invested in the
subsidiary. The Board also considered factors that had an impact
on Fund expense ratios, as identified by management in response
to inquiries from the Contract Review Committee, as well as
actions being taken to reduce expenses at the Eaton Vance fund
complex level, including the negotiation of reduced fees for
transfer agency and custody services. The Board noted the fact
that the Adviser had waived fees
and/or
paid
expenses for the Fund.
After reviewing the foregoing information, and in light of the
nature, extent and quality of the services provided by the
Adviser, the Board concluded that the management fees charged
for advisory and related services are reasonable.
Profitability
The Board reviewed the level of profits realized by the Adviser
and relevant affiliates thereof in providing investment advisory
and administrative services to the Fund and to all Eaton Vance
Funds as a group. The Board considered the level of profits
realized with and without regard to revenue sharing or other
payments by the Adviser and its affiliates to third parties in
respect of distribution services. The Board also considered
other direct or indirect benefits received by the Adviser and
its affiliates in connection with its relationship with the
Fund, including the benefits of research services that may be
available to the Adviser as a result of securities transactions
effected to the Fund and other investment advisory clients.
The Board concluded that, in light of the foregoing factors and
the nature, extent and quality of the services rendered, the
profits realized by the Adviser and its affiliates are
reasonable.
Economies
of Scale
In reviewing management fees and profitability, the Board also
considered the extent to which the Adviser and its affiliates,
on the one hand, and the Fund, on the other hand, can expect to
realize benefits from economies of scale as the assets of the
Fund increase. The Board acknowledged the difficulty in
accurately measuring the benefits resulting from the economies
of scale with respect to the management of any specific fund or
group of funds. The Board reviewed data summarizing the
increases and decreases in the assets of the Fund and of all
Eaton Vance Funds as a group over various time periods, and
evaluated the extent to which the total expense ratio of the
Fund and the profitability of the Adviser and its affiliates may
have been affected by such increases or decreases. The Board
also considered the fact that the Fund is not continuously
offered and concluded that, in light of the level of the
Advisers profits with respect to the Fund, the
implementation of breakpoints in the advisory fee schedule is
not appropriate at this time. Based upon the foregoing, the
Board concluded that the Fund currently shares in the benefits
from economies of scale.
50
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
|
|
|
Officers of Eaton Vance Short
Duration Diversified Income Fund
|
|
|
Payson F. Swaffield
President
Barbara E. Campbell
Treasurer
|
|
Maureen A. Gemma
Vice President, Secretary and
Chief Legal Officer
Paul M. ONeil
Chief Compliance Officer
|
|
|
|
Trustees of Eaton Vance Short
Duration Diversified Income Fund
|
|
|
Ralph F. Verni
Chairman
Benjamin C. Esty
Thomas E. Faust Jr.*
Allen R. Freedman
|
|
William H. Park
Ronald A. Pearlman
Helen Frame Peters
Lynn A. Stout
|
Number of
Employees
The Fund is organized as a Massachusetts business trust and is
registered under the Investment Company Act of 1940, as amended,
as a closed-end management investment company and has no
employees.
Number of
Shareholders
As of April 30, 2011, Fund records indicate that there are
36 registered shareholders and approximately 13,342 shareholders
owning the Fund shares in street name, such as through brokers,
banks, and financial intermediaries.
If you are a street name shareholder and wish to receive Fund
reports directly, which contain important information about the
Fund, please write or call:
Eaton Vance Distributors, Inc.
Two International Place
Boston, MA 02110
1-800-262-1122
New York Stock
Exchange symbol
The New York Stock Exchange symbol is EVG.
51
Eaton Vance
Short
Duration Diversified Income Fund
April 30, 2011
Privacy.
The
Eaton Vance organization is committed to ensuring your financial
privacy. Each of the financial institutions identified below has
in effect the following policy (Privacy Policy) with
respect to nonpublic personal information about its customers:
|
|
|
Only such information received from you, through application
forms or otherwise, and information about your Eaton Vance fund
transactions will be collected. This may include information
such as name, address, social security number, tax status,
account balances and transactions.
|
|
|
None of such information about you (or former customers) will be
disclosed to anyone, except as permitted by law (which includes
disclosure to employees necessary to service your account). In
the normal course of servicing a customers account, Eaton
Vance may share information with unaffiliated third parties that
perform various required services such as transfer agents,
custodians and broker/dealers.
|
|
|
Policies and procedures (including physical, electronic and
procedural safeguards) are in place that are designed to protect
the confidentiality of such information.
|
|
|
We reserve the right to change our Privacy Policy at any time
upon proper notification to you. Customers may want to review
our Privacy Policy periodically for changes by accessing the
link on our homepage: www.eatonvance.com.
|
Our pledge of privacy applies to the following entities within
the Eaton Vance organization: the Eaton Vance Family of Funds,
Eaton Vance Management, Eaton Vance Investment Counsel, Eaton
Vance Distributors, Inc., Eaton Vance Trust Company, Eaton
Vance Managements Real Estate Investment Group and Boston
Management and Research. In addition, our Privacy Policy applies
only to those Eaton Vance customers who are individuals and who
have a direct relationship with us. If a customers account
(i.e., fund shares) is held in the name of a third-party
financial adviser/broker-dealer, it is likely that only such
advisers privacy policies apply to the customer. This
notice supersedes all previously issued privacy disclosures. For
more information about Eaton Vances Privacy Policy, please
call
1-800-262-1122.
Delivery of Shareholder
Documents.
The Securities and Exchange
Commission (the SEC) permits funds to deliver only
one copy of shareholder documents, including prospectuses, proxy
statements and shareholder reports, to fund investors with
multiple accounts at the same residential or post office box
address. This practice is often called householding
and it helps eliminate duplicate mailings to shareholders.
Eaton Vance, or your financial adviser, may household the
mailing of your documents indefinitely unless you instruct Eaton
Vance, or your financial adviser, otherwise.
If you would
prefer that your Eaton Vance documents not be householded,
please contact Eaton Vance at
1-800-262-1122,
or contact your financial adviser. Your instructions that
householding not apply to delivery of your Eaton Vance documents
will be effective within 30 days of receipt by Eaton Vance
or your financial adviser.
Portfolio
Holdings.
Each Eaton Vance Fund and its
underlying Portfolio(s) (if applicable) will file a schedule of
portfolio holdings on
Form N-Q
with the SEC for the first and third quarters of each fiscal
year. The
Form N-Q
will be available on the Eaton Vance website at
www.eatonvance.com, by calling Eaton Vance at
1-800-262-1122
or in the EDGAR database on the SECs website at
www.sec.gov.
Form N-Q
may also be reviewed and copied at the SECs public
reference room in Washington, D.C. (call
1-800-732-0330
for information on the operation of the public reference room).
Proxy
Voting.
From time to time, funds are required to
vote proxies related to the securities held by the funds. The
Eaton Vance Funds or their underlying Portfolios (if applicable)
vote proxies according to a set of policies and procedures
approved by the Funds and Portfolios Boards. You may
obtain a description of these policies and procedures and
information on how the Funds or Portfolios voted proxies
relating to portfolio securities during the most recent 12-month
period ended June 30, without charge, upon request, by
calling
1-800-262-1122
and by accessing the SECs website at www.sec.gov.
Additional Notice to
Shareholders.
The Fund may purchase shares of
its common stock in the open market when they trade at a
discount to net asset value or at other times if the Fund
determines such purchases are advisable. There can be no
assurance that the Fund will take such action or that such
purchases would reduce the discount.
Closed-End
Fund Information.
The Eaton Vance
closed-end funds make certain quarterly fund performance data
and information about portfolio characteristics (such as top
holdings and asset allocation) available on the Eaton Vance
website after the end of each calendar quarter-end. Certain
month end fund performance data for the funds, including total
returns, are posted to the website shortly after the end of each
calendar month. Portfolio holdings for the most recent calendar
quarter-end are also posted to the website approximately
30 days following the end of the quarter. This information
is available at www.eatonvance.com on the fund information pages
under Individual Investors Closed-End
Funds.
52
Investment
Adviser and Administrator
Eaton
Vance Management
Two International Place
Boston, MA 02110
Custodian
State
Street Bank and Trust Company
200 Clarendon Street
Boston, MA 02116
Transfer
Agent
American
Stock Transfer & Trust Company
59 Maiden Lane
Plaza Level
New York, NY 10038
Fund
Offices
Two
International Place
Boston, MA 02110
Item 2. Code of Ethics
Not required in this filing.
Item 3. Audit Committee Financial Expert
The registrants Board has designated William H. Park, an independent trustee, as its audit
committee financial expert. Mr. Park is a certified public accountant who is the Chief Financial
Officer of Aveon Group, L.P. (an investment management firm). Previously, he served as the Vice
Chairman of Commercial Industrial Finance Corp. (specialty finance company), as President and Chief
Executive Officer of Prizm Capital Management, LLC (investment management firm), as Executive Vice
President and Chief Financial Officer of United Asset Management Corporation (an institutional
investment management firm) and as a Senior Manager at Price Waterhouse (now
PricewaterhouseCoopers) (an independent registered public accounting firm).
Item 4. Principal Accountant Fees and Services
Not required in this filing.
Item 5. Audit Committee of Listed Registrants
Not required in this filing.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of
this Form N-CSR.
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
The Board of Trustees of the Trust has adopted a proxy voting policy and procedure (the Fund
Policy), pursuant to which the Trustees have delegated proxy voting responsibility to the Funds
investment adviser and adopted the investment advisers proxy voting policies and procedures (the
Policies) which are described below. The Trustees will review the Funds proxy voting records
from time to time and will annually consider approving the Policies for the upcoming year. In the
event that a conflict of interest arises between the Funds shareholders and the investment
adviser, the administrator, or any of their affiliates or any affiliate of the Fund, the investment
adviser will generally refrain from voting the proxies related to the companies giving rise to such
conflict until it consults with the Boards Contract Review Committee except as contemplated under
the Fund Policy. The Boards Contract Review Committee will instruct the investment adviser on the
appropriate course of action.
The Policies are designed to promote accountability of a companys management to its shareholders
and to align the interests of management with those shareholders. An independent proxy
voting service (Agent), currently Institutional Shareholder Services, Inc., has been retained to
assist in the voting of proxies through the provision of vote analysis, implementation and
recordkeeping and disclosure services. The investment adviser will generally vote proxies through
the Agent. The Agent is required to vote all proxies and/or refer them back to the investment
adviser pursuant to the Policies. It is generally the policy of the investment adviser to vote in
accordance with the recommendation of the Agent. The Agent shall refer to the investment adviser
proxies relating to mergers and restructurings, and the disposition of assets, termination,
liquidation and mergers contained in mutual fund proxies. The investment adviser will normally
vote against anti-takeover measures and other proposals designed to limit the ability of
shareholders to act on possible transactions, except in the case of closed-end management
investment companies. The investment adviser generally supports management on social and
environmental proposals. The investment adviser may abstain from voting from time to time where it
determines that the costs associated with voting a proxy outweighs the benefits derived from
exercising the right to vote or the economic effect on shareholders interests or the value of the
portfolio holding is indeterminable or insignificant.
In addition, the investment adviser will monitor situations that may result in a conflict of
interest between the Funds shareholders and the investment adviser, the administrator, or any of
their affiliates or any affiliate of the Fund by maintaining a list of significant existing and
prospective corporate clients. The investment advisers personnel responsible for reviewing and
voting proxies on behalf of the Fund will report any proxy received or expected to be received from
a company included on that list to the personnel of the investment adviser identified in the
Policies. If such personnel expects to instruct the Agent to vote such proxies in a manner
inconsistent with the guidelines of the Policies or
the recommendation of the Agent, the personnel will consult with members of senior management of
the investment adviser to determine if a material conflict of interests exists. If it is
determined that a material conflict does exist, the investment adviser will seek instruction on how
to vote from the Contract Review Committee.
Information on how the Fund voted proxies relating to portfolio securities during the most recent
12 month period ended June 30 is available (1) without charge, upon request, by calling
1-800-262-1122, and (2) on the Securities and Exchange Commissions website at
http://www.sec.gov
.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not required in this filing.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
No such purchases this period.
Item 10. Submission of Matters to a Vote of Security Holders
No Material Changes.
Item 11. Controls and Procedures
(a) It is the conclusion of the registrants principal executive officer and principal
financial officer that the effectiveness of the registrants current disclosure controls and
procedures (such disclosure controls and procedures having been evaluated within 90 days of the
date of this filing) provide reasonable assurance that the information required to be disclosed by
the registrant has been recorded, processed, summarized and reported within the time period
specified in the Commissions rules and forms and that the information required to be disclosed by
the registrant has been accumulated and communicated to the registrants principal executive
officer and principal financial officer in order to allow timely decisions regarding required
disclosure.
(b) There have been no changes in the registrants internal controls over financial reporting
during the second fiscal quarter of the period covered by this report that has materially affected,
or is reasonably likely to materially affect, the registrants internal control over financial
reporting.
Item 12. Exhibits
|
|
|
(a)(1)
|
|
Registrants Code of Ethics Not applicable (please see Item 2).
|
(a)(2)(i)
|
|
Treasurers Section 302 certification.
|
(a)(2)(ii)
|
|
Presidents Section 302 certification.
|
(b)
|
|
Combined Section 906 certification.
|
(c)
|
|
Registrants notices to shareholders pursuant to Registrants exemptive order granting an
exemption from Section 19(b) of the 1940 Act and Rule 19b-1 thereunder regarding distributions paid
pursuant to the Registrants Managed Distribution Plan.
|
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company
Act of 1940, the registrant has duly caused this report to be signed on its behalf by the
undersigned, thereunto duly authorized.
Eaton Vance Short Duration Diversified Income Fund
|
|
|
|
|
|
|
|
|
By:
|
/s/ Payson F. Swaffield
|
|
|
|
Payson F. Swaffield
|
|
|
|
President
|
|
|
Date: June 8, 2011
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act
of 1940, this report has been signed below by the following persons on behalf of the registrant and
in the capacities and on the dates indicated.
|
|
|
|
|
|
|
|
|
By:
|
/s/ Barbara E. Campbell
|
|
|
|
Barbara E. Campbell
|
|
|
|
Treasurer
|
|
|
Date: June 8, 2011
|
|
|
|
|
|
|
|
|
By:
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/s/ Payson F. Swaffield
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Payson F. Swaffield
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President
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Date: June 8, 2011
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