Notes to Financial Statements (Unaudited)
1 Significant Accounting Policies
Eaton Vance California Municipal Income Trust
(California Trust), Eaton Vance Massachusetts Municipal Income Trust (Massachusetts Trust), Eaton Vance Michigan Municipal Income Trust (Michigan Trust), Eaton Vance New Jersey Municipal Income Trust (New Jersey Trust), Eaton Vance New York
Municipal Income Trust (New York Trust), Eaton Vance Ohio Municipal Income Trust (Ohio Trust) and Eaton Vance Pennsylvania Municipal Income Trust (Pennsylvania Trust) (each individually referred to as the Trust, and collectively, the Trusts), are
Massachusetts business trusts registered under the Investment Company Act of 1940, as amended (the 1940 Act), as non-diversified, closed-end management investment companies. The Trusts’ investment objective is to provide current income exempt
from regular federal income tax and taxes in its specified state.
The following is a summary of significant accounting policies of the Trusts. The
policies are in conformity with accounting principles generally accepted in the United States of America.
A Investment Valuation
— The following methodologies are used to determine the market value or fair value of investments.
Debt Obligations.
Debt obligations (including short-term obligations with a remaining maturity of more than sixty days) 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. Short-term obligations purchased with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates market value.
Derivatives.
Financial futures contracts are valued at the closing settlement price established by the board of trade or exchange on which they
are traded.
Fair Valuation.
Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued
at fair value using methods determined in good faith by or at the direction of the Trustees of a Trust in a manner that fairly reflects the security’s value, or the amount that the Trust might reasonably expect to receive for the security upon
its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security,
the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable 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 entity’s financial condition, and an evaluation of the forces that
influence the issuer and the market(s) in which the security is purchased and sold.
B Investment Transactions and Related
Income
— 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. Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount.
C Federal Taxes
— Each Trust’s 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 taxable, if any, and tax-exempt 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. Each Trust intends to satisfy conditions which will enable it to designate distributions from the interest income generated by its investments in non-taxable municipal securities, which are exempt from regular
federal income tax when received by each Trust, as exempt-interest dividends. The portion of such interest, if any, earned on private activity bonds issued after August 7, 1986, may be considered a tax preference item to shareholders.
At November 30, 2012, the following Trusts, for federal income tax purposes, had capital loss carryforwards and deferred capital losses which will
reduce the respective Trust’s 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 Trusts of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Trusts’ next taxable year and are treated as realized prior
to the utilization of the capital loss carryforward. The amounts and expiration dates of the capital loss carryforwards and the amounts of the deferred capital losses are as follows:
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Expiration Date
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California
Trust
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Massachusetts
Trust
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Michigan
Trust
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New Jersey
Trust
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New York
Trust
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Ohio
Trust
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Pennsylvania
Trust
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November 30, 2013
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$
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—
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$
|
—
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$
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224,050
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|
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$
|
—
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$
|
—
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|
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$
|
588,403
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|
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$
|
389,289
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November 30, 2016
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6,689,345
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|
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692,532
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517,712
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—
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2,354,581
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736,482
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800,874
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November 30, 2017
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4,084,290
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991,790
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337,540
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|
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3,185,143
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3,171,310
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840,450
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—
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November 30, 2018
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355,871
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—
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34,334
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1,512,852
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|
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671,928
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|
|
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41,243
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329,527
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November 30, 2019
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5,299,748
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|
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1,780,081
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345,052
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4,137,608
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3,607,489
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1,169,431
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1,724,760
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Total capital loss carryforward
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$
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16,429,254
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|
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$
|
3,464,403
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$
|
1,458,688
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|
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$
|
8,835,603
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|
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$
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9,805,308
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|
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$
|
3,376,009
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|
|
$
|
3,244,450
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Deferred capital losses
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$
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1,073,756
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|
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$
|
445,924
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|
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$
|
361,063
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|
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$
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1,210,103
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|
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$
|
654,735
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|
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$
|
678,454
|
|
|
$
|
783,890
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Eaton Vance
Municipal Income Trusts
May 31, 2013
Notes to Financial Statements (Unaudited) — continued
As of May 31, 2013, the Trusts had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. Each Trust files a U.S. federal tax return annually after its
fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
D Expense Reduction
— State Street Bank and Trust Company (SSBT) serves as custodian of the Trusts. Pursuant to the custodian
agreement, SSBT receives a fee reduced by credits, which are determined based on the average daily cash balance each Trust maintains with SSBT. All credit balances, if any, used to reduce each Trust’s custodian fees are reported as a reduction
of expenses in the Statements of Operations.
E Legal Fees
— Legal fees and other related expenses incurred as part of negotiations of the terms and requirement of capital infusions, or that are expected to result in the restructuring of, or a plan of
reorganization for, an investment are recorded as realized losses. Ongoing expenditures to protect or enhance an investment are treated as operating expenses.
F Use of Estimates
— The preparation of the 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 financial statements and the reported
amounts of income and expense during the reporting period. Actual results could differ from those estimates.
G Indemnifications
— Under each Trust’s organizational documents, its officers and Trustees may be indemnified against
certain liabilities and expenses arising out of the performance of their duties to each Trust. Under Massachusetts law, if certain conditions prevail, shareholders of a Massachusetts business trust (such as a Trust) could be deemed to have personal
liability for the obligations of the Trust. However, each Trust’s Declaration of Trust contains an express disclaimer of liability on the part of Trust shareholders and the By-laws provide that the Trust shall assume the defense on behalf of
any Trust shareholders. Moreover, the By-laws also provide for indemnification out of Trust 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, each Trust enters into agreements with service providers that may contain indemnification clauses. Each Trust’s maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against each Trust that have not yet occurred.
H Floating Rate Notes Issued in Conjunction with Securities Held
— The Trusts may invest in residual interest bonds, also referred to as inverse floating rate securities, whereby a Trust may sell a variable or fixed rate bond to a broker for cash. At the same time,
the Trust buys a residual interest in the assets and cash flows of a Special-Purpose Vehicle (the SPV), (which is generally organized as a trust), set up by the broker. The broker deposits a bond into the SPV with the same CUSIP number as the bond
sold to the broker by the Trust, and which may have been, but is not required to be, the bond purchased from the Trust (the Bond). The SPV also issues floating rate notes (Floating Rate Notes) which are sold to third-parties. The residual interest
bond held by a Trust gives the Trust the right (1) to cause the holders of the Floating Rate Notes to generally tender their notes at par, and (2) to have the broker transfer the Bond held by the SPV to the Trust, thereby terminating the
SPV. Should the Trust exercise such right, it would generally pay the broker the par amount due on the Floating Rate Notes and exchange the residual interest bond for the underlying Bond. Pursuant to generally accepted accounting principles for
transfers and servicing of financial assets and extinguishment of liabilities, the Trusts account for the transaction described above as a secured borrowing by including the Bond in their Portfolio of Investments and the Floating Rate Notes as a
liability under the caption “Payable for floating rate notes issued” in their Statement of Assets and Liabilities. The Floating Rate Notes have interest rates that generally reset weekly and their holders have the option to tender their
notes to the broker for redemption at par at each reset date. Accordingly, the fair value of the payable for floating rate notes issued approximates its carrying value. If measured at fair value, the payable for floating rate notes would have been
considered as Level 2 in the fair value hierarchy (see Note 10) at May 31, 2013. Interest expense related to the Trusts’ liability with respect to Floating Rate Notes is recorded as incurred. The SPV may be terminated by the Trust, as
noted above, or by the broker upon the occurrence of certain termination events as defined in the trust agreement, such as a downgrade in the credit quality of the underlying Bond, bankruptcy of or payment failure by the issuer of the underlying
Bond, the inability to remarket Floating Rate Notes that have been tendered due to insufficient buyers in the market, or the failure by the SPV to obtain renewal of the liquidity agreement under which liquidity support is provided for the Floating
Rate Notes up to one year. Structuring fees paid to the liquidity provider upon the creation of an SPV have been recorded as debt issuance costs and are being amortized as interest expense to the expected maturity of the related trust. Unamortized
structuring fees related to a terminated SPV are recorded as a realized loss on extinguishment of debt. At May 31, 2013, the amounts of the Trusts’ Floating Rate Notes and related interest rates and collateral were as follows:
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California
Trust
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Massachusetts
Trust
|
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New Jersey
Trust
|
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New York
Trust
|
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Pennsylvania
Trust
|
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Floating Rate Notes Outstanding
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$
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14,680,000
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$
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4,885,000
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$
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8,720,000
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$
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19,315,000
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$
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1,650,000
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Interest Rate or Range of Interest Rates (%)
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0.11 - 0.38
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0.12 - 0.14
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0.12 - 0.27
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0.11 - 0.17
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0.13 - 0.38
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Collateral for Floating Rate Notes Outstanding
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$
|
19,038,703
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$
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7,085,336
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$
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12,626,258
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$
|
28,398,577
|
|
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$
|
2,986,370
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Eaton Vance
Municipal Income Trusts
May 31, 2013
Notes to Financial Statements (Unaudited) — continued
For the six months ended May 31, 2013, the Trusts’ average Floating Rate Notes outstanding and the average interest rate (annualized) including fees and amortization of deferred debt issuance costs were
as follows:
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California
Trust
|
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Massachusetts
Trust
|
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New Jersey
Trust
|
|
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New York
Trust
|
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Pennsylvania
Trust
|
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|
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Average Floating Rate Notes Outstanding
|
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$
|
14,680,000
|
|
|
$
|
4,885,000
|
|
|
$
|
8,966,346
|
|
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$
|
19,315,000
|
|
|
$
|
1,650,000
|
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Average Interest Rate
|
|
|
0.65
|
%
|
|
|
0.69
|
%
|
|
|
0.70
|
%
|
|
|
0.68
|
%
|
|
|
0.86
|
%
|
The Trusts may enter into shortfall and forbearance agreements with the broker by which a Trust agrees to reimburse the broker, in
certain circumstances, for the difference between the liquidation value of the Bond held by the SPV and the liquidation value of the Floating Rate Notes, as well as any shortfalls in interest cash flows. The Trusts had no shortfalls as of
May 31, 2013.
The Trusts may also purchase residual interest bonds from brokers in a secondary market transaction without first owning the
underlying bond. Such transactions are not required to be treated as secured borrowings. Shortfall agreements, if any, related to residual interest bonds purchased in a secondary market transaction are disclosed in the Portfolio of Investments.
The Trusts’ investment policies and restrictions expressly permit investments in residual interest bonds. Such bonds typically offer the potential
for yields exceeding the yields available on fixed rate bonds with comparable credit quality and maturity. These securities tend to underperform the market for fixed rate bonds in a rising long-term interest rate environment, but tend to outperform
the market for fixed rate bonds when long-term interest rates decline. The value and income of residual interest bonds are generally more volatile than that of a fixed rate bond. The Trusts’ investment policies do not allow the Trusts to borrow
money except as permitted by the 1940 Act. Management believes that the Trusts’ restrictions on borrowing money and issuing senior securities (other than as specifically permitted) do not apply to Floating Rate Notes issued by the SPV and
included as a liability in the Trusts’ Statement of Assets and Liabilities. As secured indebtedness issued by an SPV, Floating Rate Notes are distinct from the borrowings and senior securities to which the Trusts’ restrictions apply.
Residual interest bonds held by the Trusts are securities exempt from registration under Rule 144A of the Securities Act of 1933.
I Financial Futures Contracts
— Upon entering into a financial futures contract, a Trust is required to deposit with the broker,
either in cash or securities, an amount equal to a certain percentage of the contract amount (initial margin). Subsequent payments, known as variation margin, are made or received by the Trust each business day, depending on the daily fluctuations
in the value of the underlying security, and are recorded as unrealized gains or losses by the Trust. Gains (losses) are realized upon the expiration or closing of the financial futures contracts. Should market conditions change unexpectedly, the
Trust may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. Futures contracts have minimal counterparty risk as they are exchange traded and the clearinghouse for the exchange is substituted as the
counterparty, guaranteeing counterparty performance.
J When-Issued Securities
and Delayed Delivery Transactions
— The Trusts may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement
period for that security. At the time the transaction is negotiated, the price of the security that will be delivered is fixed. The Trusts maintain security positions for these commitments such that sufficient liquid assets will be available to make
payments upon settlement. Securities purchased on a delayed delivery or when-issued basis are marked-to-market daily and begin earning interest on settlement date. Losses may arise due to changes in the market value of the underlying securities or
if the counterparty does not perform under the contract.
K Statement of Cash
Flows
— The cash amount shown in the Statement of Cash Flows of a Trust is the amount included in the Trust’s Statement of Assets and Liabilities and represents the unrestricted cash on hand
at its custodian and does not include any short-term investments.
L Interim
Financial Statements
— The interim financial statements relating to May 31, 2013 and for the six months then ended have not been audited by an independent registered public accounting
firm, but in the opinion of the Trusts’ management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
2 Auction Preferred Shares
Each Trust
issued Auction Preferred Shares (APS) on March 1, 1999 in a public offering. The underwriting discounts and other offering costs incurred in connection with the offering were recorded as a reduction of the paid-in capital of the common shares
of each respective Trust. Dividends on the APS, which accrue daily, are cumulative at rates which are reset every seven days by an auction, unless a special dividend period has been set. If the APS auctions do not successfully clear, the dividend
payment rate over the next period for the APS holders is set at a specified maximum applicable rate until such time as the APS auctions are successful. The maximum applicable rate on the APS is 110% (150% for taxable distributions) of the greater of
the 1) “AA” Financial Composite Commercial Paper Rate or 2) Taxable Equivalent of the Short-Term Municipal Obligation Rate on the date of the auction. The stated spread over the reference benchmark rate is determined based on the credit
rating of the APS.
The APS are redeemable at the option of each Trust at a redemption price equal to $25,000 per share, plus accumulated and unpaid
dividends, on any dividend payment date. The APS are also subject to mandatory redemption at a redemption price equal to $25,000 per share, plus accumulated and
Eaton Vance
Municipal Income Trusts
May 31, 2013
Notes to Financial Statements (Unaudited) — continued
unpaid dividends, if a Trust is in default for an extended period on its asset maintenance requirements with respect to the APS. If the dividends on the APS remain unpaid in an amount equal to
two full years’ dividends, the holders of the APS as a class have the right to elect a majority of the Board of Trustees. In general, the holders of the APS and the common shares have equal voting rights of one vote per share, except that the
holders of the APS, as a separate class, have the right to elect at least two members of the Board of Trustees. The APS have a liquidation preference of $25,000 per share, plus accumulated and unpaid dividends. Each Trust is required to maintain
certain asset coverage with respect to the APS as defined in the Trusts’ By-laws and the 1940 Act. Each Trust pays an annual fee up to 0.15% of the liquidation value of the APS to broker/dealers as a service fee if the auctions are
unsuccessful; otherwise, the annual fee is 0.25%.
3 Distributions to Shareholders
Each Trust intends to make monthly distributions of net investment income to common shareholders, after payment of any dividends on any outstanding APS. In
addition, at least annually, each Trust intends to distribute all or substantially all of its net realized capital gains (reduced by available capital loss carryforwards). Distributions to common shareholders are recorded on the ex-dividend date.
Distributions to preferred shareholders are recorded daily and are payable at the end of each dividend period. The dividend rates for APS at May 31, 2013, and the amount of dividends accrued (including capital gains, if any) to APS
shareholders, average APS dividend rates (annualized), and dividend rate ranges for the six months then ended were as follows:
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California
Trust
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Massachusetts
Trust
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Michigan
Trust
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New Jersey
Trust
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New York
Trust
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Ohio
Trust
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Pennsylvania
Trust
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APS Dividend Rates at May 31, 2013
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0.25
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%
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0.25
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%
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0.25
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%
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0.25
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%
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0.25
|
%
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0.25
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%
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0.25
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%
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Dividends Accrued to APS Shareholders
|
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$
|
56,013
|
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$
|
21,883
|
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$
|
18,902
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$
|
37,466
|
|
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$
|
37,207
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$
|
24,747
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|
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$
|
23,111
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Average APS Dividend Rates
|
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0.22
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%
|
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0.22
|
%
|
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0.22
|
%
|
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|
0.22
|
%
|
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0.22
|
%
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0.22
|
%
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0.22
|
%
|
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Dividend Rate Ranges (%)
|
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0.14 - 0.38
|
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0.13 - 0.38
|
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0.13 - 0.38
|
|
|
|
0.14 - 0.38
|
|
|
|
0.13 - 0.38
|
|
|
|
0.13 - 0.38
|
|
|
|
0.13 - 0.38
|
|
Beginning February 13, 2008 and consistent with the patterns in the broader market for auction-rate securities, the
Trusts’ APS auctions were unsuccessful in clearing due to an imbalance of sell orders over bids to buy the APS. As a result, the dividend rates of the APS were reset to the maximum applicable rates. The table above reflects such maximum
dividend rates for each Trust as of May 31, 2013.
The Trusts distinguish 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 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.
4 Investment Adviser Fee and Other Transactions with Affiliates
The investment adviser fee
is earned by Eaton Vance Management (EVM) as compensation for investment advisory services rendered to each Trust. The fee is computed at an annual rate of 0.640% (0.655% prior to May 1, 2013) of each Trust’s average weekly gross assets
and is payable monthly. Pursuant to a fee reduction agreement between each Trust and EVM that commenced on May 1, 2010, the annual adviser fee is reduced by 0.015% every May 1 thereafter for the next nineteen years. The fee reduction
cannot be terminated without the consent of the Trustees and shareholders. Average weekly gross assets include the principal amount of any indebtedness for money borrowed, including debt securities issued by a Trust, and the amount of any
outstanding APS issued by the Trust. Pursuant to a fee reduction agreement with EVM, average weekly gross assets are calculated by adding to net assets the liquidation value of a Trust’s APS then outstanding and the amount payable by the Trust
to floating rate note holders, such adjustment being limited to the value of the APS outstanding prior to any APS redemptions by the Trust. The administration fee is earned by EVM for administering the business affairs of each Trust and is computed
at an annual rate of 0.20% of each Trust’s average weekly gross assets. For the six months ended May 31, 2013, the investment adviser fees and administration fees were as follows:
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California
Trust
|
|
|
Massachusetts
Trust
|
|
|
Michigan
Trust
|
|
|
New Jersey
Trust
|
|
|
New York
Trust
|
|
|
Ohio
Trust
|
|
|
Pennsylvania
Trust
|
|
|
|
|
|
|
|
|
|
|
|
Investment Adviser Fee
|
|
$
|
529,193
|
|
|
$
|
209,626
|
|
|
$
|
159,114
|
|
|
$
|
343,657
|
|
|
$
|
412,581
|
|
|
$
|
215,954
|
|
|
$
|
199,973
|
|
|
Administration Fee
|
|
$
|
162,218
|
|
|
$
|
64,257
|
|
|
$
|
48,774
|
|
|
$
|
105,343
|
|
|
$
|
126,471
|
|
|
$
|
66,197
|
|
|
$
|
61,298
|
|
Trustees and officers of the Trusts who are members of EVM’s organization receive remuneration for their services to the Trusts
out of the investment adviser fee. Trustees of the Trusts who are not affiliated with the investment adviser may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation
Plan. For the six months ended May 31, 2013, no significant amounts have been deferred. Certain officers and Trustees of the Trusts are officers of EVM.
Eaton Vance
Municipal Income Trusts
May 31, 2013
Notes to Financial Statements (Unaudited) — continued
5 Purchases and Sales of Investments
Purchases and sales of investments, other than
short-term obligations, for the six months ended May 31, 2013 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
California
Trust
|
|
|
Massachusetts
Trust
|
|
|
Michigan
Trust
|
|
|
New Jersey
Trust
|
|
|
New York
Trust
|
|
|
Ohio
Trust
|
|
|
Pennsylvania
Trust
|
|
|
|
|
|
|
|
|
|
|
|
Purchases
|
|
$
|
8,415,242
|
|
|
$
|
950,167
|
|
|
$
|
4,113,142
|
|
|
$
|
7,934,857
|
|
|
$
|
4,892,057
|
|
|
$
|
3,213,679
|
|
|
$
|
2,524,909
|
|
|
Sales
|
|
$
|
9,490,237
|
|
|
$
|
808,646
|
|
|
$
|
2,798,987
|
|
|
$
|
7,383,814
|
|
|
$
|
6,016,264
|
|
|
$
|
3,144,046
|
|
|
$
|
2,619,857
|
|
6 Common Shares of Beneficial Interest
Common shares issued pursuant to the Trusts’ dividend reinvestment plan for the six months ended May 31, 2013 and the year ended November 30, 2012 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
California
Trust
|
|
|
Massachusetts
Trust
|
|
|
New Jersey
Trust
|
|
|
New York
Trust
|
|
|
Ohio
Trust
|
|
|
Pennsylvania
Trust
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended May 31, 2013 (Unaudited)
|
|
|
3,484
|
|
|
|
—
|
|
|
|
3,303
|
|
|
|
3,692
|
|
|
|
203
|
|
|
|
496
|
|
|
Year Ended November 30, 2012
|
|
|
13,698
|
|
|
|
3,879
|
|
|
|
10,907
|
|
|
|
9,350
|
|
|
|
1,890
|
|
|
|
2,720
|
|
7 Federal Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) of investments of each Trust at May 31, 2013, as determined on a federal income tax basis, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
California
Trust
|
|
|
Massachusetts
Trust
|
|
|
Michigan
Trust
|
|
|
New Jersey
Trust
|
|
|
New York
Trust
|
|
|
Ohio
Trust
|
|
|
Pennsylvania
Trust
|
|
|
|
|
|
|
|
|
|
|
|
Aggregate cost
|
|
$
|
135,562,960
|
|
|
$
|
54,943,449
|
|
|
$
|
45,366,468
|
|
|
$
|
90,270,842
|
|
|
$
|
99,737,694
|
|
|
$
|
58,374,112
|
|
|
$
|
54,083,041
|
|
|
|
|
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
13,756,396
|
|
|
$
|
5,686,212
|
|
|
$
|
3,146,764
|
|
|
$
|
8,653,857
|
|
|
$
|
11,468,999
|
|
|
$
|
6,149,139
|
|
|
$
|
4,411,807
|
|
|
Gross unrealized depreciation
|
|
|
(545,817
|
)
|
|
|
(64,112
|
)
|
|
|
(179,930
|
)
|
|
|
(394,618
|
)
|
|
|
(233,338
|
)
|
|
|
(136,775
|
)
|
|
|
(537,283
|
)
|
|
|
|
|
|
|
|
|
|
|
Net unrealized appreciation
|
|
$
|
13,210,579
|
|
|
$
|
5,622,100
|
|
|
$
|
2,966,834
|
|
|
$
|
8,259,239
|
|
|
$
|
11,235,661
|
|
|
$
|
6,012,364
|
|
|
$
|
3,874,524
|
|
8 Overdraft Advances
Pursuant to the custodian agreement, SSBT may, in its discretion, advance funds to the Trusts to make properly authorized payments. When such payments result in an overdraft, the Trusts are obligated to repay SSBT
at the current rate of interest charged by SSBT for secured loans (currently, the Federal Funds rate plus 2%). This obligation is payable on demand to SSBT. SSBT has a lien on a Trust’s assets to the extent of any overdraft. At May 31,
2013, Ohio Trust had a payment due to SSBT pursuant to the foregoing arrangement of $556,401. Based on the short-term nature of these payments and the variable interest rate, the carrying value of the overdraft advances approximated its fair value
at May 31, 2013. If measured at fair value, overdraft advances would have been considered as Level 2 in the fair value hierarchy (see Note 10) at May 31, 2013. The Trusts’ average overdraft advances during the six months ended
May 31, 2013 were not significant.
9 Financial Instruments
The Trusts may trade in financial instruments with off-balance sheet risk in the normal course of their investing activities. These financial instruments may include financial futures contracts and may involve, to
a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment a Trust 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.
Eaton Vance
Municipal Income Trusts
May 31, 2013
Notes to Financial Statements (Unaudited) — continued
A summary of obligations under these financial instruments at May 31, 2013 is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
|
|
|
|
Trust
|
|
Expiration
Month/Year
|
|
|
Contracts
|
|
Position
|
|
Aggregate
Cost
|
|
|
Value
|
|
|
Net
Unrealized
Appreciation
|
|
|
California
|
|
|
9/13
|
|
|
53
U.S. 10-Year Treasury Note
|
|
Short
|
|
$
|
(6,910,606
|
)
|
|
$
|
(6,848,594
|
)
|
|
$
|
62,012
|
|
|
|
|
|
9/13
|
|
|
43
U.S. Long Treasury Bond
|
|
Short
|
|
|
(6,047,469
|
)
|
|
|
(6,021,344
|
)
|
|
|
26,125
|
|
|
Massachusetts
|
|
|
9/13
|
|
|
34
U.S. Long Treasury Bond
|
|
Short
|
|
$
|
(4,781,720
|
)
|
|
$
|
(4,761,063
|
)
|
|
$
|
20,657
|
|
|
Michigan
|
|
|
9/13
|
|
|
6
U.S. Long Treasury Bond
|
|
Short
|
|
$
|
(843,833
|
)
|
|
$
|
(840,188
|
)
|
|
$
|
3,645
|
|
|
New Jersey
|
|
|
9/13
|
|
|
135
U.S. Long Treasury Bond
|
|
Short
|
|
$
|
(18,986,238
|
)
|
|
$
|
(18,904,219
|
)
|
|
$
|
82,019
|
|
|
New York
|
|
|
9/13
|
|
|
43
U.S. Long Treasury Bond
|
|
Short
|
|
$
|
(6,047,468
|
)
|
|
$
|
(6,021,344
|
)
|
|
$
|
26,124
|
|
|
Ohio
|
|
|
9/13
|
|
|
18
U.S. Long Treasury Bond
|
|
Short
|
|
$
|
(2,531,499
|
)
|
|
$
|
(2,520,563
|
)
|
|
$
|
10,936
|
|
|
Pennsylvania
|
|
|
9/13
|
|
|
50
U.S. Long Treasury Bond
|
|
Short
|
|
$
|
(7,031,940
|
)
|
|
$
|
(7,001,563
|
)
|
|
$
|
30,377
|
|
At May 31, 2013, the Trusts had sufficient cash and/or securities to cover commitments under these contracts.
Each Trust is subject to interest rate risk in the normal course of pursuing its investment objective. Because the Trusts hold fixed-rate bonds, the value of these
bonds may decrease if interest rates rise. The Trusts purchase and sell U.S. Treasury futures contracts to hedge against changes in interest rates.
The
fair values of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is interest rate risk at May 31, 2013 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
California
Trust
|
|
|
Massachusetts
Trust
|
|
|
Michigan
Trust
|
|
|
New Jersey
Trust
|
|
|
New York
Trust
|
|
|
Ohio
Trust
|
|
|
Pennsylvania
Trust
|
|
|
|
|
|
|
|
|
|
|
|
Asset Derivative:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
$
|
88,137
|
(1)
|
|
$
|
20,657
|
(1)
|
|
$
|
3,645
|
(1)
|
|
$
|
82,019
|
(1)
|
|
$
|
26,124
|
(1)
|
|
$
|
10,936
|
(1)
|
|
$
|
30,377
|
(1)
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
88,137
|
|
|
$
|
20,657
|
|
|
$
|
3,645
|
|
|
$
|
82,019
|
|
|
$
|
26,124
|
|
|
$
|
10,936
|
|
|
$
|
30,377
|
|
|
(1)
|
Amount represents cumulative unrealized appreciation on futures contracts in the
Futures Contracts table above. Only the current day’s variation margin on open futures contracts is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin, as applicable.
|
Eaton Vance
Municipal Income Trusts
May 31, 2013
Notes to Financial Statements (Unaudited) — continued
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is interest rate risk for
the six months ended May 31, 2013 was as follows: