UNITED STATES SECURITIES AND
EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
811-01545
Investment Company Act File Number
Eaton Vance Special Investment Trust
(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, Including Area Code)
December 31
Date of Fiscal Year End
March 31, 2013
Date of Reporting Period
Item 1. Schedule of Investments
Eaton Vance Balanced Fund
Eaton Vance Commodity Strategy
Fund
Eaton Vance Dividend Builder Fund
Eaton Vance Greater India Fund
Eaton Vance Investment
Grade Income Fund
Eaton Vance Large-Cap Growth Fund
Eaton Vance Large-Cap Value Fund
Parametric Absolute Return Fund (formerly, Eaton Vance Parametric Option Absolute Return Strategy Fund)
Eaton Vance Real Estate Fund
Eaton Vance Small-Cap
Fund
Eaton Vance Small-Cap Value Fund
Eaton Vance Special Equities Fund
Eaton Vance
Balanced Fund
March 31, 2013 (Unaudited)
Eaton Vance Balanced Fund (the Fund), a diversified series of Eaton Vance Special Investment Trust, pursues its investment objective by investing in one
or more registered investment companies (each a Portfolio) managed by Eaton Vance Management or its affiliates. The Fund owns a pro-rata interest in the net assets of each Portfolio in which it invests. At March 31, 2013, the Fund owned 57.6%
of Investment Grade Income Portfolios outstanding interests and 66.7% of Large-Cap Core Research Portfolios outstanding interests. The Funds Schedule of Investments at March 31, 2013 is set forth below.
|
|
|
|
|
|
|
|
|
Investments in Affiliated Portfolios
|
|
Value
|
|
|
% of Net Assets
|
|
Large-Cap Core Research Portfolio
(identified cost, $104,109,262)
|
|
$
|
132,230,936
|
|
|
|
67.5
|
%
|
|
|
|
Investment Grade Income Portfolio
(identified cost, $62,875,728)
|
|
|
63,558,010
|
|
|
|
32.5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Affiliated Portfolios
(identified cost, $166,984,990)
|
|
$
|
195,788,946
|
|
|
|
100.0
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Assets, Less Liabilities
|
|
$
|
(84,804
|
)
|
|
|
(0.0
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets
|
|
$
|
195,704,142
|
|
|
|
100.0
|
%
|
|
|
|
|
|
|
|
|
|
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the
assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
|
|
Level 1 quoted prices in active markets for identical investments
|
|
|
Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk,
etc.)
|
|
|
Level 3 significant unobservable inputs (including a funds own assumptions in determining the fair value of investments)
|
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level
disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing
in those securities. At March 31, 2013 and December 31, 2012, the Funds investments in the Portfolios were valued based on Level 1 inputs.
For information on the Funds policy regarding the valuation of investments and other significant accounting policies, please refer to the Funds most recent financial statements included in its
semiannual or annual report to shareholders.
A copy of each Portfolios Form N-Q (containing a Portfolio of
Investments) is available on the EDGAR database on the Securities and Exchange Commissions website (www.sec.gov), at the Commissions public reference room in Washington, DC (call 1-800-732-0330 for information on the operation of the
public reference room) or by calling the Funds principal underwriter, Eaton Vance Distributors, Inc., at 1-800-262-1122.
1
Eaton Vance
Commodity Strategy Fund
March 31, 2013
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
Corporate Bonds 6.8%
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Advertising 0.1%
|
|
|
|
|
|
|
|
|
Griffey Intermediate, Inc./Griffey Finance Sub, LLC, 7.00%, 10/15/20
(1)
|
|
$
|
461
|
|
|
$
|
472,525
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
472,525
|
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense 0.1%
|
|
|
|
|
|
|
|
|
B/E Aerospace, Inc., 5.25%, 4/1/22
|
|
$
|
325
|
|
|
$
|
336,781
|
|
Esterline Technologies Corp., 6.625%, 3/1/17
|
|
|
120
|
|
|
|
122,775
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
459,556
|
|
|
|
|
|
|
|
|
|
|
Auto Manufacturers 0.1%
|
|
|
|
|
|
|
|
|
Ford Motor Co., 4.75%, 1/15/43
|
|
$
|
125
|
|
|
$
|
117,159
|
|
Navistar International Corp., 8.25%, 11/1/21
|
|
|
150
|
|
|
|
153,563
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
270,722
|
|
|
|
|
|
|
|
|
|
|
Auto Parts & Equipment 0.1%
|
|
|
|
|
|
|
|
|
Cooper-Standard Holdings, Inc., 7.375%, 4/1/18
(1)(2)
|
|
$
|
100
|
|
|
$
|
100,500
|
|
Lear Corp., 4.75%, 1/15/23
(1)
|
|
|
250
|
|
|
|
245,000
|
|
TRW Automotive, Inc., 7.00%, 3/15/14
(1)
|
|
|
125
|
|
|
|
131,563
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
477,063
|
|
|
|
|
|
|
|
|
|
|
Banks 0.1%
|
|
|
|
|
|
|
|
|
Ally Financial, Inc., 3.125%, 1/15/16
|
|
$
|
250
|
|
|
$
|
253,313
|
|
Ally Financial, Inc., 6.75%, 12/1/14
|
|
|
325
|
|
|
|
350,188
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
603,501
|
|
|
|
|
|
|
|
|
|
|
Chemicals 0.2%
|
|
|
|
|
|
|
|
|
Hexion US Finance Corp., 6.625%, 4/15/20
|
|
$
|
150
|
|
|
$
|
151,125
|
|
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/1/18
|
|
|
100
|
|
|
|
104,000
|
|
US Coatings Acquisition, Inc./Flash Dutch 2 BV, 7.375%, 5/1/21
(1)
|
|
|
950
|
|
|
|
1,003,437
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,258,562
|
|
|
|
|
|
|
|
|
|
|
Coal 0.0%
(3)
|
|
|
|
|
|
|
|
|
Cloud Peak Energy Resources, LLC/Cloud Peak Energy Finance Corp., 8.25%, 12/15/17
|
|
$
|
150
|
|
|
$
|
161,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
161,250
|
|
|
|
|
|
|
|
|
|
|
Commercial Services 0.2%
|
|
|
|
|
|
|
|
|
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc, 5.50%, 4/1/23
(1)
|
|
$
|
400
|
|
|
$
|
401,000
|
|
Sothebys, 5.25%, 10/1/22
(1)
|
|
|
475
|
|
|
|
482,125
|
|
WEX, Inc., 4.75%, 2/1/23
(1)
|
|
|
375
|
|
|
|
364,687
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,247,812
|
|
|
|
|
|
|
|
|
|
|
Distribution & Wholesale 0.2%
|
|
|
|
|
|
|
|
|
HD Supply, Inc., 10.50%, 1/15/21
|
|
$
|
850
|
|
|
$
|
887,187
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
887,187
|
|
|
|
|
|
|
|
|
|
|
1
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Diversified Financial Services 2.5%
|
|
|
|
|
|
|
|
|
Blue Fin, Ltd., 8.546%, 5/28/13
(1)(4)(5)
|
|
$
|
2,250
|
|
|
$
|
2,266,650
|
|
CNH Capital, LLC, 6.25%, 11/1/16
|
|
|
15
|
|
|
|
16,650
|
|
East Lane Re IV, Ltd., 5.796%, 3/14/14
(1)(4)(5)
|
|
|
1,400
|
|
|
|
1,426,880
|
|
Everglades Re, Ltd., 17.796%, 4/30/14
(1)(4)(5)
|
|
|
4,000
|
|
|
|
4,372,800
|
|
Golden State Re, Ltd., 3.796%, 1/8/15
(1)(4)(5)
|
|
|
3,000
|
|
|
|
3,074,100
|
|
International Lease Finance Corp., 4.875%, 4/1/15
|
|
|
225
|
|
|
|
236,813
|
|
International Lease Finance Corp., 5.875%, 4/1/19
|
|
|
360
|
|
|
|
390,853
|
|
International Lease Finance Corp., MTN, 5.625%, 9/20/13
|
|
|
1,000
|
|
|
|
1,020,000
|
|
Nuveen Investments, Inc., 9.125%, 10/15/17
(1)
|
|
|
775
|
|
|
|
804,062
|
|
Nuveen Investments, Inc., 9.50%, 10/15/20
(1)
|
|
|
225
|
|
|
|
236,250
|
|
Residential Re 2011, Ltd., 8.796%, 6/6/15
(1)(4)(5)
|
|
|
750
|
|
|
|
766,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
14,611,558
|
|
|
|
|
|
|
|
|
|
|
Electrical Components & Equipment 0.1%
|
|
|
|
|
|
|
|
|
WireCo WorldGroup, Inc., 9.50%, 5/15/17
|
|
$
|
685
|
|
|
$
|
719,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
719,250
|
|
|
|
|
|
|
|
|
|
|
Electronics 0.1%
|
|
|
|
|
|
|
|
|
313 Group, Inc., 6.375%, 12/1/19
(1)
|
|
$
|
525
|
|
|
$
|
523,688
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
523,688
|
|
|
|
|
|
|
|
|
|
|
Engineering & Construction 0.2%
|
|
|
|
|
|
|
|
|
MasTec, Inc., 4.875%, 3/15/23
|
|
$
|
215
|
|
|
$
|
213,388
|
|
Weekley Homes, LLC/Weekley Finance Corp., 6.00%, 2/1/23
(1)
|
|
|
525
|
|
|
|
543,375
|
|
Zachry Holdings, Inc., 7.50%, 2/1/20
(1)
|
|
|
275
|
|
|
|
290,812
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,047,575
|
|
|
|
|
|
|
|
|
|
|
Entertainment 0.1%
|
|
|
|
|
|
|
|
|
CCM Merger, Inc., 9.125%, 5/1/19
(1)
|
|
$
|
275
|
|
|
$
|
283,250
|
|
Cedar Fair LP/Canadas Wonderland Co./Magnum Management Corp., 5.25%, 3/15/21
(1)
|
|
|
250
|
|
|
|
249,375
|
|
Pinnacle Entertainment, Inc., 7.75%, 4/1/22
|
|
|
25
|
|
|
|
26,969
|
|
Pinnacle Entertainment, Inc., 8.625%, 8/1/17
|
|
|
25
|
|
|
|
26,625
|
|
Regal Entertainment Group, 5.75%, 2/1/25
|
|
|
250
|
|
|
|
246,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
832,469
|
|
|
|
|
|
|
|
|
|
|
Foods 0.2%
|
|
|
|
|
|
|
|
|
Hawk Acquisition Sub, Inc., 4.25%, 10/15/20
(1)
|
|
$
|
650
|
|
|
$
|
651,625
|
|
Land OLakes, Inc., 6.00%, 11/15/22
(1)
|
|
|
325
|
|
|
|
347,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
999,375
|
|
|
|
|
|
|
|
|
|
|
Forest Products & Paper 0.0%
(3)
|
|
|
|
|
|
|
|
|
Clearwater Paper Corp., 4.50%, 2/1/23
(1)
|
|
$
|
150
|
|
|
$
|
147,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
147,750
|
|
|
|
|
|
|
|
|
|
|
Health Care - Services 0.3%
|
|
|
|
|
|
|
|
|
HCA, Inc., 6.75%, 7/15/13
|
|
$
|
720
|
|
|
$
|
732,150
|
|
HCA, Inc., 8.50%, 4/15/19
|
|
|
125
|
|
|
|
138,281
|
|
Tenet Healthcare Corp., 4.50%, 4/1/21
(1)
|
|
|
500
|
|
|
|
491,250
|
|
Tenet Healthcare Corp., 4.75%, 6/1/20
(1)
|
|
|
50
|
|
|
|
50,375
|
|
Tenet Healthcare Corp., 6.25%, 11/1/18
|
|
|
25
|
|
|
|
27,844
|
|
Tenet Healthcare Corp., 8.875%, 7/1/19
|
|
|
25
|
|
|
|
28,187
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,468,087
|
|
|
|
|
|
|
|
|
|
|
2
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Home Builders 0.0%
(3)
|
|
|
|
|
|
|
|
|
D.R. Horton, Inc., 5.25%, 2/15/15
|
|
$
|
22
|
|
|
$
|
23,320
|
|
D.R. Horton, Inc., 5.625%, 9/15/14
|
|
|
17
|
|
|
|
17,956
|
|
D.R. Horton, Inc., 5.625%, 1/15/16
|
|
|
43
|
|
|
|
46,870
|
|
D.R. Horton, Inc., 6.125%, 1/15/14
|
|
|
60
|
|
|
|
62,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
150,396
|
|
|
|
|
|
|
|
|
|
|
Household Products 0.1%
|
|
|
|
|
|
|
|
|
Reynolds Group Holdings, Inc., 8.25%, 2/15/21
|
|
$
|
50
|
|
|
$
|
51,688
|
|
Sun Products Corp. (The), 7.75%, 3/15/21
(1)
|
|
|
600
|
|
|
|
607,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
659,188
|
|
|
|
|
|
|
|
|
|
|
Housewares 0.0%
(3)
|
|
|
|
|
|
|
|
|
Libbey Glass, Inc., 6.875%, 5/15/20
|
|
$
|
158
|
|
|
$
|
171,233
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
171,233
|
|
|
|
|
|
|
|
|
|
|
Insurance 0.0%
(3)
|
|
|
|
|
|
|
|
|
CNO Financial Group, Inc., 6.375%, 10/1/20
(1)
|
|
$
|
30
|
|
|
$
|
32,063
|
|
Fidelity & Guaranty Life Holdings, Inc., 6.375%, 4/1/21
(1)
|
|
|
175
|
|
|
|
179,375
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
211,438
|
|
|
|
|
|
|
|
|
|
|
Internet 0.1%
|
|
|
|
|
|
|
|
|
Equinix, Inc., 5.375%, 4/1/23
|
|
$
|
325
|
|
|
$
|
330,687
|
|
IAC/InterActiveCorp, 4.75%, 12/15/22
(1)
|
|
|
350
|
|
|
|
343,875
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
674,562
|
|
|
|
|
|
|
|
|
|
|
Iron & Steel 0.0%
(3)
|
|
|
|
|
|
|
|
|
Steel Dynamics, Inc., 5.25%, 4/15/23
(1)
|
|
$
|
225
|
|
|
$
|
228,656
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
228,656
|
|
|
|
|
|
|
|
|
|
|
Lodging 0.1%
|
|
|
|
|
|
|
|
|
Chester Downs & Marina, LLC, 9.25%, 2/1/20
(1)
|
|
$
|
50
|
|
|
$
|
48,000
|
|
Mandalay Resort Group, 7.625%, 7/15/13
|
|
|
325
|
|
|
|
331,094
|
|
MGM Resorts International, 6.75%, 4/1/13
|
|
|
250
|
|
|
|
250,000
|
|
MGM Resorts International, 7.625%, 1/15/17
|
|
|
55
|
|
|
|
61,325
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
690,419
|
|
|
|
|
|
|
|
|
|
|
Machinery - Diversified 0.1%
|
|
|
|
|
|
|
|
|
Case New Holland, Inc., 7.75%, 9/1/13
|
|
$
|
325
|
|
|
$
|
333,125
|
|
Manitowoc Co., Inc. (The), 5.875%, 10/15/22
|
|
|
275
|
|
|
|
289,438
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
622,563
|
|
|
|
|
|
|
|
|
|
|
Media 0.4%
|
|
|
|
|
|
|
|
|
CCO Holdings, LLC/CCO Holdings Capital Corp., 5.75%, 9/1/23
(1)
|
|
$
|
50
|
|
|
$
|
50,375
|
|
Cequel Communications Holdings I, LLC/Cequel Capital Corp., 6.375%, 9/15/20
(1)
|
|
|
50
|
|
|
|
52,125
|
|
DISH DBS Corp., 5.00%, 3/15/23
(1)
|
|
|
715
|
|
|
|
706,956
|
|
McGraw-Hill Global Education Holdings, LLC/McGraw-Hill Global Education Finance,
9.75%, 4/1/21
(1)
|
|
|
550
|
|
|
|
547,250
|
|
Nielsen Finance, LLC/Nielsen Finance Co., 4.50%, 10/1/20
(1)
|
|
|
175
|
|
|
|
175,656
|
|
Sinclair Television Group, Inc., 5.375%, 4/1/21
(1)
|
|
|
250
|
|
|
|
249,375
|
|
WideOpenWest Finance, LLC/WideOpenWest Capital Corp., 10.25%, 7/15/19
(1)
|
|
|
390
|
|
|
|
435,825
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,217,562
|
|
|
|
|
|
|
|
|
|
|
3
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Oil & Gas 0.4%
|
|
|
|
|
|
|
|
|
Chesapeake Energy Corp., 3.25%, 3/15/16
|
|
$
|
350
|
|
|
$
|
354,812
|
|
Chesapeake Energy Corp., 5.75%, 3/15/23
|
|
|
300
|
|
|
|
304,875
|
|
Denbury Resources, Inc., 4.625%, 7/15/23
|
|
|
250
|
|
|
|
241,563
|
|
Newfield Exploration Co., 6.875%, 2/1/20
|
|
|
10
|
|
|
|
10,775
|
|
Newfield Exploration Co., 7.125%, 5/15/18
|
|
|
460
|
|
|
|
480,125
|
|
Pacific Drilling V, Ltd., 7.25%, 12/1/17
(1)
|
|
|
500
|
|
|
|
530,000
|
|
Western Refining, Inc., 6.25%, 4/1/21
(1)
|
|
|
275
|
|
|
|
281,531
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,203,681
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Services 0.1%
|
|
|
|
|
|
|
|
|
Exterran Partners LP/EXLP Finance Corp., 6.00%, 4/1/21
(1)
|
|
$
|
175
|
|
|
$
|
174,781
|
|
Hornbeck Offshore Services, Inc., 5.00%, 3/1/21
(1)
|
|
|
175
|
|
|
|
174,125
|
|
Hornbeck Offshore Services, Inc., 5.875%, 4/1/20
|
|
|
150
|
|
|
|
156,000
|
|
Seitel, Inc., 9.50%, 4/15/19
(1)
|
|
|
350
|
|
|
|
353,063
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
857,969
|
|
|
|
|
|
|
|
|
|
|
Packaging & Containers 0.1%
|
|
|
|
|
|
|
|
|
BOE Merger Corp., 9.50%, 11/1/17
(1)(2)
|
|
$
|
300
|
|
|
$
|
324,375
|
|
Crown Americas, LLC/Crown Americas Capital Corp. IV, 4.50%, 1/15/23
(1)
|
|
|
300
|
|
|
|
292,500
|
|
Graphic Packaging International, Inc., 9.50%, 6/15/17
|
|
|
118
|
|
|
|
125,670
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
742,545
|
|
|
|
|
|
|
|
|
|
|
Pipelines 0.1%
|
|
|
|
|
|
|
|
|
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 4.50%, 7/15/23
|
|
$
|
594
|
|
|
$
|
582,120
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
582,120
|
|
|
|
|
|
|
|
|
|
|
Real Estate 0.1%
|
|
|
|
|
|
|
|
|
CB Richard Ellis Services, Inc., 11.625%, 6/15/17
|
|
$
|
85
|
|
|
$
|
91,906
|
|
Crescent Resources, LLC/Crescent Ventures, Inc., 10.25%, 8/15/17
(1)
|
|
|
250
|
|
|
|
275,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
366,906
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) 0.1%
|
|
|
|
|
|
|
|
|
Geo Group, Inc. (The), 6.625%, 2/15/21
|
|
$
|
125
|
|
|
$
|
137,969
|
|
RHP Hotel Properties LP/RHP Finance Corp., 5.00%, 4/15/21
(1)
|
|
|
375
|
|
|
|
378,281
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
516,250
|
|
|
|
|
|
|
|
|
|
|
Retail 0.4%
|
|
|
|
|
|
|
|
|
GRD Holdings III Corp., 10.75%, 6/1/19
(1)
|
|
$
|
395
|
|
|
$
|
417,219
|
|
Landrys Holdings II, Inc., 10.25%, 1/1/18
(1)
|
|
|
800
|
|
|
|
842,000
|
|
Limited Brands, Inc., 5.25%, 11/1/14
|
|
|
480
|
|
|
|
508,800
|
|
Radio Systems Corp., 8.375%, 11/1/19
(1)
|
|
|
120
|
|
|
|
127,200
|
|
Tops Holding Corp./Tops Markets, LLC, 8.875%, 12/15/17
(1)
|
|
|
300
|
|
|
|
330,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,225,969
|
|
|
|
|
|
|
|
|
|
|
Shipbuilding 0.0%
(3)
|
|
|
|
|
|
|
|
|
Huntington Ingalls Industries, Inc., 6.875%, 3/15/18
|
|
$
|
200
|
|
|
$
|
218,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
218,500
|
|
|
|
|
|
|
|
|
|
|
Telecommunications 0.1%
|
|
|
|
|
|
|
|
|
MetroPCS Wireless, Inc., 6.25%, 4/1/21
(1)
|
|
$
|
150
|
|
|
$
|
153,187
|
|
NeuStar, Inc., 4.50%, 1/15/23
(1)
|
|
|
250
|
|
|
|
240,000
|
|
Sprint Nextel Corp., 6.00%, 11/15/22
|
|
|
75
|
|
|
|
77,438
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
470,625
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds
(identified cost $39,145,114)
|
|
|
|
|
|
$
|
39,998,512
|
|
|
|
|
|
|
|
|
|
|
4
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Corporate Bonds 2.8%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount*
(000s omitted)
|
|
|
Value
|
|
Australia 0.1%
|
|
|
|
|
|
|
|
|
Nufarm Australia, Ltd., 6.375%, 10/15/19
(1)
|
|
|
340
|
|
|
$
|
350,200
|
|
|
|
|
|
|
|
|
|
|
Total Australia
|
|
|
|
|
|
$
|
350,200
|
|
|
|
|
|
|
|
|
|
|
Bermuda 0.1%
|
|
|
|
|
|
|
|
|
Digicel, Ltd., 6.00%, 4/15/21
(1)
|
|
|
325
|
|
|
$
|
324,188
|
|
Floatel International, Ltd., 8.00%, 10/11/17
(6)
|
|
|
400
|
|
|
|
422,000
|
|
NCL Corp., Ltd., 5.00%, 2/15/18
(1)
|
|
|
200
|
|
|
|
204,750
|
|
|
|
|
|
|
|
|
|
|
Total Bermuda
|
|
|
|
|
|
$
|
950,938
|
|
|
|
|
|
|
|
|
|
|
Brazil 0.4%
|
|
|
|
|
|
|
|
|
OGX Austria GmbH, 8.50%, 6/1/18
(6)
|
|
|
500
|
|
|
$
|
392,500
|
|
Sifco SA, 11.50%, 6/6/16
(6)
|
|
|
200
|
|
|
|
138,500
|
|
USJ Acucar e Alcool SA, 9.875%, 11/9/19
(1)
|
|
|
200
|
|
|
|
227,500
|
|
Virgolino de Oliveira Finance, Ltd., 10.50%, 1/28/18
(1)
|
|
|
500
|
|
|
|
535,000
|
|
Virgolino de Oliveira Finance, Ltd., 10.50%, 1/28/18
(6)
|
|
|
145
|
|
|
|
155,150
|
|
WPE International Cooperatief UA, 10.375%, 9/30/20
(1)
|
|
|
1,000
|
|
|
|
940,000
|
|
|
|
|
|
|
|
|
|
|
Total Brazil
|
|
|
|
|
|
$
|
2,388,650
|
|
|
|
|
|
|
|
|
|
|
British Virgin Islands 0.1%
|
|
Global Investments Group Finance, Ltd., 11.00%, 9/24/17
(6)
|
|
|
800
|
|
|
$
|
794,000
|
|
|
|
|
|
|
|
|
|
|
Total British Virgin Islands
|
|
|
|
|
|
$
|
794,000
|
|
|
|
|
|
|
|
|
|
|
Bulgaria 0.0%
(3)
|
|
|
|
|
|
|
|
|
Northern Lights Bulgaria B.V., (Corporate Commercial Bank AD), 8.25%, 8/8/14
|
|
|
150
|
|
|
$
|
150,750
|
|
|
|
|
|
|
|
|
|
|
Total Bulgaria
|
|
|
|
|
|
$
|
150,750
|
|
|
|
|
|
|
|
|
|
|
Canada 0.3%
|
|
|
|
|
|
|
|
|
Banro Corp., 10.00%, 3/1/17
(1)
|
|
|
500
|
|
|
$
|
412,500
|
|
First Quantum Minerals, Ltd., 7.25%, 10/15/19
(1)
|
|
|
25
|
|
|
|
25,125
|
|
Gran Colombia Gold Corp., 10.00%, 10/31/17
|
|
|
700
|
|
|
|
626,500
|
|
Mattamy Group Corp., 6.50%, 11/15/20
(1)
|
|
|
337
|
|
|
|
337,842
|
|
MDC Partners, Inc., 6.75%, 4/1/20
(1)
|
|
|
260
|
|
|
|
263,900
|
|
Novelis, Inc., 8.75%, 12/15/20
|
|
|
100
|
|
|
|
113,000
|
|
|
|
|
|
|
|
|
|
|
Total Canada
|
|
|
|
|
|
$
|
1,778,867
|
|
|
|
|
|
|
|
|
|
|
Chile 0.1%
|
|
|
|
|
|
|
|
|
GeoPark Latin America, Ltd. Agencia en Chile, 7.50%, 2/11/20
(1)
|
|
|
300
|
|
|
$
|
313,500
|
|
|
|
|
|
|
|
|
|
|
Total Chile
|
|
|
|
|
|
$
|
313,500
|
|
|
|
|
|
|
|
|
|
|
China 0.2%
|
|
|
|
|
|
|
|
|
China Liansu Group Holdings, Ltd., 7.875%, 5/13/16
(1)
|
|
|
1,000
|
|
|
$
|
1,076,250
|
|
|
|
|
|
|
|
|
|
|
Total China
|
|
|
|
|
|
$
|
1,076,250
|
|
|
|
|
|
|
|
|
|
|
Colombia 0.1%
|
|
|
|
|
|
|
|
|
Pacific Rubiales Energy Corp., 5.125%, 3/28/23
(1)
|
|
|
500
|
|
|
$
|
507,000
|
|
|
|
|
|
|
|
|
|
|
Total Colombia
|
|
|
|
|
|
$
|
507,000
|
|
|
|
|
|
|
|
|
|
|
Cyprus 0.1%
|
|
|
|
|
|
|
|
|
Ocean Rig UDW, Inc., 9.50%, 4/27/16
(1)(6)
|
|
|
400
|
|
|
$
|
422,000
|
|
|
|
|
|
|
|
|
|
|
Total Cyprus
|
|
|
|
|
|
$
|
422,000
|
|
|
|
|
|
|
|
|
|
|
Luxembourg 0.1%
|
|
|
|
|
|
|
|
|
Intelsat Luxembourg SA, 6.75%, 6/1/18
(1)
|
|
|
225
|
|
|
$
|
232,875
|
|
Intelsat Luxembourg SA, 8.125%, 6/1/23
(1)
|
|
|
450
|
|
|
|
459,000
|
|
|
|
|
|
|
|
|
|
|
Total Luxembourg
|
|
|
|
|
|
$
|
691,875
|
|
|
|
|
|
|
|
|
|
|
5
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount*
(000s omitted)
|
|
|
Value
|
|
Mexico 0.1%
|
|
|
|
|
|
|
|
|
Cemex SAB de CV, 5.875%, 3/25/19
(1)
|
|
|
300
|
|
|
$
|
303,750
|
|
Servicios Corporativos Javer SAPI de CV, 9.875%, 4/6/21
(6)
|
|
|
125
|
|
|
|
118,125
|
|
|
|
|
|
|
|
|
|
|
Total Mexico
|
|
|
|
|
|
$
|
421,875
|
|
|
|
|
|
|
|
|
|
|
Nigeria 0.1%
|
|
|
|
|
|
|
|
|
Sea Trucks Group, Ltd., 9.00%, 3/26/18
(1)(6)
|
|
|
400
|
|
|
$
|
402,000
|
|
|
|
|
|
|
|
|
|
|
Total Nigeria
|
|
|
|
|
|
$
|
402,000
|
|
|
|
|
|
|
|
|
|
|
Norway 0.1%
|
|
|
|
|
|
|
|
|
Marine Accurate Well ASA, 9.50%, 4/3/18
(6)
|
|
|
200
|
|
|
$
|
203,000
|
|
Panoro Energy ASA, 12.00%, 11/15/18
(1)
|
|
|
500
|
|
|
|
527,500
|
|
|
|
|
|
|
|
|
|
|
Total Norway
|
|
|
|
|
|
$
|
730,500
|
|
|
|
|
|
|
|
|
|
|
Peru 0.4%
|
|
|
|
|
|
|
|
|
Camposol SA, 9.875%, 2/2/17
(6)
|
|
|
700
|
|
|
$
|
758,625
|
|
CFG Investment SAC, 9.75%, 7/30/19
(1)
|
|
|
200
|
|
|
|
190,000
|
|
CFG Investment SAC, 9.75%, 7/30/19
(6)
|
|
|
500
|
|
|
|
475,000
|
|
Cia Minera Milpo SAA, 4.625%, 3/28/23
(1)
|
|
|
500
|
|
|
|
498,250
|
|
El Fondo Mivivienda SA, 3.50%, 1/31/23
(1)
|
|
|
200
|
|
|
|
194,900
|
|
Pesquera Exalmar SAA, 7.375%, 1/31/20
(1)
|
|
|
300
|
|
|
|
289,500
|
|
|
|
|
|
|
|
|
|
|
Total Peru
|
|
|
|
|
|
$
|
2,406,275
|
|
|
|
|
|
|
|
|
|
|
Russia 0.1%
|
|
|
|
|
|
|
|
|
VimpelCom Holdings BV, 9.00%, 2/13/18
(1)
|
|
RUB
|
10,000
|
|
|
$
|
334,810
|
|
|
|
|
|
|
|
|
|
|
Total Russia
|
|
|
|
|
|
$
|
334,810
|
|
|
|
|
|
|
|
|
|
|
Turkey 0.0%
(3)
|
|
|
|
|
|
|
|
|
Arcelik AS, 5.00%, 4/3/23
(1)
|
|
|
200
|
|
|
$
|
199,940
|
|
|
|
|
|
|
|
|
|
|
Total Turkey
|
|
|
|
|
|
$
|
199,940
|
|
|
|
|
|
|
|
|
|
|
Ukraine 0.1%
|
|
|
|
|
|
|
|
|
MHP SA, 8.25%, 4/2/20
(1)
|
|
|
300
|
|
|
$
|
298,125
|
|
|
|
|
|
|
|
|
|
|
Total Ukraine
|
|
|
|
|
|
$
|
298,125
|
|
|
|
|
|
|
|
|
|
|
United Arab Emirates 0.1%
|
|
|
|
|
|
|
|
|
Millennium Offshore Services Superholdings, LLC, 9.50%, 2/15/18
(1)
|
|
|
800
|
|
|
$
|
811,000
|
|
|
|
|
|
|
|
|
|
|
Total United Arab Emirates
|
|
|
|
|
|
$
|
811,000
|
|
|
|
|
|
|
|
|
|
|
United Kingdom 0.2%
|
|
|
|
|
|
|
|
|
DTEK Finance PLC, 7.875%, 4/4/18
(1)
|
|
|
300
|
|
|
$
|
295,515
|
|
Jaguar Land Rover Automotive PLC, 5.625%, 2/1/23
(1)
|
|
|
400
|
|
|
|
417,500
|
|
Jaguar Land Rover Automotive PLC, 7.75%, 5/15/18
(1)
|
|
|
75
|
|
|
|
82,312
|
|
Navigator Holdings, Ltd., 9.00%, 12/18/17
(1)(6)
|
|
|
400
|
|
|
|
406,006
|
|
|
|
|
|
|
|
|
|
|
Total United Kingdom
|
|
|
|
|
|
$
|
1,201,333
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Corporate Bonds
(identified cost $15,984,647)
|
|
|
|
|
|
$
|
16,229,888
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Government Bonds 0.0%
(3)
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Croatia 0.0%
(3)
|
|
|
|
|
|
|
|
|
Croatia Government International Bond, 5.50%, 4/4/23
(1)
|
|
$
|
200
|
|
|
$
|
200,116
|
|
|
|
|
|
|
|
|
|
|
Total Croatia
|
|
|
|
|
|
$
|
200,116
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Government Bonds
(identified cost $198,108)
|
|
|
|
|
|
$
|
200,116
|
|
|
|
|
|
|
|
|
|
|
6
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations 7.0%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
U.S. Treasury Inflation-Protected Notes:
|
|
|
|
|
|
|
|
|
0.125%, 4/15/16
(7)
|
|
$
|
13,978
|
|
|
$
|
14,861,960
|
|
0.50%, 4/15/15
(7)
|
|
|
14,875
|
|
|
|
15,634,010
|
|
1.25%, 4/15/14
(7)
|
|
|
10,227
|
|
|
|
10,570,870
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Treasury Obligations
(identified cost $39,731,388)
|
|
|
|
|
|
$
|
41,066,840
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Securities 0.1%
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Diversified Financial Services 0.1%
|
|
|
|
|
|
|
|
|
General Electric Capital Corp., Series A, 7.125% to 6/15/22
(8)
|
|
|
3
|
|
|
$
|
356,084
|
|
General Electric Capital Corp., Series B, 6.25% to 12/15/22
(8)
|
|
|
5
|
|
|
|
570,612
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
926,696
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Securities
(identified cost $819,191)
|
|
|
|
|
|
$
|
926,696
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Warrants 0.0%
(3)
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Banro Corp., Expires 3/2/17
(1)(9)
|
|
|
103,200
|
|
|
$
|
11,610
|
|
Gran Colombia Gold Corp., Expires 10/31/17
(9)
|
|
|
200,000
|
|
|
|
19,688
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Warrants
(identified cost $94,245)
|
|
|
|
|
|
$
|
31,298
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Investments 84.2%
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations 76.5%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
U.S. Treasury Bill, 0.00%, 4/11/13
(10)
|
|
$
|
90,000
|
|
|
$
|
89,999,280
|
|
U.S. Treasury Bill, 0.00%, 5/16/13
|
|
|
20,000
|
|
|
|
19,998,680
|
|
U.S. Treasury Bill, 0.00%, 6/13/13
(10)
|
|
|
20,000
|
|
|
|
19,997,660
|
|
U.S. Treasury Bill, 0.00%, 7/18/13
|
|
|
20,000
|
|
|
|
19,995,660
|
|
U.S. Treasury Bill, 0.00%, 8/15/13
(10)
|
|
|
40,000
|
|
|
|
39,987,160
|
|
U.S. Treasury Bill, 0.00%, 9/5/13
(10)
|
|
|
40,000
|
|
|
|
39,984,320
|
|
U.S. Treasury Bill, 0.00%, 11/14/13
|
|
|
50,000
|
|
|
|
49,966,150
|
|
U.S. Treasury Bill, 0.00%, 12/12/13
|
|
|
50,000
|
|
|
|
49,961,950
|
|
U.S. Treasury Bill, 0.00%, 1/9/14
|
|
|
50,000
|
|
|
|
49,955,800
|
|
U.S. Treasury Bill, 0.00%, 2/6/14
|
|
|
70,000
|
|
|
|
69,927,480
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Treasury Obligations
(identified cost $449,750,115)
|
|
|
|
|
|
$
|
449,774,140
|
|
|
|
|
|
|
|
|
|
|
7
|
|
|
|
|
|
|
|
|
|
|
|
Other 7.7%
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Interest
(000s omitted)
|
|
|
Value
|
|
Eaton Vance Cash Reserves Fund, LLC, 0.11%
(11)
|
|
$
|
45,140
|
|
|
$
|
45,140,149
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Other
(identified cost $45,140,149)
|
|
|
|
|
|
$
|
45,140,149
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments
(identified cost $494,890,264)
|
|
|
|
|
|
$
|
494,914,289
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments 100.9%
(identified cost $590,862,957)
|
|
|
|
|
|
$
|
593,367,639
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Assets, Less Liabilities (0.9)%
|
|
|
|
|
|
$
|
(5,349,394
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets 100.0%
|
|
|
|
|
|
$
|
588,018,245
|
|
|
|
|
|
|
|
|
|
|
The percentage shown for each investment category in the Consolidated Portfolio of Investments is based on net assets.
|
|
|
|
|
|
|
|
RUB
|
|
-
|
|
Russian Ruble
|
|
|
|
MTN
|
|
-
|
|
Medium-Term Note
|
*
|
In U.S. dollars unless otherwise indicated.
|
(1)
|
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified
institutional buyers) and remain exempt from registration. At March 31, 2013, the aggregate value of these securities is $40,372,836 or 6.9% of the Funds net assets.
|
(2)
|
Represents a payment-in-kind security which may pay all or a portion of interest in additional par.
|
(3)
|
Amount is less than 0.05%.
|
(4)
|
Variable rate security. The stated interest rate represents the rate in effect at March 31, 2013.
|
(5)
|
Event-linked bond, also known as a catastrophe bond, whose payment of principal is contingent on the non-occurrence of a defined trigger event which may include
hurricanes, earthquakes or other weather-related phenomena.
|
(6)
|
Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United
States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At March 31, 2013, the aggregate value of
these securities is $4,686,906 or 0.8% of the Funds net assets.
|
(7)
|
Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the
inflation-adjusted principal.
|
(8)
|
Security converts to floating rate after the indicated fixed-rate coupon period.
|
(9)
|
Non-income producing security.
|
(10)
|
Security (or a portion thereof) has been pledged to cover collateral requirements on open futures and/or swap contracts.
|
(11)
|
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 March 31, 2013. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended March 31, 2013 was $9,566.
|
8
Basis for Consolidation
The Fund seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance CSF 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 March 31, 2013
were $126,010,639 or 21.4% of the Funds consolidated net assets. The Consolidated Portfolio of Investments includes positions of the Fund and the Subsidiary.
A summary of open financial instruments at March 31, 2013 is as follows:
Forward Foreign
Currency Exchange Contracts
Sales
|
|
|
|
|
|
|
|
|
|
|
Settlement
Date
|
|
Deliver
|
|
In Exchange For
|
|
Counterparty
|
|
Net Unrealized
Appreciation
(Depreciation)
|
|
6/18/13
|
|
Indian Rupee
165,000,000
|
|
United States Dollar
2,988,589
|
|
JPMorgan Chase Bank NA
|
|
$
|
7,963
|
|
6/19/13
|
|
British Pound Sterling
3,000,000
|
|
United States Dollar
4,561,870
|
|
JPMorgan Chase Bank NA
|
|
|
5,343
|
|
6/19/13
|
|
Czech Koruna
45,500,000
|
|
United States Dollar
2,299,606
|
|
JPMorgan Chase Bank NA
|
|
|
35,607
|
|
6/19/13
|
|
Euro
19,250,000
|
|
United States Dollar
24,993,248
|
|
JPMorgan Chase Bank NA
|
|
|
303,953
|
|
6/19/13
|
|
Japanese Yen
570,000,000
|
|
United States Dollar
6,006,512
|
|
JPMorgan Chase Bank NA
|
|
|
(51,916
|
)
|
6/19/13
|
|
New Zealand Dollar
6,000,000
|
|
United States Dollar
4,956,960
|
|
JPMorgan Chase Bank NA
|
|
|
(37,628
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
263,322
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchases
|
|
|
|
|
|
|
|
|
|
|
Settlement
Date
|
|
In Exchange For
|
|
Deliver
|
|
Counterparty
|
|
Net Unrealized
Depreciation
|
|
6/19/13
|
|
Polish Zloty
7,600,000
|
|
United States Dollar
2,355,786
|
|
JPMorgan Chase Bank NA
|
|
$
|
(36,225
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(36,225
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expiration
Month/Year
|
|
Contracts
|
|
Position
|
|
Aggregate Cost
|
|
|
Value
|
|
|
Net Unrealized
Appreciation
(Depreciation)
|
|
6/13
|
|
52 Gold
|
|
Long
|
|
$
|
8,379,800
|
|
|
$
|
8,297,640
|
|
|
$
|
(82,160
|
)
|
6/13
|
|
13 High Grade Copper
|
|
Short
|
|
|
(1,144,813
|
)
|
|
|
(1,109,063
|
)
|
|
|
35,750
|
|
12/13
|
|
8 LME Copper
|
|
Short
|
|
|
(1,859,800
|
)
|
|
|
(1,518,700
|
)
|
|
|
341,100
|
|
12/13
|
|
8 LME Copper
|
|
Long
|
|
|
1,675,000
|
|
|
|
1,518,700
|
|
|
|
(156,300
|
)
|
7/13
|
|
68 Platinum
|
|
Long
|
|
|
5,392,400
|
|
|
|
5,353,640
|
|
|
|
(38,760
|
)
|
6/13
|
|
38 Euro-BTP
|
|
Short
|
|
|
(5,375,672
|
)
|
|
|
(5,285,558
|
)
|
|
|
90,114
|
|
6/13
|
|
174 Euro-Bund
|
|
Long
|
|
|
32,076,790
|
|
|
|
32,450,386
|
|
|
|
373,596
|
|
6/13
|
|
123 Euro-OAT
|
|
Short
|
|
|
(21,295,015
|
)
|
|
|
(21,445,953
|
)
|
|
|
(150,938
|
)
|
6/13
|
|
99 U.S. 5-Year Treasury Note
|
|
Short
|
|
|
(12,275,226
|
)
|
|
|
(12,281,414
|
)
|
|
|
(6,188
|
)
|
6/13
|
|
41 U.S. 10-Year Treasury Note
|
|
Short
|
|
|
(5,381,891
|
)
|
|
|
(5,411,360
|
)
|
|
|
(29,469
|
)
|
6/13
|
|
36 U.S. 30-Year Treasury Bond
|
|
Long
|
|
|
5,153,500
|
|
|
|
5,200,875
|
|
|
|
47,375
|
|
6/13
|
|
19 U.S. Ultra-Long Treasury Bond
|
|
Short
|
|
|
(3,028,125
|
)
|
|
|
(2,994,281
|
)
|
|
|
33,844
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
457,964
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9
Euro-BTP: Long-term debt securities issued by the Republic of Italy with a remaining term to maturity of 8.5
to 11 years.
Euro-Bund: Long-term debt securities issued by the Federal Republic of Germany with a remaining term to maturity of 8.5 to 10.5
years.
Euro-OAT: Long-term debt securities issued by the French Republic with a remaining term to maturity of 8.5 to 10.5 years.
LME: London Metal Exchange
Interest Rate
Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty
|
|
Notional
Amount
(000s omitted)
|
|
|
Fund
Pays/Receives
Floating Rate
|
|
Floating
Rate Index
|
|
Annual
Fixed Rate
|
|
|
Termination
Date
|
|
|
Net Unrealized
Depreciation
|
|
Credit Suisse International
|
|
$
|
3,500
|
|
|
Receives
|
|
3-Month USD-
LIBOR-BBA
|
|
|
3.89
|
%
|
|
|
6/27/41
|
|
|
$
|
(672,906
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(672,906
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swaps Buy Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Entity
|
|
Counterparty
|
|
Notional
Amount
(000s omitted)
|
|
|
Contract
Annual
Fixed Rate*
|
|
|
Termination
Date
|
|
|
Market
Value
|
|
|
Upfront
Payments
Received
(Paid)
|
|
|
Net Unrealized
Appreciation
(Depreciation)
|
|
France
|
|
Citibank NA
|
|
$
|
4,000
|
|
|
|
0.25
|
%
(1)
|
|
|
9/20/16
|
|
|
$
|
37,654
|
|
|
$
|
(129,216
|
)
|
|
$
|
(91,562
|
)
|
France
|
|
Credit Suisse International
|
|
|
5,000
|
|
|
|
0.25
|
(1)
|
|
|
6/20/16
|
|
|
|
34,578
|
|
|
|
(76,640
|
)
|
|
|
(42,062
|
)
|
Markit CDX
Emerging
Markets Index
|
|
Citibank NA
|
|
|
5,000
|
|
|
|
5.00
|
(1)
|
|
|
6/20/16
|
|
|
|
(347,038
|
)
|
|
|
439,530
|
|
|
|
92,492
|
|
Markit CDX
Emerging
Markets Index
|
|
Citibank NA
|
|
|
3,000
|
|
|
|
5.00
|
(1)
|
|
|
6/20/17
|
|
|
|
(312,374
|
)
|
|
|
231,000
|
|
|
|
(81,374
|
)
|
Markit CDX
Emerging
Markets Index
|
|
Credit Suisse International
|
|
|
2,750
|
|
|
|
5.00
|
(1)
|
|
|
6/20/16
|
|
|
|
(190,871
|
)
|
|
|
232,223
|
|
|
|
41,352
|
|
Markit CDX
North America
High Yield Index
|
|
Credit Suisse International
|
|
|
1,250
|
|
|
|
5.00
|
(1)
|
|
|
12/20/17
|
|
|
|
(53,598
|
)
|
|
|
(2,925
|
)
|
|
|
(56,523
|
)
|
Markit CDX
North America
High Yield Index
|
|
Credit Suisse International
|
|
|
1,500
|
|
|
|
5.00
|
(1)
|
|
|
12/20/17
|
|
|
|
(64,318
|
)
|
|
|
3,515
|
|
|
|
(60,803
|
)
|
Markit CDX
North America
High Yield Index
|
|
Credit Suisse International
|
|
|
3,000
|
|
|
|
5.00
|
(1)
|
|
|
12/20/17
|
|
|
|
(128,636
|
)
|
|
|
(16,923
|
)
|
|
|
(145,559
|
)
|
Markit CDX
North America
High Yield Index
|
|
Credit Suisse International
|
|
|
4,000
|
|
|
|
5.00
|
(1)
|
|
|
12/20/17
|
|
|
|
(171,514
|
)
|
|
|
(67,414
|
)
|
|
|
(238,928
|
)
|
Markit CDX
North America
High Yield Index
|
|
JPMorgan Chase Bank NA
|
|
|
250
|
|
|
|
5.00
|
(1)
|
|
|
12/20/17
|
|
|
|
(10,720
|
)
|
|
|
6,567
|
|
|
|
(4,153
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(1,206,837
|
)
|
|
$
|
619,717
|
|
|
$
|
(587,120
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
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.
|
(1)
|
Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon.
|
10
Total Return Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty
|
|
Notional
Amount
|
|
|
Fund
Pays/Receives
Return on
Reference
Index
|
|
Reference Index
|
|
Fund
Pays/Receives
Rate
|
|
Rate
|
|
|
Expiration
Date
|
|
|
Net Unrealized
Appreciation
(Depreciation)
|
|
Barclays Bank PLC
|
|
$
|
12,400,000
|
|
|
Receives
|
|
Excess Return on Barclays Commodity Strategy 1607 Index
|
|
Pays
|
|
|
0.50
|
%
|
|
|
4/30/13
|
|
|
$
|
(592
|
)
|
Barclays Bank PLC
|
|
|
12,300,000
|
|
|
Receives
|
|
Excess Return on Barclays Commodity Strategy 1658 Index
|
|
Pays
|
|
|
0.55
|
|
|
|
4/30/13
|
|
|
|
5,727
|
|
Barclays Bank PLC
|
|
|
63,200,000
|
|
|
Receives
|
|
Excess Return on Dow
Jones-UBS Commodity Index
|
|
Pays
|
|
|
0.18
|
|
|
|
5/15/13
|
|
|
|
79,056
|
|
Citibank NA
|
|
|
13,300,000
|
|
|
Receives
|
|
Excess Return on Citi Commodities Term Structure Beta Index
|
|
Pays
|
|
|
0.46
|
|
|
|
5/15/13
|
|
|
|
(91,713
|
)
|
Citibank NA
|
|
|
5,100,000
|
|
|
Receives
|
|
Excess Return on Citi DynaVol USD Index
|
|
Pays
|
|
|
0.50
|
|
|
|
8/30/13
|
|
|
|
30,340
|
|
Citibank NA
|
|
|
189,100,000
|
|
|
Receives
|
|
Excess Return on Dow
Jones-UBS Commodity Index
|
|
Pays
|
|
|
0.15
|
|
|
|
5/15/13
|
|
|
|
(2,521,219
|
)
|
Credit Suisse International
|
|
|
6,500,000
|
|
|
Receives
|
|
Excess Return on Credit Suisse Commodity Backwardation 01 Index
|
|
Pays
|
|
|
0.50
|
|
|
|
5/15/13
|
|
|
|
(95,507
|
)
|
Credit Suisse International
|
|
|
6,500,000
|
|
|
Receives
|
|
Excess Return on Credit Suisse Commodity Backwardation Index
|
|
Pays
|
|
|
0.50
|
|
|
|
5/15/13
|
|
|
|
(57,845
|
)
|
Credit Suisse International
|
|
|
144,300,000
|
|
|
Receives
|
|
Excess Return on Dow
Jones-UBS Commodity Index
|
|
Pays
|
|
|
0.15
|
|
|
|
5/15/13
|
|
|
|
182,756
|
|
JPMorgan Chase Bank NA
|
|
|
4,700,000
|
|
|
Receives
|
|
Excess Return on J.P. Morgan ETF Efficiente 8 Index
|
|
Pays
|
|
|
0.00
|
|
|
|
4/30/13
|
|
|
|
|
|
JPMorgan Chase Bank NA
|
|
|
900,000
|
|
|
Receives
|
|
Excess Return on J.P. Morgan FX Volemont Strategy
|
|
Pays
|
|
|
0.00
|
|
|
|
4/30/13
|
|
|
|
5,593
|
|
JPMorgan Chase Bank NA
|
|
|
600,000
|
|
|
Receives
|
|
Excess Return on J.P. Morgan Macro Hedge Curve US Long/Flat Index
|
|
Pays
|
|
|
0.00
|
|
|
|
4/30/13
|
|
|
|
|
|
JPMorgan Chase Bank NA
|
|
|
2,800,000
|
|
|
Receives
|
|
Excess Return on J.P. Morgan Mozaic 3 Index
|
|
Pays
|
|
|
2.25
|
|
|
|
6/28/13
|
|
|
|
(11,371
|
)
|
JPMorgan Chase Bank NA
|
|
|
3,400,000
|
|
|
Receives
|
|
Excess Return on J.P. Morgan Volemont Asia Strategy Index
|
|
Pays
|
|
|
0.00
|
|
|
|
5/7/13
|
|
|
|
1,529
|
|
Merrill Lynch International
|
|
|
153,500,000
|
|
|
Receives
|
|
Excess Return on Dow
Jones-UBS Commodity Index
|
|
Pays
|
|
|
0.13
|
|
|
|
5/15/13
|
|
|
|
196,005
|
|
Merrill Lynch International
|
|
|
9,600,000
|
|
|
Receives
|
|
Excess Return on Merrill Lynch MLCX Momentum Index
|
|
Pays
|
|
|
0.35
|
|
|
|
4/30/13
|
|
|
|
22,534
|
|
Merrill Lynch International
|
|
|
16,800,000
|
|
|
Receives
|
|
Excess Return on Merrill Lynch Commodities Short MLBXFCS1 Index and Long MLBXFCL1 Index
|
|
Pays
|
|
|
0.57
|
|
|
|
4/30/13
|
|
|
|
24,725
|
|
Merrill Lynch International
|
|
|
13,000,000
|
|
|
Receives
|
|
Excess Return on Merrill Lynch MLCX AKL Momentum Index
|
|
Pays
|
|
|
0.48
|
|
|
|
5/15/13
|
|
|
|
(173,352
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(2,403,334
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11
At March 31, 2013, the Fund had sufficient cash and/or securities to cover commitments under these
contracts.
In the normal course of pursuing its investment objective and use of derivatives, the Fund is subject to the following risks:
Commodity Risk: Commodity risk is the risk that the value of a commodity or commodity index will fluctuate based on increases or decreases in
the commodities market and factors specific to a particular industry or commodity. The Fund invests primarily in commodity-linked derivative investments, including commodity futures contracts and total return swap contracts based on a commodity
index that provide exposure to the investment returns of the commodities markets, without investing directly in physical commodities.
Credit
Risk: The Fund enters into credit default swap and total return swap contracts to manage its credit risk, to gain exposure to credit risk or to enhance return.
Interest Rate Risk: Because the Fund holds fixed-rate bonds, the value of these bonds may decrease if interest rates rise. To hedge against this risk, the Fund enters into interest rate swap contracts.
The Fund also purchases and sells futures contracts to hedge against changes in interest rates and to enhance return.
Foreign Exchange Risk:
The Fund engages in forward foreign currency exchange contracts and total return swap contracts to enhance return or to hedge against fluctuations in currency exchange rates.
Equity Price Risk: The Fund enters into total return swap contracts to enhance return or hedge volatility as an overall asset/risk instrument.
The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at March 31, 2013 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value
|
|
Risk
|
|
Derivative
|
|
Asset
Derivative
|
|
|
Liability
Derivative
|
|
Commodity
|
|
Futures Contracts*
|
|
$
|
376,850
|
|
|
$
|
(277,220
|
)
|
Commodity
|
|
Total Return Swaps
|
|
|
510,803
|
|
|
|
(2,940,228
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
887,653
|
|
|
$
|
(3,217,448
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit
|
|
Credit Default Swaps
|
|
$
|
72,232
|
|
|
$
|
(1,279,069
|
)
|
Credit
|
|
Total Return Swaps
|
|
|
|
|
|
|
(11,371
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
72,232
|
|
|
$
|
(1,290,440
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity Price
|
|
Total Return Swaps
|
|
$
|
31,869
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
31,869
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Exchange
|
|
Forward Foreign Currency Exchange Contracts
|
|
$
|
352,866
|
|
|
$
|
(125,769
|
)
|
Foreign Exchange
|
|
Total Return Swaps
|
|
|
5,593
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
358,459
|
|
|
$
|
(125,769
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate
|
|
Futures Contracts*
|
|
$
|
544,929
|
|
|
$
|
(186,595
|
)
|
Interest Rate
|
|
Interest Rate Swaps
|
|
|
|
|
|
|
(672,906
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
544,929
|
|
|
$
|
(859,501
|
)
|
|
|
|
|
|
|
|
|
|
|
|
*
|
Amount represents cumulative unrealized appreciation or (depreciation) on futures contracts in the Futures Contracts table above.
|
The cost and unrealized appreciation (depreciation) of investments of the Fund, including the Subsidiary, at March 31, 2013, as determined on a
federal income tax basis, were as follows:
|
|
|
|
|
Aggregate cost
|
|
$
|
591,647,525
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
2,393,210
|
|
Gross unrealized depreciation
|
|
|
(673,096
|
)
|
|
|
|
|
|
Net unrealized appreciation
|
|
$
|
1,720,114
|
|
|
|
|
|
|
12
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to
prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
|
|
Level 1 quoted prices in active markets for identical investments
|
|
|
Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk,
etc.)
|
|
|
Level 3 significant unobservable inputs (including a funds own assumptions in determining the fair value of investments)
|
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level
disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing
in those securities.
At March 31, 2013, the hierarchy of inputs used in valuing the Funds investments and open derivative
instruments, which are carried at value, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Description
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Corporate Bonds
|
|
$
|
|
|
|
$
|
39,998,512
|
|
|
$
|
|
|
|
$
|
39,998,512
|
|
Foreign Corporate Bonds
|
|
|
|
|
|
|
16,229,888
|
|
|
|
|
|
|
|
16,229,888
|
|
Foreign Government Bonds
|
|
|
|
|
|
|
200,116
|
|
|
|
|
|
|
|
200,116
|
|
U.S. Treasury Obligations
|
|
|
|
|
|
|
41,066,840
|
|
|
|
|
|
|
|
41,066,840
|
|
Preferred Securities
|
|
|
|
|
|
|
926,696
|
|
|
|
|
|
|
|
926,696
|
|
Warrants
|
|
|
|
|
|
|
31,298
|
|
|
|
|
|
|
|
31,298
|
|
Short-Term Investments -
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations
|
|
|
|
|
|
|
449,774,140
|
|
|
|
|
|
|
|
449,774,140
|
|
Other
|
|
|
|
|
|
|
45,140,149
|
|
|
|
|
|
|
|
45,140,149
|
|
Total Investments
|
|
$
|
|
|
|
$
|
593,367,639
|
|
|
$
|
|
|
|
$
|
593,367,639
|
|
Forward Foreign Currency Exchange Contracts
|
|
$
|
|
|
|
$
|
352,866
|
|
|
$
|
|
|
|
$
|
352,866
|
|
Futures Contracts
|
|
|
921,779
|
|
|
|
|
|
|
|
|
|
|
|
921,779
|
|
Swap Contracts
|
|
|
|
|
|
|
620,497
|
|
|
|
|
|
|
|
620,497
|
|
Total
|
|
$
|
921,779
|
|
|
$
|
594,341,002
|
|
|
$
|
|
|
|
$
|
595,262,781
|
|
|
|
|
|
|
Liability Description
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
|
$
|
|
|
|
$
|
(125,769
|
)
|
|
$
|
|
|
|
$
|
(125,769
|
)
|
Futures Contracts
|
|
|
(463,815
|
)
|
|
|
|
|
|
|
|
|
|
|
(463,815
|
)
|
Swap Contracts
|
|
|
|
|
|
|
(4,903,574
|
)
|
|
|
|
|
|
|
(4,903,574
|
)
|
Total
|
|
$
|
(463,815
|
)
|
|
$
|
(5,029,343
|
)
|
|
$
|
|
|
|
$
|
(5,493,158
|
)
|
The Fund held no investments or other financial instruments as of December 31, 2012 whose fair value was determined
using Level 3 inputs. At March 31, 2013, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.
For information on the Funds policy regarding the valuation of investments and other significant accounting policies, please refer to the Funds most recent financial statements included in its
semiannual or annual report to shareholders.
13
Eaton Vance
Dividend Builder Fund
March 31, 2013 (Unaudited)
Eaton Vance Dividend Builder Fund (the Fund), a diversified series of Eaton Vance Special Investment Trust, invests substantially all of its assets in
Dividend Builder Portfolio (the Portfolio) and owns a pro-rata interest in the Portfolios net assets. At March 31, 2013, the value of the Funds investment in the Portfolio was $1,078,657,372 and the Fund owned 99.5% of the
Portfolios outstanding interests. The Portfolios Portfolio of Investments is set forth below.
Dividend Builder Portfolio
March 31, 2013
PORTFOLIO OF INVESTMENTS (Unaudited)
Common Stocks 99.5%
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Aerospace & Defense 5.5%
|
|
|
|
|
|
|
|
|
Boeing Co. (The)
|
|
|
190,000
|
|
|
$
|
16,311,500
|
|
Honeywell International, Inc.
|
|
|
210,000
|
|
|
|
15,823,500
|
|
Lockheed Martin Corp.
|
|
|
125,000
|
|
|
|
12,065,000
|
|
United Technologies Corp.
|
|
|
165,000
|
|
|
|
15,415,950
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
59,615,950
|
|
|
|
|
|
|
|
|
|
|
Chemicals 4.9%
|
|
|
|
|
|
|
|
|
Cytec Industries, Inc.
|
|
|
75,000
|
|
|
$
|
5,556,000
|
|
LyondellBasell Industries NV, Class A
|
|
|
290,000
|
|
|
|
18,354,100
|
|
Monsanto Co.
|
|
|
150,000
|
|
|
|
15,844,500
|
|
PPG Industries, Inc.
|
|
|
100,000
|
|
|
|
13,394,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
53,148,600
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks 7.8%
|
|
|
|
|
|
|
|
|
KeyCorp
|
|
|
1,150,000
|
|
|
$
|
11,454,000
|
|
PNC Financial Services Group, Inc.
|
|
|
432,000
|
|
|
|
28,728,000
|
|
Regions Financial Corp.
|
|
|
2,000,000
|
|
|
|
16,380,000
|
|
Wells Fargo & Co.
|
|
|
761,672
|
|
|
|
28,174,247
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
84,736,247
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment 2.8%
|
|
|
|
|
|
|
|
|
QUALCOMM, Inc.
|
|
|
450,000
|
|
|
$
|
30,127,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
30,127,500
|
|
|
|
|
|
|
|
|
|
|
Computers & Peripherals 3.9%
|
|
|
|
|
|
|
|
|
Apple, Inc.
|
|
|
94,500
|
|
|
$
|
41,828,535
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
41,828,535
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance 1.0%
|
|
|
|
|
|
|
|
|
Discover Financial Services
|
|
|
250,000
|
|
|
$
|
11,210,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
11,210,000
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging 0.2%
|
|
|
|
|
|
|
|
|
Amcor, Ltd.
|
|
|
241,861
|
|
|
$
|
2,343,280
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,343,280
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services 5.4%
|
|
|
|
|
|
|
|
|
Bank of America Corp.
|
|
|
1,420,000
|
|
|
$
|
17,295,600
|
|
Citigroup, Inc.
|
|
|
420,000
|
|
|
|
18,580,800
|
|
JPMorgan Chase & Co.
|
|
|
470,000
|
|
|
|
22,306,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
58,182,600
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services 1.9%
|
|
|
|
|
|
|
|
|
Telstra Corp., Ltd.
|
|
|
4,500,000
|
|
|
$
|
21,159,473
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
21,159,473
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities 0.5%
|
|
|
|
|
|
|
|
|
Edison International
|
|
|
120,000
|
|
|
$
|
6,038,400
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,038,400
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services 1.7%
|
|
|
|
|
|
|
|
|
Halliburton Co.
|
|
|
450,000
|
|
|
$
|
18,184,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
18,184,500
|
|
|
|
|
|
|
|
|
|
|
1
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Food & Staples Retailing 1.8%
|
|
|
|
|
|
|
|
|
Costco Wholesale Corp.
|
|
|
180,000
|
|
|
$
|
19,099,800
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
19,099,800
|
|
|
|
|
|
|
|
|
|
|
Food Products 5.7%
|
|
|
|
|
|
|
|
|
Hershey Co. (The)
|
|
|
140,000
|
|
|
$
|
12,254,200
|
|
Kraft Foods Group, Inc.
|
|
|
250,000
|
|
|
|
12,882,500
|
|
Mondelez International, Inc., Class A
|
|
|
405,000
|
|
|
|
12,397,050
|
|
Nestle SA
|
|
|
225,000
|
|
|
|
16,284,282
|
|
Orkla ASA
|
|
|
1,000,000
|
|
|
|
8,038,444
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
61,856,476
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies 2.7%
|
|
|
|
|
|
|
|
|
Abbott Laboratories
|
|
|
200,000
|
|
|
$
|
7,064,000
|
|
Covidien PLC
|
|
|
325,000
|
|
|
|
22,048,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
29,112,000
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure 2.6%
|
|
|
|
|
|
|
|
|
McDonalds Corp.
|
|
|
284,000
|
|
|
$
|
28,311,960
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
28,311,960
|
|
|
|
|
|
|
|
|
|
|
Household Products 0.7%
|
|
|
|
|
|
|
|
|
Svenska Cellulosa AB, Class B
|
|
|
300,000
|
|
|
$
|
7,745,376
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
7,745,376
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates 2.1%
|
|
|
|
|
|
|
|
|
General Electric Co.
|
|
|
1,000,000
|
|
|
$
|
23,120,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
23,120,000
|
|
|
|
|
|
|
|
|
|
|
Insurance 1.7%
|
|
|
|
|
|
|
|
|
Aflac, Inc.
|
|
|
350,000
|
|
|
$
|
18,207,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
18,207,000
|
|
|
|
|
|
|
|
|
|
|
IT Services 7.6%
|
|
|
|
|
|
|
|
|
Accenture PLC, Class A
|
|
|
460,000
|
|
|
$
|
34,946,200
|
|
International Business Machines Corp.
|
|
|
140,000
|
|
|
|
29,862,000
|
|
Visa, Inc., Class A
|
|
|
102,000
|
|
|
|
17,323,680
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
82,131,880
|
|
|
|
|
|
|
|
|
|
|
Machinery 1.2%
|
|
|
|
|
|
|
|
|
Deere & Co.
|
|
|
150,000
|
|
|
$
|
12,897,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
12,897,000
|
|
|
|
|
|
|
|
|
|
|
Media 3.1%
|
|
|
|
|
|
|
|
|
Comcast Corp., Class A
|
|
|
455,000
|
|
|
$
|
19,114,550
|
|
Walt Disney Co. (The)
|
|
|
250,000
|
|
|
|
14,200,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
33,314,550
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining 0.6%
|
|
|
|
|
|
|
|
|
Freeport-McMoRan Copper & Gold, Inc.
|
|
|
200,000
|
|
|
$
|
6,620,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,620,000
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities 1.6%
|
|
|
|
|
|
|
|
|
National Grid PLC
|
|
|
600,000
|
|
|
$
|
6,971,854
|
|
Sempra Energy
|
|
|
125,000
|
|
|
|
9,992,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
16,964,354
|
|
|
|
|
|
|
|
|
|
|
2
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Oil, Gas & Consumable Fuels 11.2%
|
|
|
|
|
|
|
|
|
Chevron Corp.
|
|
|
185,000
|
|
|
$
|
21,981,700
|
|
Enbridge, Inc.
|
|
|
250,000
|
|
|
|
11,635,000
|
|
HollyFrontier Corp.
|
|
|
255,000
|
|
|
|
13,119,750
|
|
Kinder Morgan Management, LLC
(1)
|
|
|
252,773
|
|
|
|
22,206,108
|
|
Marathon Oil Corp.
|
|
|
400,000
|
|
|
|
13,488,000
|
|
Occidental Petroleum Corp.
|
|
|
199,000
|
|
|
|
15,595,630
|
|
Phillips 66
|
|
|
330,000
|
|
|
|
23,090,100
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
121,116,288
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 9.5%
|
|
|
|
|
|
|
|
|
AstraZeneca PLC
|
|
|
410,000
|
|
|
$
|
20,565,893
|
|
Pfizer, Inc.
|
|
|
935,000
|
|
|
|
26,984,100
|
|
Roche Holding AG PC
|
|
|
65,000
|
|
|
|
15,152,994
|
|
Sanofi
|
|
|
315,000
|
|
|
|
32,125,379
|
|
Zoetis, Inc.
(1)
|
|
|
246,894
|
|
|
|
8,246,260
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
103,074,626
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) 0.5%
|
|
|
|
|
|
|
|
|
AvalonBay Communities, Inc.
|
|
|
46,072
|
|
|
$
|
5,835,940
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,835,940
|
|
|
|
|
|
|
|
|
|
|
Road & Rail 1.3%
|
|
|
|
|
|
|
|
|
Union Pacific Corp.
|
|
|
100,000
|
|
|
$
|
14,241,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
14,241,000
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment 1.1%
|
|
|
|
|
|
|
|
|
Analog Devices, Inc.
|
|
|
250,000
|
|
|
$
|
11,622,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
11,622,500
|
|
|
|
|
|
|
|
|
|
|
Software 4.3%
|
|
|
|
|
|
|
|
|
Microsoft Corp.
|
|
|
1,020,000
|
|
|
$
|
29,182,200
|
|
Oracle Corp.
|
|
|
550,000
|
|
|
|
17,787,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
46,969,200
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail 3.1%
|
|
|
|
|
|
|
|
|
Home Depot, Inc. (The)
|
|
|
220,000
|
|
|
$
|
15,351,600
|
|
Industria de Diseno Textil SA
|
|
|
39,000
|
|
|
|
5,197,157
|
|
TJX Companies, Inc. (The)
|
|
|
280,000
|
|
|
|
13,090,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
33,638,757
|
|
|
|
|
|
|
|
|
|
|
Tobacco 1.5%
|
|
|
|
|
|
|
|
|
British American Tobacco PLC
|
|
|
303,000
|
|
|
$
|
16,247,619
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
16,247,619
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks 99.5%
(identified cost $807,684,179)
|
|
|
|
|
|
$
|
1,078,701,411
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Assets, Less Liabilities 0.5%
|
|
|
|
|
|
$
|
4,878,193
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets 100.0%
|
|
|
|
|
|
$
|
1,083,579,604
|
|
|
|
|
|
|
|
|
|
|
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
|
|
|
|
|
|
|
|
PC
|
|
-
|
|
Participation Certificate
|
(1)
|
Non-income producing security.
|
3
Country Concentration of Portfolio
|
|
|
|
|
|
|
|
|
Country
|
|
Percentage
of Net Assets
|
|
|
Value
|
|
United States
|
|
|
77.5
|
%
|
|
$
|
839,886,360
|
|
Ireland
|
|
|
5.2
|
|
|
|
56,994,200
|
|
United Kingdom
|
|
|
4.0
|
|
|
|
43,785,366
|
|
France
|
|
|
3.0
|
|
|
|
32,125,379
|
|
Switzerland
|
|
|
2.9
|
|
|
|
31,437,276
|
|
Australia
|
|
|
2.2
|
|
|
|
23,502,753
|
|
Netherlands
|
|
|
1.7
|
|
|
|
18,354,100
|
|
Canada
|
|
|
1.1
|
|
|
|
11,635,000
|
|
Norway
|
|
|
0.7
|
|
|
|
8,038,444
|
|
Sweden
|
|
|
0.7
|
|
|
|
7,745,376
|
|
Spain
|
|
|
0.5
|
|
|
|
5,197,157
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks
|
|
|
99.5
|
%
|
|
$
|
1,078,701,411
|
|
|
|
|
|
|
|
|
|
|
A summary of open financial instruments at March 31, 2013 is as follows:
Forward Foreign Currency Exchange Contracts
Sales
|
|
|
|
|
|
|
|
|
|
|
Settlement
Date
|
|
Deliver
|
|
In Exchange For
|
|
Counterparty
|
|
Net Unrealized
Appreciation
(Depreciation)
|
|
4/30/13
|
|
British Pound Sterling
8,361,112
|
|
United States Dollar
12,671,349
|
|
Citibank NA
|
|
$
|
(31,059
|
)
|
4/30/13
|
|
British Pound Sterling
8,361,112
|
|
United States Dollar
12,670,697
|
|
Standard Chartered Bank
|
|
|
(31,711
|
)
|
4/30/13
|
|
British Pound Sterling
8,361,112
|
|
United States Dollar
12,670,722
|
|
State Street Bank and Trust Co.
|
|
|
(31,686
|
)
|
4/30/13
|
|
Euro
10,882,662
|
|
United States Dollar
13,993,906
|
|
Citibank NA
|
|
|
41,509
|
|
4/30/13
|
|
Euro
10,882,662
|
|
United States Dollar
13,992,938
|
|
Standard Chartered Bank
|
|
|
40,540
|
|
4/30/13
|
|
Euro
10,882,662
|
|
United States Dollar
13,994,069
|
|
State Street Bank and Trust Co.
|
|
|
41,672
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
29,265
|
|
|
|
|
|
|
|
|
|
|
|
|
At March 31, 2013, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.
The Portfolio is subject to foreign exchange risk in the normal course of pursuing its investment objective. Because the Portfolio holds
foreign currency denominated investments, the value of these investments and related receivables and payables may change due to future changes in foreign currency exchange rates. To hedge against this risk, the Portfolio enters into forward foreign
currency exchange contracts. The Portfolio also enters into such contracts to hedge the currency risk of investments it anticipates purchasing.
At March 31, 2013, the aggregate fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure
purposes) in an asset position and in a liability position and whose primary underlying risk exposure is foreign exchange risk was $123,721 and $94,456, respectively.
The cost and unrealized appreciation (depreciation) of investments of the Portfolio at March 31, 2013, as determined on a federal income tax basis, were as follows:
|
|
|
|
|
Aggregate cost
|
|
$
|
807,853,354
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
271,120,377
|
|
Gross unrealized depreciation
|
|
|
(272,320
|
)
|
|
|
|
|
|
Net unrealized appreciation
|
|
$
|
270,848,057
|
|
|
|
|
|
|
4
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to
prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
|
|
Level 1 quoted prices in active markets for identical investments
|
|
|
Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk,
etc.)
|
|
|
Level 3 significant unobservable inputs (including a funds own assumptions in determining the fair value of investments)
|
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level
disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing
in those securities.
At March 31, 2013, the hierarchy of inputs used in valuing the Portfolios investments and open derivative
instruments, which are carried at value, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Description
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Common Stocks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary
|
|
$
|
90,068,110
|
|
|
$
|
5,197,157
|
|
|
$
|
|
|
|
$
|
95,265,267
|
|
Consumer Staples
|
|
|
56,633,550
|
|
|
|
48,315,721
|
|
|
|
|
|
|
|
104,949,271
|
|
Energy
|
|
|
139,300,788
|
|
|
|
|
|
|
|
|
|
|
|
139,300,788
|
|
Financials
|
|
|
178,171,787
|
|
|
|
|
|
|
|
|
|
|
|
178,171,787
|
|
Health Care
|
|
|
64,342,360
|
|
|
|
67,844,266
|
|
|
|
|
|
|
|
132,186,626
|
|
Industrials
|
|
|
109,873,950
|
|
|
|
|
|
|
|
|
|
|
|
109,873,950
|
|
Information Technology
|
|
|
212,679,615
|
|
|
|
|
|
|
|
|
|
|
|
212,679,615
|
|
Materials
|
|
|
59,768,600
|
|
|
|
2,343,280
|
|
|
|
|
|
|
|
62,111,880
|
|
Telecommunication Services
|
|
|
|
|
|
|
21,159,473
|
|
|
|
|
|
|
|
21,159,473
|
|
Utilities
|
|
|
16,030,900
|
|
|
|
6,971,854
|
|
|
|
|
|
|
|
23,002,754
|
|
Total Common Stocks
|
|
$
|
926,869,660
|
|
|
$
|
151,831,751
|
*
|
|
$
|
|
|
|
$
|
1,078,701,411
|
|
Forward Foreign Currency Exchange Contracts
|
|
$
|
|
|
|
$
|
123,721
|
|
|
$
|
|
|
|
$
|
123,721
|
|
Total
|
|
$
|
926,869,660
|
|
|
$
|
151,955,472
|
|
|
$
|
|
|
|
$
|
1,078,825,132
|
|
|
|
|
|
|
Liability Description
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
|
$
|
|
|
|
$
|
(94,456
|
)
|
|
$
|
|
|
|
$
|
(94,456
|
)
|
Total
|
|
$
|
|
|
|
$
|
(94,456
|
)
|
|
$
|
|
|
|
$
|
(94,456
|
)
|
*
|
Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the
close of trading in their applicable foreign markets.
|
The Portfolio held no investments or other financial instruments as of
December 31, 2012 whose fair value was determined using Level 3 inputs. At March 31, 2013, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.
For information on the Portfolios policy regarding the valuation of investments and other significant accounting policies, please refer to the
Portfolios most recent financial statements included in its semiannual or annual report to shareholders.
5
Eaton Vance
Greater India Fund
March 31, 2013 (Unaudited)
Eaton Vance Greater India Fund (the Fund), a diversified series of Eaton Vance Special Investment Trust, invests substantially all of its assets in
Greater India Portfolio (the Portfolio) and owns a pro rata interest in the Portfolios net assets. At March 31, 2013, the value of the Funds investment in the Portfolio was $317,669,853 and the Fund owned 99.9% of the
Portfolios outstanding interests. The Portfolios Portfolio of Investments is set forth below.
Greater India Portfolio
March 31, 2013
PORTFOLIO OF INVESTMENTS (Unaudited)
Common Stocks 96.5%
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
India 95.9%
|
|
|
|
|
|
|
|
|
Auto Components 2.0%
|
|
|
|
|
|
|
|
|
Exide Industries, Ltd.
|
|
|
2,700,722
|
|
|
$
|
6,423,581
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,423,581
|
|
|
|
|
|
|
|
|
|
|
Automobiles 9.2%
|
|
|
|
|
|
|
|
|
Bajaj Auto, Ltd.
|
|
|
149,153
|
|
|
$
|
4,886,774
|
|
Mahindra & Mahindra, Ltd.
|
|
|
504,585
|
|
|
|
8,017,357
|
|
Maruti Suzuki India, Ltd.
|
|
|
318,110
|
|
|
|
7,479,181
|
|
Tata Motors, Ltd.
|
|
|
805,400
|
|
|
|
3,932,960
|
|
Tata Motors, Ltd., Class A
|
|
|
1,767,540
|
|
|
|
4,986,896
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
29,303,168
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks 16.9%
|
|
|
|
|
|
|
|
|
HDFC Bank, Ltd.
|
|
|
1,466,565
|
|
|
$
|
16,948,140
|
|
ICICI Bank, Ltd.
|
|
|
941,694
|
|
|
|
18,387,397
|
|
State Bank of India
|
|
|
162,948
|
|
|
|
6,255,098
|
|
Union Bank of India, Ltd.
|
|
|
1,476,480
|
|
|
|
5,961,481
|
|
Yes Bank, Ltd.
|
|
|
755,910
|
|
|
|
6,001,360
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
53,553,476
|
|
|
|
|
|
|
|
|
|
|
Construction & Engineering 5.2%
|
|
|
|
|
|
|
|
|
Larsen & Toubro, Ltd.
|
|
|
547,702
|
|
|
$
|
13,823,952
|
|
NCC, Ltd.
|
|
|
4,712,260
|
|
|
|
2,851,699
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
16,675,651
|
|
|
|
|
|
|
|
|
|
|
Construction Materials 1.3%
|
|
|
|
|
|
|
|
|
Shree Cement, Ltd.
|
|
|
54,400
|
|
|
$
|
4,036,607
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,036,607
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance 2.0%
|
|
|
|
|
|
|
|
|
Shriram Transport Finance Co., Ltd.
|
|
|
487,383
|
|
|
$
|
6,225,760
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,225,760
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services 5.0%
|
|
|
|
|
|
|
|
|
IDFC, Ltd.
|
|
|
2,144,809
|
|
|
$
|
5,688,869
|
|
Multi Commodity Exchange of India, Ltd.
|
|
|
274,850
|
|
|
|
4,198,263
|
|
Rural Electrification Corp., Ltd.
|
|
|
1,551,754
|
|
|
|
6,037,343
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
15,924,475
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities 2.5%
|
|
|
|
|
|
|
|
|
Power Grid Corporation of India, Ltd.
|
|
|
4,128,399
|
|
|
$
|
8,044,967
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
8,044,967
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electrical Equipment 0.9%
|
|
|
|
|
|
|
|
|
Crompton Greaves, Ltd.
|
|
|
1,623,070
|
|
|
$
|
2,817,040
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,817,040
|
|
|
|
|
|
|
|
|
|
|
Food Products 1.2%
|
|
|
|
|
|
|
|
|
McLeod Russel India, Ltd.
|
|
|
586,243
|
|
|
$
|
3,807,207
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,807,207
|
|
|
|
|
|
|
|
|
|
|
1
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Independent Power Producers & Energy Traders 1.1%
|
|
|
|
|
|
|
|
|
NTPC, Ltd.
|
|
|
1,290,000
|
|
|
$
|
3,369,510
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,369,510
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates 1.2%
|
|
|
|
|
|
|
|
|
Aditya Birla Nuvo, Ltd.
|
|
|
215,770
|
|
|
$
|
3,880,939
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,880,939
|
|
|
|
|
|
|
|
|
|
|
IT Services 13.8%
|
|
|
|
|
|
|
|
|
HCL Technologies, Ltd.
|
|
|
662,844
|
|
|
$
|
9,770,303
|
|
Infosys, Ltd.
|
|
|
187,103
|
|
|
|
9,968,447
|
|
Tata Consultancy Services, Ltd.
|
|
|
627,764
|
|
|
|
18,182,863
|
|
Wipro, Ltd.
|
|
|
740,310
|
|
|
|
6,023,306
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
43,944,919
|
|
|
|
|
|
|
|
|
|
|
Media 0.3%
|
|
|
|
|
|
|
|
|
Dish TV India, Ltd.
(1)
|
|
|
731,305
|
|
|
$
|
909,644
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
909,644
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining 2.6%
|
|
|
|
|
|
|
|
|
NMDC, Ltd.
|
|
|
2,145,540
|
|
|
$
|
5,387,163
|
|
Tata Steel, Ltd.
|
|
|
490,450
|
|
|
|
2,825,818
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
8,212,981
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels 6.1%
|
|
|
|
|
|
|
|
|
Bharat Petroleum Corp., Ltd.
|
|
|
636,690
|
|
|
$
|
4,417,182
|
|
Coal India, Ltd.
|
|
|
840,620
|
|
|
|
4,798,184
|
|
Oil & Natural Gas Corp., Ltd.
|
|
|
1,186,270
|
|
|
|
6,831,694
|
|
Reliance Industries, Ltd.
|
|
|
222,927
|
|
|
|
3,198,412
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
19,245,472
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 9.6%
|
|
|
|
|
|
|
|
|
Cadila Healthcare, Ltd.
|
|
|
350,270
|
|
|
$
|
4,815,802
|
|
Dr. Reddys Laboratories, Ltd.
|
|
|
301,649
|
|
|
|
9,810,207
|
|
Glenmark Pharmaceuticals, Ltd.
|
|
|
894,348
|
|
|
|
7,607,493
|
|
Lupin, Ltd.
|
|
|
721,854
|
|
|
|
8,348,841
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
30,582,343
|
|
|
|
|
|
|
|
|
|
|
Real Estate Management & Development 1.8%
|
|
|
|
|
|
|
|
|
Prestige Estates Projects, Ltd.
|
|
|
879,381
|
|
|
$
|
2,623,869
|
|
Sobha Developers, Ltd.
|
|
|
472,474
|
|
|
|
3,012,528
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,636,397
|
|
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance 7.5%
|
|
|
|
|
|
|
|
|
Housing Development Finance Corp., Ltd.
|
|
|
1,203,790
|
|
|
$
|
18,257,928
|
|
LIC Housing Finance, Ltd.
|
|
|
1,365,210
|
|
|
|
5,668,369
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
23,926,297
|
|
|
|
|
|
|
|
|
|
|
Tobacco 5.7%
|
|
|
|
|
|
|
|
|
ITC, Ltd.
|
|
|
3,163,869
|
|
|
$
|
18,051,982
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
18,051,982
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total India
(identified cost $269,266,058)
|
|
|
|
|
|
$
|
304,572,416
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sri Lanka 0.6%
|
|
|
|
|
|
|
|
|
Industrial Conglomerates 0.6%
|
|
|
|
|
|
|
|
|
John Keells Holdings PLC
|
|
|
1,013,368
|
|
|
$
|
1,977,516
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,977,516
|
|
|
|
|
|
|
|
|
|
|
2
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value
|
|
Total Sri Lanka
(identified cost $1,252,562)
|
|
|
|
|
|
$
|
1,977,516
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks
(identified cost $270,518,620)
|
|
|
|
|
|
$
|
306,549,932
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Investments 1.2%
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
State Street Bank and Trust Euro Time Deposit, 0.01%, 4/1/13
|
|
$
|
3,701
|
|
|
$
|
3,700,718
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments
(identified cost $3,700,718)
|
|
|
|
|
|
$
|
3,700,718
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments 97.7%
(identified cost $274,219,338)
|
|
|
|
|
|
$
|
310,250,650
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Assets, Less Liabilities 2.3%
|
|
|
|
|
|
$
|
7,420,226
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets 100.0%
|
|
|
|
|
|
$
|
317,670,876
|
|
|
|
|
|
|
|
|
|
|
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
(1)
|
Non-income producing security.
|
The Portfolio
did not have any open financial instruments at March 31, 2013.
The cost and unrealized appreciation (depreciation) of investments of the
Portfolio at March 31, 2013, as determined on a federal income tax basis, were as follows:
|
|
|
|
|
Aggregate cost
|
|
$
|
280,647,870
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
55,443,578
|
|
Gross unrealized depreciation
|
|
|
(25,840,798
|
)
|
|
|
|
|
|
Net unrealized appreciation
|
|
$
|
29,602,780
|
|
|
|
|
|
|
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.
3
At March 31, 2013, the hierarchy of inputs used in valuing the Portfolios investments, which are
carried at value, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Description
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Common Stocks
|
|
$
|
|
|
|
$
|
306,549,932
|
(1)(2)
|
|
$
|
|
|
|
$
|
306,549,932
|
|
Short-Term Investments
|
|
|
|
|
|
|
3,700,718
|
|
|
|
|
|
|
|
3,700,718
|
|
Total Investments
|
|
$
|
|
|
|
$
|
310,250,650
|
|
|
$
|
|
|
|
$
|
310,250,650
|
|
(1)
|
The level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.
|
(2)
|
Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the
close of trading in their applicable foreign markets.
|
The Portfolio held no investments or other financial instruments as of
December 31, 2012 whose fair value was determined using Level 3 inputs. At March 31, 2013, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.
For information on the Portfolios policy regarding the valuation of investments and other significant accounting policies, please refer to the
Portfolios most recent financial statements included in its semiannual or annual report to shareholders.
4
Eaton Vance
Investment Grade Income Fund
March 31, 2013 (Unaudited)
Eaton Vance Investment Grade Income Fund (the Fund), a diversified series of Eaton Vance Special Investment Trust, invests substantially all of its assets
in Investment Grade Income Portfolio (the Portfolio) and owns a pro-rata interest in the Portfolios net assets. At March 31, 2013, the value of the Funds investment in the Portfolio was $35,718,273 and the Fund owned 32.4% of the
Portfolios outstanding interests. The Portfolios Portfolio of Investments is set forth below.
Investment Grade Income Portfolio
March 31, 2013
PORTFOLIO OF INVESTMENTS (Unaudited)
|
|
|
|
|
|
|
|
|
Corporate Bonds & Notes 36.0%
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Agriculture 1.1%
|
|
|
|
|
|
|
|
|
Bunge, Ltd. Finance Corp., 3.20%, 6/15/17
|
|
$
|
500
|
|
|
$
|
517,907
|
|
Cargill, Inc., 4.10%, 11/1/42
(1)
|
|
|
345
|
|
|
|
333,278
|
|
Lorillard Tobacco Co., 7.00%, 8/4/41
|
|
|
265
|
|
|
|
315,488
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,166,673
|
|
|
|
|
|
|
|
|
|
|
Automotive 0.7%
|
|
|
|
|
|
|
|
|
Advance Auto Parts, Inc., 4.50%, 1/15/22
|
|
$
|
400
|
|
|
$
|
412,144
|
|
Ford Motor Co., 7.45%, 7/16/31
|
|
|
250
|
|
|
|
317,808
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
729,952
|
|
|
|
|
|
|
|
|
|
|
Banks 7.2%
|
|
|
|
|
|
|
|
|
Ally Financial, Inc., 3.125%, 1/15/16
|
|
$
|
520
|
|
|
$
|
526,891
|
|
American Express Co., 6.80% to 9/1/16, 9/1/66
(2)
|
|
|
300
|
|
|
|
324,375
|
|
Bank of America Corp., MTN, 3.30%, 1/11/23
|
|
|
500
|
|
|
|
494,419
|
|
Bank of America Corp., MTN, 5.65%, 5/1/18
|
|
|
435
|
|
|
|
504,001
|
|
Barclays Bank PLC, 5.00%, 9/22/16
|
|
|
380
|
|
|
|
427,186
|
|
Capital One Bank (USA), NA, 3.375%, 2/15/23
|
|
|
384
|
|
|
|
381,317
|
|
Citigroup, Inc., 3.375%, 3/1/23
|
|
|
35
|
|
|
|
35,382
|
|
Citigroup, Inc., 4.05%, 7/30/22
|
|
|
125
|
|
|
|
129,469
|
|
Citigroup, Inc., 4.50%, 1/14/22
(3)
|
|
|
390
|
|
|
|
434,689
|
|
CNH Capital, LLC, 3.875%, 11/1/15
|
|
|
350
|
|
|
|
360,500
|
|
Discover Bank, 2.00%, 2/21/18
|
|
|
250
|
|
|
|
251,158
|
|
Discover Financial Services, 3.85%, 11/21/22
|
|
|
200
|
|
|
|
206,255
|
|
Goldman Sachs Group, Inc. (The), 5.75%, 1/24/22
|
|
|
100
|
|
|
|
116,552
|
|
JPMorgan Chase & Co., 4.35%, 8/15/21
|
|
|
360
|
|
|
|
398,099
|
|
KeyBank NA, 1.65%, 2/1/18
|
|
|
290
|
|
|
|
293,100
|
|
Merrill Lynch & Co., Inc., 6.11%, 1/29/37
|
|
|
105
|
|
|
|
118,828
|
|
Morgan Stanley, 3.45%, 11/2/15
|
|
|
250
|
|
|
|
262,156
|
|
Morgan Stanley, 4.875%, 11/1/22
(3)
|
|
|
400
|
|
|
|
425,152
|
|
PNC Bank NA, 2.70%, 11/1/22
|
|
|
670
|
|
|
|
652,546
|
|
Regions Bank, 6.45%, 6/26/37
|
|
|
410
|
|
|
|
445,875
|
|
UBS AG/Stamford, CT, MTN, 5.875%, 7/15/16
|
|
|
350
|
|
|
|
393,165
|
|
Wachovia Bank NA, 6.00%, 11/15/17
|
|
|
420
|
|
|
|
502,124
|
|
Wells Fargo & Co., 3.45%, 2/13/23
|
|
|
220
|
|
|
|
222,105
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
7,905,344
|
|
|
|
|
|
|
|
|
|
|
Beverages 0.2%
|
|
|
|
|
|
|
|
|
Anheuser-Busch Cos., Inc., 5.50%, 1/15/18
|
|
$
|
175
|
|
|
$
|
209,425
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
209,425
|
|
|
|
|
|
|
|
|
|
|
Broadcasting and Cable 0.8%
|
|
|
|
|
|
|
|
|
CCO Holdings, LLC/CCO Holdings Capital Corp., 7.00%, 1/15/19
|
|
$
|
400
|
|
|
$
|
433,000
|
|
Comcast Corp., 6.95%, 8/15/37
|
|
|
300
|
|
|
|
400,808
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
833,808
|
|
|
|
|
|
|
|
|
|
|
Building Materials 0.3%
|
|
|
|
|
|
|
|
|
Owens Corning, Inc., 4.20%, 12/15/22
|
|
$
|
300
|
|
|
$
|
307,636
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
307,636
|
|
|
|
|
|
|
|
|
|
|
Chemicals 0.3%
|
|
|
|
|
|
|
|
|
LyondellBasell Industries N.V., 5.75%, 4/15/24
|
|
$
|
300
|
|
|
$
|
353,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
353,250
|
|
|
|
|
|
|
|
|
|
|
1
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Commercial Services 2.0%
|
|
|
|
|
|
|
|
|
Cielo SA/Cielo USA, Inc., 3.75%, 11/16/22
(1)
|
|
$
|
500
|
|
|
$
|
481,750
|
|
Corrections Corp. of America, 7.75%, 6/1/17
|
|
|
380
|
|
|
|
399,247
|
|
Hillenbrand, Inc., 5.50%, 7/15/20
|
|
|
400
|
|
|
|
444,633
|
|
Waste Management, Inc., 7.375%, 3/11/19
|
|
|
460
|
|
|
|
583,332
|
|
Western Union Co. (The), 6.20%, 11/17/36
|
|
|
330
|
|
|
|
339,772
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,248,734
|
|
|
|
|
|
|
|
|
|
|
Communications Services 1.2%
|
|
|
|
|
|
|
|
|
Intelsat Jackson Holdings SA, 7.25%, 4/1/19
|
|
$
|
420
|
|
|
$
|
460,950
|
|
Motorola Solutions, Inc., 6.00%, 11/15/17
|
|
|
275
|
|
|
|
322,344
|
|
SBA Telecommunications, Inc., 5.75%, 7/15/20
(1)
|
|
|
500
|
|
|
|
521,875
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,305,169
|
|
|
|
|
|
|
|
|
|
|
Computers 0.3%
|
|
|
|
|
|
|
|
|
Hewlett-Packard Co., 2.65%, 6/1/16
|
|
$
|
115
|
|
|
$
|
117,398
|
|
Hewlett-Packard Co., 3.75%, 12/1/20
|
|
|
120
|
|
|
|
119,403
|
|
Hewlett-Packard Co., 6.00%, 9/15/41
|
|
|
115
|
|
|
|
117,630
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
354,431
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services 0.2%
|
|
|
|
|
|
|
|
|
Jefferies Group, LLC, 5.125%, 1/20/23
|
|
$
|
220
|
|
|
$
|
233,543
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
233,543
|
|
|
|
|
|
|
|
|
|
|
Diversified Manufacturing 1.0%
|
|
|
|
|
|
|
|
|
Caterpillar, Inc., 3.90%, 5/27/21
|
|
$
|
450
|
|
|
$
|
500,567
|
|
Joy Global, Inc., 5.125%, 10/15/21
|
|
|
300
|
|
|
|
335,809
|
|
Tyco Electronics Group SA, 6.55%, 10/1/17
|
|
|
270
|
|
|
|
323,325
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,159,701
|
|
|
|
|
|
|
|
|
|
|
Drugs 0.4%
|
|
|
|
|
|
|
|
|
Merck & Co., Inc., MTN, 5.76%, 5/3/37
|
|
$
|
335
|
|
|
$
|
422,937
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
422,937
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities 1.6%
|
|
|
|
|
|
|
|
|
Comision Federal de Electricidad, 4.875%, 5/26/21
(1)
|
|
$
|
500
|
|
|
$
|
560,625
|
|
Florida Power & Light Co., 4.125%, 2/1/42
|
|
|
400
|
|
|
|
410,292
|
|
Georgia Power Co., 4.30%, 3/15/42
|
|
|
375
|
|
|
|
378,474
|
|
PPL Energy Supply, LLC, 6.50%, 5/1/18
|
|
|
325
|
|
|
|
385,431
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,734,822
|
|
|
|
|
|
|
|
|
|
|
Electrical and Electronic Equipment 1.0%
|
|
|
|
|
|
|
|
|
Amphenol Corp., 4.00%, 2/1/22
|
|
$
|
460
|
|
|
$
|
483,005
|
|
Energizer Holdings, Inc., 4.70%, 5/19/21
|
|
|
550
|
|
|
|
588,083
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,071,088
|
|
|
|
|
|
|
|
|
|
|
Energy 0.8%
|
|
|
|
|
|
|
|
|
Cameron International Corp., 4.50%, 6/1/21
|
|
$
|
600
|
|
|
$
|
672,774
|
|
Petrobras International Finance Co., 7.875%, 3/15/19
|
|
|
220
|
|
|
|
268,892
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
941,666
|
|
|
|
|
|
|
|
|
|
|
Financial Services 1.5%
|
|
|
|
|
|
|
|
|
AWAS Aviation Capital, Ltd., 7.00%, 10/17/16
(1)
|
|
$
|
485
|
|
|
$
|
513,888
|
|
Ford Motor Credit Co., LLC, 3.00%, 6/12/17
|
|
|
400
|
|
|
|
410,797
|
|
Janus Capital Group, Inc., 6.70%, 6/15/17
|
|
|
370
|
|
|
|
424,096
|
|
Lender Processing Services, Inc., 5.75%, 4/15/23
|
|
|
250
|
|
|
|
261,875
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,610,656
|
|
|
|
|
|
|
|
|
|
|
Foods 1.2%
|
|
|
|
|
|
|
|
|
ConAgra Foods, Inc., 4.95%, 8/15/20
(1)
|
|
$
|
365
|
|
|
$
|
418,855
|
|
Delhaize Group SA, 5.70%, 10/1/40
|
|
|
500
|
|
|
|
490,205
|
|
Land OLakes, Inc., 6.00%, 11/15/22
(1)
|
|
|
430
|
|
|
|
460,100
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,369,160
|
|
|
|
|
|
|
|
|
|
|
2
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Health Services 0.6%
|
|
|
|
|
|
|
|
|
Fresenius Medical Care US Finance II, Inc., 5.625%, 7/31/19
(1)
|
|
$
|
400
|
|
|
$
|
441,000
|
|
HCA, Inc., 6.50%, 2/15/20
|
|
|
205
|
|
|
|
231,778
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
672,778
|
|
|
|
|
|
|
|
|
|
|
Home Construction 1.3%
|
|
|
|
|
|
|
|
|
Lennar Corp., 5.60%, 5/31/15
|
|
$
|
400
|
|
|
$
|
428,000
|
|
MDC Holdings, Inc., 5.625%, 2/1/20
|
|
|
320
|
|
|
|
359,003
|
|
MDC Holdings, Inc., 6.00%, 1/15/43
|
|
|
110
|
|
|
|
109,612
|
|
NVR, Inc., 3.95%, 9/15/22
|
|
|
540
|
|
|
|
555,766
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,452,381
|
|
|
|
|
|
|
|
|
|
|
Insurance 1.4%
|
|
|
|
|
|
|
|
|
Aflac, Inc., 4.00%, 2/15/22
(3)
|
|
$
|
260
|
|
|
$
|
280,629
|
|
American International Group, Inc., MTN, 5.85%, 1/16/18
|
|
|
320
|
|
|
|
375,553
|
|
Principal Financial Group, Inc., 6.05%, 10/15/36
|
|
|
185
|
|
|
|
229,649
|
|
Prudential Financial, Inc., MTN, 6.00%, 12/1/17
|
|
|
310
|
|
|
|
370,406
|
|
Willis Group Holdings PLC, 4.125%, 3/15/16
|
|
|
265
|
|
|
|
281,788
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,538,025
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services 0.5%
|
|
|
|
|
|
|
|
|
Equinix, Inc., 7.00%, 7/15/21
|
|
$
|
540
|
|
|
$
|
601,425
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
601,425
|
|
|
|
|
|
|
|
|
|
|
Lodging and Gaming 0.9%
|
|
|
|
|
|
|
|
|
International Game Technology, 7.50%, 6/15/19
|
|
$
|
100
|
|
|
$
|
119,588
|
|
Penn National Gaming, Inc., 8.75%, 8/15/19
|
|
|
380
|
|
|
|
431,300
|
|
Starwood Hotels & Resorts Worldwide, Inc., 6.75%, 5/15/18
|
|
|
345
|
|
|
|
419,441
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
970,329
|
|
|
|
|
|
|
|
|
|
|
Medical Products 0.5%
|
|
|
|
|
|
|
|
|
Mylan Inc., 3.125%, 1/15/23
(1)(3)
|
|
$
|
600
|
|
|
$
|
592,488
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
592,488
|
|
|
|
|
|
|
|
|
|
|
Mining 0.6%
|
|
|
|
|
|
|
|
|
Rio Tinto Finance USA PLC, 3.50%, 3/22/22
|
|
$
|
600
|
|
|
$
|
618,901
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
618,901
|
|
|
|
|
|
|
|
|
|
|
Office Equipment/Supplies 0.3%
|
|
|
|
|
|
|
|
|
Xerox Corp., MTN, 7.20%, 4/1/16
|
|
$
|
300
|
|
|
$
|
343,934
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
343,934
|
|
|
|
|
|
|
|
|
|
|
Oil and Gas-Equipment and Services 1.5%
|
|
|
|
|
|
|
|
|
Anadarko Petroleum Corp., 6.375%, 9/15/17
|
|
$
|
570
|
|
|
$
|
681,302
|
|
Rowan Cos., Inc., 7.875%, 8/1/19
|
|
|
270
|
|
|
|
337,902
|
|
Total Capital International SA, 2.70%, 1/25/23
|
|
|
490
|
|
|
|
493,998
|
|
Transocean, Inc., 2.50%, 10/15/17
|
|
|
165
|
|
|
|
167,338
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,680,540
|
|
|
|
|
|
|
|
|
|
|
Pipelines 0.8%
|
|
|
|
|
|
|
|
|
DCP Midstream Operating, LP, 4.95%, 4/1/22
|
|
$
|
350
|
|
|
$
|
383,073
|
|
Kinder Morgan Energy Partners, LP, 3.45%, 2/15/23
|
|
|
500
|
|
|
|
506,755
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
889,828
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) 2.1%
|
|
|
|
|
|
|
|
|
American Tower Corp., 5.05%, 9/1/20
|
|
$
|
515
|
|
|
$
|
572,915
|
|
AvalonBay Communities, Inc., MTN, 2.85%, 3/15/23
|
|
|
500
|
|
|
|
488,734
|
|
BRE Properties, Inc., 5.50%, 3/15/17
|
|
|
345
|
|
|
|
391,059
|
|
Host Hotels & Resorts, LP, 4.75%, 3/1/23
|
|
|
305
|
|
|
|
329,400
|
|
Simon Property Group LP, 2.75%, 2/1/23
|
|
|
500
|
|
|
|
492,546
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,274,654
|
|
|
|
|
|
|
|
|
|
|
3
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Retail-Specialty and Apparel 2.0%
|
|
|
|
|
|
|
|
|
AutoZone, Inc., 4.00%, 11/15/20
|
|
$
|
350
|
|
|
$
|
375,267
|
|
Best Buy Co., Inc., 5.50%, 3/15/21
|
|
|
100
|
|
|
|
97,000
|
|
Dollar General Corp., 4.125%, 7/15/17
|
|
|
520
|
|
|
|
560,950
|
|
Gap, Inc. (The), 5.95%, 4/12/21
|
|
|
510
|
|
|
|
584,278
|
|
Macys Retail Holdings, Inc., 2.875%, 2/15/23
|
|
|
295
|
|
|
|
286,327
|
|
Staples, Inc., 4.375%, 1/12/23
(3)
|
|
|
300
|
|
|
|
303,496
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,207,318
|
|
|
|
|
|
|
|
|
|
|
Software 0.6%
|
|
|
|
|
|
|
|
|
Fidelity National Information Services, Inc., 5.00%, 3/15/22
|
|
$
|
340
|
|
|
$
|
362,525
|
|
Fiserv, Inc., 3.50%, 10/1/22
|
|
|
315
|
|
|
|
314,873
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
677,398
|
|
|
|
|
|
|
|
|
|
|
Transportation 1.1%
|
|
|
|
|
|
|
|
|
Kansas City Southern Mexico, 8.00%, 2/1/18
|
|
$
|
500
|
|
|
$
|
551,250
|
|
Ryder System, Inc., MTN, 2.50%, 3/1/17
|
|
|
640
|
|
|
|
660,099
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,211,349
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds & Notes
(identified cost $38,186,355)
|
|
|
|
|
|
$
|
39,689,343
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency Mortgage-Backed Securities 29.0%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Federal Home Loan Mortgage Corp.:
|
|
|
|
|
|
|
|
|
Gold Pool #B10129, 3.50%, 10/1/18
|
|
$
|
7
|
|
|
$
|
7,292
|
|
Gold Pool #C03815, 3.50%, 3/1/42
|
|
|
1,081
|
|
|
|
1,141,552
|
|
Gold Pool #C09032, 3.50%, 2/1/43
|
|
|
1,188
|
|
|
|
1,252,728
|
|
Gold Pool #G04309, 5.50%, 5/1/38
|
|
|
1,653
|
|
|
|
1,790,819
|
|
Gold Pool #G18176, 5.00%, 4/1/22
|
|
|
276
|
|
|
|
295,405
|
|
Pool #A97620, 4.50%, 3/1/41
|
|
|
1,067
|
|
|
|
1,144,174
|
|
Pool #C03517, 4.50%, 9/1/40
|
|
|
1,135
|
|
|
|
1,216,450
|
|
Pool #C09013, 3.00%, 9/1/42
|
|
|
1,136
|
|
|
|
1,167,512
|
|
Pool #C09023, 3.50%, 12/1/42
|
|
|
1,152
|
|
|
|
1,213,731
|
|
Pool #G05958, 5.00%, 8/1/40
|
|
|
624
|
|
|
|
670,458
|
|
Pool #G06091, 5.50%, 5/1/40
|
|
|
883
|
|
|
|
956,914
|
|
Pool #G08348, 5.00%, 6/1/39
|
|
|
615
|
|
|
|
661,287
|
|
Pool #G18309, 4.50%, 5/1/24
|
|
|
551
|
|
|
|
587,600
|
|
Pool #G18441, 2.50%, 8/1/27
|
|
|
373
|
|
|
|
386,731
|
|
Pool #Q00285, 4.50%, 4/1/41
|
|
|
1,737
|
|
|
|
1,863,711
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
14,356,364
|
|
|
|
|
|
|
|
|
|
|
Federal National Mortgage Association:
|
|
|
|
|
|
|
|
|
Pool #889040, 5.00%, 6/1/37
|
|
$
|
723
|
|
|
$
|
782,548
|
|
Pool #890397, 3.50%, 12/1/26
|
|
|
170
|
|
|
|
179,801
|
|
Pool #918109, 5.00%, 5/1/37
|
|
|
1,697
|
|
|
|
1,837,478
|
|
Pool #929009, 6.00%, 1/1/38
|
|
|
1,041
|
|
|
|
1,139,523
|
|
Pool #AB4827, 3.50%, 4/1/42
|
|
|
670
|
|
|
|
707,570
|
|
Pool #AB6633, 3.50%, 10/1/42
|
|
|
1,160
|
|
|
|
1,225,280
|
|
Pool #AC8540, 4.50%, 12/1/24
|
|
|
412
|
|
|
|
443,875
|
|
Pool #AE0949, 4.00%, 2/1/41
|
|
|
836
|
|
|
|
891,740
|
|
Pool #AE0971, 4.00%, 5/1/25
|
|
|
247
|
|
|
|
264,570
|
|
4
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Pool #AE4680, 4.00%, 11/1/40
|
|
$
|
407
|
|
|
$
|
434,483
|
|
Pool #AE7535, 4.00%, 10/1/40
|
|
|
830
|
|
|
|
885,976
|
|
Pool #AE7758, 3.50%, 11/1/25
|
|
|
555
|
|
|
|
588,551
|
|
Pool #AE9757, 4.00%, 12/1/40
|
|
|
162
|
|
|
|
172,871
|
|
Pool #AH1559, 4.00%, 12/1/40
|
|
|
173
|
|
|
|
184,759
|
|
Pool #AH3804, 4.00%, 2/1/41
|
|
|
1,452
|
|
|
|
1,556,033
|
|
Pool #AH6827, 4.00%, 3/1/26
|
|
|
741
|
|
|
|
793,218
|
|
Pool #AH9055, 4.50%, 4/1/41
|
|
|
1,231
|
|
|
|
1,329,220
|
|
Pool #AK3264, 3.00%, 2/1/27
|
|
|
552
|
|
|
|
580,539
|
|
Pool #AL0161, 4.00%, 4/1/41
|
|
|
119
|
|
|
|
126,504
|
|
Pool #AL2897, 3.50%, 1/1/43
|
|
|
1,623
|
|
|
|
1,715,202
|
|
Pool #AO3759, 3.50%, 5/1/42
|
|
|
1,174
|
|
|
|
1,240,262
|
|
Pool #MA1060, 2.50%, 5/1/27
|
|
|
462
|
|
|
|
479,890
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
17,559,893
|
|
|
|
|
|
|
|
|
|
|
Government National Mortgage Association,
|
|
|
|
|
|
|
|
|
Pool #781412, 6.50%, 2/15/17
|
|
$
|
117
|
|
|
$
|
124,411
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
124,411
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Agency Mortgage-Backed Securities
(identified cost $31,126,055)
|
|
|
|
|
|
$
|
32,040,668
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities 10.5%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
BSCMS, Series 2002-TOP8, Class A2, 4.83%, 8/15/38
|
|
$
|
10
|
|
|
$
|
10,196
|
|
BSCMS, Series 2004-T14, Class A4, 5.20%, 1/12/41
(4)
|
|
|
342
|
|
|
|
352,419
|
|
CGCMT, Series 2004-C1, Class A3, 5.251%, 4/15/40
(4)
|
|
|
42
|
|
|
|
42,277
|
|
CGCMT, Series 2004-C1, Class A4, 5.365%, 4/15/40
(4)
|
|
|
400
|
|
|
|
415,199
|
|
CGCMT, Series 2012-GC8, Class A2, 1.813%, 9/10/45
|
|
|
400
|
|
|
|
410,778
|
|
COMM, Series 2012-CR2, Class AM, 3.791%, 8/15/45
|
|
|
165
|
|
|
|
177,408
|
|
COMM, Series 2012-CR5, Class A4, 2.771%, 12/10/45
|
|
|
110
|
|
|
|
111,006
|
|
COMM, Series 2012-LC4, Class C, 5.649%, 12/10/44
(4)
|
|
|
215
|
|
|
|
249,113
|
|
CSFB, Series 2003-C3, Class D, 4.131%, 5/15/38
|
|
|
425
|
|
|
|
425,247
|
|
DBUBS, Series 2011-LC1A, Class A1, 3.742%, 11/10/46
(1)
|
|
|
573
|
|
|
|
615,820
|
|
DDR Corp., Series 2009-DDR1, Class C, 6.223%, 10/14/22
(1)
|
|
|
500
|
|
|
|
531,472
|
|
ESA, Series 2013-ESH7, Class D7, 5.052%, 12/5/31
(1)(4)
|
|
|
550
|
|
|
|
574,175
|
|
FMBT, Series 2012-FBLU, Class B, 3.875%, 5/5/27
(1)
|
|
|
400
|
|
|
|
420,561
|
|
GECMC, Series 2004-C1, Class A3, 4.596%, 11/10/38
|
|
|
315
|
|
|
|
320,409
|
|
GECMC, Series 2004-C2, Class A4, 4.893%, 3/10/40
|
|
|
400
|
|
|
|
411,545
|
|
JPMCC, Series 2003-CB7, Class A4, 4.879%, 1/12/38
(4)
|
|
|
371
|
|
|
|
378,259
|
|
JPMCC, Series 2003-PM1A, Class A4, 5.326%, 8/12/40
(4)
|
|
|
263
|
|
|
|
264,054
|
|
JPMCC, Series 2005-LDP1, Class A3, 4.865%, 3/15/46
|
|
|
300
|
|
|
|
306,035
|
|
JPMCC, Series 2011-C3, Class A2, 3.673%, 2/15/46
(1)
|
|
|
675
|
|
|
|
728,138
|
|
LB-UBS, Series 2003-C7, Class A4, 4.931%, 9/15/35
(4)
|
|
|
181
|
|
|
|
181,569
|
|
MLCFC, Series 2006-4, Class A3, 5.172%, 12/12/49
(4)
|
|
|
300
|
|
|
|
336,715
|
|
MOTEL 6 Trust, Series 2012-MTL6, Class D, 3.781%, 10/5/25
(1)
|
|
|
425
|
|
|
|
425,856
|
|
MSC, Series 2003-IQ6, Class A4, 4.97%, 12/15/41
|
|
|
428
|
|
|
|
435,412
|
|
MSC, Series 2004-IQ8, Class A5, 5.11%, 6/15/40
(4)
|
|
|
365
|
|
|
|
379,469
|
|
NCUA Guaranteed Notes, Series 2010-C1, Class A1, 1.60%, 10/29/20
|
|
|
586
|
|
|
|
596,984
|
|
5
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
NCUA Guaranteed Notes, Series 2010-R1, Class 2A, 1.84%, 10/7/20
|
|
$
|
199
|
|
|
$
|
201,607
|
|
NCUA Guaranteed Notes, Series 2010-R3, Class 3A, 2.40%, 12/8/20
|
|
|
300
|
|
|
|
310,784
|
|
ORES, Series 2012-LV1, Class A, 4.00%, 9/25/44
(1)
|
|
|
57
|
|
|
|
57,381
|
|
RBSCF, Series 2010-MB1, Class C, 4.681%, 4/15/24
(1)(4)
|
|
|
325
|
|
|
|
339,788
|
|
RIAL, Series 2013-LT2, Class A, 2.833%, 5/22/28
(1)(5)
|
|
|
196
|
|
|
|
195,985
|
|
WBCMT, Series 2004-C10, Class A4, 4.748%, 2/15/41
|
|
|
379
|
|
|
|
388,031
|
|
WBCMT, Series 2006-C28, Class A4, 5.572%, 10/15/48
|
|
|
320
|
|
|
|
361,911
|
|
WFCM, Series 2010-C1, Class C, 5.586%, 11/15/43
(1)(4)
|
|
|
500
|
|
|
|
578,327
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Commercial Mortgage-Backed Securities
(identified cost $11,197,300)
|
|
|
|
|
|
$
|
11,533,930
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities 1.0%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Automotive 1.0%
|
|
|
|
|
|
|
|
|
AESOP, Series 2010-3A, Class B, 6.74%,
5/20/16
(1)
|
|
$
|
850
|
|
|
$
|
929,650
|
|
CARMX, Series 2013-1, Class A3, 0.60%, 10/16/17
|
|
|
225
|
|
|
|
224,813
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset-Backed Securities
(identified cost $1,074,994)
|
|
|
|
|
|
$
|
1,154,463
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations 18.0%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
U.S. Treasury Bond, 3.875%, 8/15/40
|
|
$
|
2,690
|
|
|
$
|
3,117,880
|
|
U.S. Treasury Bond, 4.50%, 5/15/38
|
|
|
310
|
|
|
|
395,589
|
|
U.S. Treasury Bond, 5.375%, 2/15/31
|
|
|
985
|
|
|
|
1,371,766
|
|
U.S. Treasury Note, 2.00%, 4/30/16
|
|
|
3,925
|
|
|
|
4,120,332
|
|
U.S. Treasury Note, 3.375%, 11/15/19
|
|
|
200
|
|
|
|
229,125
|
|
U.S. Treasury Note, 3.50%, 2/15/18
|
|
|
270
|
|
|
|
305,838
|
|
U.S. Treasury Note, 4.00%, 2/15/15
|
|
|
8,755
|
|
|
|
9,369,216
|
|
U.S. Treasury Note, 4.625%, 2/15/17
|
|
|
830
|
|
|
|
960,401
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Treasury Obligations
(identified cost $19,723,055)
|
|
|
|
|
|
$
|
19,870,147
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Securities 3.6%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Diversified Financial Services 1.3%
|
|
|
|
|
|
|
|
|
General Electric Capital Corp., Series A, 7.125% to 6/15/22
(2)
|
|
|
3.07
|
|
|
$
|
364,393
|
|
General Electric Capital Corp., Series B, 6.25% to 12/15/22
(2)
|
|
|
2
|
|
|
|
223,769
|
|
PPTT, 2006-A GS, Class A, 5.925%
(1)(6)
|
|
|
4
|
|
|
|
806,008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,394,170
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities 0.7%
|
|
|
|
|
|
|
|
|
NextEra Energy Capital Holdings, Inc., Series I, 5.125%
(3)
|
|
|
13,272
|
|
|
$
|
335,151
|
|
SCE Trust I, 5.625%
|
|
|
15,000
|
|
|
|
394,350
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
729,501
|
|
|
|
|
|
|
|
|
|
|
Insurance 0.7%
|
|
|
|
|
|
|
|
|
American Overseas Group, Ltd., Series A, 7.50%
(6)(7)
|
|
|
2,000
|
|
|
$
|
800,125
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
800,125
|
|
|
|
|
|
|
|
|
|
|
Machinery 0.4%
|
|
|
|
|
|
|
|
|
Stanley Black & Decker, Inc., 5.75%
|
|
|
18,372
|
|
|
$
|
486,904
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
486,904
|
|
|
|
|
|
|
|
|
|
|
6
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Real Estate Investment Trusts (REITs) 0.5%
|
|
|
|
|
|
|
|
|
Boston Properties, Inc., 5.25%
(7)
|
|
|
20,700
|
|
|
$
|
517,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
517,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Securities
(identified cost $5,012,711)
|
|
|
|
|
|
$
|
3,928,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Swaptions 0.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Counterparty
|
|
Expiration
Date
|
|
Notional
Amount
(000s omitted)
|
|
|
Value
|
|
Option to receive 3-month USD-LIBOR-BBA Rate and pay 1.9025%
|
|
Wells Fargo Bank, N.A.
|
|
8/13/13
|
|
$
|
11,500
|
|
|
$
|
321,915
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Interest Rate Swaptions
(identified cost $369,150)
|
|
|
|
|
|
|
|
|
|
$
|
321,915
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Investments 2.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
|
|
|
|
Interest
(000s omitted)
|
|
|
Value
|
|
Eaton Vance Cash Collateral Fund, LLC, 0.09%
(8)(9)
|
|
|
|
$
|
1,180
|
|
|
$
|
1,180,090
|
|
Eaton Vance Cash Reserves Fund, LLC, 0.11%
(9)
|
|
|
|
|
1,133
|
|
|
|
1,132,590
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments
(identified cost $2,312,680)
|
|
|
|
|
|
|
|
$
|
2,312,680
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments 100.5%
(identified cost $109,002,300)
|
|
|
|
|
|
|
|
$
|
110,851,346
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Assets, Less Liabilities (0.5)%
|
|
|
|
|
|
|
|
$
|
(533,690
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets 100.0%
|
|
|
|
|
|
|
|
$
|
110,317,656
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
|
|
|
|
|
|
|
|
AESOP
|
|
-
|
|
Avis Budget Rental Car Funding LLC
|
|
|
|
BSCMS
|
|
-
|
|
Bear Stearns Commercial Mortgage Securities Trust
|
|
|
|
CARMX
|
|
-
|
|
CarMax Auto Owner Trust
|
|
|
|
CGCMT
|
|
-
|
|
Citigroup Commercial Mortgage Trust
|
|
|
|
COMM
|
|
-
|
|
Commercial Mortgage Pass-Through Certificates
|
|
|
|
CSFB
|
|
-
|
|
Credit Suisse First Boston Mortgage Securities Trust
|
|
|
|
DBUBS
|
|
-
|
|
DBUBS Mortgage Trust
|
|
|
|
ESA
|
|
-
|
|
Extended Stay America Trust
|
|
|
|
FMBT
|
|
-
|
|
Fontainebleau Miami Beach Trust
|
|
|
|
GECMC
|
|
-
|
|
General Electric Commercial Mortgage Corp.
|
|
|
|
JPMCC
|
|
-
|
|
JPMorgan Chase Commercial Mortgage Securities Trust
|
|
|
|
LB-UBS
|
|
-
|
|
LB-UBS Commercial Mortgage Trust
|
|
|
|
MLCFC
|
|
-
|
|
ML-CFC Commercial Mortgage Trust
|
|
|
|
MSC
|
|
-
|
|
Morgan Stanley Capital I Trust
|
|
|
|
MTN
|
|
-
|
|
Medium-Term Note
|
|
|
|
NCUA
|
|
-
|
|
National Credit Union Administration
|
|
|
|
ORES
|
|
-
|
|
Oaktree Real Estate Investments/Sabal
|
7
|
|
|
|
|
PPTT
|
|
-
|
|
Preferred Pass-Through Trust
|
|
|
|
RBSCF
|
|
-
|
|
Royal Bank of Scotland Commercial Funding
|
|
|
|
RIAL
|
|
-
|
|
Rialto Real Estate Fund LP
|
|
|
|
WBCMT
|
|
-
|
|
Wachovia Bank Commercial Mortgage Trust
|
|
|
|
WFCM
|
|
-
|
|
Wells Fargo Commercial Mortgage Trust
|
(1)
|
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified
institutional buyers) and remain exempt from registration. At March 31, 2013, the aggregate value of these securities is $10,527,020 or 9.5% of the Portfolios net assets.
|
(2)
|
Security converts to floating rate after the indicated fixed-rate coupon period.
|
(3)
|
All or a portion of this security was on loan at March 31, 2013.
|
(4)
|
Weighted average fixed-rate coupon that changes/updates monthly.
|
(5)
|
When-issued security.
|
(6)
|
Variable rate security. The stated interest rate represents the rate in effect at March 31, 2013.
|
(7)
|
Non-income producing security.
|
(8)
|
The amount invested in Eaton Vance Cash Collateral Fund, LLC represents cash collateral received for securities on loan at March 31, 2013. Other Assets, Less
Liabilities includes an equal and offsetting liability of the Portfolio to repay collateral amounts upon the return of loaned securities. At March 31, 2013, the Portfolio loaned securities having a market value of $1,154,149 and received
$1,180,090 of cash collateral for the loans.
|
(9)
|
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 March 31, 2013. Income earned from investments in Eaton Vance Cash Collateral Fund, LLC (excluding loan rebate fees) and net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC
for the fiscal year to date ended March 31, 2013 was $340 and $377, respectively.
|
The cost and unrealized appreciation
(depreciation) of investments of the Portfolio at March 31, 2013, as determined on a federal income tax basis, were as follows:
|
|
|
|
|
Aggregate cost
|
|
$
|
108,948,216
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
3,479,109
|
|
Gross unrealized depreciation
|
|
|
(1,575,979
|
)
|
|
|
|
|
|
Net unrealized appreciation
|
|
$
|
1,903,130
|
|
|
|
|
|
|
The Portfolio is subject to interest rate risk in the normal course of pursuing its investment objectives. Because the
Portfolio holds fixed-rate bonds, the value of these bonds may decrease if interest rates rise. To hedge against this risk, the Portfolio enters into interest rate swaptions.
At March 31, 2013, the aggregate fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in an asset position and whose primary underlying
risk exposure is interest rate risk was $321,915.
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.
8
At March 31, 2013, the hierarchy of inputs used in valuing the Portfolios investments and open
derivative instruments, which are carried at value, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Description
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Corporate Bonds & Notes
|
|
$
|
|
|
|
$
|
39,689,343
|
|
|
$
|
|
|
|
$
|
39,689,343
|
|
Agency Mortgage-Backed Securities
|
|
|
|
|
|
|
32,040,668
|
|
|
|
|
|
|
|
32,040,668
|
|
Commercial Mortgage-Backed Securities
|
|
|
|
|
|
|
11,533,930
|
|
|
|
|
|
|
|
11,533,930
|
|
Asset-Backed Securities
|
|
|
|
|
|
|
1,154,463
|
|
|
|
|
|
|
|
1,154,463
|
|
U.S. Treasury Obligations
|
|
|
|
|
|
|
19,870,147
|
|
|
|
|
|
|
|
19,870,147
|
|
Preferred Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials
|
|
|
517,500
|
|
|
|
2,194,295
|
|
|
|
|
|
|
|
2,711,795
|
|
Industrials
|
|
|
|
|
|
|
486,904
|
|
|
|
|
|
|
|
486,904
|
|
Utilities
|
|
|
394,350
|
|
|
|
335,151
|
|
|
|
|
|
|
|
729,501
|
|
Interest Rate Swaptions
|
|
|
|
|
|
|
321,915
|
|
|
|
|
|
|
|
321,915
|
|
Short-Term Investments
|
|
|
|
|
|
|
2,312,680
|
|
|
|
|
|
|
|
2,312,680
|
|
Total Investments
|
|
$
|
911,850
|
|
|
$
|
109,939,496
|
|
|
$
|
|
|
|
$
|
110,851,346
|
|
The Portfolio held no investments or other financial instruments as of December 31, 2012 whose fair value was
determined using Level 3 inputs. At March 31, 2013, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.
For information on the Portfolios policy regarding the valuation of investments and other significant accounting policies, please refer to the Portfolios most recent financial statements
included in its semiannual or annual report to shareholders.
9
Eaton Vance
Large-Cap Growth Fund
March 31, 2013 (Unaudited)
Eaton Vance Large-Cap Growth Fund (the Fund), a diversified series of Eaton Vance Special Investment Trust, invests substantially all of its assets in
Large-Cap Growth Portfolio (the Portfolio) and owns a pro rata interest in the Portfolios net assets. At March 31, 2013, the value of the Funds investment in the Portfolio was $147,198,748 and the Fund owned 93.6% of the
Portfolios outstanding interests. The Portfolios Portfolio of Investments is set forth below.
Large-Cap Growth Portfolio
March 31, 2013
PORTFOLIO OF INVESTMENTS (Unaudited)
Common Stocks 99.8%
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Aerospace & Defense 3.1%
|
|
|
|
|
|
|
|
|
Boeing Co. (The)
|
|
|
20,312
|
|
|
$
|
1,743,785
|
|
United Technologies Corp.
|
|
|
34,088
|
|
|
|
3,184,842
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,928,627
|
|
|
|
|
|
|
|
|
|
|
Air Freight & Logistics 1.3%
|
|
|
|
|
|
|
|
|
FedEx Corp.
|
|
|
20,318
|
|
|
$
|
1,995,228
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,995,228
|
|
|
|
|
|
|
|
|
|
|
Automobiles 1.0%
|
|
|
|
|
|
|
|
|
Ford Motor Co.
|
|
|
123,800
|
|
|
$
|
1,627,970
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,627,970
|
|
|
|
|
|
|
|
|
|
|
Beverages 2.6%
|
|
|
|
|
|
|
|
|
Coca-Cola Co. (The)
|
|
|
47,567
|
|
|
$
|
1,923,609
|
|
PepsiCo, Inc.
|
|
|
26,650
|
|
|
|
2,108,282
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,031,891
|
|
|
|
|
|
|
|
|
|
|
Biotechnology 4.7%
|
|
|
|
|
|
|
|
|
Celgene Corp.
(1)
|
|
|
21,333
|
|
|
$
|
2,472,708
|
|
Gilead Sciences, Inc.
(1)
|
|
|
79,938
|
|
|
|
3,911,366
|
|
Vertex Pharmaceuticals, Inc.
(1)
|
|
|
19,500
|
|
|
|
1,072,110
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
7,456,184
|
|
|
|
|
|
|
|
|
|
|
Building Products 0.9%
|
|
|
|
|
|
|
|
|
Fortune Brands Home & Security, Inc.
(1)
|
|
|
37,972
|
|
|
$
|
1,421,292
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,421,292
|
|
|
|
|
|
|
|
|
|
|
Chemicals 3.9%
|
|
|
|
|
|
|
|
|
Cytec Industries, Inc.
|
|
|
10,693
|
|
|
$
|
792,137
|
|
Ecolab, Inc.
|
|
|
31,385
|
|
|
|
2,516,449
|
|
Monsanto Co.
|
|
|
26,439
|
|
|
|
2,792,752
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,101,338
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks 2.3%
|
|
|
|
|
|
|
|
|
PNC Financial Services Group, Inc.
|
|
|
24,300
|
|
|
$
|
1,615,950
|
|
Wells Fargo & Co.
|
|
|
55,119
|
|
|
|
2,038,852
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,654,802
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment 5.1%
|
|
|
|
|
|
|
|
|
F5 Networks, Inc.
(1)
|
|
|
16,764
|
|
|
$
|
1,493,337
|
|
QUALCOMM, Inc.
|
|
|
96,649
|
|
|
|
6,470,651
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
7,963,988
|
|
|
|
|
|
|
|
|
|
|
1
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Computers & Peripherals 6.9%
|
|
|
|
|
|
|
|
|
Apple, Inc.
|
|
|
18,358
|
|
|
$
|
8,125,801
|
|
EMC Corp.
(1)
|
|
|
116,975
|
|
|
|
2,794,533
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
10,920,334
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance 1.7%
|
|
|
|
|
|
|
|
|
American Express Co.
|
|
|
40,300
|
|
|
$
|
2,718,638
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,718,638
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services 1.1%
|
|
|
|
|
|
|
|
|
Citigroup, Inc.
|
|
|
38,500
|
|
|
$
|
1,703,240
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,703,240
|
|
|
|
|
|
|
|
|
|
|
Electrical Equipment 2.2%
|
|
|
|
|
|
|
|
|
Emerson Electric Co.
|
|
|
41,100
|
|
|
$
|
2,296,257
|
|
Generac Holdings, Inc.
|
|
|
33,067
|
|
|
|
1,168,588
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,464,845
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services 3.2%
|
|
|
|
|
|
|
|
|
Cameron International Corp.
(1)
|
|
|
25,108
|
|
|
$
|
1,637,042
|
|
Halliburton Co.
|
|
|
22,937
|
|
|
|
926,884
|
|
Schlumberger, Ltd.
|
|
|
32,634
|
|
|
|
2,443,960
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,007,886
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing 3.8%
|
|
|
|
|
|
|
|
|
Costco Wholesale Corp.
|
|
|
15,000
|
|
|
$
|
1,591,650
|
|
Wal-Mart Stores, Inc.
|
|
|
22,950
|
|
|
|
1,717,348
|
|
Walgreen Co.
|
|
|
55,400
|
|
|
|
2,641,472
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,950,470
|
|
|
|
|
|
|
|
|
|
|
Food Products 4.8%
|
|
|
|
|
|
|
|
|
Green Mountain Coffee Roasters, Inc.
(1)
|
|
|
52,897
|
|
|
$
|
3,002,434
|
|
Hershey Co. (The)
|
|
|
11,053
|
|
|
|
967,469
|
|
Mead Johnson Nutrition Co.
|
|
|
16,255
|
|
|
|
1,258,950
|
|
Mondelez International, Inc., Class A
|
|
|
73,100
|
|
|
|
2,237,591
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
7,466,444
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies 4.2%
|
|
|
|
|
|
|
|
|
Abbott Laboratories
|
|
|
65,925
|
|
|
$
|
2,328,471
|
|
Covidien PLC
|
|
|
34,405
|
|
|
|
2,334,035
|
|
Stryker Corp.
|
|
|
28,500
|
|
|
|
1,859,340
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,521,846
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure 2.8%
|
|
|
|
|
|
|
|
|
Marriott International, Inc., Class A
|
|
|
40,879
|
|
|
$
|
1,726,320
|
|
Starbucks Corp.
|
|
|
45,963
|
|
|
|
2,618,053
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,344,373
|
|
|
|
|
|
|
|
|
|
|
2
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Household Products 0.7%
|
|
|
|
|
|
|
|
|
Colgate-Palmolive Co.
|
|
|
9,908
|
|
|
$
|
1,169,441
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,169,441
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates 1.2%
|
|
|
|
|
|
|
|
|
3M Co.
|
|
|
17,702
|
|
|
$
|
1,881,900
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,881,900
|
|
|
|
|
|
|
|
|
|
|
Internet & Catalog Retail 4.3%
|
|
|
|
|
|
|
|
|
Amazon.com, Inc.
(1)
|
|
|
16,401
|
|
|
$
|
4,370,702
|
|
priceline.com, Inc.
(1)
|
|
|
3,475
|
|
|
|
2,390,557
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,761,259
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services 6.5%
|
|
|
|
|
|
|
|
|
eBay, Inc.
(1)
|
|
|
35,452
|
|
|
$
|
1,922,208
|
|
Facebook, Inc., Class A
(1)
|
|
|
63,018
|
|
|
|
1,612,000
|
|
Google, Inc., Class A
(1)
|
|
|
8,474
|
|
|
|
6,728,610
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
10,262,818
|
|
|
|
|
|
|
|
|
|
|
IT Services 3.9%
|
|
|
|
|
|
|
|
|
Cognizant Technology Solutions Corp., Class A
(1)
|
|
|
25,500
|
|
|
$
|
1,953,555
|
|
Teradata Corp.
(1)
|
|
|
28,167
|
|
|
|
1,648,051
|
|
Visa, Inc., Class A
|
|
|
15,172
|
|
|
|
2,576,813
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,178,419
|
|
|
|
|
|
|
|
|
|
|
Leisure Equipment & Products 0.8%
|
|
|
|
|
|
|
|
|
Polaris Industries, Inc.
|
|
|
14,021
|
|
|
$
|
1,296,802
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,296,802
|
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services 1.0%
|
|
|
|
|
|
|
|
|
Agilent Technologies, Inc.
|
|
|
36,478
|
|
|
$
|
1,530,982
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,530,982
|
|
|
|
|
|
|
|
|
|
|
Machinery 2.0%
|
|
|
|
|
|
|
|
|
Caterpillar, Inc.
|
|
|
17,829
|
|
|
$
|
1,550,588
|
|
Deere & Co.
|
|
|
17,816
|
|
|
|
1,531,820
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,082,408
|
|
|
|
|
|
|
|
|
|
|
Media 2.3%
|
|
|
|
|
|
|
|
|
Viacom, Inc., Class B
|
|
|
16,941
|
|
|
$
|
1,043,057
|
|
Walt Disney Co. (The)
|
|
|
46,553
|
|
|
|
2,644,211
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,687,268
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels 2.4%
|
|
|
|
|
|
|
|
|
EOG Resources, Inc.
|
|
|
13,721
|
|
|
$
|
1,757,248
|
|
Range Resources Corp.
|
|
|
24,200
|
|
|
|
1,961,168
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,718,416
|
|
|
|
|
|
|
|
|
|
|
3
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Personal Products 0.8%
|
|
|
|
|
|
|
|
|
Estee Lauder Cos., Inc. (The), Class A
|
|
|
19,950
|
|
|
$
|
1,277,399
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,277,399
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 4.3%
|
|
|
|
|
|
|
|
|
Allergan, Inc.
|
|
|
28,306
|
|
|
$
|
3,159,799
|
|
Perrigo Co.
|
|
|
15,500
|
|
|
|
1,840,315
|
|
Roche Holding AG ADR
|
|
|
31,139
|
|
|
|
1,824,745
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,824,859
|
|
|
|
|
|
|
|
|
|
|
Road & Rail 1.2%
|
|
|
|
|
|
|
|
|
Union Pacific Corp.
|
|
|
13,647
|
|
|
$
|
1,943,469
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,943,469
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment 3.7%
|
|
|
|
|
|
|
|
|
Broadcom Corp., Class A
|
|
|
76,550
|
|
|
$
|
2,653,989
|
|
Intel Corp.
|
|
|
57,700
|
|
|
|
1,260,745
|
|
NXP Semiconductors NV
(1)
|
|
|
62,277
|
|
|
|
1,884,502
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,799,236
|
|
|
|
|
|
|
|
|
|
|
Software 4.9%
|
|
|
|
|
|
|
|
|
Intuit, Inc.
|
|
|
31,400
|
|
|
$
|
2,061,410
|
|
Microsoft Corp.
|
|
|
88,019
|
|
|
|
2,518,224
|
|
Oracle Corp.
|
|
|
45,187
|
|
|
|
1,461,347
|
|
VMware, Inc., Class A
(1)
|
|
|
20,615
|
|
|
|
1,626,111
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
7,667,092
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail 2.9%
|
|
|
|
|
|
|
|
|
Bed Bath & Beyond, Inc.
(1)
|
|
|
20,600
|
|
|
$
|
1,327,052
|
|
Home Depot, Inc. (The)
|
|
|
26,019
|
|
|
|
1,815,606
|
|
Urban Outfitters, Inc.
(1)
|
|
|
38,446
|
|
|
|
1,489,398
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,632,056
|
|
|
|
|
|
|
|
|
|
|
Textiles, Apparel & Luxury Goods 1.3%
|
|
|
|
|
|
|
|
|
NIKE, Inc., Class B
|
|
|
35,800
|
|
|
$
|
2,112,558
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,112,558
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks
(identified cost $108,628,598)
|
|
|
|
|
|
$
|
157,105,778
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Investments 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Interest
(000s omitted)
|
|
|
Value
|
|
Eaton Vance Cash Reserves Fund, LLC, 0.11%
(2)
|
|
$
|
90
|
|
|
$
|
90,197
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments
(identified cost $90,197)
|
|
|
|
|
|
$
|
90,197
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments 99.9%
(identified cost $108,718,795)
|
|
|
|
|
|
$
|
157,195,975
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Assets, Less Liabilities 0.1%
|
|
|
|
|
|
$
|
102,453
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets 100.0%
|
|
|
|
|
|
$
|
157,298,428
|
|
|
|
|
|
|
|
|
|
|
4
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
|
|
|
|
|
|
|
|
ADR
|
|
-
|
|
American Depositary Receipt
|
(1)
|
Non-income producing security.
|
(2)
|
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 March 31, 2013. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended March 31, 2013 was $135.
|
The Portfolio did not have any open financial instruments at March 31, 2013.
The cost and unrealized appreciation (depreciation) of investments of the Portfolio at March 31, 2013, as determined on a federal income tax basis, were as follows:
|
|
|
|
|
Aggregate cost
|
|
$
|
108,754,723
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
48,985,316
|
|
Gross unrealized depreciation
|
|
|
(544,064
|
)
|
|
|
|
|
|
Net unrealized appreciation
|
|
$
|
48,441,252
|
|
|
|
|
|
|
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the
assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
|
|
Level 1 quoted prices in active markets for identical investments
|
|
|
Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk,
etc.)
|
|
|
Level 3 significant unobservable inputs (including a funds own assumptions in determining the fair value of investments)
|
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level
disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing
in those securities.
At March 31, 2013, the hierarchy of inputs used in valuing the Portfolios investments, which are carried at
value, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Description
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Common Stocks
|
|
$
|
157,105,778
|
*
|
|
$
|
|
|
|
$
|
|
|
|
$
|
157,105,778
|
|
Short-Term Investments
|
|
|
|
|
|
|
90,197
|
|
|
|
|
|
|
|
90,197
|
|
Total Investments
|
|
$
|
157,105,778
|
|
|
$
|
90,197
|
|
|
$
|
|
|
|
$
|
157,195,975
|
|
*
|
The level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.
|
The Portfolio held no investments or other financial instruments as of December 31, 2012 whose fair value was determined using Level 3 inputs. At
March 31, 2013, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.
For
information on the Portfolios policy regarding the valuation of investments and other significant accounting policies, please refer to the Portfolios most recent financial statements included in its semiannual or annual report to
shareholders.
5
Eaton Vance
Large-Cap Value Fund
March 31, 2013 (Unaudited)
Eaton Vance Large-Cap Value Fund (the Fund), a diversified series of Eaton Vance Special Investment Trust, invests substantially all of its assets in
Large-Cap Value Portfolio (the Portfolio) and owns a pro rata interest in the Portfolios net assets. At March 31, 2013, the value of the Funds investment in the Portfolio was $7,601,494,365 and the Fund owned 99.9% of the
Portfolios outstanding interests. The Portfolios Portfolio of Investments is set forth below.
Large-Cap Value Portfolio
March 31, 2013
PORTFOLIO OF INVESTMENTS (Unaudited)
Common Stocks 97.5%
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Aerospace & Defense 3.4%
|
|
|
|
|
|
|
|
|
Boeing Co. (The)
(1)
|
|
|
950,000
|
|
|
$
|
81,557,500
|
|
Honeywell International, Inc.
|
|
|
1,075,000
|
|
|
|
81,001,250
|
|
United Technologies Corp.
|
|
|
1,000,000
|
|
|
|
93,430,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
255,988,750
|
|
|
|
|
|
|
|
|
|
|
Biotechnology 1.3%
|
|
|
|
|
|
|
|
|
Gilead Sciences, Inc.
(1)(2)
|
|
|
2,000,000
|
|
|
$
|
97,860,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
97,860,000
|
|
|
|
|
|
|
|
|
|
|
Capital Markets 3.0%
|
|
|
|
|
|
|
|
|
Ameriprise Financial, Inc.
|
|
|
850,000
|
|
|
$
|
62,602,500
|
|
Goldman Sachs Group, Inc. (The)
|
|
|
750,000
|
|
|
|
110,362,500
|
|
State Street Corp.
|
|
|
900,000
|
|
|
|
53,181,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
226,146,000
|
|
|
|
|
|
|
|
|
|
|
Chemicals 2.6%
|
|
|
|
|
|
|
|
|
Air Products and Chemicals, Inc.
|
|
|
450,000
|
|
|
$
|
39,204,000
|
|
E.I. du Pont de Nemours & Co.
(1)
|
|
|
850,000
|
|
|
|
41,786,000
|
|
LyondellBasell Industries NV, Class A
|
|
|
1,800,000
|
|
|
|
113,922,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
194,912,000
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks 8.1%
|
|
|
|
|
|
|
|
|
KeyCorp
|
|
|
5,200,000
|
|
|
$
|
51,792,000
|
|
PNC Financial Services Group, Inc.
|
|
|
2,650,000
|
|
|
|
176,225,000
|
|
Regions Financial Corp.
|
|
|
9,600,000
|
|
|
|
78,624,000
|
|
U.S. Bancorp
|
|
|
2,350,000
|
|
|
|
79,735,500
|
|
Wells Fargo & Co.
|
|
|
6,135,000
|
|
|
|
226,933,650
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
613,310,150
|
|
|
|
|
|
|
|
|
|
|
Computers & Peripherals 1.0%
|
|
|
|
|
|
|
|
|
EMC Corp.
(2)
|
|
|
3,150,000
|
|
|
$
|
75,253,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
75,253,500
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance 2.6%
|
|
|
|
|
|
|
|
|
American Express Co.
|
|
|
1,600,000
|
|
|
$
|
107,936,000
|
|
Discover Financial Services
|
|
|
2,000,000
|
|
|
|
89,680,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
197,616,000
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services 5.7%
|
|
|
|
|
|
|
|
|
Citigroup, Inc.
|
|
|
4,911,000
|
|
|
$
|
217,262,640
|
|
JPMorgan Chase & Co.
|
|
|
4,585,000
|
|
|
|
217,604,100
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
434,866,740
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services 2.6%
|
|
|
|
|
|
|
|
|
AT&T, Inc.
|
|
|
2,650,000
|
|
|
$
|
97,228,500
|
|
Verizon Communications, Inc.
|
|
|
2,100,000
|
|
|
|
103,215,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
200,443,500
|
|
|
|
|
|
|
|
|
|
|
1
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Electric Utilities 3.4%
|
|
|
|
|
|
|
|
|
American Electric Power Co., Inc.
|
|
|
2,650,000
|
|
|
$
|
128,869,500
|
|
NextEra Energy, Inc.
|
|
|
1,675,000
|
|
|
|
130,114,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
258,983,500
|
|
|
|
|
|
|
|
|
|
|
Electrical Equipment 0.6%
|
|
|
|
|
|
|
|
|
Eaton Corp. PLC
(1)
|
|
|
800,000
|
|
|
$
|
49,000,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
49,000,000
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services 2.0%
|
|
|
|
|
|
|
|
|
National Oilwell Varco, Inc.
|
|
|
1,150,000
|
|
|
$
|
81,362,500
|
|
Schlumberger, Ltd.
|
|
|
1,000,000
|
|
|
|
74,890,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
156,252,500
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing 2.3%
|
|
|
|
|
|
|
|
|
CVS Caremark Corp.
|
|
|
3,150,000
|
|
|
$
|
173,218,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
173,218,500
|
|
|
|
|
|
|
|
|
|
|
Food Products 2.7%
|
|
|
|
|
|
|
|
|
Kraft Foods Group, Inc.
|
|
|
825,000
|
|
|
$
|
42,512,250
|
|
Mondelez International, Inc., Class A
|
|
|
2,750,000
|
|
|
|
84,177,500
|
|
Nestle SA
|
|
|
1,075,000
|
|
|
|
77,802,679
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
204,492,429
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies 2.0%
|
|
|
|
|
|
|
|
|
Covidien PLC
|
|
|
1,400,000
|
|
|
$
|
94,976,000
|
|
Stryker Corp.
|
|
|
930,000
|
|
|
|
60,673,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
155,649,200
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services 1.4%
|
|
|
|
|
|
|
|
|
AmerisourceBergen Corp.
|
|
|
1,270,000
|
|
|
$
|
65,341,500
|
|
Humana, Inc.
|
|
|
550,000
|
|
|
|
38,010,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
103,352,000
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates 2.4%
|
|
|
|
|
|
|
|
|
General Electric Co.
|
|
|
8,000,000
|
|
|
$
|
184,960,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
184,960,000
|
|
|
|
|
|
|
|
|
|
|
Insurance 4.8%
|
|
|
|
|
|
|
|
|
ACE, Ltd.
|
|
|
1,000,000
|
|
|
$
|
88,970,000
|
|
Aflac, Inc.
|
|
|
1,750,000
|
|
|
|
91,035,000
|
|
Travelers Companies, Inc. (The)
(1)
|
|
|
1,700,000
|
|
|
|
143,123,000
|
|
XL Group PLC
|
|
|
1,500,000
|
|
|
|
45,450,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
368,578,000
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services 0.8%
|
|
|
|
|
|
|
|
|
Google, Inc., Class A
(2)
|
|
|
80,000
|
|
|
$
|
63,522,400
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
63,522,400
|
|
|
|
|
|
|
|
|
|
|
2
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
IT Services 1.4%
|
|
|
|
|
|
|
|
|
International Business Machines Corp.
|
|
|
500,000
|
|
|
$
|
106,650,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
106,650,000
|
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services 1.1%
|
|
|
|
|
|
|
|
|
Thermo Fisher Scientific, Inc.
|
|
|
1,100,000
|
|
|
$
|
84,139,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
84,139,000
|
|
|
|
|
|
|
|
|
|
|
Machinery 1.5%
|
|
|
|
|
|
|
|
|
Caterpillar, Inc.
|
|
|
750,000
|
|
|
$
|
65,227,500
|
|
Deere & Co.
(1)
|
|
|
600,000
|
|
|
|
51,588,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
116,815,500
|
|
|
|
|
|
|
|
|
|
|
Media 4.4%
|
|
|
|
|
|
|
|
|
Comcast Corp., Class A
|
|
|
4,000,000
|
|
|
$
|
168,040,000
|
|
Walt Disney Co. (The)
|
|
|
2,875,000
|
|
|
|
163,300,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
331,340,000
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining 0.7%
|
|
|
|
|
|
|
|
|
Freeport-McMoRan Copper & Gold, Inc.
|
|
|
1,600,000
|
|
|
$
|
52,960,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
52,960,000
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities 1.8%
|
|
|
|
|
|
|
|
|
Sempra Energy
|
|
|
1,750,000
|
|
|
$
|
139,895,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
139,895,000
|
|
|
|
|
|
|
|
|
|
|
Multiline Retail 2.1%
|
|
|
|
|
|
|
|
|
Macys, Inc.
|
|
|
2,000,000
|
|
|
$
|
83,680,000
|
|
Target Corp.
|
|
|
1,150,000
|
|
|
|
78,717,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
162,397,500
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels 14.5%
|
|
|
|
|
|
|
|
|
Anadarko Petroleum Corp.
|
|
|
1,000,000
|
|
|
$
|
87,450,000
|
|
Chevron Corp.
|
|
|
1,885,000
|
|
|
|
223,975,700
|
|
ConocoPhillips
|
|
|
2,325,000
|
|
|
|
139,732,500
|
|
EOG Resources, Inc.
|
|
|
625,000
|
|
|
|
80,043,750
|
|
Exxon Mobil Corp.
|
|
|
1,725,000
|
|
|
|
155,439,750
|
|
Marathon Oil Corp.
|
|
|
2,800,000
|
|
|
|
94,416,000
|
|
Occidental Petroleum Corp.
|
|
|
2,100,000
|
|
|
|
164,577,000
|
|
Phillips 66
|
|
|
2,250,000
|
|
|
|
157,432,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,103,067,200
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 8.1%
|
|
|
|
|
|
|
|
|
Merck & Co., Inc.
|
|
|
3,950,000
|
|
|
$
|
174,708,500
|
|
Pfizer, Inc.
|
|
|
7,925,000
|
|
|
|
228,715,500
|
|
Roche Holding AG PC
|
|
|
500,000
|
|
|
|
116,561,495
|
|
Sanofi
|
|
|
975,000
|
|
|
|
99,435,697
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
619,421,192
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) 2.7%
|
|
|
|
|
|
|
|
|
AvalonBay Communities, Inc.
|
|
|
675,000
|
|
|
$
|
85,502,250
|
|
Boston Properties, Inc.
|
|
|
550,000
|
|
|
|
55,583,000
|
|
Public Storage, Inc.
|
|
|
400,000
|
|
|
|
60,928,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
202,013,250
|
|
|
|
|
|
|
|
|
|
|
3
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Road & Rail 1.9%
|
|
|
|
|
|
|
|
|
Union Pacific Corp.
|
|
|
1,000,000
|
|
|
$
|
142,410,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
142,410,000
|
|
|
|
|
|
|
|
|
|
|
Software 3.0%
|
|
|
|
|
|
|
|
|
Microsoft Corp.
|
|
|
4,050,000
|
|
|
$
|
115,870,500
|
|
Oracle Corp.
|
|
|
3,450,000
|
|
|
|
111,573,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
227,443,500
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail 0.6%
|
|
|
|
|
|
|
|
|
Lowes Companies, Inc.
|
|
|
1,150,000
|
|
|
$
|
43,608,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
43,608,000
|
|
|
|
|
|
|
|
|
|
|
Textiles, Apparel & Luxury Goods 0.5%
|
|
|
|
|
|
|
|
|
Coach, Inc.
|
|
|
775,000
|
|
|
$
|
38,742,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
38,742,250
|
|
|
|
|
|
|
|
|
|
|
Tobacco 0.5%
|
|
|
|
|
|
|
|
|
Philip Morris International, Inc.
|
|
|
425,000
|
|
|
$
|
39,401,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
39,401,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks
(identified cost $5,367,102,038)
|
|
|
|
|
|
$
|
7,424,709,311
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Investments 1.2%
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Interest
(000s omitted)
|
|
|
Value
|
|
Eaton Vance Cash Collateral Fund, LLC, 0.09%
(3)(4)
|
|
$
|
16,179
|
|
|
$
|
16,179,403
|
|
Eaton Vance Cash Reserves Fund, LLC, 0.11%
(4)
|
|
|
72,596
|
|
|
|
72,595,654
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments
(identified cost $88,775,057)
|
|
|
|
|
|
$
|
88,775,057
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments 98.7%
(identified cost $5,455,877,095)
|
|
|
|
|
|
$
|
7,513,484,368
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Assets, Less Liabilities 1.3%
|
|
|
|
|
|
$
|
98,176,390
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets 100.0%
|
|
|
|
|
|
$
|
7,611,660,758
|
|
|
|
|
|
|
|
|
|
|
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
|
|
|
|
|
|
|
|
PC
|
|
-
|
|
Participation Certificate
|
(1)
|
All or a portion of this security was on loan at March 31, 2013.
|
(2)
|
Non-income producing security.
|
(3)
|
The amount invested in Eaton Vance Cash Collateral Fund, LLC represents cash collateral received for securities on loan at March 31, 2013. Other Assets, Less
Liabilities includes an equal and offsetting liability of the Portfolio to repay collateral amounts upon the return of loaned securities. At March 31, 2013, the Portfolio loaned securities having a market value of $16,049,015 and received
$16,179,403 of cash collateral for the loans.
|
(4)
|
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 March 31, 2013. Income earned from investments in Eaton Vance Cash Collateral Fund, LLC (excluding loan rebate fees) and net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC
for the fiscal year to date ended March 31, 2013 were $4,456 and $50,612, respectively.
|
4
The Portfolio did not have any open financial instruments at March 31, 2013.
The cost and unrealized appreciation (depreciation) of investments of the Portfolio at March 31, 2013, as determined on a federal income tax basis,
were as follows:
|
|
|
|
|
Aggregate cost
|
|
$
|
5,500,621,221
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
2,026,140,773
|
|
Gross unrealized depreciation
|
|
|
(13,277,626
|
)
|
|
|
|
|
|
Net unrealized appreciation
|
|
$
|
2,012,863,147
|
|
|
|
|
|
|
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the
assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
|
|
Level 1 quoted prices in active markets for identical investments
|
|
|
Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk,
etc.)
|
|
|
Level 3 significant unobservable inputs (including a funds own assumptions in determining the fair value of investments)
|
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level
disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing
in those securities.
At March 31, 2013, the hierarchy of inputs used in valuing the Portfolios investments, which are carried at
value, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Description
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Common Stocks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary
|
|
$
|
576,087,750
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
576,087,750
|
|
Consumer Staples
|
|
|
339,310,000
|
|
|
|
77,802,679
|
|
|
|
|
|
|
|
417,112,679
|
|
Energy
|
|
|
1,259,319,700
|
|
|
|
|
|
|
|
|
|
|
|
1,259,319,700
|
|
Financials
|
|
|
2,042,530,140
|
|
|
|
|
|
|
|
|
|
|
|
2,042,530,140
|
|
Health Care
|
|
|
844,424,200
|
|
|
|
215,997,192
|
|
|
|
|
|
|
|
1,060,421,392
|
|
Industrials
|
|
|
749,174,250
|
|
|
|
|
|
|
|
|
|
|
|
749,174,250
|
|
Information Technology
|
|
|
472,869,400
|
|
|
|
|
|
|
|
|
|
|
|
472,869,400
|
|
Materials
|
|
|
247,872,000
|
|
|
|
|
|
|
|
|
|
|
|
247,872,000
|
|
Telecommunication Services
|
|
|
200,443,500
|
|
|
|
|
|
|
|
|
|
|
|
200,443,500
|
|
Utilities
|
|
|
398,878,500
|
|
|
|
|
|
|
|
|
|
|
|
398,878,500
|
|
Total Common Stocks
|
|
$
|
7,130,909,440
|
|
|
$
|
293,799,871
|
*
|
|
$
|
|
|
|
$
|
7,424,709,311
|
|
Short-Term Investments
|
|
$
|
|
|
|
$
|
88,775,057
|
|
|
$
|
|
|
|
$
|
88,775,057
|
|
Total Investments
|
|
$
|
7,130,909,440
|
|
|
$
|
382,574,928
|
|
|
$
|
|
|
|
$
|
7,513,484,368
|
|
*
|
Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the
close of trading in their applicable foreign markets.
|
The Portfolio held no investments or other financial instruments as of
December 31, 2012 whose fair value was determined using Level 3 inputs. At March 31, 2013, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.
For information on the Portfolios policy regarding the valuation of investments and other significant accounting policies, please refer to the
Portfolios most recent financial statements included in its semiannual or annual report to shareholders.
5
Par
ametric Absolute Return Fund
March 31, 2013
PORTFOLIO OF
INVESTMENTS (Unaudited)
Corporate Bonds & Notes 24.4%
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Agriculture 0.4%
|
|
|
|
|
|
|
|
|
Philip Morris International, Inc., 4.875%, 5/16/13
|
|
$
|
300
|
|
|
$
|
301,677
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
301,677
|
|
|
|
|
|
|
|
|
|
|
Auto Manufacturers 1.0%
|
|
|
|
|
|
|
|
|
Daimler Finance North America, LLC, 1.25%, 1/11/16
(1)
|
|
$
|
300
|
|
|
$
|
301,257
|
|
Volkswagen International Finance N.V., 1.15%, 11/20/15
(1)
|
|
|
350
|
|
|
|
351,593
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
652,850
|
|
|
|
|
|
|
|
|
|
|
Banks 11.8%
|
|
|
|
|
|
|
|
|
American Express Centurion Bank, 0.875%, 11/13/15
|
|
$
|
250
|
|
|
$
|
250,348
|
|
American Express Co., MTN, 1.903%, 6/19/13
(2)
|
|
|
100
|
|
|
|
100,350
|
|
Bank of America Corp., MTN, 1.722%, 1/30/14
(2)
|
|
|
250
|
|
|
|
252,234
|
|
Bank of Montreal, 2.125%, 6/28/13
|
|
|
250
|
|
|
|
251,133
|
|
Bank of Montreal, MTN, 0.80%, 11/6/15
|
|
|
250
|
|
|
|
249,802
|
|
Bank of New York Mellon Corp. (The), 0.70%, 10/23/15
|
|
|
250
|
|
|
|
250,484
|
|
Bank of Nova Scotia, 0.75%, 10/9/15
|
|
|
250
|
|
|
|
250,056
|
|
Barclays Bank PLC, 2.375%, 1/13/14
|
|
|
250
|
|
|
|
253,396
|
|
BB&T Corp., MTN, 3.375%, 9/25/13
|
|
|
150
|
|
|
|
152,205
|
|
BlackRock, Inc., 0.588%, 5/24/13
(2)
|
|
|
200
|
|
|
|
200,072
|
|
Capital One Financial Corp., 1.00%, 11/6/15
|
|
|
125
|
|
|
|
124,519
|
|
Citigroup, Inc., 5.85%, 7/2/13
|
|
|
100
|
|
|
|
101,296
|
|
Citigroup, Inc., 1.25%, 1/15/16
|
|
|
250
|
|
|
|
249,889
|
|
Credit Suisse USA, Inc., 0.555%, 4/12/13
(2)
|
|
|
270
|
|
|
|
270,030
|
|
Credit Suisse USA, Inc., 2.20%, 1/14/14
|
|
|
200
|
|
|
|
202,711
|
|
Fifth Third Bank, 0.40%, 5/17/13
(2)
|
|
|
400
|
|
|
|
400,006
|
|
Goldman Sachs Group, Inc., 0.884%, 9/29/14
(2)
|
|
|
255
|
|
|
|
255,094
|
|
Goldman Sachs Group, Inc., 1.296%, 2/7/14
(2)
|
|
|
125
|
|
|
|
125,636
|
|
HSBC Finance Corp., 0.554%, 1/15/14
(2)
|
|
|
260
|
|
|
|
259,756
|
|
JPMorgan Chase & Co. MTN, 1.034%, 9/30/13
(2)
|
|
|
150
|
|
|
|
150,537
|
|
JPMorgan Chase & Co. MTN, 1.10%, 10/15/15
|
|
|
250
|
|
|
|
250,511
|
|
JPMorgan Chase & Co. MTN, 1.102%, 1/24/14
(2)
|
|
|
200
|
|
|
|
201,239
|
|
Morgan Stanley, 1.281%, 4/29/13
(2)
|
|
|
325
|
|
|
|
325,180
|
|
Morgan Stanley, MTN, 0.605%, 1/9/14
(2)
|
|
|
225
|
|
|
|
224,526
|
|
PNC Bank NA, 0.80%, 1/28/16
|
|
|
250
|
|
|
|
250,166
|
|
Royal Bank of Canada, 1.125%, 1/15/14
|
|
|
250
|
|
|
|
251,620
|
|
Royal Bank of Canada, MTN, 0.80%, 10/30/15
|
|
|
250
|
|
|
|
250,503
|
|
State Street Corp., 0.48%, 12/8/15
(2)
|
|
|
200
|
|
|
|
198,547
|
|
State Street Corp., 0.631%, 3/7/14
(2)
|
|
|
150
|
|
|
|
150,390
|
|
Toronto Dominion Bank, MTN, 0.481%, 7/26/13
(2)
|
|
|
400
|
|
|
|
400,314
|
|
US Bank NA, 0.585%, 10/14/14
(2)
|
|
|
125
|
|
|
|
125,316
|
|
US Bank NA, 4.95%, 10/30/14
|
|
|
150
|
|
|
|
159,867
|
|
US Bank NA, MTN, 1.375%, 9/13/13
|
|
|
150
|
|
|
|
150,544
|
|
Wachovia Corp., 0.678%, 11/3/14
(2)
|
|
|
200
|
|
|
|
200,207
|
|
Westpac Banking Corp., 0.95%, 1/12/16
|
|
|
300
|
|
|
|
301,347
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
7,789,831
|
|
|
|
|
|
|
|
|
|
|
Beverages 2.1%
|
|
|
|
|
|
|
|
|
Anheuser-Busch InBev Finance, Inc., 0.80%, 1/15/16
|
|
$
|
350
|
|
|
$
|
350,519
|
|
1
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Anheuser-Busch InBev Worldwide, Inc., 0.665%, 7/14/14
(2)
|
|
$
|
55
|
|
|
$
|
55,256
|
|
Coca-Cola Refreshments USA, Inc., 0.75%, 3/13/15
|
|
|
350
|
|
|
|
351,955
|
|
Coca-Cola Refreshments USA, Inc., 1.125%, 11/12/13
|
|
|
360
|
|
|
|
361,648
|
|
PepsiCo, Inc., 0.70%, 8/13/15
|
|
|
250
|
|
|
|
250,521
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,369,899
|
|
|
|
|
|
|
|
|
|
|
Business Equipment and Services 0.4%
|
|
|
|
|
|
|
|
|
eBay, Inc., 0.875%, 10/15/13
|
|
$
|
300
|
|
|
$
|
300,949
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
300,949
|
|
|
|
|
|
|
|
|
|
|
Computers 0.6%
|
|
|
|
|
|
|
|
|
IBM Corp., 0.55%, 2/6/15
|
|
$
|
400
|
|
|
$
|
400,799
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
400,799
|
|
|
|
|
|
|
|
|
|
|
Diversified Manufacturing 0.5%
|
|
|
|
|
|
|
|
|
Procter & Gamble Co., 0.216%, 2/6/14
(2)
|
|
$
|
350
|
|
|
$
|
349,957
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
349,957
|
|
|
|
|
|
|
|
|
|
|
Drugs 0.9%
|
|
|
|
|
|
|
|
|
Johnson & Johnson, 0.38%, 5/15/14
(2)
|
|
$
|
580
|
|
|
$
|
581,117
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
581,117
|
|
|
|
|
|
|
|
|
|
|
Electric 1.2%
|
|
|
|
|
|
|
|
|
Florida Power Corp., 0.65%, 11/15/15
|
|
$
|
275
|
|
|
$
|
275,206
|
|
Georgia Power Co., 0.625%, 11/15/15
|
|
|
250
|
|
|
|
250,026
|
|
NextEra Energy Capital Holdings, Inc., 1.20%, 6/1/15
|
|
|
250
|
|
|
|
252,025
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
777,257
|
|
|
|
|
|
|
|
|
|
|
Financial Services 2.6%
|
|
|
|
|
|
|
|
|
Caterpillar Financial Services Corp., 0.70%, 11/6/15
|
|
$
|
250
|
|
|
$
|
250,378
|
|
Caterpillar Financial Services Corp., MTN, 6.20%, 9/30/13
|
|
|
250
|
|
|
|
257,013
|
|
Charles Schwab Corp. (The), 0.85%, 12/4/15
|
|
|
250
|
|
|
|
251,182
|
|
General Electric Capital Corp., MTN, 1.00%, 1/8/16
|
|
|
325
|
|
|
|
325,388
|
|
John Deere Capital Corp., 0.70%, 9/4/15
|
|
|
250
|
|
|
|
250,473
|
|
Toyota Motor Credit Corp., 0.875%, 7/17/15
|
|
|
350
|
|
|
|
352,416
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,686,850
|
|
|
|
|
|
|
|
|
|
|
Foods 0.4%
|
|
|
|
|
|
|
|
|
Unilever Capital Corp., 0.45%, 7/30/15
|
|
$
|
250
|
|
|
$
|
249,419
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
249,419
|
|
|
|
|
|
|
|
|
|
|
Insurance 1.2%
|
|
|
|
|
|
|
|
|
Berkshire Hathaway Financial Corp., 5.00%, 8/15/13
|
|
$
|
300
|
|
|
$
|
305,237
|
|
MetLife, Inc., 1.546%, 8/6/13
(2)
|
|
|
325
|
|
|
|
326,377
|
|
Prudential Financial, Inc., MTN, 4.50%, 7/15/13
|
|
|
150
|
|
|
|
151,724
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
783,338
|
|
|
|
|
|
|
|
|
|
|
Media 0.4%
|
|
|
|
|
|
|
|
|
Walt Disney Co. (The), MTN, 0.45%, 12/1/15
|
|
$
|
250
|
|
|
$
|
249,927
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
249,927
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas 0.4%
|
|
|
|
|
|
|
|
|
Shell International Finance B.V., 4.00%, 3/21/14
|
|
$
|
250
|
|
|
$
|
258,763
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
258,763
|
|
|
|
|
|
|
|
|
|
|
Retail 0.3%
|
|
|
|
|
|
|
|
|
Walgreen Co., 4.875%, 8/1/13
|
|
$
|
220
|
|
|
$
|
223,102
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
223,102
|
|
|
|
|
|
|
|
|
|
|
Utilities 0.2%
|
|
|
|
|
|
|
|
|
Alabama Power Co., 5.80%, 11/15/13
|
|
$
|
114
|
|
|
$
|
117,676
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
117,676
|
|
|
|
|
|
|
|
|
|
|
2
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds & Notes
(identified cost $15,971,820)
|
|
|
|
|
|
$
|
16,093,411
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities 2.4%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
BSCMS, Series 2002-TOP8, Class A2, 4.83%, 8/15/38
|
|
$
|
4
|
|
|
$
|
4,309
|
|
BSCMS, Series 2004-T14, Class A4, 5.20%, 1/12/41
|
|
|
245
|
|
|
|
251,728
|
|
GECMC, Series 2003-C2, Class A4, 5.145%, 7/10/37
|
|
|
96
|
|
|
|
96,536
|
|
GMACC, Series 2004-C1, Class A4, 4.908%, 3/10/38
|
|
|
250
|
|
|
|
257,848
|
|
JPMCC, Series 2003-PM1A, Class A4, 5.326%, 8/12/40
(3)
|
|
|
175
|
|
|
|
176,036
|
|
JPMCC, Series 2005-CB11, Class A3, 5.197%, 8/12/37
|
|
|
79
|
|
|
|
80,717
|
|
LB-UBS, Series 2003-C7, Class A4, 4.931%, 9/15/35
(3)
|
|
|
211
|
|
|
|
211,830
|
|
LB-UBS, Series 2004-C4, Class A4, 5.513%, 6/15/29
(3)
|
|
|
200
|
|
|
|
210,155
|
|
MSC, Series 2003-IQ5, Class A4, 5.01%, 4/15/38
|
|
|
32
|
|
|
|
32,009
|
|
MSC, Series 2004-IQ8, Class A5, 5.11%, 6/15/40
(3)
|
|
|
240
|
|
|
|
249,650
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Commercial Mortgage-Backed Securities
(identified cost $1,597,968)
|
|
|
|
|
|
$
|
1,570,818
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations 4.3%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Federal Home Loan Mortgage Corp., Series 2517, Class BH, 5.50%, 10/15/17
|
|
$
|
137
|
|
|
$
|
145,913
|
|
Federal Home Loan Mortgage Corp., Series 2621, Class QG, 5.00%, 8/15/31
|
|
|
98
|
|
|
|
98,325
|
|
Federal Home Loan Mortgage Corp., Series 2649, Class QH, 4.50%, 7/15/18
|
|
|
101
|
|
|
|
107,734
|
|
Federal Home Loan Mortgage Corp., Series 2840, Class OE, 5.00%, 2/15/33
|
|
|
114
|
|
|
|
118,264
|
|
Federal Home Loan Mortgage Corp., Series 2889, Class OG, 5.00%, 5/15/33
|
|
|
301
|
|
|
|
310,895
|
|
Federal Home Loan Mortgage Corp., Series 2971, Class GC, 5.00%, 7/15/18
|
|
|
254
|
|
|
|
258,865
|
|
Federal Home Loan Mortgage Corp., Series 2977, Class PC, 5.00%, 6/15/31
|
|
|
8
|
|
|
|
7,602
|
|
Federal Home Loan Mortgage Corp., Series 3047, Class OB, 5.50%, 12/15/33
|
|
|
74
|
|
|
|
75,943
|
|
Federal Home Loan Mortgage Corp., Series 3549, Class JA, 4.50%, 3/15/36
|
|
|
169
|
|
|
|
170,024
|
|
Federal National Mortgage Association, Series 2004-81, Class KD, 4.50%, 7/25/18
|
|
|
125
|
|
|
|
126,582
|
|
Federal National Mortgage Association, Series 2005-84, Class YG, 5.00%, 9/25/35
|
|
|
109
|
|
|
|
111,811
|
|
Federal National Mortgage Association, Series 2010-9, Class A, 4.00%, 11/25/23
|
|
|
91
|
|
|
|
93,542
|
|
Federal National Mortgage Association, Series 2010-155, Class A, 3.50%, 9/25/25
|
|
|
354
|
|
|
|
367,808
|
|
Federal National Mortgage Association, Series 2011-66, Class AB, 4.00%, 11/25/39
|
|
|
142
|
|
|
|
144,311
|
|
Federal National Mortgage Association, Series 2011-76, Class PB, 2.50%, 4/25/39
|
|
|
166
|
|
|
|
169,991
|
|
Government National Mortgage Association, Series 2008-17, Class EH, 5.25%, 1/16/32
|
|
|
186
|
|
|
|
189,363
|
|
Government National Mortgage Association, Series 2009-93, Class EJ, 3.50%, 5/20/35
|
|
|
156
|
|
|
|
159,286
|
|
Government National Mortgage Association, Series 2009-122, Class MT, 2.25%, 10/20/32
|
|
|
155
|
|
|
|
157,213
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Collateralized Mortgage Obligations
(identified cost $2,825,522)
|
|
|
|
|
|
$
|
2,813,472
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
CARMX, Series 2013-1, Class A3, 0.60%, 10/16/17
|
|
$
|
140
|
|
|
$
|
139,884
|
|
3
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
FORDO, Series 2012-D, Class A1, 0.22%, 12/15/13
(1)
|
|
$
|
44
|
|
|
$
|
44,243
|
|
HAROT, Series 2011-3, Class A2, 0.67%, 4/21/14
|
|
|
68
|
|
|
|
67,762
|
|
NAROT, Series 2012-B, Class A1, 0.263%, 8/15/13
|
|
|
25
|
|
|
|
25,066
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset-Backed Securities
(identified cost $277,028)
|
|
|
|
|
|
$
|
276,955
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Agency Obligations 21.7%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Federal Farm Credit Bank, 0.21%, 3/26/14
(2)
|
|
$
|
1,250
|
|
|
$
|
1,250,801
|
|
Federal Farm Credit Bank, 0.30%, 7/29/13
(2)
|
|
|
1,000
|
|
|
|
1,000,590
|
|
Federal Home Loan Bank, 0.30%, 1/23/14
|
|
|
750
|
|
|
|
750,772
|
|
Federal Home Loan Mortgage Corp., 0.30%, 3/21/14
|
|
|
1,250
|
|
|
|
1,252,166
|
|
Federal Home Loan Mortgage Corp., 0.35%, 11/26/14
|
|
|
1,500
|
|
|
|
1,500,561
|
|
Federal Home Loan Mortgage Corp., 0.375%, 11/27/13
|
|
|
2,500
|
|
|
|
2,503,798
|
|
Federal Home Loan Mortgage Corp., 1.00%, 7/30/14
|
|
|
1,000
|
|
|
|
1,010,861
|
|
Federal National Mortgage Association, 0.40%, 1/27/15
(2)
|
|
|
5,000
|
|
|
|
5,019,815
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Government Agency Obligations
(identified cost $14,274,722)
|
|
|
|
|
|
$
|
14,289,364
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations 46.5%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
U.S. Treasury Note, 0.125%, 8/31/13
|
|
$
|
4,000
|
|
|
$
|
4,000,624
|
|
U.S. Treasury Note, 0.125%, 7/31/14
|
|
|
2,500
|
|
|
|
2,497,755
|
|
U.S. Treasury Note, 0.25%, 3/31/14
|
|
|
1,000
|
|
|
|
1,000,899
|
|
U.S. Treasury Note, 0.25%, 4/30/14
|
|
|
5,000
|
|
|
|
5,004,495
|
|
U.S. Treasury Note, 0.25%, 8/15/15
|
|
|
1,500
|
|
|
|
1,498,594
|
|
U.S. Treasury Note, 0.25%, 12/15/15
|
|
|
500
|
|
|
|
499,024
|
|
U.S. Treasury Note, 0.50%, 5/31/13
|
|
|
1,500
|
|
|
|
1,501,348
|
|
U.S. Treasury Note, 0.50%, 11/15/13
|
|
|
5,000
|
|
|
|
5,012,305
|
|
U.S. Treasury Note, 0.75%, 6/15/14
|
|
|
4,500
|
|
|
|
4,530,762
|
|
U.S. Treasury Note, 1.75%, 1/31/14
|
|
|
5,000
|
|
|
|
5,067,190
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Treasury Obligations
(identified cost $30,631,617)
|
|
|
|
|
|
$
|
30,612,996
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Call Options Purchased 0.0%
(4)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Number of
Contracts
|
|
|
Strike
Price
|
|
|
Expiration
Date
|
|
|
Value
|
|
S&P 500 Index
|
|
|
72
|
|
|
$
|
1,650
|
|
|
|
4/5/13
|
|
|
$
|
540
|
|
S&P 500 Index
|
|
|
70
|
|
|
|
1,660
|
|
|
|
4/12/13
|
|
|
|
875
|
|
S&P 500 Index
|
|
|
70
|
|
|
|
1,660
|
|
|
|
4/20/13
|
|
|
|
1,050
|
|
S&P 500 Index
|
|
|
70
|
|
|
|
1,670
|
|
|
|
4/26/13
|
|
|
|
1,400
|
|
S&P 500 Index FLEX
|
|
|
71
|
|
|
|
1,645
|
|
|
|
4/1/13
|
|
|
|
0
|
|
S&P 500 Index FLEX
|
|
|
72
|
|
|
|
1,647
|
|
|
|
4/3/13
|
|
|
|
1
|
|
S&P 500 Index FLEX
|
|
|
72
|
|
|
|
1,657
|
|
|
|
4/9/13
|
|
|
|
32
|
|
S&P 500 Index FLEX
|
|
|
72
|
|
|
|
1,657
|
|
|
|
4/10/13
|
|
|
|
52
|
|
4
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Number of
Contracts
|
|
|
Strike
Price
|
|
|
Expiration
Date
|
|
|
Value
|
|
S&P 500 Index FLEX
|
|
|
71
|
|
|
$
|
1,662
|
|
|
|
4/15/13
|
|
|
$
|
192
|
|
S&P 500 Index FLEX
|
|
|
72
|
|
|
|
1,657
|
|
|
|
4/17/13
|
|
|
|
462
|
|
S&P 500 Index FLEX
|
|
|
71
|
|
|
|
1,657
|
|
|
|
4/22/13
|
|
|
|
1,113
|
|
S&P 500 Index FLEX
|
|
|
71
|
|
|
|
1,667
|
|
|
|
4/24/13
|
|
|
|
846
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Call Options Purchased
(identified cost $21,801)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,563
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put Options Purchased 0.0%
(4)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Number of
Contracts
|
|
|
Strike
Price
|
|
|
Expiration
Date
|
|
|
Value
|
|
S&P 500 Index
|
|
|
72
|
|
|
$
|
1,410
|
|
|
|
4/5/13
|
|
|
$
|
900
|
|
S&P 500 Index
|
|
|
70
|
|
|
|
1,425
|
|
|
|
4/12/13
|
|
|
|
3,850
|
|
S&P 500 Index
|
|
|
70
|
|
|
|
1,415
|
|
|
|
4/20/13
|
|
|
|
4,200
|
|
S&P 500 Index
|
|
|
70
|
|
|
|
1,425
|
|
|
|
4/26/13
|
|
|
|
11,200
|
|
S&P 500 Index FLEX
|
|
|
71
|
|
|
|
1,405
|
|
|
|
4/1/13
|
|
|
|
0
|
|
S&P 500 Index FLEX
|
|
|
72
|
|
|
|
1,403
|
|
|
|
4/3/13
|
|
|
|
1
|
|
S&P 500 Index FLEX
|
|
|
72
|
|
|
|
1,418
|
|
|
|
4/9/13
|
|
|
|
230
|
|
S&P 500 Index FLEX
|
|
|
72
|
|
|
|
1,418
|
|
|
|
4/10/13
|
|
|
|
340
|
|
S&P 500 Index FLEX
|
|
|
71
|
|
|
|
1,413
|
|
|
|
4/15/13
|
|
|
|
1,170
|
|
S&P 500 Index FLEX
|
|
|
72
|
|
|
|
1,413
|
|
|
|
4/17/13
|
|
|
|
1,776
|
|
S&P 500 Index FLEX
|
|
|
71
|
|
|
|
1,403
|
|
|
|
4/22/13
|
|
|
|
2,975
|
|
S&P 500 Index FLEX
|
|
|
71
|
|
|
|
1,413
|
|
|
|
4/24/13
|
|
|
|
4,846
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Put Options Purchased
(identified cost $113,724)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
31,488
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Investments 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
|
|
|
|
|
|
Interest
(000s omitted)
|
|
|
Value
|
|
Eaton Vance Cash Reserves Fund, LLC, 0.11%
(5)
|
|
|
|
|
|
|
|
|
|
$
|
256
|
|
|
$
|
255,614
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments
(identified cost $255,614)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
255,614
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments 100.1%
(identified cost $65,969,816)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
65,950,681
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Call Options Written (0.9)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Number of
Contracts
|
|
|
Strike
Price
|
|
|
Expiration
Date
|
|
|
Value
|
|
S&P 500 Index
|
|
|
72
|
|
|
$
|
1,575
|
|
|
|
4/5/13
|
|
|
$
|
(35,280
|
)
|
S&P 500 Index
|
|
|
70
|
|
|
|
1,585
|
|
|
|
4/12/13
|
|
|
|
(31,850
|
)
|
S&P 500 Index
|
|
|
70
|
|
|
|
1,585
|
|
|
|
4/20/13
|
|
|
|
(49,700
|
)
|
S&P 500 Index
|
|
|
70
|
|
|
|
1,595
|
|
|
|
4/26/13
|
|
|
|
(41,650
|
)
|
S&P 500 Index FLEX
|
|
|
71
|
|
|
|
1,570
|
|
|
|
4/1/13
|
|
|
|
(41,805
|
)
|
S&P 500 Index FLEX
|
|
|
72
|
|
|
|
1,570
|
|
|
|
4/3/13
|
|
|
|
(52,360
|
)
|
S&P 500 Index FLEX
|
|
|
72
|
|
|
|
1,580
|
|
|
|
4/9/13
|
|
|
|
(46,874
|
)
|
S&P 500 Index FLEX
|
|
|
72
|
|
|
|
1,580
|
|
|
|
4/10/13
|
|
|
|
(50,391
|
)
|
S&P 500 Index FLEX
|
|
|
71
|
|
|
|
1,585
|
|
|
|
4/15/13
|
|
|
|
(51,206
|
)
|
S&P 500 Index FLEX
|
|
|
72
|
|
|
|
1,580
|
|
|
|
4/17/13
|
|
|
|
(71,603
|
)
|
S&P 500 Index FLEX
|
|
|
71
|
|
|
|
1,580
|
|
|
|
4/22/13
|
|
|
|
(83,462
|
)
|
5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Number of
Contracts
|
|
|
Strike
Price
|
|
|
Expiration
Date
|
|
|
Value
|
|
S&P 500 Index FLEX
|
|
|
71
|
|
|
$
|
1,590
|
|
|
|
4/24/13
|
|
|
$
|
(59,657
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Call Options Written
(premiums received $474,021)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(615,838
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put Options Written (0.3)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Number of
Contracts
|
|
|
Strike
Price
|
|
|
Expiration
Date
|
|
|
Value
|
|
S&P 500 Index
|
|
|
72
|
|
|
$
|
1,485
|
|
|
|
4/5/13
|
|
|
$
|
(4,140
|
)
|
S&P 500 Index
|
|
|
70
|
|
|
|
1,500
|
|
|
|
4/12/13
|
|
|
|
(14,000
|
)
|
S&P 500 Index
|
|
|
70
|
|
|
|
1,490
|
|
|
|
4/20/13
|
|
|
|
(19,425
|
)
|
S&P 500 Index
|
|
|
70
|
|
|
|
1,500
|
|
|
|
4/26/13
|
|
|
|
(35,000
|
)
|
S&P 500 Index FLEX
|
|
|
71
|
|
|
|
1,480
|
|
|
|
4/1/13
|
|
|
|
(23
|
)
|
S&P 500 Index FLEX
|
|
|
72
|
|
|
|
1,480
|
|
|
|
4/3/13
|
|
|
|
(245
|
)
|
S&P 500 Index FLEX
|
|
|
72
|
|
|
|
1,495
|
|
|
|
4/9/13
|
|
|
|
(5,713
|
)
|
S&P 500 Index FLEX
|
|
|
72
|
|
|
|
1,495
|
|
|
|
4/10/13
|
|
|
|
(6,929
|
)
|
S&P 500 Index FLEX
|
|
|
71
|
|
|
|
1,490
|
|
|
|
4/15/13
|
|
|
|
(12,106
|
)
|
S&P 500 Index FLEX
|
|
|
72
|
|
|
|
1,490
|
|
|
|
4/17/13
|
|
|
|
(15,179
|
)
|
S&P 500 Index FLEX
|
|
|
71
|
|
|
|
1,480
|
|
|
|
4/22/13
|
|
|
|
(18,257
|
)
|
S&P 500 Index FLEX
|
|
|
71
|
|
|
|
1,490
|
|
|
|
4/24/13
|
|
|
|
(26,002
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Put Options Written
(premiums received $419,191)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(157,019
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Assets, Less Liabilities 1.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
728,232
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets 100.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
65,906,056
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
|
|
|
|
|
|
|
|
BSCMS
|
|
-
|
|
Bear Stearns Commercial Mortgage Securities Trust
|
|
|
|
CARMX
|
|
-
|
|
CarMax Auto Owner Trust
|
|
|
|
FLEX
|
|
-
|
|
FLexible EXchange traded option, representing a customized option contract with negotiated contract terms.
|
|
|
|
FORDO
|
|
-
|
|
Ford Credit Auto Owner Trust
|
|
|
|
GECMC
|
|
-
|
|
General Electric Commercial Mortgage Corp.
|
|
|
|
GMACC
|
|
-
|
|
GMAC Commercial Mortgage Securities, Inc.
|
|
|
|
HAROT
|
|
-
|
|
Honda Auto Receivables Owner Trust
|
|
|
|
JPMCC
|
|
-
|
|
JPMorgan Chase Commercial Mortgage Securities Trust
|
|
|
|
LB-UBS
|
|
-
|
|
LB-UBS Commercial Mortgage Trust
|
|
|
|
MSC
|
|
-
|
|
Morgan Stanley Capital I Trust
|
|
|
|
MTN
|
|
-
|
|
Medium-Term Note
|
|
|
|
NAROT
|
|
-
|
|
Nissan Auto Receivables Owner Trust
|
(1)
|
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified
institutional buyers) and remain exempt from registration. At March 31, 2013, the aggregate value of these securities is $697,093 or 1.1% of the Funds net assets.
|
(2)
|
Variable rate security. The stated interest rate represents the rate in effect at March 31, 2013.
|
(3)
|
Weighted average fixed-rate coupon that changes/updates monthly.
|
6
(4)
|
Amount is less than 0.05%.
|
(5)
|
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 March 31, 2013. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended March 31, 2013 was $817.
|
The cost and unrealized appreciation (depreciation) of investments of the Fund at March 31, 2013, as determined on a federal income tax basis, were
as follows:
|
|
|
|
|
Aggregate cost
|
|
$
|
65,924,725
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
318,626
|
|
Gross unrealized depreciation
|
|
|
(292,670
|
)
|
|
|
|
|
|
Net unrealized appreciation
|
|
$
|
25,956
|
|
|
|
|
|
|
Written options activity for the fiscal year to date ended March 31, 2013 was as follows:
|
|
|
|
|
|
|
|
|
|
|
Number of
Contracts
|
|
|
Premiums
Received
|
|
Outstanding, beginning of period
|
|
|
1,606
|
|
|
$
|
1,134,430
|
|
Options written
|
|
|
5,364
|
|
|
|
2,841,838
|
|
Options exercised
|
|
|
(2,016
|
)
|
|
|
(1,262,144
|
)
|
Options expired
|
|
|
(3,246
|
)
|
|
|
(1,820,912
|
)
|
|
|
|
|
|
|
|
|
|
Outstanding, end of period
|
|
|
1,708
|
|
|
$
|
893,212
|
|
|
|
|
|
|
|
|
|
|
At March 31, 2013, the Fund had sufficient cash and/or securities to cover commitments under these contracts.
The Fund is subject to equity price risk in the normal course of pursuing its investment objective. The Fund enters into a series of S&P
500 written call and put option spread transactions to enhance return while limiting any potential loss. A written call option spread on a stock index consists of selling call options on the index and buying an equal number of call options on the
same index and with the same expiration, but with a higher exercise price. A written put option spread on a stock index consists of selling put options on an index and buying an equal number of put options on the same index and with the same
expiration, but with a lower exercise price. Any net premiums received are reduced by the premiums paid on the purchased options. The risk of loss if written options expire in the money is limited to the difference in exercise price of the written
and purchased option positions. The Funds use of option spreads rather than stand alone options, staggering roll dates across the option position portfolio, and utilizing exchange-traded options guaranteed by the Options Clearing Corporation,
a market clearinghouse, serve to mitigate risk in its option strategy.
At March 31, 2013, the aggregate fair value of open derivative
instruments (not considered to be hedging instruments for accounting disclosure purposes) in an asset position and in a liability position and whose primary underlying risk exposure is equity price risk was $38,051 and $772,857, respectively.
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.
7
At March 31, 2013, the hierarchy of inputs used in valuing the Funds investments and open
derivative instruments, which are carried at value, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Description
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Corporate Bonds & Notes
|
|
$
|
|
|
|
$
|
16,093,411
|
|
|
$
|
|
|
|
$
|
16,093,411
|
|
Commercial Mortgage-Backed Securities
|
|
|
|
|
|
|
1,570,818
|
|
|
|
|
|
|
|
1,570,818
|
|
Collateralized Mortgage Obligations
|
|
|
|
|
|
|
2,813,472
|
|
|
|
|
|
|
|
2,813,472
|
|
Asset-Backed Securities
|
|
|
|
|
|
|
276,955
|
|
|
|
|
|
|
|
276,955
|
|
U.S. Government Agency Obligations
|
|
|
|
|
|
|
14,289,364
|
|
|
|
|
|
|
|
14,289,364
|
|
U.S. Treasury Obligations
|
|
|
|
|
|
|
30,612,996
|
|
|
|
|
|
|
|
30,612,996
|
|
Call Options Purchased
|
|
|
3,865
|
|
|
|
2,698
|
|
|
|
|
|
|
|
6,563
|
|
Put Options Purchased
|
|
|
20,150
|
|
|
|
11,338
|
|
|
|
|
|
|
|
31,488
|
|
Short-Term Investments
|
|
|
|
|
|
|
255,614
|
|
|
|
|
|
|
|
255,614
|
|
Total Investments
|
|
$
|
24,015
|
|
|
$
|
65,926,666
|
|
|
$
|
|
|
|
$
|
65,950,681
|
|
|
|
|
|
|
Liability Description
|
|
|
|
|
|
|
|
|
|
|
|
|
Call Options Written
|
|
$
|
(158,480
|
)
|
|
$
|
(457,358
|
)
|
|
$
|
|
|
|
$
|
(615,838
|
)
|
Put Options Written
|
|
|
(72,565
|
)
|
|
|
(84,454
|
)
|
|
|
|
|
|
|
(157,019
|
)
|
Total
|
|
$
|
(231,045
|
)
|
|
$
|
(541,812
|
)
|
|
$
|
|
|
|
$
|
(772,857
|
)
|
The Fund held no investments or other financial instruments as of December 31, 2012 whose fair value was determined
using Level 3 inputs. At March 31, 2013, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.
For information on the Funds policy regarding the valuation of investments and other significant accounting policies, please refer to the Funds most recent financial statements included in its
semiannual or annual report to shareholders.
Effective March 1, 2013, the name of the Fund was changed from Eaton Vance Parametric
Option Absolute Return Strategy Fund to Parametric Absolute Return Fund.
8
Eaton Vance
Real Estate Fund
March 31, 2013
PORTFOLIO OF INVESTMENTS (Unaudited)
Common Stocks 98.7%
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Hotels, Restaurants & Leisure 4.2%
|
|
|
|
|
|
|
|
|
Marriott International, Inc., Class A
|
|
|
12,700
|
|
|
$
|
536,321
|
|
McDonalds Corp.
|
|
|
4,700
|
|
|
|
468,543
|
|
Starwood Hotels & Resorts Worldwide, Inc.
|
|
|
6,900
|
|
|
|
439,737
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,444,601
|
|
|
|
|
|
|
|
|
|
|
Other 0.8%
|
|
|
|
|
|
|
|
|
CB Richard Ellis Group, Inc., Class A
(1)
|
|
|
5,900
|
|
|
$
|
148,975
|
|
Jones Lang LaSalle, Inc.
|
|
|
1,400
|
|
|
|
139,174
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
288,149
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts 93.7%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Diversified, Specialty & Other 9.2%
|
|
|
|
|
|
|
|
|
American Tower Corp.
|
|
|
5,400
|
|
|
$
|
415,368
|
|
Digital Realty Trust, Inc.
|
|
|
2,600
|
|
|
|
173,966
|
|
Liberty Property Trust, Inc.
|
|
|
8,800
|
|
|
|
349,800
|
|
Plum Creek Timber Co., Inc.
|
|
|
9,100
|
|
|
|
475,020
|
|
PS Business Parks, Inc.
|
|
|
9,200
|
|
|
|
726,064
|
|
Vornado Realty Trust
|
|
|
12,300
|
|
|
|
1,028,772
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,168,990
|
|
|
|
|
|
|
|
|
|
|
Health Care 9.7%
|
|
|
|
|
|
|
|
|
HCP, Inc.
|
|
|
17,700
|
|
|
$
|
882,522
|
|
Health Care REIT, Inc.
|
|
|
15,900
|
|
|
|
1,079,769
|
|
Ventas, Inc.
|
|
|
18,600
|
|
|
|
1,361,520
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,323,811
|
|
|
|
|
|
|
|
|
|
|
Hotels & Resorts 3.4%
|
|
|
|
|
|
|
|
|
DiamondRock Hospitality Co.
|
|
|
9,400
|
|
|
$
|
87,514
|
|
Hersha Hospitality Trust
|
|
|
35,200
|
|
|
|
205,568
|
|
Host Hotels & Resorts, Inc.
|
|
|
33,300
|
|
|
|
582,417
|
|
LaSalle Hotel Properties
|
|
|
6,400
|
|
|
|
162,432
|
|
Sunstone Hotel Investors, Inc.
(1)
|
|
|
11,500
|
|
|
|
141,565
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,179,496
|
|
|
|
|
|
|
|
|
|
|
Industrial 5.5%
|
|
|
|
|
|
|
|
|
DCT Industrial Trust, Inc.
|
|
|
41,000
|
|
|
$
|
303,400
|
|
EastGroup Properties, Inc.
|
|
|
11,100
|
|
|
|
646,020
|
|
ProLogis, Inc.
|
|
|
23,800
|
|
|
|
951,524
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,900,944
|
|
|
|
|
|
|
|
|
|
|
Malls and Factory Outlets 16.6%
|
|
|
|
|
|
|
|
|
General Growth Properties, Inc.
|
|
|
20,700
|
|
|
$
|
411,516
|
|
Macerich Co. (The)
|
|
|
3,600
|
|
|
|
231,768
|
|
Simon Property Group, Inc.
|
|
|
23,500
|
|
|
|
3,726,160
|
|
Tanger Factory Outlet Centers
|
|
|
13,200
|
|
|
|
477,576
|
|
Taubman Centers, Inc.
|
|
|
11,100
|
|
|
|
862,026
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,709,046
|
|
|
|
|
|
|
|
|
|
|
Multifamily 21.0%
|
|
|
|
|
|
|
|
|
American Campus Communities, Inc.
|
|
|
19,400
|
|
|
$
|
879,596
|
|
AvalonBay Communities, Inc.
|
|
|
16,100
|
|
|
|
2,039,387
|
|
Camden Property Trust
|
|
|
4,000
|
|
|
|
274,720
|
|
Equity Residential
|
|
|
37,500
|
|
|
|
2,064,750
|
|
Essex Property Trust, Inc.
|
|
|
3,700
|
|
|
|
557,146
|
|
1
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Mid-America Apartment Communities, Inc.
|
|
|
8,300
|
|
|
$
|
573,198
|
|
Post Properties, Inc.
|
|
|
5,300
|
|
|
|
249,630
|
|
UDR, Inc.
|
|
|
25,300
|
|
|
|
612,007
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
7,250,434
|
|
|
|
|
|
|
|
|
|
|
Office 12.0%
|
|
|
|
|
|
|
|
|
Alexandria Real Estate Equities, Inc.
|
|
|
5,200
|
|
|
$
|
369,096
|
|
Boston Properties, Inc.
|
|
|
17,100
|
|
|
|
1,728,126
|
|
Brandywine Realty Trust
|
|
|
11,000
|
|
|
|
163,350
|
|
Corporate Office Properties Trust
|
|
|
6,600
|
|
|
|
176,088
|
|
Douglas Emmett, Inc.
|
|
|
25,000
|
|
|
|
623,250
|
|
Highwoods Properties, Inc.
|
|
|
17,000
|
|
|
|
672,690
|
|
Kilroy Realty Corp.
|
|
|
7,700
|
|
|
|
403,480
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,136,080
|
|
|
|
|
|
|
|
|
|
|
Self Storage 7.8%
|
|
|
|
|
|
|
|
|
Extra Space Storage, Inc.
|
|
|
10,200
|
|
|
$
|
400,554
|
|
Public Storage, Inc.
|
|
|
14,900
|
|
|
|
2,269,568
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,670,122
|
|
|
|
|
|
|
|
|
|
|
Strip Centers 8.5%
|
|
|
|
|
|
|
|
|
Acadia Realty Trust
|
|
|
9,400
|
|
|
$
|
261,038
|
|
DDR Corp.
|
|
|
35,600
|
|
|
|
620,152
|
|
Federal Realty Investment Trust
|
|
|
10,000
|
|
|
|
1,080,400
|
|
Regency Centers Corp.
|
|
|
10,200
|
|
|
|
539,682
|
|
Retail Opportunity Investments Corp.
|
|
|
12,700
|
|
|
|
177,927
|
|
Urstadt Biddle Properties, Inc.
|
|
|
11,100
|
|
|
|
241,536
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,920,735
|
|
|
|
|
|
|
|
|
|
|
Total Real Estate Investment Trusts
|
|
|
|
|
|
$
|
32,259,658
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks
(identified cost $29,198,408)
|
|
|
|
|
|
$
|
33,992,408
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Investments 1.0%
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Interest
(000s omitted)
|
|
|
Value
|
|
Eaton Vance Cash Reserves Fund, LLC, 0.11%
(2)
|
|
$
|
349
|
|
|
$
|
349,358
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments
(identified cost $349,358)
|
|
|
|
|
|
$
|
349,358
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments 99.7%
(identified cost $29,547,766)
|
|
|
|
|
|
$
|
34,341,766
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Assets, Less Liabilities 0.3%
|
|
|
|
|
|
$
|
108,071
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets 100.0%
|
|
|
|
|
|
$
|
34,449,837
|
|
|
|
|
|
|
|
|
|
|
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
(1)
|
Non-income producing security.
|
(2)
|
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 March 31, 2013. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended March 31, 2013 was $188.
|
The Fund did not have any open financial instruments at March 31, 2013.
2
The cost and unrealized appreciation (depreciation) of investments of the Fund at March 31, 2013, as
determined on a federal income tax basis, were as follows:
|
|
|
|
|
Aggregate cost
|
|
$
|
29,707,235
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
4,743,435
|
|
Gross unrealized depreciation
|
|
|
(108,904
|
)
|
|
|
|
|
|
Net unrealized appreciation
|
|
$
|
4,634,531
|
|
|
|
|
|
|
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the
assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
|
|
|
Level 1 quoted prices in active markets for identical investments
|
|
|
|
Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk,
etc.)
|
|
|
|
Level 3 significant unobservable inputs (including a funds own assumptions in determining the fair value of investments)
|
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level
disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing
in those securities.
At March 31, 2013, 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
|
|
Common Stocks
|
|
$
|
33,992,408
|
*
|
|
$
|
|
|
|
$
|
|
|
|
$
|
33,992,408
|
|
Short-Term Investments
|
|
|
|
|
|
|
349,358
|
|
|
|
|
|
|
|
349,358
|
|
Total Investments
|
|
$
|
33,992,408
|
|
|
$
|
349,358
|
|
|
$
|
|
|
|
$
|
34,341,766
|
|
*
|
The level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.
|
The Fund held no investments or other financial instruments as of December 31, 2012 whose fair value was determined using Level 3 inputs. At
March 31, 2013, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.
For
information on the Funds policy regarding the valuation of investments and other significant accounting policies, please refer to the Funds most recent financial statements included in its semiannual or annual report to shareholders.
3
Eaton Vance
Small-Cap Fund
March 31, 2013
PORTFOLIO OF INVESTMENTS (Unaudited)
Common Stocks 95.7%
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Aerospace & Defense 0.6%
|
|
|
|
|
|
|
|
|
Aerovironment, Inc.
(1)
|
|
|
65,440
|
|
|
$
|
1,186,427
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,186,427
|
|
|
|
|
|
|
|
|
|
|
Auto Components 2.1%
|
|
|
|
|
|
|
|
|
Dana Holding Corp.
|
|
|
224,630
|
|
|
$
|
4,005,153
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,005,153
|
|
|
|
|
|
|
|
|
|
|
Building Products 1.9%
|
|
|
|
|
|
|
|
|
Armstrong World Industries, Inc.
|
|
|
66,660
|
|
|
$
|
3,725,627
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,725,627
|
|
|
|
|
|
|
|
|
|
|
Capital Markets 4.5%
|
|
|
|
|
|
|
|
|
HFF, Inc., Class A
|
|
|
179,280
|
|
|
$
|
3,573,051
|
|
Lazard, Ltd., Class A
|
|
|
106,240
|
|
|
|
3,625,971
|
|
Walter Investment Management Corp.
(1)
|
|
|
42,105
|
|
|
|
1,568,411
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
8,767,433
|
|
|
|
|
|
|
|
|
|
|
Chemicals 4.4%
|
|
|
|
|
|
|
|
|
Balchem Corp.
|
|
|
105,490
|
|
|
$
|
4,635,231
|
|
Cytec Industries, Inc.
|
|
|
52,440
|
|
|
|
3,884,755
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
8,519,986
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks 3.0%
|
|
|
|
|
|
|
|
|
Signature Bank
(1)
|
|
|
44,840
|
|
|
$
|
3,531,598
|
|
Texas Capital Bancshares, Inc.
(1)
|
|
|
57,150
|
|
|
|
2,311,718
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,843,316
|
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies 3.7%
|
|
|
|
|
|
|
|
|
Clean Harbors, Inc.
(1)
|
|
|
54,580
|
|
|
$
|
3,170,552
|
|
Team, Inc.
(1)
|
|
|
94,901
|
|
|
|
3,897,584
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
7,068,136
|
|
|
|
|
|
|
|
|
|
|
Construction & Engineering 2.5%
|
|
|
|
|
|
|
|
|
Foster Wheeler AG
(1)
|
|
|
21,810
|
|
|
$
|
498,358
|
|
MYR Group, Inc.
(1)
|
|
|
175,050
|
|
|
|
4,299,228
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,797,586
|
|
|
|
|
|
|
|
|
|
|
Electrical Equipment 1.6%
|
|
|
|
|
|
|
|
|
Generac Holdings, Inc.
|
|
|
86,280
|
|
|
$
|
3,049,135
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,049,135
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment, Instruments & Components 7.0%
|
|
|
|
|
|
|
|
|
FEI Co.
|
|
|
62,860
|
|
|
$
|
4,057,613
|
|
FLIR Systems, Inc.
|
|
|
136,710
|
|
|
|
3,555,827
|
|
InvenSense, Inc.
(1)
|
|
|
214,020
|
|
|
|
2,285,733
|
|
National Instruments Corp.
|
|
|
113,205
|
|
|
|
3,707,464
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
13,606,637
|
|
|
|
|
|
|
|
|
|
|
1
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Energy Equipment & Services 1.2%
|
|
|
|
|
|
|
|
|
Hornbeck Offshore Services, Inc.
(1)
|
|
|
26,050
|
|
|
$
|
1,210,283
|
|
Superior Energy Services, Inc.
(1)
|
|
|
41,170
|
|
|
|
1,069,185
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,279,468
|
|
|
|
|
|
|
|
|
|
|
Food Products 4.7%
|
|
|
|
|
|
|
|
|
Flowers Foods, Inc.
|
|
|
148,640
|
|
|
$
|
4,896,201
|
|
Hain Celestial Group, Inc. (The)
(1)
|
|
|
51,270
|
|
|
|
3,131,572
|
|
Pinnacle Foods, Inc.
(1)
|
|
|
47,590
|
|
|
|
1,056,974
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
9,084,747
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies 4.0%
|
|
|
|
|
|
|
|
|
Analogic Corp.
|
|
|
56,340
|
|
|
$
|
4,451,987
|
|
Globus Medical, Inc., Class A
(1)
|
|
|
34,790
|
|
|
|
510,717
|
|
Integra LifeSciences Holdings Corp.
(1)
|
|
|
71,520
|
|
|
|
2,789,995
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
7,752,699
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services 2.1%
|
|
|
|
|
|
|
|
|
MEDNAX, Inc.
(1)
|
|
|
22,020
|
|
|
$
|
1,973,653
|
|
Team Health Holdings, Inc.
(1)
|
|
|
59,220
|
|
|
|
2,154,423
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,128,076
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure 1.8%
|
|
|
|
|
|
|
|
|
Krispy Kreme Doughnuts, Inc.
(1)
|
|
|
240,950
|
|
|
$
|
3,479,318
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,479,318
|
|
|
|
|
|
|
|
|
|
|
Household Durables 1.6%
|
|
|
|
|
|
|
|
|
Ryland Group, Inc. (The)
|
|
|
74,250
|
|
|
$
|
3,090,285
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,090,285
|
|
|
|
|
|
|
|
|
|
|
Household Products 2.7%
|
|
|
|
|
|
|
|
|
Church & Dwight Co., Inc.
|
|
|
81,390
|
|
|
$
|
5,260,236
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,260,236
|
|
|
|
|
|
|
|
|
|
|
Insurance 4.2%
|
|
|
|
|
|
|
|
|
Allied World Assurance Co. Holdings, Ltd.
|
|
|
49,150
|
|
|
$
|
4,557,188
|
|
HCC Insurance Holdings, Inc.
|
|
|
86,060
|
|
|
|
3,617,102
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
8,174,290
|
|
|
|
|
|
|
|
|
|
|
IT Services 3.6%
|
|
|
|
|
|
|
|
|
Euronet Worldwide, Inc.
(1)
|
|
|
161,080
|
|
|
$
|
4,242,847
|
|
Global Cash Access Holdings, Inc.
(1)
|
|
|
385,030
|
|
|
|
2,714,462
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,957,309
|
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services 2.2%
|
|
|
|
|
|
|
|
|
Bruker Corp.
(1)
|
|
|
217,850
|
|
|
$
|
4,160,935
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,160,935
|
|
|
|
|
|
|
|
|
|
|
Machinery 6.8%
|
|
|
|
|
|
|
|
|
Colfax Corp.
(1)
|
|
|
87,100
|
|
|
$
|
4,053,634
|
|
RBC Bearings, Inc.
(1)
|
|
|
78,990
|
|
|
|
3,993,734
|
|
Valmont Industries, Inc.
|
|
|
31,680
|
|
|
|
4,982,314
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
13,029,682
|
|
|
|
|
|
|
|
|
|
|
Marine 2.1%
|
|
|
|
|
|
|
|
|
Kirby Corp.
(1)
|
|
|
53,150
|
|
|
$
|
4,081,920
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,081,920
|
|
|
|
|
|
|
|
|
|
|
Media 0.3%
|
|
|
|
|
|
|
|
|
ReachLocal, Inc.
(1)
|
|
|
33,940
|
|
|
$
|
507,742
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
507,742
|
|
|
|
|
|
|
|
|
|
|
2
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Oil, Gas & Consumable Fuels 9.0%
|
|
|
|
|
|
|
|
|
Goodrich Petroleum Corp.
(1)
|
|
|
215,940
|
|
|
$
|
3,379,461
|
|
Kodiak Oil & Gas Corp.
(1)
|
|
|
382,310
|
|
|
|
3,475,198
|
|
PDC Energy, Inc.
(1)
|
|
|
84,460
|
|
|
|
4,186,682
|
|
Western Refining, Inc.
|
|
|
93,020
|
|
|
|
3,293,838
|
|
WPX Energy, Inc.
(1)
|
|
|
189,270
|
|
|
|
3,032,106
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
17,367,285
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products 1.1%
|
|
|
|
|
|
|
|
|
Boise Cascade Co.
(1)
|
|
|
60,539
|
|
|
$
|
2,054,694
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,054,694
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) 5.3%
|
|
|
|
|
|
|
|
|
American Campus Communities, Inc.
|
|
|
30,270
|
|
|
$
|
1,372,442
|
|
Mid-America Apartment Communities, Inc.
|
|
|
43,240
|
|
|
|
2,986,155
|
|
PS Business Parks, Inc.
|
|
|
55,199
|
|
|
|
4,356,305
|
|
Sovran Self Storage, Inc.
|
|
|
22,160
|
|
|
|
1,429,098
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
10,144,000
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment 4.2%
|
|
|
|
|
|
|
|
|
Cirrus Logic, Inc.
(1)
|
|
|
102,360
|
|
|
$
|
2,328,690
|
|
Cypress Semiconductor Corp.
(1)
|
|
|
280,830
|
|
|
|
3,097,555
|
|
Monolithic Power Systems, Inc.
|
|
|
106,140
|
|
|
|
2,586,632
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
8,012,877
|
|
|
|
|
|
|
|
|
|
|
Software 2.1%
|
|
|
|
|
|
|
|
|
Mentor Graphics Corp.
|
|
|
224,510
|
|
|
$
|
4,052,406
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,052,406
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail 4.2%
|
|
|
|
|
|
|
|
|
GNC Holdings, Inc., Class A
|
|
|
127,900
|
|
|
$
|
5,023,912
|
|
Group 1 Automotive, Inc.
|
|
|
50,450
|
|
|
|
3,030,531
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
8,054,443
|
|
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance 1.2%
|
|
|
|
|
|
|
|
|
ViewPoint Financial Group, Inc.
|
|
|
115,440
|
|
|
$
|
2,321,498
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,321,498
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks
(identified cost $140,460,383)
|
|
|
|
|
|
$
|
184,563,346
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Investments 4.8%
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Interest
(000s omitted)
|
|
|
Value
|
|
Eaton Vance Cash Reserves Fund, LLC, 0.11%
(2)
|
|
$
|
9,334
|
|
|
$
|
9,334,478
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments
(identified cost $9,334,478)
|
|
|
|
|
|
$
|
9,334,478
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments 100.5%
(identified cost $149,794,861)
|
|
|
|
|
|
$
|
193,897,824
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Assets, Less Liabilities (0.5)%
|
|
|
|
|
|
$
|
(941,730
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets 100.0%
|
|
|
|
|
|
$
|
192,956,094
|
|
|
|
|
|
|
|
|
|
|
3
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
(1)
|
Non-income producing security.
|
(2)
|
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 March 31, 2013. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended March 31, 2013 was $1,300.
|
The Fund did not have any open financial instruments at March 31, 2013.
The cost and unrealized appreciation (depreciation) of investments of the Fund at March 31, 2013, as determined on a federal income tax basis, were as follows:
|
|
|
|
|
Aggregate cost
|
|
$
|
150,351,751
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
45,175,965
|
|
Gross unrealized depreciation
|
|
|
(1,629,892
|
)
|
|
|
|
|
|
Net unrealized appreciation
|
|
$
|
43,546,073
|
|
|
|
|
|
|
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the
assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
|
|
Level 1 quoted prices in active markets for identical investments
|
|
|
Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk,
etc.)
|
|
|
Level 3 significant unobservable inputs (including a funds own assumptions in determining the fair value of investments)
|
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level
disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing
in those securities.
At March 31, 2013, 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
|
|
Common Stocks
|
|
$
|
184,563,346
|
*
|
|
$
|
|
|
|
$
|
|
|
|
$
|
184,563,346
|
|
Short-Term Investments
|
|
|
|
|
|
|
9,334,478
|
|
|
|
|
|
|
|
9,334,478
|
|
Total Investments
|
|
$
|
184,563,346
|
|
|
$
|
9,334,478
|
|
|
$
|
|
|
|
$
|
193,897,824
|
|
*
|
The level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.
|
The Fund held no investments or other financial instruments as of December 31, 2012 whose fair value was determined using Level 3 inputs. At
March 31, 2013, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.
For
information on the Funds policy regarding the valuation of investments and other significant accounting policies, please refer to the Funds most recent financial statements included in its semiannual or annual report to shareholders.
4
Eaton Vance
Small-Cap Value Fund
March 31, 2013
PORTFOLIO OF INVESTMENTS (Unaudited)
Common Stocks 97.5%
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Airlines 1.6%
|
|
|
|
|
|
|
|
|
Spirit Airlines, Inc.
(1)
|
|
|
21,157
|
|
|
$
|
536,542
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
536,542
|
|
|
|
|
|
|
|
|
|
|
Auto Components 1.8%
|
|
|
|
|
|
|
|
|
Dana Holding Corp.
|
|
|
34,810
|
|
|
$
|
620,662
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
620,662
|
|
|
|
|
|
|
|
|
|
|
Beverages 1.5%
|
|
|
|
|
|
|
|
|
Cott Corp.
|
|
|
51,070
|
|
|
$
|
516,828
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
516,828
|
|
|
|
|
|
|
|
|
|
|
Building Products 2.2%
|
|
|
|
|
|
|
|
|
A.O. Smith Corp.
|
|
|
10,312
|
|
|
$
|
758,654
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
758,654
|
|
|
|
|
|
|
|
|
|
|
Chemicals 5.6%
|
|
|
|
|
|
|
|
|
Calgon Carbon Corp.
(1)
|
|
|
37,687
|
|
|
$
|
682,135
|
|
Innophos Holdings, Inc.
|
|
|
10,128
|
|
|
|
552,584
|
|
RPM International, Inc.
|
|
|
20,727
|
|
|
|
654,558
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,889,277
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks 8.9%
|
|
|
|
|
|
|
|
|
Bank of Marin Bancorp
|
|
|
4,380
|
|
|
$
|
175,594
|
|
Cardinal Financial Corp.
|
|
|
20,100
|
|
|
|
365,418
|
|
ConnectOne Bancorp, Inc.
(1)
|
|
|
5,560
|
|
|
|
173,750
|
|
Eagle Bancorp, Inc.
(1)
|
|
|
14,960
|
|
|
|
327,475
|
|
First Midwest Bancorp, Inc.
|
|
|
36,039
|
|
|
|
478,598
|
|
Prosperity Bancshares, Inc.
|
|
|
17,967
|
|
|
|
851,456
|
|
Umpqua Holdings Corp.
|
|
|
48,358
|
|
|
|
641,227
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,013,518
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment 2.0%
|
|
|
|
|
|
|
|
|
NETGEAR, Inc.
(1)
|
|
|
20,768
|
|
|
$
|
695,936
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
695,936
|
|
|
|
|
|
|
|
|
|
|
Construction & Engineering 4.8%
|
|
|
|
|
|
|
|
|
EMCOR Group, Inc.
|
|
|
20,159
|
|
|
$
|
854,540
|
|
MasTec, Inc.
(1)
|
|
|
26,484
|
|
|
|
772,009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,626,549
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging 2.1%
|
|
|
|
|
|
|
|
|
AptarGroup, Inc.
|
|
|
12,626
|
|
|
$
|
724,101
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
724,101
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities 3.4%
|
|
|
|
|
|
|
|
|
Cleco Corp.
|
|
|
12,351
|
|
|
$
|
580,868
|
|
Portland General Electric Co.
|
|
|
18,403
|
|
|
|
558,163
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,139,031
|
|
|
|
|
|
|
|
|
|
|
1
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Electrical Equipment 1.1%
|
|
|
|
|
|
|
|
|
General Cable Corp.
(1)
|
|
|
9,921
|
|
|
$
|
363,406
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
363,406
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment, Instruments & Components 1.6%
|
|
|
|
|
|
|
|
|
Itron, Inc.
(1)
|
|
|
11,858
|
|
|
$
|
550,211
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
550,211
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services 3.1%
|
|
|
|
|
|
|
|
|
Hornbeck Offshore Services, Inc.
(1)
|
|
|
17,386
|
|
|
$
|
807,753
|
|
Oil States International, Inc.
(1)
|
|
|
3,073
|
|
|
|
250,665
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,058,418
|
|
|
|
|
|
|
|
|
|
|
Food Products 5.0%
|
|
|
|
|
|
|
|
|
Darling International, Inc.
(1)
|
|
|
28,905
|
|
|
$
|
519,134
|
|
J&J Snack Foods Corp.
|
|
|
6,033
|
|
|
|
463,877
|
|
Lancaster Colony Corp.
|
|
|
9,155
|
|
|
|
704,935
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,687,946
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies 4.8%
|
|
|
|
|
|
|
|
|
Teleflex, Inc.
|
|
|
10,367
|
|
|
$
|
876,115
|
|
West Pharmaceutical Services, Inc.
|
|
|
11,356
|
|
|
|
737,459
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,613,574
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services 1.6%
|
|
|
|
|
|
|
|
|
Magellan Health Services, Inc.
(1)
|
|
|
11,684
|
|
|
$
|
555,808
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
555,808
|
|
|
|
|
|
|
|
|
|
|
Insurance 8.2%
|
|
|
|
|
|
|
|
|
Aspen Insurance Holdings, Ltd.
|
|
|
19,485
|
|
|
$
|
751,731
|
|
National Financial Partners Corp.
(1)
|
|
|
27,678
|
|
|
|
620,818
|
|
ProAssurance Corp.
|
|
|
7,208
|
|
|
|
341,155
|
|
Protective Life Corp.
|
|
|
12,641
|
|
|
|
452,548
|
|
Tower Group, Inc.
|
|
|
32,884
|
|
|
|
606,713
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,772,965
|
|
|
|
|
|
|
|
|
|
|
IT Services 3.1%
|
|
|
|
|
|
|
|
|
MAXIMUS, Inc.
|
|
|
13,037
|
|
|
$
|
1,042,569
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,042,569
|
|
|
|
|
|
|
|
|
|
|
Machinery 7.8%
|
|
|
|
|
|
|
|
|
Barnes Group, Inc.
|
|
|
26,146
|
|
|
$
|
756,404
|
|
Crane Co.
|
|
|
10,632
|
|
|
|
593,904
|
|
EnPro Industries, Inc.
(1)
|
|
|
9,919
|
|
|
|
507,555
|
|
Titan International, Inc.
|
|
|
37,118
|
|
|
|
782,447
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,640,310
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels 3.6%
|
|
|
|
|
|
|
|
|
Stone Energy Corp.
(1)
|
|
|
29,175
|
|
|
$
|
634,556
|
|
VAALCO Energy, Inc.
(1)
|
|
|
76,230
|
|
|
|
578,586
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,213,142
|
|
|
|
|
|
|
|
|
|
|
Professional Services 1.0%
|
|
|
|
|
|
|
|
|
Towers Watson & Co., Class A
|
|
|
4,694
|
|
|
$
|
325,388
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
325,388
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) 6.4%
|
|
|
|
|
|
|
|
|
DuPont Fabros Technology, Inc.
|
|
|
25,116
|
|
|
$
|
609,565
|
|
LaSalle Hotel Properties
|
|
|
23,478
|
|
|
|
595,872
|
|
Pebblebrook Hotel Trust
|
|
|
15,289
|
|
|
|
394,303
|
|
PS Business Parks, Inc.
|
|
|
7,352
|
|
|
|
580,220
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,179,960
|
|
|
|
|
|
|
|
|
|
|
2
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Road & Rail 2.1%
|
|
|
|
|
|
|
|
|
Old Dominion Freight Line, Inc.
(1)
|
|
|
19,046
|
|
|
$
|
727,557
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
727,557
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment 1.2%
|
|
|
|
|
|
|
|
|
OmniVision Technologies, Inc.
(1)
|
|
|
30,278
|
|
|
$
|
417,231
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
417,231
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail 4.0%
|
|
|
|
|
|
|
|
|
Aeropostale, Inc.
(1)
|
|
|
27,559
|
|
|
$
|
374,802
|
|
Childrens Place Retail Stores, Inc. (The)
(1)
|
|
|
13,050
|
|
|
|
584,901
|
|
Finish Line, Inc. (The), Class A
|
|
|
19,734
|
|
|
|
386,589
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,346,292
|
|
|
|
|
|
|
|
|
|
|
Textiles, Apparel & Luxury Goods 4.4%
|
|
|
|
|
|
|
|
|
Hanesbrands, Inc.
(1)
|
|
|
17,337
|
|
|
$
|
789,874
|
|
Iconix Brand Group, Inc.
(1)
|
|
|
27,374
|
|
|
|
708,165
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,498,039
|
|
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance 3.6%
|
|
|
|
|
|
|
|
|
Capitol Federal Financial, Inc.
|
|
|
26,910
|
|
|
$
|
324,803
|
|
First Defiance Financial Corp.
|
|
|
8,790
|
|
|
|
204,983
|
|
Oritani Financial Corp.
|
|
|
29,910
|
|
|
|
463,306
|
|
Washington Federal, Inc.
|
|
|
13,768
|
|
|
|
240,940
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,234,032
|
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors 1.0%
|
|
|
|
|
|
|
|
|
CAI International, Inc.
(1)
|
|
|
11,890
|
|
|
$
|
342,670
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
342,670
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks
(identified cost $24,348,231)
|
|
|
|
|
|
$
|
33,090,616
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Investments 2.8%
|
|
|
|
|
Description
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
State Street Bank and Trust Euro Time Deposit, 0.01%, 4/1/13
|
|
$
|
944
|
|
|
$
|
943,764
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments
(identified cost $943,764)
|
|
|
|
|
|
$
|
943,764
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments 100.3%
(identified cost $25,291,995)
|
|
|
|
|
|
$
|
34,034,380
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Assets, Less Liabilities (0.3)%
|
|
|
|
|
|
$
|
(88,514
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets 100.0%
|
|
|
|
|
|
$
|
33,945,866
|
|
|
|
|
|
|
|
|
|
|
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
(1)
|
Non-income producing security.
|
3
The Fund did not have any open financial instruments at March 31, 2013.
The cost and unrealized appreciation (depreciation) of investments of the Fund at March 31, 2013, as determined on a federal income tax basis, were
as follows:
|
|
|
|
|
Aggregate cost
|
|
$
|
25,256,194
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
9,031,647
|
|
Gross unrealized depreciation
|
|
|
(253,461
|
)
|
|
|
|
|
|
Net unrealized appreciation
|
|
$
|
8,778,186
|
|
|
|
|
|
|
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the
assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
|
|
Level 1 quoted prices in active markets for identical investments
|
|
|
Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk,
etc.)
|
|
|
Level 3 significant unobservable inputs (including a funds own assumptions in determining the fair value of investments)
|
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level
disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing
in those securities.
At March 31, 2013, 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
|
|
Common Stocks
|
|
$
|
33,090,616
|
*
|
|
$
|
|
|
|
$
|
|
|
|
$
|
33,090,616
|
|
Short-Term Investments
|
|
|
|
|
|
|
943,764
|
|
|
|
|
|
|
|
943,764
|
|
Total Investments
|
|
$
|
33,090,616
|
|
|
$
|
943,764
|
|
|
$
|
|
|
|
$
|
34,034,380
|
|
*
|
The level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.
|
The Fund held no investments or other financial instruments as of December 31, 2012 whose fair value was determined using Level 3 inputs. At
March 31, 2013, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.
For
information on the Funds policy regarding the valuation of investments and other significant accounting policies, please refer to the Funds most recent financial statements included in its semiannual or annual report to shareholders.
4
Eaton Vance
Special Equities Fund
March 31, 2013
PORTFOLIO OF INVESTMENTS (Unaudited)
Common Stocks 96.7%
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Auto Components 1.9%
|
|
|
|
|
|
|
|
|
Dana Holding Corp.
|
|
|
60,410
|
|
|
$
|
1,077,110
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,077,110
|
|
|
|
|
|
|
|
|
|
|
Building Products 1.9%
|
|
|
|
|
|
|
|
|
Armstrong World Industries, Inc.
|
|
|
18,940
|
|
|
$
|
1,058,557
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,058,557
|
|
|
|
|
|
|
|
|
|
|
Capital Markets 4.4%
|
|
|
|
|
|
|
|
|
Affiliated Managers Group, Inc.
(1)
|
|
|
9,220
|
|
|
$
|
1,415,915
|
|
Lazard, Ltd., Class A
|
|
|
30,670
|
|
|
|
1,046,767
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,462,682
|
|
|
|
|
|
|
|
|
|
|
Chemicals 3.3%
|
|
|
|
|
|
|
|
|
Cytec Industries, Inc.
|
|
|
13,890
|
|
|
$
|
1,028,971
|
|
FMC Corp.
|
|
|
14,010
|
|
|
|
798,991
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,827,962
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks 5.7%
|
|
|
|
|
|
|
|
|
First Republic Bank
|
|
|
36,800
|
|
|
$
|
1,421,216
|
|
Signature Bank
(1)
|
|
|
13,160
|
|
|
|
1,036,482
|
|
Texas Capital Bancshares, Inc.
(1)
|
|
|
17,060
|
|
|
|
690,077
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,147,775
|
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies 1.6%
|
|
|
|
|
|
|
|
|
Clean Harbors, Inc.
(1)
|
|
|
15,810
|
|
|
$
|
918,403
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
918,403
|
|
|
|
|
|
|
|
|
|
|
Computers & Peripherals 0.9%
|
|
|
|
|
|
|
|
|
NCR Corp.
(1)
|
|
|
19,030
|
|
|
$
|
524,467
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
524,467
|
|
|
|
|
|
|
|
|
|
|
Construction & Engineering 2.2%
|
|
|
|
|
|
|
|
|
Foster Wheeler AG
(1)
|
|
|
6,310
|
|
|
$
|
144,184
|
|
Quanta Services, Inc.
(1)
|
|
|
37,290
|
|
|
|
1,065,748
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,209,932
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging 1.9%
|
|
|
|
|
|
|
|
|
AptarGroup, Inc.
|
|
|
18,840
|
|
|
$
|
1,080,474
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,080,474
|
|
|
|
|
|
|
|
|
|
|
Electrical Equipment 3.1%
|
|
|
|
|
|
|
|
|
AMETEK, Inc.
|
|
|
19,685
|
|
|
$
|
853,542
|
|
Generac Holdings, Inc.
|
|
|
24,990
|
|
|
|
883,146
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,736,688
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment, Instruments & Components 6.9%
|
|
|
|
|
|
|
|
|
FLIR Systems, Inc.
|
|
|
39,450
|
|
|
$
|
1,026,094
|
|
InvenSense, Inc.
(1)
|
|
|
61,810
|
|
|
|
660,131
|
|
National Instruments Corp.
|
|
|
32,390
|
|
|
|
1,060,772
|
|
Trimble Navigation, Ltd.
(1)
|
|
|
36,160
|
|
|
|
1,083,354
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,830,351
|
|
|
|
|
|
|
|
|
|
|
1
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Energy Equipment & Services 2.2%
|
|
|
|
|
|
|
|
|
Hornbeck Offshore Services, Inc.
(1)
|
|
|
7,540
|
|
|
$
|
350,308
|
|
Rowan Cos., PLC
(1)
|
|
|
15,420
|
|
|
|
545,251
|
|
Superior Energy Services, Inc.
(1)
|
|
|
11,850
|
|
|
|
307,745
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,203,304
|
|
|
|
|
|
|
|
|
|
|
Food Products 5.3%
|
|
|
|
|
|
|
|
|
Flowers Foods, Inc.
|
|
|
40,090
|
|
|
$
|
1,320,564
|
|
Green Mountain Coffee Roasters, Inc.
(1)
|
|
|
7,430
|
|
|
|
421,727
|
|
Hain Celestial Group, Inc. (The)
(1)
|
|
|
15,010
|
|
|
|
916,811
|
|
Pinnacle Foods, Inc.
(1)
|
|
|
13,760
|
|
|
|
305,610
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,964,712
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies 1.5%
|
|
|
|
|
|
|
|
|
Integra LifeSciences Holdings Corp.
(1)
|
|
|
20,690
|
|
|
$
|
807,117
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
807,117
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services 2.1%
|
|
|
|
|
|
|
|
|
MEDNAX, Inc.
(1)
|
|
|
6,350
|
|
|
$
|
569,151
|
|
Team Health Holdings, Inc.
(1)
|
|
|
16,940
|
|
|
|
616,277
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,185,428
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure 1.8%
|
|
|
|
|
|
|
|
|
Krispy Kreme Doughnuts, Inc.
(1)
|
|
|
69,510
|
|
|
$
|
1,003,724
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,003,724
|
|
|
|
|
|
|
|
|
|
|
Household Durables 1.6%
|
|
|
|
|
|
|
|
|
Ryland Group, Inc. (The)
|
|
|
21,510
|
|
|
$
|
895,246
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
895,246
|
|
|
|
|
|
|
|
|
|
|
Household Products 2.7%
|
|
|
|
|
|
|
|
|
Church & Dwight Co., Inc.
|
|
|
23,428
|
|
|
$
|
1,514,152
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,514,152
|
|
|
|
|
|
|
|
|
|
|
Insurance 3.9%
|
|
|
|
|
|
|
|
|
HCC Insurance Holdings, Inc.
|
|
|
24,490
|
|
|
$
|
1,029,314
|
|
WR Berkley Corp.
|
|
|
26,040
|
|
|
|
1,155,395
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,184,709
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services 1.8%
|
|
|
|
|
|
|
|
|
VeriSign, Inc.
(1)
|
|
|
21,190
|
|
|
$
|
1,001,863
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,001,863
|
|
|
|
|
|
|
|
|
|
|
IT Services 2.2%
|
|
|
|
|
|
|
|
|
Teradata Corp.
(1)
|
|
|
20,940
|
|
|
$
|
1,225,199
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,225,199
|
|
|
|
|
|
|
|
|
|
|
Leisure Equipment & Products 1.5%
|
|
|
|
|
|
|
|
|
Polaris Industries, Inc.
|
|
|
9,300
|
|
|
$
|
860,157
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
860,157
|
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services 2.0%
|
|
|
|
|
|
|
|
|
Bruker Corp.
(1)
|
|
|
59,120
|
|
|
$
|
1,129,192
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,129,192
|
|
|
|
|
|
|
|
|
|
|
Machinery 6.6%
|
|
|
|
|
|
|
|
|
Colfax Corp.
(1)
|
|
|
24,480
|
|
|
$
|
1,139,299
|
|
Pall Corp.
|
|
|
12,580
|
|
|
|
860,095
|
|
RBC Bearings, Inc.
(1)
|
|
|
15,840
|
|
|
|
800,870
|
|
Valmont Industries, Inc.
|
|
|
5,510
|
|
|
|
866,558
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,666,822
|
|
|
|
|
|
|
|
|
|
|
2
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Marine 2.5%
|
|
|
|
|
|
|
|
|
Kirby Corp.
(1)
|
|
|
18,280
|
|
|
$
|
1,403,904
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,403,904
|
|
|
|
|
|
|
|
|
|
|
Multiline Retail 1.8%
|
|
|
|
|
|
|
|
|
Dollar Tree, Inc.
(1)
|
|
|
20,320
|
|
|
$
|
984,098
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
984,098
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels 6.2%
|
|
|
|
|
|
|
|
|
Kodiak Oil & Gas Corp.
(1)
|
|
|
106,590
|
|
|
$
|
968,903
|
|
PDC Energy, Inc.
(1)
|
|
|
21,640
|
|
|
|
1,072,695
|
|
Western Refining, Inc.
|
|
|
26,540
|
|
|
|
939,782
|
|
WPX Energy, Inc.
(1)
|
|
|
27,870
|
|
|
|
446,477
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,427,857
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products 1.1%
|
|
|
|
|
|
|
|
|
Boise Cascade Co.
(1)
|
|
|
17,545
|
|
|
$
|
595,477
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
595,477
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 2.6%
|
|
|
|
|
|
|
|
|
Perrigo Co.
|
|
|
11,970
|
|
|
$
|
1,421,198
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,421,198
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) 3.6%
|
|
|
|
|
|
|
|
|
American Campus Communities, Inc.
|
|
|
8,810
|
|
|
$
|
399,445
|
|
Essex Property Trust, Inc.
|
|
|
5,320
|
|
|
|
801,086
|
|
Mid-America Apartment Communities, Inc.
|
|
|
11,820
|
|
|
|
816,289
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,016,820
|
|
|
|
|
|
|
|
|
|
|
Road & Rail 1.8%
|
|
|
|
|
|
|
|
|
Kansas City Southern
|
|
|
8,920
|
|
|
$
|
989,228
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
989,228
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment 4.2%
|
|
|
|
|
|
|
|
|
Cirrus Logic, Inc.
(1)
|
|
|
29,610
|
|
|
$
|
673,627
|
|
Cypress Semiconductor Corp.
(1)
|
|
|
81,800
|
|
|
|
902,254
|
|
Monolithic Power Systems, Inc.
|
|
|
31,100
|
|
|
|
757,907
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,333,788
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail 2.2%
|
|
|
|
|
|
|
|
|
GNC Holdings, Inc., Class A
|
|
|
31,260
|
|
|
$
|
1,227,893
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,227,893
|
|
|
|
|
|
|
|
|
|
|
Textiles, Apparel & Luxury Goods 1.7%
|
|
|
|
|
|
|
|
|
Hanesbrands, Inc.
(1)
|
|
|
21,110
|
|
|
$
|
961,772
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
961,772
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks
(identified cost $40,782,027)
|
|
|
|
|
|
$
|
53,878,061
|
|
|
|
|
|
|
|
|
|
|
Short-Term Investments 3.9%
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Interest
(000s omitted)
|
|
|
Value
|
|
Eaton Vance Cash Reserves Fund, LLC, 0.11%
(2)
|
|
$
|
2,192
|
|
|
$
|
2,192,189
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments
(identified cost $2,192,189)
|
|
|
|
|
|
$
|
2,192,189
|
|
|
|
|
|
|
|
|
|
|
3
|
|
|
|
|
|
|
|
|
|
|
Value
|
|
Total Investments 100.6%
(identified cost $42,974,216)
|
|
|
|
$
|
56,070,250
|
|
|
|
|
|
|
|
|
|
|
|
Other Assets, Less Liabilities (0.6)%
|
|
|
|
$
|
(342,245
|
)
|
|
|
|
|
|
|
|
|
|
|
Net Assets 100.0%
|
|
|
|
$
|
55,728,005
|
|
|
|
|
|
|
|
|
The percentage shown for each investment category in the Portfolio of Investments
is based on net assets.
(1)
|
Non-income producing security.
|
(2)
|
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 March 31, 2013. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended March 31, 2013 was $339.
|
The Fund did not have any open financial instruments at March 31, 2013.
The cost and unrealized appreciation (depreciation) of investments of the Fund at March 31, 2013, as determined on a federal income tax basis, were as follows:
|
|
|
|
|
Aggregate cost
|
|
$
|
42,945,651
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
13,473,361
|
|
Gross unrealized depreciation
|
|
|
(348,762
|
)
|
|
|
|
|
|
Net unrealized appreciation
|
|
$
|
13,124,599
|
|
|
|
|
|
|
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the
assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
|
|
Level 1 quoted prices in active markets for identical investments
|
|
|
Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk,
etc.)
|
|
|
Level 3 significant unobservable inputs (including a funds own assumptions in determining the fair value of investments)
|
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level
disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing
in those securities.
At March 31, 2013, 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
|
|
Common Stocks
|
|
$
|
53,878,061
|
*
|
|
$
|
|
|
|
$
|
|
|
|
$
|
53,878,061
|
|
Short-Term Investments
|
|
|
|
|
|
|
2,192,189
|
|
|
|
|
|
|
|
2,192,189
|
|
Total Investments
|
|
$
|
53,878,061
|
|
|
$
|
2,192,189
|
|
|
$
|
|
|
|
$
|
56,070,250
|
|
*
|
The level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.
|
The Fund held no investments or other financial instruments as of December 31, 2012 whose fair value was determined using Level 3 inputs. At
March 31, 2013, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.
For
information on the Funds policy regarding the valuation of investments and other significant accounting policies, please refer to the Funds most recent financial statements included in its semiannual or annual report to shareholders.
4
Item 2. 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 on this
Form N-Q 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 on this Form N-Q 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 fiscal quarter for which the report is being filed that have materially affected, or are reasonably likely to materially affect the registrants
internal control over financial reporting.
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 Special Investment Trust
|
|
|
|
|
By:
|
|
/s/ Duncan W. Richardson
|
|
|
Duncan W. Richardson
|
|
|
President
|
|
|
Date:
|
|
May 24, 2013
|
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/ Duncan W. Richardson
|
|
|
Duncan W. Richardson
|
|
|
President
|
|
|
Date:
|
|
May 24, 2013
|
|
|
|
|
|
By:
|
|
/s/ James F. Kirchner
|
|
|
James F. Kirchner
|
|
|
Treasurer
|
|
|
Date:
|
|
May 24, 2013
|