Notes to Financial Statements (Unaudited)
1 Significant Accounting Policies
Eaton Vance Institutional Emerging Markets Debt Fund
(formerly, Eaton Vance Institutional Emerging Markets Local Debt Fund) (the Fund) is a non-diversified series of Eaton Vance Series Fund, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act
of 1940, as amended (the 1940 Act), as an open-end management investment company. Prior to February 4, 2013, the date the Fund commenced investment operations, the Fund had been inactive except for matters relating to its organization and the
sale of 10,000 shares to Eaton Vance Management (EVM) for $100,000. Organization costs in connection with the organization of the Fund were borne directly by EVM. The Fund’s investment objective is total return. The Fund’s shares are
offered to institutional investors and are sold at net asset value and are not subject to a sales charge.
The following is a summary of significant
accounting policies of the Fund. The policies are in conformity with accounting principles generally accepted in the United States of America.
A Investment Valuation
— The following methodologies are used to determine the market value or fair value of investments.
Debt Obligations.
Debt obligations (including short-term obligations with a remaining maturity of more than sixty days) are generally valued on
the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker/dealer
quotations, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information
regarding securities with similar characteristics to determine the valuation for a security. Short-term obligations purchased with a remaining maturity of sixty days or less (excluding those that are non-U.S. dollar denominated, which typically are
valued by a pricing service or dealer quotes) are generally valued at amortized cost, which approximates market value.
Derivatives.
Financial
futures contracts are valued at the closing settlement price established by the board of trade or exchange on which they are traded. Forward foreign currency exchange contracts are generally valued at the mean of the average bid and average asked
prices that are reported by currency dealers to a third party pricing service at the valuation time. Such third party pricing service valuations are supplied for specific settlement periods and the Fund’s forward foreign currency exchange
contracts are valued at an interpolated rate between the closest preceding and subsequent settlement period reported by the third party pricing service. Interest rate swaps are normally valued using valuations provided by a third party pricing
service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract. Future cash flows are discounted to their present value using swap rates provided by
electronic data services or by broker/dealers.
Foreign Securities and Currencies.
Foreign securities and currencies are valued in U.S. dollars,
based on foreign currency exchange rate quotations supplied by a third party pricing service. The pricing service uses a proprietary model to determine the exchange rate. Inputs to the model include reported trades and implied bid/ask spreads. The
daily valuation of exchange-traded foreign securities generally is determined as of the close of trading on the principal exchange on which such securities trade. Events occurring after the close of trading on foreign exchanges may result in
adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities that meet certain criteria, the Directors have
approved the use of a fair value service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the
fair-valued securities.
Affiliated Fund.
The Fund may invest in Eaton Vance Cash Reserves Fund, LLC (Cash Reserves Fund), an affiliated
investment company managed by EVM. The value of the Fund’s investment in Cash Reserves Fund reflects the Fund’s proportionate interest in its net assets. Cash Reserves Fund generally values its investment securities utilizing the amortized
cost valuation technique in accordance with Rule 2a-7 under the 1940 Act. This technique involves initially valuing a portfolio security at its cost and thereafter assuming a constant amortization to maturity of any discount or premium. If amortized
cost is determined not to approximate fair value, Cash Reserves Fund may value its investment securities in the same manner as debt obligations described above.
Fair Valuation.
Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued at fair value using methods determined in good faith by or at the direction
of the Directors of the Fund in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based
on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s
disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from
the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in
which the security is purchased and sold.
B Investment
Transactions
— Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of
identified cost.
C Income
— Interest income is
recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Inflation adjustments to the principal amount of inflation-adjusted bonds and notes are reflected as interest income. Withholding taxes on
foreign interest and capital gains have been provided for in accordance with the Fund’s understanding of the applicable countries’ tax rules and rates.
Eaton Vance
Institutional Emerging Markets Debt Fund
January 31, 2014
Notes to Financial Statements (Unaudited) — continued
D Federal Taxes
— The Fund’s policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders each year substantially all of its net investment income, and all or substantially all of its net realized capital gains. Accordingly, no provision
for federal income or excise tax is necessary.
In addition to the requirements of the Internal Revenue Code, the Fund may also be subject to local taxes
on the recognition of capital gains in certain countries. In determining the daily net asset value, the Fund estimates the accrual for such taxes, if any, based on the unrealized appreciation on certain portfolio securities and the related tax
rates. Taxes attributable to unrealized appreciation are included in the change in unrealized appreciation (depreciation) on investments. Capital gains taxes on securities sold are included in net realized gain (loss) on investments.
As of January 31, 2014, the Fund had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Fund
files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
E Expenses
— The majority of expenses of the Corporation are directly
identifiable to an individual fund. Expenses which are not readily identifiable to a specific fund are allocated taking into consideration, among other things, the nature and type of expense and the relative size of the funds.
F Expense Reduction
— State
Street Bank and Trust Company (SSBT) serves as custodian of the Fund. Pursuant to the custodian agreement, SSBT receives a fee reduced by credits, which are determined based on the average daily cash balance the Fund maintains with SSBT. All credit
balances, if any, used to reduce the Fund’s custodian fees are reported as a reduction of expenses in the Statement of Operations.
G Foreign Currency Translation
— Investment valuations, other assets, and liabilities initially expressed in foreign currencies
are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses denominated in foreign currencies are translated into U.S. dollars based upon currency
exchange rates in effect on the respective dates of such transactions. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized
gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
H Use of Estimates
— The preparation of the financial statements in conformity
with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported
amounts of income and expense during the reporting period. Actual results could differ from those estimates.
I Indemnifications
— The Corporation’s Articles of Incorporation provide that no Director or officer of the Corporation
shall be liable, to the fullest extent permitted by Maryland law and the 1940 Act, to the Corporation or to its shareholders for money damages. Additionally, in the normal course of business, the Fund enters into agreements with service providers
that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
J Financial Futures Contracts
—
Upon entering into a financial futures contract, the Fund is required to deposit with the broker, either in cash or securities, an amount equal to a certain percentage of the contract amount (initial margin). Subsequent payments, known as variation
margin, are made or received by the Fund each business day, depending on the daily fluctuations in the value of the underlying security, and are recorded as unrealized gains or losses by the Fund. Gains (losses) are realized upon the expiration or
closing of the financial futures contracts. Should market conditions change unexpectedly, the Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. Futures contracts have minimal counterparty risk
as they are exchange traded and the clearinghouse for the exchange is substituted as the counterparty, guaranteeing counterparty performance.
K Forward Foreign Currency Exchange Contracts
— The Fund may enter into forward foreign currency exchange contracts for the
purchase or sale of a specific foreign currency at a fixed price on a future date. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized
until such time as the contracts have been closed. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from movements in the value of a foreign currency relative to
the U.S. dollar.
L Interest Rate Swaps
— Pursuant to interest rate swap agreements, the Fund either makes floating-rate payments to the counterparty based on a benchmark interest rate in exchange for fixed-rate payments or the Fund makes fixed-rate
payments to the counterparty in exchange for payments on a floating benchmark interest rate. Payments received or made are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of
the swap are recorded as unrealized gains or losses. The value of the swap is determined by changes in the relationship between two rates of interest. The Fund is exposed to credit loss in the event of non-performance by the swap counterparty. Risk
may also arise from movements in interest rates.
M Interim Financial
Statements
— The interim financial statements relating to January 31, 2014 and for the six months then ended have not been audited by an independent registered public accounting firm,
but in the opinion of the Fund’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
Eaton Vance
Institutional Emerging Markets Debt Fund
January 31, 2014
Notes to Financial Statements (Unaudited) — continued
2 Distributions to Shareholders
It is the present policy of the Fund to make at least one
distribution annually (normally in December) of all or substantially all of its net investment income and to distribute annually all or substantially all of its net realized capital gains. Distributions to shareholders are recorded on the
ex-dividend date. Shareholders may reinvest income and capital gain distributions in additional shares of the Fund at the net asset value as of the ex-dividend date or, at the election of the shareholder, receive distributions in cash. The Fund
distinguishes between distributions on a tax basis and a financial reporting basis. Accounting principles generally accepted in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in
the financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid-in capital. For tax purposes, distributions from short-term capital gains are considered to be
from ordinary income.
3 Investment Adviser and Administration Fee and Other Transactions with Affiliates
The investment adviser and administration fee is earned by EVM as compensation for investment advisory and administrative services rendered to the Fund. The fee is
computed at an annual rate of 0.65% of the Fund’s average daily net assets up to $500 million and is payable monthly. On net assets of $500 million and over, the annual fee is reduced. For the six months ended January 31, 2014, the
investment adviser and administration fee amounted to $47,858 or 0.65% (annualized) of the Fund’s average daily net assets. The Fund invests its cash in Cash Reserves Fund. EVM does not currently receive a fee for advisory services provided to
Cash Reserves Fund.
EVM has agreed to reimburse the Fund’s expenses to the extent that total annual operating expenses (relating to ordinary
operating expenses only) exceed 0.85% of the Fund’s average daily net assets. This agreement may be changed or terminated after November 30, 2014. Pursuant to this agreement, EVM was allocated $115,392 of the Fund’s operating expenses
for the six months ended January 31, 2014.
EVM provides sub-transfer agency services to the Fund and receives a fee based upon the actual expenses
it incurs in the performance of these services. For the six months ended January 31, 2014, EVM earned $4 in sub-transfer agent fees, which are included in transfer and dividend disbursing agent fees on the Statement of Operations.
Directors and officers of the Fund who are members of EVM’s organization receive remuneration for their services to the Fund out of the investment adviser and
administration fee. Directors of the Fund who are not affiliated with EVM may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Directors Deferred Compensation Plan. For the six months ended
January 31, 2014, no significant amounts have been deferred. Certain officers and Directors of the Fund are officers of EVM.
4 Purchases and Sales of Investments
Purchases and sales of investments, other than short-term obligations, aggregated $1,796,909 and $1,631,694, respectively, for the six months ended January 31,
2014.
5 Common Shares
The
Corporation’s Articles of Incorporation permit the Directors to issue one billion full and fractional common shares of the Fund ($0.001 par value per share). Transactions in Fund shares were as follows:
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Six Months Ended
January 31, 2014
(Unaudited)
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Period Ended
July 31, 2013
(1)
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Sales
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—
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1,500,000
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Issued to shareholders electing to receive payments of distributions in Fund shares
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56,228
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—
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Net increase
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56,228
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1,500,000
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(1)
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For the period from commencement of operations on February 4, 2013 to
July 31, 2013.
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At January 31, 2014, an affiliate of EVM owned 100% of the outstanding shares of the Fund.
Eaton Vance
Institutional Emerging Markets Debt Fund
January 31, 2014
Notes to Financial Statements (Unaudited) — continued
6 Federal Income Tax Basis of Investments
The cost and unrealized appreciation
(depreciation) of investments of the Fund at January 31, 2014, as determined on a federal income tax basis, were as follows:
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Aggregate cost
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$
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15,222,249
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Gross unrealized appreciation
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$
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86,991
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Gross unrealized depreciation
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(902,652
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)
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Net unrealized depreciation
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$
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(815,661
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)
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7 Financial Instruments
The Fund may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include forward foreign currency exchange contracts,
financial futures contracts and swap contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the
investment the Fund has in particular classes of financial instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and
offsetting transactions are considered.
A summary of obligations under these financial instruments at January 31, 2014 is as follows:
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Forward Foreign Currency Exchange Contracts
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Settlement Date
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Deliver
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In Exchange For
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Counterparty
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Unrealized
Appreciation
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Unrealized
(Depreciation)
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Net Unrealized
Appreciation
(Depreciation)
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2/4/14
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Brazilian Real
506,778
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United States Dollar
217,969
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Bank of America
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|
$
|
7,971
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|
|
$
|
—
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|
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$
|
7,971
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|
2/4/14
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United States Dollar
207,696
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Brazilian Real
506,778
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Bank of America
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2,302
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—
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2,302
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2/5/14
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Euro
329,509
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United States Dollar 454,317
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Goldman Sachs International
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9,908
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|
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—
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9,908
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2/5/14
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Romanian Leu
624,335
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Euro
138,094
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Standard Chartered Bank
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—
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(918
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)
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|
|
(918
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)
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2/5/14
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Ugandan Shilling
40,330,000
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United States Dollar 16,229
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Deutsche Bank
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—
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(74
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)
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|
|
(74
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)
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2/5/14
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United States Dollar
15,956
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Ugandan Shilling 40,330,000
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Barclays Bank PLC
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347
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|
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—
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|
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347
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2/5/14
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United States Dollar
63,566
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Euro
46,483
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Deutsche Bank
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—
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(874
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)
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(874
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)
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2/5/14
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United States Dollar
95,892
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Euro
70,164
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Goldman Sachs International
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|
—
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|
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|
(1,262
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)
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|
(1,262
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)
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2/5/14
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United States Dollar
134,441
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Euro
98,420
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Goldman Sachs International
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—
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(1,702
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)
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(1,702
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)
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2/10/14
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United States Dollar
339,188
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Indian Rupee 21,310,000
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Bank of America
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|
557
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—
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557
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2/12/14
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Euro
335,000
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United States Dollar 452,875
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Goldman Sachs International
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|
1,059
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—
|
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|
|
1,059
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2/12/14
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Euro
361,826
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United States Dollar 498,799
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Standard Chartered Bank
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|
10,803
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—
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10,803
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2/13/14
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United States Dollar
402,383
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Thai Baht
13,298,751
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Bank of America
|
|
|
282
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|
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—
|
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282
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Eaton Vance
Institutional Emerging Markets Debt Fund
January 31, 2014
Notes to Financial Statements (Unaudited) — continued
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Forward Foreign Currency Exchange Contracts (continued)
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Settlement Date
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Deliver
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In Exchange For
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Counterparty
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Unrealized
Appreciation
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Unrealized
(Depreciation)
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Net Unrealized
Appreciation
(Depreciation)
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2/20/14
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Serbian Dinar
27,687,000
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Euro
238,414
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Deutsche Bank
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$
|
580
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$
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—
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$
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580
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2/28/14
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United States Dollar
319,481
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Indian Rupee 19,935,000
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Standard Chartered Bank
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—
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(2,697
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)
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(2,697
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)
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3/3/14
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Philippine Peso
5,458,000
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United States Dollar 122,693
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Bank of America
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2,327
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—
|
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|
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2,327
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3/3/14
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United States Dollar
89,526
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Philippine Peso 3,900,000
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Barclays Bank PLC
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—
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(3,518
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)
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|
(3,518
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)
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3/5/14
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Euro
31,315
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Romanian Leu 142,000
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Standard Chartered Bank
|
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|
225
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|
|
—
|
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|
|
225
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|
|
3/5/14
|
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Romanian Leu
142,000
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Euro
31,266
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Standard Chartered Bank
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—
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|
|
|
(292
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)
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|
(292
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)
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3/12/14
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United States Dollar
146,447
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Yuan Offshore Renminbi 890,000
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Standard Chartered Bank
|
|
|
833
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|
|
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—
|
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|
|
833
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3/19/14
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Euro
115,041
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United States Dollar 157,575
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Bank of America
|
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|
2,417
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—
|
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|
|
2,417
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3/26/14
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Euro
371,033
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United States Dollar 511,725
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Deutsche Bank
|
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|
11,304
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|
—
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|
11,304
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4/7/14
|
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United States Dollar
429,802
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New Turkish Lira 953,000
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Standard Chartered Bank
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|
|
—
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(15,748
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)
|
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|
(15,748
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)
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4/24/14
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Israeli Shekel
1,560,660
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United States Dollar 446,400
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Standard Chartered Bank
|
|
|
3,030
|
|
|
|
—
|
|
|
|
3,030
|
|
|
4/24/14
|
|
United States Dollar
229,041
|
|
Israeli Shekel
800,660
|
|
Bank of America
|
|
|
—
|
|
|
|
(1,581
|
)
|
|
|
(1,581
|
)
|
|
4/24/14
|
|
United States Dollar
217,385
|
|
Israeli Shekel
760,000
|
|
Standard Chartered Bank
|
|
|
—
|
|
|
|
(1,476
|
)
|
|
|
(1,476
|
)
|
|
5/5/14
|
|
Brazilian Real
506,778
|
|
United States Dollar 203,264
|
|
Bank of America
|
|
|
—
|
|
|
|
(2,030
|
)
|
|
|
(2,030
|
)
|
|
5/7/14
|
|
Euro
187,000
|
|
United States Dollar 255,457
|
|
Standard Chartered Bank
|
|
|
3,236
|
|
|
|
—
|
|
|
|
3,236
|
|
|
5/7/14
|
|
United States Dollar
254,017
|
|
Euro
187,000
|
|
Goldman Sachs International
|
|
|
—
|
|
|
|
(1,796
|
)
|
|
|
(1,796
|
)
|
|
5/27/14
|
|
United States Dollar
259,858
|
|
Russian Ruble 9,376,982
|
|
Bank of America
|
|
|
641
|
|
|
|
—
|
|
|
|
641
|
|
|
7/17/14
|
|
United States Dollar
136,567
|
|
Armenian Dram 59,830,000
|
|
VTB Capital PLC
|
|
|
5,108
|
|
|
|
—
|
|
|
|
5,108
|
|
|
8/14/14
|
|
United States Dollar
54,168
|
|
Indonesian Rupiah 664,914,000
|
|
Barclays Bank PLC
|
|
|
—
|
|
|
|
(1,674
|
)
|
|
|
(1,674
|
)
|
|
8/14/14
|
|
United States Dollar
315,051
|
|
Indonesian Rupiah 3,578,980,287
|
|
Barclays Bank PLC
|
|
|
—
|
|
|
|
(32,497
|
)
|
|
|
(32,497
|
)
|
|
9/9/14
|
|
Zambian Kwacha
253,000
|
|
United States Dollar 42,308
|
|
Standard Chartered Bank
|
|
|
—
|
|
|
|
(104
|
)
|
|
|
(104
|
)
|
|
9/30/14
|
|
United States Dollar
139,024
|
|
Azerbaijani Manat 114,000
|
|
Standard Bank
|
|
|
2,608
|
|
|
|
—
|
|
|
|
2,608
|
|
|
1/12/15
|
|
United States Dollar
74,603
|
|
Ugandan Shilling 203,666,000
|
|
Standard Chartered Bank
|
|
|
1,087
|
|
|
|
—
|
|
|
|
1,087
|
|
|
|
|
|
|
|
|
|
$
|
66,625
|
|
|
$
|
(68,243
|
)
|
|
$
|
(1,618
|
)
|
Eaton Vance
Institutional Emerging Markets Debt Fund
January 31, 2014
Notes to Financial Statements (Unaudited) — continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expiration
Month/Year
|
|
Contracts
|
|
Position
|
|
Aggregate Cost
|
|
|
Value
|
|
|
Net Unrealized
Depreciation
|
|
|
|
|
|
|
|
|
|
3/14
|
|
2
IMM
5-Year Interest
Rate Swap
|
|
Long
|
|
$
|
200,520
|
|
|
$
|
199,437
|
|
|
$
|
(1,083
|
)
|
|
3/14
|
|
8
U.S. 10-Year Deliverable Interest Rate Swap
|
|
Short
|
|
|
(815,864
|
)
|
|
|
(828,375
|
)
|
|
|
(12,511
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(13,594
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Swaps
|
|
|
Counterparty
|
|
Notional
Amount
(000’s omitted)
|
|
Fund Pays/
Receives
Floating Rate
|
|
Floating
Rate Index
|
|
Annual
Fixed Rate
|
|
|
Termination
Date
|
|
|
Net
Unrealized
Depreciation
|
|
|
Bank of America
|
|
BRL 683
|
|
Pays
|
|
Brazil CETIP Interbank Deposit Rate
|
|
|
13.11
|
%
|
|
|
1/4/21
|
|
|
$
|
(347
|
)
|
|
Bank of America
|
|
BRL 88
|
|
Pays
|
|
Brazil CETIP Interbank Deposit Rate
|
|
|
13.10
|
|
|
|
1/4/21
|
|
|
|
(54
|
)
|
|
Deutsche Bank
|
|
BRL 662
|
|
Pays
|
|
Brazil CETIP Interbank Deposit Rate
|
|
|
12.87
|
|
|
|
1/4/21
|
|
|
|
(4,291
|
)
|
|
Deutsche Bank
|
|
BRL 130
|
|
Pays
|
|
Brazil CETIP Interbank Deposit Rate
|
|
|
12.92
|
|
|
|
1/4/21
|
|
|
|
(671
|
)
|
|
Goldman Sachs International
|
|
BRL 128
|
|
Pays
|
|
Brazil CETIP Interbank Deposit Rate
|
|
|
13.07
|
|
|
|
1/4/21
|
|
|
|
(177
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(5,540
|
)
|
At January 31, 2014, the Fund had sufficient cash and/or securities to cover commitments under these contracts.
In the normal course of pursuing its investment objective, the Fund is subject to the following risks:
Foreign Exchange Risk: The Fund engages in forward foreign currency exchange contracts to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for
the purchase or sale of securities or currencies.
Interest Rate Risk: The Fund utilizes various interest rate derivatives including futures
contracts and interest rate swaps to enhance total return, to seek to hedge against fluctuations in interest rates and/or to change the effective duration of its portfolio.
The Fund enters into swap contracts and forward foreign currency exchange contracts that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not
limited to a decline in the Fund’s net assets below a certain level over a certain period of time, which would trigger a payment by the Fund for those derivatives in a liability position. At January 31, 2014, the fair value of derivatives
with credit-related contingent features in a net liability position was $73,783.
The over-the-counter (OTC) derivatives in which the Fund invests are
subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. To mitigate this risk, the Fund has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA
Master Agreement”) or similar agreement with substantially all its derivative counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs certain OTC derivatives and typically contains,
among other things, set-off provisions in the event of a default and/or termination event as defined under the relevant ISDA Master Agreement. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty
certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of
default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy or insolvency. Certain ISDA
Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements,
which would cause the counterparty to accelerate payment by the Fund of any net liability owed to it.
The collateral requirements for derivatives traded
under an ISDA Master Agreement are governed by a Credit Support Annex to the ISDA Master Agreement. Collateral requirements are determined at the close of business each day and are typically based on changes in market values for each transaction
under an ISDA Master Agreement and netted into one amount for such agreement. Generally, the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by
counterparty. Collateral pledged for the benefit of the Fund and/or counterparty is held in segregated accounts by the Fund’s custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion
Eaton Vance
Institutional Emerging Markets Debt Fund
January 31, 2014
Notes to Financial Statements (Unaudited) — continued
of such collateral representing cash, if any, is reflected as restricted cash and, in the case of cash pledged by a counterparty for the benefit of the Fund, a corresponding liability on the
Statement of Assets and Liabilities. Securities pledged by the Fund as collateral, if any, are identified as such in the Portfolio of Investments.
The
fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at January 31, 2014 was as follows: