Notes to Consolidated Financial Statements
1 Significant Accounting Policies
Eaton Vance Parametric Structured Commodity Strategy
Fund (the Fund) is a non-diversified series of Eaton Vance Mutual Funds Trust (the Trust). The Trust is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management
investment company. The Fund’s investment objective is to seek total return. The Fund offers two classes of shares. Class A shares are generally sold subject to a sales charge imposed at time of purchase. Class I shares are sold at net
asset value and are not subject to a sales charge. Each class represents a pro-rata interest in the Fund, but votes separately on class-specific matters and (as noted below) is subject to different expenses. Realized and unrealized gains and losses
and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based on the relative net assets of each class to the total net assets of the Fund. Each class of shares differs in its
distribution plan and certain other class-specific expenses.
The Fund seeks to gain exposure to the commodity markets, in whole or in part, through
investments in PSC 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 December 31, 2012 were $14,931,699 or 18.8% of the Fund’s consolidated net assets. The accompanying consolidated financial statements include the accounts of
the Subsidiary. Intercompany balances and transactions have been eliminated in consolidation.
The following is a summary of significant accounting
policies of the Fund. The policies are in conformity with accounting principles generally accepted in the United States of America.
A Investment Valuation
— 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. Exchange-traded notes are valued at the last sale price on the primary market or exchange on which they are traded on the day of
valuation. Short-term obligations purchased with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates market value. Total return swaps are valued by obtaining the value of the underlying index or
instrument and reference interest rate from a third party pricing service. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued at fair value using methods determined in good faith by or
at the direction of the Trustees of the Fund in a manner that 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.
The Fund may invest in Eaton Vance Cash Reserves Fund, LLC (Cash Reserves Fund), an
affiliated investment company managed by Eaton Vance Management (EVM). Cash Reserves Fund generally values its investment securities utilizing the amortized cost valuation technique in accordance with Rule 2a-7 under the 1940 Act. This technique
involves initially valuing a portfolio security at its cost and thereafter assuming a constant amortization to maturity of any discount or premium. If amortized cost is determined not to approximate fair value, Cash Reserves Fund may value its
investment securities in the same manner as debt obligations described above.
B Investment
Transactions
— Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis
of identified cost.
C Income
— Interest income
is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount.
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.
At December 31, 2012, the Fund, for federal income tax purposes, had current year deferred capital losses of $73,958 which will reduce
its taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus will reduce the amount of distributions to shareholders, which would otherwise be necessary
to relieve the Fund of any liability for federal income or excise tax. The current year deferred capital losses are treated as arising on the first day of the Fund’s next taxable year.
The Subsidiary is treated as a controlled foreign corporation under the Internal Revenue Code and is not expected to be subject to U.S. federal income tax. The Fund is treated as a U.S. shareholder of the
Subsidiary. As a result, the Fund is required to include in gross income for U.S. federal income tax purposes all of the Subsidiary’s income, whether or not such income is distributed by the Subsidiary. If a net loss is realized by the
Subsidiary, such loss is not generally available to offset the income earned by the Fund.
Eaton Vance
Parametric Structured Commodity Strategy Fund
December 31, 2012
Notes to Consolidated Financial Statements — continued
As of December 31, 2012, 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 Trust 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 Consolidated Statement of Operations.
G Use of Estimates
— The preparation of the consolidated financial statements in conformity with accounting principles
generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of
income and expense during the reporting period. Actual results could differ from those estimates.
H Indemnifications
— Under the Trust’s organizational documents, its officers and Trustees may be indemnified against
certain liabilities and expenses arising out of the performance of their duties to the Fund. Under Massachusetts law, if certain conditions prevail, shareholders of a Massachusetts business trust (such as the Trust) could be deemed to have personal
liability for the obligations of the Trust. However, the Trust’s Declaration of Trust contains an express disclaimer of liability on the part of Fund shareholders and the By-laws provide that the Trust shall assume the defense on behalf of any
Fund shareholders. Moreover, the By-laws also provide for indemnification out of Fund property of any shareholder held personally liable solely by reason of being or having been a shareholder for all loss or expense arising from such liability.
Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The 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.
I Total Return
Swaps
— In a total return swap, the buyer receives a periodic return equal to the total return of a specified security, securities or index for a specified period of time. In return, the
buyer pays the counterparty a fixed or variable stream of payments, typically based upon short-term interest rates, possibly plus or minus an agreed upon spread. During the term of the outstanding swap agreement, changes in the underlying value of
the swap are recorded as unrealized gains and losses. Periodic payments received or made are recorded as realized gains or losses. The Fund is exposed to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from
the unanticipated movements in value of interest rates, securities, or the index.
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. Distributions are recorded separately for each class of shares. Shareholders may
reinvest income and capital gain distributions in additional shares of the same class 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 consolidated
financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid-in capital. For tax purposes, distributions from short-term capital gains are considered to be from
ordinary income.
The tax character of distributions declared for the years ended December 31, 2012 and December 31, 2011 was as follows:
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Year Ended
December 31, 2012
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Period Ended
December 31, 2011
(1)
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Distributions declared from:
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Ordinary income
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$
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769,700
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|
$
|
69,799
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|
|
Tax return of capital
|
|
$
|
2,129,251
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|
$
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—
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(1)
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For the period from the start of business, May 25, 2011, to December 31, 2011.
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During the year ended December 31, 2012, accumulated net realized loss was increased by $1,803,322, accumulated net investment loss was decreased by $178,889
and paid-in capital was increased by $1,624,433 due to differences between book and tax accounting, primarily for swap contracts, investment in partnerships and investment in the Subsidiary. These reclassifications had no effect on the net assets or
net asset value per share of the Fund.
Eaton Vance
Parametric Structured Commodity Strategy Fund
December 31, 2012
Notes to Consolidated Financial Statements — continued
As of December 31, 2012, the components of distributable earnings (accumulated losses) and unrealized appreciation (depreciation) on a tax basis were as follows:
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Deferred capital losses
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$
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(73,958
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)
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Net unrealized depreciation
|
|
|
(594,324
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)
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Other temporary differences
|
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|
(941,287
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)
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The differences between components of distributable earnings (accumulated losses) on a tax basis and the amounts reflected in the
Consolidated Statement of Assets and Liabilities are primarily due to investments in partnerships and investment in the Subsidiary.
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 and the
Subsidiary. Pursuant to the investment advisory and administrative agreement between the Trust and EVM and the investment advisory agreement between the Subsidiary and EVM, the Fund and Subsidiary pay EVM an aggregate fee at an annual rate of 0.60%
of the Fund’s consolidated average daily net assets up to $500 million and at reduced rates on consolidated net assets of $500 million and over, and is payable monthly. For the year ended December 31, 2012, the investment adviser and
administration fee amounted to $358,162 or 0.60% of the Fund’s consolidated average daily net assets. Pursuant to a sub-advisory agreement, EVM has delegated the investment management of the Fund to Parametric Portfolio Associates LLC
(Parametric), a majority-owned subsidiary of Eaton Vance Corp. EVM pays Parametric a portion of its advisory and administration fee for sub-advisory services provided to the Fund. EVM and Parametric have agreed to reimburse the Fund’s expenses,
including expenses of the Subsidiary, to the extent that total annual operating expenses (relating to ordinary operating expenses only) exceed 1.00% and 0.75% of the Fund’s consolidated average daily net assets of Class A and Class I,
respectively. This agreement may be changed or terminated at any time after April 30, 2013. Pursuant to this agreement, EVM and Parametric were allocated $259,135 in total of the Fund’s operating expenses for the year ended
December 31, 2012.
EVM serves as the sub-transfer agent of the Fund and receives from the transfer agent an aggregate fee based upon the actual
expenses incurred by EVM in the performance of these services. For the year ended December 31, 2012, EVM earned $213 in sub-transfer agent fees. Eaton Vance Distributors, Inc. (EVD), an affiliate of EVM and the Fund’s principal
underwriter, received distribution and service fees from Class A (see Note 4).
Trustees 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. Trustees of the Fund who are not affiliated with EVM may elect to defer receipt of all or a percentage of their annual fees in
accordance with the terms of the Trustees Deferred Compensation Plan. For the year ended December 31, 2012, no significant amounts have been deferred. Certain officers and Trustees of the Fund are officers of the above organizations.
4 Distribution Plan
The
Fund has in effect a distribution plan for Class A shares (Class A Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class A Plan, the Fund pays EVD a distribution and service fee of 0.25% per annum of its average daily
net assets attributable to Class A shares for distribution services and facilities provided to the Fund by EVD, as well as for personal services and/or the maintenance of shareholder accounts. Distribution and service fees paid or accrued to
EVD for the year ended December 31, 2012 amounted to $306 for Class A shares.
5 Contingent Deferred Sales Charges
Class A shares may be subject to a 1% contingent deferred sales charge (CDSC) if redeemed within 18 months of purchase (depending on the
circumstances of purchase). Generally, the CDSC is based upon the lower of the net asset value at date of redemption or date of purchase. No charge is levied on shares acquired by reinvestment of dividends or capital gain distributions. No CDSC is
levied on shares which have been sold to EVM or its affiliates or to their respective employees or clients and may be waived under certain other limited conditions. For the year ended December 31, 2012, the Fund was informed that EVD received
no CDSCs paid by Class A shareholders.
6 Purchases and Sales of Investments
Purchases and sales of investments, other than short-term obligations, aggregated $32,823,510 and $31,854,024, respectively, for the year ended December 31,
2012.
Eaton Vance
Parametric Structured Commodity Strategy Fund
December 31, 2012
Notes to Consolidated Financial Statements — continued
7 Shares of Beneficial Interest
The Fund’s Declaration of Trust permits the Trustees
to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Such shares may be issued in a number of different series (such as the Fund) and classes. Transactions in Fund shares were as follows:
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Class A
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Period Ended
December 31, 2012
(1)
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Sales
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79,996
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Issued to shareholders electing to receive payments of distributions in Fund shares
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858
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Redemptions
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(49
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)
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Net increase
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80,805
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Class I
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Year Ended
December 31, 2012
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Period Ended
December 31,
2011
(2)
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Sales
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7,566,123
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|
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3,618,492
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Issued to shareholders electing to receive payments of distributions in Fund shares
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337,602
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5,437
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Redemptions
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(2,033,101
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)
|
|
|
(171,219
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)
|
|
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Net increase
|
|
|
5,870,624
|
|
|
|
3,452,710
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(1)
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Class A commenced operations on January 3, 2012.
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(2)
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For the period from the start of business, May 25, 2011, to December 31, 2011.
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8 Federal Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) of investments of the Fund, including the Subsidiary, at December 31, 2012, 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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81,505,227
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|
|
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|
Gross unrealized appreciation
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|
$
|
11,224
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|
|
Gross unrealized depreciation
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(8,171
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)
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Net unrealized appreciation
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|
$
|
3,053
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9 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 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.
Eaton Vance
Parametric Structured Commodity Strategy Fund
December 31, 2012
Notes to Consolidated Financial Statements — continued
A summary of obligations under these financial instruments at December 31, 2012 is as follows:
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Total Return Swaps
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Counterparty
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Notional
Amount
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Fund
Pays/Receives
Return on
Reference
Index
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Reference Index
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Fund
Pays/
Receives
Rate
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Rate
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Expiration
Date
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Net Unrealized
Appreciation
(Depreciation)
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Barclays Bank PLC
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$475,402
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Receives
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Excess Return on S&P GSCI 1 Month Forward Brent Crude Index
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Pays
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0.19
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%
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3/12/13
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$
|
8,164
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Barclays Bank PLC
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383,612
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Receives
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Excess Return on S&P GSCI 1 Month Forward Crude Oil Index
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Pays
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0.19
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3/12/13
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14,422
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Barclays Bank PLC
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2,306,091
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Receives
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Excess Return on S&P GSCI 1 Month Forward GasOil Index
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Pays
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0.19
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3/12/13
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(6,389
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)
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Barclays Bank PLC
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2,807,362
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Receives
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Excess Return on S&P GSCI 1 Month Forward Unleaded Gasoline Index
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Pays
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0.19
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3/12/13
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74,792
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Barclays Bank PLC
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1,730,309
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Receives
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Excess Return on S&P GSCI 1 Month Forward Aluminum Index
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Pays
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0.20
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3/12/13
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(24,016
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)
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Barclays Bank PLC
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2,223,293
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Receives
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Excess Return on S&P GSCI 1 Month Forward Copper Index
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Pays
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0.20
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3/12/13
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(26,281
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)
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Barclays Bank PLC
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2,049,213
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Receives
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Excess Return on S&P GSCI 1 Month Forward Gold Index
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Pays
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0.20
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3/12/13
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6,215
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Barclays Bank PLC
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1,027,222
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Receives
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Excess Return on S&P GSCI 1 Month Forward Lead Index
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Pays
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0.20
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3/12/13
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2,690
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Barclays Bank PLC
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891,105
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Receives
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Excess Return on S&P GSCI 1 Month Forward Nickel Index
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Pays
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0.20
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3/12/13
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(37,311
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)
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Barclays Bank PLC
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903,235
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Receives
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Excess Return on S&P GSCI 1 Month Forward Silver Index
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Pays
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0.20
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3/12/13
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(41,194
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)
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Barclays Bank PLC
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1,166,436
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Receives
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Excess Return on S&P GSCI 1 Month Forward Zinc Index
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Pays
|
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0.20
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3/12/13
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(6,782
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)
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Barclays Bank PLC
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353,141
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Receives
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|
Excess Return on S&P GSCI Platinum Index
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Pays
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0.21
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3/12/13
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(12,274
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)
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Barclays Bank PLC
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586,703
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|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Cocoa Index
|
|
Pays
|
|
|
0.25
|
|
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|
3/12/13
|
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|
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(39,463
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)
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Barclays Bank PLC
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|
585,512
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|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Coffee Index
|
|
Pays
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|
|
0.25
|
|
|
|
3/12/13
|
|
|
|
(868
|
)
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|
Barclays Bank PLC
|
|
1,377,500
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Corn Index
|
|
Pays
|
|
|
0.25
|
|
|
|
3/12/13
|
|
|
|
(41,741
|
)
|
|
Barclays Bank PLC
|
|
510,048
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Cotton Index
|
|
Pays
|
|
|
0.25
|
|
|
|
3/12/13
|
|
|
|
(5,488
|
)
|
|
Barclays Bank PLC
|
|
433,065
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Lean Hogs Index
|
|
Pays
|
|
|
0.25
|
|
|
|
3/12/13
|
|
|
|
(7,477
|
)
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|
Barclays Bank PLC
|
|
1,070,946
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Live Cattle Index
|
|
Pays
|
|
|
0.25
|
|
|
|
3/12/13
|
|
|
|
(5,959
|
)
|
|
Barclays Bank PLC
|
|
1,253,327
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Soybeans Index
|
|
Pays
|
|
|
0.25
|
|
|
|
3/12/13
|
|
|
|
(43,884
|
)
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|
Barclays Bank PLC
|
|
1,131,819
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Sugar Index
|
|
Pays
|
|
|
0.25
|
|
|
|
3/12/13
|
|
|
|
6,899
|
|
|
Barclays Bank PLC
|
|
1,376,943
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Wheat Index
|
|
Pays
|
|
|
0.25
|
|
|
|
3/12/13
|
|
|
|
(56,568
|
)
|
|
Barclays Bank PLC
|
|
1,790,329
|
|
Receives
|
|
Excess Return on S&P GSCI Enhanced Natural Gas Official Close Index
|
|
Pays
|
|
|
0.30
|
|
|
|
3/12/13
|
|
|
|
(17,278
|
)
|
Eaton Vance
Parametric Structured Commodity Strategy Fund
December 31, 2012
Notes to Consolidated Financial Statements — continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return Swaps (continued)
|
|
|
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
|
|
$1,059,678
|
|
Receives
|
|
Excess Return on Dow Jones-UBS 3 Month Forward Soybean Oil Index
|
|
Pays
|
|
|
0.35
|
%
|
|
|
3/12/13
|
|
|
$
|
3,250
|
|
|
Merrill Lynch International
|
|
1,835,787
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Aluminum Index
|
|
Pays
|
|
|
0.23
|
|
|
|
1/16/13
|
|
|
|
(12,031
|
)
|
|
Merrill Lynch International
|
|
561,399
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Brent Crude Index
|
|
Pays
|
|
|
0.23
|
|
|
|
1/16/13
|
|
|
|
1,504
|
|
|
Merrill Lynch International
|
|
1,576,676
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Copper Index
|
|
Pays
|
|
|
0.23
|
|
|
|
1/16/13
|
|
|
|
669
|
|
|
Merrill Lynch International
|
|
645,369
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Crude Oil Index
|
|
Pays
|
|
|
0.23
|
|
|
|
1/16/13
|
|
|
|
12,861
|
|
|
Merrill Lynch International
|
|
1,839,408
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward GasOil Index
|
|
Pays
|
|
|
0.23
|
|
|
|
1/16/13
|
|
|
|
(20,810
|
)
|
|
Merrill Lynch International
|
|
1,558,012
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Gold Index
|
|
Pays
|
|
|
0.23
|
|
|
|
1/16/13
|
|
|
|
7,526
|
|
|
Merrill Lynch International
|
|
688,679
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Lead Index
|
|
Pays
|
|
|
0.23
|
|
|
|
1/16/13
|
|
|
|
(3,076
|
)
|
|
Merrill Lynch International
|
|
858,554
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Nickel Index
|
|
Pays
|
|
|
0.23
|
|
|
|
1/16/13
|
|
|
|
(33,589
|
)
|
|
Merrill Lynch International
|
|
722,958
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Silver Index
|
|
Pays
|
|
|
0.23
|
|
|
|
1/16/13
|
|
|
|
(20,713
|
)
|
|
Merrill Lynch International
|
|
1,479,865
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Unleaded Gasoline Index
|
|
Pays
|
|
|
0.23
|
|
|
|
1/16/13
|
|
|
|
11,975
|
|
|
Merrill Lynch International
|
|
667,405
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Zinc Index
|
|
Pays
|
|
|
0.23
|
|
|
|
1/16/13
|
|
|
|
(3,407
|
)
|
|
Merrill Lynch International
|
|
440,837
|
|
Receives
|
|
Excess Return on S&P GSCI Platinum Index
|
|
Pays
|
|
|
0.23
|
|
|
|
1/16/13
|
|
|
|
(15,081
|
)
|
|
Merrill Lynch International
|
|
376,243
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Cocoa Index
|
|
Pays
|
|
|
0.28
|
|
|
|
1/16/13
|
|
|
|
(19,503
|
)
|
|
Merrill Lynch International
|
|
455,892
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Coffee Index
|
|
Pays
|
|
|
0.28
|
|
|
|
1/16/13
|
|
|
|
(3,504
|
)
|
|
Merrill Lynch International
|
|
866,727
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Corn Index
|
|
Pays
|
|
|
0.28
|
|
|
|
1/16/13
|
|
|
|
(5,941
|
)
|
|
Merrill Lynch International
|
|
375,917
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Cotton Index
|
|
Pays
|
|
|
0.28
|
|
|
|
1/16/13
|
|
|
|
(3,752
|
)
|
|
Merrill Lynch International
|
|
475,983
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Lean Hogs Index
|
|
Pays
|
|
|
0.28
|
|
|
|
1/16/13
|
|
|
|
(14,230
|
)
|
|
Merrill Lynch International
|
|
893,491
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Live Cattle Index
|
|
Pays
|
|
|
0.28
|
|
|
|
1/16/13
|
|
|
|
(10,288
|
)
|
|
Merrill Lynch International
|
|
961,222
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Soybeans Index
|
|
Pays
|
|
|
0.28
|
|
|
|
1/16/13
|
|
|
|
(14,536
|
)
|
|
Merrill Lynch International
|
|
970,520
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Sugar Index
|
|
Pays
|
|
|
0.28
|
|
|
|
1/16/13
|
|
|
|
14,037
|
|
|
Merrill Lynch International
|
|
827,144
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Wheat Index
|
|
Pays
|
|
|
0.28
|
|
|
|
1/16/13
|
|
|
|
(28,568
|
)
|
|
Merrill Lynch International
|
|
945,186
|
|
Receives
|
|
Excess Return on Dow Jones-UBS 3 Month Forward Soybean Oil Index
|
|
Pays
|
|
|
0.33
|
|
|
|
1/16/13
|
|
|
|
18,326
|
|
|
Merrill Lynch International
|
|
1,855,887
|
|
Receives
|
|
Excess Return on S&P GSCI Enhanced Natural Gas Official Close Index
|
|
Pays
|
|
|
0.38
|
|
|
|
1/16/13
|
|
|
|
10,817
|
|
Eaton Vance
Parametric Structured Commodity Strategy Fund
December 31, 2012
Notes to Consolidated Financial Statements — continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return Swaps (continued)
|
|
|
Counterparty
|
|
Notional
Amount
|
|
Fund
Pays/Receives
Return on
Reference
Index
|
|
Reference Index
|
|
Fund
Pays/
Receives
Rate
|
|
Rate
|
|
|
Expiration
Date
|
|
|
Net Unrealized
Appreciation
(Depreciation)
|
|
|
Merrill Lynch International
|
|
$2,560,615
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Aluminum Index
|
|
Pays
|
|
|
0.23
|
%
|
|
|
2/14/13
|
|
|
$
|
(69,156
|
)
|
|
Merrill Lynch International
|
|
491,758
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Brent Crude Index
|
|
Pays
|
|
|
0.23
|
|
|
|
2/14/13
|
|
|
|
19,345
|
|
|
Merrill Lynch International
|
|
2,324,091
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Copper Index
|
|
Pays
|
|
|
0.23
|
|
|
|
2/14/13
|
|
|
|
(42,356
|
)
|
|
Merrill Lynch International
|
|
498,160
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Crude Oil Index
|
|
Pays
|
|
|
0.23
|
|
|
|
2/14/13
|
|
|
|
29,994
|
|
|
Merrill Lynch International
|
|
2,042,463
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward GasOil Index
|
|
Pays
|
|
|
0.23
|
|
|
|
2/14/13
|
|
|
|
11,983
|
|
|
Merrill Lynch International
|
|
2,502,480
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Gold Index
|
|
Pays
|
|
|
0.23
|
|
|
|
2/14/13
|
|
|
|
(31,079
|
)
|
|
Merrill Lynch International
|
|
1,390,741
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Lead Index
|
|
Pays
|
|
|
0.23
|
|
|
|
2/14/13
|
|
|
|
12,500
|
|
|
Merrill Lynch International
|
|
1,311,142
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Nickel Index
|
|
Pays
|
|
|
0.23
|
|
|
|
2/14/13
|
|
|
|
(48,141
|
)
|
|
Merrill Lynch International
|
|
1,425,371
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Silver Index
|
|
Pays
|
|
|
0.23
|
|
|
|
2/14/13
|
|
|
|
(93,914
|
)
|
|
Merrill Lynch International
|
|
1,882,306
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Unleaded Gasoline Index
|
|
Pays
|
|
|
0.23
|
|
|
|
2/14/13
|
|
|
|
98,105
|
|
|
Merrill Lynch International
|
|
1,232,507
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Zinc Index
|
|
Pays
|
|
|
0.23
|
|
|
|
2/14/13
|
|
|
|
1,043
|
|
|
Merrill Lynch International
|
|
743,485
|
|
Receives
|
|
Excess Return on S&P GSCI Platinum Index
|
|
Pays
|
|
|
0.23
|
|
|
|
2/14/13
|
|
|
|
(34,213
|
)
|
|
Merrill Lynch International
|
|
565,958
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Cocoa Index
|
|
Pays
|
|
|
0.28
|
|
|
|
2/14/13
|
|
|
|
(43,544
|
)
|
|
Merrill Lynch International
|
|
503,100
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Coffee Index
|
|
Pays
|
|
|
0.28
|
|
|
|
2/14/13
|
|
|
|
629
|
|
|
Merrill Lynch International
|
|
769,045
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Corn Index
|
|
Pays
|
|
|
0.28
|
|
|
|
2/14/13
|
|
|
|
(23,600
|
)
|
|
Merrill Lynch International
|
|
652,050
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Cotton Index
|
|
Pays
|
|
|
0.28
|
|
|
|
2/14/13
|
|
|
|
4,978
|
|
|
Merrill Lynch International
|
|
634,917
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Lean Hogs Index
|
|
Pays
|
|
|
0.28
|
|
|
|
2/14/13
|
|
|
|
(13,574
|
)
|
|
Merrill Lynch International
|
|
1,105,749
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Live Cattle Index
|
|
Pays
|
|
|
0.28
|
|
|
|
2/14/13
|
|
|
|
8,010
|
|
|
Merrill Lynch International
|
|
788,272
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Soybeans Index
|
|
Pays
|
|
|
0.28
|
|
|
|
2/14/13
|
|
|
|
(33,838
|
)
|
|
Merrill Lynch International
|
|
960,947
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Sugar Index
|
|
Pays
|
|
|
0.28
|
|
|
|
2/14/13
|
|
|
|
50,138
|
|
|
Merrill Lynch International
|
|
844,075
|
|
Receives
|
|
Excess Return on S&P GSCI 1 Month Forward Wheat Index
|
|
Pays
|
|
|
0.28
|
|
|
|
2/14/13
|
|
|
|
(31,964
|
)
|
|
Merrill Lynch International
|
|
1,019,466
|
|
Receives
|
|
Excess Return on Dow Jones-UBS 3 Month Forward Soybean Oil Index
|
|
Pays
|
|
|
0.33
|
|
|
|
2/14/13
|
|
|
|
4,728
|
|
|
Merrill Lynch International
|
|
2,497,579
|
|
Receives
|
|
Excess Return on S&P GSCI Enhanced Natural Gas Official Close Index
|
|
Pays
|
|
|
0.38
|
|
|
|
2/14/13
|
|
|
|
14,404
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(597,377
|
)
|
Eaton Vance
Parametric Structured Commodity Strategy Fund
December 31, 2012
Notes to Consolidated Financial Statements — continued
At December 31, 2012, the Fund had sufficient cash and/or securities to cover commitments under these contracts.
The Fund is subject to commodity risk in the normal course of pursuing its investment objective. 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 commodities-linked derivative investments, including total return
swaps based on a commodity index, and commodity exchange-traded notes that provide exposure to the investment returns of the commodities market, without investing directly in physical commodities.
The Fund enters into swap 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 may trigger a payment by the Fund for those derivatives in a liability position. At December 31, 2012, the fair value of derivatives
with credit-related contingent features in a net liability position was $1,047,381. The aggregate fair value of assets pledged as collateral by the Fund for such liability was $6,827,456 at December 31, 2012.
The non-exchange traded derivatives in which the Fund invests, including swap contracts, are subject to the risk that the counterparty to the contract fails to
perform its obligations under the contract. At December 31, 2012, the maximum amount of loss the Fund would incur due to counterparty risk was $450,004, with the highest amount from any one counterparty being $333,572. To mitigate this risk,
the Fund (and Subsidiary) has entered into master netting agreements with substantially all its derivative counterparties, which allows it and a counterparty to aggregate amounts owed by each of them for derivative transactions under the agreement
into a single net amount payable by either the Fund (and Subsidiary) or the counterparty. At December 31, 2012, the maximum amount of loss the Fund would incur due to counterparty risk would be reduced by approximately $450,000 due to master
netting agreements. Counterparties may be required to pledge collateral in the form of cash, U.S. Government securities or highly-rated bonds for the benefit of the Fund if the net amount due from the counterparty with respect to a derivative
contract exceeds a certain threshold. The amount of collateral posted by the counterparties with respect to such contracts would also reduce the amount of any loss incurred. Because the Subsidiary is not registered under the 1940 Act, it may
not be able to negotiate terms with its counterparties that are equivalent to those a registered fund may negotiate. As a result, the Subsidiary may have greater exposure to those counterparties than a registered fund.
The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk
exposure is commodity risk at December 31, 2012 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value
|
|
|
|
|
Asset Derivative
|
|
|
Liability Derivative
|
|
|
Swap Contracts
|
|
$
|
450,004
|
(1)
|
|
$
|
(1,047,381
|
)
(2)
|
|
(1)
|
Consolidated Statement of Assets and Liabilities location: Receivable for open swap contracts; Net unrealized depreciation.
|
|
(2)
|
Consolidated Statement of Assets and Liabilities location: Payable for open swap contracts; Net unrealized depreciation.
|
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Consolidated Statement of Operations and
whose primary underlying risk exposure is commodity risk for the year ended December 31, 2012 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized Gain (Loss)
on Derivatives Recognized
in Income
|
|
|
Change in Unrealized
Appreciation (Depreciation) on
Derivatives Recognized in
Income
|
|
|
Swap Contracts
|
|
$
|
1,859,572
|
(1)
|
|
$
|
(783,056
|
)
(2)
|
|
(1)
|
Consolidated Statement of Operations location: Net realized gain (loss) – Swap contracts.
|
|
(2)
|
Consolidated Statement of Operations location: Change in unrealized appreciation (depreciation) – Swap contracts.
|
The average notional amount of swap contracts outstanding during the year ended December 31, 2012, which is indicative of the volume of this derivative type,
was approximately $58,228,000.
10 Line of Credit
The Fund participates with other portfolios and funds managed by EVM and its affiliates in a $600 million unsecured line of credit agreement with a group of banks. Borrowings are made by the Fund solely to
facilitate the handling of unusual and/or unanticipated short-term cash requirements. Interest is charged to the Fund based on its borrowings at an amount above either the Eurodollar rate or Federal Funds rate. In addition, a fee computed at an
annual rate of 0.08% on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. Because the line of credit is not available exclusively to the Fund, it may be unable to
borrow some or all of its requested amounts at any particular time. The Fund did not have any significant borrowings or allocated fees during the year ended December 31, 2012.
Eaton Vance
Parametric Structured Commodity Strategy Fund
December 31, 2012
Notes to Consolidated Financial Statements — continued
11 Risks Associated with Commodities
The commodities which underlie commodity-linked
derivatives in which the Fund invests may be subject to additional economic and non-economic variables, such as drought, floods, weather, livestock disease, embargoes, tariffs, and international economic, political and regulatory developments. These
factors may have a larger impact on commodity prices and commodity-linked instruments than on traditional securities. Certain commodities are also subject to limited pricing flexibility because of supply and demand factors. Others are subject to
broad price fluctuations as a result of the volatility of the prices for certain raw materials and the instability of supplies of other materials. These additional variables may create additional investment risks which subject the Fund’s
investments to greater volatility than investments in traditional securities.
12 Fair Value Measurements
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in
valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
|
Ÿ
|
|
Level 1 – quoted prices in active markets for identical investments
|
|
Ÿ
|
|
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk,
etc.)
|
|
Ÿ
|
|
Level 3 – significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)
|
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is
determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those
securities.
At December 31, 2012, the hierarchy of inputs used in valuing the Fund’s investments and open derivative instruments, which are
carried at value, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Description
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
|
|
|
|
|
|
|
Exchange-Traded Notes
|
|
$
|
2,074,447
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2,074,447
|
|
|
Short-Term Investments —
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations
|
|
|
—
|
|
|
|
62,962,499
|
|
|
|
—
|
|
|
|
62,962,499
|
|
|
Other
|
|
|
—
|
|
|
|
16,471,334
|
|
|
|
—
|
|
|
|
16,471,334
|
|
|
|
|
|
|
|
|
Total Investments
|
|
$
|
2,074,447
|
|
|
$
|
79,433,833
|
|
|
$
|
—
|
|
|
$
|
81,508,280
|
|
|
Swap Contracts
|
|
$
|
—
|
|
|
$
|
450,004
|
|
|
$
|
—
|
|
|
$
|
450,004
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
2,074,447
|
|
|
$
|
79,883,837
|
|
|
$
|
—
|
|
|
$
|
81,958,284
|
|
|
|
|
|
|
|
|
Liability Description
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap Contracts
|
|
$
|
—
|
|
|
$
|
(1,047,381
|
)
|
|
$
|
—
|
|
|
$
|
(1,047,381
|
)
|
|
|
|
|
|
|
|
Total
|
|
$
|
—
|
|
|
$
|
(1,047,381
|
)
|
|
$
|
—
|
|
|
$
|
(1,047,381
|
)
|
The Fund held no investments or other financial instruments as of December 31, 2011 whose fair value was determined using Level
3 inputs. At December 31, 2012, there were no investments transferred between Level 1 and Level 2 during the year then ended.
Eaton Vance
Parametric Structured Commodity Strategy Fund
December 31, 2012
Report of Independent Registered Public Accounting Firm
To the Trustees of Eaton Vance Mutual Funds Trust and Shareholders of Eaton Vance Parametric Structured Commodity Strategy Fund:
We have audited the accompanying consolidated statement of assets and liabilities of Eaton Vance Parametric Structured Commodity Strategy Fund and subsidiary (the “Fund”) (one of the funds constituting
Eaton Vance Mutual Funds Trust), including the consolidated portfolio of investments, as of December 31, 2012, and the related consolidated statement of operations for the year then ended, and the consolidated statements of changes in net
assets and the consolidated financial highlights for the year then ended and for the period from the start of business, May 25, 2011, to December 31, 2011. These consolidated financial statements and consolidated financial highlights are
the responsibility of the Fund’s management. Our responsibility is to express an opinion on these consolidated financial statements and consolidated financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control
over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2012, by
correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, such consolidated financial statements and consolidated financial highlights referred to above present fairly, in all material respects, the
financial position of Eaton Vance Parametric Structured Commodity Strategy Fund and subsidiary as of December 31, 2012, the results of their operations for the year then ended, and the changes in their net assets and the financial highlights
for the year then ended and for the period from the start of business, May 25, 2011, to December 31, 2011, in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 25, 2013
Eaton Vance
Parametric Structured Commodity Strategy Fund
December 31, 2012
Federal Tax Information (Unaudited)
The Form 1099-DIV you received in January 2013 showed the tax status of all distributions paid to your account in calendar year 2012. Shareholders are advised to consult their own tax adviser with respect to the
tax consequences of their investment in the Fund.
Eaton Vance
Parametric Structured Commodity Strategy Fund
December 31, 2012
Management and Organization
Fund Management.
The Trustees of Eaton Vance Mutual Funds Trust (the Trust) are responsible for the overall management and supervision of the Trust’s affairs. The Trustees and officers of the
Trust are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Trustees and officers of the Trust hold indefinite terms of office. The “Noninterested
Trustees” consist of those Trustees who are not “interested persons” of the Trust, as that term is defined under the 1940 Act. The business address of each Trustee and officer is Two International Place, Boston, Massachusetts 02110.
As used below, “EVC” refers to Eaton Vance Corp., “EV” refers to Eaton Vance, Inc., “EVM” refers to Eaton Vance Management, “BMR” refers to Boston Management and Research and “EVD” refers to Eaton
Vance Distributors, Inc. EVC and EV are the corporate parent and trustee, respectively, of EVM and BMR. EVD is the Fund’s principal underwriter and a wholly-owned subsidiary of EVC. Each officer affiliated with Eaton Vance may hold a position
with other Eaton Vance affiliates that is comparable to his or her position with EVM listed below. Each Trustee oversees 188 portfolios in the Eaton Vance Complex (including all master and feeder funds in a master feeder structure). Each officer
serves as an officer of certain other Eaton Vance funds. Each Trustee and officer serves until his or her successor is elected.
|
|
|
|
|
|
|
|
|
Name and Year of Birth
|
|
Position(s)
with the
Trust
|
|
Length of
Service
|
|
Principal Occupation(s) and Directorships
During Past Five Years and Other Relevant Experience
|
|
Interested Trustee
|
|
|
|
|
|
|
|
|
|
|
|
|
Thomas E. Faust Jr.
1958
|
|
Trustee
|
|
Since 2007
|
|
Chairman, Chief Executive Officer and President of EVC, Director and President of EV, Chief Executive Officer and President of EVM and BMR, and
Director of EVD. Trustee and/or officer of 188 registered investment companies. Mr. Faust is an interested person because of his positions with EVM, BMR, EVD, EVC and EV, which are affiliates of the Trust.
Directorships in the Last Five Years.
(1)
Director of EVC and Hexavest
Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Noninterested Trustees
|
|
|
|
|
|
|
Scott E. Eston
1956
|
|
Trustee
|
|
Since 2011
|
|
Private investor. Formerly held various positions at Grantham, Mayo, Van Otterloo and Co., L.L.C. (investment management firm) (1997-2009),
including Chief Operating Officer (2002-2009), Chief Financial Officer (1997-2009) and Chairman of the Executive Committee (2002-2008); President and Principal Executive Officer, GMO Trust (open-end registered investment company) (2006-2009). Former
Partner, Coopers and Lybrand L.L.P. (now PricewaterhouseCoopers) (public accounting firm) (1987-1997).
Directorships in the Last Five Years.
None.
|
|
|
|
|
|
|
Benjamin C. Esty
1963
|
|
Trustee
|
|
Since 2005
|
|
Roy and Elizabeth Simmons Professor of Business Administration and Finance Unit Head, Harvard University Graduate School of Business
Administration.
Directorships in the Last Five Years.
(1)
None.
|
|
|
|
|
|
|
Allen R. Freedman
1940
|
|
Trustee
|
|
Since 2007
|
|
Private Investor. Former Chairman (2002-2004) and a Director (1983-2004) of Systems & Computer Technology Corp. (provider of software to
higher education). Formerly, a Director of Loring Ward International (fund distributor) (2005-2007). Former Chairman and a Director of Indus International, Inc. (provider of enterprise management software to the power generating industry)
(2005-2007). Former Chief Executive Officer of Assurant, Inc. (insurance provider) (1979-2000).
Directorships in the Last Five Years.
(1)
Director of Stonemor Partners, L.P. (owner and operator of cemeteries). Formerly,
Director of Assurant, Inc. (insurance provider) (1979-2011).
|
|
|
|
|
|
|
William H. Park
1947
|
|
Trustee
|
|
Since 2003
|
|
Consultant and private investor. Formerly, Chief Financial Officer, Aveon Group L.P. (investment management firm) (2010-2011). Formerly, Vice
Chairman, Commercial Industrial Finance Corp. (specialty finance company) (2006-2010). Formerly, President and Chief Executive Officer, Prizm Capital Management, LLC (investment management firm) (2002-2005). Formerly, Executive Vice President and
Chief Financial Officer, United Asset Management Corporation (investment management firm) (1982-2001). Formerly, Senior Manager, Price Waterhouse (now PricewaterhouseCoopers) (an independent registered public accounting firm) (1972-1981).
Directorships in the Last Five Years.
(1)
None.
|
|
|
|
|
|
|
Ronald A. Pearlman
1940
|
|
Trustee
|
|
Since 2003
|
|
Professor of Law, Georgetown University Law Center. Formerly, Deputy Assistant Secretary (Tax Policy) and Assistant Secretary (Tax Policy), U.S.
Department of the Treasury (1983-1985). Formerly, Chief of Staff, Joint Committee on Taxation, U.S. Congress (1988-1990).
Directorships in the
Last Five Years.
(1)
None.
|
Eaton Vance
Parametric Structured Commodity Strategy Fund
December 31, 2012
Management and Organization — continued
|
|
|
|
|
|
|
|
|
Name and Year of Birth
|
|
Position(s)
with the
Trust
|
|
Length of
Service
|
|
Principal Occupation(s) and Directorships
During Past Five Years and Other Relevant Experience
|
|
Noninterested Trustees (continued)
|
|
|
|
|
|
|
Helen Frame Peters
1948
|
|
Trustee
|
|
Since 2008
|
|
Professor of Finance, Carroll School of Management, Boston College. Formerly, Dean, Carroll School of Management, Boston College (2000-2002).
Formerly, Chief Investment Officer, Fixed Income, Scudder Kemper Investments (investment management firm) (1998-1999). Formerly, Chief Investment Officer, Equity and Fixed Income, Colonial Management Associates (investment management firm)
(1991-1998).
Directorships in the Last Five Years.
(1)
Formerly,
Director of BJ’s Wholesale Club, Inc. (wholesale club retailer) (2004-2011). Formerly, Trustee of SPDR Index Shares Funds and SPDR Series Trust (exchange traded funds) (2000-2009). Formerly, Director of Federal Home Loan Bank of Boston (a bank
for banks) (2007-2009).
|
|
|
|
|
|
|
Lynn A. Stout
1957
|
|
Trustee
|
|
Since 1998
|
|
Distinguished Professor of Corporate and Business Law, Jack G. Clarke Business Law Institute, Cornell University Law School. Formerly, the Paul
Hastings Professor of Corporate and Securities Law (2006-2012) and Professor of Law (2001-2006), University of California at Los Angeles School of Law.
Directorships in the Last Five Years.
(1)
None.
|
|
|
|
|
|
|
Harriett Tee Taggart
1948
|
|
Trustee
|
|
Since 2011
|
|
Managing Director, Taggart Associates (a professional practice firm). Formerly, Partner and Senior Vice President, Wellington Management Company,
LLP (investment management firm) (1983-2006).
Directorships in the Last Five Years.
Director of Albemarle Corporation (chemicals
manufacturer) (since 2007) and The Hanover Group (specialty property and casualty insurance company) (since 2009). Formerly, Director of Lubrizol Corporation (specialty chemicals) (2007-2011).
|
|
|
|
|
|
|
Ralph F. Verni
1943
|
|
Chairman of the Board and
Trustee
|
|
Chairman of the Board since 2007 and Trustee since 2005
|
|
Consultant and private investor. Formerly, Chief Investment Officer (1982-1992), Chief Financial Officer (1988-1990) and Director (1982-1992), New
England Life. Formerly, Chairperson, New England Mutual Funds (1982-1992). Formerly, President and Chief Executive Officer, State Street Management & Research (1992-2000). Formerly, Chairperson, State Street Research Mutual Funds (1992-2000).
Formerly, Director, W.P. Carey, LLC (1998-2004) and First Pioneer Farm Credit Corp. (2002-2006).
Directorships in the Last Five Years.
(1)
None.
|
|
Principal Officers who are not Trustees
|
|
|
|
Name and Year of Birth
|
|
Position(s)
with the
Trust
|
|
Length of
Service
|
|
Principal Occupation(s)
During Past Five Years
|
|
Duncan W. Richardson
1957
|
|
President
|
|
Since 2011
|
|
Director of EVC and Executive Vice President and Chief Equity Investment Officer of EVC, EVM and BMR.
|
|
|
|
|
|
|
Payson F. Swaffield
1956
|
|
Vice President
|
|
Since 2011
|
|
Vice President and Chief Income Investment Officer of EVM and BMR.
|
|
|
|
|
|
|
Barbara E. Campbell
1957
|
|
Treasurer
|
|
Since 2005
|
|
Vice President of EVM and BMR.
|
|
|
|
|
|
|
Maureen A. Gemma
1960
|
|
Vice President, Secretary and Chief Legal Officer
|
|
Vice President since 2011; Secretary since 2007 and Chief Legal Officer since 2008
|
|
Vice President of EVM and BMR.
|
|
|
|
|
|
|
Paul M. O’Neil
1953
|
|
Chief Compliance Officer
|
|
Since 2004
|
|
Vice President of EVM and BMR.
|
|
(1)
|
During their respective tenures, the Trustees (except Mr. Eston and
Ms. Taggart) also served as trustees of one or more of the following Eaton Vance funds (which operated in the years noted): Eaton Vance Credit Opportunities Fund (launched in 2005 and terminated in 2010); Eaton Vance Insured Florida Plus
Municipal Bond Fund (launched in 2002 and terminated in 2009); and Eaton Vance National Municipal Income Trust (launched in 1998 and terminated in 2009).
|
The SAI for the Fund includes additional information about the Trustees and officers of the Fund and can be obtained without charge on Eaton Vance’s website at www.eatonvance.com or by calling 1-800-262-1122.
Eaton Vance Funds
IMPORTANT NOTICES
Privacy.
The Eaton Vance organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the
following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
|
Ÿ
|
|
Only such information received from you, through application forms or otherwise, and information about your Eaton Vance fund transactions will be collected. This
may include information such as name, address, social security number, tax status, account balances and transactions.
|
|
Ÿ
|
|
None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees
necessary to service your account). In the normal course of servicing a customer’s account, Eaton Vance may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and
broker-dealers.
|
|
Ÿ
|
|
Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such
information.
|
|
Ÿ
|
|
We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Privacy Policy periodically for
changes by accessing the link on our homepage: www.eatonvance.com.
|
Our pledge of privacy applies to the following entities within the
Eaton Vance organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton Vance Investment Counsel, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management’s Real Estate Investment Group and Boston
Management and Research. In addition, our Privacy Policy applies only to those Eaton Vance customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a
third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Eaton Vance’s Privacy
Policy, please call 1-800-262-1122.
Delivery of Shareholder Documents.
The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements
and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders.
Eaton Vance,
or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Eaton Vance, or your financial advisor, otherwise.
If you would prefer that your Eaton Vance documents not be householded, please contact
Eaton Vance at 1-800-262-1122, or contact your financial advisor. Your instructions that householding not apply to delivery of your Eaton Vance documents will be effective within 30 days of receipt by Eaton Vance or your financial advisor.
Portfolio Holdings.
Each Eaton Vance Fund and its underlying Portfolio(s) (if applicable) will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The
Form N-Q will be available on the Eaton Vance website at www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the
SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting.
From time to time, funds are required to vote proxies related to the
securities held by the funds. The Eaton Vance Funds or their underlying Portfolios (if applicable) vote proxies according to a set of policies and procedures approved by the Funds’ and Portfolios’ Boards. You may obtain a description of
these policies and procedures and information on how the Funds or Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge, upon request, by calling 1-800-262-1122 and by
accessing the SEC’s website at www.sec.gov.
This Page Intentionally Left Blank
This Page Intentionally Left Blank
Investment Adviser and Administrator
Eaton Vance Management
Two International Place
Boston, MA 02110
Sub-Adviser
Parametric Portfolio Associates LLC
1918 Eighth Avenue, Suite 3100
Seattle, WA 98101
Principal Underwriter*
Eaton Vance
Distributors, Inc.
Two International Place
Boston, MA 02110
(617) 482-8260
Custodian
State Street Bank and
Trust Company
200 Clarendon Street
Boston, MA 02116
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
Attn: Eaton Vance Funds
P.O. Box 9653
Providence, RI
02940-9653
(800) 262-1122
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
200 Berkeley Street
Boston, MA
02116-5022
Fund Offices
Two International Place
Boston, MA
02110
|
*
|
FINRA BrokerCheck.
Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA
BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck
brochure describing this program is available to investors at www.FINRA.org.
|
