SEC Form N-CSRS filed by Eaton Vance Short Diversified Income Fund Eaton Vance Short Du
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-21563
Eaton Vance Short Duration Diversified Income Fund
(Exact Name of Registrant as Specified in Charter)
One Post Office Square, Boston, Massachusetts 02109
(Address of Principal Executive Offices)
Deidre E. Walsh
One Post Office Square, Boston, Massachusetts 02109
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number)
October 31
Date of Fiscal Year End
April 30, 2024
Date of Reporting Period
Item 1. Reports to Stockholders
% Average Annual Total Returns1,2 | Inception Date | Six Months | One Year | Five Years | Ten Years |
Fund at NAV | 02/28/2005 | 9.97% | 13.02% | 2.77% | 3.84% |
Fund at Market Price | — | 9.22 | 14.86 | 4.32 | 4.20 |
| |||||
Bloomberg U.S. Aggregate Bond Index | — | 4.97% | (1.47)% | (0.16)% | 1.20% |
Blended Index | — | 6.12 | 7.40 | 2.03 | — |
% Premium/Discount to NAV3 | |
As of period end | (5.88)% |
Distributions 4 | |
Total Distributions per share for the period | $0.466 |
Distribution Rate at NAV | 8.60% |
Distribution Rate at Market Price | 9.14 |
% Total Leverage5 | |
Borrowings | 15.93% |
Derivatives | 21.76 |
Asset Allocation (% of total investments)1 |
1 | Including the Fund’s use of leverage, Asset Allocation as a percentage of the Fund’s net assets amounted to 126.9%. |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
Currency Purchased | Currency Sold | Settlement
Date |
Value/Unrealized
Appreciation (Depreciation) | ||
EUR | 78,028 | USD | 85,280 | 6/20/24 | $ (1,842) |
USD | 1,007,887 | EUR | 922,183 | 6/20/24 | 21,773 |
USD | 841,312 | EUR | 769,773 | 6/20/24 | 18,175 |
USD | 784,708 | EUR | 717,982 | 6/20/24 | 16,952 |
USD | 743,055 | EUR | 679,870 | 6/20/24 | 16,052 |
USD | 685,533 | EUR | 627,241 | 6/20/24 | 14,809 |
USD | 197,486 | EUR | 180,693 | 6/20/24 | 4,266 |
USD | 156,568 | EUR | 143,254 | 6/20/24 | 3,382 |
USD | 188,637 | EUR | 173,824 | 6/20/24 | 2,763 |
USD | 2,634 | EUR | 2,410 | 6/20/24 | 57 |
$96,387 |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement
Date |
Unrealized
Appreciation |
Unrealized
(Depreciation) | ||
USD | 1,473,483 | EUR | 1,362,717 | Standard Chartered Bank | 5/3/24 | $ 19,191 | $ — |
EUR | 100,000 | USD | 106,316 | UBS AG | 5/10/24 | 433 | — |
USD | 104,795 | EUR | 98,446 | Citibank, N.A. | 5/10/24 | — | (295) |
USD | 89,480 | EUR | 83,497 | UBS AG | 5/10/24 | 348 | — |
USD | 1,458,928 | EUR | 1,362,716 | Standard Chartered Bank | 6/4/24 | 2,776 | — |
$22,748 | $(295) |
Futures Contracts | |||||
Description | Number
of Contracts |
Position | Expiration
Date |
Notional
Amount |
Value/Unrealized
Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 5-Year Treasury Note | 91 | Long | 6/28/24 | $ 9,531,539 | $ (179,166) |
U.S. 10-Year Treasury Note | 23 | Long | 6/18/24 | 2,471,063 | (61,471) |
U.S. Ultra 10-Year Treasury Note | 10 | Long | 6/18/24 | 1,102,188 | (35,675) |
Euro-Bobl | (16) | Short | 6/6/24 | (1,988,067) | 26,467 |
Euro-Bund | (5) | Short | 6/6/24 | (694,107) | 15,208 |
Euro-Buxl | (4) | Short | 6/6/24 | (550,334) | 17,758 |
Euro-Schatz | (2) | Short | 6/6/24 | (224,347) | 1,206 |
U.S. 2-Year Treasury Note | (4) | Short | 6/28/24 | (810,625) | 7,780 |
U.S. 5-Year Treasury Note | (41) | Short | 6/28/24 | (4,294,430) | 79,311 |
U.S. 10-Year Treasury Note | (17) | Short | 6/18/24 | (1,826,438) | 39,268 |
U.S. Long Treasury Bond | (15) | Short | 6/18/24 | (1,707,188) | 72,890 |
U.S. Ultra-Long Treasury Bond | (20) | Short | 6/18/24 | (2,391,250) | 133,208 |
$ 116,784 |
Credit Default Swaps - Sell Protection (Centrally Cleared) | |||||||
Reference Entity | Notional
Amount* (000's omitted) |
Contract
Annual Fixed Rate** |
Current
Market Annual Fixed Rate*** |
Termination
Date |
Value | Unamortized
Upfront Receipts (Payments) |
Unrealized
Appreciation (Depreciation) |
Brazil | $ 2,518 | 1.00%
(pays quarterly)(1) |
1.47% | 6/20/29 | $ (49,969) | $ 38,237 | $ (11,732) |
Colombia | 5,000 | 1.00%
(pays quarterly)(1) |
1.88 | 6/20/29 | (194,652) | 160,907 | (33,745) |
Croatia | 5,000 | 1.00%
(pays quarterly)(1) |
0.84 | 6/20/29 | 41,735 | (43,073) | (1,338) |
Egypt | 180 | 1.00%
(pays quarterly)(1) |
6.31 | 12/20/28 | (33,582) | 50,772 | 17,190 |
Hungary | 2,200 | 1.00%
(pays quarterly)(1) |
1.25 | 6/20/29 | (22,711) | 34,282 | 11,571 |
Indonesia | 3,000 | 1.00%
(pays quarterly)(1) |
0.76 | 6/20/29 | 35,935 | (37,970) | (2,035) |
Mexico | 2,500 | 1.00%
(pays quarterly)(1) |
0.98 | 6/20/29 | 4,199 | (9,059) | (4,860) |
Panama | 251 | 1.00%
(pays quarterly)(1) |
1.80 | 6/20/29 | (9,652) | 9,562 | (90) |
Peru | 2,000 | 1.00%
(pays quarterly)(1) |
0.84 | 6/20/29 | 17,063 | (31,073) | (14,010) |
Romania | 4,000 | 1.00%
(pays quarterly)(1) |
1.52 | 6/20/29 | (88,525) | 114,601 | 26,076 |
Total | $26,649 | $ (300,159) | $287,186 | $ (12,973) |
Credit Default Swaps - Sell Protection (OTC) | ||||||||
Reference Entity | Counterparty | Notional
Amount* (000's omitted) |
Contract
Annual Fixed Rate** |
Current
Market Annual Fixed Rate*** |
Termination
Date |
Value | Unamortized
Upfront Receipts (Payments) |
Unrealized
Appreciation (Depreciation) |
Brazil | Citibank, N.A. | $ 1,050 | 1.00%
(pays quarterly)(1) |
2.06% | 12/20/31 | $ (66,405) | $ 116,231 | $ 49,826 |
Ivory Coast | Barclays Bank PLC | 1,000 | 1.00%
(pays quarterly)(1) |
1.86 | 6/20/25 | (8,355) | 16,987 | 8,632 |
Ivory Coast | Barclays Bank PLC | 588 | 1.00%
(pays quarterly)(1) |
3.03 | 6/20/27 | (32,543) | 47,844 | 15,301 |
Ivory Coast | Deutsche Bank AG | 1,369 | 1.00%
(pays quarterly)(1) |
2.99 | 6/20/27 | (74,269) | 111,550 | 37,281 |
Ivory Coast | Deutsche Bank AG | 1,525 | 1.00%
(pays quarterly)(1) |
2.99 | 6/20/27 | (82,748) | 124,138 | 41,390 |
Mexico | Citibank, N.A. | 688 | 1.00%
(pays quarterly)(1) |
1.42 | 12/20/31 | (17,012) | 23,485 | 6,473 |
Panama | Goldman Sachs International | 320 | 1.00%
(pays quarterly)(1) |
1.80 | 6/20/29 | (10,973) | 10,145 | (828) |
Total | $6,540 | $(292,305) | $450,380 | $158,075 |
* | If the Fund is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Fund could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At April 30, 2024, such maximum potential amount for all open credit default swaps in which the Fund is the seller was $33,189,000. |
** | The contract annual fixed rate represents the fixed rate of interest received by the Fund (as a seller of protection) on the notional amount of the credit default swap contract. |
*** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Abbreviations: | |
COF | – Cost of Funds 11th District |
DIP | – Debtor In Possession |
EURIBOR | – Euro Interbank Offered Rate |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
PCL | – Public Company Limited |
PIK | – Payment In Kind |
RFUCCT | – FTSE USD IBOR Consumer Cash Fallbacks Term |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
Currency Abbreviations: | |
EUR | – Euro |
USD | – United States Dollar |
April 30, 2024 | |
Assets | |
Unaffiliated investments, at value (identified cost $187,935,836) | $ 172,374,569 |
Affiliated investments, at value (identified cost $16,650,954) | 16,241,938 |
Deposits for derivatives collateral: | |
Futures contracts | 368,346 |
Centrally cleared derivatives | 4,627,396 |
Foreign currency, at value (identified cost $1,251,586) | 1,237,991 |
Interest receivable | 1,454,561 |
Interest and dividends receivable from affiliated investments | 42,342 |
Receivable for investments sold | 19,044,338 |
Receivable for variation margin on open futures contracts | 22,595 |
Receivable for variation margin on open centrally cleared derivatives | 8,493 |
Receivable for open forward foreign currency exchange contracts | 22,748 |
Receivable for open swap contracts | 158,903 |
Receivable for closed swap contracts | 15,848 |
Tax reclaims receivable | 375 |
Prepaid upfront fees on notes payable | 30,204 |
Trustees' deferred compensation plan | 84,014 |
Prepaid expenses | 5,298 |
Total assets | $215,739,959 |
Liabilities | |
Notes payable | $ 38,000,000 |
Payable for investments purchased | 1,780,310 |
Payable for forward commitment securities | 25,312,133 |
Payable for open forward foreign currency exchange contracts | 295 |
Payable for open swap contracts | 828 |
Upfront receipts on open non-centrally cleared swap contracts | 450,380 |
Due to custodian | 1,016,956 |
Payable to affiliates: | |
Investment adviser fee | 158,626 |
Trustees' fees | 1,003 |
Trustees' deferred compensation plan | 84,014 |
Accrued expenses | 358,242 |
Total liabilities | $ 67,162,787 |
Net Assets | $148,577,172 |
Sources of Net Assets | |
Common shares, $0.01 par value, unlimited number of shares authorized | $ 134,427 |
Additional paid-in capital | 192,943,893 |
Accumulated loss | (44,501,148) |
Net Assets | $148,577,172 |
Common Shares Issued and Outstanding | 13,442,697 |
Net Asset Value Per Common Share | |
Net assets ÷ common shares issued and outstanding | $ 11.05 |
Six Months Ended | |
April 30, 2024 | |
Investment Income | |
Dividend income | $ 4,520 |
Dividend income from affiliated investments | 188,726 |
Interest income | 7,306,035 |
Interest income from affiliated investments | 49,064 |
Other income | 73,162 |
Total investment income | $ 7,621,507 |
Expenses | |
Investment adviser fee | $ 849,616 |
Trustees’ fees and expenses | 6,103 |
Custodian fee | 73,060 |
Transfer and dividend disbursing agent fees | 5,985 |
Legal and accounting services | 75,888 |
Printing and postage | 67,112 |
Interest expense and fees | 1,162,838 |
Miscellaneous | 17,026 |
Total expenses | $ 2,257,628 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 5,435 |
Total expense reductions | $ 5,435 |
Net expenses | $ 2,252,193 |
Net investment income | $ 5,369,314 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (700,440) |
Futures contracts | (60,402) |
Swap contracts | 672,290 |
Foreign currency transactions | 64,215 |
Forward foreign currency exchange contracts | (80,155) |
Net realized loss | $ (104,492) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 8,642,860 |
Investments - affiliated investments | 39,099 |
Futures contracts | (219,525) |
Swap contracts | 38,591 |
Foreign currency | (42,236) |
Forward foreign currency exchange contracts | 80,141 |
Net change in unrealized appreciation (depreciation) | $ 8,538,930 |
Net realized and unrealized gain | $ 8,434,438 |
Net increase in net assets from operations | $13,803,752 |
Six
Months Ended April 30, 2024 (Unaudited) |
Year
Ended October 31, 2023 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 5,369,314 | $ 10,307,534 |
Net realized loss | (104,492) | (2,822,847) |
Net change in unrealized appreciation (depreciation) | 8,538,930 | 5,784,555 |
Net increase in net assets from operations | $ 13,803,752 | $ 13,269,242 |
Distributions to shareholders | $ (6,268,331)* | $ (11,686,317) |
Tax return of capital to shareholders | $ — | $ (1,463,018) |
Capital share transactions: | ||
Reinvestment of distributions | $ — | $ 38,345 |
Net increase in net assets from capital share transactions | $ — | $ 38,345 |
Net increase in net assets | $ 7,535,421 | $ 158,252 |
Net Assets | ||
At beginning of period | $ 141,041,751 | $ 140,883,499 |
At end of period | $148,577,172 | $141,041,751 |
* | A portion of the distributions may be deemed a tax return of capital at year-end. See Note 2. |
Six Months Ended | |
April 30, 2024 | |
Cash Flows From Operating Activities | |
Net increase in net assets from operations | $ 13,803,752 |
Adjustments to reconcile net increase in net assets from operations to net cash used in operating activities: | |
Investments purchased | (166,096,472) |
Investments sold and principal repayments | 162,260,259 |
Increase in short-term investments, net | (10,262,158) |
Net amortization/accretion of premium (discount) | (144,241) |
Amortization of prepaid upfront fees on notes payable | 20,050 |
Increase in interest receivable | (7,458) |
Increase in interest and dividends receivable from affiliated investments | (11,763) |
Increase in receivable for variation margin on open futures contracts | (22,595) |
Decrease in receivable for variation margin on open centrally cleared derivatives | 27,862 |
Increase in receivable for open swap contracts | (29,977) |
Increase in receivable for closed swap contracts | (15,848) |
Increase in tax reclaims receivable | (260) |
Increase in Trustees’ deferred compensation plan | (7,494) |
Increase in prepaid expenses | (1,277) |
Decrease in payable for variation margin on open futures contracts | (8,765) |
Decrease in payable for open swap contracts | (5,942) |
Increase in upfront receipts on open non-centrally cleared swap contracts | 104,296 |
Increase in payable to affiliate for investment adviser fee | 16,403 |
Increase in payable to affiliate for Trustees' fees | 68 |
Increase in payable to affiliate for Trustees' deferred compensation plan | 7,494 |
Decrease in accrued expenses | (351,601) |
Net change in unrealized (appreciation) depreciation from investments | (8,681,959) |
Net change in unrealized (appreciation) depreciation from forward foreign currency exchange contracts (OTC) | (20,088) |
Net realized loss from investments | 700,440 |
Net cash used in operating activities | $ (8,727,274) |
Cash Flows From Financing Activities | |
Cash distributions paid | $ (6,268,331) |
Proceeds from notes payable | 12,500,000 |
Payment of upfront fees on notes payable | (35,000) |
Increase in due to custodian | 1,016,956 |
Net cash provided by financing activities | $ 7,213,625 |
Net decrease in cash and restricted cash* | $ (1,513,649) |
Cash and restricted cash at beginning of period (including foreign currency) | $ 7,747,382 |
Cash and restricted cash at end of period (including foreign currency) | $ 6,233,733 |
Supplemental disclosure of cash flow information: | |
Cash paid for interest and fees on borrowings | $ 1,439,738 |
* | Includes net change in unrealized (appreciation) depreciation on foreign currency of $23,633. |
April 30, 2024 | |
Deposits for derivatives collateral: | |
Futures contracts | $ 368,346 |
Centrally cleared derivatives | 4,627,396 |
Foreign currency | 1,237,991 |
Total cash and restricted cash as shown on the Statement of Cash Flows | $6,233,733 |
Six
Months Ended April 30, 2024 (Unaudited) |
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | ||
Net asset value — Beginning of period | $ 10.490 | $ 10.480 | $ 13.310 | $ 13.230 | $ 14.520 | $ 14.750 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.399 | $ 0.767 | $ 0.559 | $ 0.708 | $ 0.486 | $ 0.731 |
Net realized and unrealized gain (loss) | 0.627 | 0.221 | (2.191) | 0.428 | (0.871) | (0.121) |
Total income (loss) from operations | $ 1.026 | $ 0.988 | $ (1.632) | $ 1.136 | $ (0.385) | $ 0.610 |
Less Distributions | ||||||
From net investment income | $ (0.466)* | $ (0.869) | $ (0.667) | $ (0.602) | $ (0.764) | $ (0.840) |
Tax return of capital | — | (0.109) | (0.531) | (0.490) | (0.141) | — |
Total distributions | $ (0.466) | $ (0.978) | $ (1.198) | $ (1.092) | $ (0.905) | $ (0.840) |
Discount on tender offer(1) | $ — | $ — | $ — | $ 0.036 | $ — | $ — |
Net asset value — End of period | $ 11.050 | $ 10.490 | $ 10.480 | $ 13.310 | $ 13.230 | $ 14.520 |
Market value — End of period | $ 10.400 | $ 9.950 | $ 10.640 | $ 13.530 | $ 11.850 | $ 13.210 |
Total Investment Return on Net Asset Value(2) | 9.97% (3) | 10.20% | (12.67)% | 9.29% | (1.80)% | 4.93% |
Total Investment Return on Market Value(2) | 9.22% (3) | 2.86% | (12.71)% | 23.94% | (3.32)% | 10.87% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $148,577 | $141,042 | $140,883 | $178,651 | $236,628 | $259,649 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses excluding interest and fees | 1.47% (4)(5) | 1.44% (5) | 1.47% (5) | 1.35% | 1.48% | 1.41% |
Interest and fee expense(6) | 1.58% (4) | 1.24% | 0.75% | 0.28% | 0.57% | 1.14% |
Total expenses | 3.05% (4)(5) | 2.68% (5) | 2.22% (5) | 1.63% | 2.05% | 2.55% |
Net investment income | 7.28% (4) | 7.14% | 4.70% | 5.16% | 3.59% | 4.97% |
Portfolio Turnover | 93% (3)(7) | 231% (7) | 182% (7) | 76% (7) | 47% | 46% |
Senior Securities: | ||||||
Total notes payable outstanding (in 000’s) | $ 38,000 | $ 25,500 | $ 32,000 | $ 43,000 | $ 55,000 | $ 85,000 |
Asset coverage per $1,000 of notes payable(8) | $ 4,910 | $ 6,531 | $ 5,403 | $ 5,155 | $ 5,302 | $ 4,055 |
(1) | Computed using average common shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value or market value with all distributions reinvested. Distributions are assumed to be reinvested at prices obtained under the Fund's dividend reinvestment plan. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.01%, less than 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2024 and the years ended October 31, 2023 and 2022, respectively). |
(6) | Interest and fee expense relates to borrowings for the purpose of financial leverage (see Note 8). |
(7) | Includes the effect of To Be Announced (TBA) transactions. |
(8) | Calculated by subtracting the Fund’s total liabilities (not including the notes payable) from the Fund’s total assets, and dividing the result by the notes payable balance in thousands. |
* | A portion of the distributions may be deemed a tax return of capital at year-end. See Note 2. |
Aggregate cost | $ 205,410,015 |
Gross unrealized appreciation | $ 4,328,835 |
Gross unrealized depreciation | (20,741,617) |
Net unrealized depreciation | $ (16,412,782) |
Purchases | Sales | |
Investments (non-U.S. Government) | $ 26,555,429 | $ 35,338,289 |
U.S. Government and Agency Securities | 142,206,649 | 145,056,817 |
$168,762,078 | $180,395,106 |
Description | Date(s)
of Acquisition |
Shares | Cost | Value |
Common Stocks | ||||
Endo, Inc. | 4/23/24 | 73 | $ 932 | $ 2,090 |
Total Restricted Securities | $932 | $2,090 |
Fair Value | ||||
Statement of Assets and Liabilities Caption | Credit | Foreign
Exchange |
Interest
Rate |
Total |
Accumulated loss | $ 98,932* | $ 98,229* | $ 393,096* | $ 590,257 |
Receivable for open forward foreign currency exchange contracts | — | 22,748 | — | 22,748 |
Total Asset Derivatives | $ 98,932 | $120,977 | $ 393,096 | $ 613,005 |
Derivatives not subject to master netting or similar agreements | $ 98,932 | $ 98,229 | $ 393,096 | $ 590,257 |
Total Asset Derivatives subject to master netting or similar agreements | $ — | $ 22,748 | $ — | $ 22,748 |
Accumulated loss | $ (399,091)* | $ (1,842)* | $ (276,312)* | $ (677,245) |
Payable for open forward foreign currency exchange contracts | — | (295) | — | (295) |
Payable/Receivable for open swap contracts; Upfront receipts on open non-centrally cleared swap contracts | (292,305) | — | — | (292,305) |
Total Liability Derivatives | $(691,396) | $ (2,137) | $(276,312) | $(969,845) |
Derivatives not subject to master netting or similar agreements | $(399,091) | $ (1,842) | $(276,312) | $(677,245) |
Total Liability Derivatives subject to master netting or similar agreements | $(292,305) | $ (295) | $ — | $(292,600) |
* | For futures contracts and centrally cleared derivatives, amount represents value as shown in the Portfolio of Investments. Only the current day’s variation margin on open futures contracts and centrally cleared derivatives is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts and centrally cleared derivatives, as applicable. |
Counterparty | Derivative
Assets Subject to Master Netting Agreement |
Derivatives
Available for Offset |
Non-cash
Collateral Received(a) |
Cash
Collateral Received(a) |
Net
Amount of Derivative Assets(b) |
Standard Chartered Bank | $ 21,967 | $ — | $ — | $ — | $ 21,967 |
UBS AG | 781 | — | — | — | 781 |
$22,748 | $ — | $ — | $ — | $22,748 |
Counterparty | Derivative
Liabilities Subject to Master Netting Agreement |
Derivatives
Available for Offset |
Non-cash
Collateral Pledged(a) |
Cash
Collateral Pledged(a) |
Net
Amount of Derivative Liabilities(c) |
Barclays Bank PLC | $ (40,898) | $ — | $ — | $ — | $ (40,898) |
Citibank, N.A. | (83,712) | — | 83,712 | — | — |
Deutsche Bank AG | (157,017) | — | — | — | (157,017) |
Goldman Sachs International | (10,973) | — | — | — | (10,973) |
$(292,600) | $ — | $83,712 | $ — | $(208,888) |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Statement of Operations Caption | Credit | Foreign
Exchange |
Interest
Rate |
Total |
Net realized gain (loss): | ||||
Futures contracts | $ — | $ — | $ (60,402) | $ (60,402) |
Swap contracts | 672,290 | — | — | 672,290 |
Forward foreign currency exchange contracts | — | (80,155) | — | (80,155) |
Total | $672,290 | $(80,155) | $ (60,402) | $ 531,733 |
Change in unrealized appreciation (depreciation): | ||||
Futures contracts | $ — | $ — | $ (219,525) | $ (219,525) |
Swap contracts | 38,591 | — | — | 38,591 |
Forward foreign currency exchange contracts | — | 80,141 | — | 80,141 |
Total | $ 38,591 | $ 80,141 | $(219,525) | $(100,793) |
Futures
Contracts — Long |
Futures
Contracts — Short |
Forward
Foreign Currency Exchange Contracts* |
Swap
Contracts |
$9,872,000 | $13,133,000 | $8,250,000 | $30,333,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Name | Value,
beginning of period |
Purchases | Sales
proceeds |
Net
realized gain (loss) |
Change
in unrealized appreciation (depreciation) |
Value,
end of period |
Interest/
Dividend income |
Principal
amount/ Shares, end of period |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||
Series 2014-C16, Class B, 4.499%, 6/15/47 | $ 219,763 | $ — | $ — | $ — | $ 5,580 | $ 225,782 | $ 5,803 | $ 240,000 |
Series 2016-C29, Class D, 3.00%, 5/15/49 | 724,848 | — | — | — | 89,137 | 816,874 | 17,890 | 1,000,000 |
Series 2016-C32, Class D, 3.396%, 12/15/49 | 165,101 | — | — | — | (1,697) | 164,199 | 5,040 | 250,000 |
Morgan Stanley Capital I Trust, Series 2016-UBS12, Class D, 3.312%, 12/15/49 | 523,854 | — | — | — | (53,921) | 473,706 | 20,331 | 1,000,000 |
Short-Term Investments | ||||||||
Liquidity Fund | 4,286,237 | 58,490,125 | (48,214,985) | — | — | 14,561,377 | 188,726 | 14,561,377 |
Total | $ — | $ 39,099 | $16,241,938 | $237,790 |
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3* | Total |
Asset-Backed Securities | $ — | $ 21,306,429 | $ — | $ 21,306,429 |
Collateralized Mortgage Obligations | — | 22,298,418 | — | 22,298,418 |
Commercial Mortgage-Backed Securities | — | 11,067,458 | — | 11,067,458 |
Common Stocks | 4,206 | 910,959 | 6,400 | 921,565 |
Corporate Bonds | — | 18,938,580 | — | 18,938,580 |
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | — | 49,396,551 | 83,026 | 49,479,577 |
Sovereign Government Bonds | — | 25,019,711 | — | 25,019,711 |
Sovereign Loans | — | 1,229,460 | — | 1,229,460 |
U.S. Government Agency Mortgage-Backed Securities | — | 23,296,380 | — | 23,296,380 |
Miscellaneous | — | — | 0 | 0 |
Short-Term Investments: | ||||
Affiliated Fund | 14,561,377 | — | — | 14,561,377 |
U.S. Treasury Obligations | — | 497,552 | — | 497,552 |
Total Investments | $ 14,565,583 | $ 173,961,498 | $ 89,426 | $ 188,616,507 |
Forward Foreign Currency Exchange Contracts | $ — | $ 120,977 | $ — | $ 120,977 |
Futures Contracts | 393,096 | — | — | 393,096 |
Swap Contracts | — | 98,932 | — | 98,932 |
Total | $ 14,958,679 | $ 174,181,407 | $ 89,426 | $ 189,229,512 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (2,137) | $ — | $ (2,137) |
Futures Contracts | (276,312) | — | — | (276,312) |
Swap Contracts | — | (691,396) | — | (691,396) |
Total | $ (276,312) | $ (693,533) | $ — | $ (969,845) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
Number of Shares | ||||
Nominees for Trustee | For | Withheld | ||
Cynthia E. Frost | 8,453,517 | 356,750 | ||
Anchal Pachnanda | 8,520,605 | 289,662 | ||
Scott E. Wennerholm | 8,543,668 | 266,599 |
Officers | |
Kenneth
A. Topping President |
Nicholas
S. Di Lorenzo Secretary |
Deidre
E. Walsh Vice President and Chief Legal Officer |
Laura T.
Donovan Chief Compliance Officer |
James
F. Kirchner Treasurer |
Trustees |
* | Interested Trustee |
U.S. Customer Privacy Notice | March 2024 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The
types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account information and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does
Eaton Vance share? |
Can
you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No* |
For our affiliates’ everyday business purposes — information about your creditworthiness | Yes | Yes* |
For our affiliates to market to you | Yes | Yes* |
For nonaffiliates to market to you | No | We don’t share |
To
limit our sharing |
Call toll-free 1-800-262-1122 or email: [email protected]Please note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: [email protected] |
U.S. Customer Privacy Notice — continued | March 2024 |
Who we are | |
Who is providing this notice? | Eaton Vance Management and our investment management affiliates (“Eaton Vance”) (see Affiliates definition below.) |
What we do | |
How
does Eaton Vance protect my personal information? |
To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How
does Eaton Vance collect my personal information? |
We
collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal
law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. (See below for more on your rights under state law.) |
What
happens when I limit sharing for an account I hold jointly with someone else? |
Your choices will apply to everyone on your account. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include registered investment advisers such as Eaton Vance Management, Eaton Vance Advisers International Ltd., Boston Management and Research, Calvert Research and Management, Parametric Portfolio Associates LLC, Atlanta Capital Management Company LLC, Morgan Stanley Investment Management Inc., Morgan Stanley Investment Management Co.; registered broker-dealers such as Morgan Stanley Distributors Inc. and Eaton Vance Distributors, Inc. (together, the “Investment Management Affiliates”); and companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. (the “Morgan Stanley Affiliates”). |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance does not jointly market. |
U.S. Customer Privacy Notice — continued | March 2024 |
Other important information | |
*PLEASE NOTE: Eaton Vance does not share your creditworthiness information or your transactions and experiences information with the Morgan Stanley Affiliates, nor does Eaton Vance enable the Morgan Stanley Affiliates to market to you. Your opt outs will prevent Eaton Vance from sharing your creditworthiness information with the Investment Management Affiliates and will prevent the Investment Management Affiliates from marketing their products to you.Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Item 2. Code of Ethics
Not required in this filing.
Item 3. Audit Committee Financial Expert
Not required in this filing.
Item 4. Principal Accountant Fees and Services
Not required in this filing.
Item 5. Audit Committee of Listed Registrants
Not required in this filing.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not required in this filing.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not required in this filing.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
No such purchases this period.
Item 10. Submission of Matters to a Vote of Security Holders
No material changes.
Item 11. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits
(a)(1) | Registrant’s Code of Ethics – Not applicable (please see Item 2). |
(a)(2)(i) |
(a)(2)(ii) |
(b) |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Eaton Vance Short Duration Diversified Income Fund | ||
By: | /s/ Kenneth A. Topping | |
Kenneth A. Topping | ||
Principal Executive Officer | ||
Date: | June 25, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Principal Financial Officer | ||
Date: | June 25, 2024 | |
By: | /s/ Kenneth A. Topping | |
Kenneth A. Topping | ||
Principal Executive Officer | ||
Date: | June 25, 2024 |