Product & Portfolio Strategy Group
Floating-Rate Loan Chart Book Q4 2016
Eaton Vance
Floating-Rate Loan Chart Book
Floating-Rate Loans: An imbalance in supply and demand in the income market may result in valuation uncertainties and greater volatility, less liquidity, widening credit spreads and a lack of price transparency in the market. There can be no assurance that the liquidation of collateral securing an investment will satisfy the issuer’s obligation in the event of nonpayment or that collateral can be readily liquidated. The ability to realize the benefits of any collateral may be delayed or limited. Investments in income securities may be affected by changes in the creditworthiness of the issuer and are subject to the risk of non–payment of principal and interest. The value of income securities also may decline because of real or perceived concerns about the issuer’s ability to make principal and interest payments. Borrowing to increase investments (leverage) will exaggerate the effect of any increase or decrease in the value of Fund investments. Investments rated below investment grade (typically referred to as “junk”) are generally subject to greater price volatility and illiquidity than higher rated investments. As interest rates rise, the value of certain income investments is likely to decline. Bank loans are subject to prepayment risk. Investments in foreign instruments or currencies can involve greater risk and volatility than U.S. investments because of adverse market, economic, political, regulatory, geopolitical or other conditions. Changes in the value of investments entered for hedging purposes may not match those of the position being hedged. No Fund is a complete investment program and you may lose money investing in a Fund. A Fund may engage in other investment practices that may involve additional risks and you should review a Fund prospectus for a complete description. Commodities – The value of commodities investments will generally be affected by overall market movements and factors specific to a particular industry or commodity including weather, embargoes, tariffs, or health, political, international and regulatory developments. Duration – Securities with longer durations tend to be more sensitive to interest rate changes than securities with shorter durations. Equity – Equity investment values are sensitive to stock market volatility. Gov’t Agency – While certain U.S. Government-sponsored agencies may be chartered or sponsored by acts of Congress, their securities are neither issued nor guaranteed by the U.S. Treasury. Inflation-Linked – Interest payments on inflation-linked securities may vary widely and will fluctuate as principal and interest are adjusted for inflation. Investments in inflation-linked securities may lose value in the event that the actual rate of inflation is different than the rate of the inflation index. Limited Issuance – BABs – The ability of municipalities to issue Build America Bonds expired on December 31, 2010 and there can be no certainty as to whether future legislation will be enacted that would again permit such issuance. Given the limited issuance of Build America Bonds they may not be actively traded. Maturity – Longer-term bonds typically are more sensitive to interest rate changes than shorter-term bonds. Negative Duration – A portfolio with negative duration generally incurs a loss when interest rates and yields fall. Preferred Stocks – When interest rates rise, the value of preferred stocks will generally decline. Prepayment – MBS – Mortgage-backed securities are subject to prepayment risk. Real Estate – Changes in real estate values or economic downturns can have a significant negative effect on issuers in the real estate industry, including REITs. Smaller Companies – Smaller companies are generally subject to greater price fluctuations, limited liquidity, higher transaction costs and higher investment risk than larger, established companies.
2
Eaton Vance
Floating-Rate Loan Chart Book
3
Asset Class Review
4
Market Update
6
Portfolio Applications
17
Eaton Vance for Floating-Rate Loans
23
Additional Information
30
Eaton Vance
Floating-Rate Loan Chart Book Asset Class Review
– Corporate debt issued by below-investment-grade borrowers – Most issuers are significant in size and scale – and many are familiar household names – Companies undertake loans for recapitalizations, acquisitions and refinancings
– Coupon income from floating-rate loans resets regularly (about every 40-60 days on average) to maintain a fixed spread over a variable base rate, usually LIBOR – Loans are often referred to as “senior and secured”: They typically have the highest priority of claims in an issuer’s capital structure and are secured by specific collateral – Other common monikers: bank loans, leveraged loans, senior loans (all are synonymous)
4
Eaton Vance
Floating-Rate Loan Chart Book Asset Class Review
– Floating-rate loans represent a
Weighted Average Company Capital Structure: Sample $4.6B Revenue & $879M EBITDA
senior layer of issuer capital
$11.6
Billion Enterprise Value
structure Floating-Rate Loans
$3,516 Million
High-Yield Bonds
$1,582 Million
Equity
$6,498 Million
4.0x (30% of cap structure)
– Substantial junior capital cushion provides low loan-to-value
– Secured by collateral including issuer accounts receivable,
5.8x (14% of cap structure)
13.2x (56% of cap structure)
inventory, property, plant, equipment and/or stock
5
Fixed Charge Coverage: 2.1x Interest Coverage: 3.9x
Eaton Vance
Floating-Rate Loan Chart Book Market Update
• Accelerating retail demand for the asset class, fueled by rising rates, supported a Q4 return of 2.26% for the S&P/LSTA Leveraged Loan Index • The loan market finished 2016 with its second strongest calendar year in the history of the asset class, with a 10-month positive performance string intact • Issuer fundamentals remain in check, with the par-weighted default rate declining to a 10-month low of 1.58% • Outlook is favorable, although limited price appreciation potential exists with average loan prices ending December at $98.1
6
Eaton Vance
Floating-Rate Loan Chart Book Market Update
Averages Yield to Spread Maturity Duration Worst (bps) (yrs.) (yrs.) (%)
Coupon (%)
Price ($)
4.08
104.1
3.37
123
10.7
AAA Index
3.27
101.1
3.12
70
AA Index
3.10
102.8
2.73
A Index
3.90
104.8
BBB Index
4.48
1-Mo.
3-Mo.
YTD
1Y
3Y
5Y
10Y
7.3
0.67
-2.83
6.11
6.11
4.23
4.14
5.47
17.4
10.5
0.47
-4.90
3.39
3.39
4.46
2.43
4.18
76
9.4
6.5
0.44
-3.00
3.60
3.60
3.60
2.89
4.43
3.14
100
10.8
7.5
0.55
-3.11
4.65
4.65
4.12
3.95
4.92
104.0
3.72
154
10.8
7.2
0.83
-2.48
8.04
8.04
4.45
4.63
6.26
6.52
99.6
6.17
422
6.4
4.3
1.97
1.88
17.49
17.49
4.72
7.35
7.34
BB Index
5.84
103.0
4.71
271
6.9
4.7
1.43
0.68
13.22
13.22
5.68
7.26
7.58
B Index
6.70
100.8
6.06
410
6.2
4.1
2.03
2.11
16.94
16.94
4.02
6.83
6.16
CCC Index
8.08
87.1
11.43
971
4.9
3.3
3.75
5.94
36.46
36.46
4.15
8.95
8.13
3.96
98.1
5.18
442
4.83
0.1
1.16
2.26
10.16
10.16
3.58
5.11
4.64
BBB Index
2.66
100.7
3.26
251
4.94
-
0.60
1.26
5.87
5.87
3.41
3.65
3.72
BB Index
3.37
100.4
4.03
328
5.07
-
0.82
1.35
7.32
7.32
3.66
4.38
3.76
B Index
4.39
98.5
5.54
478
4.75
-
1.09
2.19
10.80
10.80
3.68
5.44
4.61
CCC Index
6.18
83.6
13.09
1,219
4.10
-
4.32
8.81
29.05
29.05
7.60
10.23
6.61
-
88.5
-
-
-
-
3.14
8.52
27.05
27.05
-9.44
0.79
-7.68
Bloomberg Barclays U.S. Corp. IG Index
BofA/Merrill Lynch US High Yield Index
S&P/LSTA Leveraged Loan Index
D Index
7
Total Returns (%)
Eaton Vance
Floating-Rate Loan Chart Book Market Update
30%
10% Average YOY EBITDA Growth of S&P/LSTA LLI Issuers U.S. GDP Growth
8%
20%
6% 4%
10%
2% 0%
0% -2%
-10%
-4% -6%
-20%
-8% -30%
-10% 1Q08
8
3Q08
1Q09
3Q09
1Q10
3Q10
1Q11
3Q11
1Q12
3Q12
1Q13
3Q13
1Q14
3Q14
1Q15
3Q15
1Q16
3Q16
Eaton Vance
1Q02 2Q02 3Q02 4Q02 1Q03 2Q03 3Q03 4Q03 1Q04 2Q04 3Q04 4Q04 1Q05 2Q05 3Q05 4Q05 1Q06 2Q06 3Q06 4Q06 1Q07 2Q07 3Q07 4Q07 1Q08 2Q08 3Q08 4Q08 1Q09 2Q09 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12 1Q13 2Q13 3Q13 4Q13 1Q14 2Q14 3Q14 4Q14 1Q15 2Q15 3Q15 4Q15 1Q16 2Q16 3Q16
Floating-Rate Loan Chart Book Market Update
5x 4.5x
4x
3x
2x
1x
0x
9
Eaton Vance
Floating-Rate Loan Chart Book Market Update
12%
High Yield Corporate
Loans Current
10%
1-Mo. ago 12-Mo. ago
Median
HY Corporate
3.32
3.58
1.80
2.72
Loans
1.58
1.66
1.50
2.02
8%
6%
4%
2%
0%
10
Eaton Vance
Floating-Rate Loan Chart Book Market Update
$1000 B 872
881
831
$800 B 682 $600 B
$400 B
$200 B
11
2016
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
1999
1998
1997
$0 B
Eaton Vance
Floating-Rate Loan Chart Book Market Update
CLO
Loan Funds
$180B $158 $150B
$75
$120B
$99 $73
$90B
$79 $7
$83 $124
$60B
$99 $72
$30B
$0B -$25
$-26
2014
2015
-$30B 2005
12
2006
2007
2008
2009
2010
2011
2012
2013
2016
Eaton Vance
Floating-Rate Loan Chart Book Market Update
Current High Yield Corporate
Loans
Investment Grade Corporate
2000
1-Mo. ago 12-Mo. ago
Median
HY Corporate
422
467
695
487
Loans
442
460
623
517
IG Corporate
123
129
165
153
1500
1000
500
0 '06
13
'07
'08
'09
'10
'11
'12
'13
'14
'15
'16
Eaton Vance
Floating-Rate Loan Chart Book Market Update
250 bps
Average LIBOR Floor
100%
Percent With Floors by Par Amount 89.3%
90% 200 bps
80% 70%
150 bps
60% 50%
100 bps
97.4bps
40% 30%
50 bps
20% 10%
0 bps
14
0%
Eaton Vance
Floating-Rate Loan Chart Book Market Update
LIBOR Floors
Breakdown by Bid Price
Market Composition by LIBOR Floor
Half of the Loan Market Trades at Par or Above Less than $70 1.81%
$70-79.99 1.31% $80-$89.99 4.50%
150bps, 0.5% 125bps, 3.3% No Floor, 10.7%
$90-$99.99 24.06%
Par and Above 68.31%
15
75bps, 24.2%
100 bps, 61.3%
Eaton Vance
Floating-Rate Loan Chart Book Market Update
• Credit: - We remain constructive on the credit risk profile underlying the loan market
- We believe defaults are likely to grind modestly higher in the coming year but remain low in a historical context - The December S&P/LCD quarterly survey of loan manager shows a consensus default rate expectation of 2.4% for the end of 2017
• Valuation: - Market pricing indicates positive-but-nonetheless limited price appreciation potential from here - Performing loans bid at par or higher lifting to nearly 68% of outstandings by quarter end - Upside potential in 2017 is shaping up to take its place in the coupon component of returns, as the Fed projects three quarter-point rate hikes • Yield: - With 3-month LIBOR now at the average floor in the loan market, higher income potential may follow the next Fed rate hike
16
Eaton Vance
Floating-Rate Loan Chart Book Portfolio Applications
12% 1-Month LIBOR
3-Month LIBOR
Credit Suisse Leveraged Loan Index Yield
9%
6%
3% 2/94–2/95
6/99-5/00
6/04-6/06
Loans: 10.39%
Loans: 3.93%
Loans: 12.66%
Bonds: 0.01%
Bonds: 2.11%
Bonds: 6.55%
0%
17
Eaton Vance
Floating-Rate Loan Chart Book Portfolio Applications
9 8 7
Yield to Worst (%)
High-Yield Corp. EM Sovereign (USD)
6
Floating-Rate Loans 5
4
MBS
3
Municipal
Investment Grade Corp.
Aggregate
2
Treasury
Agency 1 0 0
1
2
3
4
5
6
7
8
9
Duration
18
Eaton Vance
Floating-Rate Loan Chart Book Portfolio Applications
40
37
Negative Quarters
Positive Quarters
35
#of Quarters
30
Returns have been positive in 86% of quarters since 1992.
25
20
20
Q1 2008 Q3 2008 Q4 2008
15
13 9
10 5
0
0 5%
Eaton Vance
Floating-Rate Loan Chart Book Portfolio Applications
1.0
0.93
0.85
0.8
0.80
0.6 0.43 0.4
0.33 0.20
0.2
0.0 -0.2 -0.24 -0.4 -0.45 -0.6 -0.8 -1.0 Treasury
20
Agency
Aggregate
MBS
Investment Grade Corp.
Municipal
EM Sovereign (USD)
High-Yield Corp.
Floating Rate Loans
Eaton Vance
Floating-Rate Loan Chart Book Portfolio Applications
12%
Floating Rate Loans
U.S. Aggregate Index
8.5% 8% Total Return
5.6% 4%
3.6%
4.1%
5.1% 4.5%
5.4%
5.9%
6.3%
6.5%
2.6%
0% -0.4% -4%
-3.3% -6.3%
-8%
-9.2%
-12% -100
-50
flat
50
100
150
200
-10.4%
220
Interest-Rate Changes (in basis points)
21
Eaton Vance
Floating-Rate Loan Chart Book Portfolio Applications
Higher
Lower
22
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
EM (Local Currency) 15.22
EM (Local Currency) 18.11
Treasury 13.74
High Yield 58.21
EM (Local Currency) 15.68
Municipal 10.70
EM (Local Currency) 16.76
High Yield 7.44
Municipal 9.05
Municipal 3.30
High Yield 17.49
High Yield 11.85
Global Agg Ex-U.S. 11.03
MBS 8.34
Bank Loan 51.62
High Yield 15.12
Treasury 9.81
High Yield 15.81
Bank Loan 5.29
Investment Grade 7.46
MBS 1.51
Bank Loan 10.16
Global Agg Ex-U.S. 8.16
Treasury 9.01
Global Agg Ex-U.S. 4.40
EM (Local Currency) 21.98
Bank Loan 10.13
Investment Grade 8.15
Investment Grade 9.82
MBS -1.41
MBS 6.08
Treasury 0.84
EM (Local Currency) 9.94
Bank Loan 6.74
MBS 6.90
Municipal -2.47
Investment Grade 18.68
Investment Grade 9.00
MBS 6.23
Bank Loan 9.66
Investment Grade -1.53
Treasury 5.05
Investment Grade -0.68
Investment Grade 6.11
MBS 5.22
Investment Grade 4.56
Investment Grade -4.94
Municipal 12.91
Treasury 5.87
High Yield 4.98
Municipal 6.78
Municipal -2.55
High Yield 2.45
Bank Loan -0.69
MBS 1.67
Municipal 4.84
Municipal 3.36
EM (Local Currency) -5.22
Global Agg Ex-U.S. 7.53
MBS 5.37
Global Agg Ex-U.S. 4.36
Global Agg Ex-U.S. 4.09
Treasury -2.75
Bank Loan 1.60
High Yield -4.47
Global Agg Ex-U.S. 1.49
Investment Grade 4.30
Bank Loan 2.08
High Yield -26.16
MBS 5.89
Global Agg Ex-U.S. 4.95
Bank Loan 1.52
MBS 2.59
Global Agg Ex-U.S. -3.08
Global Agg Ex-U.S. -3.08
Global Agg Ex-U.S. -6.02
Treasury 1.04
Treasury 3.08
High Yield 1.87
Bank Loan -29.10
Treasury -3.57
Municipal 2.38
EM (Local Currency) -1.75
Treasury 1.99
EM (Local Currency) -8.98
EM (Local Currency) -5.72
EM (Local Currency) -14.92
Municipal 0.25
Eaton Vance
Floating-Rate Loan Chart Book Eaton Vance for Floating-Rate Loans
– Measurable track record since 1989
0
5
10
15
– Significant floating-rate loan
20
25
30
Eaton Vance (Since 1989)
investment resources and specialization – Extensive contiguous experience of investment team – Strong long-term record of delivering
Median 9.1 Years
incremental outperformance with lower volatility than the S&P/LSTA Leveraged Loan Index and peers – Continuity of philosophy, process and team over time – Systematic risk-weighted portfolio construction underpinned by bottom-
Eaton Vance (1989)
Competitor Floating-Rate Loan Managers (Institutional & Retail)
up credit research
23
Eaton Vance
Floating-Rate Loan Chart Book Eaton Vance for Floating-Rate Loans
Floating-Rate Loan AUM: $34.7 b (by vehicle)
Floating-Rate Loan AUM: $34.7 b (by calendar year) $50
Institutional ($10,391 m)
$45 $40 Structured Products ($1,874 m)
$35
$34.7b
$30 Sub-Advised ($1,815 m)
$25 $20
Closed End Funds and Sleeves ($3,745 m)
$15 $10
$5
24
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
$0 Mutual Funds ($16,892 m)
Eaton Vance
Floating-Rate Loan Chart Book Eaton Vance for Floating-Rate Loans
Scott Page, CFA - Co-Director of Floating-Rate Loans, Portfolio Manager - 35 years of industry experience - 27-year tenure at Eaton Vance - BA from Williams College; MBA from Amos Tuck School of Dartmouth College Craig Russ -
Co-Director of Floating-Rate Loans, Portfolio Manager 31 years of industry experience 20-year tenure at Eaton Vance BA from Middlebury College
From left to right: Scott H. Page, Craig P. Russ
John Redding ‾ Portfolio Manager ‾ 32 years of industry experience ‾ 19-year tenure at Eaton Vance ‾ BS from State University of New York at Albany Andrew Sveen, CFA ‾ Head of Trading ‾ 22 years of industry experience ‾ 18-year tenure at Eaton Vance ‾ BA from Dartmouth College; MBA from University of Rochester Simon Graduate School of Business
25
Michael Kinahan, CFA - Head of Structured Products, Portfolio Manager - 30 years of industry experience - 19-year tenure at Eaton Vance - BS, University of Southern California Ralph Hinckley, CFA - Senior Research Analyst, Portfolio Manager - 19 years of industry experience - 13-year tenure at Eaton Vance - BA from Bates College, MBA from Boston University Graduate School of Management
Eaton Vance
Floating-Rate Loan Chart Book Eaton Vance for Floating-Rate Loans
Team Leadership
Structured Products
Scott Page, CFA
Craig Russ
John Redding
Andrew Sveen, CFA
Michael Kinahan, CFA
35 Years of Ind. Experience 27 Years with Eaton Vance
31 Years of Ind. Experience 20 Years with Eaton Vance
32 Years of Ind. Experience 19 Years with Eaton Vance
22 Years of Ind. Experience 18 Years with Eaton Vance
30 Years of Ind. Experience 19 Years with Eaton Vance
Credit Research
Structured Product Analysts
Ralph Hinckley, CFA
Catherine McDermott
Peter Campo, CFA
Michael Turgel, CFA
John Brodbine
Broadcast/Cable TV, Telecom, Publishing 19 Years of Ind. Experience 13 Years with Eaton Vance
Auto, Gaming, Packaging 28 Years of Ind. Experience 16 Years with Eaton Vance
Oil & Gas, Metals & Mining 21 Years of Ind. Experience 13 Years with Eaton Vance
Food, Metals, Utilities 14 Years of Ind. Experience 10 Years with Eaton Vance
16 Years of Ind. Experience 12 Years with Eaton Vance
Jeff Hesselbein, CFA
Heath Christensen, CFA
Daniel McElaney, CFA
Audrey S. Grant
Edward Greenaway, CFA
Healthcare, Pharmaceuticals, Theme Parks 20 Years of Ind. Experience 17 Years with Eaton Vance
Aerospace/Defense, Software/Technology, Transportation 13 Years of Ind. Experience 13 Years with Eaton Vance
Business Equip/Services, Chemicals/Plastics, Consumer Products 13 Years of Ind. Experience 12 Years with Eaton Vance
Retailers (excl. Food & Drug),Theater Industries 3 Years of Ind. Experience 3 Years with Eaton Vance
11 Years of Ind. Experience 9 Years with Eaton Vance
Samuel Tripp
William Holt, CFA
Cyril Legrand, CFA
Financials, Technology, Semiconductors 15 Years of Ind. Experience 12 Years with Eaton Vance
6 Years of Ind. Experience 6 Years with Eaton Vance
Brad Richards, CFA Restaurants, Industrials
Maria van Heeckeren
Healthcare, Telecom 3 Years of Ind. Experience 3 Years with Eaton Vance
Christopher Stadtler
Emily Cetlin
Alexandros Apostolidis
1 Years of Ind. Experience 1 Years with Eaton Vance
Packaging, Gaming 2 Years of Ind. Experience 2 Years with Eaton Vance
1 Year of Ind. Experience 1 Year with Eaton Vance
5 Years of Ind. Experience 5 Years with Eaton Vance
2 Years of Ind. Experience 2 Years with Eaton Vance
Colin Egan
Trading
Utilities, Consumer Products 1 Year of Ind. Experience 1 Year with Eaton Vance
Recovery Management / Credit Advisory
Andrew Sveen, CFA
Jake Lemle
Sean Gildea
David Aloise
David McKown
22 Years of Ind. Experience 18 Years with Eaton Vance
9 Years of Ind. Experience 9 Years with Eaton Vance
2 Years of Ind. Experience 2 Years with Eaton Vance
41 Years of Ind. Experience 16 Years with Eaton Vance
57 Years of Ind. Experience 15 Years with Eaton Vance
Product & Portfolio Strategy
Operations & Compliance Michael Botthof 25 Years of Ind. Experience 19 Years with Eaton Vance
26
Additional Staff: 8 operations/compliance professionals
Christopher Remington 21 Years of Ind. Experience 10 Years with Eaton Vance
Eaton Vance
Floating-Rate Loan Chart Book Eaton Vance for Floating-Rate Loans
Investable Universe
Select Universe
Target Portfolio
1500 Loans
1100 Loans Qualitative Analysis
Quantitative Analysis
Structural Analysis
Relative Value Analysis
1000 Loans
– Investment team identifies most appropriate opportunity set
– Select universe analyzed through fundamental credit research process
– Systematic risk-weighted construction driven by relative risk rankings
– S&P/LSTA Leveraged Loan Index & select non-U.S. loans
– Time-tested bottom-up credit research
– Focus on diversification*
– Relative risk rankings assigned by analysts
– Position sizing optimized for optimal risk/return profile
– Apply criteria (examples): • Minimum deal size • Maximum leverage • Qualitative assessments
27
450-550 Loans
Eaton Vance
Floating-Rate Loan Chart Book Eaton Vance for Floating-Rate Loans
– Market leader and pioneer in the management of floating-rate loans – Large and experienced investment team with extensive contiguous experience – Significant floating-rate loan investment resources and specialization – Strong long-term track record with a focus on delivering incremental outperformance with lower volatility than the S&P/LSTA Leveraged Loan Index and peers – Continuity of process and philosophy over time with a performance history over multiple market cycles – Systematic risk-weighted portfolio construction process underpinned by bottom-up research
28
Eaton Vance
Floating-Rate Loan Chart Book Eaton Vance for Floating-Rate Loans
as of 12/31/2016 Floating-Rate Advantage Fund Employs investment leverage of approximately 20% Floating-Rate & High Income Fund Flexibility to invest up to 20% of assets in high-yield bonds Floating-Rate Fund Our flagship; “Pure play” for broad loan market exposure
29
Key Information • Average Duration: 0.27 years • Number of Issuers: 421 • Portfolio Assets: $6.0 billion • Performance Inception: 08/04/1989 • Average Duration: 0.70 years • Number of Issuers: 689 • Fund Assets: $1.4 billion • Performance Inception: 09/07/2000 • Average Duration: 0.30 years • Number of Issuers: 383 • Portfolio Assets: $7.6 billion • Performance Inception: 02/07/2001
Overall Morningstar Rating
Among 208 Bank Loan Funds (Class I)
Awards
Overall Morningstar Analyst Rating
Symbols
A Shares: EAFAX C Shares: ECFAX I Shares: EIFAX
Among 208 Bank Loan Funds (Class I)
A Shares: EVFHX C Shares: ECFHX I Shares: EIFHX
Among 208 Bank Loan Funds (Class I)
A Shares: EVBLX C Shares: ECBLX I Shares: EIBLX
Overall Morningstar Analyst Rating
Eaton Vance
Floating-Rate Loan Chart Book
INDEX DEFINITIONS: Bloomberg Barclays Global Aggregate Ex-USD Index is a broad-based measure of global investment grade fixed-rate debt investments, excluding USD-denominated debt. Bloomberg Barclays Municipal Bond Index is an unmanaged index of municipal bonds traded in the U.S. Bloomberg Barclays U.S. Agency Index measures agency securities issued by U.S government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. government.
BofA Merrill Lynch UK Gilt Index tracks the performance of GBP denominated sovereign debt publicly issued by the UK government in its domestic market. BofA Merrill Lynch European Union Government Bond Index tracks the performance of sovereign debt publicly issued by countries that are members of the European Union. Credit Suisse Leveraged Loan Index is an unmanaged index of the institutional leveraged loan market. JPMorgan Corporate Emerging Markets Bond Index (CEMBI) Diversified is a market-cap weighted index that measures USD-denominated emerging market corporate bonds.
Bloomberg Barclays U.S. Aggregate Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities.
JPMorgan Emerging Markets Bond Index Plus (EMBI+) is a market-cap weighted index that measures USD-denominated Brady Bonds, Eurobonds, and traded loans issued by sovereigns.
Bloomberg Barclays U.S. Aggregate Local Authorities Index measures the performance of U.S. investment-grade fixed-rate debt issued directly or indirectly by local government authorities.
JPMorgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified is an unmanaged index of local-currency bonds with maturities of more than one year issued by emerging market governments.
Bloomberg Barclays U.S. Asset Backed Securities (ABS) Index measures ABS with the following collateral type: credit and charge card, auto, and utility loans.
Standard & Poor’s 500 Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance.
Bloomberg Barclays U.S. CMBS Investment Grade Index measures the market of conduit S&P/LSTA Leveraged Loan Index is an unmanaged index of the institutional leveraged loan and fusion CMBS deals with a minimum current deal size of $300mn. market. Bloomberg Barclays U.S. Corporate High Yield Index measures USD-denominated, non-investment grade corporate securities. Bloomberg Barclays U.S. Corporate Index is an unmanaged index that measures the performance of investment-grade corporate securities within the Bloomberg Barclays U.S. Aggregate Index. Bloomberg Barclays U.S. Mortgage Backed Securities (MBS) Index measures agency mortgage-backed pass-through securities issued by GNMA, FNMA, and FHLMC. Bloomberg Barclays U.S. Treasury Index measures public debt instruments issued by the U.S. Treasury.
TERMS: 10-Year TIPS Break-Even is a measure of the market’s expectations for future U.S. inflation. It is calculated by subtracting the yield on the 10-year U.S. Treasury Inflation-Protected Security from the yield on the 10-year U.S. Treasury note. Municipal-to-Treasury Yield Ratios are relative value indicators that measure the richness or cheapness of municipal bond yields to comparable maturity Treasury bond yields. Nominal Spread is the stated spread over LIBOR paid by a floating-rate loan issuer. Secondary Spread is a yield-to-maturity measure that accounts for the current market price of a floating-rate loan.
BofA Merrill Lynch Fixed Rate Preferred Securities Index is an unmanaged index of fixedrate, preferred securities issued in the U.S.
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This presentation is for informational and illustrative purposes only. This material does not constitute investment advice and should not be viewed as a current or past recommendation or a solicitation of an offer to buy or sell any particular securities or to adopt any investment strategy. This information has been prepared on the basis of publicly available information, internally developed data and other third party sources believed to be reliable. However, no assurances are provided regarding the reliability of such information and Eaton Vance has not sought to independently verify information taken from public and third party sources. Any investment views and market opinions/analyses expressed constitute judgments as of the date of this presentation and are subject to change at any time without notice. Different views may be expressed based on different investment styles, objectives, views or philosophies. Each managed product is individually managed and may differ significantly from the information discussed in terms of portfolio holdings, characteristics and performance. It should not be assumed that any investments in securities, companies, sectors or markets described were or will be profitable. It should not be assumed that any managed product will have an investment experience similar to any returns shown or to any previous or existing managed product. There are no guarantees concerning the achievement of investment objectives, allocations, target returns or measurements such as alpha, tracking error, stock weightings and information ratios. The use of tools cannot guarantee performance. There is no assurance that any portfolio characteristics, holdings, sectors or securities mentioned are currently held in a managed product or will remain in a managed product at the time you receive this report or that securities have not been sold or repurchased. The specific securities mentioned are not representative of all the securities purchased, sold or recommended for managed products. It should not be assumed that any of the securities were or will be profitable, or that any recommendations in the future will be profitable or will equal the performance of the listed securities. Not all of Eaton Vance’s recommendations have been or will be profitable. Actual holdings will vary for each managed product, and there is no guarantee that a particular managed product will hold any, or all, or the securities identified.
The views and strategies described may not be suitable for all investors. Not all of Eaton Vance’s recommendations have been or will be profitable. Hypothetical scenarios, blended portfolios, forecasts and estimates and certain information contained herein are based, in part, upon proprietary research and the experience of Eaton Vance, and are not to be relied upon as advice or interpreted as a recommendation. The information does not reflect the experience or holdings of a managed product. Hypothetical scenarios, blended portfolios, forecasts and estimates have certain inherent limitations and do not reflect actual trading, liquidity constraints, fees and other costs. In addition, references to future yield/returns should not be construed as an estimate or promise of the results a managed product may achieve. Information may not reflect the impact that material economic and market factors might have had on Eaton Vance’s decision-making. Any references to future returns should not be construed as an estimate or promise of the results a managed product may achieve. Actual portfolio holdings will vary for each managed product. The returns experienced by a particular managed product will be different from those included in this presentation. This presentation may include statements that are not historical facts, referred to as forward-looking statements. Future results may differ significantly from those stated in forward-looking statements, depending on factors such as changes in securities or financial markets or general economic conditions. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, fees, expenses, taxes or leverage, as applicable. It is not possible to directly invest in an index or the hypothetical blended portfolios as constructed by Eaton Vance. Past performance does not predict future results. Investing entails risk and there can be no assurance that Eaton Vance, or its affiliates, will achieve profits or avoid incurring losses. 31
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ABOUT ASSET CLASS COMPARISONS: Elements of this report include comparisons of different asset classes, each of which has distinct risk and return characteristics. Every investment carries risk, and principal values and performance will fluctuate with all asset classes shown, sometimes substantially. Asset classes shown are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. All asset classes shown are subject to risks, including possible loss of principal invested. The principal risks involved with investing in the asset classes shown are interest-rate risk, credit risk and liquidity risk, with each asset class shown offering a distinct combination of these risks. Generally, considered along a spectrum of risks and return potential, U.S. Treasury securities (which are guaranteed as to the payment of principal and interest by the U.S. government) offer lower credit risk, higher levels of liquidity, higher interest-rate risk and lower return potential, whereas asset classes such as high-yield corporate bonds and emerging market bonds offer higher credit risk, lower levels of liquidity, lower interest-rate risk and higher return potential. Other asset classes shown carry different levels of each of these risk and return characteristics, and as a result generally fall varying degrees along the risk/return spectrum. Costs and expenses associated with investing in asset classes shown will vary, sometimes substantially, depending upon specific investment vehicles chosen. No investment in the asset classes shown is insured or guaranteed, unless explicitly stated for a specific investment vehicle. Interest income earned on asset classes shown is subject to ordinary federal, state and local income taxes, excepting U.S. Treasury securities (exempt from state and local income taxes) and municipal securities (exempt from federal income taxes, with certain securities exempt from federal, state and local income taxes). In addition, federal and/or state capital gains taxes may apply to investments that are sold at a profit. Eaton Vance does not provide tax or legal advice. Prospective investors should consult with a tax or legal advisor before making any investment decision. BofA Merrill Lynch Indexes: Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. Historical performance of indexes illustrates market trends and does not represent the past or future performance of any fund. BofA Merrill Lynch™ indices not for redistribution or other uses; provided "as is", without warranties, and with no liability. Eaton Vance has prepared this report, BofAML does not endorse it, or guarantee, review, or endorse Eaton Vance's products. MSCI Indexes: Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. Historical performance of the index illustrates market trends and does not represent the past or future performance of the fund. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. Credit ratings that may be referenced are based on Moody's, S&P or Fitch, as applicable. Credit ratings are based largely on the rating agency's investment analysis at the time of rating and the rating assigned to any particular security is not necessarily a reflection of the issuer's current financial condition. The rating assigned to a security by a rating agency does not necessarily reflect its assessment of the volatility of a security's market value or of the liquidity of an investment in the security. Ratings of BBB or higher by Standard and Poor's or Fitch (Baa or higher by Moody's) are considered to be investment grade quality.
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