floating-rate loan - eaton vance

Floating-Rate Loan

Market Monitor

Q3 2021

FLOATING-RATE LOAN GROUP

Floating-Rate Loan Market Monitor | Q3 2021

Asset Class Review 3

Market Update 8

Portfolio Applications 27

About Eaton Vance 33

Additional Information 36

2

Past performance is not a reliable indicator of future results. Data provided is for informational use only. See end of material for important additional information and disclosures.

Table of Contents

A leader in floating-rate loan investment management, Eaton Vance

presents Floating-Rate Loan Market Monitor, an in-depth review of

the loan market through clear and impactful charts. Providing

timely information across a broad array of topics relating to this

distinctive asset class, Floating-Rate Loan Market Monitor serves as

a helpful resource in providing connectivity between changing

market events and implications for investors’ loan allocation.

Use Floating-Rate Loan Market Monitor to educate on the loan

market, provide updates on loan market conditions and explain the

role of loans within portfolios.

Asset Class Review


Past performance is not a reliable indicator of future results. Data provided is for informational use only. It is not possible to invest directly in an Index. See end of material for important additional information and

disclosures.

4

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 to maintain a fixed spread over a

variable base rate, usually LIBOR (and in the future likely to be SOFR)

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)

Asset class review

Floating-Rate Loan primer


Floating-rate loans represent a senior layer

of issuer capital structure

Substantial junior capital cushion provides

low loan-to-value

Secured by collateral including issuer

accounts receivable, inventory, property,

plant, equipment and/or stock

Source: Eaton Vance, December 31, 2020. Past performance is not a reliable indicator of future results. Data provided is for informational use only. See end of material for important additional information and

disclosures. The data is an average of all loans currently tracked across the Eaton Vance loan platform as of December 31, 2020. Does not represent any particular issuer or product. EBITDA is defined as earnings before

interest taxes depreciation and amortization. Data is based on the pre-pandemic equity multiple of 14.0x.

Asset class review

Fundamental lending proposition

Weighted Average Company Capital Structure

$4.1B Revenue & $872M EBITDA

Fixed Charge Coverage: 2.1x

Interest Coverage: 3.9x

$12.2 Billion Enterprise Value

4.1x

(29% of cap structure)

5.3x


14.0x


Floating-Rate Loans

Equity

$3,575 Million

$11,741 Million

High-Yield Bonds

$7,569 M

$1,046 M

$3,575 M


Sources: Bloomberg, ICE Data Indices LLC, and LCD, an offering of S&P Global Market Intelligence, September 30, 2021. Past performance is not a reliable indicator of future results. Data provided is for informational

use only. It is not possible to invest directly in an Index. See end of material for important additional information and disclosures. US Investment Grade measured by the Bloomberg US Corporate Index. US Floating-Rate

Loans measured by the S&P/LSTA Leveraged Loan Index. US High Yield measured by the ICE BofA US High Yield Index. Size of market is based on par outstandings.

Asset class review

Taxonomy of floating-rate loans

US Investment Grade US Floating-Rate Loans US High Yield

Size of Market $6.2 T $1.3 T $1.5 T

# of Issues 6,902 1,462 2,127

Avg. Credit Quality A3/Baa1 B+ B1

Base Rate US Treasuries LIBOR US Treasuries

Coupon Structure Fixed Floating Fixed

Avg. Duration 8.7 yrs. -- 4.2 yrs.

Avg. Yield to Maturity 2.2% 4.2% 4.7%

Avg. Maturity 12.3 yrs 4.8 yrs 6.7 yrs


Source: LCD, an offering of S&P Global Market Intelligence, September 30, 2021. Past performance is not a reliable indicator of future results. Data provided is for informational and illustrative purposes only. This is an

example only and is not intended to represent the allocation of any fund/account/strategy. This list represents a sample of some of the larger and more liquid loans in the S&P/LSTA Leveraged Loan Index. This sample is not

necessarily representative of the other issuers in this index, which will vary based on factors including size and liquidity. This information is not to be construed as investment advice or a recommendation to buy or sell any

particular security. Investors should consult an investment professional prior to making any investment decisions. It is not possible to invest directly in an index. See end of material for important additional information and

disclosures.

Asset class review

Sample loan market issuers

Issuer Industry Maturity Date Spread Corp. Ratings

Akzo Nobel Chemicals Chemicals & Plastics Oct 2025 L+300 B+/B1

Asurion Insurance Dec 2026 L+325 B+/Ba3

Avolon Aerospace Equipment Leasing Jan 2025 L+200 BBB-/Baa2

BMC Software Electronics/Electrical Oct 2025 L+375 B/B2

CenturyLink Telecom Mar 2027 L+225 BBB-/Ba3

Charter Communications Cable & Satellite Television Feb 2027 L+175 BBB-/Ba1

Dell Electronics/Electrical Sep 2025 L+175 BBB-/Baa3

Grifols Drugs Jan 2025 L+200 BB+/Ba2

HUB International Insurance Apr 2025 L+300 B/B2

Pilot Travel Centers Retailers (except food & drug) Aug 2028 L+200 BB+/Ba1

Scientific Games Lodging & Casinos Aug 2024 L+275 B+/Ba3

Univision Radio & Television Mar 2024 L+275 B/B2

Valeant Pharmaceuticals Drugs Jun 2025 L+300 BB-/Ba2

Virgin Media Cable & Satellite Television Jan 2028 L+250 BB-/Ba3

Zayo Group Telecom Mar 2027 L+300 B/B1

Market Update


Market update

Floating-rate loan quarterly dashboard

Top 10 Industries

Maturity Breakdown

Source: LCD, an offering of S&P Global Market Intelligence, September 30, 2021. Past performance is not a reliable indicator of future results. All data reflects the S&P/LSTA Leveraged Loan Index. Data provided is for

informational and illustrative purposes only. It is not possible to invest directly in an index. See end of material for important additional information and disclosures. Maturity breakdown excludes defaulted facilities and is

based on par amount outstanding. Spread, yield and maturity data excludes defaults.

Index Statistics

Total Par Outstanding ($B) $1,299.34

Number of Issuers 1,177

Number of Facilities 1,462

Bid Price $98.62

Nominal Spread L+372

Discounted Spread (3 Years) L+413

Years to Maturity 4.81 yrs.

Yield to Maturity 4.19%

Loan Type

First Lien 97.47%

Second Lien 2.53%

15.7%

9.8%

9.8%

4.4%

3.8%

3.8%

3.7%

3.7%

3.6%

3.4%

0% 5% 10% 15% 20%

Electronics/Electrical

Health Care

Business Equipment & Services

Chemicals & Plastics

Insurance

Telecom

Leisure Goods/Activities/Movies

Industrial Equipment

Cable & Satellite Television

Building & Development

0.1% 0.1%3.6%

13.2%

20.7% 20.6%

16.9%

23.9%

0.9%

0%

10%

20%

30%

40%

2021 2022 2023 2024 2025 2026 2027 2028 2029



informational and illustrative purposes only. It is not possible to invest directly in an index. See end of material for important additional information and disclosures. Breakdown by bid price includes performing loans only.

Market update


Breakdown by Bid Price Breakdown by Facility Rating

Average Rating:

B+

Less than $700.43%

$70-79.990.29%

$80-$89.991.95%

$90-$99.9971.49%

Par and Above25.85%

BBB7.24%

BB22.88%

B61.20%

CCC and Lower6.70%

Not Rated1.98%

Average Price:

$98.62


Source: LCD, an offering of S&P Global Market Intelligence, September 30, 2021. Past performance is not a reliable indicator of future results. Data provided is for informational and illustrative purposes only. It is not

possible to invest directly in an index. See end of material for important additional information and disclosures. Data includes performing loans only in the S&P/LSTA Leveraged Loan Index.

Market update


Price DistributionPercent of the Index

Price by Credit TierAverage Bid Price of Outstanding Loans

0%

10%

20%

30%

40%

50%

60%

70%

Dec 2019 Mar 2020 Sep 2021

Below 80 80-90 90-98 98-100 Par and above BB

B

CCC

$60

$65

$70

$75

$80

$85

$90

$95

$100

Dec 2

019

Jan

2020

Fe

b 2

02

0

Ma

r 20

20

Ap

r 202

0

May 2

020

Jun

2020

Jul 2020

Au

g 2

020

Se

p 2

020

Oct 202

0

Nov 2

020

Dec 2

020

Jan

2021

Feb 2

021

Ma

r 20

21

Ap

r 202

1

Ma

y 2

021

Jun

2021

Jul 2021

Au

g 2

021

Se

p 2

021


Source: LCD, an offering of S&P Global Market Intelligence, September 30, 2021. Past performance is not a reliable indicator of future results. Performance measures the S&P/LSTA Leveraged Loan Index. Data provided

is for informational use only. Indexes are unmanaged, do not reflect the deduction of fees and expenses, and are not available for direct investment.

12

Market update

Performance: Calendar year index returns

Last 12 Months: 8.40%

Median: 5.08%

-30% -25% -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% 55%

2009

2016

2010

2003

2012

2019

LTM

1997

2006

2013

1998

2004

2005

2000

2001

2017

1999

2020

2007

2002

2014

2011

2018

2015

2008

Return


Q3 2021Return1.11%

Median Return1.43%

0

0.2

0.4

0.6

0.8

1

1.2

1.4

1.6

1.8

2

-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

Retu

rn

Source: LCD, an offering of S&P Global Market Intelligence, September 30, 2021. Past performance is not a reliable indicator of future results. Performance measures all quarterly returns of the S&P/LSTA Leveraged Loan

Index back to its inception in January 1997 and sorts them from lowest to highest. Data provided is for informational use only. Indexes are unmanaged, do not reflect the deduction of fees and expenses, and are not available

for direct investment.

13

Market update

Performance: Distribution of quarterly returns

Negative Quarters Positive Quarters

5 Worst Quarterly Performances 5 Best Quarterly Performances

Q4 2008 -22.94% Q2 2009 20.38%

Q1 2020 -13.05% Q3 2009 10.53%

Q3 2008 -6.99% Q1 2009 9.80%

Q1 2008 -5.74% Q2 2020 9.70%

Q3 2011 -3.85% Q2 2008 4.94%


Source: LCD, an offering of S&P Global Market Intelligence, September 30, 2021. Past performance is not a reliable indicator of future results. Performance measures the S&P/LSTA Leveraged Loan Index. Data

provided is for informational use only. Indexes are unmanaged, do not reflect the deduction of fees and expenses, and are not available for direct investment. See end of material for important additional information and

disclosures. Credit tier spreads measure discounted spread to three years over LIBOR.

Market update

Performance: Credit tier returns

Credit Tier PerformanceQ3 and Trailing 12 Months

1.1% 0.7% 0.8% 1.1%2.1%

0.6%

8.4%

4.0%5.2%

8.3%

22.7%

7.3%

0%

5%

10%

15%

20%

25%

Index BBB BB B CCC D

Retu

rn

Q3 2021Trailing 12 Months

Credit Tier % of Index Avg. Price Avg. Spread (bps)

Index -- $98.6 L+413

BBB 7.2 $99.6 L+210

BB 22.9 $99.4 L+309

B 61.2 $99.3 L+428

CCC 6.2 $92.9 L+827

D 0.4 $56.2 --


Source: LCD, an offering of S&P Global Market Intelligence, September 30, 2021. Past performance is not a reliable indicator of future results. Performance measures the S&P/LSTA Leveraged Loan Index. Data

provided is for informational use only. Indexes are unmanaged, do not reflect the deduction of fees and expenses, and are not available for direct investment. See end of material for important additional information and

disclosures. Bubble size reflects the market value of each industry in the S&P/LSTA Leveraged Loan Index.

Market update

Performance: Industry size and returns

Industry Performance and Market ValueQ3 2021

Nonferrous Metals/Minerals

3.8%

Cosmetics/Toiletries2.7%

Conglomerates2.7%

Publishing1.8%

Oil & Gas1.8%

Utilities1.6%

Lodging & Casinos1.3%

Electronics/Electrical1.2%

Health Care1.2%

Surface Transport1.1%

Business Equipment & Services

1.1%

Home Furnishings1.1%

Ecological Services & Equipment

1.1%

Telecom1.1%

Financial Intermediaries1.1%

Building & Development

1.1%

Industrial Equipment1.1%

Containers & Glass Products

1.1%

Radio & Television

1.1%

Chemicals & Plastics1.1%

Aerospace & Defense

1.0%

Clothing/Textiles1.0%

Air Transport1.0%

Insurance1.0%

Automotive0.9%

Retailers (except food & drug)

0.9%

Cable & Satellite Television0.9%

Food Products

0.9%

Steel0.9%

Food Service0.8%

Food/Drug Retailers0.8%

Drugs0.8%

Equipment Leasing

0.7%

Beverage & Tobacco

0.6%

Leisure Goods/Activities/Movies0.2%

Forest Products-2.2%

-3%

-2%

-1%

0%

1%

2%

3%

4%

5%

Q3 R

etu

rn


Source: LCD, an offering of S&P Global Market Intelligence, LSTA Trade Data Study. Par amount outstanding as of September 30, 2021. Trading and turnover as of June 30, 2021. Past performance is not a reliable

indicator of future results. Data provided is for informational use only. Amount of outstandings measures the S&P/LSTA Leveraged Loan Index. Trading and turnover data is sourced from 20 of the largest buy-side and sell-

side member institutions of the LSTA. The 1H 2021 trading volume and turnover data is annualized. It is not possible to invest directly in an Index.

16

Market update

Technical factors: Market size and trading volume

Market SizePar Amount of Outstanding Loan Market

Trading and TurnoverUS Trading Volume and Annual Loan Turnover Ratio

$881

$955

$1,147$1,193 $1,193

$1,299

$0 B

$100 B

$200 B

$300 B

$400 B

$500 B

$600 B

$700 B

$800 B

$900 B

$1000 B

$1100 B

$1200 B

$1300 B

2016

2017

2018

2019

2020

Se

p 2

021

$596

$635

$720 $743

$772

$824

69%

0%

25%

50%

75%

100%

$0B

$100B

$200B

$300B

$400B

$500B

$600B

$700B

$800B

$900B

2016

2017

2018

2019

2020

1H

2021 A

nn.

Volume Turnover Ratio (%)


Source: LCD, an offering of S&P Global Market Intelligence, September 30, 2021. Past performance is not a reliable indicator of future results. Data provided is for informational use only. It is not possible to invest directly

in an Index.

17

Market update

Technical factors: Loan demand and M&A volume

Institutional Loan Volume Backing M&ALeveraged Buyout (LBO) and Other M&A

Visible DemandQuarterly CLO Creation and Mutual Fund Flows

-$30 B

-$20 B

-$10 B

$0 B

$10 B

$20 B

$30 B

$40 B

$50 B

$60 B

$70 B

4Q

16

1Q

17

2Q

17

3Q

17

4Q

17

1Q

18

2Q

18

3Q

18

4Q

18

1Q

19

2Q

19

3Q

19

4Q

19

1Q

20

2Q

20

3Q

20

4Q

20

1Q

21

2Q

21

3Q

21

CLOs Loan Funds Total

$0 B

$10 B

$20 B

$30 B

$40 B

$50 B

$60 B

$70 B

$80 B

$90 B

$100 B

4Q

16

1Q

17

2Q

17

3Q

17

4Q

17

1Q

18

2Q

18

3Q

18

4Q

18

1Q

19

2Q

19

3Q

19

4Q

19

1Q

20

2Q

20

3Q

20

4Q

20

1Q

21

2Q

21

3Q

21

LBO Other M&A


Market update

Fundamental conditions: Revenue and earnings growth

Source: LCD, an offering of S&P Global Market Intelligence, Q2 2021. Past performance is not a reliable indicator of future results. Data provided is for informational use only. It is not possible to invest directly in an

Index. EBITDA refers to earnings before interest, taxes, depreciation and amortization. The data are based on approximately 150 public issuers included in the S&P/LSTA Leveraged Loan Index. See end of material for

important additional information and disclosures.

Year-Over-Year Revenue Growth Year-Over-Year EBITDA Growth

27%

-25%

-15%

-5%

5%

15%

25%

35%

1Q

09

3Q

09

1Q

10

3Q

10

1Q

11

3Q

11

1Q

12

3Q

12

1Q

13

3Q

13

1Q

14

3Q

14

1Q

15

3Q

15

1Q

16

3Q

16

1Q

17

3Q

17

1Q

18

3Q

18

1Q

19

3Q

19

1Q

20

3Q

20

1Q

21

21%

-25%

-15%

-5%

5%

15%

25%

35%

1Q

09

3Q

09

1Q

10

3Q

10

1Q

11

3Q

11

1Q

12

3Q

12

1Q

13

3Q

13

1Q

14

3Q

14

1Q

15

3Q

15

1Q

16

3Q

16

1Q

17

3Q

17

1Q

18

3Q

18

1Q

19

3Q

19

1Q

20

3Q

20

1Q

21


Market update

Fundamental conditions: Leverage and interest coverage

Source: Eaton Vance, September 30, 2021. Past performance is not a reliable indicator of future results. Data provided is for informational use only. See end of material for important additional information and

disclosures. The data is an average of all loans tracked across the Eaton Vance loan platform. Does not represent any particular issuer or product.

Weighted Average Leverage Interest Coverage

2x

3x

4x

5x

6x

7x

8x

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

2021

Senior Leverage Total Leverage

0x

1x

2x

3x

4x

5x

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

2021


Market update

Fundamental conditions: Loan upgrades outpacing downgrades


informational and illustrative purposes only. It is not possible to invest directly in an index. See end of material for important additional information and disclosures.

Rolling 3-Month Count of Ratings Upgrades & Downgrades

-500

-400

-300

-200

-100

0

100

200

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

2021

Dow

ngra

des

U

pgra

des



informational use only. It is not possible to invest directly in an Index. See end of material for important additional information and disclosures.

21

Market update

Fundamental conditions: Default rate and distress ratio

Default RateLast 12 Months By Principal Amount

Distress RatioPercent of Performing Loans Trading Below $80

Credit Loss

(Assumes

70%

Recoveries)

Actual

Default

Rate

0.35%

0.11%0%

2%

4%

6%

8%

10%

12%

'00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20

0.72%0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

'00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20


Sources: Eaton Vance, St. Louis Federal Reserve, and LCD, an offering of S&P Global Market Intelligence, September 30, 2021. Past performance is not a reliable indicator of future results. All spread and LIBOR floor

data reflects the S&P/LSTA Leveraged Loan Index. Data provided is for informational use only. Credit spread and floor benefit data are shown on a weighted average basis. LIBOR floor benefit is measured as the difference

between prevailing LIBOR rates and the average LIBOR floor. Data excludes facilities in default.

22

Market update

Valuations: Composition of average loan Index coupon

LIBOR Floor % of Par Outstanding

0% floor 49.8%

0.75% and less 34.4%

1.00% 14.9%

>1.00% 0.1%

No floor 0.8%

Credit Spread Corresponding All-In Rate

Max (Dec 2015) 4.04% 5.01%

Post-Crisis Average 3.60% 4.75%

Current 3.72% 4.18%

Long-Term Average 3.25% 5.52%

Min (June 2007) 2.42% 7.78%

0%

2%

4%

6%

8%

10%

12%

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

All-

In C

oupon R

ate

Credit Spread 3-Month LIBOR Floor Benefit


Sources: Eaton Vance, St. Louis Federal Reserve, September 30, 2021. Past performance is not a reliable indicator of future results. Data provided is for informational use only.

23

Market update

Special topic: LIBOR transition

What does LIBOR’s end mean for loans?

In 2017, the Alternative Reference Rate Committee (ARRC), a

panel convened by the U.S. Federal Reserve, selected the Secured

Overnight Financing Rate (SOFR) as a replacement for U.S.

LIBOR to be effective no later than the end of 2021.

SOFR reflects a broad universe of overnight U.S. Treasury repo

activity based on more than $800 billion in daily transactions.

In November 2020, U.S. and U.K. banking regulators announced

that the December 31, 2021 sunset for LIBOR would remain in

place for newly originated loans.

However, they added that most U.S. dollar (USD) LIBOR maturities

could be extended to June 2023 for legacy contracts only.

Newly issued LIBOR-based loans will soon be a thing of the past,

and sometime later this year we expect to see the birth of SOFR-

based loans.

Meantime, the extension to remediate existing LIBOR-based loans

to mid-2023 means that the asset class has a nice long runway to

make a smooth transition.

30-Day Average SOFR

1-Month LIBOR

0.00%

0.25%

0.50%

0.75%

1.00%

1.25%

1.50%

1.75%

2.00%

2.25%

2.50%

2.75%

May2018

Sep2018

Jan2019

May2019

Sep2019

Jan2020

May2020

Sep2020

Jan2021

May2021

Sep2021

LIBOR vs SOFR


Sources: Eaton Vance, Citibank Velocity, Macrobond, LCD, an offering of S&P Global Market Intelligence, September 30, 2021. Past performance is not a reliable indicator of future results. Data provided is for

informational use only. All CLO data measures CLO tranches issued after the 2008 financial crisis. Loan data represented by the S&P/LSTA Leveraged Loan Index. US IG Corps represented by the ICE BofA US Corporate

Index 1-10 Year. US HY Corp represented by the ICE BofA US High Yield Index. EMD Sov represented by the J.P. Morgan EM Bond Index (EMBI) Global Diversified. Default and loss rates measure the S&P/LSTA Leveraged

Loan Index, with loss rates based on 65% recovery assumption.

24

Market update

Special topic: Collateralized Loan Obligations (CLOs)

Comparative Yields for BBB and BB tranches of CLOs

Illustrative capital structure for a US CLO

Credit RatingCredit

EnhancementCredit Spread

Average

Price

AAA 36% 80 – 120 $100.0

AA 25% 135 – 170 $99.8

A 17% 175 – 230 $99.7

BBB 13% 265 – 405 $99.0

BB 8% 575 – 800 $95.6

A Credit Support

BBB Credit Support

BB Credit Support

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

199

9

200

1

200

3

200

5

200

7

200

9

201

1

201

3

201

5

201

7

201

9

202

1

Defa

ult a

nd

Lo

ss R

ate

CLO Tranche Support

Loss Rate Default Rate

4.6%

2.4% 2.3%

3.4%

8.3%

3.2% 3.2%

5.0%

0%

3%

6%

9%

CLO BBB US IG CorpBBB

US LoansBBB

EMD SovBBB

CLO BB US HYCorp BB

US LoansBB

EMD SovBB

Yie

ld t

o W

ors

t (%

)


Sources: Citibank Velocity and LCD, an offering of S&P Global Market Intelligence, September 30, 2021. Past performance is not a reliable indicator of future results. Data provided is for informational use only. All CLO

data measures CLO tranches issued after the 2008 financial crisis. Loans represented by the S&P/LSTA Leveraged Loan Index and show spread-to-maturity.

25

Market update

Special topic: Volatility of CLOs relative to underlying loans

0

200

400

600

800

1000

1200

1400

1600

1800

2000

2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

Spre

ad (

bps)

Post-Crisis CLO Spreads: A, BBB, BB vs. Loans

A BBB BB Loans

Portfolio Applications


Treasury

AggregateMBS

Investment Grade Corp.

Municipal

EM Sovereign (USD)

High-Yield Corp.Floating-Rate Loans1

0

1

2

3

4

5

6

0 1 2 3 4 5 6 7 8 9

Yie

ld to W

ors

t (%

)

Duration

Sources: Eaton Vance, Bloomberg, JPMorgan, ICE Data Indices, LLC, and LCD, an offering of S&P Global Market Intelligence, September 30, 2021. Past performance is not a reliable indicator of future results. Data

provided is for informational use only. It is not possible to invest directly in an Index. Yield to worst is the lowest potential yield that can be received on a bond without an issuer actually defaulting. Duration is a measure of the

sensitivity of a bond’s price to a change in interest rates. Treasury represented by Bloomberg U.S. Treasury Index. Agency represented by Bloomberg U.S. Agency Index. Aggregate represented by Bloomberg U.S. Aggregate

Index. MBS represented by Bloomberg U.S. Mortgage Backed Securities (MBS) Index. Investment-Grade Corp. represented by Bloomberg U.S. Corporate Index. Municipal represented by Bloomberg Municipal Bond Index. EM

Sovereign (USD) represented by J.P. Morgan EM Bond Index (EMBI) Global Diversified Index. High-Yield Corp. represented by Bloomberg U.S. Corporate High Yield Index. Floating-Rate Loans represented by S&P/LSTA

Leveraged Loan Index. 1Yield to maturity is shown for loans.

27

Portfolio applications

Loans among higher yielding asset classes with little duration


Source: Morningstar, September 30, 2021. Past performance is not a reliable indicator of future results. Data provided is for informational use only. It is not possible to invest directly in an Index. See end of material for

important additional information and disclosures. Correlation is a statistical measure of how two securities perform in relation to each other. Treasury represented by Bloomberg U.S. Treasury Index. Agency represented by

Bloomberg U.S. Agency Index. Aggregate represented by Bloomberg U.S. Aggregate Index. MBS represented by Bloomberg U.S. Mortgage Backed Securities (MBS) Index. Investment-Grade Corp. represented by

Bloomberg U.S. Corporate Index. Municipal represented by Bloomberg Municipal Bond Index. EM Sovereign (USD) represented by J.P. Morgan EM Bond Index (EMBI) Global Diversified Index. High-Yield Corp. represented

by Bloomberg U.S. Corporate High Yield Index. Floating-Rate Loans represented by S&P/LSTA Leveraged Loan Index.

28


Floating-rate structure key driver of negative correlation with bonds

1.00

0.890.82

0.550.49

0.10

-0.18

-0.33

-1.0

-0.8

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

Treasury Aggregate MBS Municipal Investment-GradeCorp

EM Sovereign (USD) High-Yield Corp Floating-Rate Loans

Corr

ela

tio

n t

o 1

0-Y

ear

US

Tre

asurie

s


Sources: LCD, an offering of S&P Global Market Intelligence, Bloomberg, ICE Data Indices, LLC, J.P. Morgan, September 30, 2021. Past performance is not a reliable indicator of future results. Data provided is for

informational use only. Loans represents the S&P/LSTA Leveraged Loan Index. High-Yield Bonds presents the ICE BofA US High Yield Index. Emerging Markets represents the J.P. Morgan EMBI Global Diversified. US

Aggregate represents the Bloomberg US Aggregate Bond Index. 1Yield to maturity is shown for loans.

29


Loan yields are competitive with high-yield bonds and EM debt

Floating-Rate Loans4.19%1

High-Yield Bonds4.09%

Emerging Markets5.11%

US Aggregate1.56%

0%

2%

4%

6%

8%

10%

12%

'14 '15 '16 '17 '18 '19 '20 '21

Yie

ld to W

ors

t


Sources: Eaton Vance, Credit Suisse, Bloomberg, Federal Reserve, September 30, 2021. Past performance is not a reliable indicator of future results. Data provided is for informational use only. It is not possible to invest

directly in an Index. See end of report for important additional information. Loans are represented by Credit Suisse Institutional Leveraged Loan Index and bonds are represented by the Bloomberg U.S. Aggregate Index.

Analysis includes all rolling one-year periods since inception of Credit Suisse Institutional Leveraged Loan Index in 1992. Interest rate periods measures the year over year change in the fed funds rate.

30


Loan vs. bond performance in various interest-rate environments

98 FlatRate Periods

130RisingRate

Periods 117 Falling Rate

Periods

Distribution of All Rolling 1-Year Return Periods: 1992-2021

Loans

Outperformed

Bonds

Outperformed

130 Rising Rate Periods

Avg. Return for 130 1-Year Periods

Loans: 6.30%

Bonds: 3.79%

98 Flat Rate Periods


Loans: 6.40%

Bonds: 5.03%

117 Falling Rate Periods


Loans: 2.24%

Bonds: 7.80%


Sources: LCD, an offering of S&P Global Market Intelligence, Bloomberg, Federal Reserve, Eaton Vance, September 30, 2021. Past performance is not a reliable indicator of future results. Data provided is for

informational use only. It is not possible to invest directly in an Index. See end of report for important additional information. Loans are represented by S&P/LSTA Leveraged Loan Index and bonds are represented by the

Bloomberg U.S. Aggregate Index. Analysis includes all rolling 12-month periods since inception of S&P/LSTA Leveraged Loan Index in 1997.

31


Performance tendencies: Historical relationship of loans to bonds

0%

1%

2%

3%

4%

5%

6%

7%

8%

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

5-Y

ear

Tre

asury

Yie

ld

Loans v

s B

onds E

xcess R

etu

rn

Loan Index vs Bond Index (12-Month Relative Rolling Returns)

Differential 5Y Treasury Yield

Bonds Outperform

Loans Outperform

2021

About Eaton Vance


Measurable track record since 1989

Significant floating-rate loan investment

resources and specialization

Extensive contiguous experience of

investment team

Long-term record of delivering incremental

outperformance with lower volatility than the

S&P/LSTA Leveraged Loan Index

Continuity of philosophy, process and team

over time

Systematic risk-weighted portfolio

construction underpinned by bottom-up

credit research

Source: eVestment, December 31, 2020. Past performance is not a reliable indicator of future results. Data provided is for informational use only. It is not possible to invest directly in an Index. See end of material for

important additional information and disclosures. Based on eVestment Floating-Rate Bank Loan Fixed Income universe using oldest investment offering for each firm.

Eaton Vance for floating-rate loans

The advantage of Eaton Vance’s experience

Median13 Years

0 5 10 15 20 25 30 35

Eaton Vance (1989) Competitor Floating-Rate Loan Managers

Eaton Vance

(Since 1989)


Eaton Vance for floating-rate loans

Investment team with extensive contiguous experience

Employee data and tenure as of September 30, 2021. **Rejoining the firm on November 1, 2021.

TEAM LEADERSHIP

Andrew Sveen, CFACo-Director, Portfolio Manager

26 Years of Experience

22 Years at the Firm

Craig RussCo-Director, Portfolio Manager



CREDIT RESEARCH TRADING

John ReddingPortfolio Manager



Ralph Hinckley, CFASenior Credit Analyst, Portfolio Manager



Catherine McDermottSenior Credit Analyst, Portfolio Manager



Michael Turgel, CFASenior Credit Analyst, Portfolio Manager



Jake Lemle, CFADirector of Loan Trading & Capital Markets



Audrey Grant**Credit Analyst


5 Years at the Firm

Jeff Hesselbein, CFASenior Credit Analyst, Portfolio Manager



Heath Christensen, CFASenior Credit Analyst, Portfolio Manager



Brian Hickey, CFASenior Credit Analyst


1 Year at the Firm

Kathryn ThompsonTrader


2 Years at the Firm

Sarah ChoiSenior Credit Analyst


1 Years at the Firm

William Holt, CFASenior Credit Analyst, Portfolio Manager



Daniel McElaney, CFASenior Credit Analyst, Portfolio Manager



Christopher ReeseTrader


<1 Year at the Firm

Ellen GreenResearch Associate


2 Years at the Firm

Anna GribovskySenior Credit Analyst


8 Years at the Firm

Anish GuhaAssociate Credit Analyst


3 Years at the Firm

Elizabeth McDonoughTrading Associate


7 Years at the Firm

Erik ManditchAssociate Credit Analyst


3 Years at the Firm

Jimmy JiangResearch Associate

1 Year of Experience

1 Year at the Firm

STRUCTURED PRODUCTSPRODUCT & PORTFOLIO

STRATEGY

Michael Kinahan, CFAHead of Structured Products



Christopher RemingtonInstitutional Portfolio Manager



Matt Sosland, CFALead CLO Portfolio Manager


1 Year at the Firm

John BrodbineSenior Structured Portfolio Analyst



Edward Greenaway, CFASenior Structured Portfolio Analyst,

Portfolio Manager



April FengStructuring & Tranche Investing


1 Year at the Firm

Robert Holmes, CFASenior Income Portfolio Specialist


9 Years at the Firm

Karthik ShankarSenior Structured Portfolio Analyst



Phil DillonSenior Structured Portfolio Analyst


1 Year at the Firm

Stephen MonradStructured Portfolio Associate


2 Years at the Firm

CREDIT ADVISORY OPERATIONS

Patrick DanielloCredit Advisory


2 Years at the Firm

Michael BotthofDirector of Bank Loan Operations



6 Operations/Compliance Professionals

Additional Information


INDEX DEFINITIONS:

Bloomberg Global Aggregate Ex-USD Index is a broad-based measure of

global investment grade fixed-rate debt investments, excluding USD-

denominated debt.

Bloomberg Municipal Bond Index is an unmanaged index of municipal bonds

traded in the U.S.

Bloomberg 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.

Bloomberg U.S. Aggregate Index is an unmanaged index of domestic

investment-grade bonds, including corporate, government and mortgage-backed

securities.

Bloomberg U.S. Corporate Index is an unmanaged index that measures the

performance of investment-grade corporate securities within the Bloomberg U.S.

Aggregate Index.

Bloomberg U.S. Mortgage Backed Securities (MBS) Index measures agency

mortgage-backed pass-through securities issued by GNMA, FNMA, and FHLMC.

Bloomberg U.S. Treasury Index measures public debt instruments issued by

the U.S. Treasury.

Credit Suisse Institutional Leveraged Loan Index is an unmanaged index of

the institutional leveraged loan market.

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.

Standard & Poor’s 500 Index is an unmanaged index of large-cap stocks

commonly used as a measure of U.S. stock market performance.

S&P/LSTA Leveraged Loan Index is an unmanaged index of the institutional

leveraged loan market.

36

ABOUT RISK:

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 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.

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. Maturity – Longer-term bonds

typically are more sensitive to interest rate changes than shorter-term

bonds. Prepayment – MBS – Mortgage-backed securities are subject to

prepayment risk. Smaller Companies – Smaller companies are generally

subject to greater price fluctuations, limited liquidity, higher transaction

costs and higher investment risk than larger, established companies.

Important information and disclosure


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 specif ic 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.

ICE BofA 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. ICE BofA™ indices not for redistribution or other uses; provided "as is", without warranties, and with no liability. Eaton Vance has

prepared this report, ICE BofA does not endorse it, or guarantee, review, or endorse Eaton Vance's products.

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.

Important information and disclosure


Important additional information and disclosureSource of all data: Eaton Vance, as at September 30, 2021, unless otherwise specified.

This material is presented for informational and illustrative purposes only. This material

should not be construed as investment advice, a recommendation to purchase or sell

specific securities, or to adopt any particular investment strategy; it 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. Investment views, opinions,

and/or analysis expressed constitute judgments as of the date of this material and are

subject to change at any time without notice. Different views may be expressed based

on different investment styles, objectives, opinions or philosophies. This material may

contain 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.

This material is for the benefit of persons whom Eaton Vance reasonably believes it is

permitted to communicate to and should not be forwarded to any other person without

the consent of Eaton Vance. It is not addressed to any other person and may not be

used by them for any purpose whatsoever. It expresses no views as to the suitability of

the investments described herein to the individual circumstances of any recipient or

otherwise. It is the responsibility of every person reading this document to satisfy himself

as to the full observance of the laws of any relevant country, including obtaining any

governmental or other consent which may be required or observing any other formality

which needs to be observed in that country. Unless otherwise stated, returns and market

values contained herein are presented in US Dollars.

In the EU this material is issued by MSIM Fund Management (Ireland) Limited (“MSIM

FMIL”) registered in the Republic of Ireland with Registered Office at 7-11 Sir John

Rogerson's Quay, Dublin 2, D02 VC42, Ireland. MSIM FMIL is regulated by the Central

Bank of Ireland with Company Number: 616661.

Outside of the US and EU, this material is issued by Eaton Vance Management

(International) Limited (“EVMI”) 125 Old Broad Street, London, EC2N 1AR, UK, and is

which is authorised and regulated in the United Kingdom by the Financial Conduct

Authority.

This material is only intended for and will only be distributed to persons resident in

jurisdictions where such distribution or availability would not be contrary to local laws or

regulations.

EVMI/MSIM FMIL markets the services of the following strategic affiliates: Eaton Vance

Management ("EVM"), Eaton Vance Advisers International Ltd (“EVAIL”), Parametric

Portfolio Associates® LLC ("PPA"), Calvert Research and Management (“CRM”), and

Atlanta Capital Management Company LLC ("Atlanta "). EVM, EVAIL, PPA, CRM and

Atlanta are SEC registered investment advisor and are part of Morgan Stanley

Investment Management, the asset management division of Morgan Stanley.

This material is for Professional Clients/Accredited Investors only.

This material does not constitute an offer to sell or the solicitation of an offer to buy any

services referred to expressly or impliedly in the material in the People's Republic of

China (excluding Hong Kong, Macau and Taiwan, the "PRC") to any person to whom it is

unlawful to make the offer or solicitation in the PRC.

The material may not be provided, sold, distributed or delivered, or provided or sold or

distributed or delivered to any person for forwarding or resale or redelivery, in any such

case directly or indirectly, in the People's Republic of China (the PRC, excluding Hong

Kong, Macau and Taiwan) in contravention of any applicable laws.

In Singapore, Eaton Vance Management International (Asia) Pte. Ltd. (“EVMIA”) holds a

Capital Markets Licence under the Securities and Futures Act of Singapore (“SFA”) to

conduct, among others, fund management, is an exempt Financial Adviser pursuant to

the Financial Adviser Act Section 23(1)(d) and is regulated by the Monetary Authority of

Singapore (“MAS”). Eaton Vance Management, Eaton Vance Management

(International) Limited and Parametric Portfolio Associates® LLC holds an exemption

under Paragraph 9, 3rd Schedule to the SFA in Singapore to conduct fund management

activities under an arrangement with EVMIA and subject to certain conditions.

In Australia, EVMI is exempt from the requirement to hold an Australian financial

services license under the Corporations Act in respect of the provision of financial

services to wholesale clients as defined in the Corporations Act 2001 (Cth) and as per

the ASIC Corporations (Repeal and Transitional) Instrument 2016/396.

EVMI is registered as a Discretionary Investment Manager in South Korea pursuant to

Article 18 of Financial Investment Services and Capital Markets Act of South Korea.

Morgan Stanley Investment Management (“MSIM”) (the asset management division of

Morgan Stanley (NYSE: MS)) and its affiliates have arrangements in place to market

each other’s products and services. Each MSIM affiliate is regulated as appropriate in

the jurisdiction it operates. Please refer to the MSIM ADVs for details of affiliates.

In the United States:

Eaton Vance Management is an SEC –registered investment advisor and part of Morgan

Stanley Investment Management, the asset management division of Morgan Stanley.

Eaton Vance Distributors, Inc. (“EVD”), Two International Place, Boston, MA 02110,

(800) 225-6265. Member of FINRA/ SIPC.

Eaton Vance WaterOak Advisors. Two International Place, Boston, MA 02110. Eaton

Vance WaterOak is an SEC-registered investment advisor and part of Morgan Stanley

Investment Management, the asset management division of Morgan Stanley.

Investing entails risks and there can be no assurance that Eaton Vance will

achieve profits or avoid incurring losses. It is not possible to invest directly in an

index. Past performance is not a reliable indicator of future results.

6140 | 10.06.2021

About Eaton Vance

Eaton Vance is part of Morgan Stanley Investment Management, the asset management division of Morgan Stanley. It provides advanced investment strategies and wealth management solutions to

forward-thinking investors around the world. Through its distinct investment brands Eaton Vance Management, Parametric, Atlanta Capital and Calvert, the Company offers a diversity of investment

approaches, encompassing bottom-up fundamental active management, responsible investing, systematic investing and customized implementation of client-specified portfolio exposures. Exemplary

service, timely innovation and attractive returns across market cycles have been hallmarks of Eaton Vance since 1924.

For more information or to subscribe

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Eaton VanceTwo International PlaceBoston, MA 02110800 225 6265617 482 8260eatonvance.com

@2021 Eaton Vance Management

For more information, please contact:

:

Eaton Vance Management

(International) Limited

125 Old Broad Street, London,

EC2N 1AR, United Kingdom

+44 (0)203 207 1900

[email protected]

eatonvance.co.uk

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7-11 Sir John Rogerson's Quay

Dublin 2, D02 VC42, Ireland

+353 1 799 8700


International (Asia) Pte. Ltd.

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1, Singapore 018960

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