Notes to Financial Statements (Unaudited)
1 Significant Accounting Policies
Eaton Vance Senior Income Trust (the Trust) is a
Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a diversified, closed-end management investment company. The Trusts investment objective is to provide a high level of current
income, consistent with the preservation of capital, by investing primarily in senior, secured floating-rate loans.
The following is a summary of
significant accounting policies of the Trust. The policies are in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Trust is an investment company and follows accounting and reporting guidance
in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946.
A Investment Valuation The following methodologies are used to determine the market value or fair value of investments.
Senior
Floating-Rate Loans. Interests in senior floating-rate loans (Senior Loans) for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing
service. Other Senior Loans are valued at fair value by the investment adviser under procedures approved by the Trustees. In fair valuing a Senior Loan, the investment adviser utilizes one or more of the valuation techniques described in
(i) through (iii) below to assess the likelihood that the borrower will make a full repayment of the loan underlying such Senior Loan relative to yields on other Senior Loans issued by companies of comparable credit quality. If the
investment adviser believes that there is a reasonable likelihood of full repayment, the investment adviser will determine fair value using a matrix pricing approach that considers the yield on the Senior Loan. If the investment adviser believes
there is not a reasonable likelihood of full repayment, the investment adviser will determine fair value using analyses that include, but are not limited to: (i) a comparison of the value of the borrowers outstanding equity and debt to
that of comparable public companies; (ii) a discounted cash flow analysis; or (iii) when the investment adviser believes it is likely that a borrower will be liquidated or sold, an analysis of the terms of such liquidation or sale. In
certain cases, the investment adviser will use a combination of analytical methods to determine fair value, such as when only a portion of a borrowers assets are likely to be sold. In conducting its assessment and analyses for purposes of
determining fair value of a Senior Loan, the investment adviser will use its discretion and judgment in considering and appraising relevant factors. Fair value determinations are made by the portfolio managers of the Trust based on information
available to such managers. The portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may not possess the same information about a Senior Loan borrower as the portfolio managers of the Trust. At times, the
fair value of a Senior Loan determined by the portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may vary from the fair value of the same Senior Loan determined by the portfolio managers of the Trust. The
fair value of each Senior Loan is periodically reviewed and approved by the investment advisers Valuation Committee and by the Trustees based upon procedures approved by the Trustees. Junior Loans (i.e., subordinated loans and second lien
loans) are valued in the same manner as Senior Loans.
Debt Obligations. Debt obligations are generally valued on the basis of valuations provided
by third party pricing services, as derived from such services pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask prices, broker/dealer quotations, prices or yields of securities
with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information
regarding securities with similar characteristics to determine the valuation for a security. Short-term debt obligations purchased with a remaining maturity of sixty days or less for which a valuation from a third party pricing service is not
readily available may be valued at amortized cost, which approximates fair value.
Equity Securities. Equity securities listed on a U.S.
securities exchange generally are valued at the last sale or closing price on the day of valuation or, if no sales took place on such date, at the mean between the closing bid and ask prices on the exchange where such securities are principally
traded. Equity securities listed on the NASDAQ Global or Global Select Market generally are valued at the NASDAQ official closing price. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued
at the mean between the latest available bid and ask prices or, in the case of preferred equity securities that are not listed or traded in the over-the-counter market, by a third party pricing service that uses various techniques that consider
factors including, but not limited to, prices or yields of securities with similar characteristics, benchmark yields, broker/dealer quotes, quotes of underlying common stock, issuer spreads, as well as industry and economic events.
Derivatives. Forward foreign currency exchange contracts are generally valued at the mean of the average bid and average ask prices that are reported by
currency dealers to a third party pricing service at the valuation time. Such third party pricing service valuations are supplied for specific settlement periods and the Trusts forward foreign currency exchange contracts are valued at an
interpolated rate between the closest preceding and subsequent settlement period reported by the third party pricing service.
Foreign Securities and
Currencies. Foreign securities and currencies are valued in U.S. dollars, based on foreign currency exchange rate quotations supplied by a third party pricing service. The pricing service uses a proprietary model to determine the exchange rate.
Inputs to the model include reported trades and implied bid/ask spreads.
Affiliated Fund. The Trust may invest in Eaton Vance Cash Reserves Fund,
LLC (Cash Reserves Fund), an affiliated investment company managed by Eaton Vance Management (EVM). While Cash Reserves Fund is not a registered money market mutual fund, it conducts all of its investment activities in accordance with the
requirements of Rule 2a-7 under the 1940 Act. Investments in Cash Reserves Fund are valued at the closing net asset value per unit on the valuation day. Cash Reserves Fund generally values its investment securities based on available market
quotations provided by a third party pricing service.
Fair Valuation. Investments for which valuations or market quotations are not readily
available or are deemed unreliable are valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Trust in a manner that most fairly reflects the securitys fair value, which is the
amount that the Trust might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based
Eaton Vance
Senior Income Trust
December 31, 2020
Notes to Financial Statements (Unaudited) continued
on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual
restrictions on the securitys disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market
participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the companys or entitys financial statements, and an evaluation of the forces that
influence the issuer and the market(s) in which the security is purchased and sold.
B Investment Transactions Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost.
C Income Interest income is recorded on the basis of interest accrued, adjusted
for amortization of premium or accretion of discount. Fees associated with loan amendments are recognized immediately. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. Distributions from
investment companies are recorded as dividend income, capital gains or return of capital based on the nature of the distribution.
D Federal Taxes The Trusts policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders each year substantially all of its net investment income, and all or substantially all of its net realized capital gains. Accordingly, no provision
for federal income or excise tax is necessary.
As of December 31, 2020, the Trust had no uncertain tax positions that would require financial
statement recognition, de-recognition, or disclosure. The Trust files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of
filing.
E Foreign Currency Translation Investment valuations, other
assets, and liabilities initially expressed in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses denominated in
foreign currencies are translated into U.S. dollars based upon currency exchange rates in effect on the respective dates of such transactions. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange
rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately
disclosed.
F Unfunded Loan Commitments The Trust may enter into
certain loan agreements all or a portion of which may be unfunded. The Trust is obligated to fund these commitments at the borrowers discretion. These commitments are disclosed in the accompanying Portfolio of Investments. At December 31,
2020, the Trust had sufficient cash and/or securities to cover these commitments.
G Use of Estimates The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the
financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.
H Indemnifications Under the Trusts organizational documents, its officers and Trustees may be indemnified against certain
liabilities and expenses arising out of the performance of their duties to the Trust. Under Massachusetts law, if certain conditions prevail, shareholders of a Massachusetts business trust (such as the Trust) could be deemed to have personal
liability for the obligations of the Trust. However, the Trusts Declaration of Trust contains an express disclaimer of liability on the part of Trust shareholders and the By-laws provide that the Trust shall assume, upon request by the
shareholder, the defense on behalf of any Trust shareholders. Moreover, the By-laws also provide for indemnification out of Trust property of any shareholder held personally liable solely by reason of being or having been a shareholder for all loss
or expense arising from such liability. Additionally, in the normal course of business, the Trust enters into agreements with service providers that may contain indemnification clauses. The Trusts maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
I Forward Foreign
Currency Exchange Contracts The Trust may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The
forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contracts have been closed. Risks may arise upon entering these
contracts from the potential inability of counterparties to meet the terms of their contracts and from movements in the value of a foreign currency relative to the U.S. dollar.
J Interim Financial Statements The interim financial statements relating to December 31, 2020 and for the six months then ended
have not been audited by an independent registered public accounting firm, but in the opinion of the Trusts management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the
financial statements.
2 Auction Preferred Shares
The Trust issued Auction Preferred Shares (APS) on July 27, 2001 in a public offering. Dividends on the APS, which accrue daily, are cumulative at rates which are reset every seven days by an auction, unless a
special dividend period has been set. Series of APS are identical in all respects except for the reset dates of the dividend rates. If the APS auctions do not successfully clear, the dividend payment rate over the next period for the APS holders is
set at a specified maximum applicable rate until such time as the APS auctions are successful. Auctions have not cleared since February 13, 2008 and the rate
Eaton Vance
Senior Income Trust
December 31, 2020
Notes to Financial Statements (Unaudited) continued
since that date has been the maximum applicable rate (see Note 3). The maximum applicable rate on the APS is 125% of the AA Financial Composite Commercial Paper Rate at the date of the auction. The
stated spread over the reference benchmark rate is determined based on the credit rating of the APS.
The number of APS issued and outstanding as of
December 31, 2020 is as follows:
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APS Issued and
Outstanding
|
|
|
|
Series A
|
|
|
752
|
|
|
|
Series B
|
|
|
752
|
|
The APS are redeemable at the option of the Trust at a redemption price equal to $25,000 per share, plus accumulated and unpaid
dividends, on any dividend payment date. The APS are also subject to mandatory redemption at a redemption price equal to $25,000 per share, plus accumulated and unpaid dividends, if the Trust is in default for an extended period on its asset
maintenance requirements with respect to the APS. If the dividends on the APS remain unpaid in an amount equal to two full years dividends, the holders of the APS as a class have the right to elect a majority of the Board of Trustees. In
general, the holders of the APS and the common shares have equal voting rights of one vote per share, except that the holders of the APS, as a separate class, have the right to elect at least two members of the Board of Trustees. The APS have a
liquidation preference of $25,000 per share, plus accumulated and unpaid dividends. The Trust is required to maintain certain asset coverage with respect to the APS as defined in the Trusts By-Laws and the 1940 Act. The Trust pays an annual
fee up to 0.15% of the liquidation value of the APS to broker/dealers as a service fee if the auctions are unsuccessful; otherwise, the annual fee is 0.25%.
3 Distributions to Shareholders and Income Tax Information
The Trust intends to make
monthly distributions of net investment income to common shareholders, after payment of any dividends on any outstanding APS. In addition, at least annually, the Trust intends to distribute all or substantially all of its net realized capital gains.
Distributions to common shareholders are recorded on the ex-dividend date. Distributions to preferred shareholders are recorded daily and are payable at the end of each dividend period. The dividend rates for the APS at December 31, 2020, and
the amount of dividends accrued (including capital gains, if any) to APS shareholders, average APS dividend rates (annualized), and dividend rate ranges for the six months then ended were as follows:
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APS Dividend
Rates at
December 31, 2020
|
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Dividends
Accrued to APS
Shareholders
|
|
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Average APS
Dividend
Rates
|
|
|
Dividend
Rate
Ranges (%)
|
|
|
|
|
|
|
Series A
|
|
|
0.13
|
%
|
|
$
|
12,938
|
|
|
|
0.11
|
%
|
|
|
0.090.13
|
|
|
|
|
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|
Series B
|
|
|
0.10
|
|
|
|
10,872
|
|
|
|
0.11
|
|
|
|
0.100.14
|
|
Beginning February 13, 2008 and consistent with the patterns in the broader market for auction-rate securities, the
Trusts APS auctions were unsuccessful in clearing due to an imbalance of sell orders over bids to buy the APS. As a result, the dividend rates of the APS were reset to the maximum applicable rates. The table above reflects such maximum
dividend rate for each series as of December 31, 2020.
Distributions to shareholders are determined in accordance with income tax regulations,
which may differ from U.S. GAAP. As required by U.S. GAAP, only distributions in excess of tax basis earnings and profits are reported in the financial statements as a return of capital. Permanent differences between book and tax accounting relating
to distributions are reclassified to paid-in capital. For tax purposes, distributions from short-term capital gains are considered to be from ordinary income.
At June 30, 2020, the Trust, for federal income tax purposes, had deferred capital losses of $14,226,696 which would reduce its taxable income arising from future net realized gains on investment transactions,
if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Trust of any liability for federal income or excise tax. The deferred
capital losses are treated as arising on the first day of the Trusts next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at June 30, 2020, $3,995,102 are
short-term and $10,231,594 are long-term.
Eaton Vance
Senior Income Trust
December 31, 2020
Notes to Financial Statements (Unaudited) continued
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Trust at December 31, 2020, as determined on a federal income tax basis, were as follows:
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Aggregate cost
|
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$
|
417,703,558
|
|
|
|
Gross unrealized appreciation
|
|
$
|
10,303,044
|
|
|
|
Gross unrealized depreciation
|
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|
(11,458,838
|
)
|
|
|
Net unrealized depreciation
|
|
$
|
(1,155,794
|
)
|
4 Investment Adviser Fee and Other Transactions with Affiliates
The investment adviser fee is earned by EVM, a wholly-owned subsidiary of Eaton Vance Corp., as compensation for management and investment advisory services
rendered to the Trust. Pursuant to the investment advisory agreement between the Trust and EVM, the investment advisory fee payable by the Trust is 0.85% of the Trusts average weekly gross assets and is payable monthly. Pursuant to a fee
reduction agreement between the Trust and EVM that commenced on May 1, 2010, the annual investment adviser fee is reduced by 0.01% every May 1 thereafter for the next twenty-nine years. The Trusts advisory fee is currently computed
at an annual rate of 0.74% of its average weekly gross assets and is payable monthly. The fee reduction cannot be terminated without the consent of the Trustees and shareholders. For the six months ended December 31, 2020, the Trusts
investment adviser fee totaled $1,440,135. The Trust invests its cash in Cash Reserves Fund. EVM does not currently receive a fee for advisory services provided to Cash Reserves Fund. The administration fee is earned by EVM for administering the
business affairs of the Trust and is computed at an annual rate of 0.25% of the Trusts average weekly gross assets. For the six months ended December 31, 2020, the administration fee amounted to $486,532.
Trustees and officers of the Trust who are members of EVMs organization receive remuneration for their services to the Trust out of the investment adviser
fee. Trustees of the Trust who are not affiliated with EVM may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the six months ended December 31,
2020, no significant amounts have been deferred. Certain officers and Trustees of the Trust are officers of EVM.
5 Purchases
and Sales of Investments
Purchases and sales of investments, other than short-term obligations and including maturities, paydowns and principal
repayments on Senior Loans, aggregated $81,306,536 and $58,230,239, respectively, for the six months ended December 31, 2020.
6 Common Shares of Beneficial Interest and Shelf Offering
The Trust may issue common shares pursuant to its dividend reinvestment plan. There were no common shares issued by the Trust for the six months ended December 31, 2020 and the year ended June 30, 2020.
In November 2013, the Board of Trustees initially approved a share repurchase program for the Trust. Pursuant to the reauthorization of the share
repurchase program by the Board of Trustees in March 2019, the Trust is authorized to repurchase up to 10% of its common shares outstanding as of the last day of the prior calendar year at market prices when shares are trading at a discount to net
asset value. The share repurchase program does not obligate the Trust to purchase a specific amount of shares. There were no repurchases of common shares by the Trust for the six months ended December 31, 2020 and the year ended June 30,
2020.
Pursuant to a registration statement filed with the SEC, the Trust is authorized to issue up to an additional 4,551,438 common shares through an
equity shelf offering program (the shelf offering). Under the shelf offering, the Trust, subject to market conditions, may raise additional capital from time to time and in varying amounts and offering methods at a net price at or above
the Trusts net asset value per common share. During the six months ended December 31, 2020 and the year ended June 30, 2020, there were no shares sold by the Trust pursuant to its shelf offering.
According to filings made on Schedule 13D and 13G pursuant to Sections 13(d) and 13(g) of the Securities Exchange Act of 1934, as amended, one entity and one
individual affiliated with such entity together owned 21.2% of the Trusts common shares.
Eaton Vance
Senior Income Trust
December 31, 2020
Notes to Financial Statements (Unaudited) continued
7 Restricted Securities
At December 31, 2020, the Trust owned the following
securities which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Trust has various registration rights (exercisable under a variety of circumstances) with respect to these
securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.
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Description
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Date of
Acquisition
|
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Shares
|
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Cost
|
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Value
|
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|
Common Stocks
|
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Nine Point Energy Holdings, Inc.
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7/15/14
|
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|
|
325
|
|
|
$
|
15,070
|
|
|
$
|
0
|
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|
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|
Convertible Preferred Stocks
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Nine Point Energy Holdings, Inc., Series A, 12.00%
|
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|
5/26/17
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|
5
|
|
|
|
5,000
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0
|
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|
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Total Restricted Securities
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|
|
|
|
|
|
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$
|
20,070
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$
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0
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8 Financial Instruments
The Trust may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include forward foreign currency exchange contracts and may
involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Trust has in particular classes of financial
instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. A summary of
obligations under these financial instruments at December 31, 2020 is included in the Portfolio of Investments. At December 31, 2020, the Trust had sufficient cash and/or securities to cover commitments under these contracts.
The Trust is subject to foreign exchange risk in the normal course of pursuing its investment objective. Because the Trust holds foreign currency denominated
investments, the value of these investments and related receivables and payables may change due to future changes in foreign currency exchange rates. To hedge against this risk, the Trust enters into forward foreign currency exchange contracts.
The Trust enters into forward foreign currency exchange contracts that may contain provisions whereby the counterparty may terminate the contract under
certain conditions, including but not limited to a decline in the Trusts net assets below a certain level over a certain period of time, which would trigger a payment by the Trust for those derivatives in a liability position. At
December 31, 2020, the fair value of derivatives with credit-related contingent features in a net liability position was $537,439. The aggregate fair value of assets pledged as collateral by the Trust for such liability was $470,000 at
December 31, 2020.
The over-the-counter (OTC) derivatives in which the Trust invests are subject to the risk that the counterparty to the contract
fails to perform its obligations under the contract. To mitigate this risk, the Trust has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with
substantially all its derivative counterparties. An ISDA Master Agreement is a bilateral agreement between the Trust and a counterparty that governs certain OTC derivatives and typically contains, among other things, set-off provisions in the event
of a default and/or termination event as defined under the relevant ISDA Master Agreement. Under an ISDA Master Agreement, the Trust may, under certain circumstances, offset with the counterparty certain derivative financial instruments
payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the
counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy or insolvency. Certain ISDA Master Agreements allow counterparties to OTC
derivatives to terminate derivative contracts prior to maturity in the event the Trusts net assets decline by a stated percentage or the Trust fails to meet the terms of its ISDA Master Agreements, which would cause the counterparty to
accelerate payment by the Trust of any net liability owed to it.
The collateral requirements for derivatives traded under an ISDA Master Agreement are
governed by a Credit Support Annex to the ISDA Master Agreement. Collateral requirements are determined at the close of business each day and are typically based on changes in market values for each transaction under an ISDA Master Agreement and
netted into one amount for such agreement. Generally, the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the
benefit of the Trust and/or counterparty is held in segregated accounts by the Trusts custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as
deposits for derivatives collateral and, in the case of cash pledged by a counterparty for the benefit of the Trust, a corresponding liability on the Statement of Assets and Liabilities. Securities pledged by the Trust as collateral, if any, are
identified as such in the Portfolio of Investments.
Eaton Vance
Senior Income Trust
December 31, 2020
Notes to Financial Statements (Unaudited) continued
The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is foreign exchange risk at December 31,
2020 was as follows:
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Fair Value
|
|
Derivative
|
|
Asset Derivative(1)
|
|
|
Liability Derivative(2)
|
|
|
|
|
Forward foreign currency exchange contracts
|
|
$
|
17,352
|
|
|
$
|
(537,439
|
)
|
(1)
|
Statement of Assets and Liabilities location: Receivable for open forward foreign currency exchange contracts.
|
(2)
|
Statement of Assets and Liabilities location: Payable for open forward foreign currency exchange contracts.
|
The Trusts derivative assets and liabilities at fair value by type, which are reported gross in the Statement of Assets and Liabilities, are presented in the
table above. The following tables present the Trusts derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement and net of the related collateral received by the Trust for such
assets and pledged by the Trust for such liabilities as of December 31, 2020.
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Counterparty
|
|
Derivative
Assets Subject to
Master Netting
Agreement
|
|
|
Derivatives
Available
for Offset
|
|
|
Non-cash
Collateral
Received(a)
|
|
|
Cash
Collateral
Received(a)
|
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|
Net Amount
of Derivative
Assets(b)
|
|
|
|
|
|
|
|
Standard Chartered Bank
|
|
$
|
16,443
|
|
|
$
|
(16,443
|
)
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
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|
|
State Street Bank and Trust Company
|
|
|
909
|
|
|
|
(909
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
17,352
|
|
|
$
|
(17,352
|
)
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
Counterparty
|
|
Derivative
Liabilities Subject to
Master Netting
Agreement
|
|
|
Derivatives
Available
for Offset
|
|
|
Non-cash
Collateral
Pledged(a)
|
|
|
Cash
Collateral
Pledged(a)
|
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Net Amount
of Derivative
Liabilities(c)
|
|
|
|
|
|
|
|
HSBC Bank USA, N.A.
|
|
$
|
(281,321
|
)
|
|
$
|
|
|
|
$
|
|
|
|
$
|
281,321
|
|
|
$
|
|
|
|
|
|
|
|
|
Standard Chartered Bank
|
|
|
(227,294
|
)
|
|
|
16,443
|
|
|
|
|
|
|
|
130,000
|
|
|
|
(80,851
|
)
|
|
|
|
|
|
|
State Street Bank and Trust Company
|
|
|
(28,824
|
)
|
|
|
909
|
|
|
|
|
|
|
|
|
|
|
|
(27,915
|
)
|
|
|
|
|
|
|
|
|
$
|
(537,439
|
)
|
|
$
|
17,352
|
|
|
$
|
|
|
|
$
|
411,321
|
|
|
$
|
(108,766
|
)
|
(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.
|
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary
underlying risk exposure is foreign exchange risk for the six months ended December 31, 2020 was as follows: