UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-04015
Eaton Vance Mutual Funds Trust
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Deidre E. Walsh
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrants Telephone Number)
September 30
Date of Fiscal Year End
March 31, 2022
Date of Reporting Period
Item 1. Reports to Stockholders
% Average Annual Total Returns1,2 | Class
Inception Date |
Performance
Inception Date |
Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 11/17/2009 | 11/17/2009 | (5.48)% | (2.73)% | 3.16% | 3.46% |
Class A with 4.75% Maximum Sales Charge | — | — | (10.00) | (7.38) | 2.17 | 2.96 |
Class C at NAV | 11/17/2009 | 11/17/2009 | (5.75) | (3.38) | 2.39 | 2.84 |
Class C with 1% Maximum Sales Charge | — | — | (6.68) | (4.32) | 2.39 | 2.84 |
Class I at NAV | 11/17/2009 | 11/17/2009 | (5.28) | (2.41) | 3.42 | 3.72 |
| ||||||
Bloomberg U.S. Aggregate Bond Index | — | — | (5.92)% | (4.15)% | 2.14% | 2.24% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
Gross | 0.82% | 1.57% | 0.57% |
Net | 0.74 | 1.49 | 0.49 |
1 | Bloomberg U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. 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. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase.Effective May 1, 2015, the Fund changed its investment objective and policies. Prior to May 1, 2015, the Fund invested primarily in Build America Bonds. Performance prior to May 1, 2015 reflects the Fund’s performance under its former investment objective and policies. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/23. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning
Account Value (10/1/21) |
Ending
Account Value (3/31/22) |
Expenses
Paid During Period* (10/1/21 – 3/31/22) |
Annualized
Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 945.20 | $3.59** | 0.74% |
Class C | $1,000.00 | $ 942.50 | $7.22** | 1.49% |
Class I | $1,000.00 | $ 947.20 | $2.38** | 0.49% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,021.24 | $3.73** | 0.74% |
Class C | $1,000.00 | $1,017.50 | $7.49** | 1.49% |
Class I | $1,000.00 | $1,022.49 | $2.47** | 0.49% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on September 30, 2021. |
** | Absent an allocation of certain expenses to an affiliate, expenses would be higher. |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement
Date |
Unrealized
Appreciation |
Unrealized
(Depreciation) | ||
USD | 2,182,218 | CAD | 2,799,001 | State Street Bank and Trust Company | 5/31/22 | $ — | $ (56,382) |
$ — | $(56,382) |
Futures Contracts | |||||
Description | Number
of Contracts |
Position | Expiration
Date |
Notional
Amount |
Value/Unrealized
Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 375 | Long | 6/30/22 | $ 79,470,704 | $ (1,067,013) |
U.S. 5-Year Treasury Note | 97 | Long | 6/30/22 | 11,124,688 | (291,146) |
U.S. 10-Year Treasury Note | 21 | Long | 6/21/22 | 2,580,375 | (79,443) |
U.S. Long Treasury Bond | 11 | Long | 6/21/22 | 1,650,687 | (52,958) |
U.S. Ultra-Long Treasury Bond | (65) | Short | 6/21/22 | (11,513,125) | 412,753 |
U.S. Ultra 10-Year Treasury Note | (314) | Short | 6/21/22 | (42,537,188) | 1,410,444 |
$ 332,637 |
Abbreviations: | |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
SOFR | – Secured Overnight Financing Rate |
Currency Abbreviations: | |
CAD | – Canadian Dollar |
IDR | – Indonesian Rupiah |
MXN | – Mexican Peso |
USD | – United States Dollar |
March 31, 2022 | |
Assets | |
Unaffiliated investments, at value (identified cost $770,538,686) | $ 723,777,917 |
Affiliated investments, at value (identified cost $25,067,988) | 22,995,549 |
Cash | 133,465 |
Deposits for derivatives collateral — financial futures contracts | 1,086,233 |
Dividends and interest receivable | 4,233,743 |
Interest and dividends receivable from affiliated investments | 66,038 |
Receivable for investments sold | 624,216 |
Receivable for Fund shares sold | 2,873,596 |
Receivable from affiliate | 91,654 |
Total assets | $755,882,411 |
Liabilities | |
Payable for investments purchased | $ 551,102 |
Payable for when-issued securities | 3,156,000 |
Payable for Fund shares redeemed | 4,333,292 |
Payable for variation margin on open futures contracts | 83,125 |
Payable for open forward foreign currency exchange contracts | 56,382 |
Distributions payable | 9,908 |
Due to custodian — foreign currency, at value (identified cost $89) | 88 |
Payable to affiliates: | |
Investment adviser fee | 287,078 |
Distribution and service fees | 56,233 |
Accrued expenses | 247,304 |
Total liabilities | $ 8,780,512 |
Net Assets | $747,101,899 |
Sources of Net Assets | |
Paid-in capital | $ 799,157,673 |
Accumulated loss | (52,055,774) |
Net Assets | $747,101,899 |
Class A Shares | |
Net Assets | $ 100,461,340 |
Shares Outstanding | 8,769,748 |
Net
Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) |
$ 11.46 |
Maximum
Offering Price Per Share (100 ÷ 95.25 of net asset value per share) |
$ 12.03 |
Class C Shares | |
Net Assets | $ 39,536,969 |
Shares Outstanding | 3,453,380 |
Net
Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) |
$ 11.45 |
Class I Shares | |
Net Assets | $ 607,103,590 |
Shares Outstanding | 53,042,142 |
Net
Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) |
$ 11.45 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
March 31, 2022 | |
Investment Income | |
Dividend income | $ 301,909 |
Dividend income from affiliated investment | 7,883 |
Interest income (net of foreign taxes, $609) | 11,893,617 |
Interest income from affiliated investments | 537,289 |
Total investment income | $ 12,740,698 |
Expenses | |
Investment adviser fee | $ 1,850,217 |
Distribution and service fees: | |
Class A | 135,112 |
Class C | 224,456 |
Trustees’ fees and expenses | 21,900 |
Custodian fee | 104,013 |
Transfer and dividend disbursing agent fees | 240,889 |
Legal and accounting services | 13,136 |
Printing and postage | 58,225 |
Registration fees | 45,231 |
Miscellaneous | 21,823 |
Total expenses | $ 2,715,002 |
Deduct: | |
Allocation of expenses to affiliate | $ 342,165 |
Total expense reductions | $ 342,165 |
Net expenses | $ 2,372,837 |
Net investment income | $ 10,367,861 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (2,557,068) |
Investment transactions - affiliated investments | (40,238) |
Futures contracts | 3,102,787 |
Foreign currency transactions | (20,601) |
Forward foreign currency exchange contracts | 33,810 |
Net realized gain | $ 518,690 |
Change in unrealized appreciation (depreciation): | |
Investments (including net decrease in accrued foreign capital gains taxes of $64,922) | $ (53,203,803) |
Investments - affiliated investments | (690,142) |
Futures contracts | (1,248,533) |
Foreign currency | 7,098 |
Forward foreign currency exchange contracts | (56,382) |
Net change in unrealized appreciation (depreciation) | $(55,191,762) |
Net realized and unrealized loss | $(54,673,072) |
Net decrease in net assets from operations | $(44,305,211) |
Six
Months Ended March 31, 2022 (Unaudited) |
Year
Ended September 30, 2021 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 10,367,861 | $ 19,603,368 |
Net realized gain | 518,690 | 8,413,857 |
Net change in unrealized appreciation (depreciation) | (55,191,762) | 23,331,636 |
Net increase (decrease) in net assets from operations | $ (44,305,211) | $ 51,348,861 |
Distributions to shareholders: | ||
Class A | $ (2,024,558) | $ (3,322,201) |
Class C | (672,253) | (1,205,585) |
Class I | (13,490,908) | (18,168,241) |
Total distributions to shareholders | $ (16,187,719) | $ (22,696,027) |
Transactions in shares of beneficial interest: | ||
Class A | $ 1,040,425 | $ (33,713,494) |
Class C | (5,652,889) | (7,972,469) |
Class I | 26,001,304 | 77,171,244 |
Net increase in net assets from Fund share transactions | $ 21,388,840 | $ 35,485,281 |
Net increase (decrease) in net assets | $ (39,104,090) | $ 64,138,115 |
Net Assets | ||
At beginning of period | $ 786,205,989 | $ 722,067,874 |
At end of period | $747,101,899 | $786,205,989 |
Class A | ||||||
Year Ended September 30, | ||||||
Six
Months Ended March 31, 2022 (Unaudited) |
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value — Beginning of period | $ 12.340 | $ 11.820 | $ 11.990 | $ 11.570 | $ 11.930 | $ 11.630 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.142 | $ 0.330 | $ 0.395 | $ 0.427 | $ 0.402 | $ 0.367 |
Net realized and unrealized gain (loss) | (0.797) | 0.573 | (0.143) | 0.451 | (0.344) | 0.319 |
Total income (loss) from operations | $ (0.655) | $ 0.903 | $ 0.252 | $ 0.878 | $ 0.058 | $ 0.686 |
Less Distributions | ||||||
From net investment income | $ (0.152) | $ (0.323) | $ (0.413) | $ (0.458) | $ (0.409) | $ (0.322) |
From net realized gain | (0.073) | (0.060) | (0.009) | — | (0.009) | — |
Tax return of capital | — | — | — | — | — | (0.064) |
Total distributions | $ (0.225) | $ (0.383) | $ (0.422) | $ (0.458) | $ (0.418) | $ (0.386) |
Net asset value — End of period | $ 11.460 | $ 12.340 | $ 11.820 | $ 11.990 | $11.570 | $11.930 |
Total Return(2)(3) | (5.48)% (4) | 7.72% | 2.21% | 7.76% | 0.50% | 6.01% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $100,461 | $107,380 | $136,688 | $137,889 | $ 43,503 | $ 33,927 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses (3) | 0.74% (5) | 0.74% | 0.74% | 0.74% | 0.74% | 0.77% |
Net investment income | 2.36% (5) | 2.70% | 3.38% | 3.62% | 3.43% | 3.13% |
Portfolio Turnover | 75% (4)(6) | 85% (6) | 89% | 75% | 43% | 61% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | The investment adviser and administrator reimbursed certain operating expenses (equal to 0.08%, 0.08%, 0.11%, 0.11%, 0.22% and 0.36% of average daily net assets for the six months ended March 31, 2022 and the years ended September 30, 2021, 2020, 2019, 2018 and 2017, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Includes the effect of To-Be-Announced (TBA) transactions. |
Class C | ||||||
Year Ended September 30, | ||||||
Six
Months Ended March 31, 2022 (Unaudited) |
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value — Beginning of period | $ 12.330 | $ 11.820 | $ 11.990 | $ 11.560 | $ 11.920 | $ 11.620 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.096 | $ 0.238 | $ 0.307 | $ 0.344 | $ 0.313 | $ 0.282 |
Net realized and unrealized gain (loss) | (0.797) | 0.564 | (0.142) | 0.456 | (0.343) | 0.317 |
Total income (loss) from operations | $ (0.701) | $ 0.802 | $ 0.165 | $ 0.800 | $ (0.030) | $ 0.599 |
Less Distributions | ||||||
From net investment income | $ (0.106) | $ (0.232) | $ (0.326) | $ (0.370) | $ (0.321) | $ (0.249) |
From net realized gain | (0.073) | (0.060) | (0.009) | — | (0.009) | — |
Tax return of capital | — | — | — | — | — | (0.050) |
Total distributions | $ (0.179) | $ (0.292) | $ (0.335) | $ (0.370) | $ (0.330) | $ (0.299) |
Net asset value — End of period | $11.450 | $12.330 | $11.820 | $11.990 | $11.560 | $11.920 |
Total Return(2)(3) | (5.75)% (4) | 6.83% | 1.45% | 7.05% | (0.25)% | 5.23% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 39,537 | $ 48,423 | $ 54,189 | $ 52,001 | $ 20,926 | $ 19,197 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses (3) | 1.49% (5) | 1.49% | 1.49% | 1.49% | 1.49% | 1.52% |
Net investment income | 1.60% (5) | 1.95% | 2.63% | 2.93% | 2.67% | 2.41% |
Portfolio Turnover | 75% (4)(6) | 85% (6) | 89% | 75% | 43% | 61% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | The investment adviser and administrator reimbursed certain operating expenses (equal to 0.08%, 0.08%, 0.11%, 0.11%, 0.22% and 0.36% of average daily net assets for the six months ended March 31, 2022 and the years ended September 30, 2021, 2020, 2019, 2018 and 2017, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Includes the effect of To-Be-Announced (TBA) transactions. |
Class I | ||||||
Year Ended September 30, | ||||||
Six
Months Ended March 31, 2022 (Unaudited) |
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value — Beginning of period | $ 12.330 | $ 11.810 | $ 11.990 | $ 11.560 | $ 11.920 | $ 11.620 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.157 | $ 0.356 | $ 0.423 | $ 0.457 | $ 0.440 | $ 0.399 |
Net realized and unrealized gain (loss) | (0.798) | 0.578 | (0.152) | 0.460 | (0.352) | 0.316 |
Total income (loss) from operations | $ (0.641) | $ 0.934 | $ 0.271 | $ 0.917 | $ 0.088 | $ 0.715 |
Less Distributions | ||||||
From net investment income | $ (0.166) | $ (0.354) | $ (0.442) | $ (0.487) | $ (0.439) | $ (0.346) |
From net realized gain | (0.073) | (0.060) | (0.009) | — | (0.009) | — |
Tax return of capital | — | — | — | — | — | (0.069) |
Total distributions | $ (0.239) | $ (0.414) | $ (0.451) | $ (0.487) | $ (0.448) | $ (0.415) |
Net asset value — End of period | $ 11.450 | $ 12.330 | $ 11.810 | $ 11.990 | $ 11.560 | $11.920 |
Total Return(2)(3) | (5.28)% (4) | 8.00% | 2.37% | 8.12% | 0.74% | 6.28% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $607,104 | $630,403 | $531,191 | $622,727 | $152,363 | $ 41,563 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses (3) | 0.49% (5) | 0.49% | 0.49% | 0.49% | 0.49% | 0.52% |
Net investment income | 2.61% (5) | 2.92% | 3.62% | 3.89% | 3.77% | 3.40% |
Portfolio Turnover | 75% (4)(6) | 85% (6) | 89% | 75% | 43% | 61% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | The investment adviser and administrator reimbursed certain operating expenses (equal to 0.08%, 0.08%, 0.11%, 0.11%, 0.22% and 0.36% of average daily net assets for the six months ended March 31, 2022 and the years ended September 30, 2021, 2020, 2019, 2018 and 2017, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Includes the effect of To-Be-Announced (TBA) transactions. |
Aggregate cost | $ 797,116,471 |
Gross unrealized appreciation | $ 3,755,091 |
Gross unrealized depreciation | (53,821,841) |
Net unrealized depreciation | $ (50,066,750) |
Average Daily Net Assets | Annual Fee Rate |
Up to $1 billion | 0.450% |
$1 billion but less than $2.5 billion | 0.425 |
$2.5 billion but less than $5 billion | 0.410 |
Over $5 billion | 0.400 |
Purchases | Sales | |
Investments (non-U.S. Government) | $ 221,957,298 | $ 153,899,681 |
U.S. Government and Agency Securities | 428,115,654 | 452,175,380 |
$650,072,952 | $606,075,061 |
Six
Months Ended March 31, 2022 (Unaudited) |
Year
Ended September 30, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 1,473,217 | $ 17,812,803 | 1,767,058 | $ 21,649,585 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 164,558 | 1,986,891 | 266,441 | 3,253,050 | |
Redemptions | (1,619,867) | (19,364,964) | (5,191,095) | (62,232,559) | |
Converted from Class C shares | 50,047 | 605,695 | 298,148 | 3,616,430 | |
Net increase (decrease) | 67,955 | $ 1,040,425 | (2,859,448) | $ (33,713,494) | |
Class C | |||||
Sales | 207,651 | $ 2,518,774 | 776,166 | $ 9,493,517 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 55,385 | 669,464 | 98,682 | 1,203,189 | |
Redemptions | (685,943) | (8,235,432) | (1,236,193) | (15,052,745) | |
Converted to Class A shares | (50,070) | (605,695) | (298,222) | (3,616,430) | |
Net decrease | (472,977) | $ (5,652,889) | (659,567) | $ (7,972,469) | |
Class I | |||||
Sales | 17,665,418 | $ 213,334,964 | 21,841,638 | $ 267,564,797 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 1,115,534 | 13,460,183 | 1,485,630 | 18,138,739 | |
Redemptions | (16,867,790) | (200,793,843) | (17,164,251) | (208,532,292) | |
Net increase | 1,913,162 | $ 26,001,304 | 6,163,017 | $ 77,171,244 |
Fair Value | |||
Risk | Derivative | Asset Derivative | Liability Derivative |
Foreign Exchange | Forward foreign currency exchange contracts | $ — | $ (56,382)(1) |
Interest Rate | Futures contracts | 1,823,197 (2) | (1,490,560) (2) |
Total | $1,823,197 | $(1,546,942) | |
Derivatives not subject to master netting or similar agreements | $1,823,197 | $(1,490,560) | |
Total Derivatives subject to master netting or similar agreements | $ — | $ (56,382) |
(1) | Statement of Assets and Liabilities location: Payable for open forward foreign currency exchange contracts. |
(2) | Only the current day’s variation margin on open futures contracts is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Counterparty | Derivative
Liabilities Subject to Master Netting Agreement |
Derivatives
Available for Offset |
Non-cash
Collateral Pledged(a) |
Cash
Collateral Pledged(a) |
Net
Amount of Derivative Liabilities(b) |
State Street Bank and Trust Company | $(56,382) | $ — | $ — | $ — | $(56,382) |
(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 payable to the counterparty in the event of default. |
Risk | Derivative | Realized
Gain (Loss) on Derivatives Recognized in Income(1) |
Change
in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income(2) |
Foreign Exchange | Forward foreign currency exchange contracts | $ 33,810 | $ (56,382) |
Interest Rate | Futures contracts | 3,102,787 | (1,248,533) |
Total | $3,136,597 | $(1,304,915) |
(1) | Statement of Operations location: Net realized gain (loss): Futures contracts and Forward foreign currency exchange contracts, respectively. |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation): Futures contracts and Forward foreign currency exchange contracts, respectively. |
Futures
Contracts — Long |
Futures
Contracts — Short |
Forward
Foreign Currency Exchange Contracts* |
$67,862,000 | $87,002,000 | $623,000 |
* | The average notional amount of forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Name | Value,
beginning of period |
Purchases | Sales
proceeds |
Net
realized gain (loss) |
Change
in unrealized appreciation (depreciation) |
Value,
end of period |
Interest/
Dividend income |
Principal
amount/ Units, end of period |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||
Series 2016-C29, Class C, 4.729%, 5/15/49 | $ 4,420,922 | $ — | $ — | $ — | $ (386,788) |