Q2 2021 Credit Market Monitor

MULTI-ASSET CREDIT TEAM 2 Credit Market Monitor | Q2 2021

Important information and disclosure

The views expressed in this update are those of the Eaton Vance Multi-Asset Credit Team and are current only through the date stated. These views are subject to change at any time based upon market or other conditions, and Eaton Vance disclaims any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions for Eaton Vance are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. Eaton Vance does not provide legal or tax advice. The discussion herein is general in nature and is provided for informational purposes only. There is no guarantee as to its accuracy or completeness. Individuals should consult their own legal and tax counsel as to matters discussed. 3 Credit Market Monitor | Q2 2021

Table of contents

Performance Overview 4

Current Positioning 5

Macro Views 8

Valuations 16

Corporate Credit 23

Emerging Markets 30

Securitized Credit 33

Global Credit Snapshot 37

Important Additional Information 43

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. 4 Credit Market Monitor | Q2 2021

Broad-based positive returns from fixed income markets in Q2

Market Review Q2 2021

• Positive returns were broad-based across fixed income market 7.5% during the quarter, as vaccine rollouts boosted optimism in

developed markets. 5.0% 3.7%

2.8%

2.5%

1.9%

1.8%

1.7%

2.0%

1.6%

1.5%

1.4% 1.3%

2.5% 1.2%

0.9%

1.2% 0.6%

• The major story of the quarter was the pivot from the Federal 0.1% Reserve in the US, with a more hawkish tone struck during June’s 0.0% meeting. Despite this, government bonds performed well. -2.5%

• Issuance levels also caught the eye during the quarter with a -5.0% Treasuries Global Agg Global US HY EUR HY US Loans EUR Loans EM EM deluge of issuance across leveraged credit markets in the US and Corps Sovereigns Corporates Europe. M&A activity is on the rise as market participants take advantage of the lower cost of capital available in today’s market.

• Default rates continue to fall across corporate credit markets with YTD TTM default rates below 3% across US and European high yield

corporate bonds and bank loans. 8%

4.8% 3.9%

5% 3.7%

3.6%

3.5%

3.4% 3.3%

• The US loan market saw average prices rise marginally during the 3.2%

1.9% 1.9%

quarter to finish at just over $98, while credit spreads tightened in 3% 1.6% 0.3% US and European high-yield markets by between 20 and 30bps to 0.3% end the quarter at 318bps and 308bps. 0%

-3%

0.8% 1.1%

• Positive returns in corporate credit were once again driven by -

- 1.6% -5% - some of the more volatile and Covid-19 exposed sectors like 2.7% Treasuries- Global Agg Global US HY EUR HY US Loans EUR Loans EM EM Energy and Leisure, while CCC-rated companies typically Corps Sovereigns Corporates performed strongest.

Sources: ICE Data Indices, LLC, Bloomberg, and LCD, an offering of S&P Global Market Intelligence. As of June 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. Excess returns for a bond is the total return percentage of that bond minus the total return percentage of a risk-matched basket of government bonds. The excess return of an Index is equal to the average of its constituent security excess returns, weighted by their full market values as of the beginning of the period. Distress ratios measures the % of a high-yield index trading with a credit spread of greater than 1000bps, or the proportion of a floating-rate loan index trading with a price below $80 (or equivalent currency). Indices used are ICE BofA US Treasury Index (G0Q0), ICE BofA Global Broad Market Index (GBMI), ICE BofA Global Corporate Index (G0BC), ICE BofA US High Yield Index (H0A0), ICE BofA European Currency Developed Markets High Yield Excluding Subordinated Financials Constrained Index (HPSD), S&P LSTA Leveraged Loan Index (LLI), S&P LSTA European Leveraged Loan Index (ELLI). ICE BofA Emerging Markets External Sovereign Index (EMGB), ICE BofA Emerging Markets Corporate Plus Index (EMCB) and the S&P 500. Please see end of this presentation for important additional information and disclosures. Current Positioning & Outlook 6 Credit Market Monitor | Q2 2021

Multi-Asset Credit Team Views Quarter-To-Quarter Comparison

Decreasing Broadly Increasing Exposure Unchanged Exposure Current Views on Asset Class

Floating- . We are increasing exposure to floating-rate loans at the expense of emerging market bonds and high-yield corporate bonds. With a more volatile inflation Rate Loans outlook, we prefer floating-rate instruments.

High Yield . After a strong run for lower rated parts of high-yield bond markets, we are reducing Corporate some of our higher risk positions, particularly in Covid “re-opening” trades and in Bonds CCC-rated credit.

. We believe that collateralised loan obligations continue to offer some of the most Securitized compelling total return and relative return opportunities in global credit markets, with a focus on BBB and BB-rated tranches.

. Fiscal deterioration across the region, the risk of tighter policy from the Fed and a EM Bonds potentially stronger US dollar has led us to decrease some emerging market bond exposure

Other . Select investment-grade and convertible bond opportunities offer value

. We retain sufficient cash balances to take advantage of any volatility that Cash materialises in the markets.

Source: Eaton Vance. As of June 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. Please see end of this presentation for important additional information and disclosures 7 Credit Market Monitor | Q2 2021

Outlook and our current thinking

Outlook Fundamentals versus Valuations: Early vs. late cycle

We remain selectively constructive on credit markets but believe 22.5% 3.75x that we may have moved past the early part of this credit cycle very quickly with economic forecasts already falling from their peaks of Q1 2021 20.0% 3.50x • We are increasing exposure to floating-rate loans at the expense of emerging market bonds and high-yield corporate 17.5% bonds. With a more volatile inflation outlook and the benefit of Libor-floors, we prefer floating-rate instruments. 3.25x 15.0% • The opportunity in some of the more Covid-exposed sectors such as Leisure appears diminished as these investments 12.5% 3.00x have performed well and we are seeing signs of the

reintroduction of economic restrictions in parts of Europe.

Leverage HY Spread HY 10.0% • Despite some causes for concern economically, we believe 2.75x the default outlook remains extremely subdued with many commentators expecting default rates of 2% or less over the 7.5% coming 6-12 months in leveraged credit. 2.50x • In emerging markets, we have a more positive outlook on 5.0% corporate issuers right now but remain happy to invest in high conviction sovereign issuers. 2.5% 2.25x

• CLOs continue to offer some of the most compelling total

1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020 and relative return opportunities in global credit markets, 1986 particularly in the BBB and BB-rated tranches. Recession Total Non-financial Corporate Leverage HY Spread

Sources: Eaton Vance, Macrobond. As of June 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. Data provided is a measure of corporate indebtedness and the credit spread on the ICE BofA US High Yield Index. Macro Views

Recovery underway. Are we early, mid, or late cycle? 9 Credit Market Monitor | Q2 2021

Leading indicators point to sharp upside for GDP growth in 2021

Economic Leading Indicators and Real GDP

MAC Team GDP Leading Indicator Index Real GDP (YOY)

-2

-4

-6

-8

-10

1991 2001 2012 1990 1992 1993 1994 1995 1996 1997 1998 1999 2000 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2013 2014 2015 2016 2017 2018 2019 2020 2021

Sources: Eaton Vance, Macrobond. As of June 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 Eaton Vance MAC Team GDP leading indicator index is a diffusion index based on a range of economic indicators including, but not limited to the ISM New Orders (Manufacturing and Services), US Building Permit Approvals, South Korea Export Data, BBB-rated corporate bond credit spreads. 10 is the highest score possible, meaning all indicators are improving. 10 Credit Market Monitor | Q2 2021

Manufacturing PMIs stay positive but stop rising

07/19 08/19 09/19 10/19 11/19 12/19 01/20 02/20 03/20 04/20 05/20 06/20 07/20 08/20 09/20 10/20 11/20 12/20 01/21 02/21 03/21 04/21 05/21 06/21 World United States Euro Area China

Canada Austria France Germany Ireland Italy Netherlands Spain United Kingdom Denmark Switzerland Norway Sweden Australia Japan Hong Kong Brazil Mexico Greece Czech Republic Poland Russia Turkey South Africa Egypt Hungary UAE India Indonesia South Korea Taiwan Vietnam

PMI >= 50 and Rising PMI < 50 and Rising PMI >= 50 and Falling PMI < 50 and Falling

Sources: Markit, Macrobond. As of June 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. The Purchasing Managers' Index (PMI) is an index of the prevailing direction of economic trends in the manufacturing sector. It consists of a diffusion index that summarizes whether market conditions, as viewed by purchasing managers, are expanding, staying the same, or contracting. If monthly data is not available, boxes are left empty. 11 Credit Market Monitor | Q2 2021

Inflation surprises pick up pace across the globe

Citi Inflation Surprise Indices

100

80 China Eurozone United States

Index Level Index -20

-40

-60

-80

Jul2016 Jul2017 Jul2018 Jul2019 Jul2020

Jan 2016 Jan Jan 2017 Jan 2018 Jan 2019 Jan 2020 Jan 2021 Jan

Mar 2016 Mar 2017 Mar 2018 Mar 2019 Mar 2020 Mar 2021 Mar

Sep 2018 Sep Sep 2016 Sep 2016 Nov 2017 Sep 2017 Nov 2018 Nov 2019 Sep 2019 Nov 2020 Sep 2020 Nov

May2016 May2017 May2018 May2019 May2020 May2021

Source: Bloomberg. As of June 1, 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 Citi Inflation Surprise Indices measure price surprises relative to market expectations. A positive reading means that inflation has been higher than expected and a negative reading means that inflation has been lower than expected. 12 Credit Market Monitor | Q2 2021

And inflation pressures are evident in many parts of the market

US Spot Raw Industrials

50 625

600 40 1 year % change (LHS) Commodity Research Bureau BLS/US Spot Raw Industrials 575 30 550

20 525

10 500 % Change YOY Change % 475 0

450 CRB BLS/US Spot Raw Industrials Index Industrials Raw Spot BLS/US CRB -10 425

-20 400

Jul2016 Jul2017 Jul2018 Jul2019 Jul2020

Jan 2017 Jan 2018 Jan 2019 Jan 2020 Jan 2021 Jan

Mar 2017 Mar 2018 Mar 2019 Mar 2020 Mar 2021 Mar

Nov 2016 Nov 2017 Nov 2018 Nov 2019 Nov 2020 Nov

Sep 2016 Sep 2017 Sep 2018 Sep 2019 Sep 2020 Sep

May2016 May2017 May2018 May2019 May2020 May2021

Source: Bloomberg. As of June 1, 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 Commodity Research Bureau BLS/US Spot Raw Industrials is a broad basket of commodities, including copper, lumber and steel. 13 Credit Market Monitor | Q2 2021

Financial conditions continue to ease in the US and Europe

US and Eurozone Financial Conditions

-2

-4

Index Level Index -6 Bloomberg Eurozone Financial Conditions Index

-8 Bloomberg US Financial Conditions Index

-10

-12

Jul 2013 Jul 2017 Jul 2021 Jul Jul2001 Jul2002 Jul2003 Jul2004 Jul2005 Jul2006 Jul2007 Jul2008 Jul2009 Jul2010 Jul2011 Jul2012 Jul2014 Jul2015 Jul2016 Jul2018 Jul2019 Jul2020

Sources: Eaton Vance, Bloomberg. As of June 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. Bloomberg US Financial Conditions Index (BFCIUS Index) tracks the overall level of financial stress in the U.S. money, bond and equity markets to help assess the availability and cost of credit. A positive value indicates accommodative financial conditions, while a negative value indicates tighter financial conditions relative to pre-crisis norms. Bloomberg Eurozone Financial Conditions Index (BFCIEU Index) tracks the overall level of financial stress in the U.S. money, bond and equity markets to help assess the availability and cost of credit. A positive value indicates accommodative financial conditions, while a negative value indicates tighter financial conditions relative to pre-crisis norms. 14 Credit Market Monitor | Q2 2021

The pace of global credit creation has fallen sharply from its peak

Global Credit Creation - 12-month Flow Global Credit Creation – 12-month Impulse

16 16

14 14

12 12

10 10

8 8

6 6

4 4

Mo Impulse ($ Trillions) ($ Mo Impulse

Mo Flow ($ Trillions) ($ Mo Flow 12

- 2 2 12 0 0

-2 -2

-4 -4

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

Sources: Macrobond, Eaton Vance. As of June 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. Global Credit Creation is a metric combining central bank balance sheets with other measures of private sector credit creation in the G20 and China. 15 Credit Market Monitor | Q2 2021

Credit spreads often widen when the pace of global credit creation slows

12-month global credit creation impulse and high yield corporate bond spreads

2500 1

2000

1500

1000 US High Yield Credit Spread Credit Yield High US 500

0 0

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

Credit Creation Impulse < 1 US High Yield Credit Spread

Sources: Macrobond, Eaton Vance. As of June 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. Index used is ICE BofA US High Yield Index (H0A0) Valuations 17 Credit Market Monitor | Q2 2021

Q2 returns push spreads tighter across global credit markets

100% Cheaper

75%

64% 60%

50% Spread Percentile Spread 40% 38% 39%

25% 27% 24% 25% 19% 17% 18% 15% 17%

0% 9% 10% 0%

Richer US IG Corp Euro IG Corp Sterling IG US High Euro High Sterling High US Loans Euro Loans EM IG Corp EM HY Corp EM IG EM HY CMBS Fixed CMBS Fixed CLO BBB CLO BB Corp Yield Yield Yield Sovereign Sovereign Rate AA Rate BBB

Sources: ICE Data Indices, LLC, LCD, an offering of S&P Global Market Intelligence, J.P. Morgan. As of June 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 IG Corp represented by ICE BofA U.S. Corporate 1 – 10 year Index. Euro IG Corp represented by ICE BofA Euro Corporate 1 – 10 year Index. Sterling IG Corp represented by ICE BofA Sterling Corporate 1 – 10 year Index. US High Yield represented by ICE BofA US High Yield Index. Euro High Yield represented by ICE BofA Euro High Yield Index. Sterling High Yield represented by ICE BofA Sterling High Yield Index. US Loans represented by S&P/LSTA Leveraged Loan Index. Euro Loans represented by S&P European Leveraged Loan Index. EM IG Corp and EM HY Corp represented by ICE BofA Emerging Markets Corporate Plus Index. EM IG Sov and EM HY Sovereign represented by ICE BofA Emerging Markets External Sovereign Index. CMBS Fixed Rate AAA represented by ICE BofA 7-10 Year AA US Fixed Rate CMBS Index. CMBS Fixed Rate BBB represented by ICE BofA 7-10 Year BBB US Fixed Rate CMBS Index. CLOs represented by the J.P. Morgan Collateralized Loan Obligation Index (CLOIE) Post Crisis. 18 Credit Market Monitor | Q2 2021

Case study: Yield advantage remains in mezzanine CLO tranches

Illustrative capital structure for a US CLO CLO Tranche Support

Credit Average Credit Rating Credit Spread Enhancement Price 20% A Credit AAA 36% 80 – 115 $100.0 18% Support AA 25% 135 – 170 $99.8 16% A 17% 180 – 240 $99.7 BBB 13% 265 – 405 $99.0 14% BBB Credit Support BB 8% 575 – 825 $95.6 12%

10% Comparative Yields for BBB and BB tranches of CLOs BB Credit Support

9% 8.2% 8% Default and LossandRate Default

6% 6% 4.9% 4% 4.5%

3.3% 3.1% 3.2% 2% 3% 2.3% 2.3%

Yield to Worst(%)to Yield 0%

2005 2019 1999 2001 2003 2007 2009 2011 2013 2015 2017 2021 0% CLO BBB US IG Corp US Loans EMD Sov CLO BB US HY US Loans EMD Sov Loss Rate Default Rate BBB BBB BBB Corp BB BB BB

Sources: Eaton Vance, Citibank Velocity, Macrobond, LCD, an offering of S&P Global Market Intelligence, June 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. 19 Credit Market Monitor | Q2 2021 5-year forward-looking views: Credit spreads set to be primary driver of returns in the future

Decomposition of US Loan Expected Returns Decomposition of US High Yield Expected Returns

7.5% 7.5%

5.0% 5.0%

2.9%

2.8%

2.7%

2.1% 1.9%

2.5% 1.8% 2.5%

1.4%

4.0% 0.7%

0.6%

3.9%

0.1%

0.0% 0.0%

0.0% 0.0% 3.2%

-2.5% -2.5% -

1.2%

1.8%

- 2.2%

-5.0% - -5.0% Credit Credit = Excess Term Libor Hedge = Total Credit Credit = Excess Term Libor Hedge = Total spread Loss Return Return spread Loss Return Return

Decomposition of Euro High Yield Expected Returns Decomposition of GBP High Yield Expected Returns

7.5% 7.5%

5.0% 5.0%

3.3%

2.3%

2.1%

2.8%

2.2% 1.9%

2.5% 1.5%

1.3% 2.5%

0.8%

4.0%

0.2%

0.1%

0.1% 3.1% 0.0% 0.0%

-2.5% 0.1%

- -2.5%

0.6%

1.2%

1.3%

2.0% - -5.0% 2.2% -5.0% - Credit Credit = Excess Term Libor Hedge = Total Credit Credit = Excess Term Libor Hedge = Total spread Loss Return Return spread Loss Return Return

Average Default and Loss Environment Bear Default and Loss Environment

Source: Eaton Vance. As of June 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. Simulated performance is for illustrative purposes only, and does not represent the actual returns of any investor/investment, and should not be considered or used for investment purposes. Investments are subject to loss. Simulated performance has been constructed based on the historical default and recovery rates in the various asset classes and Eaton Vance’s assumptions of what future defaults and recoveries could be in a base case and bear case scenario. Forecasts are based on index-level assumptions and do not make allowances for active management. 20 Credit Market Monitor | Q2 2021 5-year forward-looking views: Sub-investment grade EM bonds look to offer valuation advantages

Decomposition of EM IG Sovereign Expected Returns Decomposition of CMBS (BBB) Expected Returns 12.0% 12.0%

8.0% 8.0%

4.2% 3.5%

4.0% 4.0% 3.5%

1.1%

1.0%

0.6%

0.5%

0.3%

0.1%

0.0%

0.0% 0.0%

0.0% 0.0% 0.1%

-4.0% 0.3% -4.0%

7.8%

- 3.6%

-8.0% - -8.0% 4.3% Credit Credit = Excess Term Libor Hedge = Total Credit Credit = Excess- Term Libor Hedge = Total spread Loss Return Return spread Loss Return Return

Decomposition of EM HY Sovereign Expected Returns Decomposition of EM HY Corp Expected Returns 12.0% 12.0%

8.0% 8.0%

4.2%

3.5%

3.2% 2.8%

4.0% 2.5% 4.0%

2.1%

0.6%

0.1%

5.6% 0.0%

0.1%

5.1% 3.6% 0.0% 4.2% 0.0% 0.0%

-4.0% -4.0%

3.5%

1.5%

2.6%

2.1%

- - -8.0% -8.0% Credit Credit = Excess Term Libor Hedge = Total Credit Credit = Excess Term Libor Hedge = Total spread Loss Return Return spread Loss Return Return

Average Default and Loss Environment Bear Default and Loss Environment

Valuation opportunities less pronounced than 12 months ago

Skew analysis at June 30, 2020 Skew analysis at June 30, 2021

1.5 1.5

1.3 1.3 USD Loans 1.1

1.0 EM HY Corp EM HY Sov 0.9 USD HY Corp 0.8 GBP HY Corp 0.7

EM IG Corp European Loans 0.5 EM IG Sov 0.5 CMBS BBB

GBP IG Corp CMBS BBB Year Skew Year

- GBP HY

Year Skew Year 0.3 - 0.3 1 1 USD IG Corp EUR HY Corp US IG Corp European Loans 0.1 EM HY Corp 0.0 US IG Corp

0.0 0.2 0.4 0.6 0.8 1.0 ReturnAssessment Excess Adjusted US HY Corp - Adjusted Excess ReturnAssessment Excess Adjusted 0.0 0.2 0.4 0.6 0.8 1.0

- EUR IG Corp EUR IG Corp -0.1 EM HY Sov EUR HY Corp -0.3 Risk Risk USD Loans -0.3

-0.5 5-Year Forecast -0.5 5-Year Forecast Risk-Adjusted Returns Risk-Adjusted Returns

Source: Eaton Vance, LCD, an offering of S&P Global Market Intelligence, and ICE Data Indices, LLC. As of June 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. Please see slide 17 for the indices used. The Skew analysis is the Eaton Vance Multi-Asset Credit assessment of 22 Credit Market Monitor | Q2 2021

Uneven credit risk premium available across global markets

Eaton Vance MAC Team Scenarios vs. Long-Term Credit Risk Premium

12%

10% Long Term Credit Risk Premium Base Case Excess Return

8% Bear Case Excess Return Bull Case Excess Return 6%

-2%

-4%

-6% USD High EUR High GBP High USD Bank EUR Bank EM High EM High USD USD BBB EUR BBB GBP BBB CLO AAA CLO BBB CLO BB CMBS A CMBS BBB Yield Corp Yield Corp Yield Corp Loans Loans Yield Sov Yield Corp Investment Corp Corp Corp Grade Corp

Source: Eaton Vance. As of June 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. Simulated performance is for illustrative purposes only, and does not represent the actual returns of any investor/investment, and should not be considered or used for investment purposes. Investments are subject to loss. Simulated performance has been constructed based on the historical default and recovery rates in the various asset classes and Eaton Vance’s assumptions of what future defaults and recoveries could be in a base case and bear case scenario. Forecasts are based on index-level assumptions and do not make allowances for active management. Please see slide 18 for the indices used. Corporate Credit 24 Credit Market Monitor | Q2 2021

Distress ratios fall and defaults stop rising

Global Default Rates and Distress Ratios

16% 90% Default Rate (LHS)

14% HY Distress Ratio (RHS) 80%

Loan Distress Ratio (RHS) 70% 12%

60% 10%

50%

8% Ratio Distress Default Rate Default 40%

6% 30%

4% 20%

2% 10%

0% 0%

2003 2017 1998 1999 2000 2001 2002 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2018 2019 2020 2021

Sources: Moody’s, LCD, ICE Data Indices, LLC. Default rate data as of May 31, 2021. Distress ratio data as of June 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. Default rates are trailing 12-month figures weighted by issuer. Distress ratio measured as percentage of ICE BofA Developed Markets High Yield Excluding Subordinated Financial Index (HYDF) with spreads over 1000 based on par value and the percentage of the S&P/LSTA Leveraged Loan Index trading below $80. 25 Credit Market Monitor | Q2 2021

Loans: CLO creation accelerated alongside mutual fund inflows

Monthly CLO Volume and Loan Flows

$25 B

$20 B CLOs Loan Funds Total

$15 B

$10 B

$5 B

$0 B

-$5 B

-$10 B

-$15 B

-$20 B

Jul2018 Jul2019 Jul2020

Jan 2020 Jan Jan 2018 Jan 2019 Jan 2021 Jan

Mar2018 Mar2019 Mar2020 Mar2021

Sep 2018 Sep Nov 2018 Nov 2019 Sep 2019 Nov 2020 Sep 2020 Nov

May 2021 May May2018 May2019 May2020

Source: LCD, an offering of S&P Global Market Intelligence. As of June 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. 26 Credit Market Monitor | Q2 2021

Quality of primary issuance deviates between loan and bond markets

US Investment Grade US Leveraged Loans

100% 100%

80% 80%

60% 60%

40% 40%

20% 20%

0% 0% 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 AAA/AA A BBB Split Other / NR Split BBB/BB or higher BB+/BB/BB- Split BB/B B+/B/B- or CCC NR

US High Yield Euro High Yield 100% 100%

80% 80%

60% 60%

40% 40%

20% 20%

0% 0% 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 BB B CCC NR BB B CCC

Sources: Morgan Stanley Research, Bloomberg, Dealogic, Bond Radar, LCD, an offering of S&P Global Market Intelligence. As of June 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. 27 Credit Market Monitor | Q2 2021

Fundamentals in IG and loans show improvements

US Investment Grade Gross Leverage US Loan Gross Leverage 4x 8x

5.1x 3x 2.6x 6x

2x 4x

1x 2x

0x 0x '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21

US Investment Grade Interest Coverage US Loan Interest Coverage

14x 6x

12x 5x 10.1x 10x 4x 3.7x 8x 3x 6x 2x 4x

2x 1x

0x 0x '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21

Sources: Morgan Stanley Research and LCD, an offering of S&P Global Market Intelligence. As of Q1 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. 28 Credit Market Monitor | Q2 2021

High-yield fundamentals look to be through the worst of it

US High Yield Gross Leverage European High Yield Gross Leverage 7x 7x 6.3x

6x 6x

5x 5x 4.2x

4x 4x

3x 3x

2x 2x '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20

US High Yield Interest Coverage European High Yield Interest Coverage

6x 6x

5x 5x

4.2x 4.0x 4x 4x

3x 3x

2x 2x '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20

Sources: Morgan Stanley Research. US data as of Q1 2021. European data as of Q4 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. 29 Credit Market Monitor | Q2 2021

Rating upgrades look set to outpace downgrades in H2 2021

US Investment Grade Sum of Up/Down Ratio Euro and Sterling High Yield Sum of Up/Down Ratio 2.0 5.0

4.0 1.5

3.0 1.0

2.0

Ratio Ratio 0.5 1.0

0.0 0.0 '16 '17 '18 '19 '20 '21 '16 '17 '18 '19 '20 '21

US High Yield Sum of Up/Down Ratio EM Corporates Sum of Up/Down Ratio

2.0 1.5

1.5 1.0

1.0 Ratio Ratio 0.5 0.5

0.0 0.0 '16 '17 '18 '19 '20 '21 '16 '17 '18 '19 '20 '21

Source: ICE Data Indices, LLC. As of June 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. US Investment Grade represented by ICE BofA US Investment Grade Corporate Bond Index. US High Yield represented by the ICE BofA US High Yield Index. Europe High Yield represented by both the ICE BofA Euro High Yield Index and the ICE BofA Sterling High Yield Index. EM Corporates represented by the ICE BofA Emerging Markets Corporate Plus Index. Emerging Markets 31 Credit Market Monitor | Q2 2021

Country selection remains crucial amid wide dispersion among sovereigns

5yr Spreads

3000

2500

2000

1500 Basis Points (bps) Points Basis 1000

500

Iraq

Peru

India

Chile

Israel

Brazil Qatar

Egypt

China

Oman

Kenya

Bolivia

Ghana Gabon

Turkey Jordan Russia

Angola Poland

Nigeria Mexico

Zambia

Belarus

Ukraine Bahrain Sharjah

Senegal

Ecuador Armenia Jamaica Panama

Uruguay

Pakistan Morocco

Malaysia

Romania

Mongolia Bermuda

Sri Lanka Sri Bahamas Colombia

Paraguay

Honduras Indonesia

Abu Dhabi Abu

Azerbaijan

Philippines

Costa RicaCosta Guatemala

Uzbekistan

Hong Kong Hong

Ivory Coast Ivory

El Salvador El

Kazakhstan

South Africa South

South Korea South

SaudiArabia

Dominican Republic Dominican Trinidad And Tobago TrinidadAnd

Source: Eaton Vance proprietary data and calculations. As of June 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. All spreads are modeled five year par equivalent spreads allowing for like comparisons across countries and time. This differs from EMBI data which is comprised of discount and premium bonds with different maturities. Underlying individual country spreads are capped at 3,000 bps. 32 Credit Market Monitor | Q2 2021

EM inflation and policy rate expectations move higher

EM Consensus CPI Expectations* EM Consensus Policy Rate Expectations**

5.0% 8.0%

7.0% 4.5%

6.0%

4.0% 5.0%

Policy Rate Expectations Rate Policy 4.0%

YOY Change YOY 3.5%

3.0%

3.0% 2.0%

2.5% 1.0%

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

2012 2015 2020 2008 2009 2010 2011 2013 2014 2016 2017 2018 2019 2021 Sources: Bloomberg, Eaton Vance. As of June 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. *Data is the equal weighted average of headline inflation expected in 18-30 months by economists surveyed by Bloomberg, which includes all countries in the J.P. Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified, except Argentina. **Data is the equal weighted average of expected policy rates in 12 months by economists surveyed by Bloomberg, which includes all countries in the J.P. Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified, except Argentina. Securitized Credit 34 Credit Market Monitor | Q2 2021

Volatility of CLOs relative to underlying loans

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

2000 A BBB BB Loans

1800

1600

1400

1200

1000

Spread (bps) Spread 800

600

400

200

0 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

Sources: Citibank Velocity and LCD, an offering of S&P Global Market Intelligence, June 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. 35 Credit Market Monitor | Q2 2021

Consumer balance sheets look in fine health

U.S. Residential Mortgage 90+ Day Delinquent Rates Subprime Mortgage Originations

9% 26% 8% 22% 7% 6% 18% 5% 14% 4% 3% 10% 2% 6% 1%

0% 2%

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

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

Household Debt/Income Financial Obligation Ratios

2.00 19 1.75 18 1.50 17 1.25 16 1.00 0.75 Ratio 15 0.50 14

Debt/Income Ratio Debt/Income 0.25 13

0.00 12

2006 2016 1946 1951 1956 1961 1966 1971 1976 1981 1986 1991 1996 2001 2011

1980 1982 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Source: Macrobond. As of Q1 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. Subprime borrower defined as having a FICO score below 659. 36 Credit Market Monitor | Q2 2021

MBS: declining forbearance expectations

14%

12%

10%

0% Ginnie Mae Fannie/Freddie Total (including private/portfolio loans)

March 2020 June 2020 Sept 2020 Dec 2020 March 2021 June 2021

Source: Mortgage Bankers Association Forbearance Survey. As of July 6, 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. Global Credit Snapshot 38 Credit Market Monitor | Q2 2021

Global bond market characteristics

Averages

Coupon / Duration / Price OAS / Yield to 5YR Index Nominal WAL* Face Market Weight ($) 4YR DM (bps) (%) (%) (yrs.)

Global High Yield Corporates 104.2 5.2% 3.4 302 4.1% 1,903,401 2,010,617 100%

USD High Yield Corporates 104.7 5.8% 3.4 304 4.5% 1,404,565 1,492,159 100%

EUR High Yield Corporates 102.8 3.4% 3.4 288 2.7% 442,991 459,860 100%

GBP High Yield Corporates 103.4 5.2% 3.3 363 4.3% 55,845 58,598 100%

USD Floating-Rate Loans 98.8 3.8% 4.8 402 4.1% 1,220,032 1,205,628 100%

EUR Floating-Rate Loans 99.3 3.5% 4.9 429 3.7% 223,030 221,549 100%

EM High Yield Sovereigns 98.5 5.5% 4.4 455 5.8% 270,677 270,687 100%

EM High Yield Corporates 100.9 6.4% 3.2 549 6.2% 438,094 450,105 100%

EM Investment Grade Sovereigns 110.2 3.9% 5 72 1.2% 286,919 319,189 100%

EM Investment Grade Corporates 104.5 3.5% 4.2 141 2.4% 719,072 757,971 100%

USD Investment Grade Corporates 107.2 3.2% 4.6 62 1.4% 3,605,560 3,893,462 100%

EUR Investment Grade Corporates 104.9 1.4% 4.6 76 0.2% 2,142,198 2,260,132 100%

GBP Investment Grade Corporates 109.0 3.3% 4.6 92 1.0% 220,345 243,627 100%

Sources: Eaton Vance, ICE Data Indices, LLC and LCD, an offering of S&P Global Market Intelligence. As of June 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. High-yield and investment-grade corporate and sovereign bond data reflect all bonds tracked by ICE BofA, excluding subordinated financial debt. Leveraged loans data reflect various sub-indices of the S&P/LSTA Leveraged Loan Index. * US and European loan investments are floating-rate instruments. As a result, there is limited interest rate duration but we have included the weighted averaged maturity for these markets as a comparator. 39 Credit Market Monitor | Q2 2021

Global high-yield corporate and leveraged loan characteristics

Averages Coupon / Duration / Price OAS / Yield to 5YR Index Nominal WAL* Face Market Weight ($) 4YR DM (bps) (%) (%) (yrs.) High Yield Corporate USD - BB 106.2 5.1% 3.8 216 3.5% 718,550 772,335 51.8% High Yield Corporate USD - B 103.8 6.2% 3.2 350 5.2% 509,038 536,543 36.0% High Yield Corporate USD - CCC 101.7 7.7% 2.6 542 7.3% 176,977 183,282 12.3% USD High Yield Corporate Total 104.7 5.8% 3.4 304 4.5% 1,404,565 1,492,159 100.0%

High Yield Corporate EUR - BB 103.5 2.8% 3.7 219 1.9% 303,582 317,272 69.0% High Yield Corporate EUR - B 101.3 4.3% 2.9 407 4.0% 114,713 117,555 25.6% High Yield Corporate EUR - CCC 100.1 5.9% 2.7 596 6.0% 24,696 25,034 5.4% EUR High Yield Corporate Total 102.8 3.4% 3.4 288 2.7% 442,991 459,860 100.0%

High Yield Corporate GBP - BB 105.3 4.6% 3.6 257 3.2% 34,720 37,063 63.2% High Yield Corporate GBP - B 101.5 6.0% 2.8 470 5.7% 18,692 19,259 32.9% High Yield Corporate GBP - CCC 91.6 7.2% 1.7 1,193 10.0% 2,433 2,276 3.9% GBP High Yield Corporate Total 103.4 5.2% 3.3 363 4.3% 55,845 58,598 100.0%

S&P/LSTA Leveraged Loans – BBB 99.5 2.1% 4.6 212 2.2% 99,177 98,706 8.2% S&P/LSTA Leveraged Loans – BB 99.2 2.9% 5 300 3.1% 256,016 254,070 21.1% S&P/LSTA Leveraged Loans – B 99.3 4.1% 4.8 420 4.3% 774,918 769,518 63.8% S&P/LSTA Leveraged Loans - CCC 92.7 5.3% 4 763 7.6% 89,921 83,334 6.9% USD Floating-Rate Loan Total 98.8 3.8% 4.8 402 4.1% 1,220,032 1,205,628 100.0%

S&P European Leveraged Loans – BB 99.6 2.8% 4.9 349 2.9% 35,980 35,847 16.2% S&P European Leveraged Loans – B 99.3 3.6% 4.8 445 3.9% 187,050 185,702 83.8% EUR Floating-Rate Loan Total 99.3 3.5% 4.9 429 3.7% 223,030 221,549 100.0% Sources: Eaton Vance, ICE Data Indices, LLC and LCD, an offering of S&P Global Market Intelligence. As of June 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. High-yield and investment-grade corporate bond data reflect all bonds tracked by ICE BofA, excluding subordinated financial debt. Leveraged loans data reflect various sub-indices of the S&P/LSTA Leveraged Loan Index and the S&P Europe Leveraged Loan Index. * US and European loan investments are floating- rate instruments. As a result, there is limited interest rate duration but we have included the weighted averaged maturity for these markets as a comparator. 40 Credit Market Monitor | Q2 2021

Global investment-grade corporate characteristics

Averages Coupon / Duration / Price OAS / Yield to 5YR Index Nominal WAL* Face Market Weight ($) 4YR DM (bps) (%) (%) (yrs.) Investment-Grade Corporate USD – AAA 1-10 year 105.1 2.4% 4.1 17 1.1% 44,696 47,306 1.2%

Investment-Grade Corporate USD – AA 1-10 year 105.0 2.4% 4.2 26 1.1% 343,304 362,450 9.3%

Investment-Grade Corporate USD – A 1-10 year 106.5 2.8% 4.5 41 1.2% 1,053,594 1,129,385 29.0%

Investment-Grade Corporate USD – BBB 1-10 year 107.9 3.5% 4.7 78 1.5% 2,163,966 2,354,321 60.5%

USD Investment-Grade Total 107.2 3.2% 4.6 62 1.4% 3,605,560 3,893,462 100.0%

Investment-Grade Corporate EUR – AAA 1-10 year 107.9 1.2% 5.9 48 -0.8% 8,242 8,941 0.4%

Investment-Grade Corporate EUR – AA 1-10 year 104.8 1.2% 4.3 50 0.0% 217,162 228,759 10.1%

Investment-Grade Corporate EUR – A 1-10 year 104.7 1.2% 4.7 62 0.0% 698,061 734,625 32.5%

Investment-Grade Corporate EUR – BBB 1-10 year 105.0 1.6% 4.7 88 0.3% 1,218,733 1,287,806 57.0%

EUR Investment-Grade Total 104.9 1.4% 4.6 76 0.2% 2,142,198 2,260,132 100.0%

Investment-Grade Corporate GBP – AAA 1-10 year 103.3 2.1% 4 47 1.2% 3,868 4,022 1.7%

Investment-Grade Corporate GBP – AA 1-10 year 109.2 2.5% 4.8 54 0.2% 18,528 20,406 8.4%

Investment-Grade Corporate GBP – A 1-10 year 107.7 2.7% 4.6 70 0.8% 74,338 80,926 33.2%

Investment-Grade Corporate GBP – BBB 1-10 year 110.0 3.8% 4.6 112 1.2% 123,611 138,273 56.8%

GBP Investment-Grade Total 109.0 3.3% 4.6 92 1.0% 220,345 243,627 100.0%

Global EM sovereign and corporate characteristics Averages Coupon / Duration / Price OAS / Yield to 5YR Index Nominal WAL* Face Market Weight ($) 4YR DM (bps) (%) (%) (yrs.) EM Investment Grade Sovereigns – AA 108.5 3.2% 5 50 1.0% 70,675 77,141 24.2% EM Investment Grade Sovereigns – A 107.8 3.1% 5.1 54 1.1% 76,264 82,761 25.9% EM Investment Grade Sovereigns – BBB 112.4 4.6% 5 91 1.4% 139,981 159,287 49.9% EM Investment Grade Sovereigns 110.2 3.9% 5 72 1.2% 286,919 319,189 100.0%

EM High Yield Sovereigns – BB 107.7 5.0% 4.7 224 3.0% 77,607 84,690 31.3% EM High Yield Sovereigns – B 104.8 6.4% 4.2 422 5.1% 147,254 156,849 57.9% EM High Yield Sovereigns – CCC 62.9 3.7% 4.4 1,302 17.5% 45,816 29,148 10.8% EM High Yield Sovereigns 98.5 5.5% 4.4 455 5.8% 270,677 270,687 100.0%

EM Investment Grade Corporate – AAA 101.1 1.5% 3.7 54 1.2% 750 760 0.1% EM Investment Grade Corporate – AA 104.3 2.6% 4.5 56 1.5% 41,600 43,684 5.8% EM Investment Grade Corporate – A 104.6 3.1% 4.4 96 1.9% 287,124 302,347 39.9% EM Investment Grade Corporate – BBB 104.5 4.0% 4.1 182 2.8% 389,598 411,179 54.2% EM Investment Grade Corporates 104.5 3.5% 4.2 141 2.4% 719,072 757,971 100.0%

EM High Yield Corporates – BB 104.0 5.5% 3.6 350 4.5% 268,253 283,243 62.9% EM High Yield Corporates – B 97.2 7.9% 2.5 859 8.9% 144,272 143,273 31.8% EM High Yield Corporates – CCC 90.1 7.3% 2.7 1,054 10.6% 25,568 23,588 5.2% EM High Yield Corporates 100.9 6.4% 3.2 549 6.2% 438,094 450,105 100.0%

Sources: Eaton Vance, ICE Data Indices, LLC. As of June 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. EM high-yield and investment-grade sovereign and corporate bond data reflect all bonds tracked by ICE BofA. 42 Credit Market Monitor | Q2 2021

US securitized characteristics

Averages Coupon / Duration / Price OAS / Yield to 5YR Index Nominal WAL* Face Market ($) 4YR DM (bps) (%) (%) (yrs.) CMBS AAA 107.0 3.2% 4.7 60 1.4% 797,804 855,698

CMBS AA 107.3 3.8% 4.6 127 1.9% 97,033 104,455

CMBS A 104.9 4.2% 4.3 210 2.9% 53,507 56,290

CMBS BBB 98.7 3.8% 4.6 308 4.2% 56,887 56,323

CLO AAA 100.0 1.3% 1.2 114 1.3% 402,741 402,736

CLO AA 99.8 1.8% 2.3 168 1.8% 76,679 76,546

CLO A 99.7 2.3% 2.5 225 2.4% 40,051 39,916

CLO BBB 99.0 3.4% 3.4 343 3.7% 39,492 39,094

CLO BB 95.6 6.4% 5.6 704 7.8% 29,990 28,681

Sources: Eaton Vance, ICE Data Indices, LLC and JPMorgan. As of June 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. CMBS data reflect all bonds tracked by ICE BofA. CLO data reflect various sub-indices of the J.P. Morgan Collateralized Loan Obligation Index (CLOIE) Post Crisis. 43 Credit Market Monitor | Q2 2021

Important Information & Disclosure

INDEX DEFINITIONS: ICE BofA 7-10 Year AA US Fixed Rate CMBS Index tracks the performance of US ICE BofA U.S. Corporate Index tracks the performance of US dollar denominated dollar denominated investment grade fixed rate commercial mortgage backed securities investment grade corporate debt publicly issued in the US domestic market. publicly issued in the US domestic market including all securities with an average life greater than or equal to 7 years and less than 10 years and rated AA. ICE BofA Euro Corporate Index tracks the performance of EUR denominated investment grade corporate debt publicly issued in the eurobond or Euro member ICE BofA BBB US Fixed Rate CMBS Index tracks the performance domestic markets. of US dollar denominated investment grade fixed rate commercial mortgage backed securities publicly issued in the US domestic market including all securities with an ICE BofA Sterling Corporate Index tracks the performance of GBP denominated average life greater than or equal to 7 years and less than 10 years and rated BBB1 investment grade corporate debt publicly issued in the eurobond or UK domestic through BBB3, inclusive. market. ICE BofA Developed Markets High Yield Ex-Subordinated Financial Index ICE BofA US High Yield Index tracks the performance of US dollar denominated (Hedged) is an unmanaged index of global developed market below investment grade below investment grade corporate debt publicly issued corporate bonds, USD hedged. in the US domestic market. ICE BofA Global Broad Market Index tracks the performance of investment grade ICE BofA Euro High Yield Index tracks the performance of EUR denominated below debt publicly issued in the major domestic and eurobond markets, including sovereign, investment grade corporate debt publicly issued quasi-government, corporate, securitized and collateralized securities. in the euro domestic or eurobond markets. ICE BofA Global Corporate Index tracks the performance of investment grade ICE BofA Sterling High Yield Index tracks the performance of GBP denominated corporate debt publicly issued in the major domestic and eurobond markets. below investment grade corporate debt publicly issued in the sterling domestic or eurobond markets. ICE BofA Emerging Markets External Sovereign Index tracks the performance of US dollar and euro denominated emerging markets sovereign debt publicly issued in the ICE BofA US Treasury Index tracks the performance of US dollar denominated major domestic and eurobond markets. sovereign debt publicly issued by the US government in its domestic market. ICE BofA Emerging Markets Corporate Plus Index tracks the performance of U.S. ICE BofA European Currency Developed Markets High Yield Excluding dollar and euro denominated emerging markets non-sovereign debt publicly issued in Subordinated Financials Constrained Index contains all securities in The ICE BofA the major domestic and eurobond markets. European Currency High Yield Index provided they are not subordinated financials and have a developed markets country of risk. J.P. Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad Diversified is an unmanaged index of USD-denominated emerging market corporate bonds. ICE BofA Global High Yield Index tracks the performance of USD, CAD, GBP and EUR denominated below investment grade corporate debt publicly issued in the major J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified is an domestic or eurobond markets. unmanaged index of USD-denominated bonds with maturities of more than one year issued by emerging markets governments. S&P/LSTA Leveraged Loan Index is an unmanaged index of the institutional leveraged loan market. J.P. Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified is an unmanaged index of local-currency bonds with maturities of more S&P European Leveraged Loan Index is an unmanaged index of the European than one year issued by emerging market governments institutional leveraged loan market. J.P. Morgan Collateralized Loan Obligation Index (CLOIE) Post Crisis is comprised Standard & Poor’s 500 Index is an unmanaged index of large-cap stocks commonly solely of cash arbitrage CLOs backed by broadly syndicated leveraged loans used as a measure of U.S. stock market performance 44 Credit Market Monitor | Q2 2021

Important Information & Disclosure

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. ICE BofA Indexes: ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. J.P. Morgan Indices: Information has been obtained from sources believed to be reliable but J.P. Morgan does not warrant its completeness or accuracy. The Index is used with permission. The Index may not be copied, used, or distributed without J.P. Morgan’s prior written approval. Copyright 2019, J.P. Morgan Chase & Co. All rights reserved. S&P Dow Jones Indices: S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices.

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 o the payment of principal and interest by the U.S. government) offer lower credit risk, higher levels of liquidity, higher interest-rate risk and lower return potential, whereas asset classes such as high-yield corporate bonds and emerging market bonds offer higher credit risk, lower levels of liquidity, lower interest-rate risk and higher return potential. Other asset classes shown carry different levels of each of these risk and return characteristics, and as a result generally fall varying degrees along the risk/return spectrum. Costs and expenses associated with investing in asset classes shown will vary, sometimes substantially, depending upon specific investment vehicles chosen. No investment in the asset classes shown is insured or guaranteed, unless explicitly stated for a specific investment vehicle. Interest income earned on asset classes shown is subject to ordinary federal, state and local income taxes, excepting U.S. Treasury securities (exempt from state and local income taxes) and municipal securities (exempt from federal income taxes, with certain securities exempt from federal, state and local income taxes). In addition, federal and/or state capital gains taxes may apply to investments that are sold at a profit. Eaton Vance does not provide tax or legal advice. Prospective investors should consult with a tax or legal advisor before making any investment decision. 45 Credit Market Monitor | Q2 2021 Important Information & Disclosure

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. 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. As interest rates rise, the value of certain income investments is likely to decline. Investments involving higher risk do not necessarily mean higher return potential. Diversification cannot ensure a profit or eliminate the risk of loss.

Debt securities are subject to risks that the issuer will not meet its payment obligations. Low rated or equivalent unrated debt securities of the type in which a strategy will invest generally offer a higher return than higher rated debt securities, but also are subject to greater risks that the issuer will default. Unrated bonds are generally regarded as being speculative. In emerging (or frontier) countries, these risks may be more significant.

Credit ratings measure the quality of a bond based on the issuer's creditworthiness, with ratings ranging from AAA, being the highest, to D, being the lowest based on S&P's measures. Ratings of BBB- or higher by Standard and Poor's or Fitch (Baa3 or higher by Moody's) are considered to be investment grade quality. Credit ratings are based largely on the rating agency's analysis at the time of rating. The rating assigned to any particular security is not necessarily a reflection of the issuer's current financial condition and 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. If securities are rated differently by the rating agencies, the lower rating is applied. Holdings designated as "Not Rated" are not rated by the national rating agencies stated above. The Composite and Representative Account are not rated by an independent credit agency. 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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.

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