N-Q 1 b74507a1nvq.htm EATON VANCE HIGH INCOME OPPORTUNITIES Eaton Vance High Income Opportunities
Table of Contents

 
 
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
811-08464
Investment Company Act File Number
High Income Opportunities Portfolio
(Exact Name of Registrant as Specified in Charter)
The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
(Address of Principal Executive Offices)
Maureen A. Gemma
Eaton Vance Management, 255 State Street, Boston, Massachusetts 02109
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number, Including Area Code)
October 31
Date of Fiscal Year End
January 31, 2009
Date of Reporting Period
 
 

 



Table of Contents

High Income Opportunities Portfolio   as of January 31, 2009
     
PORTFOLIO OF INVESTMENTS (Unaudited)    
Senior Floating-Rate Interests — 7.0% (1)
                 
    Principal        
Security   Amount     Value  
Automotive & Auto Parts — 0.2%
               
EPD Holdings, (Goodyear Engineering Products), Term Loan – Second Lien, 6.17%, Maturing 7/13/15
  $ 2,560,000     $ 537,600  
Ford Motor Co., Term Loan, 5.00%, Maturing 12/15/13
    984,975       358,900  
 
             
 
          $ 896,500  
 
             
Broadcasting — 0.4%
               
HIT Entertainment, Inc., Term Loan – Second Lien, 8.21%, Maturing 2/5/13
  $ 9,180,000     $ 1,836,000  
 
             
 
          $ 1,836,000  
 
             
Building Materials — 0.3%
               
Panolam Industries Holdings, Inc., Term Loan, 3.16%, Maturing 9/30/12
  $ 2,540,000     $ 1,498,600  
 
             
 
          $ 1,498,600  
 
             
Capital Goods — 0.1%
               
Dresser, Inc., Term Loan – Second Lien, 7.99%, Maturing 5/4/15
  $ 1,080,000     $ 534,600  
 
             
 
          $ 534,600  
 
             
Consumer Products — 0.2%
               
Amscan Holdings, Inc., Term Loan, 3.93%, Maturing 5/25/13
  $ 1,522,875     $ 1,039,362  
 
             
 
          $ 1,039,362  
 
             
Food/Beverage/Tobacco — 0.3%
               
Dole Food Co., Inc., Term Loan, 2.48%, Maturing 4/12/13
  $ 358,370     $ 299,494  
Dole Food Co., Inc., Term Loan, 2.79%, Maturing 4/12/13
    202,713       169,410  
Dole Food Co., Inc., Term Loan, 2.94%, Maturing 4/12/13
    1,335,181       1,115,829  
 
             
 
          $ 1,584,733  
 
             
Gaming — 1.2%
               
BLB Worldwide Holdings, Term Loan – Second Lien, 0.00%, Maturing 6/30/12(2)
  $ 5,410,000     $ 486,900  
Cannery Casino Resorts, LLC, Term Loan – Second Lien, 4.60%, Maturing 5/18/14
    1,580,000       1,185,000  
Great Lakes Entertainment, Term Loan, 9.00%, Maturing 8/15/12
    4,237,641       3,962,194  
 
             
 
          $ 5,634,094  
 
             
Healthcare — 1.0%
               
Advanced Medical Optics, Inc., Term Loan, 4.38%, Maturing 4/2/14
  $ 1,365,467     $ 1,317,675  
Community Health Systems, Inc., Term Loan, 2.95%, Maturing 7/25/14
    111,420       94,749  
Community Health Systems, Inc., Term Loan, 4.45%, Maturing 7/25/14
    2,178,580       1,852,610  
HCA, Inc., Term Loan, 3.71%, Maturing 11/18/13
    1,406,412       1,166,843  
 
             
 
          $ 4,431,877  
 
             
Leisure — 0.5%
               
HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital Corp., (PIK), DIP Loan, 18.50%, Maturing 1/31/09(2)(3)(9)
  $ 97,000     $ 97,000  
Universal City Development Partners, Ltd., Term Loan, 6.00%, Maturing 6/9/11
    2,260,000       2,079,200  
 
             
 
          $ 2,176,200  
 
             
Paper — 0.1%
               
Smurfit-Stone Container Corp., Term Loan, Maturing 11/1/11(4)
  $ 59,587     $ 41,413  
Smurfit-Stone Container Corp., Term Loan, Maturing 11/1/11(4)
    89,842       62,440  
Smurfit-Stone Container Corp., Term Loan, Maturing 11/1/11(4)
    100,724       70,003  
Smurfit-Stone Container Corp., Term Loan, Maturing 11/1/11(4)
    189,848       131,944  
 
             
 
          $ 305,800  
 
             

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Table of Contents

                 
    Principal        
Security   Amount     Value  
Services — 1.4%
               
Adesa, Inc., Term Loan, 3.22%, Maturing 10/18/13
  $ 5,187,556     $ 3,506,788  
Neff Rental, Inc., Term Loan – Second Lien, 3.93%, Maturing 5/31/13
    1,310,000       296,153  
Rental Service Corp., Term Loan – Second Lien, 4.71%, Maturing 11/30/13
    2,794,309       1,760,415  
TDS Investor Corp., Term Loan, Maturing 8/23/13(4)
    52,250       30,044  
TDS Investor Corp., Term Loan, Maturing 8/23/13(4)
    287,750       165,456  
West Corp., Term Loan, 2.78%, Maturing 10/24/13
    957,563       688,249  
 
             
 
          $ 6,447,105  
 
             
Super Retail — 0.8%
               
General Nutrition Centers, Inc., Term Loan, 3.71%, Maturing 9/16/13
  $ 3,761,487     $ 2,576,618  
Sally Holdings, LLC, Term Loan, 3.85%, Maturing 11/16/13
    1,208,282       1,009,671  
 
             
 
          $ 3,586,289  
 
             
Transportation Ex Air/Rail — 0.2%
               
CEVA Group, PLC, Term Loan, 4.46%, Maturing 8/2/15
  $ 249,910     $ 167,440  
CEVA Group, PLC, Term Loan, 5.05%, Maturing 8/2/15
    750,645       502,932  
 
             
 
          $ 670,372  
 
             
Utilities — 0.3%
               
Texas Competitive Electric Holdings Co., LLC, Term Loan, 4.75%, Maturing 10/10/14
  $ 2,183,417     $ 1,528,938  
 
             
 
          $ 1,528,938  
 
             
               
Total Senior Floating-Rate Interests
               
(identified cost $52,633,126)
          $ 32,170,470  
 
             
Corporate Bonds & Notes — 83.8%
                 
    Principal        
    Amount        
Security   (000’s omitted)     Value  
Aerospace — 0.4%
               
Alion Science and Technologies Corp., 10.25%, 2/1/15
  $ 1,625     $ 650,000  
Hawker Beechcraft Acquisition, 9.75%, 4/1/17
    1,460       270,100  
Transdigm, Inc., 7.75%, 7/15/14
    205       185,525  
Vought Aircraft Industries, Inc., Sr. Notes, 8.00%, 7/15/11
    1,085       667,275  
 
             
 
          $ 1,772,900  
 
             
Air Transportation — 0.2%
               
Continental Airlines, 7.033%, 6/15/11
  $ 1,097     $ 790,197  
 
             
 
          $ 790,197  
 
             
Automotive & Auto Parts — 2.5%
               
Allison Transmission, Inc., 11.00%, 11/1/15(5)
  $ 835     $ 467,600  
Altra Industrial Motion, Inc., 9.00%, 12/1/11
    3,965       3,846,050  
Commercial Vehicle Group, Inc., Sr. Notes, 8.00%, 7/1/13
    1,230       559,650  
Ford Motor Credit Co., Sr. Notes, 5.70%, 1/15/10
    910       771,122  
Ford Motor Credit Co., Sr. Notes, 7.875%, 6/15/10
    5,400       4,461,755  
Ford Motor Credit Co., Sr. Notes, 9.875%, 8/10/11
    190       141,346  
General Motors Acceptance Corp., Variable Rate, 3.399%, 5/15/09
    955       894,119  
United Components, Inc., Sr. Sub. Notes, 9.375%, 6/15/13
    1,670       526,050  
 
             
 
          $ 11,667,692  
 
             
Banks and Thrifts — 0.1%
               
General Motors Acceptance Corp., 6.875%, 9/15/11(5)
  $ 571     $ 449,830  
 
             
 
          $ 449,830  
 
             
Broadcasting — 0.5%
               
Rainbow National Services, LLC, Sr. Sub. Debs., 10.375%, 9/1/14(5)
  $ 1,675     $ 1,704,312  
XM Satellite Radio Holdings, Inc., Sr. Notes, 13.00%, 8/1/13(5)
    2,515       641,325  
 
             
 
          $ 2,345,637  
 
             
Building Materials — 1.1%
               
Interface, Inc., Sr. Sub. Notes, 9.50%, 2/1/14
  $ 745     $ 569,925  
Interline Brands, Inc., Sr. Sub. Notes, 8.125%, 6/15/14
    1,310       1,054,550  
Nortek, Inc., Sr. Sub. Notes, 10.00%, 12/1/13
    2,205       1,289,925  
Panolam Industries International, Sr. Sub. Notes, 10.75%, 10/1/13
    5,230       2,118,150  
Ply Gem Industries, Inc., Sr. Notes, 11.75%, 6/15/13
    455       254,800  
 
             
 
          $ 5,287,350  
 
             

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Table of Contents

                 
    Principal        
    Amount        
Security   (000’s omitted)     Value  
Cable/Satellite TV — 2.2%
               
Cablevision Systems Corp., Sr. Notes, Series B, 8.00%, 4/15/12
  $ 85     $ 82,450  
CCO Holdings, LLC/CCO Capital Corp., Sr. Notes, 8.75%, 11/15/13
    1,775       1,304,625  
Charter Communications, Inc., Sr. Notes, 8.375%, 4/30/14(5)
    310       258,850  
Charter Communications, Inc., Sr. Notes, 10.875%, 9/15/14(5)
    2,340       2,035,800  
Kabel Deutschland GmbH, 10.625%, 7/1/14
    3,065       2,973,050  
Mediacom Broadband Corp., Sr. Notes, 8.50%, 10/15/15
    1,070       925,550  
National Cable PLC, 8.75%, 4/15/14
    455       389,025  
National Cable PLC, Sr. Notes, 9.125%, 8/15/16
    2,510       2,120,950  
 
             
 
          $ 10,090,300  
 
             
Capital Goods — 2.1%
               
American Railcar Industry, Sr. Notes, 7.50%, 3/1/14
  $ 1,620     $ 1,134,000  
Chart Industries, Inc., Sr. Sub. Notes, 9.125%, 10/15/15
    2,370       1,884,150  
ESCO Corp., Sr. Notes, 8.625%, 12/15/13(5)
    1,720       1,350,200  
ESCO Corp., Sr. Notes, Variable Rate, 5.871%, 12/15/13(5)
    1,720       1,126,600  
RBS Global & Rexnord Corp., 8.875%, 9/1/16
    2,105       1,484,025  
RBS Global & Rexnord Corp., 11.75%, 8/1/16
    1,870       1,224,850  
Tyco International Finance SA, 8.50%, 1/15/19
    1,435       1,526,065  
 
             
 
          $ 9,729,890  
 
             
Chemicals — 1.3%
               
CII Carbon, LLC, 11.125%, 11/15/15(5)
  $ 1,665     $ 1,157,175  
INEOS Group Holdings PLC, Sr. Sub. Notes, 8.50%, 2/15/16(5)
    4,115       226,325  
Nova Chemicals Corp., Sr. Notes, Variable Rate, 5.72%, 11/15/13
    2,325       627,750  
Reichhold Industries, Inc., Sr. Notes, 9.00%, 8/15/14(5)
    5,520       3,781,200  
 
             
 
          $ 5,792,450  
 
             
Consumer Products — 0.7%
               
Amscan Holdings, Inc., Sr. Sub. Notes, 8.75%, 5/1/14
  $ 5,705     $ 3,423,000  
 
             
 
          $ 3,423,000  
 
             
Containers — 1.2%
               
Intertape Polymer US, Inc., Sr. Sub. Notes, 8.50%, 8/1/14
  $ 3,855     $ 2,549,119  
Pliant Corp., (PIK), 11.625%, 6/15/09(2)
    5,524       2,818,471  
Solo Cup Co., 8.50%, 2/15/14
    285       192,375  
 
             
 
          $ 5,559,965  
 
             
Diversified Financial Services — 0.4%
               
Alliant Holdings I, Inc., 11.00%, 5/1/15(5)
  $ 1,795     $ 1,184,700  
Nuveen Investments, Inc., Sr. Notes, 10.50%, 11/15/15(5)
    2,090       585,200  
 
             
 
          $ 1,769,900  
 
             
Diversified Media — 2.9%
               
Affinion Group, Inc., 10.125%, 10/15/13
  $ 1,125     $ 883,125  
Affinion Group, Inc., 11.50%, 10/15/15
    2,490       1,630,950  
Catalina Marketing Corp., 11.625%, 10/1/17(5)
    2,965       1,467,675  
LBI Media, Inc., Sr. Disc. Notes, 11.00%, 10/15/13
    2,760       1,121,250  
Nielsen Finance, LLC, 10.00%, 8/1/14
    6,870       6,114,300  
Nielsen Finance, LLC, 12.50%, (0.00% until 2011), 8/1/16
    3,085       1,264,850  
Nielsen Finance, LLC, Sr. Notes, 11.625%, 2/1/14(5)
    995       917,887  
 
             
 
          $ 13,400,037  
 
             
Energy — 11.5%
               
Allis-Chalmers Energy, Inc., Sr. Notes, 9.00%, 1/15/14
  $ 2,105     $ 1,126,175  
Chesapeake Energy Corp., 9.50%, 2/15/15
    2,220       2,186,700  
Cimarex Energy Co., Sr. Notes, 7.125%, 5/1/17
    1,375       1,196,250  
Clayton Williams Energy, Inc., 7.75%, 8/1/13
    2,600       1,638,000  
Compton Pet Finance Corp., 7.625%, 12/1/13
    2,545       1,005,275  
El Paso Corp., Sr. Notes, 9.625%, 5/15/12
    2,880       2,726,130  
Encore Acquisition Co., Sr. Sub. Notes, 7.25%, 12/1/17
    1,870       1,514,700  
Forbes Energy Services, Sr. Notes, 11.00%, 2/15/15
    4,040       2,444,200  
Nabors Industries, Inc., 9.25%, 1/15/19(5)
    1,540       1,488,145  
OPTI Canada, Inc., Sr. Notes, 7.875%, 12/15/14
    1,915       861,750  
OPTI Canada, Inc., Sr. Notes, 8.25%, 12/15/14
    2,135       992,775  
Petrohawk Energy Corp., 9.125%, 7/15/13
    7,700       7,122,500  
Petrohawk Energy Corp., Sr. Notes, 7.875%, 6/1/15(5)
    225       189,562  
Petroleum Development Corp., Sr. Notes, 12.00%, 2/15/18
    1,570       989,100  
Petroplus Finance, Ltd., 6.75%, 5/1/14(5)
    200       150,000  
Petroplus Finance, Ltd., 7.00%, 5/1/17(5)
    4,735       3,456,550  
Plains Exploration & Production Co., 7.00%, 3/15/17
    2,050       1,724,562  

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Table of Contents

                 
    Principal        
    Amount        
Security   (000’s omitted)     Value  
Quicksilver Resources, Inc., 7.125%, 4/1/16
  3,415     2,373,425  
Quicksilver Resources, Inc., 8.25%, 8/1/15
    290       234,900  
SandRidge Energy, Inc., Sr. Notes, 8.00%, 6/1/18(5)
    3,730       2,965,350  
SandRidge Energy, Inc., Sr. Notes, (PIK), 8.625%, 4/1/15
    4,240       2,862,000  
SemGroup L.P., Sr. Notes, 8.75%, 11/15/15(2)(5)
    6,330       253,200  
SESI, LLC, 6.875%, 6/1/14
    700       567,000  
Stewart & Stevenson, LLC, Sr. Notes, 10.00%, 7/15/14
    5,410       3,435,350  
Tennessee Gas Pipeline Co., 8.00%, 2/1/16(5)
    435       433,912  
United Refining Co., Sr. Notes, 10.50%, 8/15/12
    9,420       6,170,100  
VeraSun Energy Corp., 9.875%, 12/15/12(2)
    1,240       731,600  
Weatherford International, Ltd., 9.625%, 3/1/19
    2,150       2,191,751  
 
             
 
          $ 53,030,962  
 
             
Entertainment/Film — 1.7%
               
AMC Entertainment, Inc., 11.00%, 2/1/16
  $ 8,890     $ 7,645,400  
 
             
 
          $ 7,645,400  
 
             
Environmental — 0.8%
               
Waste Services, Inc., Sr. Sub. Notes, 9.50%, 4/15/14
  $ 4,915     $ 3,809,125  
 
             
 
          $ 3,809,125  
 
             
Food & Drug Retail — 0.7%
               
Rite Aid Corp., 7.50%, 3/1/17
  $ 5,280     $ 3,115,200  
 
             
 
          $ 3,115,200  
 
             
Food/Beverage/Tobacco — 4.5%
               
Anheuser-Busch InBev Worldwide, Inc., 7.75%, 1/15/19(5)
  $ 6,200     $ 6,300,260  
ASG Consolidated, LLC/ASG Finance, Inc., Sr. Disc. Notes, 11.50%, 11/1/11
    6,585       5,696,025  
Dole Foods Co., Sr. Notes, 8.625%, 5/1/09
    9,161       8,680,047  
 
             
 
          $ 20,676,332  
 
             
Gaming — 7.5%
               
Buffalo Thunder Development Authority, 9.375%, 12/15/14(5)
  $ 5,755     $ 546,725  
CCM Merger, Inc., 8.00%, 8/1/13(5)
    3,635       1,544,875  
Chukchansi EDA, Sr. Notes, Variable Rate, 6.095%, 11/15/12(5)
    595       303,450  
Eldorado Casino Shreveport, 10.00%, 8/1/12
    705       641,104  
Fontainebleau Las Vegas Casino, LLC, 11.00%, 6/15/15(5)
    9,480       1,090,200  
Galaxy Entertainment Finance, 9.875%, 12/15/12(5)
    1,755       921,375  
Greektown Holdings, LLC, Sr. Notes, 10.75%, 12/1/13(2)(5)
    1,180       230,100  
Indianapolis Downs, LLC & Capital Corp., Sr. Notes, 11.00%, 11/1/12(5)
    2,530       1,366,200  
Inn of the Mountain Gods, Sr. Notes, 12.00%, 11/15/10
    3,615       741,075  
Majestic HoldCo, LLC, 12.50%, 10/15/11(5)
    1,620       16,200  
Mandalay Resort Group, 6.50%, 7/31/09
    2,015       1,954,550  
Mohegan Tribal Gaming Authority, Sr. Sub. Notes, 6.875%, 2/15/15
    2,930       1,582,200  
Mohegan Tribal Gaming Authority, Sr. Sub. Notes, 7.125%, 8/15/14
    2,760       1,545,600  
Mohegan Tribal Gaming Authority, Sr. Sub. Notes, 8.00%, 4/1/12
    1,060       646,600  
OED Corp./Diamond Jo, LLC, 8.75%, 4/15/12
    5,190       3,762,750  
Park Place Entertainment, 7.875%, 3/15/10
    4,105       2,319,325  
Pinnacle Entertainment, Inc., Sr. Sub. Notes, 7.50%, 6/15/15
    2,795       2,040,350  
Pinnacle Entertainment, Inc., Sr. Sub. Notes, 8.25%, 3/15/12
    310       285,200  
Pokagon Gaming Authority, Sr. Notes, 10.375%, 6/15/14(5)
    1,184       1,041,920  
San Pasqual Casino, 8.00%, 9/15/13(5)
    1,335       1,021,275  
Scientific Games Corp., 7.875%, 6/15/16(5)
    725       645,250  
Seminole Hard Rock Entertainment, Variable Rate, 4.496%, 3/15/14(5)
    2,190       1,051,200  
Trump Entertainment Resorts, Inc., 8.50%, 6/1/15(2)
    320       48,800  
Tunica-Biloxi Gaming Authority, Sr. Notes, 9.00%, 11/15/15(5)
    3,605       2,757,825  
Waterford Gaming, LLC, Sr. Notes, 8.625%, 9/15/14(5)
    5,530       3,677,446  
Wynn Las Vegas, LLC, 6.625%, 12/1/14
    3,725       2,733,219  
 
             
 
          $ 34,514,814  
 
             
Healthcare — 6.2%
               
Accellent, Inc., 10.50%, 12/1/13
  $ 2,465     $ 1,762,475  
AMR HoldCo, Inc./EmCare HoldCo, Inc., Sr. Sub. Notes, 10.00%, 2/15/15
    4,860       4,908,600  
Biomet, Inc., 11.625%, 10/15/17
    5,495       5,137,825  
DJO Finance, LLC/DJO Finance Corp., 10.875%, 11/15/14
    3,155       2,350,475  
Fresenius US Finance II, Inc., Sr. Notes, 9.00%, 7/15/15(5)
    1,220       1,232,200  
HCA, Inc., 7.875%, 2/1/11
    344       327,660  
HCA, Inc., 9.125%, 11/15/14
    253       243,512  
HCP, Inc., 6.70%, 1/30/18
    1,500       1,027,500  
MultiPlan, Inc., Sr. Sub. Notes, 10.375%, 4/15/16(5)
    5,535       4,289,625  
National Mentor Holdings, Inc., 11.25%, 7/1/14
    3,960       3,069,000  

4

 


Table of Contents

                 
    Principal        
    Amount        
Security   (000’s omitted)     Value  
Res-Care, Inc., Sr. Notes, 7.75%, 10/15/13
  2,370     2,002,650  
US Oncology, Inc., 9.00%, 8/15/12
    965       902,275  
US Oncology, Inc., 10.75%, 8/15/14
    1,655       1,497,775  
 
             
 
          $ 28,751,572  
 
             
Hotels — 0.4%
               
Host Hotels and Resorts, LP, Sr. Notes, 6.75%, 6/1/16
  $ 2,390     $ 1,923,950  
 
             
 
          $ 1,923,950  
 
             
Insurance — 0.2%
               
Hub International Holdings, Sr. Notes, 9.00%, 12/15/14(5)
  $ 670     $ 455,600  
U.S.I. Holdings Corp., Sr. Notes, Variable Rate, 6.024%, 11/15/14(5)
    1,200       576,000  
 
             
 
          $ 1,031,600  
 
             
Leisure — 1.1%
               
HRP Myrtle Beach Capital Corp., Sr. Notes, (PIK), 14.50%, 4/1/14(2)(5)
  $ 3,274     $ 20,459  
HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital Corp., 12.50%, 4/1/13(2)(5)
    2,315       14,469  
HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital Corp., Variable Rate, 7.383%, 4/1/12(2)(5)
    3,985       59,775  
Royal Caribbean Cruises, Sr. Notes, 6.875%, 12/1/13
    198       119,487  
Royal Caribbean Cruises, Sr. Notes, 7.00%, 6/15/13
    1,090       692,150  
Royal Caribbean Cruises, Sr. Notes, 7.25%, 6/15/16
    280       161,000  
Royal Caribbean Cruises, Sr. Notes, 7.25%, 3/15/18
    560       338,800  
Universal City Florida Holdings, Sr. Notes, 8.375%, 5/1/10
    210       112,350  
Universal City Florida Holdings, Sr. Notes, Variable Rate, 7.943%, 5/1/10
    7,080       3,504,600  
 
             
 
          $ 5,023,090  
 
             
Metals/Mining — 1.0%
               
Aleris International, Inc., Sr. Notes, 9.00%, 12/15/14(2)
  $ 5,270     $ 342,550  
FMG Finance PTY, Ltd., 10.625%, 9/1/16(5)
    5,820       3,812,100  
Freeport-McMoran Copper & Gold, Inc., Sr. Notes, 8.375%, 4/1/17
    685       569,336  
 
             
 
          $ 4,723,986  
 
             
Paper — 0.9%
               
Jefferson Smurfit Corp., Sr. Notes, 7.50%, 6/1/13(2)
  $ 887     $ 110,875  
Jefferson Smurfit Corp., Sr. Notes, 8.25%, 10/1/12(2)
    1,225       140,875  
NewPage Corp., 10.00%, 5/1/12
    3,140       1,224,600  
NewPage Corp., 12.00%, 5/1/13
    4,130       1,011,850  
NewPage Corp., Variable Rate, 9.443%, 5/1/12
    1,655       570,975  
Smurfit-Stone Container Enterprises, Inc., Sr. Notes, 8.00%, 3/15/17(2)
    3,620       398,200  
Smurfit-Stone Container Enterprises, Inc., Sr. Notes, 8.375%, 7/1/12(2)
    605       66,550  
Verso Paper Holdings, LLC/Verso Paper, Inc., 11.375%, 8/1/16
    2,170       618,450  
 
             
 
          $ 4,142,375  
 
             
Publishing/Printing — 0.3%
               
Dex Media West/Finance, Series B, 9.875%, 8/15/13
  $ 1,835     $ 536,738  
Harland Clarke Holdings, 9.50%, 5/15/15
    505       224,725  
Local Insight Regatta Holdings, Inc., 11.00%, 12/1/17
    695       177,225  
Reader’s Digest Association, Inc. (The), Sr. Sub. Notes, 9.00%, 2/15/17
    5,520       531,300  
 
             
 
          $ 1,469,988  
 
             
Railroad — 0.8%
               
Kansas City Southern Mexico, Sr. Notes, 7.375%, 6/1/14
  $ 1,150     $ 994,750  
Kansas City Southern Mexico, Sr. Notes, 7.625%, 12/1/13
    650       549,250  
Kansas City Southern Mexico, Sr. Notes, 8.00%, 6/1/15
    2,390       2,162,950  
 
             
 
          $ 3,706,950  
 
             
Restaurants — 1.5%
               
El Pollo Loco, Inc., 11.75%, 11/15/13
  $ 4,315     $ 3,322,550  
NPC International, Inc., 9.50%, 5/1/14
    4,665       3,708,675  
 
             
 
          $ 7,031,225  
 
             
Services — 7.3%
               
Aramark Services, Inc., 8.50%, 2/1/15
  $ 870     $ 850,425  
Education Management, LLC, Sr. Notes, 8.75%, 6/1/14
    4,175       3,580,063  
Education Management, LLC, Sr. Sub. Notes, 10.25%, 6/1/16
    6,650       5,552,750  
Hertz Corp., 8.875%, 1/1/14
    295       193,963  
Hertz Corp., 10.50%, 1/1/16
    3,155       1,660,319  
Laureate Education, Inc., 10.00%, 8/15/15(5)
    4,915       3,243,900  

5

 


Table of Contents

                 
    Principal        
    Amount        
Security   (000’s omitted)     Value  
Laureate Education, Inc., 11.75%, 8/15/17(5)
  3,930     2,377,650  
Laureate Education, Inc., (PIK), 10.25%, 8/15/15(5)
    6,981       3,867,195  
MediMedia USA, Inc., Sr. Sub. Notes, 11.375%, 11/15/14(5)
    2,575       1,686,625  
Muzak, LLC/Muzak Finance, Sr. Notes, 10.00%, 2/15/09(2)
    2,640       1,306,800  
Rental Service Corp., 9.50%, 12/1/14
    4,685       2,986,688  
Ticketmaster, Sr. Notes, 10.75%, 8/1/16(5)
    2,340       1,415,700  
Travelport, LLC, 9.875%, 9/1/14
    4,010       1,604,000  
West Corp., 9.50%, 10/15/14
    4,480       3,068,800  
 
             
 
          $ 33,394,878  
 
             
Steel — 0.2%
               
RathGibson, Inc., 11.25%, 2/15/14
  $ 5,225     $ 1,175,625  
 
             
 
          $ 1,175,625  
 
             
Super Retail — 5.6%
               
General Nutrition Center, Sr. Notes, Variable Rate (PIK), 7.584%, 3/15/14
  $ 6,700     $ 4,053,500  
General Nutrition Center, Sr. Sub. Notes, 10.75%, 3/15/15
    4,220       2,975,100  
Neiman Marcus Group, Inc., 9.00%, 10/15/15
    6,400       2,880,000  
Neiman Marcus Group, Inc., 10.375%, 10/15/15
    7,455       3,429,300  
Sally Holdings, LLC, 9.25%, 11/15/14
    225       208,125  
Sally Holdings, LLC, Sr. Notes, 10.50%, 11/15/16
    4,445       3,689,350  
Staples, Inc., 9.75%, 1/15/14
    875       931,545  
Toys “R” Us, 7.375%, 10/15/18
    1,320       475,200  
United Auto Group, Inc., 3.50%, 4/1/26(5)
    4,000       2,525,000  
United Auto Group, Inc., 7.75%, 12/15/16
    2,000       970,000  
Yankee Acquisition Corp., Series B, 8.50%, 2/15/15
    7,386       3,582,210  
 
             
 
          $ 25,719,330  
 
             
Technology — 3.1%
               
Amkor Technologies, Inc., Sr. Notes, 7.125%, 3/15/11
  $ 475     $ 341,406  
Amkor Technologies, Inc., Sr. Notes, 7.75%, 5/15/13
    475       277,281  
Amkor Technologies, Inc., Sr. Notes, 9.25%, 6/1/16
    2,455       1,374,800  
Avago Technologies Finance, 10.125%, 12/1/13
    1,480       1,206,200  
Avago Technologies Finance, 11.875%, 12/1/15
    2,860       2,145,000  
Ceridian Corp., Sr. Notes, 11.25%, 11/15/15
    4,830       2,632,350  
Nortel Networks, Ltd., 10.75%, 7/15/16(2)
    4,125       690,938  
Nortel Networks, Ltd., 10.75%, 7/15/16(2)(5)
    1,365       228,638  
SunGard Data Systems, Inc., Sr. Notes, 10.625%, 5/15/15(5)
    6,375       5,323,125  
 
             
 
          $ 14,219,738  
 
             
Telecommunications — 9.1%
               
Crown Castle International Corp., 9.00%, 1/15/15
  $ 3,485     $ 3,389,163  
Digicel Group, Ltd., Sr. Notes, 8.875%, 1/15/15(5)
    110       81,400  
Digicel Group, Ltd., Sr. Notes, 9.125%, 1/15/15(5)
    9,702       6,694,380  
Digicel Group, Ltd., Sr. Notes, 9.25%, 9/1/12(5)
    3,795       3,358,575  
Intelsat Bermuda, Ltd., 11.25%, 6/15/16
    6,370       6,123,163  
Intelsat Corp., 9.25%, 8/15/14(5)
    3,750       3,525,000  
Intelsat Jackson Holdings, Ltd., 9.50%, 6/15/16(5)
    4,003       3,742,805  
Intelsat Subsidiary Holdings Co., Ltd., 8.50%, 1/15/13(5)
    4,020       3,788,850  
Intelsat Subsidiary Holdings Co., Ltd., 8.875%, 1/15/15(5)
    505       464,600  
Sprint Capital Corp., 6.875%, 11/15/28
    1,295       736,358  
Telesat Canada/Telesat LLC, Sr. Notes, 11.00%, 11/1/15(5)
    9,090       6,999,300  
Telesat Canada/Telesat LLC, Sr. Notes, 12.50%, 11/1/17(5)
    4,060       2,740,500  
 
             
 
          $ 41,644,094  
 
             
Textiles/Apparel — 2.3%
               
Levi Strauss & Co., Sr. Notes, 8.875%, 4/1/16
  $ 145     $ 112,375  
Levi Strauss & Co., Sr. Notes, 9.75%, 1/15/15
    4,895       4,056,731  
Oxford Industries, Inc., Sr. Notes, 8.875%, 6/1/11
    1,905       1,438,275  
Perry Ellis International, Inc., Sr. Sub. Notes, 8.875%, 9/15/13
    5,710       3,454,550  
Quiksilver, Inc., 6.875%, 4/15/15
    2,700       1,495,125  
 
             
 
          $ 10,557,056  
 
             
Transportation Ex Air/Rail — 0.6%
               
CEVA Group, PLC, Sr. Notes, 10.00%, 9/1/14(5)
  $ 3,825     $ 2,849,625  
 
             
 
          $ 2,849,625  
 
             
Utilities — 0.9%
               
AES Eastern Energy, Series 99-A, 9.00%, 1/2/17
  $ 2,178     $ 2,016,447  
Edison Mission Energy, Sr. Notes, 7.50%, 6/15/13
    75       72,375  
NGC Corp., 7.625%, 10/15/26
    3,205       1,810,825  

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Table of Contents

                 
    Principal        
    Amount        
Security   (000’s omitted)     Value  
Reliant Energy, Inc., Sr. Notes, 7.625%, 6/15/14
  370     304,325  
 
             
 
          $ 4,203,972  
 
             
               
Total Corporate Bonds & Notes
               
(identified cost $592,771,514)
          $ 386,440,035  
 
             
Common Stocks — 0.8%
                 
Security   Shares     Value  
Cable/Satellite TV — 0.0%
               
Time Warner Cable, Inc., Class A(6)
    1,073     $ 19,990  
 
             
 
          $ 19,990  
 
             
Chemicals — 0.0%
               
Texas Petrochemicals, Inc.(6)
    7,851     $ 39,255  
 
             
 
          $ 39,255  
 
             
Gaming — 0.3%
               
Fontainebleau Equity Holdings, Class A(3)(7)
    148,726     $ 1,264,171  
Shreveport Gaming Holdings, Inc.(3)(6)
    4,858       78,214  
 
             
 
          $ 1,342,385  
 
             
Leisure — 0.0%
               
HRP, Class B(3)(5)(6)
    2,375     $ 0  
 
             
 
          $ 0  
 
             
Super Retail — 0.5%
               
GameStop Corp., Class A(6)
    76,467     $ 1,894,852  
GNC Acquisition Holdings, Class A(3)(7)
    108,818       462,477  
 
             
 
          $ 2,357,329  
 
             
               
Total Common Stocks
               
(identified cost $6,425,730)
          $ 3,758,959  
 
             
Convertible Bonds — 0.2%
                 
    Principal        
    Amount        
Security   (000’s omitted)     Value  
Energy — 0.1%
               
Petroplus Finance, Ltd., 3.375%, 3/26/13
  $ 600     $ 427,462  
 
             
 
          $ 427,462  
 
             
Healthcare — 0.1%
               
LifePoint Hospitals, Inc., 3.25%, 8/15/25
  $ 525     $ 390,469  
 
             
 
          $ 390,469  
 
             
               
Total Convertible Bonds
               
(identified cost $733,737)
          $ 817,931  
 
             
Convertible Preferred Stocks — 0.7%
                 
Security   Shares     Value  
Energy — 0.7%
               
Chesapeake Energy Corp., 4.50%
    53,543     $ 3,105,494  
Chesapeake Energy Corp., 5.00%(5)
    6,292       325,611  
 
             
 
          $ 3,431,105  
 
             
               
Total Convertible Preferred Stocks
               
(identified cost $5,951,414)
          $ 3,431,105  
 
             
Preferred Stocks — 0.2%
                 
Security   Shares/Units     Value  
Automotive and Auto Parts — 0.0%
               
Preferred Blocker, Inc.(5)
    129     $ 32,188  
 
             
 
          $ 32,188  
 
             

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Table of Contents

                 
Security   Shares/Units     Value  
Gaming — 0.2%
               
Fontainebleau Resorts LLC (PIK)(3)(7)
    4,143     $ 911,541  
 
             
 
          $ 911,541  
 
             
Super Retail — 0.0%
               
GNC Acquisition Holdings(3)(7)
    37,182     $ 97,789  
 
             
 
          $ 97,789  
 
             
               
Total Preferred Stocks
               
 
             
(identified cost $4,329,280)
          $ 1,041,518  
 
             
Miscellaneous — 0.1%
                 
Security   Shares     Value  
Cable/Satellite TV — 0.1%
               
Adelphia, Inc., Escrow Certificate(6)
    7,585,000     $ 151,700  
Adelphia, Inc., Escrow Certificate(6)
    3,555,000       71,100  
Adelphia Recovery Trust(6)
    10,758,837       174,831  
 
             
 
          $ 397,631  
 
             
Utilities — 0.0%
               
Mirant Corp., Escrow Certificate(3)(6)(7)
    1,440,000     $ 144  
Mirant Corp., Escrow Certificate(3)(6)(7)
    3,200,000       320  
 
             
 
          $ 464  
 
             
               
Total Miscellaneous
               
(identified cost $9,898,658)
          $ 398,095  
 
             
Mortgage Pass-Throughs — 0.6%
                 
    Principal        
    Amount        
Security   (000’s omitted)     Value  
Global Signal Trust, Series 2006-1, Class B, 5.588%, 2/15/36(5)
  $ 3,000     $ 2,640,000  
 
             
               
Total Mortgage Pass-Throughs
               
(identified cost $2,610,000)
          $ 2,640,000  
 
             
Warrants — 0.5%
                 
Security   Shares     Value  
Consumer Products — 0.0%
               
HF Holdings, Inc., Exp. 9/27/09(3)(6)
    13,600     $ 0  
 
             
 
          $ 0  
 
             
Gaming — 0.5%
               
Peninsula Gaming LLC, Convertible Preferred Membership Interests, Exp. 9/27/09(3)(6)(7)
    25,351     $ 2,466,672  
 
             
 
          $ 2,466,672  
 
             
               
Total Warrants
               
(identified cost $730,314)
          $ 2,466,672  
 
             
Short-Term Investments — 3.8%
                 
    Interest        
Description   (000’s omitted)     Value  
Cash Management Portfolio, 0.23%(8)
  $ 17,274     $ 17,273,723  
 
             
               
Total Short-Term Investments
               
(identified cost $17,273,723)
          $ 17,273,723  
 
             
               
Total Investments — 97.7%
               
(identified cost $693,357,496)
          $ 450,438,508  
 
             

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Table of Contents

                 
             
          Value  
Less Unfunded Loan
               
Commitments — (0.0)%
          $ (25,013 )
 
             
               
Net Investments — 97.7%
               
(identified cost $693,332,483)
          $ 450,413,495  
 
             
               
Other Assets, Less Liabilities — 2.3%
          $ 10,664,631  
 
             
               
Net Assets — 100.0%
          $ 461,078,126  
 
             
               
DIP   - Debtor in Possession
 
PIK   - Payment In Kind
               
 
(1)   Senior floating-rate interests (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will have an expected average life of approximately two to four years. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility. Senior Loans typically have rates of interest which are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.
 
(2)   Defaulted security.
 
(3)   Security valued at fair value using methods determined in good faith by or at the direction of the Trustees.
 
(4)   This Senior Loan will settle after January 31, 2009, at which time the interest rate will be determined.
 
(5)   Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2009, the aggregate value of the securities is $117,176,594 or 25.4% of the Portfolio’s net assets.
 
(6)   Non-income producing security.
 
(7)   Restricted security.
 
(8)   Affiliated investment company available to Eaton Vance portfolios and funds which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of January 31, 2009. Net income allocated from the investment in Cash Management Portfolio for the fiscal year to date ended January 31, 2009 was $4,237.
 
(9)   Unfunded or partially funded loan commitment. The Portfolio may enter into certain credit agreements all or a portion of which may be unfunded. The Portfolio is obligated to fund these commitments at the borrower’s discretion.

9

 


Table of Contents

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at January 31, 2009, as determined on a federal income tax basis, were as follows:
         
Aggregate cost
  $ 696,128,259  
 
     
Gross unrealized appreciation
  $ 4,720,474  
Gross unrealized depreciation
    (250,435,238 )
 
     
Net unrealized depreciation
  $ (245,714,764 )
 
     
Restricted Securities
At January 31, 2009, the Portfolio owned the following securities (representing 1.1% of net assets) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Portfolio has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The fair 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.
                                 
    Date of                    
Description   Acquisition     Shares/Units     Cost     Value  
 
Stocks, Miscellaneous, and Warrants
                               
GNC Acquisition Holdings, Class A
    3/15/07       108,818     $ 544,090     $ 462,477  
GNC Acquisition Holdings, Preferred
    3/15/07       37,182       185,910       97,789  
Fontainebleau Equity Holdings, Class A
    6/1/07       148,726       1,784,712       1,264,171  
Fontainebleau Resorts LLC (PIK), Preferred
    6/1/07       4,143       4,143,370       911,541  
Mirant Corp., Escrow Certificate
    1/5/06       1,440,000       0 (1)     144  
Mirant Corp., Escrow Certificate
    1/5/06       3,200,000       0 (1)     320  
Peninsula Gaming LLC, Convertible Preferred Membership Interests, Exp. 9/27/09
    7/8/99       25,351       0 (1)     2,466,672  
 
                           
Total Restricted Securities
                  $ 6,658,082     $ 5,203,114  
 
                           
(1)   Less than $0.50.
The Portfolio may enter into credit default swap contracts to manage its credit risk, to gain exposure to a credit in which the Portfolio may otherwise invest, or to enhance return. When the Portfolio is the buyer of a credit default swap contract, the Portfolio is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation (or basket of debt obligations) from the counterparty to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, the Portfolio pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Portfolio would have spent the stream of payments and received no benefits from the contract. When the Portfolio is the seller of a credit default swap contract, it receives the stream of payments, but is obligated to pay to the buyer of the protection an amount up to the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the Portfolio is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Portfolio could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Portfolio for the same referenced obligation. As the seller, the Portfolio effectively adds leverage to its portfolio because, in addition to its total net assets, the Portfolio is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap contract, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The Portfolio also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. Up-front payments or receipts, if any, are recorded as other assets or other liabilities, respectively, and amortized over the life of the swap contract as realized gains or losses. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, marked to market on a daily basis. These transactions involve certain risks, including the risk that the seller may be unable to fulfill the transaction.
A summary of financial instruments outstanding at January 31, 2009, is as follows:
Credit Default Swaps — Sell Protection
                                                 
                    Notional                    
                    Amount**     Receive              
            Credit   (000s     Annual     Termination     Net Unrealized  
Reference Entity   Counterparty     Rating*   omitted)     Fixed Rate     Date     Depreciation  
 
First Data Corp.
  Bank of America   B3/B   $ 1,525       3.20 %     12/20/09     $ (207,987 )
First Data Corp.
  Citigroup, Inc.   B3/B     3,050       3.20       12/20/09       (415,973 )
First Data Corp.
  Citigroup, Inc.   B3/B     3,050       3.55       12/20/09       (406,306 )
First Data Corp.
  RBS Greenwich Capital   B3/B     3,040       3.95       12/20/10       (600,328 )
First Data Corp.
  RBS Greenwich Capital   B3/B     1,520       3.90       12/20/10       (301,370 )
Ford Motor Corp.
  JPMorgan Chase Bank   Caa1/CCC+     3,200       8.50       3/20/10       (295,062 )
General Motors Corp.
  Citigroup, Inc.   C/C     4,000       5.00       9/20/09       (2,355,676 )
 
                                             
 
                                          $ (4,582,702 )
 
                                             

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Credit Default Swaps — Buy Protection
                                                 
                    Notional                    
                    Amount     Receive              
Reference         Credit   (000s     Annual     Termination     Net Unrealized  
Entity   Counterparty     Rating*   omitted)     Fixed Rate     Date     Depreciation  
 
Dynergy
  Goldman Sachs Capital Markets L.P.   B2/B   $ 1,550       5.00 %     3/20/14     $ (65,321 )
 
*   Credit ratings are those of Moody’s Investors Service, Inc. and Standard & Poor’s Corporation. The credit ratings of the reference debt obligation (together with the unrealized appreciation or depreciation on the swap) are a representative measure of the current payment/performance risk of the credit default swap. A lower credit rating increases the probability of the occurrence of a credit event.
 
**   If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At January 31, 2009, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $19,385,000.
At January 31, 2009, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.

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The Portfolio adopted Financial Accounting Standards Board (FASB) Statement of Financial Accounting Standards No. 157 (FAS 157), “Fair Value Measurements”, effective November 1, 2008. FAS 157 established a three-tier hierarchy to prioritize the assumptions, referred to as inputs, used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
    Level 1 — quoted prices in active markets for identical investments
 
    Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
 
    Level 3 — significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At January 31, 2009, the inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:
                     
        Investments in     Other Financial  
    Valuation Inputs   Securities     Instruments*  
Level 1
  Quoted Prices   $ 22,913,914     $  
Level 2
  Other Significant Observable Inputs     422,121,253       (4,648,023 )
Level 3
  Significant Unobservable Inputs     5,378,328        
 
               
Total
      $ 450,413,495     $ (4,648,023 )
 
               
*   Other financial instruments are swap contracts not reflected in the Portfolio of Investments, which are valued at the unrealized appreciation (depreciation) on the instrument.
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
         
    Investments
In Securities
 
Balance as of October 31, 2008
  $ 5,504,469  
Realized gains (losses)
     
Change in net unrealized appreciation (depreciation)
    (291,759 )
Net purchases (sales)
    165,618  
Accrued discount (premium)
     
Net transfer to (from) Level 3
     
       
Balance as of January 31, 2009
  $ 5,378,328  
       
Debt obligations, including listed securities and securities for which quotations are available, will normally be valued on the basis of reported trades or market quotations provided by independent pricing services, where in the services’ judgment, these prices are representative of the securities’ market values. For debt securities where market quotations are not readily available, the pricing services will use various techniques that consider factors including, but not limited to, prices or yields of securities with similar characteristics, benchmark yields, broker/dealer quotes, issuer spreads, as well as industry and economic events. Credit default swaps are normally valued using valuations provided by pricing vendors. The pricing vendors employ electronic data processing techniques to determine the present value based on credit spread quotations obtained from broker/dealers and expected default recovery rates determined by the pricing vendor using proprietary models. Investments for which valuations or market quotations are not readily available are valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Portfolio in a manner that most fairly reflects the security’s value, or the amount that the Portfolio might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of all 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 security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies, 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 company’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
For additional information on the Portfolio’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio’s most recent financial statements included in its semiannual or annual report to shareholders.

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Item 2. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant on this Form N-Q has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant on this Form N-Q has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting during the fiscal quarter for which the report is being filed that have materially affected, or are reasonably likely to materially affect the registrant’s internal control over financial reporting.

 


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Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
High Income Portfolio
         
By:
  /s/ Michael W. Weilheimer    
 
       
 
  Michael W. Weilheimer    
 
  President    
 
       
Date:
  March 25, 2009    
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
         
By:
  /s/ Michael W. Weilheimer    
 
       
 
  Michael W. Weilheimer    
 
  President    
 
       
Date:
  March 25, 2009    
 
       
By:
  /s/ Barbara E. Campbell    
 
       
 
  Barbara E. Campbell    
 
  Treasurer    
 
       
Date:
  March 25, 2009