-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, MfbgsnFxXI49FnjLJwuonWs/0tjn7g30wTWnh3anrhQgwTAjD6r+AQtvpH6UPlLl D24Fcb91tIb1jspvdXdbtw== 0000950123-09-046570.txt : 20090928 0000950123-09-046570.hdr.sgml : 20090927 20090928170835 ACCESSION NUMBER: 0000950123-09-046570 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20090731 FILED AS OF DATE: 20090928 DATE AS OF CHANGE: 20090928 EFFECTIVENESS DATE: 20090928 FILER: COMPANY DATA: COMPANY CONFORMED NAME: EATON VANCE SERIES TRUST II CENTRAL INDEX KEY: 0000074663 IRS NUMBER: 132706484 STATE OF INCORPORATION: MA FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-02258 FILM NUMBER: 091090805 BUSINESS ADDRESS: STREET 1: THE EATON VANCE BUILDING STREET 2: 255 STATE STREET CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 6174828260 MAIL ADDRESS: STREET 1: THE EATON VANCE BUILDING STREET 2: 255 STATE STREET CITY: BOSTON STATE: MA ZIP: 02109 FORMER COMPANY: FORMER CONFORMED NAME: EATON VANCE INCOME FUND OF BOSTON DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER INCOME FUND OF BOSTON INC DATE OF NAME CHANGE: 19821207 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER INCOME FUND INC DATE OF NAME CHANGE: 19770604 0000074663 S000004984 Eaton Vance Income Fund of Boston C000013484 Eaton Vance Income Fund of Boston Class A EVIBX C000013485 Eaton Vance Income Fund of Boston Class B EBIBX C000013486 Eaton Vance Income Fund of Boston Class C ECIBX C000013487 Eaton Vance Income Fund of Boston Class R ERIBX C000013488 Eaton Vance Income Fund of Boston Class I EIBIX N-Q 1 b77324a1nvq.htm EATON VANCE SERIES TRUST II Eaton Vance Series Trust II
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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
Form N-Q
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
 
811-02258
Investment Company Act File Number
 
Eaton Vance Series Trust II
(Exact Name of Registrant as Specified in Charter)
 
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
 
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
 
(617) 482-8260
(Registrant’s Telephone Number, Including Area Code)
 
October 31
Date of Fiscal Year End
 
July 31, 2009
Date of Reporting Period
 

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Eaton Vance Income Fund of Boston as of July 31, 2009 (Unaudited)
 
Eaton Vance Income Fund of Boston (the Fund), a diversified series of Eaton Vance Series Trust II, invests substantially all of its assets in Boston Income Portfolio (the Portfolio) and owns a pro rata interest in the Portfolio’s net assets. At July 31, 2009, the value of the Fund’s investment in the Portfolio was $2,037,446,077 and the Fund owned 88.8% of the Portfolio’s outstanding interests. The Portfolio’s Portfolio of Investments is set forth below.
 
 

Table of Contents

Boston Income Portfolio as of July 31, 2009
 
PORTFOLIO OF INVESTMENTS (Unaudited)
 
Senior Floating-Rate Interests — 8.7%(1)
 
                 
    Principal
 		       
    Amount
 		       
Security   (000’s omitted)     Value  
Aerospace — 0.6%
               
Hawker Beechcraft Acquisition, Term Loan, 2.39%, Maturing 3/26/14
  $ 17,953     $ 12,275,130  
Hawker Beechcraft Acquisition, Term Loan, 2.60%, Maturing 3/26/14
    1,060       724,481  
                 
            $ 12,999,611  
                 
Automotive & Auto Parts — 1.1%
               
EPD Holdings, (Goodyear Engineering Products), Term Loan - Second Lien, 6.05%, Maturing 7/13/15
  $ 5,410     $ 2,150,475  
Ford Motor Co., Term Loan, 3.50%, Maturing 12/16/13
    27,120       23,153,534  
                 
            $ 25,304,009  
                 
Broadcasting — 0.3%
               
HIT Entertainment, Inc., Term Loan - Second Lien, 6.51%, Maturing 2/5/13
  $ 13,910     $ 6,120,400  
                 
            $ 6,120,400  
                 
Building Materials — 0.2%
               
Panolam Industries Holdings, Inc., Term Loan, 5.00%, Maturing 9/30/12
  $ 7,139     $ 5,264,790  
                 
            $ 5,264,790  
                 
Capital Goods — 0.1%
               
Dresser, Inc., Term Loan - Second Lien, 6.04%, Maturing 5/4/15
  $ 2,120     $ 1,634,166  
                 
            $ 1,634,166  
                 
Consumer Products — 0.1%
               
Amscan Holdings, Inc., Term Loan, 2.88%, Maturing 5/25/13
  $ 3,157     $ 2,786,339  
                 
            $ 2,786,339  
                 
Diversified Media — 0.1%
               
Nielsen Finance, LLC, Term Loan, 2.30%, Maturing 8/9/13
  $ 3,579     $ 3,337,341  
                 
            $ 3,337,341  
                 
Electronics/Electrical — 0.3%
               
Freescale Semiconductor, Inc., Term Loan, 2.06%, Maturing 11/29/13
  $ 9,079     $ 6,744,121  
                 
            $ 6,744,121  
                 
Food & Drug Retail — 0.5%
               
Rite Aid Corp., Term Loan, 9.50%, Maturing 6/10/15
  $ 10,350     $ 10,660,500  
                 
            $ 10,660,500  
                 
Food/Beverage/Tobacco — 0.4%
               
Dole Food Company, Inc., Term Loan, 7.37%, Maturing 4/12/13
  $ 992     $ 1,001,505  
Dole Food Company, Inc., Term Loan, 8.00%, Maturing 4/12/13
    1,737       1,753,239  
Dole Food Company, Inc., Term Loan, 8.00%, Maturing 4/12/13
    6,473       6,532,641  
                 
            $ 9,287,385  
                 
Gaming — 0.4%
               
BLB Worldwide Holdings, Term Loan - Second Lien, 0.00%, Maturing 7/18/12(2)
  $ 8,520     $ 681,600  
Cannery Casino Resorts, LLC, Term Loan - Second Lien, 4.54%, Maturing 5/16/14
    3,220       2,447,200  
Great Lakes Entertainment, Term Loan, 9.00%, Maturing 8/15/12
    6,684       6,349,645  
                 
            $ 9,478,445  
                 
Healthcare — 0.3%
               
Viant Holdings, Inc., Term Loan, 2.85%, Maturing 6/25/14
  $ 9,230     $ 8,029,760  
                 
            $ 8,029,760  
                 
Leisure — 0.3%
               
Universal City Development Partners, Ltd., Term Loan, 6.00%, Maturing 6/9/11
  $ 6,840     $ 6,728,850  
                 
            $ 6,728,850  
                 
 
1

Table of Contents

                 
    Principal
 		       
    Amount
 		       
Security   (000’s omitted)     Value  
Paper — 1.1%
               
NewPage Corp., Term Loan, 4.06%, Maturing 12/21/14
  $ 18,884     $ 16,416,938  
Smurfit-Stone Container Corp., Term Loan, 2.57%, Maturing 11/1/11
    779       737,799  
Smurfit-Stone Container Corp., Term Loan, 2.57%, Maturing 11/1/11
    2,928       2,772,604  
Smurfit-Stone Container Corp., Term Loan, 2.57%, Maturing 11/1/11
    1,508       1,424,813  
Smurfit-Stone Container Corp., Term Loan, 3.05%, Maturing 11/1/09
    1,063       1,010,245  
Smurfit-Stone Container Corp., Term Loan, 3.24%, Maturing 11/2/09
    3,207       3,046,256  
Smurfit-Stone Container Corp., Term Loan, 4.50%, Maturing 11/1/10
    1,034       977,533  
                 
            $ 26,386,188  
                 
Services — 1.4%
               
Neff Rental, Inc., Term Loan - Second Lien, 3.80%, Maturing 11/20/14
  $ 2,730     $ 495,495  
Rental Service Corp., Term Loan - Second Lien, 4.02%, Maturing 11/30/13
    7,661       6,282,113  
Sabre, Inc., Term Loan, 2.67%, Maturing 9/30/14
    5,974       4,831,698  
Travelport, LLC, Term Loan, 2.79%, Maturing 8/23/13
    1,672       1,431,786  
Travelport, LLC, Term Loan, 2.90%, Maturing 8/23/13
    9,332       7,946,248  
Travelport, LLC, Term Loan, 3.10%, Maturing 8/23/13
    1,658       1,411,737  
Travelport, LLC, Term Loan, 10.50%, Maturing 8/23/13
    9,600       9,666,000  
                 
            $ 32,065,077  
                 
Steel — 0.2%
               
RathGibson, Inc., DIP Loan, 10.50%, Maturing 2/10/10
  $ 4,760     $ 4,760,000  
                 
            $ 4,760,000  
                 
Super Retail — 0.6%
               
Toys “R” Us, Term Loan, 4.54%, Maturing 7/19/12
  $ 13,105     $ 12,684,127  
                 
            $ 12,684,127  
                 
Transportation Ex Air/Rail — 0.1%
               
CEVA Group, PLC, Term Loan, 3.31%, Maturing 6/29/15
  $ 2,533     $ 1,891,399  
CEVA Group, PLC, Term Loan, 3.60%, Maturing 8/2/15
    848       633,098  
                 
            $ 2,524,497  
                 
Utilities — 0.6%
               
TXU Texas Competitive Electric Holdings Co., LLC, Term Loan, 3.80%, Maturing 10/10/14
  $ 17,756     $ 13,755,902  
                 
            $ 13,755,902  
                 
                 
Total Senior Floating-Rate Interests
(identified cost $204,425,342)
          $ 200,551,508  
                 
 
Corporate Bonds & Notes — 87.1%
 
                 
    Principal
 		       
    Amount
 		       
Security   (000’s omitted)     Value  
Aerospace — 0.3%
               
Alion Science and Technologies Corp., 10.25%, 2/1/15
  $ 2,910     $ 1,571,400  
Bombardier, Inc., 8.00%, 11/15/14(3)
    2,620       2,541,400  
Hawker Beechcraft Acquisition, 9.75%, 4/1/17
    4,255       2,148,775  
TransDigm, Inc., 7.75%, 7/15/14
    1,475       1,456,563  
                 
            $ 7,718,138  
                 
Air Transportation — 0.1%
               
Continental Airlines, 7.033%, 6/15/11
  $ 1,135     $ 896,782  
                 
            $ 896,782  
                 
Automotive & Auto Parts — 3.4%
               
Allison Transmission, Inc., 11.00%, 11/1/15(3)
  $ 1,690     $ 1,546,350  
Allison Transmission, Inc., (PIK), 11.25%, 11/1/15(3)
    8,350       6,888,750  
Altra Industrial Motion, Inc., 9.00%, 12/1/11
    6,560       6,510,800  
Commercial Vehicle Group, Inc., Sr. Notes, 8.00%, 7/1/13
    1,800       1,035,000  
Ford Motor Credit Co., Sr. Notes, 7.50%, 8/1/12
    16,965       15,668,094  
 
2

Table of Contents

                 
    Principal
 		       
    Amount
 		       
Security   (000’s omitted)     Value  
Ford Motor Credit Co., Sr. Notes, 7.80%, 6/1/12
  $ 9,235     $ 8,685,887  
Ford Motor Credit Co., Sr. Notes, 7.875%, 6/15/10
    4,655       4,587,395  
Ford Motor Credit Co., Sr. Notes, 8.00%, 12/15/16
    17,655       15,845,663  
Ford Motor Credit Co., Sr. Notes, 12.00%, 5/15/15
    4,785       4,883,150  
Goodyear Tire & Rubber Co. (The), 10.50%, 5/15/16
    8,635       9,304,212  
Tenneco, Inc., Sr. Notes, 8.125%, 11/15/15
    1,790       1,633,375  
United Components, Inc., Sr. Sub. Notes, 9.375%, 6/15/13
    1,895       1,307,550  
                 
            $ 77,896,226  
                 
Banks and Thrifts — 0.1%
               
General Motors Acceptance Corp., 6.875%, 9/15/11(3)
  $ 1,213     $ 1,131,123  
                 
            $ 1,131,123  
                 
Broadcasting — 0.7%
               
Rainbow National Services, LLC, Sr. Sub. Debs., 10.375%, 9/1/14(3)
  $ 2,490     $ 2,614,500  
XM Satellite Radio Holdings, Inc., Sr. Notes, 11.25%, 6/15/13(3)
    7,655       7,922,925  
XM Satellite Radio Holdings, Inc., Sr. Notes, 13.00%, 8/1/13(3)
    7,025       6,340,063  
                 
            $ 16,877,488  
                 
Building Materials — 0.5%
               
Interface, Inc., Sr. Notes, 11.375%, 11/1/13(3)
  $ 2,320     $ 2,453,400  
Interface, Inc., Sr. Sub. Notes, 9.50%, 2/1/14
    965       911,925  
Interline Brands, Inc., Sr. Sub. Notes, 8.125%, 6/15/14
    2,120       2,125,300  
Panolam Industries International, Sr. Sub. Notes, 10.75%, 10/1/13(2)
    11,740       645,700  
Texas Industries, Inc., Sr. Notes, 7.25%, 7/15/13(3)
    4,030       3,727,750  
USG Corp., 9.75%, 8/1/14(3)
    2,335       2,393,375  
                 
            $ 12,257,450  
                 
Cable/Satellite TV — 2.6%
               
CCO Holdings, LLC/CCO Capital Corp., Sr. Notes, 8.75%, 11/15/13(2)
  $ 12,405     $ 12,436,012  
Charter Communications, Inc., Sr. Notes, 10.375%, 4/30/14(2)(3)
    1,865       1,869,663  
Charter Communications, Inc., Sr. Notes, 10.875%, 9/15/14(2)(3)
    6,050       6,564,250  
Kabel Deutschland GmbH, 10.625%, 7/1/14
    6,840       7,199,100  
Mediacom Broadband Corp., Sr. Notes, 8.50%, 10/15/15
    4,210       4,020,550  
National Cable PLC, 8.75%, 4/15/14
    1,195       1,212,925  
National Cable PLC, Sr. Notes, 9.125%, 8/15/16
    17,640       17,904,600  
Virgin Media Finance PLC, Sr. Notes, 9.50%, 8/15/16
    7,255       7,472,650  
                 
            $ 58,679,750  
                 
Capital Goods — 1.5%
               
American Railcar Industry, Sr. Notes, 7.50%, 3/1/14
  $ 3,895     $ 3,583,400  
Chart Industries, Inc., Sr. Sub. Notes, 9.125%, 10/15/15
    3,575       3,449,875  
ESCO Corp., Sr. Notes, 8.625%, 12/15/13(3)
    3,010       2,784,250  
ESCO Corp., Sr. Notes, Variable Rate, 4.504%, 12/15/13(3)
    3,010       2,543,450  
RBS Global & Rexnord Corp., 9.50%, 8/1/14(3)
    3,506       3,067,750  
RBS Global & Rexnord Corp., 11.75%, 8/1/16
    5,290       4,284,900  
Terex Corp., Sr. Notes, 10.875%, 6/1/16
    9,725       10,162,625  
Terex Corp., Sr. Sub. Notes, 8.00%, 11/15/17
    5,450       4,537,125  
                 
            $ 34,413,375  
                 
Chemicals — 2.3%
               
Ashland, Inc., 9.125%, 6/1/17(3)
  $ 6,940     $ 7,339,050  
CII Carbon, LLC, 11.125%, 11/15/15(3)
    5,555       4,471,775  
Dow Chemical Co. (The), 8.55%, 5/15/19
    22,250       24,451,459  
INEOS Group Holdings PLC, Sr. Sub. Notes, 8.50%, 2/15/16(3)
    8,975       3,724,625  
Nalco Co., Sr. Notes, 8.25%, 5/15/17(3)
    5,500       5,747,500  
Nova Chemicals Corp., Sr. Notes, Variable Rate, 4.538%, 11/15/13
    3,525       3,172,500  
Reichhold Industries, Inc., Sr. Notes, 9.00%, 8/15/14(3)
    10,950       4,270,500  
                 
            $ 53,177,409  
                 
 
3

Table of Contents

                 
    Principal
 		       
    Amount
 		       
Security   (000’s omitted)     Value  
Consumer Products — 0.7%
               
Amscan Holdings, Inc., Sr. Sub. Notes, 8.75%, 5/1/14
  $ 12,225     $ 11,002,500  
Sealy Mattress Co., 8.25%, 6/15/14
    1,185       1,087,237  
Sealy Mattress Co., Sr. Notes, 10.875%, 4/15/16(3)
    1,415       1,549,425  
Whirlpool Corp., 8.60%, 5/1/14
    2,745       2,949,415  
                 
            $ 16,588,577  
                 
Containers — 0.8%
               
Greif, Inc., Sr. Notes, 7.75%, 8/1/19(3)
  $ 2,250     $ 2,244,375  
Intertape Polymer US, Inc., Sr. Sub. Notes, 8.50%, 8/1/14
    5,160       2,760,600  
Pliant Corp., Sr. Notes, 11.625%, 6/15/10(2)
    9,994       7,445,465  
Solo Cup Co., Sr. Notes, 10.50%, 11/1/13(3)
    4,680       4,949,100  
                 
            $ 17,399,540  
                 
Diversified Financial Services — 0.0%
               
Nuveen Investments, Inc., Sr. Notes, 10.50%, 11/15/15(3)
  $ 545     $ 389,675  
                 
            $ 389,675  
                 
Diversified Media — 2.9%
               
Affinion Group, Inc., 10.125%, 10/15/13
  $ 1,800     $ 1,791,000  
Affinion Group, Inc., 11.50%, 10/15/15
    4,865       4,524,450  
Catalina Marketing Corp., 11.625%, 10/1/17(3)
    6,747       5,768,685  
Catalina Marketing Corp., (PIK), 10.50%, 10/1/15(3)
    1,845       1,706,625  
Interpublic Group of Cos., Inc., 10.00%, 7/15/17(3)
    9,315       9,780,750  
LBI Media, Inc., Sr. Disc. Notes, 11.00%, 10/15/13
    3,320       1,618,500  
Nielsen Finance, LLC, 10.00%, 8/1/14
    15,390       15,543,900  
Nielsen Finance, LLC, 11.50%, 5/1/16
    6,670       7,020,175  
Nielsen Finance, LLC, 12.50%, (0.00% until 2011), 8/1/16
    4,600       3,369,500  
Nielsen Finance, LLC, Sr. Notes, 11.625%, 2/1/14
    795       840,712  
Warner Music Group, Sr. Sub. Notes, 7.375%, 4/15/14
    2,595       2,361,450  
Warner Music Group Acquisition Corp., Sr. Notes, 9.50%, 6/15/16(3)
    11,565       12,316,725  
                 
            $ 66,642,472  
                 
Energy — 8.3%
               
Allis-Chalmers Energy, Inc., Sr. Notes, 9.00%, 1/15/14
  $ 6,125     $ 4,486,563  
Berry Petroleum Co., Sr. Notes, 10.25%, 6/1/14
    4,180       4,389,000  
Bill Barrett Corp., 9.875%, 7/15/16
    1,410       1,476,975  
Chesapeake Energy Corp., 9.50%, 2/15/15
    14,395       15,348,669  
Clayton Williams Energy, Inc., 7.75%, 8/1/13
    4,650       3,510,750  
Compton Pet Finance Corp., 7.625%, 12/1/13
    8,727       5,738,003  
Denbury Resources, Inc., Sr. Sub. Notes, 7.50%, 12/15/15
    5,405       5,377,975  
Denbury Resources, Inc., Sr. Sub. Notes, 9.75%, 3/1/16
    9,875       10,590,937  
El Paso Corp., Sr. Notes, 9.625%, 5/15/12
    6,220       6,484,692  
Forbes Energy Services, Sr. Notes, 11.00%, 2/15/15
    10,125       7,290,000  
Holly Corp., 9.875%, 6/15/17(3)
    6,980       6,945,100  
OPTI Canada, Inc., Sr. Notes, 7.875%, 12/15/14
    4,010       2,646,600  
OPTI Canada, Inc., Sr. Notes, 8.25%, 12/15/14
    3,605       2,397,325  
Petrohawk Energy Corp., Sr. Notes, 9.125%, 7/15/13
    5,075       5,290,688  
Petroleum Development Corp., Sr. Notes, 12.00%, 2/15/18
    3,885       3,477,075  
Petroplus Finance, Ltd., 6.75%, 5/1/14(3)
    955       854,725  
Petroplus Finance, Ltd., 7.00%, 5/1/17(3)
    19,505       16,774,300  
Quicksilver Resources, Inc., 7.125%, 4/1/16
    11,035       9,324,575  
Quicksilver Resources, Inc., Sr. Notes, 11.75%, 1/1/16
    9,830       10,825,287  
SandRidge Energy, Inc., Sr. Notes, 8.00%, 6/1/18(3)
    8,530       7,804,950  
SandRidge Energy, Inc., Sr. Notes, (PIK), 8.625%, 4/1/15
    11,760       11,230,800  
SemGroup L.P., Sr. Notes, 8.75%, 11/15/15(2)(3)
    10,225       357,875  
SESI, LLC, 6.875%, 6/1/14
    1,150       1,092,500  
Southwestern Energy Co., Sr. Notes, 7.50%, 2/1/18(3)
    10,245       10,321,837  
Stewart & Stevenson, LLC, Sr. Notes, 10.00%, 7/15/14
    9,305       8,141,875  
Tennessee Gas Pipeline Co., Sr. Notes, 8.00%, 2/1/16
    1,570       1,750,550  
Tesoro Corp., 9.75%, 6/1/19
    2,320       2,349,000  
 
4

Table of Contents

                 
    Principal
 		       
    Amount
 		       
Security   (000’s omitted)     Value  
United Refining Co., Sr. Notes, 10.50%, 8/15/12
  $ 21,745     $ 17,287,275  
Williams Companies, Inc., Sr. Notes, 8.75%, 1/15/20
    3,265       3,237,941  
Williams Companies, Inc., Sr. Notes, 8.75%, 1/15/20(3)
    3,265       3,695,941  
                 
            $ 190,499,783  
                 
Entertainment/Film — 1.9%
               
AMC Entertainment, Inc., 11.00%, 2/1/16
  $ 33,741     $ 34,247,115  
Marquee Holdings, Inc., Sr. Disc. Notes, 12.00%, 8/15/14
    11,265       9,293,625  
                 
            $ 43,540,740  
                 
Environmental — 0.4%
               
Casella Waste Systems, Inc., Sr. Notes, 11.00%, 7/15/14(3)
  $ 2,350     $ 2,444,000  
Waste Services, Inc., Sr. Sub. Notes, 9.50%, 4/15/14
    7,240       7,149,500  
                 
            $ 9,593,500  
                 
Food & Drug Retail — 0.8%
               
Duane Reade, Inc., Sr. Notes, 11.75%, 8/1/15(3)
  $ 1,365     $ 1,329,742  
Rite Aid Corp., Sr. Notes, 9.75%, 6/12/16(3)
    8,140       8,628,400  
Supervalu, Inc., Sr. Notes, 8.00%, 5/1/16
    9,090       9,067,275  
                 
            $ 19,025,417  
                 
Food/Beverage/Tobacco — 1.2%
               
ASG Consolidated, LLC/ASG Finance, Inc., Sr. Disc. Notes, 11.50%, 11/1/11
  $ 10,090     $ 9,333,250  
Chiquita Brands International, Inc., Sr. Notes, 8.875%, 12/1/15
    900       852,750  
Dole Foods Co., 7.25%, 6/15/10
    935       930,325  
Dole Foods Co., 13.875%, 3/15/14(3)
    9,405       10,580,625  
Smithfield Foods, Inc., Sr. Notes, 10.00%, 7/15/14(3)
    5,810       6,085,975  
                 
            $ 27,782,925  
                 
Gaming — 6.2%
               
Ameristar Casinos, Inc., 9.25%, 6/1/14(3)
  $ 5,070     $ 5,247,450  
Buffalo Thunder Development Authority, 9.375%, 12/15/14(2)(3)
    11,355       1,731,638  
CCM Merger, Inc., 8.00%, 8/1/13(3)
    8,020       6,215,500  
Chukchansi EDA, Sr. Notes, Variable Rate, 4.913%, 11/15/12(3)
    5,045       3,468,438  
Eldorado Casino Shreveport, 10.00%, 8/1/12
    518       432,244  
Fontainebleau Las Vegas Casino, LLC, (PIK), 11.00%, 6/15/15(2)(3)
    19,830       694,050  
Galaxy Entertainment Finance, 9.875%, 12/15/12(3)
    14,060       13,427,300  
Galaxy Entertainment Finance, Variable Rate, 6.218%, 12/15/10(3)
    5,565       5,314,575  
Greektown Holdings, LLC, Sr. Notes, 10.75%, 12/1/13(2)(3)
    1,804       279,620  
Harrahs Operating Escrow Corp., Sr. Notes, 11.25%, 6/1/17(3)
    5,595       5,692,912  
Indianapolis Downs, LLC & Capital Corp., Sr. Notes, 11.00%, 11/1/12(3)
    4,635       3,499,425  
Inn of the Mountain Gods, Sr. Notes, 12.00%, 11/15/10(2)
    7,910       3,243,100  
Majestic HoldCo, LLC, 12.50%, 10/15/11(2)(3)
    3,390       373  
MGM Mirage, Inc., 7.50%, 6/1/16
    820       602,700  
MGM Mirage, Inc., Sr. Notes, 10.375%, 5/15/14(3)
    4,625       4,983,437  
MGM Mirage, Inc., Sr. Notes, 11.125%, 11/15/17(3)
    4,790       5,292,950  
Mohegan Tribal Gaming Authority, Sr. Sub. Notes, 6.875%, 2/15/15
    7,630       5,302,850  
Mohegan Tribal Gaming Authority, Sr. Sub. Notes, 7.125%, 8/15/14
    7,140       5,033,700  
Mohegan Tribal Gaming Authority, Sr. Sub. Notes, 8.00%, 4/1/12
    13,990       11,541,750  
OED Corp./Diamond Jo, LLC, 8.75%, 4/15/12
    8,790       9,097,650  
Park Place Entertainment, 7.875%, 3/15/10
    12,605       12,100,800  
Peninsula Gaming, LLC, 8.375%, 8/15/15(3)
    1,350       1,356,750  
Peninsula Gaming, LLC, 10.75%, 8/15/17(3)
    4,490       4,383,362  
Pinnacle Entertainment, Inc., Sr. Notes, 8.625%, 8/1/17(3)
    3,160       3,175,800  
Pinnacle Entertainment, Inc., Sr. Sub. Notes, 7.50%, 6/15/15
    2,590       2,311,575  
Pokagon Gaming Authority, Sr. Notes, 10.375%, 6/15/14(3)
    2,172       2,172,000  
San Pasqual Casino, 8.00%, 9/15/13(3)
    2,005       1,714,275  
Seminole Hard Rock Entertainment, Variable Rate, 3.129%, 3/15/14(3)
    3,875       2,925,625  
 
5

Table of Contents

                 
    Principal
 		       
    Amount
 		       
Security   (000’s omitted)     Value  
Tunica-Biloxi Gaming Authority, Sr. Notes, 9.00%, 11/15/15(3)
  $ 9,455     $ 8,367,675  
Waterford Gaming, LLC, Sr. Notes, 8.625%, 9/15/14(3)
    11,796       10,145,100  
Wynn Las Vegas, LLC, 6.625%, 12/1/14
    3,095       2,886,088  
                 
            $ 142,640,712  
                 
Healthcare — 7.0%
               
Accellent, Inc., 10.50%, 12/1/13
  $ 6,335     $ 5,875,712  
AMR HoldCo, Inc./EmCare HoldCo, Inc., Sr. Sub. Notes, 10.00%, 2/15/15
    12,320       12,782,000  
Biomet, Inc., 11.625%, 10/15/17
    25,120       27,380,800  
Biomet, Inc., (PIK), 10.375%, 10/15/17
    7,475       8,035,625  
DJO Finance, LLC/DJO Finance Corp., 10.875%, 11/15/14
    13,120       12,464,000  
Fresenius US Finance II, Inc., Sr. Notes, 9.00%, 7/15/15(3)
    4,510       4,893,350  
HCA, Inc., 9.125%, 11/15/14
    635       655,638  
HCA, Inc., 9.25%, 11/15/16
    10,125       10,580,625  
HCA, Inc., 9.875%, 2/15/17(3)
    7,880       8,333,100  
Inverness Medical Innovations, Inc., Sr. Sub. Notes, 9.00%, 5/15/16
    11,385       11,413,462  
MultiPlan Inc., Sr. Sub. Notes, 10.375%, 4/15/16(3)
    12,035       11,613,775  
National Mentor Holdings, Inc., 11.25%, 7/1/14
    7,385       6,498,800  
Res-Care, Inc., Sr. Notes, 7.75%, 10/15/13
    4,620       4,412,100  
Universal Hospital Service, Inc., Sr. Notes, Variable Rate, 4.635%, 6/1/15
    1,965       1,660,425  
US Oncology, Inc., 9.00%, 8/15/12
    5,370       5,484,113  
US Oncology, Inc., 10.75%, 8/15/14
    8,635       8,591,825  
US Oncology, Inc., Sr. Notes, 9.125%, 8/15/17(3)
    11,655       12,092,062  
Valeant Pharmaceuticals International, 8.375%, 6/15/16(3)
    4,910       5,008,200  
Viant Holdings, Inc., 10.125%, 7/15/17(3)
    3,163       2,672,735  
                 
            $ 160,448,347  
                 
Homebuilders/Real Estate — 0.3%
               
CB Richard Ellis Group, Inc., Sr. Sub. Notes, 11.625%, 6/15/17(3)
  $ 7,190     $ 7,261,900  
                 
            $ 7,261,900  
                 
Hotels — 0.6%
               
Host Hotels and Resorts, LP, Sr. Notes, 6.75%, 6/1/16
  $ 10,770     $ 10,043,025  
Starwood Hotels & Resorts Worldwide, Inc., 6.75%, 5/15/18
    2,190       1,974,143  
Starwood Hotels & Resorts Worldwide, Inc., 7.375%, 11/15/15
    2,505       2,370,123  
                 
            $ 14,387,291  
                 
Insurance — 0.4%
               
Alliant Holdings I, Inc., 11.00%, 5/1/15(3)
  $ 4,190     $ 3,708,150  
HUB International Holdings, Sr. Notes, 9.00%, 12/15/14(3)
    4,265       3,710,550  
U.S.I. Holdings Corp., Sr. Notes, Variable Rate, 4.758%, 11/15/14(3)
    3,265       2,301,825  
                 
            $ 9,720,525  
                 
Leisure — 3.2%
               
HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital Corp., Variable Rate, 0.00%, 4/1/12(2)(3)
  $ 6,665     $ 666  
Royal Caribbean Cruises, Sr. Notes, 6.875%, 12/1/13
    4,095       3,644,550  
Royal Caribbean Cruises, Sr. Notes, 7.00%, 6/15/13
    5,505       4,954,500  
Royal Caribbean Cruises, Sr. Notes, 7.25%, 6/15/16
    805       668,150  
Royal Caribbean Cruises, Sr. Notes, 7.25%, 3/15/18
    1,620       1,287,900  
Royal Caribbean Cruises, Sr. Notes, 8.75%, 2/2/11
    910       914,550  
Universal City Development Partners, Sr. Notes, 11.75%, 4/1/10
    27,060       26,992,350  
Universal City Florida Holdings, Sr. Notes, 8.375%, 5/1/10
    670       596,300  
Universal City Florida Holdings, Sr. Notes, Variable Rate, 5.778%, 5/1/10
    38,125       33,359,375  
                 
            $ 72,418,341  
                 
Metals/Mining — 3.1%
               
Arch Coal, Inc., Sr. Notes, 8.75%, 8/1/16(3)
  $ 2,660     $ 2,699,900  
FMG Finance PTY, Ltd., 10.625%, 9/1/16(3)
    16,890       17,523,375  
FMG Finance PTY, Ltd., Variable Rate, 4.668%, 9/1/11(3)
    1,140       1,175,625  
Rio Tinto Finance USA Ltd., 9.00%, 5/1/19
    6,425       7,571,625  
 
6

Table of Contents

                 
    Principal
 		       
    Amount
 		       
Security   (000’s omitted)     Value  
Teck Resources, Ltd., Sr. Notes, 9.75%, 5/15/14(3)
  $ 9,050     $ 10,113,375  
Teck Resources, Ltd., Sr. Notes, 10.25%, 5/15/16(3)
    6,785       7,717,938  
Teck Resources, Ltd., Sr. Notes, 10.75%, 5/15/19(3)
    20,430       23,877,562  
                 
            $ 70,679,400  
                 
Paper — 3.8%
               
Domtar Corp., 10.75%, 6/1/17
  $ 8,500     $ 8,670,000  
Georgia-Pacific LLC, 7.00%, 1/15/15(3)
    3,590       3,500,250  
Georgia-Pacific LLC, 7.125%, 1/15/17(3)
    2,600       2,548,000  
Georgia-Pacific LLC, 8.25%, 5/1/16(3)
    5,835       6,068,400  
Graphic Packaging International, Inc., 9.50%, 6/15/17(3)
    930       930,000  
International Paper Co., 7.95%, 6/15/18
    8,220       8,770,000  
International Paper Co., 9.375%, 5/15/19
    26,585       31,150,921  
Jefferson Smurfit Corp., Sr. Notes, 7.50%, 6/1/13(2)
    1,555       773,612  
Jefferson Smurfit Corp., Sr. Notes, 8.25%, 10/1/12(2)
    3,390       1,728,900  
NewPage Corp., 10.00%, 5/1/12
    20,445       9,200,250  
NewPage Corp., 12.00%, 5/1/13
    6,295       1,857,025  
NewPage Corp., Variable Rate, 7.278%, 5/1/12
    2,585       1,098,625  
Smurfit-Stone Container Enterprises, Inc., Sr. Notes, 8.00%, 3/15/17(2)
    11,230       5,699,225  
Smurfit-Stone Container Enterprises, Inc., Sr. Notes, 8.375%, 7/1/12(2)
    3,260       1,695,200  
Verso Paper Holdings, LLC/Verso Paper, Inc., 11.375%, 8/1/16
    7,275       2,509,875  
Verso Paper Holdings, LLC/Verso Paper, Inc., Sr. Notes, Variable Rate, 4.778%, 8/1/14
    975       472,875  
                 
            $ 86,673,158  
                 
Publishing/Printing — 0.1%
               
Dex Media West/Finance, Series B, 9.875%, 8/15/13(2)
  $ 5,422     $ 1,016,625  
Harland Clarke Holdings, 9.50%, 5/15/15
    1,075       868,063  
Local Insight Regatta Holdings, Inc., 11.00%, 12/1/17
    1,660       473,100  
Reader’s Digest Association, Inc. (The), Sr. Sub. Notes, 9.00%, 2/15/17(2)
    10,390       675,350  
                 
            $ 3,033,138  
                 
Railroad — 0.8%
               
Kansas City Southern Mexico, Sr. Notes, 7.375%, 6/1/14
  $ 2,350     $ 2,079,750  
Kansas City Southern Mexico, Sr. Notes, 7.625%, 12/1/13
    8,155       7,380,275  
Kansas City Southern Mexico, Sr. Notes, 8.00%, 6/1/15
    6,410       6,249,750  
TFM SA de C.V., Sr. Notes, 9.375%, 5/1/12
    1,885       1,866,150  
                 
            $ 17,575,925  
                 
Restaurants — 0.6%
               
El Pollo Loco, Inc., 11.75%, 11/15/13
  $ 5,085     $ 4,347,675  
NPC International, Inc., 9.50%, 5/1/14
    9,800       9,310,000  
                 
            $ 13,657,675  
                 
Services — 7.1%
               
Aramark Services, Inc., 8.50%, 2/1/15
  $ 11,050     $ 11,188,125  
Education Management, LLC, Sr. Notes, 8.75%, 6/1/14
    10,305       10,395,169  
Education Management, LLC, Sr. Sub. Notes, 10.25%, 6/1/16
    24,040       24,580,900  
Hertz Corp., 8.875%, 1/1/14
    13,495       13,056,413  
Hertz Corp., 10.50%, 1/1/16
    3,450       3,312,000  
KAR Holdings, Inc., 8.75%, 5/1/14
    5,580       5,189,400  
Laureate Education, Inc., 10.00%, 8/15/15(3)
    19,353       17,127,405  
Laureate Education, Inc., 11.75%, 8/15/17(3)
    13,854       12,330,060  
Laureate Education, Inc., (PIK), 10.25%, 8/15/15(3)
    16,085       12,787,946  
MediMedia USA, Inc., Sr. Sub. Notes, 11.375%, 11/15/14(3)
    5,110       2,938,250  
Muzak, LLC/Muzak Finance, Sr. Notes, 10.00%, 2/15/09(2)
    2,950       1,268,500  
Rental Service Corp., 9.50%, 12/1/14
    8,360       7,210,500  
RSC Equipment Rental, Inc., Sr. Notes, 10.00%, 7/15/17(3)
    10,890       11,516,175  
Ticketmaster Entertainment, Inc., 10.75%, 7/28/16
    6,385       5,969,975  
United Rentals North America, Inc., 10.875%, 6/15/16(3)
    8,360       8,401,800  
West Corp., 9.50%, 10/15/14
    15,085       14,406,175  
                 
            $ 161,678,793  
                 
 
7

Table of Contents

                 
    Principal
 		       
    Amount
 		       
Security   (000’s omitted)     Value  
Steel — 0.2%
               
RathGibson, Inc., Sr. Notes, 11.25%, 2/15/14(2)
  $ 8,245     $ 2,968,200  
Steel Dynamics, Inc., Sr. Notes, 7.375%, 11/1/12
    1,855       1,850,363  
                 
            $ 4,818,563  
                 
Super Retail — 7.8%
               
Freedom Group, Inc., Sr. Notes, 10.25%, 8/1/15(3)
  $ 1,145     $ 1,179,350  
General Nutrition Center, Sr. Notes, (PIK), Variable Rate, 6.404%, 3/15/14
    26,035       23,106,062  
General Nutrition Center, Sr. Sub. Notes, 10.75%, 3/15/15
    8,870       8,382,150  
Limited Brands, Inc., Sr. Notes, 8.50%, 6/15/19(3)
    11,065       11,154,992  
Neiman Marcus Group, Inc., 9.00%, 10/15/15
    26,618       19,830,305  
Neiman Marcus Group, Inc., 10.375%, 10/15/15
    32,643       23,666,175  
Sally Holdings, LLC, 9.25%, 11/15/14
    1,270       1,314,450  
Sally Holdings, LLC, Sr. Notes, 10.50%, 11/15/16
    24,865       25,735,275  
Toys “R” Us, 7.625%, 8/1/11
    13,110       12,323,400  
Toys “R” Us, 7.875%, 4/15/13
    12,390       10,438,575  
Toys “R” Us, 10.75%, 7/15/17(3)
    13,715       14,126,450  
Yankee Acquisition Corp., 9.75%, 2/15/17
    2,330       1,945,550  
Yankee Acquisition Corp., Series B, 8.50%, 2/15/15
    29,085       26,176,500  
                 
            $ 179,379,234  
                 
Technology — 4.6%
               
Advanced Micro Devices, Inc., Sr. Notes, 7.75%, 11/1/12
  $ 8,614     $ 6,740,455  
Amkor Technologies, Inc., Sr. Notes, 7.75%, 5/15/13
    1,725       1,681,875  
Amkor Technologies, Inc., Sr. Notes, 9.25%, 6/1/16
    25,205       25,835,125  
Avago Technologies Finance, 10.125%, 12/1/13
    3,520       3,678,400  
Avago Technologies Finance, 11.875%, 12/1/15
    12,875       13,454,375  
Avaya, Inc., Sr. Notes, 9.75%, 11/1/15(3)
    10,540       8,168,500  
Ceridian Corp., Sr. Notes, 11.25%, 11/15/15
    14,675       12,583,812  
Jabil Circuit, Inc., Sr. Notes, 7.75%, 7/15/16
    2,725       2,619,897  
SunGard Data Systems, Inc., Sr. Notes, 10.625%, 5/15/15(3)
    27,755       29,836,625  
                 
            $ 104,599,064  
                 
Telecommunications — 8.0%
               
Digicel Group, Ltd., 12.00%, 4/1/14(3)
  $ 4,330     $ 4,589,800  
Digicel Group, Ltd., Sr. Notes, 9.125%, 1/15/15(3)
    32,026       28,022,750  
Digicel Group, Ltd., Sr. Notes, 9.25%, 9/1/12(3)
    9,255       9,301,275  
Intelsat Bermuda, Ltd., 11.25%, 6/15/16
    30,855       33,014,850  
Intelsat Corp., 9.25%, 8/15/14
    9,696       9,865,680  
Intelsat Jackson Holdings, Ltd., 9.50%, 6/15/16
    10,378       10,793,120  
Intelsat Subsidiary Holdings Co., Ltd., 8.875%, 1/15/15
    2,340       2,375,100  
Intelsat Subsidiary Holdings Co., Ltd., 8.875%, 1/15/15(3)
    8,600       8,729,000  
Qwest Communications International, Inc., 7.50%, 2/15/14
    8,975       8,817,937  
Qwest Corp., Sr. Notes, 7.50%, 10/1/14
    2,740       2,746,850  
Qwest Corp., Sr. Notes, 7.625%, 6/15/15
    3,500       3,508,750  
SBA Telecommunications, Inc., 8.00%, 8/15/16(3)
    4,075       4,136,125  
SBA Telecommunications, Inc., 8.25%, 8/15/19(3)
    2,725       2,779,500  
Sprint Capital Corp., 6.875%, 11/15/28
    10,610       8,063,600  
Telesat Canada/Telesat LLC, Sr. Notes, 11.00%, 11/1/15(3)
    16,235       16,884,400  
Telesat Canada/Telesat LLC, Sr. Notes, 12.50%, 11/1/17(3)
    12,665       12,981,625  
Wind Acquisition Finance SA, Sr. Notes, 11.75%, 7/15/17(3)
    11,150       11,986,250  
Windstream Corp., Sr. Notes, 8.125%, 8/1/13
    650       659,750  
Windstream Corp., Sr. Notes, 8.625%, 8/1/16
    4,485       4,574,700  
                 
            $ 183,831,062  
                 
Textiles/Apparel — 1.5%
               
Levi Strauss & Co., Sr. Notes, 8.875%, 4/1/16
  $ 1,610     $ 1,605,975  
Levi Strauss & Co., Sr. Notes, 9.75%, 1/15/15
    7,636       7,788,720  
Oxford Industries, Inc., Sr. Notes, 11.375%, 7/15/15(3)
    7,020       7,371,000  
 
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    Principal
 		       
    Amount
 		       
Security   (000’s omitted)     Value  
Perry Ellis International, Inc., Sr. Sub. Notes, 8.875%, 9/15/13
  $ 12,545     $ 10,976,875  
Phillips Van Heusen, Sr. Notes, 8.125%, 5/1/13
    2,580       2,612,250  
Quiksilver, Inc., 6.875%, 4/15/15
    7,400       4,884,000  
                 
            $ 35,238,820  
                 
Transportation Ex Air/Rail — 0.3%
               
CEVA Group, PLC, Sr. Notes, 10.00%, 9/1/14(3)
  $ 8,305     $ 6,187,225  
                 
            $ 6,187,225  
                 
Utilities — 3.0%
               
AES Corp., Sr. Notes, 8.75%, 5/15/13(3)
  $ 1,572     $ 1,611,300  
AES Eastern Energy, Series 99-A, 9.00%, 1/2/17
    2,427       2,281,667  
Calpine Construction Finance Co., Sr. Notes, 8.00%, 6/1/16(3)
    11,965       12,084,650  
Edison Mission Energy, Sr. Notes, 7.00%, 5/15/17
    20,150       16,145,187  
Edison Mission Energy, Sr. Notes, 7.20%, 5/15/19
    2,825       2,154,063  
Edison Mission Energy, Sr. Notes, 7.50%, 6/15/13
    915       839,513  
NGC Corp., 7.625%, 10/15/26
    7,090       4,573,050  
NRG Energy, Inc., 7.25%, 2/1/14
    1,100       1,083,500  
NRG Energy, Inc., 7.375%, 1/15/17
    17,225       16,665,187  
NRG Energy, Inc., Sr. Notes, 7.375%, 2/1/16
    11,865       11,509,050  
Reliant Energy, Inc., Sr. Notes, 7.625%, 6/15/14
    785       733,975  
                 
            $ 69,681,142  
                 
                 
Total Corporate Bonds & Notes
(identified cost $2,104,929,564)
          $ 1,998,420,685  
                 
 
Convertible Bonds — 0.8%
 
                 
    Principal
 		       
    Amount
 		       
Security   (000’s omitted)     Value  
Cable/Satellite TV — 0.1%
               
Virgin Media, Inc., 6.50%, 11/15/16(3)
  $ 1,905     $ 1,664,494  
                 
            $ 1,664,494  
                 
Capital Goods — 0.3%
               
Terex Corp., 4.00%, 6/1/15
  $ 5,415     $ 6,294,937  
                 
            $ 6,294,937  
                 
Energy — 0.2%
               
Petroplus Finance, Ltd., 3.375%, 3/26/13
  $ 6,100     $ 5,453,479  
                 
            $ 5,453,479  
                 
Healthcare — 0.2%
               
LifePoint Hospitals, Inc., 3.25%, 8/15/25
  $ 6,100     $ 5,215,500  
                 
            $ 5,215,500  
                 
                 
Total Convertible Bonds
(identified cost $14,965,599)
          $ 18,628,410  
                 
 
Common Stocks — 0.1%
 
                 
Security   Shares     Value  
Gaming — 0.0%
               
Fontainebleau Equity Holdings, Class A(4)(5)
    301,724     $ 301,724  
Shreveport Gaming Holdings, Inc.(4)
    3,597       48,776  
                 
            $ 350,500  
                 
 
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Security   Shares     Value  
Super Retail — 0.1%
               
GNC Acquisition Holdings, Class A(4)(5)
    204,221     $ 1,072,160  
                 
            $ 1,072,160  
                 
                 
Total Common Stocks
(identified cost $4,646,973)
          $ 1,422,660  
                 
 
Convertible Preferred Stocks — 0.5%
 
                 
Security   Shares     Value  
Energy — 0.3%
               
Chesapeake Energy Corp., 4.50%
    80,133     $ 5,478,693  
Chesapeake Energy Corp., 5.00%(3)
    9,586       690,192  
                 
            $ 6,168,885  
                 
Telecommunications — 0.2%
               
Crown Castle International Corp., (PIK), 6.25%
    85,673     $ 4,347,905  
                 
            $ 4,347,905  
                 
                 
Total Convertible Preferred Stocks
(identified cost $12,778,160)
          $ 10,516,790  
                 
 
Preferred Stocks — 0.1%
 
                 
Security   Shares/Units     Value  
Gaming — 0.1%
               
Fontainebleau Resorts LLC (PIK)(4)(5)
    8,952     $ 1,055,411  
                 
            $ 1,055,411  
                 
Super Retail — 0.0%
               
GNC Acquisition Holdings(4)(5)
    69,779     $ 277,023  
                 
            $ 277,023  
                 
                 
Total Preferred Stocks
(identified cost $9,300,645)
          $ 1,332,434  
                 
 
Miscellaneous — 0.0%
 
                 
Security   Shares     Value  
Cable/Satellite TV — 0.0%
               
Adelphia, Inc., Escrow Certificate(6)
    10,260,000     $ 256,500  
Adelphia, Inc., Escrow Certificate(6)
    5,085,000       127,125  
Adelphia Recovery Trust(6)
    14,818,854       370,471  
                 
            $ 754,096  
                 
Energy — 0.0%
               
VeraSun Energy Corp., Escrow Certificate(4)(6)
    1,900,000     $ 0  
                 
            $ 0  
                 
Utilities — 0.0%
               
Mirant Corp., Escrow Certificate(4)(5)(6)
    4,900,000     $ 490  
Mirant Corp., Escrow Certificate(4)(5)(6)
    2,205,000       221  
                 
            $ 711  
                 
                 
Total Miscellaneous
(identified cost $13,802,587)
          $ 754,807  
                 
 
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Warrants — 0.0%
 
                 
Security   Shares     Value  
Consumer Products — 0.0%
               
HF Holdings, Inc., Exp. 9/27/09(4)(6)
    3,400     $ 0  
                 
            $ 0  
                 
Gaming — 0.0%
               
Peninsula Gaming LLC, Convertible Preferred Membership Interests, Exp. 9/27/09(4)(5)(6)
    6,338     $ 616,668  
                 
            $ 616,668  
                 
                 
Total Warrants
(identified cost $182,579)
          $ 616,668  
                 
 
Short-Term Investments — 1.9%
 
                 
    Interest
 		       
Security   (000’s omitted)     Value  
Cash Management Portfolio, 0.00%(7)
  $ 44,811     $ 44,810,701  
                 
                 
Total Short-Term Investments
(identified cost $44,810,701)
          $ 44,810,701  
                 
                 
Total Investments — 99.2%
(identified cost $2,409,842,150)
          $ 2,277,054,663  
                 
                 
Other Assets, Less Liabilities — 0.8%
          $ 17,421,707  
                 
                 
Net Assets — 100.0%
          $ 2,294,476,370  
                 
 
             
 
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
         
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 and includes commitment fees on unfunded loan commitments, if any. 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. Currently the issuer is in default with respect to interest and/or principal payments.
         
(3)
      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 July 31, 2009, the aggregate value of these securities is $680,897,411 or 29.7% of the Portfolio’s net assets.
         
(4)
      Security valued at fair value using methods determined in good faith by or at the direction of the Trustees.
         
(5)
      Restricted security.
         
(6)
      Non-income producing security.
         
(7)
      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 July 31, 2009. Net income allocated from the investment in Cash Management Portfolio for the fiscal year to date ended July 31, 2009 was $406,783.
 
The cost and unrealized appreciation (depreciation) of investments of the Portfolio at July 31, 2009, as determined on a federal income tax basis, were as follows:
 
         
Aggregate cost
  $ 2,421,796,155  
         
Gross unrealized appreciation
  $ 134,053,039  
Gross unrealized depreciation
    (278,794,531 )
         
Net unrealized depreciation
  $ (144,741,492 )
         
 
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Restricted Securities
 
At July 31, 2009, the Portfolio owned the following securities (representing 0.1% 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 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       204,221     $ 1,021,105     $ 1,072,160  
GNC Acquisition Holdings, Preferred
    3/15/07       69,779       348,895       277,023  
Fontainebleau Equity Holdings, Class A
    6/1/07       301,724       3,620,688       301,724  
Fontainebleau Resorts LLC (PIK), Preferred
    6/1/07       8,952       8,951,750       1,055,411  
Mirant Corp., Escrow Certificate
    1/5/06       2,205,000       0 (1)     221  
Mirant Corp., Escrow Certificate
    1/5/06       4,900,000       0 (1)     490  
Peninsula Gaming LLC, Convertible Preferred Membership Interests, Exp. 9/27/09
    7/8/99       6,338       0 (1)     616,668  
                                 
Total Restricted Securities
                  $ 13,942,438     $ 3,323,697  
                                 
(1) Less than $0.50.
 
A summary of financial instruments outstanding at July 31, 2009 is as follows:
 
Credit Default Swap — Sell Protection
 
                                         
            Notional
 		                   
            Amount**
 		    Receive
 		          Net Unrealized
 		 
        Credit
 		  (000’s
 		    Annual
 		    Termination
 		    Appreciation
 		 
Counterparty   Reference Entity   Rating*   omitted)     Fixed Rate     Date     (Depreciation)  
Bank of America
  First Data Corp.   Caa1/B-   $ 3,475       3.20 %     12/20/09     $ (24,751 )
Citigroup, Inc. 
  First Data Corp.   Caa1/B-     6,950       3.20       12/20/09       (49,502 )
Citigroup, Inc. 
  First Data Corp.   Caa1/B-     6,950       3.55       12/20/09       (37,373 )
Citigroup, Inc. 
  First Data Corp.   Caa1/B-     10,440       5.00       12/20/10       1,183,122  
JPMorgan Chase Bank
  First Motor Corp.   Caa1/CCC+     6,800       5.00       3/20/10       537,674  
                                         
                                    $ 1,609,170  
                                         
 
     
*
  Credit ratings are those of Moody’s Investors Service, Inc. and Standard & Poor’s Corporation. The credit rating 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 July 31, 2009, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $34,615,000.
 
At July 31, 2009, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.
 
The Portfolio is subject to credit risk in the normal course of pursuing its investment objectives. 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.
 
At July 31, 2009, the aggregate fair value of derivative instruments (not accounted for as hedging instruments under Financial Accounting Standards Board Statement of Financial Accounting Standards No. 133) in an asset position and in a liability position and whose primary underlying risk exposure is credit risk was $1,720,796 and $111,626, respectively.
 
The Portfolio adopted 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)
 
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The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
 
At July 31, 2009, the inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:
 
                                 
    Quoted Prices in
 		                   
    Active Markets for
 		    Significant Other
 		    Significant
 		       
    Identical Assets     Observable Inputs     Unobservable Inputs        
       
Asset Description
  (Level 1)     (Level 2)     (Level 3)     Total  
Senior Floating-Rate Interests
  $ —     $ 200,551,508     $ —     $ 200,551,508  
Corporate Bonds & Notes
    —       1,998,420,685       —       1,998,420,685  
Convertible Bonds
    —       18,628,410       —       18,628,410  
Common Stocks
    —       —       1,422,660       1,422,660  
Convertible Preferred Stocks
    5,478,693       5,038,097       —       10,516,790  
Preferred Stocks
    —       —       1,332,434       1,332,434  
Miscellaneous
    —       754,096       711       754,807  
Warrants
    —       —       616,668       616,668  
Short-Term Investments
    44,810,701       —       —       44,810,701  
                                 
Total Investments
  $ 50,289,394     $ 2,223,392,796     $ 3,372,473     $ 2,277,054,663  
                                 
Credit Default Swaps
  $ —     $ 1,720,796     $ —     $ 1,720,796  
                                 
Total
  $ 50,289,394     $ 2,225,113,592     $ 3,372,473     $ 2,278,775,459  
                                 
                                 
Liability Description
                       
Credit Default Swaps
  $ —     $ (111,626 )   $ —     $ (111,626 )
                                 
Total
  $ —     $ (111,626 )   $ —     $ (111,626 )
                                 
 
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
 
                                                 
    Investment in
 		                               
    Senior
 		                               
    Floating-Rate
 		    Investment in
 		    Investment in
 		    Investment in
 		    Investment in
 		       
    Interests     Common Stocks     Preferred Stocks     Miscellaneous     Warrants     Total  
Balance as of October 31, 2008
  $ 93,402     $ 3,491,584     $ 2,371,760     $ 711     $ 616,668     $ 6,574,125  
Realized gains (losses)
    —       —       —       —       —       —  
Change in net unrealized appreciation (depreciation)
    —       (2,068,924 )     (1,825,996 )     (2,112 )     —       (3,897,032 )
Net purchases (sales)
    (93,402 )     —       786,670       2,112       —       695,380  
Accrued discount (premium)
    —       —       —       —       —       —  
Net transfers to (from) Level 3
    —       —       —       —       —       —  
                                                 
Balance as of July 31, 2009
  $ —     $ 1,422,660     $ 1,332,434     $ 711     $ 616,668     $ 3,372,473  
                                                 
Change in net unrealized appreciation (depreciation) on investments still held as of July 31, 2009
  $ —     $ (2,068,924 )   $ (1,825,996 )   $ (2,112 )   $ —     $ (3,897,032 )
                                                 
 
For information on the Portfolio’s policy regarding 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.
 
Eaton Vance Series Trust II
 
         
By:
 
/s/  Michael W. Weilheimer
    
         
    Michael W. Weilheimer    
    President    
         
Date:
  September 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:
  September 25, 2009    
         
By:
 
/s/  Barbara E. Campbell
    
         
    Barbara E. Campbell    
    Treasurer    
         
Date:
  September 25, 2009    

EX-99.CERT 2 b77324a1exv99wcert.htm EX-99.CERT SECTION 302 CERTIFICATION EX-99.CERT Section 302 Certification
Eaton Vance Series Trust II
 
Certification
Pursuant to Rule 302 of the Sarbanes-Oxley Act of 2003
 
I, Michael W. Weilheimer, certify that:
 
1. I have reviewed this report on Form N-Q of Eaton Vance Series Trust II;
 
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
 
3. Based on my knowledge, the schedule of investments included in this report, fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is being filed;
 
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
 
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
 
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
 
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
 
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
 
5. The registrant’s other certifying officers and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
 
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
 
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
 
         
By:
 
/s/  Michael W. Weilheimer
    
         
    Michael W. Weilheimer    
    President    
         
Date:
  September 25, 2009    

 

Eaton Vance Series Trust II
 
Certification
Pursuant to Rule 302 of the Sarbanes-Oxley Act of 2003
 
I, Barbara E. Campbell, certify that:
 
1. I have reviewed this report on Form N-Q of Eaton Vance Series Trust II;
 
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
 
3. Based on my knowledge, the schedule of investments included in this report, fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is being filed;
 
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
 
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
 
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
 
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
 
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
 
5. The registrant’s other certifying officers and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
 
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
 
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
 
         
By:
 
/s/  Barbara E. Campbell
    
         
    Barbara E. Campbell    
    Treasurer    
         
Date:
  September 25, 2009    

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