-----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, DOZkFN06zEBVesgJGT7mG/b+QVSLFOAGEW0s9DNo2yaVS4iphlaaYdQqn9n7SlP/ ByHbLcCkcXkFl3Qy4LVlSA== 0001047469-04-022580.txt : 20040706 0001047469-04-022580.hdr.sgml : 20040705 20040706163617 ACCESSION NUMBER: 0001047469-04-022580 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20040430 FILED AS OF DATE: 20040706 EFFECTIVENESS DATE: 20040706 FILER: COMPANY DATA: COMPANY CONFORMED NAME: HIGH INCOME PORTFOLIO CENTRAL INDEX KEY: 0000921370 IRS NUMBER: 043162766 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-08464 FILM NUMBER: 04902718 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 N-CSRS 1 a2139120zn-csrs.txt N-CSRS UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act File Number: 811-08464 --------- High Income Portfolio --------------------- (Exact Name of Registrant as Specified in Charter) The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109 ----------------------------------------------------------------------- (Address of Principal Executive Offices) Alan R. Dynner The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109 ----------------------------------------------------------------------- (Name and Address of Agent for Services) (617) 482-8260 -------------- (Registrant's Telephone Number) October 31 ---------- Date of Fiscal Year End April 30, 2004 -------------- Date of Reporting Period ITEM 1. REPORTS TO STOCKHOLDERS HIGH INCOME PORTFOLIO as of April 30, 2004 PORTFOLIO OF INVESTMENTS (Unaudited) SENIOR, FLOATING RATE INTERESTS -- 1.3%(1)(2)
PRINCIPAL SECURITY AMOUNT VALUE - ------------------------------------------------------------------------------------------------------------ BEVERAGE, FOOD AND TOBACCO -- 0.3% New World Pasta, Term Loan B, Maturing 1/28/06 $ 4,277,546 $ 3,962,077 - ------------------------------------------------------------------------------------------------------------ $ 3,962,077 - ------------------------------------------------------------------------------------------------------------ UTILITIES -- 0.1% Mirant Corp., Revolving Term Loan, Maturing 7/16/06(3) $ 2,100,000 $ 1,207,500 - ------------------------------------------------------------------------------------------------------------ $ 1,207,500 - ------------------------------------------------------------------------------------------------------------ WIRELESS COMMUNICATION SERVICES -- 0.9% IPCS Wireless, Revolving Term Loan, Maturing 6/30/08(4) $ 6,676,214 $ 6,642,833 IPCS Wireless, Term Loan B, Maturing 6/30/08(4) 3,588,465 3,570,522 - ------------------------------------------------------------------------------------------------------------ $ 10,213,355 - ------------------------------------------------------------------------------------------------------------ TOTAL SENIOR, FLOATING RATE INTERESTS (IDENTIFIED COST $14,373,313) $ 15,382,932 - ------------------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES -- 92.6%
PRINCIPAL AMOUNT SECURITY (000'S OMITTED) VALUE - ------------------------------------------------------------------------------------------------------------ AEROSPACE AND DEFENSE -- 1.0% BE Aerospace, Sr. Notes, 8.50%, 10/1/10 $ 1,105 $ 1,204,450 Dunlop Stand Aero Holdings, Sr. Notes, 11.875%, 5/15/09 8,410 8,935,625 Dunlop Stand Aero Holdings, Sr. Notes, 11.875%, 5/15/09(5) 1,965 2,087,812 - ------------------------------------------------------------------------------------------------------------ $ 12,227,887 - ------------------------------------------------------------------------------------------------------------ AIRLINES -- 2.7% American Airlines, 7.80%, 10/1/06 $ 7,243 $ 6,880,981 American Airlines, 7.858%, 10/1/11 260 263,529 American Airlines, 8.608%, 4/1/11 570 536,825 AMR Corp., Debs., 9.00%, 8/1/12 7,880 6,698,000 Continental Airlines, 7.033%, 6/15/11 4,571 3,927,418 Continental Airlines, 7.08%, 11/1/04 95 93,864 Continental Airlines, 7.434%, 9/15/04 2,740 2,709,223 Continental Airlines, 8.00%, 12/15/05 $ 550 $ 525,250 Delta Air Lines, 7.70%, 12/15/05 2,215 1,716,625 Delta Air Lines, 8.30%, 12/15/29 1,005 487,425 Delta Air Lines, Series 00-1, 7.779%, 11/18/05 4,250 3,573,888 Delta Air Lines, Series 02-1, 7.779%, 1/2/12 697 506,442 Northwest Airlines, Inc., 8.875%, 6/1/06 3,285 2,841,525 Northwest Airlines, Inc., Sr. Notes, 9.875%, 3/15/07 2,350 1,974,000 - ------------------------------------------------------------------------------------------------------------ $ 32,734,995 - ------------------------------------------------------------------------------------------------------------ APPAREL -- 1.6% GFSI, Inc., Sr. Sub. Notes, Series B, 9.625%, 3/1/07 $ 970 $ 945,750 J Crew Operating Corp., Sr. Sub. Notes, 10.375%, 10/15/07 4,350 4,377,187 Perry Ellis International, Inc., Sr. Sub. Notes, Series B, 8.875%, 9/15/13 1,965 2,082,900 Phillips Van-Heusen, Sr. Notes, 7.25%, 2/15/11(5) 1,350 1,363,500 Phillips Van-Heusen, Sr. Notes, 8.125%, 5/1/13 3,615 3,813,825 William Carter, Series B, 10.875%, 8/15/11 5,778 6,673,590 - ------------------------------------------------------------------------------------------------------------ $ 19,256,752 - ------------------------------------------------------------------------------------------------------------ AUTO AND PARTS -- 3.1% Amerco, 9.00%, 3/15/09 $ 3,060 $ 3,197,700 CSK Auto, Inc., Sr. Notes, 7.00%, 1/15/14(5) 522 516,780 Dana Corp., 10.125%, 3/15/10 7,770 8,935,500 Keystone Automotive Operations, Inc., Sr. Sub. Notes, 9.75%, 11/1/13(5) 1,110 1,221,000 Metaldyne Corp., 11.00%, 6/15/12(5) 4,173 3,567,915 Metaldyne Corp., Sr. Notes, 10.00%, 11/1/13(5) 1,755 1,711,125 Rexnord Corp., 10.125%, 12/15/12 1,665 1,823,175 Tenneco Automotive, Inc., Series B, 11.625%, 10/15/09 7,780 8,558,000 Tenneco Automotive, Inc., Sr. Notes, 10.25%, 7/15/13(5) 3,690 4,271,175 TRW Automotive, Inc., Sr. Sub. Notes, 11.00%, 2/15/13 2,142 2,559,690 United Components, Inc., Sr. Sub. Notes, 9.375%, 6/15/13 1,670 1,786,900 - ------------------------------------------------------------------------------------------------------------ $ 38,148,960 - ------------------------------------------------------------------------------------------------------------ BROADCASTING AND CABLE -- 10.7% Adelphia Communications, Sr. Notes, 8.75%, 10/1/07(3) $ 1,040 $ 1,154,400 Adelphia Communications, Sr. Notes, 8.875%, 1/15/07(3) 4,915 5,529,375
See notes to financial statements 11
PRINCIPAL AMOUNT SECURITY (000'S OMITTED) VALUE - ------------------------------------------------------------------------------------------------------------ BROADCASTING AND CABLE (CONTINUED) Adelphia Communications, Sr. Notes, 9.50%, 3/1/05(3) $ 4,745 $ 5,361,850 Adelphia Communications, Sr. Notes, 10.25%, 11/1/06(3) 7,200 7,740,000 Adelphia Communications, Sr. Notes, Series B, 9.25%, 10/1/02(3) 7,585 7,964,250 Avalon Cable Holdings, LLC, Sr. Disc. Notes, 11.875%, (0% until 2003), 12/1/08 583 622,293 Cablevision Systems Corp., Sr. Notes, 5.65%, 4/1/09(5) 1,450 1,500,750 Cablevision Systems Corp., Sr. Notes, 8.00%, 4/15/12(5) 6,680 6,730,100 Charter Communication Holdings, Sr. Disc Notes, 12.125%, (0% until 2007), 1/15/12 520 313,300 Charter Communication Holdings, Sr. Disc. Notes, 13.50%, (0% until 2007), 1/15/11 9,480 7,062,600 Charter Communication Holdings, Sr. Notes, 10.00%, 4/1/09 4,390 3,808,325 Charter Communication Holdings, Sr. Notes, 10.00%, 5/15/11 4,705 3,916,912 Charter Communication Holdings, Sr. Notes, 10.75%, 10/1/09 1,965 1,734,112 Charter Communications Holdings, Sr. Notes, 8.375%, 4/30/14 8,780 8,692,200 CSC Holdings, Inc., Sr. Notes, 7.875%, 12/15/07 15 16,050 CSC Holdings, Inc., Sr. Sub. Notes, 10.50%, 5/15/16 5,540 6,398,700 Dex Media West LLC, Sr. Sub. Notes, 9.875%, 8/15/13(5) 8,340 9,174,000 Echostar DBS Corp., Sr. Notes, 9.125%, 1/15/09 42 47,250 Insight Communications, Sr. Disc. Notes, 12.25%, (0% until 2006) 2/15/11 10,900 9,428,500 LBI Media, Inc., Sr. Disc. Notes, 0.00%, 10/15/13 2,760 1,959,600 Muzak Holdings LLC, 9.875%, 3/15/09 620 598,300 Muzak Holdings LLC, Sr. Disc. Notes, 13.00%, (0% until 2004), 3/15/10 5,853 5,699,359 Muzak LLC/Muzak Finance, Sr. Notes, 10.00%, 2/15/09 3,700 3,811,000 Nexstar Finance Holdings LLC, Inc., 12.00%, 4/1/08 520 585,000 Nexstar Finance Holdings LLC, Inc., Sr. Disc. Notes, 11.375%, (0% until 2008), 4/1/13 6,345 4,727,025 Nextmedia Operating, Inc., 10.75%, 7/1/11 1,650 1,868,625 Paxson Communications Corp., 10.75%, 7/15/08 2,880 3,052,800 Paxson Communications Corp., 12.25%, (0% until 2006), 1/15/09 2,955 2,578,237 Pegasus Communications Corp., Sr. Notes, 9.625%, 10/15/05 375 277,500 Pegasus Communications Corp., Sr. Notes, 9.75%, 12/1/06 $ 120 $ 84,600 Pegasus Communications Corp., Sr. Notes, 11.25%, 1/15/10(5) 4,175 2,880,750 Pegasus Communications Corp., Sr. Notes, 12.50%, 8/1/07 2,550 1,746,750 Pegasus Satellite, 12.375%, 8/1/06 5,600 3,948,000 Telewest Communication PLC, Sr. Debs., 11.00%, 10/1/07(3) 6,090 3,867,150 Telewest Communication PLC, Sr. Disc. Notes, 9.25%, (0% until 2004), 4/15/09(3) 5,715 3,000,375 XM Satellite Radio, Inc., 6.65%, 5/1/09(5) 2,245 2,278,675 Young Broadcasting, Inc., Sr. Sub. Notes, 8.75%, 1/15/14(5) 2,085 2,116,275 - ------------------------------------------------------------------------------------------------------------ $ 132,274,988 - ------------------------------------------------------------------------------------------------------------ BUILDING AND CONSTRUCTION - MISCELLANEOUS -- 0.7% Dayton Superior Corp., Sr. Notes, 10.75%, 9/15/08 $ 1,240 $ 1,246,200 Interline Brands, Inc., Sr. Sub. Notes, 11.50%, 5/15/11 4,350 4,719,750 Ply Gem Industries, Inc., Sr. Sub. Notes, 9.00%, 2/15/12(5) 3,030 3,120,900 - ------------------------------------------------------------------------------------------------------------ $ 9,086,850 - ------------------------------------------------------------------------------------------------------------ BUILDING MATERIALS -- 0.6% Koppers, Inc., Sr. Notes, 9.875%, 10/15/13(5) $ 60 $ 66,000 Nortek Holdings, Inc., Sr. Notes, (0% until 2007), 10.00%, 5/15/11(5) 4,590 3,453,975 Owens Corning, 7.50%, 8/1/18(3) 2,890 1,213,800 Owens Corning, 7.70%, 5/1/08(3) 2,700 1,134,000 US Concrete, Inc., Sr. Sub. Notes, 8.375%, 4/1/14(5) 1,905 1,914,525 - ------------------------------------------------------------------------------------------------------------ $ 7,782,300 - ------------------------------------------------------------------------------------------------------------ BUSINESS SERVICES -- 0.4% Norcross Safety Products LLC/Norcross Capital Corp., Sr. Sub. Notes, Series B, 9.875%, 8/15/11 $ 5,065 $ 5,444,875 - ------------------------------------------------------------------------------------------------------------ $ 5,444,875 - ------------------------------------------------------------------------------------------------------------ BUSINESS SERVICES - MISCELLANEOUS -- 1.9% Advanstar Communications, Inc., 10.75%, 8/15/10 $ 6,120 $ 6,716,700 Affinity Group, Inc., Sr. Sub. Notes, 9.00%, 2/15/12(5) 3,815 4,043,900 Interface, Inc., Sr. Sub. Notes, 9.50%, 2/1/14(5) 745 752,450 Mobile Mini, Inc., 9.50%, 7/1/13 1,575 1,771,875
See notes to financial statements 12
PRINCIPAL AMOUNT SECURITY (000'S OMITTED) VALUE - ------------------------------------------------------------------------------------------------------------ BUSINESS SERVICES - MISCELLANEOUS (CONTINUED) R.H. Donnelley Finance Corp., 10.875%, 12/15/12 $ 1,220 $ 1,457,900 R.H. Donnelley Finance Corp., Sr. Sub. Notes, 10.875%, 12/15/12(5) 4,780 5,712,100 Synagro Technologies, Inc., Sr. Sub. Notes, 9.50%, 4/1/09 1,360 1,475,600 Vertis, Inc., Sub. Notes, 13.50%, 12/7/09(5) 500 512,500 Williams Scotsman, Inc., Sr. Notes, 10.00%, 8/15/08 1,425 1,567,500 - ------------------------------------------------------------------------------------------------------------ $ 24,010,525 - ------------------------------------------------------------------------------------------------------------ CHEMICALS -- 5.3% Avecia Group PLC, 11.00%, 7/1/09 $ 5,935 $ 4,748,000 Equistar Chemical, Sr. Notes, 10.625%, 5/1/11 3,900 4,387,500 Hercules, Inc., 11.125%, 11/15/07 5,300 6,386,500 Huntsman Adventure Materials, Sr. Notes, 11.00%, 7/15/10(5) 735 837,900 Huntsman International LLC, Sr. Notes, 9.875%, 3/1/09 1,960 2,190,300 Huntsman LLC, 11.625%, 10/15/10 1,885 2,082,925 IMC Global, Inc., Sr. Notes, 10.875%, 8/1/13 6,000 7,395,000 Lyondell Chemical Co., 9.50%, 12/15/08 1,040 1,092,000 Lyondell Chemical Co., 9.50%, 12/15/08 2,665 2,798,250 Lyondell Chemical Co., Series B, 9.875%, 5/1/07 5,200 5,486,000 Methanex Corp., Sr. Notes, 8.75%, 8/15/12 2,815 3,237,250 Nalco Co., Sr. Notes, 7.75%, 11/15/11(5) 3,475 3,674,812 Nalco Co., Sr. Sub. Notes, 8.875%, 11/15/13(5) 3,310 3,508,600 Nalco Finance Holdings, Inc., Sr. Notes, (0% until 2009), 0.00%, 2/1/14(5) 4,320 2,743,200 Noveon, Inc., 11.00%, 2/28/11 680 795,600 OM Group, Inc., 9.25%, 12/15/11 10,070 10,372,100 Rockwood Specialties Group, Sr. Sub. Notes, 10.625%, 5/15/11 1,855 1,984,850 Texas Petrochemical Corp., 7.25%, 5/15/09(4) 416 416,000 Texas Petrochemical Corp., Sr. Sub. Notes, 11.125%, 7/1/06(3) 3,010 1,219,050 - ------------------------------------------------------------------------------------------------------------ $ 65,355,837 - ------------------------------------------------------------------------------------------------------------ COMPUTER SERVICES -- 0.2% DigitalNet, Inc., Sr. Notes, 9.00%, 7/15/10 $ 2,302 $ 2,486,160 - ------------------------------------------------------------------------------------------------------------ $ 2,486,160 - ------------------------------------------------------------------------------------------------------------ CONSUMER PRODUCTS -- 0.9% American Achievement Corp., Sr. Sub. Notes, 8.25%, 4/1/12(5) $ 820 $ 840,500 Amscan Holdings, Inc., Sr. Sub. Notes, 8.75%, 5/1/14(5) $ 2,785 $ 2,840,700 Fedders North America, Inc., Sr. Notes, 9.875%, 3/1/14(5) 2,712 2,644,200 Hockey Co., 11.25%, 4/15/09 1,640 1,959,800 INVISTA, 9.25%, 5/1/12(5) 350 351,750 Jostens Holding Corp., Sr. Disc. Notes, 10.25%, 12/1/13 1,380 931,500 Rayovac Corp., Sr. Sub. Notes, 8.50%, 10/1/13 1,935 2,080,125 - ------------------------------------------------------------------------------------------------------------ $ 11,648,575 - ------------------------------------------------------------------------------------------------------------ CONTAINERS AND PACKAGING -- 1.6% Crown Euro Holdings SA, 9.50%, 3/1/11 $ 1,625 $ 1,830,156 Crown Euro Holdings SA, 10.875%, 3/1/13 5,755 6,733,350 Graham Packaging Co., 8.75%, 1/15/08 830 840,375 Pliant Corp., 11.125%, 9/1/09 2,500 2,675,000 Pliant Corp., Sr. Disc. Notes, 11.125%, 6/15/09(5) 3,065 2,574,600 Solo Cup Co., Sr. Sub. Notes, 8.50%, 2/15/14(5) 3,110 3,218,850 US Can Corp., Sr. Notes, 10.875%, 7/15/10 1,835 1,935,925 - ------------------------------------------------------------------------------------------------------------ $ 19,808,256 - ------------------------------------------------------------------------------------------------------------ DRUGS -- 0.2% Valeant Pharmaceuticals International, Sr. Notes, 7.00%, 12/15/11(5) $ 2,545 $ 2,595,900 - ------------------------------------------------------------------------------------------------------------ $ 2,595,900 - ------------------------------------------------------------------------------------------------------------ ELECTRONIC EQUIPMENT -- 0.4% Danka Business Systems, Sr. Notes, 11.00%, 6/15/10 $ 3,125 $ 3,203,125 Hexcel Corp., 9.875%, 10/1/08 1,090 1,207,175 Hexcel Corp., Sr. Sub. Notes, 9.75%, 1/15/09 780 822,900 - ------------------------------------------------------------------------------------------------------------ $ 5,233,200 - ------------------------------------------------------------------------------------------------------------ ENERGY SERVICES -- 1.0% Port Arthur Finance Corp., 12.50%, 1/15/09 $ 10,086 $ 11,952,431 - ------------------------------------------------------------------------------------------------------------ $ 11,952,431 - ------------------------------------------------------------------------------------------------------------ ENTERTAINMENT -- 2.4% AMF Bowling Worldwide, Sr. Sub. Notes, 10.00%, 3/1/10(5) $ 2,155 $ 2,246,587 Carmike Cinemas, Sr. Sub. Notes, 7.50%, 2/15/14(5) 4,150 4,212,250 Intrawest Corp., Sr. Notes, 7.50%, 10/15/13 2,170 2,229,675 Royal Caribbean Cruises, Debs., 7.50%, 10/15/27 5,295 5,175,862
See notes to financial statements 13
PRINCIPAL AMOUNT SECURITY (000'S OMITTED) VALUE - ------------------------------------------------------------------------------------------------------------ ENTERTAINMENT (CONTINUED) Royal Caribbean Cruises, Sr. Debs., 7.25%, 3/15/18 $ 1,570 $ 1,573,925 Royal Caribbean Cruises, Sr. Notes, 8.00%, 5/15/10 120 131,400 Royal Caribbean Cruises, Sr. Notes, 8.75%, 2/2/11 1,340 1,517,550 Six Flags, Inc., Sr. Notes, 8.875%, 2/1/10 3,743 3,827,217 Six Flags, Inc., Sr. Notes, 9.50%, 2/1/09 455 482,300 Six Flags, Inc., Sr. Notes, 9.625%, 6/1/14(5) 4,230 4,452,075 Six Flags, Inc., Sr. Notes, 9.75%, 4/15/13 2,170 2,297,487 True Temper Sports, Inc., Sr. Sub. Notes, 8.375%, 9/15/11(5) 805 829,150 - ------------------------------------------------------------------------------------------------------------ $ 28,975,478 - ------------------------------------------------------------------------------------------------------------ FINANCIAL SERVICES -- 0.1% Poster Financial Group, Inc., 8.75%, 12/1/11(5) $ 1,655 $ 1,746,025 - ------------------------------------------------------------------------------------------------------------ $ 1,746,025 - ------------------------------------------------------------------------------------------------------------ FOOD AND BEVERAGES -- 0.2% Tabletop Holdings, Inc., Sr. Sub. Notes, (0% until 2008), 0.00%, 5/15/14(5) $ 3,430 $ 2,246,650 - ------------------------------------------------------------------------------------------------------------ $ 2,246,650 - ------------------------------------------------------------------------------------------------------------ FOOD, BEVERAGES AND TOBACCO -- 0.2% WH Holdings Ltd. and WH Capital Corp., Sr. Notes, 9.50%, 4/1/11(5) $ 1,875 $ 2,001,562 - ------------------------------------------------------------------------------------------------------------ $ 2,001,562 - ------------------------------------------------------------------------------------------------------------ FOODS -- 2.6% American Seafood Group LLC, 10.125%, 4/15/10 $ 5,665 $ 6,798,000 Merisant Co., Sr. Notes, 9.50%, 7/15/13(5) 3,340 3,540,400 Michael Foods, Sr. Sub. Notes, 8.00%, 11/15/13(5) 3,325 3,512,031 Pinnacle Foods Holdings Corp., Sr. Sub. Notes, 8.25%, 12/1/13(5) 1,385 1,452,519 Premier International Foods, Sr. Notes, 12.00%, 9/1/09 7,167 7,776,195 Reddy Ice Group, Inc., Sr. Sub. Notes, 8.875%, 8/1/11 1,945 2,100,600 UAP Holding Corp., Sr. Disc. Notes, (0% until 2008), 0.00%, 7/15/12(5) 6,370 5,247,287 United Agricultural Products, Sr. Notes, 8.25%, 12/15/11(5) 1,805 2,053,187 - ------------------------------------------------------------------------------------------------------------ $ 32,480,219 - ------------------------------------------------------------------------------------------------------------ GAMING -- 2.6% Chukchansi EDA, Sr. Notes, 14.50%, 6/15/09(5) $ 7,220 $ 9,025,000 Global Cash Access LLC/Global Cash Finance Corp., Sr. Sub. Notes, 8.75%, 3/15/12(5) 805 841,225 OED Corp./Diamond Jo LLC, 8.75%, 4/15/12(5) 4,355 4,278,787 Seneca Gaming Corp., Sr. Notes, 7.25%, 5/1/12(5) 2,860 2,909,764 Trump Holdings and Funding, Sr. Notes, 11.625%, 3/15/10 5,515 5,611,512 Universal City Development, Sr. Notes, 11.75%, 4/1/10 8,005 9,285,800 - ------------------------------------------------------------------------------------------------------------ $ 31,952,088 - ------------------------------------------------------------------------------------------------------------ HEALTH SERVICES -- 3.8% Ardent Health Services, Sr. Sub. Notes, 10.00%, 8/15/13 $ 4,345 $ 4,779,500 Curative Health Services, Sr. Notes, 10.75%, 5/1/11(5) 3,230 3,258,262 Healthsouth Corp., 7.625%, 6/1/12 1,815 1,842,225 Healthsouth Corp., Sr. Notes, 8.375%, 10/1/11 5,415 5,496,225 Magellan Health Services, Inc., Sr. Notes, Series A, 9.375%, 11/15/08 3,614 3,925,588 National Nephrology Association, Sr. Sub. Notes, 9.00%, 11/1/11(5) 1,420 1,654,300 Pacificare Health System, 10.75%, 6/1/09 3,127 3,650,772 Quintiles Transnational, Sr. Sub. Notes, 10.00%, 10/1/13(5) 8,415 8,751,600 Rotech Healthcare, Inc., 9.50%, 4/1/12 3,045 3,258,150 Vanguard Health Systems, 9.75%, 8/1/11 9,740 10,616,600 - ------------------------------------------------------------------------------------------------------------ $ 47,233,222 - ------------------------------------------------------------------------------------------------------------ INFORMATION TECHNOLOGY -- 0.7% New Asat (Finance) Ltd., Sr. Notes, 9.25%, 2/1/11(5) $ 2,875 $ 3,047,500 Stratus Technologies, Inc., Sr. Notes, 10.375%, 12/1/08(5) 5,643 5,643,000 - ------------------------------------------------------------------------------------------------------------ $ 8,690,500 - ------------------------------------------------------------------------------------------------------------ LODGING -- 0.4% Felcor Lodging, 10.00%, 9/15/08 $ 2,850 $ 3,056,625 Host Marriott L.P., 9.25%, 10/1/07 475 534,375 Host Marriott L.P., Series I, 9.50%, 1/15/07 630 702,450 - ------------------------------------------------------------------------------------------------------------ $ 4,293,450 - ------------------------------------------------------------------------------------------------------------
See notes to financial statements 14
PRINCIPAL AMOUNT SECURITY (000'S OMITTED) VALUE - ------------------------------------------------------------------------------------------------------------ LODGING AND GAMING -- 3.9% Ameristar Casinos, Inc., 10.75%, 2/15/09 $ 1,885 $ 2,196,025 Hollywood Casino Shreveport, First Mortgage Bonds, 13.00%, 8/1/06(3) 1,175 881,250 Inn of the Mountain Gods, Sr. Notes, 12.00%, 11/15/10(5) 4,180 4,598,000 Majestic Star Casino LLC, 9.50%, 10/15/10 4,695 4,941,487 Mandalay Resort Group, Sr. Sub. Notes, 10.25%, 8/1/07 855 998,212 MGM Grand, Inc., 9.75%, 6/1/07 1,480 1,679,800 MTR Gaming Group, Series B, 9.75%, 4/1/10 2,555 2,727,463 Premier Entertainment Biloxi LLC/Premier Finance Biloxi Corp., 10.75%, 2/1/12(5) 550 596,750 Sun International Hotels, Sr. Sub. Notes, 8.875%, 8/15/11 5,600 6,244,000 Venetian Casino/Las Vegas Sands, 11.00%, 6/15/10 9,140 10,739,500 Waterford Gaming LLC, Sr. Notes, 8.625%, 9/15/12(5) 11,187 12,026,025 - ------------------------------------------------------------------------------------------------------------ $ 47,628,512 - ------------------------------------------------------------------------------------------------------------ MACHINERY -- 1.9% Case New Holland, Inc., Sr. Notes, 9.25%, 8/1/11(5) $ 3,720 $ 4,166,400 Flowserve Corp., 12.25%, 8/15/10 4,065 4,695,075 Manitowoc Co., Inc. (The), 10.50%, 8/1/12 905 1,036,225 Terex Corp., 10.375%, 4/1/11 7,215 8,243,138 Thermadyne Holdings Corp., Sr. Sub. Notes, 9.25%, 2/1/14(5) 5,272 5,377,440 - ------------------------------------------------------------------------------------------------------------ $ 23,518,278 - ------------------------------------------------------------------------------------------------------------ MANUFACTURING -- 3.3% Aearo Co. I, Sr. Sub. Notes, 8.25%, 4/15/12(5) $ 1,905 $ 1,962,150 Amsted Industries, Inc., Sr. Notes, 10.25%, 10/15/11(5) 7,765 8,813,275 Avondale Mills, Inc., Sr. Sub. Notes, 10.25%, 7/1/13 2,440 1,427,400 Dresser, Inc., 9.375%, 4/15/11 4,350 4,719,750 General Cable Corp., Sr. Notes, 9.50%, 11/15/10(5) 1,655 1,820,500 Oxford Industries, Inc., Sr. Notes, 8.875%, 6/1/11(5) 5,260 5,641,350 Roller Bearing Holdings Co., Sr. Disc. Notes, Value13.00%, 6/15/09(5) 11,485 11,255,300 Tekni-Plex, Inc., Series B, 12.75%, 6/15/10 275 279,125 Tekni-Plex, Inc., Sr. Notes, 8.75%, 11/15/13(5) 1,940 1,920,600 Trinity Industries, Inc., Sr. Notes, 6.50%, 3/15/14(5) 2,735 2,673,463 Venture Holding Trust, Sr. Notes, 9.50%, 7/1/05(3) 3,811 181,023 - ------------------------------------------------------------------------------------------------------------ $ 40,693,936 - ------------------------------------------------------------------------------------------------------------ MEDICAL PRODUCTS -- 1.3% Inverness Medical Innovations, Inc., Sr. Sub. Notes, 8.75%, 2/15/12(5) $ 2,915 $ 2,995,163 Medquest, Inc., 11.875%, 8/15/12 6,185 7,050,900 VWR International, Inc., Sr. Notes, 6.875%, 4/15/12(5) 1,610 1,670,375 VWR International, Inc., Sr. Sub. Notes, 8.00%, 4/15/14(5) 3,755 3,923,975 - ------------------------------------------------------------------------------------------------------------ $ 15,640,413 - ------------------------------------------------------------------------------------------------------------ METALS - INDUSTRIAL -- 0.4% International Steel Group, Inc., Sr. Notes, 6.50%, 4/15/14(5) $ 535 $ 516,275 Mueller Group, Inc., Sr. Sub. Notes, 10.00%, 5/1/12(5) 2,685 2,825,963 Mueller Holdings, Inc., Sr. Notes, 0.00%, 4/15/14 3,115 1,759,975 - ------------------------------------------------------------------------------------------------------------ $ 5,102,213 - ------------------------------------------------------------------------------------------------------------ METALS - STEEL -- 0.2% Ispat Inland ULC, Sr. Notes, 9.75%, 4/1/14(5) $ 2,720 $ 2,788,000 - ------------------------------------------------------------------------------------------------------------ $ 2,788,000 - ------------------------------------------------------------------------------------------------------------ NETWORKING PRODUCTS -- 0.3% Lucent Technologies, Inc., Debs., 6.50%, 1/15/28 $ 3,870 $ 3,086,325 - ------------------------------------------------------------------------------------------------------------ $ 3,086,325 - ------------------------------------------------------------------------------------------------------------ OIL AND GAS - EQUIPMENT AND SERVICES -- 6.2% ANR Pipeline Co., 8.875%, 3/15/10 $ 1,600 $ 1,776,000 Dynegy Holdings, Inc., Sr. Notes, 6.875%, 4/1/11 11,955 10,281,300 Dynegy Holdings, Inc., Sr. Notes, 8.75%, 2/15/12 2,905 2,737,963 Dynegy Holdings, Inc., Sr. Notes, 10.125%, 7/15/13(5) 11,605 12,765,500 Giant Industries, Sr. Sub. Notes, 8.00%, 5/15/14 1,785 1,793,925 Gulfterra Energy Partner, 10.625%, 12/1/12 975 1,204,125 Hanover Compressor Co., Sr. Notes, 8.625%, 12/15/10 2,120 2,257,800 Hanover Compressor Co., Sub. Notes, 0.00%, 3/31/07 5,355 4,150,125 NGC Corp., Sr. Debs., 7.625%, 10/15/26 775 620,000 Northwest Pipeline Corp., 8.125%, 3/1/10 825 899,250 Parker Drilling Co., Sr. Notes, 9.625%, 10/1/13 975 1,057,875 Petro Stopping Centers LP / Petro Financial Corp., Sr. Notes, 9.00%, 2/15/12(5) 2,075 2,178,750 Premcor Refining Group, Sr. Notes, 9.50%, 2/1/13 5,035 5,790,250 Premcor Refining Group, Sr. Sub. Notes, 7.75%, 2/1/12 1,385 1,457,713 Ram Energy, Inc., Sr. Notes, 11.50%, 2/15/08 4,602 4,164,810
See notes to financial statements 15
PRINCIPAL AMOUNT SECURITY (000'S OMITTED) VALUE - ------------------------------------------------------------------------------------------------------------ OIL AND GAS - EQUIPMENT AND SERVICES (CONTINUED) SESI, LLC, 8.875%, 5/15/11 $ 11,063 $ 12,031,013 Southern Natural Gas, 8.875%, 3/15/10 1,200 1,332,000 Transmontaigne, Inc., Sr. Sub. Notes, 9.125%, 6/1/10(5) 4,325 4,476,375 Williams Cos., Inc., Sr. Notes, 8.625%, 6/1/10 5,065 5,596,825 - ------------------------------------------------------------------------------------------------------------ $ 76,571,599 - ------------------------------------------------------------------------------------------------------------ OIL AND GAS - EXPLORATION AND PRODUCTION -- 0.7% Continental Resources, 10.25%, 8/1/08 $ 6,795 $ 7,049,813 Petrobras International Finance, Sr. Notes, 9.125%, 7/2/13 1,925 1,939,438 - ------------------------------------------------------------------------------------------------------------ $ 8,989,251 - ------------------------------------------------------------------------------------------------------------ OIL AND GAS - REFINING -- 0.1% WESTERN GAS RESOURCES, 10.00%, 6/15/09 $ 935 $ 986,425 - ------------------------------------------------------------------------------------------------------------ $ 986,425 - ------------------------------------------------------------------------------------------------------------ PAPER AND FOREST PRODUCTS -- 2.0% Caraustar Industries, Inc., Sr. Sub. Notes, 9.875%, 4/1/11 $ 265 $ 271,625 Georgia-Pacific Corp., 9.375%, 2/1/13 2,445 2,854,538 Georgia-Pacific Corp., 9.50%, 12/1/11 5,330 6,449,300 Longview Fibre Co., Sr. Sub. Notes, 10.00%, 1/15/09 2,495 2,732,025 MDP Acquisitions/JSG Funding PLC, Sr. Notes, 9.625%, 10/1/12 4,325 4,887,250 Newark Group, Inc., Sr. Sub. Notes, 9.75%, 3/15/14(5) 3,220 3,171,700 Norske Skog Canada Ltd., Sr. Notes, 7.375%, 3/1/14(5) 3,890 4,006,700 - ------------------------------------------------------------------------------------------------------------ $ 24,373,138 - ------------------------------------------------------------------------------------------------------------ PRINTING AND BUSINESS PRODUCTS -- 0.9% American Color Graphics, 10.00%, 6/15/10 $ 2,225 $ 1,924,625 Merrill Corp., Series A, (PIK), 12.00%, 5/1/09 1,780 1,700,310 Merrill Corp., Series B, (PIK), 12.00%, 5/1/09 8,212 7,842,033 Xerox Corp., Sr. Notes, 7.125%, 6/15/10 55 56,100 - ------------------------------------------------------------------------------------------------------------ $ 11,523,068 - ------------------------------------------------------------------------------------------------------------ PRINTING OR PUBLISHING - DIVERSIFICATION -- 1.2% Hollinger Participation Trust, Sr. Notes, (PIK), 12.125%, 11/15/10(5) $ 12,252 $ 14,319,221 - ------------------------------------------------------------------------------------------------------------ $ 14,319,221 - ------------------------------------------------------------------------------------------------------------ PUBLISHING -- 1.4% American Media, Inc., Series B, 10.25%, 5/1/09 $ 3,549 $ 3,744,195 CanWest Media, Inc., Sr. Sub. Notes, 10.625%, 5/15/11 5,310 6,040,125 CBD Media/CBD Finance, 8.625%, 6/1/11 2,040 2,187,900 Liberty Group Operating, 9.375%, 2/1/08 5,010 5,072,625 - ------------------------------------------------------------------------------------------------------------ $ 17,044,845 - ------------------------------------------------------------------------------------------------------------ REITS -- 0.3% CB Richard Ellis Services, Inc., Sr. Notes, 9.75%, 5/15/10 $ 1,920 $ 2,150,400 Omega Healthcare Investors, Inc., Sr. Notes, 7.00%, 4/1/14(5) 1,340 1,373,500 - ------------------------------------------------------------------------------------------------------------ $ 3,523,900 - ------------------------------------------------------------------------------------------------------------ RETAIL -- 0.8% Couche-Tard US LP/Couche-Tard Finance Corp., Sr. Sub. Notes, 7.50%, 12/15/13 $ 2,705 $ 2,853,775 PCA LLC/PCA Finance Corp., Sr. Notes, 11.875%, 8/1/09 5,971 6,717,375 - ------------------------------------------------------------------------------------------------------------ $ 9,571,150 - ------------------------------------------------------------------------------------------------------------ RETAIL - APPAREL -- 0.6% Mothers Work, Inc., 11.25%, 8/1/10 $ 3,495 $ 3,695,963 Payless Shoesource, Inc., Sr. Sub. Notes, 8.25%, 8/1/13 3,055 3,085,550 - ------------------------------------------------------------------------------------------------------------ $ 6,781,513 - ------------------------------------------------------------------------------------------------------------ RETAIL - FOOD AND DRUG -- 0.1% General Nutrition Center, Sr. Sub. Notes, 8.50%, 12/1/10(5) $ 1,380 $ 1,449,000 - ------------------------------------------------------------------------------------------------------------ $ 1,449,000 - ------------------------------------------------------------------------------------------------------------ RETAIL - GENERAL -- 0.6% Home Interiors & Gifts, 10.125%, 6/1/08 $ 2,060 $ 2,093,475 Jafra Cosmetics International, 10.75%, 5/15/11 1,935 2,201,063 Jo-Ann Stores, Inc., Sr. Sub. Notes, 7.50%, 3/1/12(5) 1,105 1,132,625 Shopko Stores, Inc., Sr. Notes, 9.25%, 3/15/22 2,445 2,402,213 - ------------------------------------------------------------------------------------------------------------ $ 7,829,376 - ------------------------------------------------------------------------------------------------------------ SEMICONDUCTORS -- 1.4% AMI Semiconductor, Inc., 10.75%, 2/1/13$ 2,884 $ 3,395,910 Amkor Technologies, Inc., 5.75%, 6/1/06 400 399,500 Amkor Technologies, Inc., Sr. Notes, 9.25%, 2/15/08 200 215,000
See notes to financial statements 16
PRINCIPAL AMOUNT SECURITY (000'S OMITTED) VALUE - ------------------------------------------------------------------------------------------------------------ SEMICONDUCTORS (CONTINUED) Chippac International Ltd., 12.75%, 8/1/09 $ 5,545 $ 6,044,050 ON Semiconductor Corp., 13.00%, 5/15/08 6,175 7,471,750 - ------------------------------------------------------------------------------------------------------------ $ 17,526,210 - ------------------------------------------------------------------------------------------------------------ TELECOMMUNICATION EQUIPMENT -- 1.6% Inmarsat Finance PLC, 7.625%, 6/30/12(5) $ 1,615 $ 1,655,375 Marconi Corp. PLC, Series A, 8.00%, 4/30/08(5) 4,407 4,838,612 Nortel Networks Ltd., 4.25%, 9/1/08 8,760 8,256,300 Nortel Networks Ltd., 6.125%, 2/15/06 5,130 5,097,938 - ------------------------------------------------------------------------------------------------------------ $ 19,848,225 - ------------------------------------------------------------------------------------------------------------ TELEPHONE - INTEGRATED -- 0.2% Cincinnati Bell, Inc., Sr. Sub. Notes, 8.375%, 1/15/14 $ 2,085 $ 1,980,750 - ------------------------------------------------------------------------------------------------------------ $ 1,980,750 - ------------------------------------------------------------------------------------------------------------ TOBACCO -- 0.2% North Atlantic Trading Co., Sr. Notes, 9.25%, 3/1/12(5) $ 2,825 $ 2,874,438 - ------------------------------------------------------------------------------------------------------------ $ 2,874,438 - ------------------------------------------------------------------------------------------------------------ TRANSPORTATION -- 0.4% OMI Corp., Sr. Notes, 7.625%, 12/1/13 $ 3,320 $ 3,452,800 Petroleum Helicopters, Series B, 9.375%, 5/1/09 220 234,300 Quality Distribution LLC/QD Capital Corp., 9.00%, 11/15/10(5) 1,145 1,150,725 - ------------------------------------------------------------------------------------------------------------ $ 4,837,825 - ------------------------------------------------------------------------------------------------------------ UTILITIES -- 2.1% El Paso Corp., Sr. Notes, 7.00%, 5/15/11 $ 940 $ 803,700 Illinois Power, 7.50%, 6/15/09 2,660 2,965,900 National Waterworks, Inc., Series B, 10.50%, 12/1/12 2,925 3,305,250 NRG Energy, Inc., Sr. Notes, 8.00%, 12/15/13(5) 9,185 9,299,813 Orion Power Holdings, Inc., Sr. Notes, 12.00%, 5/1/10 6,490 8,015,150 Reliant Energy, Inc., 9.25%, 7/15/10 1,200 1,290,000 - ------------------------------------------------------------------------------------------------------------ $ 25,679,813 - ------------------------------------------------------------------------------------------------------------ UTILITY - ELECTRIC POWER GENERATION -- 4.4% AES Corp., 10.00%, 7/15/05(5) $ 1,445 $ 1,488,498 AES Corp., Sr. Notes, 8.75%, 6/15/08 5,550 5,799,750 AES Corp., Sr. Notes, 8.75%, 5/15/13(5) $ 3,535 $ 3,861,988 AES Corp., Sr. Notes, 8.875%, 2/15/11 457 482,135 AES Corp., Sr. Notes, 9.00%, 5/15/15(5) 1,585 1,735,575 AES Corp., Sr. Notes, 9.375%, 9/15/10 3,519 3,800,520 AES Corp., Sr. Sub. Notes, 8.50%, 11/1/07 4,495 4,624,231 AES Eastern Energy, Series 99-A, 9.00%, 1/2/17 2,648 2,967,812 Calpine Corp., 8.75%, 7/15/13(5) 5,645 5,024,050 Calpine Corp., Sr. Notes, 7.625%, 4/15/06 4,550 3,799,250 Calpine Corp., Sr. Notes, 7.875%, 4/1/08 735 518,175 Calpine Corp., Sr. Notes, 8.25%, 8/15/05 13,150 12,361,000 Calpine Corp., Sr. Notes, 8.50%, 7/15/10(5) 6,575 5,851,750 Calpine Corp., Sr. Notes, 8.75%, 7/15/07 550 412,500 Calpine Corp., Sr. Notes, 10.50%, 5/15/06 1,595 1,443,475 - ------------------------------------------------------------------------------------------------------------ $ 54,170,709 - ------------------------------------------------------------------------------------------------------------ WASTE MANAGEMENT -- 0.1% Allied Waste Industries, Series B, 9.25%, 9/1/12 $ 305 $ 347,700 Waste Services, Inc., Sr. Sub. Notes, 9.50%, 4/15/14(5) 1,345 1,385,350 - ------------------------------------------------------------------------------------------------------------ $ 1,733,050 - ------------------------------------------------------------------------------------------------------------ WIRELESS COMMUNICATION SERVICES -- 8.2% Alamosa Delaware, Inc., Sr. Notes, 8.50%, 1/31/12(5) $ 1,955 $ 1,901,238 American Tower Corp., Sr. Notes, 9.375%, 2/1/09 11,615 12,515,163 Centennial Cellular Operating Co./Centennial Communications Corp., Sr. Notes, 10.125%, 6/15/13 10,040 10,391,400 Crown Castle International Corp., Sr. Disc. Notes, 11.25%, (0% until 2004), 8/1/11 1,465 1,540,081 Crown Castle International Corp., Sr. Notes, 10.75%, 8/1/11 315 359,100 Insight Midwest/Insight Capital, Sr. Notes, 10.50%, 11/1/10 1,645 1,801,275 IWO Holdings, Inc., 14.00%, 1/15/11 7,490 2,733,850 LCI International, Inc., Sr. Notes, 7.25%, 6/15/07 7,595 6,721,575 Level 3 Financing, Inc., Sr. Notes, 10.75%, 10/15/11(5) 250 222,500 Nextel Communications, Inc., 6.00%, 6/1/11 5,230 5,622,250 Nextel Communications, Inc., Sr. Notes, 7.375%, 8/1/15 420 438,375 Nextel Partners, Inc., Sr. Notes, 11.00%, 3/15/10 6,590 7,479,650 Nextel Partners, Inc., Sr. Notes, 11.00%, 3/15/10 805 913,675 Nextel Partners, Inc., Sr. Notes, 12.50%, 11/15/09 3,698 4,345,150 Ono Finance PLC, 13.00%, 5/1/09 3,405 3,656,119
See notes to financial statements 17
PRINCIPAL AMOUNT SECURITY (000'S OMITTED) VALUE - ------------------------------------------------------------------------------------------------------------ WIRELESS COMMUNICATION SERVICES (CONTINUED) Ono Finance PLC, Sr. Notes, 14.00%, 7/15/10 EUR 1,840 $ 2,492,441 Ono Finance PLC, Sr. Notes, 14.00%, 2/15/11 3,672 4,273,290 Ono Finance PLC, Sr.Notes, 14.00%, 2/15/11 EUR 1,935 2,702,312 PTC International Finance II SA, 11.25%, 12/1/09 1,670 1,803,600 PTC International Finance II SA, 11.25%, 12/1/09 EUR 3,010 3,895,948 Rural Cellular Corp., Sr. Notes, 8.25%, 3/15/12(5) 2,415 2,505,563 SBA Telecommunications, Sr. Disc. Notes, (0% until 2007), 0.00%, 12/19/11(5) 3,170 2,361,650 Telemig Celular SA/Amazonia Celular SA, 8.75%, 1/20/09(5) 2,030 1,938,650 TSI Telecommunication, Series B, 12.75%, 2/1/09 1,605 1,757,475 UbiquiTel Operating Co., Sr. Notes, 9.875%, 3/1/11(5) 5,335 5,361,675 US Unwired, Inc., Sr. Sub. Disc. Notes, Series B, (0% until 2004), 0.00%, 11/1/09 1,940 1,940,000 Western Wireless Corp., Sr. Notes, 9.25%, 7/15/13 9,075 9,369,938 - ------------------------------------------------------------------------------------------------------------ $ 101,043,943 - ------------------------------------------------------------------------------------------------------------ WIRELINE COMMUNICATION SERVICES -- 2.5% NTL Cable PLC, Sr. Notes, 8.75%, 4/15/14(5) $ 1,360 $ 1,411,000 Qwest Capital Funding, 7.00%, 8/3/09 1,160 977,300 Qwest Capital Funding, 7.75%, 8/15/06 965 950,525 Qwest Capital Funding, 7.75%, 2/15/31 4,115 3,127,400 Qwest Capital Funding, 7.90%, 8/15/10 3,825 3,289,500 Qwest Services Corp., 13.50%, 12/15/10(5) 17,195 20,032,175 U.S. West Communications, Debs., 7.20%, 11/10/26 585 506,025 - ------------------------------------------------------------------------------------------------------------ $ 30,293,925 - ------------------------------------------------------------------------------------------------------------ TOTAL CORPORATE BONDS & NOTES (IDENTIFIED COST $1,078,357,822) $ 1,141,076,736 - ------------------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS -- 0.8%
PRINCIPAL AMOUNT SECURITY (000'S OMITTED) VALUE - ------------------------------------------------------------------------------------------------------------ Charter Communications, Inc., 5.75%, 10/15/05 $ 1,995 $ 1,940,137 Kerzner International Ltd., 2.375%, 4/15/24(4)(5) 2,720 2,699,600 Sinclair Broadcast Group, Inc., 4.875%, 7/15/18 1,480 1,492,950 Wynn Resorts, 6.00%, 7/15/15(5) 1,935 3,797,438 - ------------------------------------------------------------------------------------------------------------ TOTAL CONVERTIBLE BONDS (IDENTIFIED COST, $8,149,427) $ 9,930,125 - ------------------------------------------------------------------------------------------------------------
COMMON STOCKS AND WARRANTS -- 0.7%
SECURITY SHARES VALUE - ------------------------------------------------------------------------------------------------------------ CHEMICALS -- 0.0% Pioneer Companies, Inc., Common(4)(6) 67,381 $ 320,060 Sterling Chemicals, Inc., Common 1,821 46,663 - ------------------------------------------------------------------------------------------------------------ $ 366,723 - ------------------------------------------------------------------------------------------------------------ COMPUTER SERVICES -- 0.2% DigitalNet Holdings, Inc., Common(6) 113,650 $ 2,700,324 - ------------------------------------------------------------------------------------------------------------ $ 2,700,324 - ------------------------------------------------------------------------------------------------------------ LODGING AND GAMING -- 0.0% Peninsula Gaming LLC, Convertible Preferred Membership Interests(6)(7) 25,351 $ 152,107 - ------------------------------------------------------------------------------------------------------------ $ 152,107 - ------------------------------------------------------------------------------------------------------------ PRINTING AND BUSINESS PRODUCTS -- 0.0% Merrill Corp., Warrants, Class A, Exp. 1/1/10(4)(6) 9,547 $ 0 - ------------------------------------------------------------------------------------------------------------ $ 0 - ------------------------------------------------------------------------------------------------------------ RESTAURANTS -- 0.0% New World Coffee, Warrants, Exp. 6/15/06(6)(7) 557 $ 6 New World Coffee, Warrants, Exp. 6/20/06(6)(7) 687 7 - ------------------------------------------------------------------------------------------------------------ $ 13 - ------------------------------------------------------------------------------------------------------------ SEMICONDUCTORS -- 0.0% Asat Finance, Warrants, Exp. 11/1/06(4)(6) 5,660 $ 84,221 - ------------------------------------------------------------------------------------------------------------ $ 84,221 - ------------------------------------------------------------------------------------------------------------ SERVICES -- 0.0% HF Holdings, Inc., Warrants, Exp. 9/27/09(4)(6) 13,600 $ 0 - ------------------------------------------------------------------------------------------------------------ $ 0 - ------------------------------------------------------------------------------------------------------------ TRANSPORTATION -- 0.0% Quality Distribution, Inc., Warrants, Exp.1/15/07(4)(6) 3,266 $ 55,685 VS Holdings, Inc., Common(6)(7) 88,916 44,458 - ------------------------------------------------------------------------------------------------------------ $ 100,143 - ------------------------------------------------------------------------------------------------------------ WIRELESS COMMUNICATION SERVICES -- 0.5% American Tower Corp., Warrants, Exp. 8/1/08(6) 5,070 $ 808,665 Crown Castle International Corp., Common(6) 8,902 124,183 NTL, Inc., Common(6) 85,015 4,826,301
See notes to financial statements 18
SECURITY SHARES VALUE - ------------------------------------------------------------------------------------------------------------ WIRELESS COMMUNICATION SERVICES (CONTINUED) Ono Finance PLC, Warrants, Exp. 3/16/11(4)(6) 3,370 $ 0 Ono Finance PLC, Warrants, Exp. 5/31/09(4)(6) 9,690 0 Ono Finance PLC, Warrants, Exp. 5/31/09(4)(6) 3,390 0 - ------------------------------------------------------------------------------------------------------------ $ 5,759,149 - ------------------------------------------------------------------------------------------------------------ WIRELINE COMMUNICATION SERVICES -- 0.0% Primus Telecommunications Group, Warrants, Exp. 8/1/04(4)(6) 4,600 $ 0 - ------------------------------------------------------------------------------------------------------------ $ 0 - ------------------------------------------------------------------------------------------------------------ TOTAL COMMON STOCKS AND WARRANTS (IDENTIFIED COST $8,142,520) $ 9,162,680 - ------------------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS -- 1.0%
SECURITY SHARES VALUE - ------------------------------------------------------------------------------------------------------------ ENTERTAINMENT -- 0.0% Six Flags, Inc. 19,570 $ 454,024 - ------------------------------------------------------------------------------------------------------------ $ 454,024 - ------------------------------------------------------------------------------------------------------------ NETWORKING PRODUCTS -- 0.1% Lucent Technologies Capital Trust I 745 $ 869,788 - ------------------------------------------------------------------------------------------------------------ $ 869,788 - ------------------------------------------------------------------------------------------------------------ OIL AND GAS - EQUIPMENT AND SERVICES -- 0.3% Chesapeake Energy Corp. 11,225 $ 1,247,378 Williams Cos., Inc.(5) 45,592 3,048,965 - ------------------------------------------------------------------------------------------------------------ $ 4,296,343 - ------------------------------------------------------------------------------------------------------------ WIRELESS COMMUNICATION SERVICES -- 0.6% Crown Castle International Corp. 152,605 $ 7,115,208 - ------------------------------------------------------------------------------------------------------------ $ 7,115,208 - ------------------------------------------------------------------------------------------------------------ TOTAL CONVERTIBLE PREFERRED STOCKS (IDENTIFIED COST $11,194,945) $ 12,735,363 - ------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS -- 0.4%
SECURITY SHARES VALUE - ------------------------------------------------------------------------------------------------------------ WIRELESS COMMUNICATION SERVICES -- 0.4% Rural Cellular Corp., 12.25% (PIK) 7,142 $ 5,017,417 - ------------------------------------------------------------------------------------------------------------ $ 5,017,417 - ------------------------------------------------------------------------------------------------------------ TOTAL PREFERRED STOCKS (IDENTIFIED COST $5,925,280) $ 5,017,417 - ------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 1.0%
PRINCIPAL AMOUNT SECURITY (000'S OMITTED) VALUE - ------------------------------------------------------------------------------------------------------------ Investors Bank & Trust Company Time Deposit, 1.07%, 5/3/04 $ 12,528 $ 12,528,000 - ------------------------------------------------------------------------------------------------------------ TOTAL SHORT-TERM INVESTMENTS (AT AMORTIZED COST, $12,528,000) $ 12,528,000 - ------------------------------------------------------------------------------------------------------------ TOTAL INVESTMENTS -- 97.8% (IDENTIFIED COST $1,138,671,307) $ 1,205,833,253 - ------------------------------------------------------------------------------------------------------------ OTHER ASSETS, LESS LIABILITIES -- 2.2% $ 26,734,713 - ------------------------------------------------------------------------------------------------------------ NET ASSETS -- 100.0% $ 1,232,567,966 - ------------------------------------------------------------------------------------------------------------
EUR - Euro Dollar PIK - Payment In Kind. (1) Senior floating-rate interests often require prepayments from excess cash flows or permit the borrower to repay at its 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, it is anticipated that the senior floating-rate interests will have an expected average life of approximately two to four years. (2) Interest rates are periodically predetermined by a reference to a base lending rate plus a premium. These base lending rates are generally (i) the prime rate offered by one or more major United States banks or (ii) the lending rate offered by one or more European banks such as the London Inter-Bank Offered Rate (LIBOR). (3) Defaulted security. (4) Security valued at fair value using methods determined in good faith by or at the direction of the Trustees. (5) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. (6) Non-income producing security. (7) Restricted security. See notes to financial statements 19 HIGH INCOME PORTFOLIO as of April 30, 2004 FINANCIAL STATEMENTS (Unaudited) STATEMENT OF ASSETS AND LIABILITIES AS OF APRIL 30, 2004 ASSETS Investments, at value (identified cost, $1,138,671,307) $ 1,205,833,253 Cash 22,399 Receivable for investments sold 15,035,709 Interest and dividends receivable 26,409,549 - ------------------------------------------------------------------------------------------------ TOTAL ASSETS $ 1,247,300,910 - ------------------------------------------------------------------------------------------------ LIABILITIES Payable for investments purchased $ 14,562,634 Payable for open forward foreign currency contracts 114,702 Payable for Trustees' fees 2,183 Accrued expenses 53,425 - ------------------------------------------------------------------------------------------------ TOTAL LIABILITIES $ 14,732,944 - ------------------------------------------------------------------------------------------------ NET ASSETS APPLICABLE TO INVESTORS' INTEREST IN PORTFOLIO $ 1,232,567,966 - ------------------------------------------------------------------------------------------------ SOURCES OF NET ASSETS Net proceeds from capital contributions and withdrawals $ 1,165,507,349 Net unrealized appreciation (computed on the basis of identified cost) 67,060,617 - ------------------------------------------------------------------------------------------------ TOTAL $ 1,232,567,966 - ------------------------------------------------------------------------------------------------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2004 INVESTMENT INCOME Interest $ 55,982,987 Dividends 1,255,522 Miscellaneous 508,639 - ------------------------------------------------------------------------------------------------ TOTAL INVESTMENT INCOME $ 57,747,148 - ------------------------------------------------------------------------------------------------ EXPENSES Investment adviser fee $ 3,414,051 Trustees' fees and expenses 15,078 Custodian fee 170,867 Legal and accounting services 34,565 Miscellaneous 5,623 - ------------------------------------------------------------------------------------------------ Total expenses $ 3,640,184 - ------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME $ 54,106,964 - ------------------------------------------------------------------------------------------------ REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) -- Investment transactions (identified cost basis) $ 6,679,467 Foreign currency and forward foreign currency exchange contract transactions 363,598 - ------------------------------------------------------------------------------------------------ NET REALIZED GAIN $ 7,043,065 - ------------------------------------------------------------------------------------------------ Change in unrealized appreciation (depreciation) -- Investments (identified cost basis) $ 24,769,562 Foreign currency and forward foreign currency exchange contracts (178,384) - ------------------------------------------------------------------------------------------------ NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) $ 24,591,178 - ------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN $ 31,634,243 - ------------------------------------------------------------------------------------------------ NET INCREASE IN NET ASSETS FROM OPERATIONS $ 85,741,207 - ------------------------------------------------------------------------------------------------
See notes to financial statements 20 STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED INCREASE (DECREASE) APRIL 30, 2004 YEAR ENDED IN NET ASSETS (UNAUDITED) OCTOBER 31, 2003 - ------------------------------------------------------------------------------------------------------------ From operations -- Net investment income $ 54,106,964 $ 103,905,446 Net realized gain from investments and foreign currency transactions 7,043,065 26,267,616 Net change in unrealized appreciation (depreciation) from investments and foreign currency 24,591,178 174,501,253 - ------------------------------------------------------------------------------------------------------------ NET INCREASE IN NET ASSETS FROM OPERATIONS $ 85,741,207 $ 304,674,315 - ------------------------------------------------------------------------------------------------------------ Capital transactions -- Contributions $ 277,309,110 $ 225,082,542 Withdrawals (294,525,404) (255,366,876) - ------------------------------------------------------------------------------------------------------------ NET DECREASE IN NET ASSETS FROM CAPITAL TRANSACTIONS $ (17,216,294) $ (30,284,334) - ------------------------------------------------------------------------------------------------------------ NET INCREASE IN NET ASSETS $ 68,524,913 $ 274,389,981 - ------------------------------------------------------------------------------------------------------------ NET ASSETS At beginning of period $ 1,164,043,053 $ 889,653,072 - ------------------------------------------------------------------------------------------------------------ AT END OF PERIOD $ 1,232,567,966 $ 1,164,043,053 - ------------------------------------------------------------------------------------------------------------
See notes to financial statements 21 SUPPLEMENTARY DATA
SIX MONTHS ENDED YEAR ENDED OCTOBER 31, YEAR ENDED MARCH 31, APRIL 30, 2004 ------------------------------------------------ ------------------------- (UNAUDITED) 2003 2002(1) 2001 2000(2) 2000 1999 - ----------------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA Ratios (As a percentage of average daily net assets): Expenses 0.60%(3) 0.66% 0.64% 0.67% 0.67%(3) 0.64% 0.65% Net investment income 8.89%(3) 10.04% 10.38% 11.96% 11.46%(3) 10.54% 10.23% Portfolio Turnover 38% 122% 88% 83% 41% 113% 150% - ----------------------------------------------------------------------------------------------------------------------------------- Total Return(4) 7.38% 34.76% (4.36)% -- -- -- -- - ----------------------------------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD (000'S OMITTED) $ 1,232,568 $ 1,164,043 $ 889,653 $ 1,186,751 $ 1,163,806 $ 1,184,998 $ 1,039,223 - -----------------------------------------------------------------------------------------------------------------------------------
(1) The Portfolio has adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies and began using the interest method to amortize premiums on fixed-income securities. The effect of this change for the year ended October 31, 2002 was to decrease the ratio of net investment income to average net assets from 10.59% to 10.38%. Ratios for the periods prior to November 1, 2001 have not been restated to reflect this change in presentation. (2) For the seven-month period ended October 31, 2000. (3) Annualized. (4) Total return is required to be disclosed for fiscal years beginning after December 15, 2000. See notes to financial statements 22 HIGH INCOME PORTFOLIO as of April 30, 2004 NOTES TO FINANCIAL STATEMENTS (Unaudited) 1 SIGNIFICANT ACCOUNTING POLICIES High Income Portfolio (the Portfolio) is registered under the Investment Company Act of 1940 as a diversified open-end management investment company which was organized as a trust under the laws of the State of New York on May 1, 1992. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. At April 30, 2004 Eaton Vance High Income Fund, Eaton Vance Floating-Rate High Income Fund and Eaton Vance Strategic Income Fund held an approximate 75.8%, 12.5% and 5.6% interest in the Portfolio, respectively. The following is a summary of significant accounting policies of the Portfolio. The policies are in conformity with accounting principles generally accepted in the United States of America. A INVESTMENT VALUATIONS -- Investments listed on securities exchanges are valued at closing sale prices. Investments listed on the NASDAQ National Market System are valued at the NASDAQ official closing price. Listed or unlisted investments for which closing sale prices are not available are valued at the mean between the latest bid and asked prices. Fixed income investments (other than short-term obligations), including listed investments and investments for which price quotations are available, will normally be valued on the basis of market valuations furnished by a pricing service. Financial futures contracts listed on commodity exchanges are valued at closing settlement prices. Short-term obligations, maturing in sixty days or less, are valued at amortized cost, which approximates fair value. The Portfolio also invests in interests in senior floating rate loans (Senior Loans). The Portfolio's investment adviser, Boston Management and Research (BMR) a wholly owned subsidiary of Eaton Vance Management (EVM), has characterized certain Senior Loans as liquid based on a predetermined acceptable number and range of market quotations available. Such loans are valued on the basis of market valuations furnished by a pricing service. Investments for which there are no quotations or valuations are valued at fair value using methods determined in good faith by or at the direction of the Trustees. Other Senior Loans are valued at fair value by BMR under procedures established by the Trustees as permitted by section 2(a)(41). B INCOME -- Interest income is determined on the basis of interest accrued, adjusted for amortization of premium or discount. Dividend income is recorded on ex-dividend date for dividends received in cash and/or securities. However, if the ex-dividend date has passed, certain dividends from foreign securities are recorded as the Portfolio is informed of the ex-dividend date. C INCOME TAXES -- The Portfolio has elected to be treated as a partnership for United States Federal tax purposes. No provision is made by the Portfolio for federal or state taxes on any taxable income of the Portfolio because each investor in the Portfolio is ultimately responsible for the payment of any taxes. Since some of the Portfolio's investors are regulated investment companies that invest all or substantially all of their assets in the Portfolio, the Portfolio normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order for its investors to satisfy them. The Portfolio will allocate at least annually among its investors each investor's distributive share of the Portfolio's net taxable investment income, net realized capital gains, and any other items of income, gain, loss, deduction or credit. D FINANCIAL FUTURES CONTRACTS -- Upon the entering of a financial futures contract, the Portfolio is required to deposit (initial margin) either in cash or securities an amount equal to a certain percentage of the purchase price indicated in the financial futures contract. Subsequent payments are made or received by the Portfolio (margin maintenance) each day, dependent on the daily fluctuations in the value of the underlying security, and are recorded for book purposes as unrealized gains or losses by the Portfolio. The Portfolio's investment in financial futures contracts is designed only to hedge against anticipated future changes in interest rates. Should interest rates move unexpectedly, the Portfolio may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. E FOREIGN CURRENCY TRANSLATION -- Investment valuations, other assets, and liabilities initially expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions. Realized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed. F FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- The Portfolio may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. Risks may arise upon entering these contracts from the 23 potential inability of counterparties to meet the terms of their contracts and from movements in the value of a foreign currency relative to the U.S. dollar. The Portfolio will enter into forward contracts for hedging purposes as well as non-hedging purposes. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized until such time as the contracts have been closed. G USE OF ESTIMATES -- The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amount of revenue and expense during the reporting period. Actual results could differ from those estimates. H INDEMNIFICATIONS -- Under the Portfolio's organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Portfolio. Interestholders in the Portfolio are jointly and severally liable for the liabilities and obligations of the Portfolio in the event that the Portfolio fails to satisfy such liabilities and obligations; provided, however, that, to the extent assets are available in the Portfolio, the Portfolio may, under certain circumstances, indemnify interestholders from and against any claim or liability to which such holder may become subject by reason of being or having been an interestholder in the Portfolio. Additionally, in the normal course of business, the Portfolio enters into agreements with service providers that may contain indemnification clauses. The Portfolio's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet occurred. I OTHER -- Investment transactions are accounted for on a trade date basis. Realized gains and losses are computed based on the specific identification of the securities sold. J INTERIM FINANCIAL STATEMENTS -- The interim financial statements relating to April 30, 2004 and for the six months then ended have not been audited by independent certified public accountants, but in the opinion of the Portfolio's management reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements. 2 INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES The investment adviser fee is earned by BMR, a wholly-owned subsidiary of EVM, as compensation for management and investment advisory services rendered to the Portfolio. The fee is based upon a percentage of average daily net assets plus a percentage of gross income (i.e., income other than gains from the sale of securities). For the six months ended April 30, 2004, the fee was equivalent to 0.56% (annualized) of the Portfolio's average daily net assets and amounted to $3,414,051. Except as to Trustees of the Portfolio who are not members of EVM's or BMR's organization, officers and Trustees receive remuneration for their services to the Portfolio out of such investment adviser fee. Certain officers and Trustees of the Portfolio are officers of the above organizations. Trustees of the Portfolio that are not affiliated with the investment adviser may elect to defer receipt of all or a portion of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the six months ended April 30, 2004, no significant amounts have been deferred. 3 INVESTMENTS The Portfolio invests primarily in debt securities. The ability of the issuers of the debt securities held by the Portfolio to meet their obligations may be affected by economic developments in a specific industry. Purchases and sales of investments, other than U.S. Government securities and short-term obligations, aggregated $474,906,183 and $456,090,087, respectively, for the six months ended April 30, 2004. 4 LINE OF CREDIT The Portfolio participates with other portfolios and funds managed by BMR and EVM and its affiliates in a $150 million unsecured line of credit agreement with a group of banks. Borrowings will be made by the Portfolio solely to facilitate the handling of unusual and/or unanticipated short-term cash requirements. Interest is charged to each participating portfolio or fund based on its borrowings at an amount above either the Eurodollar rate or federal funds rate. In addition, a fee computed at an annual rate of 0.10% on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. The Portfolio did not have any significant borrowings or allocated fees during the six months ended April 30, 2004. 24 5 FINANCIAL INSTRUMENTS The Portfolio regularly trades in financial instruments with off-balance sheet risk in the normal course of its investing activities to assist in managing exposure to various market risks. These financial instruments include written options, forward foreign currency contracts and financial futures contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Portfolio has in particular classes of financial instruments and does not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. A summary of obligations under these financial instruments at April 30, 2004 is as follows: Forward Foreign Currency Exchange Contracts SALES
NET SETTLEMENT IN EXCHANGE FOR UNREALIZED DATE(S) DELIVER (IN U.S. DOLLARS) DEPRECIATION ------------------------------------------------------------------- 5/28/04 Euro Dollar 7,819,833 $ 9,253,208 $ (114,702) ------------------------------------------------------------------- $ 9,253,208 $ (114,702) -------------------------------------------------------------------
At April 30, 2004, the Portfolio had sufficient cash and/or securities to cover any margin requirements under these contracts. 6 FEDERAL INCOME TAX BASIS OF UNREALIZED APPRECIATION (DEPRECIATION) The cost and unrealized appreciation (depreciation) in value of the investments owned at April 30, 2004 as computed on a federal income tax basis, were as follows: AGGREGATE COST $ 1,142,210,373 ------------------------------------------------------- Gross unrealized appreciation $ 89,816,426 Gross unrealized depreciation (26,193,546) ------------------------------------------------------- NET UNREALIZED APPRECIATION $ 63,622,880 -------------------------------------------------------
7 RESTRICTED SECURITIES At April 30, 2004, the Portfolio owned the following securities (representing less than 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 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/FACE COST FAIR VALUE --------------------------------------------------------------------------------- COMMON STOCKS AND WARRANTS New World Coffee, Warrants, Exp. 6/15/06 9/15/02 - 7/15/02 557 $ 0 $ 6 New World Coffee, Warrants, Exp. 6/20/06 9/30/02 687 0 7 Peninsula Gaming LLC, Convertible Preferred Membership Interests 7/08/99 25,351 0 152,107 VS Holdings, Inc., Common 4/03/02 88,916 1,111,000 44,458 --------------------------------------------------------------------------------- $ 1,111,000 $ 196,578 ---------------------------------------------------------------------------------
25 INVESTMENT MANAGEMENT HIGH INCOME PORTFOLIO OFFICERS Michael W. Weilheimer President and Co-Portfolio Manager Thomas P. Huggins Vice President and Co-Portfolio Manager Barbara E. Campbell Treasurer Alan R. Dynner Secretary TRUSTEES James B. Hawkes Samuel L. Hayes, III William H. Park Ronald A. Pearlman Norton H. Reamer Lynn A. Stout 26 ITEM 2. CODE OF ETHICS [[NOTE: REGISTRANT MUST DISCLOSE HERE IF THERE HAS BEEN AN AMENDMENT TO THE CODE. REGISTRANT MUST ALSO DISCLOSE IF THERE HAVE BEEN ANY EXPLICIT OR IMPLICIT WAIVERS OF THE CODE UNDER THIS ITEM AS WELL.]] The registrant has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-262-1122. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT The registrant's Board has designated William H. Park, Samuel L. Hayes, III and Norton H. Reamer, each an independent trustee, as its audit committee financial experts. Mr. Park is a certified public accountant who is the President and Chief Executive Officer of Prizm Capital Management, LLC (investment management firm). Previously, he served as Executive Vice President and Chief Financial Officer of United Asset Management Corporation ("UAM") (a holding company owning institutional investment management firms). Mr. Hayes is the Jacob H. Schiff Professor of Investment Banking Emeritus of the Harvard University Graduate School of Business Administration. Mr. Reamer is the President, Chief Executive Officer and a Director of Asset Management Finance Corp. (a specialty finance company serving the investment management industry) and is President of Unicorn Corporation (an investment and financial advisory services company). Formerly, Mr. Reamer was Chairman of Hellman, Jordan Management Co., Inc. (an investment management company) and Advisory Director of Berkshire Capital Corporation (an investment banking firm), Chairman of the Board of UAM and Chairman, President and Director of the UAM Funds (mutual funds). ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES Not required in this filing. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS Not required in this filing. ITEM 6. SCHEDULE OF INVESTMENTS Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES Not required in this filing. ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not required in this filing. ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Effective February 9, 2004, the Governance Committee of the Board of Trustees formalized the procedures by which a Fund's shareholders may recommend nominees to the registrant's Board of Trustees. The Governance Committee shall, when identifying candidates for the position of Independent Trustee, consider any such candidate recommended by a shareholder of a Fund if such recommendation contains sufficient background information concerning the candidate, and is received in a sufficiently timely manner (and in any event no later than the date specified for receipt of shareholder proposals in any applicable proxy statement with respect to a Fund). Shareholders shall be directed to address any such recommendations to the attention of the Governance Committee, c/o the Secretary of the Fund. ITEM 10. 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 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 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 period that has materially affected, or is reasonably likely to materially affect the registrant's internal control over financial reporting. ITEM 11. EXHIBITS (a)(1) Registrant's Code of Ethics - Not applicable (please see Item 2). (a)(2)(i) Treasurer's Section 302 certification. (a)(2)(ii) President's Section 302 certification. (b) Combined Section 906 certification. 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: June 14, 2004 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/ Barbara E. Campbell ----------------------- Barbara E. Campbell Treasurer Date: June 14, 2004 By: /s/ Michael W. Weilheimer ------------------------- Michael W. Weilheimer President Date: June 14, 2004 EX-99.CERT 2 a2139120zex-99_cert.txt EX-99.CERT Exhibit 99.cert HIGH INCOME PORTFOLIO FORM N-CSR EXHIBIT 11(a)(2)(i) CERTIFICATION I, Barbara E. Campbell; certify that: 1. I have reviewed this report on Form N-CSR of High Income Portfolio; 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 financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 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) 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) [omitted]; (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 half-year (the registrant's second fiscal half-year in the case of an annual report) 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 officer(s) 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. Dated: June 14, 2004 /s/ Barbara E. Campbell ----------------------- Barbara E. Campbell Treasurer HIGH INCOME PORTFOLIO FORM N-CSR EXHIBIT 11(a)(2)(ii) CERTIFICATION I, Michael W. Weilheimer certify that: 1. I have reviewed this report on Form N-CSR of High Income Portfolio; 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 financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 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) 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) [omitted]; (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 half-year (the registrant's second fiscal half-year in the case of an annual report) 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 officer(s) 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. Date: June 14, 2004 /s/ Michael W. Weilheimer ------------------------- Michael W. Weilheimer President EX-99.906CERT 3 a2139120zex-99_906cert.txt EX-99.906CERT Exhibit 99.906.cert FORM N-CSR ITEM 11(b) EXHIBIT CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350, AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 The undersigned hereby certify in their capacity as Treasurer and President, respectively, of High Income Portfolio (the "Portfolio"), that: (a) the Semi-Annual Report of the Portfolio on Form N-CSR for the period ended April 30, 2004(the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and (b) the information contained in the Report fairly presents, in all material respects, the financial condition and the results of operations of the Portfolio for such period. A SIGNED ORIGINAL OF THIS WRITTEN STATEMENT REQUIRED BY SECTION 906 HAS BEEN PROVIDED TO THE PORTFOLIO AND WILL BE RETAINED BY THE PORTFOLIO AND FURNISHED TO THE SECURITIES AND EXCHANGE COMMISSION OR ITS STAFF UPON REQUEST. Date: June 14, 2004 /s/ Barbara E. Campbell - ----------------------- Barbara E. Campbell Treasurer Date: June 14, 2004 /s/ Michael W. Weilheimer - ------------------------- Michael W. Weilheimer President -----END PRIVACY-ENHANCED MESSAGE-----