UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-08464
High Income Opportunities Portfolio
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number)
(Registrant’s Telephone Number)
October 31
Date of Fiscal Year End
Date of Fiscal Year End
April 30, 2011
Date of Reporting Period
Date of Reporting Period
Item 1. Reports to Stockholders
High Income Opportunities Portfolio
April 30, 2011
Portfolio of Investments (Unaudited)
| Senior Floating-Rate Interests — 5.9%(1) | ||||||||||
| Principal | ||||||||||
| Amount | ||||||||||
| Borrower/Tranche Description | (000’s omitted) | Value | ||||||||
| Automotive — 0.5% | ||||||||||
| Pinafore, LLC, Term Loan, 4.25%, Maturing 9/29/16 | $ | 4,527 | $ | 4,575,756 | ||||||
| $ | 4,575,756 | |||||||||
| Broadcasting — 0.9% | ||||||||||
| HIT Entertainment, Inc., Term Loan - Second Lien, 5.82%, Maturing 2/26/13 | $ | 9,180 | $ | 8,522,097 | ||||||
| $ | 8,522,097 | |||||||||
| Building Materials — 0.6% | ||||||||||
| Goodman Global Holdings, Inc., Term Loan, 5.75%, Maturing 10/28/16 | $ | 1,423 | $ | 1,437,518 | ||||||
| Goodman Global Holdings, Inc., Term Loan - Second Lien, 9.00%, Maturing 10/30/17 | 1,530 | 1,588,013 | ||||||||
| Panolam Industries Holdings, Inc., Term Loan, 8.25%, Maturing 12/31/13 | 1,705 | 1,576,807 | ||||||||
| Panolam Industries Holdings, Inc., Term Loan - Second Lien, 10.00%, Maturing 6/30/14 | 1,422 | 1,314,244 | ||||||||
| $ | 5,916,582 | |||||||||
| Consumer Products — 0.4% | ||||||||||
| Amscan Holdings, Inc., Term Loan, 6.75%, Maturing 12/4/17 | $ | 3,881 | $ | 3,920,256 | ||||||
| $ | 3,920,256 | |||||||||
| Diversified Financial Services — 0.2% | ||||||||||
| First Data Corp., Term Loan, 2.96%, Maturing 9/24/14 | $ | 1,596 | $ | 1,518,185 | ||||||
| $ | 1,518,185 | |||||||||
| Electronics / Electrical — 0.6% | ||||||||||
| Edwards (Cayman Island II), Ltd., Term Loan, 5.50%, Maturing 5/31/16 | $ | 2,594 | $ | 2,603,226 | ||||||
| Spectrum Brands, Inc., Term Loan, 5.01%, Maturing 6/17/16 | 2,594 | 2,626,844 | ||||||||
| $ | 5,230,070 | |||||||||
| Food Service — 0.5% | ||||||||||
| Del Monte Corp., Term Loan, 4.50%, Maturing 3/8/18 | $ | 3,400 | $ | 3,418,849 | ||||||
| DineEquity, Inc., Term Loan, 4.25%, Maturing 10/19/17 | 722 | 731,672 | ||||||||
| Dunkin Brands, Inc., Term Loan, 4.25%, Maturing 11/23/17 | 938 | 945,925 | ||||||||
| $ | 5,096,446 | |||||||||
| Gaming — 0.3% | ||||||||||
| Cannery Casino Resorts, LLC, Term Loan - Second Lien, 4.46%, Maturing 5/16/14 | $ | 1,580 | $ | 1,469,400 | ||||||
| Great Lakes Entertainment, Term Loan, 9.00%, Maturing 8/15/12 | 1,284 | 1,238,767 | ||||||||
| $ | 2,708,167 | |||||||||
| Health Care — 0.3% | ||||||||||
| Axcan Pharma, Inc., Term Loan, 5.50%, Maturing 2/10/17 | $ | 2,993 | $ | 2,992,500 | ||||||
| $ | 2,992,500 | |||||||||
| Hotels — 0.1% | ||||||||||
| CCM Merger, Inc., Term Loan, 7.00%, Maturing 3/1/17 | $ | 1,200 | $ | 1,218,000 | ||||||
| $ | 1,218,000 | |||||||||
| Super Retail — 0.8% | ||||||||||
| Burlington Coat Factory Warehouse Corp., Term Loan, 6.25%, Maturing 2/18/17 | $ | 2,993 | $ | 2,993,332 | ||||||
| General Nutrition Centers, Inc., Term Loan, 4.25%, Maturing 3/2/18 | 4,650 | 4,671,767 | ||||||||
| $ | 7,665,099 | |||||||||
| Transportation Ex Air / Rail — 0.2% | ||||||||||
| CEVA Group PLC, Term Loan, 5.27%, Maturing 8/31/16 | $ | 523 | $ | 514,424 | ||||||
| CEVA Group PLC, Term Loan, 5.27%, Maturing 8/31/16 | 1,170 | 1,151,341 | ||||||||
| CEVA Group PLC, Term Loan, 5.31%, Maturing 8/31/16 | 590 | 580,325 | ||||||||
| $ | 2,246,090 | |||||||||
| Utilities — 0.5% | ||||||||||
| TXU Texas Competitive Electric Holdings Co., LLC, Term Loan, 3.73%, Maturing 10/10/14 | $ | 5,240 | $ | 4,480,440 | ||||||
| $ | 4,480,440 | |||||||||
| Total Senior Floating-Rate Interests | ||||||||||
| (identified cost $56,509,316) | $ | 56,089,688 | ||||||||
See Notes to Financial Statements.
17
High Income Opportunities Portfolio
April 30, 2011
Portfolio of Investments (Unaudited) — continued
| Corporate Bonds & Notes — 80.7% | ||||||||||
| Principal | ||||||||||
| Amount | ||||||||||
| Security | (000s omitted) | Value | ||||||||
| Aerospace — 0.3% | ||||||||||
| Alliant Techsystems, Inc., 6.875%, 9/15/20 | $ | 690 | $ | 727,950 | ||||||
Huntington Ingalls Industries, Inc., 6.875%, 3/15/18(2) | 140 | 148,050 | ||||||||
Huntington Ingalls Industries, Inc., 7.125%, 3/15/21(2) | 1,915 | 2,025,113 | ||||||||
| $ | 2,901,113 | |||||||||
| Aerospace and Defense — 0.7% | ||||||||||
| BE Aerospace, Inc., 6.875%, 10/1/20 | $ | 1,335 | $ | 1,411,763 | ||||||
TransDigm, Inc., Sr. Sub. Notes, 7.75%, 12/15/18(2) | 4,365 | 4,725,112 | ||||||||
| $ | 6,136,875 | |||||||||
| Air Transportation — 0.4% | ||||||||||
American Airlines, Inc., Sr. Notes, 7.50%, 3/15/16(2) | $ | 3,080 | $ | 3,041,500 | ||||||
| Continental Airlines, 7.033%, 12/15/12 | 648 | 649,680 | ||||||||
United Air Lines, Inc., Sr. Notes, 9.875%, 8/1/13(2) | 252 | 268,065 | ||||||||
| $ | 3,959,245 | |||||||||
| Automotive — 0.7% | ||||||||||
Pinafore, LLC/Pinafore, Inc., Sr. Notes, 9.00%, 10/1/18(2) | $ | 5,625 | $ | 6,173,437 | ||||||
| $ | 6,173,437 | |||||||||
| Automotive & Auto Parts — 4.1% | ||||||||||
| Accuride Corp., Sr. Notes, 9.50%, 8/1/18 | $ | 1,340 | $ | 1,500,800 | ||||||
Affinia Group, Inc., Sr. Notes, 10.75%, 8/15/16(2) | 1,274 | 1,452,360 | ||||||||
Allison Transmission, Inc., 7.125%, 5/15/19(2) | 2,135 | 2,172,362 | ||||||||
Allison Transmission, Inc., (PIK), 11.25%, 11/1/15(2) | 5,436 | 6,032,972 | ||||||||
American Axle & Manufacturing Holdings, Inc., Sr. Notes, 9.25%, 1/15/17(2) | 3,840 | 4,310,400 | ||||||||
Commercial Vehicle Group, Inc., Sr. Notes, 7.875%, 4/15/19(2) | 1,095 | 1,125,113 | ||||||||
| Ford Motor Credit Co., LLC, Sr. Notes, 5.75%, 2/1/21 | 2,390 | 2,448,409 | ||||||||
| Ford Motor Credit Co., LLC, Sr. Notes, 8.00%, 12/15/16 | 4,120 | 4,796,805 | ||||||||
| Ford Motor Credit Co., LLC, Sr. Notes, 8.125%, 1/15/20 | 1,380 | 1,642,851 | ||||||||
| Ford Motor Credit Co., LLC, Sr. Notes, 12.00%, 5/15/15 | 1,305 | 1,667,362 | ||||||||
| Goodyear Tire & Rubber Co. (The), Sr. Notes, 10.50%, 5/15/16 | 884 | 1,005,550 | ||||||||
| Lear Corp., 7.875%, 3/15/18 | 545 | 600,863 | ||||||||
| Meritor, Inc., 8.125%, 9/15/15 | 30 | 31,800 | ||||||||
| Meritor, Inc., 10.625%, 3/15/18 | 1,235 | 1,404,813 | ||||||||
| Navistar International Corp., 8.25%, 11/1/21 | 3,080 | 3,449,600 | ||||||||
Pittsburgh Glass Works, LLC, Sr. Notes, 8.50%, 4/15/16(2) | 960 | 1,008,000 | ||||||||
Tower Automotive Holdings USA, LLC/TA Holding Finance, Inc., Sr. Notes, 10.625%, 9/1/17(2) | 2,706 | 3,040,867 | ||||||||
Visteon Corp., Sr. Notes, 6.75%, 4/15/19(2) | 685 | 681,575 | ||||||||
| $ | 38,372,502 | |||||||||
| Banks and Thrifts — 1.4% | ||||||||||
| Ally Financial, Inc., 8.00%, 11/1/31 | $ | 3,955 | $ | 4,479,037 | ||||||
| Ally Financial, Inc., 8.30%, 2/12/15 | 5,560 | 6,268,900 | ||||||||
| General Motors Acceptance Corp., 8.00%, 12/31/18 | 2,280 | 2,530,800 | ||||||||
| $ | 13,278,737 | |||||||||
| Broadcasting — 1.3% | ||||||||||
Citadel Broadcasting Corp., 7.75%, 12/15/18(2) | $ | 1,550 | $ | 1,685,625 | ||||||
| Clear Channel Communications, Inc., Sr. Notes, 4.40%, 5/15/11 | 1,800 | 1,804,500 | ||||||||
| Clear Channel Worldwide Holdings, Inc., 9.25%, 12/15/17 | 1,515 | 1,693,013 | ||||||||
Cumulus Media, Inc., Sr. Notes, 7.75%, 5/1/19(2) | 1,370 | 1,370,000 | ||||||||
Rainbow National Services, LLC, Sr. Sub. Notes, 10.375%, 9/1/14(2) | 1,675 | 1,746,187 | ||||||||
XM Satellite Radio Holdings, Inc., 13.00%, 8/1/14(2) | 3,575 | 4,263,187 | ||||||||
| $ | 12,562,512 | |||||||||
| Building Materials — 0.4% | ||||||||||
Building Materials Corp. of America, Sr. Notes, 6.75%, 5/1/21(2) | $ | 2,745 | $ | 2,789,607 | ||||||
| Interface, Inc., Sr. Notes, 7.625%, 12/1/18 | 1,265 | 1,361,456 | ||||||||
| $ | 4,151,063 | |||||||||
| Cable / Satellite TV — 0.6% | ||||||||||
Bresnan Broadband Holdings, LLC, 8.00%, 12/15/18(2) | $ | 415 | $ | 443,012 | ||||||
| Cablevision Systems Corp., Sr. Notes, 7.75%, 4/15/18 | 790 | 865,050 | ||||||||
| Cablevision Systems Corp., Sr. Notes, 8.625%, 9/15/17 | 685 | 770,625 | ||||||||
| CCO Holdings, LLC/CCO Capital Corp., 8.125%, 4/30/20 | 125 | 139,688 | ||||||||
| Mediacom Broadband Corp., Sr. Notes, 8.50%, 10/15/15 | 3,015 | 3,150,675 | ||||||||
| Mediacom, LLC/Mediacom Capital Corp., Sr. Notes, 9.125%, 8/15/19 | 450 | 490,500 | ||||||||
| $ | 5,859,550 | |||||||||
See Notes to Financial Statements.
18
High Income Opportunities Portfolio
April 30, 2011
Portfolio of Investments (Unaudited) — continued
| Principal | ||||||||||
| Amount | ||||||||||
| Security | (000s omitted) | Value | ||||||||
| Capital Goods — 1.7% | ||||||||||
| American Railcar Industry, Sr. Notes, 7.50%, 3/1/14 | $ | 1,620 | $ | 1,672,650 | ||||||
Amsted Industries, Inc., Sr. Notes, 8.125%, 3/15/18(2) | 2,890 | 3,106,750 | ||||||||
| Chart Industries, Inc., Sr. Sub. Notes, 9.125%, 10/15/15 | 2,370 | 2,491,462 | ||||||||
Griffon Corp., 7.125%, 4/1/18(2) | 2,055 | 2,139,769 | ||||||||
| Manitowoc Co., Inc. (The), 8.50%, 11/1/20 | 985 | 1,083,500 | ||||||||
| Manitowoc Co., Inc. (The), 9.50%, 2/15/18 | 740 | 832,500 | ||||||||
| RBS Global & Rexnord Corp., 11.75%, 8/1/16 | 1,870 | 2,014,925 | ||||||||
| Terex Corp., Sr. Notes, 10.875%, 6/1/16 | 2,555 | 3,002,125 | ||||||||
| $ | 16,343,681 | |||||||||
| Chemicals — 3.0% | ||||||||||
| Celanese US Holdings, LLC, 6.625%, 10/15/18 | $ | 805 | $ | 851,287 | ||||||
| CF Industries, Inc., Sr. Notes, 6.875%, 5/1/18 | 2,740 | 3,099,625 | ||||||||
| CF Industries, Inc., Sr. Notes, 7.125%, 5/1/20 | 2,040 | 2,340,900 | ||||||||
Chemtura Corp., 7.875%, 9/1/18(2) | 1,855 | 1,994,125 | ||||||||
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, Sr. Notes, 9.00%, 11/15/20(2) | 935 | 1,012,137 | ||||||||
INEOS Finance PLC, Sr. Notes, 9.00%, 5/15/15(2) | 2,475 | 2,722,500 | ||||||||
INEOS Group Holdings PLC, Sr. Sub. Notes, 8.50%, 2/15/16(2) | 4,115 | 4,279,600 | ||||||||
| Koppers, Inc., 7.875%, 12/1/19 | 315 | 344,925 | ||||||||
Kraton Polymers LLC, Sr. Notes, 6.75%, 3/1/19(2) | 675 | 690,188 | ||||||||
| Lyondell Chemical Co., Sr. Notes, 11.00%, 5/1/18 | 2,655 | 3,013,425 | ||||||||
Momentive Performance Materials, Inc., 9.00%, 1/15/21(2) | 260 | 280,800 | ||||||||
| Nova Chemicals Corp., Sr. Notes, 8.375%, 11/1/16 | 1,610 | 1,827,350 | ||||||||
Polymer Group, Inc., Sr. Notes, 7.75%, 2/1/19(2) | 1,870 | 1,954,150 | ||||||||
| PolyOne Corp., Sr. Notes, 7.375%, 9/15/20 | 535 | 572,116 | ||||||||
Polypore International, Inc., 7.50%, 11/15/17(2) | 660 | 702,488 | ||||||||
| Solutia, Inc., 8.75%, 11/1/17 | 1,420 | 1,577,975 | ||||||||
Vertellus Specialties, Inc., Sr. Notes, 9.375%, 10/1/15(2) | 1,085 | 1,144,675 | ||||||||
| $ | 28,408,266 | |||||||||
| Consumer Products — 2.0% | ||||||||||
| ACCO Brands Corp., Sr. Notes, 10.625%, 3/15/15 | $ | 1,920 | $ | 2,174,400 | ||||||
| Amscan Holdings, Inc., Sr. Sub. Notes, 8.75%, 5/1/14 | 7,760 | 7,905,500 | ||||||||
| Revlon Consumer Products Corp., 9.75%, 11/15/15 | 3,560 | 3,898,200 | ||||||||
| Scotts Miracle-Gro Co. (The), 7.25%, 1/15/18 | 550 | 589,875 | ||||||||
Sealy Mattress Co., Sr. Notes, 10.875%, 4/15/16(2) | 885 | 995,625 | ||||||||
| Spectrum Brands Holdings, Inc., (PIK), 12.00%, 8/28/19 | 3,060 | 3,442,500 | ||||||||
| $ | 19,006,100 | |||||||||
| Containers — 2.4% | ||||||||||
Ardagh Packaging Finance PLC, 9.125%, 10/15/20(2) | $ | 1,100 | $ | 1,221,000 | ||||||
Ardagh Packaging Finance PLC, Sr. Notes, 7.375%, 10/15/17(2) | 785 | 846,819 | ||||||||
| BWAY Holding Co., 10.00%, 6/15/18 | 550 | 606,375 | ||||||||
| Intertape Polymer US, Inc., Sr. Sub. Notes, 8.50%, 8/1/14 | 3,855 | 3,599,606 | ||||||||
Reynolds Group Holdings, Inc., Sr. Notes, 6.875%, 2/15/21(2) | 3,905 | 4,046,556 | ||||||||
Reynolds Group Holdings, Inc., Sr. Notes, 7.125%, 4/15/19(2) | 1,350 | 1,414,125 | ||||||||
Reynolds Group Holdings, Inc., Sr. Notes, 8.25%, 2/15/21(2) | 3,175 | 3,242,469 | ||||||||
Reynolds Group Holdings, Inc., Sr. Notes, 8.50%, 5/15/18(2) | 2,705 | 2,799,675 | ||||||||
Reynolds Group Holdings, Inc., Sr. Notes, 9.00%, 4/15/19(2) | 4,585 | 4,854,369 | ||||||||
| $ | 22,630,994 | |||||||||
| Diversified Financial Services — 1.8% | ||||||||||
AWAS Aviation Capital, Ltd., Sr. Notes, 7.00%, 10/15/16(2) | $ | 2,213 | $ | 2,268,735 | ||||||
CIT Group, Inc., Sr. Notes, 5.25%, 4/1/14(2) | 2,605 | 2,669,807 | ||||||||
| CIT Group, Inc., Sr. Notes, 7.00%, 5/1/14 | 1,450 | 1,480,812 | ||||||||
| CIT Group, Inc., Sr. Notes, 7.00%, 5/1/17 | 3,470 | 3,506,869 | ||||||||
| E*Trade Financial Corp., Sr. Notes, 7.375%, 9/15/13 | 4,720 | 4,779,000 | ||||||||
| TransUnion LLC/TransUnion Financing Corp., 11.375%, 6/15/18 | 2,040 | 2,366,400 | ||||||||
| $ | 17,071,623 | |||||||||
| Diversified Media — 3.6% | ||||||||||
Catalina Marketing Corp., (PIK), 10.50%, 10/1/15(2) | $ | 14,135 | $ | 15,301,137 | ||||||
Catalina Marketing Corp., 11.625%, 10/1/17(2) | 3,090 | 3,522,600 | ||||||||
Checkout Holding Corp., Sr. Notes, 0.00%, 11/15/15(2) | 3,860 | 2,547,600 | ||||||||
inVentiv Health, Inc., Sr. Notes, 10.00%, 8/15/18(2) | 935 | 998,113 | ||||||||
LBI Media, Inc., Sr. Notes, 9.25%, 4/15/19(2) | 1,860 | 1,906,500 | ||||||||
| LBI Media, Inc., Sr. Disc. Notes, 11.00%, 10/15/13 | 1,080 | 1,071,900 | ||||||||
| MDC Partners, Inc., 11.00%, 11/1/16 | 2,200 | 2,475,000 | ||||||||
MDC Partners, Inc., 11.00%, 11/1/16(2) | 1,435 | 1,600,025 | ||||||||
| Nielsen Finance, LLC, 11.50%, 5/1/16 | 1,216 | 1,444,000 | ||||||||
| Nielsen Finance, LLC, Sr. Notes, 11.625%, 2/1/14 | 143 | 169,455 | ||||||||
| WMG Acquisition Corp., Sr. Notes, 9.50%, 6/15/16 | 2,990 | 3,199,300 | ||||||||
| $ | 34,235,630 | |||||||||
See Notes to Financial Statements.
19
High Income Opportunities Portfolio
April 30, 2011
Portfolio of Investments (Unaudited) — continued
| Principal | ||||||||||
| Amount | ||||||||||
| Security | (000s omitted) | Value | ||||||||
| Energy — 8.0% | ||||||||||
| Anadarko Petroleum Corp., Sr. Notes, 6.375%, 9/15/17 | $ | 3,315 | $ | 3,751,111 | ||||||
| ATP Oil & Gas Corp., Sr. Notes, 11.875%, 5/1/15 | 5,865 | 6,128,925 | ||||||||
Basic Energy Services, Inc., 7.75%, 2/15/19(2) | 405 | 426,263 | ||||||||
| Berry Petroleum Co., Sr. Notes, 10.25%, 6/1/14 | 1,905 | 2,224,087 | ||||||||
| Bill Barrett Corp., 9.875%, 7/15/16 | 385 | 439,863 | ||||||||
Calfrac Holdings, LP, Sr. Notes, 7.50%, 12/1/20(2) | 825 | 866,250 | ||||||||
Carrizo Oil & Gas, Inc., 8.625%, 10/15/18(2) | 4,275 | 4,584,937 | ||||||||
CHC Helicopter SA, Sr. Notes, 9.25%, 10/15/20(2) | 6,695 | 6,594,575 | ||||||||
Chesapeake Midstream Partners, LP/Chesapeake Midstream Partners Finance Corp., 5.875%, 4/15/21(2) | 1,385 | 1,400,581 | ||||||||
Coffeyville Resources, LLC/Coffeyville Finance, Inc., Sr. Notes, 9.00%, 4/1/15(2) | 2,286 | 2,503,170 | ||||||||
| Compton Petroleum Finance Corp., 10.00%, 9/15/17 | 1,025 | 769,035 | ||||||||
| Concho Resources, Inc., Sr. Notes, 7.00%, 1/15/21 | 1,585 | 1,676,138 | ||||||||
| Continental Resources, Inc., 7.125%, 4/1/21 | 670 | 715,225 | ||||||||
| Continental Resources, Inc., 7.375%, 10/1/20 | 280 | 303,100 | ||||||||
| Denbury Resources, Inc., 8.25%, 2/15/20 | 1,639 | 1,835,680 | ||||||||
| Denbury Resources, Inc., Sr. Sub. Notes, 9.75%, 3/1/16 | 3,050 | 3,454,125 | ||||||||
| EXCO Resources, Inc., 7.50%, 9/15/18 | 1,660 | 1,691,125 | ||||||||
| Forbes Energy Services, Sr. Notes, 11.00%, 2/15/15 | 3,780 | 4,044,600 | ||||||||
Frac Tech Services LLC/Frac Tech Finance, Inc., 7.125%, 11/15/18(2) | 1,320 | 1,409,100 | ||||||||
| Frontier Oil Corp., 6.875%, 11/15/18 | 530 | 556,500 | ||||||||
GMX Resources, Inc., 11.375%, 2/15/19(2) | 1,885 | 1,889,713 | ||||||||
Goodrich Petroleum Corp., 8.875%, 3/15/19(2) | 1,635 | 1,659,525 | ||||||||
Harvest Operations Corp., 6.875%, 10/1/17(2) | 800 | 841,000 | ||||||||
| Holly Corp., 9.875%, 6/15/17 | 1,710 | 1,936,575 | ||||||||
Oasis Petroleum, Inc., Sr. Notes, 7.25%, 2/1/19(2) | 640 | 648,000 | ||||||||
| Petroleum Development Corp., Sr. Notes, 12.00%, 2/15/18 | 1,570 | 1,785,875 | ||||||||
Petroplus Finance, Ltd., 6.75%, 5/1/14(2) | 200 | 197,000 | ||||||||
Petroplus Finance, Ltd., 7.00%, 5/1/17(2) | 1,480 | 1,413,400 | ||||||||
Petroplus Finance, Ltd., Sr. Notes, 9.375%, 9/15/19(2) | 2,535 | 2,585,700 | ||||||||
Precision Drilling Corp., 6.625%, 11/15/20(2) | 1,890 | 1,960,875 | ||||||||
| Quicksilver Resources, Inc., Sr. Notes, 11.75%, 1/1/16 | 2,720 | 3,196,000 | ||||||||
| Range Resources Corp., 6.75%, 8/1/20 | 1,580 | 1,698,500 | ||||||||
| Rosetta Resources, Inc., 9.50%, 4/15/18 | 1,015 | 1,131,725 | ||||||||
SESI, LLC, 6.375%, 5/1/19(2) | 2,760 | 2,794,500 | ||||||||
| SESI, LLC, Sr. Notes, 6.875%, 6/1/14 | 700 | 718,375 | ||||||||
SM Energy Co., Sr. Notes, 6.625%, 2/15/19(2) | 670 | 693,450 | ||||||||
| Venoco, Inc., 11.50%, 10/1/17 | 540 | 602,100 | ||||||||
Venoco, Inc., Sr. Notes, 8.875%, 2/15/19(2) | 3,745 | 3,763,725 | ||||||||
| Xinergy Corp., Sr. Notes, 9.25%, 5/15/19 | 290 | 290,000 | ||||||||
| $ | 75,180,428 | |||||||||
| Entertainment / Film — 0.9% | ||||||||||
Live Nation Entertainment, Inc., Sr. Notes, 8.125%, 5/15/18(2) | $ | 590 | $ | 604,750 | ||||||
NAI Entertainment Holdings, LLC, Sr. Notes, 8.25%, 12/15/17(2) | 825 | 895,125 | ||||||||
| Regal Entertainment Group, 9.125%, 8/15/18 | 2,735 | 2,946,963 | ||||||||
| Ticketmaster Entertainment, Inc., 10.75%, 8/1/16 | 3,250 | 3,570,937 | ||||||||
| $ | 8,017,775 | |||||||||
| Environmental — 0.2% | ||||||||||
Casella Waste Systems, Inc., 7.75%, 2/15/19(2) | $ | 405 | $ | 416,138 | ||||||
| Casella Waste Systems, Inc., Sr. Notes, 11.00%, 7/15/14 | 650 | 740,187 | ||||||||
Clean Harbors, Inc., Sr. Notes, 7.625%, 8/15/16(2) | 1,025 | 1,101,875 | ||||||||
| $ | 2,258,200 | |||||||||
| Food / Beverage / Tobacco — 2.2% | ||||||||||
ASG Consolidated, LLC/ASG Finance, Inc., Sr. Notes, 15.00%, 5/15/17(2) | $ | 1,736 | $ | 1,772,279 | ||||||
ASG Consolidated, LLC/ASG Finance, Inc., Sr. Sub. Notes, 10.75%, 5/15/16(2) | 3,140 | 3,406,900 | ||||||||
Blue Merger Sub, Inc., 7.625%, 2/15/19(2) | 4,695 | 4,829,981 | ||||||||
| Dole Foods Co., Sr. Notes, 13.875%, 3/15/14 | 1,680 | 2,053,800 | ||||||||
Michael Foods, Inc., Sr. Notes, 9.75%, 7/15/18(2) | 2,695 | 2,971,238 | ||||||||
| Pinnacle Foods Finance, LLC, 10.625%, 4/1/17 | 425 | 459,000 | ||||||||
| Smithfield Foods, Inc., Sr. Notes, 10.00%, 7/15/14 | 2,140 | 2,546,600 | ||||||||
U.S. Foodservice, Inc., Sr. Notes, 10.25%, 6/30/15(2) | 2,395 | 2,544,688 | ||||||||
| $ | 20,584,486 | |||||||||
| Gaming — 6.8% | ||||||||||
Ameristar Casinos, Inc., Sr. Notes, 7.50%, 4/15/21(2) | $ | 685 | $ | 704,694 | ||||||
Buffalo Thunder Development Authority, 9.375%, 12/15/14(2)(3) | 5,755 | 2,129,350 | ||||||||
CCM Merger, Inc., 8.00%, 8/1/13(2) | 1,480 | 1,483,700 | ||||||||
Chukchansi EDA, Sr. Notes, Variable Rate, 3.943%, 11/15/12(2) | 595 | 478,975 | ||||||||
Eldorado Casino Shreveport, (PIK), 10.00%, 8/1/12(4) | 705 | 676,330 | ||||||||
Fontainebleau Las Vegas Casino, LLC, 11.00%, 6/15/15(2)(3) | 9,480 | 4,930 | ||||||||
| Harrah’s Operating Co., Inc., 5.375%, 12/15/13 | 1,095 | 1,042,987 | ||||||||
| Harrah’s Operating Co., Inc., 5.625%, 6/1/15 | 8,470 | 7,157,150 | ||||||||
| Harrah’s Operating Co., Inc., 10.00%, 12/15/15 | 1,680 | 1,722,000 | ||||||||
Harrah’s Operating Co., Inc., 12.75%, 4/15/18(2) | 5,140 | 5,268,500 | ||||||||
| Harrah’s Operating Co., Inc., Sr. Notes, 10.00%, 12/15/18 | 670 | 632,313 | ||||||||
See Notes to Financial Statements.
20
High Income Opportunities Portfolio
April 30, 2011
Portfolio of Investments (Unaudited) — continued
| Principal | ||||||||||
| Amount | ||||||||||
| Security | (000s omitted) | Value | ||||||||
| Gaming (continued) | ||||||||||
| Harrah’s Operating Co., Inc., Sr. Notes, 11.25%, 6/1/17 | $ | 3,760 | $ | 4,305,200 | ||||||
Inn of the Mountain Gods Resort & Casino, Sr. Notes, (PIK), 1.25%, 11/30/20(2)(4) | 2,440 | 1,113,250 | ||||||||
Inn of the Mountain Gods Resort & Casino, Sr. Notes, 8.75%, 11/30/20(2)(4) | 1,084 | 1,084,000 | ||||||||
Majestic HoldCo, LLC, 12.50%, 10/15/11(2)(3) | 1,620 | 162 | ||||||||
| Mandalay Resort Group, 6.375%, 12/15/11 | 2,850 | 2,907,000 | ||||||||
| Mandalay Resort Group, 7.625%, 7/15/13 | 855 | 863,550 | ||||||||
| MCE Finance, Ltd., Sr. Notes, 10.25%, 5/15/18 | 2,100 | 2,464,875 | ||||||||
| MGM Resorts International, 6.75%, 4/1/13 | 2,985 | 3,052,162 | ||||||||
| MGM Resorts International, Sr. Notes, 9.00%, 3/15/20 | 680 | 761,600 | ||||||||
| MGM Resorts International, Sr. Notes, 10.375%, 5/15/14 | 1,305 | 1,515,431 | ||||||||
| MGM Resorts International, Sr. Notes, 11.125%, 11/15/17 | 1,350 | 1,576,125 | ||||||||
| Mohegan Tribal Gaming Authority, Sr. Sub. Notes, 6.875%, 2/15/15 | 2,930 | 2,094,950 | ||||||||
| Mohegan Tribal Gaming Authority, Sr. Sub. Notes, 7.125%, 8/15/14 | 2,760 | 2,035,500 | ||||||||
| Mohegan Tribal Gaming Authority, Sr. Sub. Notes, 8.00%, 4/1/12 | 2,765 | 2,391,725 | ||||||||
| Mohegan Tribal Gaming Authority, Sr. Sub. Notes, 8.375%, 7/1/11 | 1,000 | 973,541 | ||||||||
Mohegan Tribal Gaming Authority, Sr. Sub. Notes, 11.50%, 11/1/17(2) | 1,620 | 1,678,725 | ||||||||
| Peninsula Gaming, LLC, 8.375%, 8/15/15 | 390 | 419,250 | ||||||||
Peninsula Gaming, LLC, 8.375%, 8/15/15(2) | 805 | 865,375 | ||||||||
Peninsula Gaming, LLC, 10.75%, 8/15/17(2) | 945 | 1,048,950 | ||||||||
| Peninsula Gaming, LLC, 10.75%, 8/15/17 | 1,935 | 2,147,850 | ||||||||
Sugarhouse HSP Gaming Property LP/Sugarhouse HSP Gaming Finance Corp., 8.625%, 4/15/16(2) | 745 | 764,824 | ||||||||
Tunica-Biloxi Gaming Authority, Sr. Notes, 9.00%, 11/15/15(2) | 3,605 | 3,627,531 | ||||||||
Waterford Gaming, LLC, Sr. Notes, 8.625%, 9/15/14(2)(4) | 4,083 | 2,633,292 | ||||||||
| Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp., 7.75%, 8/15/20 | 2,680 | 2,941,300 | ||||||||
| $ | 64,567,097 | |||||||||
| Health Care — 5.3% | ||||||||||
| Accellent, Inc., Sr. Notes, 8.375%, 2/1/17 | $ | 2,840 | $ | 3,056,550 | ||||||
| Alere, Inc., Sr. Notes, 7.875%, 2/1/16 | 1,375 | 1,471,250 | ||||||||
| American Renal Holdings, Sr. Notes, 8.375%, 5/15/18 | 550 | 583,000 | ||||||||
AMGH Merger Sub, Inc., 9.25%, 11/1/18(2) | 1,530 | 1,656,225 | ||||||||
| Biomet, Inc., (PIK), 10.375%, 10/15/17 | 1,435 | 1,601,819 | ||||||||
| Biomet, Inc., 11.625%, 10/15/17 | 8,115 | 9,251,100 | ||||||||
ConvaTec Healthcare E SA, Sr. Notes, 10.50%, 12/15/18(2) | 5,685 | 6,154,012 | ||||||||
DJO Finance, LLC/DJO Finance Corp., 7.75%, 4/15/18(2) | 1,090 | 1,124,063 | ||||||||
| DJO Finance, LLC/DJO Finance Corp., 10.875%, 11/15/14 | 3,785 | 4,139,844 | ||||||||
Endo Pharmaceuticals Holdings, Inc., 7.00%, 12/15/20(2) | 530 | 545,900 | ||||||||
| HCA, Inc., (PIK), 9.625%, 11/15/16 | 515 | 554,269 | ||||||||
| HCA, Inc., Sr. Notes, 9.875%, 2/15/17 | 2,195 | 2,469,375 | ||||||||
Multiplan, Inc., 9.875%, 9/1/18(2) | 2,800 | 3,045,000 | ||||||||
Patheon, Inc., Sr. Notes, 8.625%, 4/15/17(2) | 1,080 | 1,131,300 | ||||||||
Quintiles Transnational Corp., Sr. Notes, (PIK), 9.50%, 12/30/14(2) | 6,210 | 6,380,775 | ||||||||
Res-Care, Inc., Sr. Notes, 10.75%, 1/15/19(2) | 2,375 | 2,594,687 | ||||||||
Rotech Healthcare, Inc., 10.50%, 3/15/18(2) | 1,915 | 1,948,512 | ||||||||
Stewart Enterprises, Inc., 6.50%, 4/15/19(2) | 545 | 551,813 | ||||||||
STHI Holding Corp., 8.00%, 3/15/18(2) | 1,395 | 1,440,337 | ||||||||
| $ | 49,699,831 | |||||||||
| Homebuilders / Real Estate — 1.2% | ||||||||||
| CB Richard Ellis Service, Inc., 6.625%, 10/15/20 | $ | 2,625 | $ | 2,756,250 | ||||||
| CB Richard Ellis Service, Inc., Sr. Sub. Notes, 11.625%, 6/15/17 | 5,470 | 6,495,625 | ||||||||
Tutor Perini Corp., 7.625%, 11/1/18(2) | 1,880 | 1,927,000 | ||||||||
| $ | 11,178,875 | |||||||||
| Insurance — 0.4% | ||||||||||
Alliant Holdings I, Inc., 11.00%, 5/1/15(2) | $ | 2,225 | $ | 2,364,062 | ||||||
HUB International Holdings, Inc., Sr. Notes, 9.00%, 12/15/14(2) | 670 | 700,988 | ||||||||
U.S.I. Holdings Corp., Sr. Notes, Variable Rate, 4.188%, 11/15/14(2) | 785 | 763,413 | ||||||||
| $ | 3,828,463 | |||||||||
| Leisure — 1.4% | ||||||||||
| NCL Corp, Ltd., Sr. Notes, 11.75%, 11/15/16 | $ | 2,070 | $ | 2,437,425 | ||||||
| Royal Caribbean Cruises, Sr. Notes, 6.875%, 12/1/13 | 110 | 118,388 | ||||||||
| Royal Caribbean Cruises, Sr. Notes, 7.00%, 6/15/13 | 1,750 | 1,892,187 | ||||||||
| Royal Caribbean Cruises, Sr. Notes, 7.25%, 6/15/16 | 535 | 573,788 | ||||||||
| Royal Caribbean Cruises, Sr. Notes, 7.25%, 3/15/18 | 1,355 | 1,439,687 | ||||||||
| Universal City Development Partners, Ltd./UCDP Finance, Inc., 8.875%, 11/15/15 | 1,965 | 2,171,325 | ||||||||
See Notes to Financial Statements.
21
High Income Opportunities Portfolio
April 30, 2011
Portfolio of Investments (Unaudited) — continued
| Principal | ||||||||||
| Amount | ||||||||||
| Security | (000s omitted) | Value | ||||||||
| Leisure (continued) | ||||||||||
| Universal City Development Partners, Ltd./UCDP Finance, Inc., 10.875%, 11/15/16 | $ | 3,515 | $ | 4,024,675 | ||||||
Vail Resorts, Inc., Sr. Sub. Notes, 6.50%, 5/1/19(2) | 700 | 717,500 | ||||||||
| $ | 13,374,975 | |||||||||
| Metals / Mining — 3.1% | ||||||||||
| Arch Coal, Inc., 7.25%, 10/1/20 | $ | 925 | $ | 1,002,469 | ||||||
| Arch Coal, Inc., Sr. Notes, 8.75%, 8/1/16 | 765 | 860,625 | ||||||||
CII Carbon, LLC, 11.125%, 11/15/15(2) | 1,755 | 1,842,750 | ||||||||
CII Carbon, LLC, Sr. Notes, 8.00%, 12/1/18(2) | 2,435 | 2,568,925 | ||||||||
| Cloud Peak Energy Resources, LLC/Cloud Peak Energy Finance Corp., 8.50%, 12/15/19 | 1,555 | 1,737,713 | ||||||||
| Consol Energy, Inc., 8.00%, 4/1/17 | 1,630 | 1,809,300 | ||||||||
| Consol Energy, Inc., 8.25%, 4/1/20 | 1,365 | 1,528,800 | ||||||||
FMG Resources PTY, Ltd., Sr. Notes, 7.00%, 11/1/15(2) | 6,650 | 7,049,000 | ||||||||
James River Escrow, Inc., Sr. Notes, 7.875%, 4/1/19(2) | 960 | 1,010,400 | ||||||||
Murray Energy Corp., Sr. Notes, 10.25%, 10/15/15(2) | 3,700 | 3,996,000 | ||||||||
| Novelis, Inc., 8.375%, 12/15/17 | 2,645 | 2,935,950 | ||||||||
| Novelis, Inc., 8.75%, 12/15/20 | 2,645 | 2,969,012 | ||||||||
| $ | 29,310,944 | |||||||||
| Paper — 2.0% | ||||||||||
| Boise Paper Holdings, LLC, 8.00%, 4/1/20 | $ | 545 | $ | 594,050 | ||||||
| Boise Paper Holdings, LLC, 9.00%, 11/1/17 | 2,200 | 2,461,250 | ||||||||
| Domtar Corp., Sr. Notes, 10.75%, 6/1/17 | 2,300 | 2,921,000 | ||||||||
| NewPage Corp., Sr. Notes, 11.375%, 12/31/14 | 2,825 | 2,825,000 | ||||||||
Sappi Papier Holdings GmbH, Sr. Notes, 6.625%, 4/15/21(2) | 2,790 | 2,842,112 | ||||||||
| Verso Paper Holdings, LLC/Verso Paper, Inc., 11.375%, 8/1/16 | 4,915 | 5,259,050 | ||||||||
Verso Paper Holdings, LLC/Verso Paper, Inc., Sr. Notes, 8.75%, 2/1/19(2) | 2,030 | 2,106,125 | ||||||||
| Verso Paper Holdings, LLC/Verso Paper, Inc., Sr. Notes, Variable Rate, 4.054%, 8/1/14 | 245 | 238,875 | ||||||||
| $ | 19,247,462 | |||||||||
| Railroad — 0.2% | ||||||||||
| Kansas City Southern Mexico, Sr. Notes, 7.375%, 6/1/14 | $ | 1,150 | $ | 1,198,875 | ||||||
| Kansas City Southern Mexico, Sr. Notes, 7.625%, 12/1/13 | 650 | 665,275 | ||||||||
| $ | 1,864,150 | |||||||||
| Restaurants — 0.9% | ||||||||||
Dunkin Finance Corp., Sr. Notes, 9.625%, 12/1/18(2) | $ | 4,346 | $ | 4,454,650 | ||||||
| NPC International, Inc., Sr. Sub. Notes, 9.50%, 5/1/14 | 4,230 | 4,341,037 | ||||||||
| $ | 8,795,687 | |||||||||
| Services — 5.0% | ||||||||||
Abengoa Finance SAU, 8.875%, 11/1/17(2) | $ | 4,060 | $ | 4,141,200 | ||||||
Aramark Holdings Corp., Sr. Notes, (PIK), 8.625%, 5/1/16(2) | 1,295 | 1,337,087 | ||||||||
| Avis Budget Car Rental, LLC/Avis Budget Finance, Inc., 9.625%, 3/15/18 | 1,795 | 2,001,425 | ||||||||
| Diversey Holdings, Inc., Sr. Notes, 10.50%, 5/15/20 | 1,328 | 1,553,867 | ||||||||
| Education Management, LLC, Sr. Sub. Notes, 10.25%, 6/1/16 | 998 | 1,044,158 | ||||||||
Hertz Corp., 7.50%, 10/15/18(2) | 20 | 21,100 | ||||||||
| Hertz Corp., 8.875%, 1/1/14 | 141 | 145,230 | ||||||||
Laureate Education, Inc., 10.00%, 8/15/15(2) | 7,020 | 7,423,650 | ||||||||
Laureate Education, Inc., (PIK), 10.25%, 8/15/15(2) | 11,912 | 12,368,786 | ||||||||
Laureate Education, Inc., 11.75%, 8/15/17(2) | 3,930 | 4,342,650 | ||||||||
MediMedia USA, Inc., Sr. Sub. Notes, 11.375%, 11/15/14(2) | 2,575 | 2,230,594 | ||||||||
| Muzak, LLC/Muzak Finance, Sr. Notes, (PIK), 15.00%, 7/31/14 | 1,726 | 1,630,695 | ||||||||
| RSC Equipment Rental, Inc., 10.25%, 11/15/19 | 1,330 | 1,532,825 | ||||||||
RSC Equipment Rental, Inc., Sr. Notes, 10.00%, 7/15/17(2) | 3,290 | 3,783,500 | ||||||||
| Sitel, LLC/Sitel Finance Corp., Sr. Notes, 11.50%, 4/1/18 | 830 | 786,425 | ||||||||
| United Rentals North America, Inc., 10.875%, 6/15/16 | 2,345 | 2,740,719 | ||||||||
| $ | 47,083,911 | |||||||||
| Steel — 0.2% | ||||||||||
JMC Steel Group, Inc., Sr. Notes, 8.25%, 3/15/18(2) | $ | 1,390 | $ | 1,462,975 | ||||||
RathGibson, Inc., Sr. Notes, 11.25%, 2/15/14(3) | 5,225 | 523 | ||||||||
| United States Steel Corp., Sr. Notes, 7.375%, 4/1/20 | 680 | 720,800 | ||||||||
| $ | 2,184,298 | |||||||||
| Super Retail — 4.5% | ||||||||||
| Express, LLC/Express Finance Corp., 8.75%, 3/1/18 | $ | 5,655 | $ | 6,213,431 | ||||||
| Limited Brands, Inc., 6.625%, 4/1/21 | 4,720 | 4,908,800 | ||||||||
| Limited Brands, Inc., 8.50%, 6/15/19 | 3,620 | 4,190,150 | ||||||||
| Neiman Marcus Group, Inc., (PIK), 9.00%, 10/15/15 | 4,284 | 4,508,781 | ||||||||
PETCO Animal Supplies, Inc., 9.25%, 12/1/18(2) | 3,215 | 3,488,275 | ||||||||
RadioShack Corp., 6.75%, 5/15/19(2) | 820 | 823,715 | ||||||||
| Sally Holdings, LLC, Sr. Notes, 10.50%, 11/15/16 | 8,905 | 9,739,844 | ||||||||
See Notes to Financial Statements.
22
High Income Opportunities Portfolio
April 30, 2011
Portfolio of Investments (Unaudited) — continued
| Principal | ||||||||||
| Amount | ||||||||||
| Security | (000s omitted) | Value | ||||||||
| Super Retail (continued) | ||||||||||
| Toys “R” Us, 10.75%, 7/15/17 | $ | 5,500 | $ | 6,263,125 | ||||||
Toys “R” Us, Sr. Notes, 7.375%, 9/1/16(2) | 1,760 | 1,852,400 | ||||||||
| $ | 41,988,521 | |||||||||
| Technology — 2.7% | ||||||||||
| Advanced Micro Devices, Inc., 8.125%, 12/15/17 | $ | 1,005 | $ | 1,067,812 | ||||||
| Advanced Micro Devices, Inc., Sr. Notes, 7.75%, 8/1/20 | 1,330 | 1,393,175 | ||||||||
Avaya, Inc., Sr. Notes, 7.00%, 4/1/19(2) | 1,805 | 1,795,975 | ||||||||
| Avaya, Inc., Sr. Notes, 9.75%, 11/1/15 | 2,460 | 2,552,250 | ||||||||
| Avaya, Inc., Sr. Notes, (PIK), 10.125%, 11/1/15 | 1,385 | 1,440,400 | ||||||||
| Brocade Communications Systems, Inc., Sr. Notes, 6.625%, 1/15/18 | 680 | 724,200 | ||||||||
| Brocade Communications Systems, Inc., Sr. Notes, 6.875%, 1/15/20 | 855 | 934,088 | ||||||||
CommScope, Inc., Sr. Notes, 8.25%, 1/15/19(2) | 2,460 | 2,601,450 | ||||||||
| First Data Corp., (PIK), 10.55%, 9/24/15 | 2,106 | 2,192,268 | ||||||||
MedAssets, Inc., 8.00%, 11/15/18(2) | 660 | 681,450 | ||||||||
| SSI Investments II, Sr. Notes, 11.125%, 6/1/18 | 3,020 | 3,405,050 | ||||||||
| SunGard Data Systems, Inc., Sr. Notes, 10.625%, 5/15/15 | 6,375 | 7,044,375 | ||||||||
| $ | 25,832,493 | |||||||||
| Telecommunications — 5.9% | ||||||||||
Digicel Group, Ltd., Sr. Notes, 8.25%, 9/1/17(2) | $ | 3,255 | $ | 3,466,575 | ||||||
Digicel Group, Ltd., Sr. Notes, 12.00%, 4/1/14(2) | 1,940 | 2,284,350 | ||||||||
| Intelsat Bermuda, Ltd., 11.25%, 6/15/16 | 2,825 | 3,015,687 | ||||||||
| Intelsat Jackson Holdings, Ltd., 9.50%, 6/15/16 | 2,413 | 2,551,748 | ||||||||
| Intelsat Luxembourg SA, (PIK), 11.50%, 2/4/17 | 2,831 | 3,113,859 | ||||||||
Intelsat Luxembourg SA, 11.50%, 2/4/17(2) | 2,770 | 3,047,000 | ||||||||
| Intelsat SA, Sr. Notes, 6.50%, 11/1/13 | 670 | 713,550 | ||||||||
| Nextel Communications, Inc., Series E, 6.875%, 10/31/13 | 815 | 827,225 | ||||||||
| NII Capital Corp., 8.875%, 12/15/19 | 3,235 | 3,590,850 | ||||||||
| NII Capital Corp., 10.00%, 8/15/16 | 2,740 | 3,157,850 | ||||||||
| SBA Telecommunications, Inc., 8.00%, 8/15/16 | 1,145 | 1,246,619 | ||||||||
| SBA Telecommunications, Inc., 8.25%, 8/15/19 | 765 | 848,194 | ||||||||
| Sprint Capital Corp., 6.90%, 5/1/19 | 5,080 | 5,359,400 | ||||||||
| Telesat Canada/Telesat, LLC, Sr. Notes, 11.00%, 11/1/15 | 8,040 | 8,984,700 | ||||||||
| Telesat Canada/Telesat, LLC, Sr. Sub. Notes, 12.50%, 11/1/17 | 4,060 | 4,851,700 | ||||||||
Wind Acquisition Finance SA, Sr. Notes, (PIK), 12.25%, 7/15/17(2) | 5,081 | 6,104,496 | ||||||||
Windstream Corp., 7.75%, 10/1/21(2) | 2,445 | 2,597,812 | ||||||||
| $ | 55,761,615 | |||||||||
| Textiles / Apparel — 0.7% | ||||||||||
| Oxford Industries, Inc., Sr. Notes, 11.375%, 7/15/15 | $ | 2,990 | $ | 3,378,700 | ||||||
| Phillips-Van Heusen Corp., Sr. Notes, 7.75%, 11/15/23 | 2,780 | 3,058,339 | ||||||||
| $ | 6,437,039 | |||||||||
| Transportation Ex Air / Rail — 1.4% | ||||||||||
CEVA Group PLC, Sr. Notes, 8.375%, 12/1/17(2) | $ | 4,135 | $ | 4,300,400 | ||||||
CEVA Group PLC, Sr. Notes, 11.50%, 4/1/18(2) | 2,815 | 3,085,944 | ||||||||
CEVA Group PLC, Sr. Notes, 11.625%, 10/1/16(2) | 2,065 | 2,294,731 | ||||||||
CMA CGM SA, 8.50%, 4/15/17(2) | 3,685 | 3,648,150 | ||||||||
| $ | 13,329,225 | |||||||||
| Utilities — 3.3% | ||||||||||
Calpine Construction Finance Co., Sr. Notes, 8.00%, 6/1/16(2) | $ | 3,315 | $ | 3,646,500 | ||||||
Calpine Corp., Sr. Notes, 7.50%, 2/15/21(2) | 6,870 | 7,299,375 | ||||||||
| Dynegy Holdings, Inc., Sr. Notes, 7.75%, 6/1/19 | 820 | 643,700 | ||||||||
| Edison Mission Energy, Sr. Notes, 7.50%, 6/15/13 | 2,025 | 2,025,000 | ||||||||
GenOn Energy, Inc., Sr. Notes, 9.875%, 10/15/20(2) | 5,605 | 6,025,375 | ||||||||
| NGC Corp., 7.625%, 10/15/26 | 3,205 | 2,339,650 | ||||||||
| NRG Energy, Inc., 8.25%, 9/1/20 | 3,315 | 3,505,612 | ||||||||
| Reliant Energy, Inc., Sr. Notes, 7.625%, 6/15/14 | 370 | 389,425 | ||||||||
Texas Competitive Electric Holdings Co., LLC, Sr. Notes, 11.50%, 10/1/20(2) | 5,070 | 5,234,775 | ||||||||
| $ | 31,109,412 | |||||||||
| Total Corporate Bonds & Notes | ||||||||||
| (identified cost $729,141,000) | $ | 762,726,215 | ||||||||
| Convertible Bonds — 0.5% | ||||||||||
| Principal | ||||||||||
| Amount | ||||||||||
| Security | (000’s omitted) | Value | ||||||||
| Automotive & Auto Parts — 0.2% | ||||||||||
| Ford Motor Co., 4.25%, 11/15/16 | $ | 1,115 | $ | 2,085,050 | ||||||
| $ | 2,085,050 | |||||||||
| Capital Goods — 0.2% | ||||||||||
Greenbrier Cos., Inc., 3.50%, 4/1/18(2) | $ | 1,810 | $ | 1,868,825 | ||||||
| $ | 1,868,825 | |||||||||
See Notes to Financial Statements.
23
High Income Opportunities Portfolio
April 30, 2011
Portfolio of Investments (Unaudited) — continued
| Principal | ||||||||||
| Amount | ||||||||||
| Security | (000’s omitted) | Value | ||||||||
| Health Care — 0.1% | ||||||||||
| Kendle International, Inc., 3.375%, 7/15/12 | $ | 955 | $ | 917,994 | ||||||
| $ | 917,994 | |||||||||
| Total Convertible Bonds | ||||||||||
| (identified cost $4,697,397) | $ | 4,871,869 | ||||||||
| Common Stocks — 5.0% | ||||||||||
| Security | Shares | Value | ||||||||
| Building Materials — 0.3% | ||||||||||
Panolam Holdings Co.(4)(5)(6) | 3,117 | $ | 3,000,580 | |||||||
| $ | 3,000,580 | |||||||||
| Chemicals — 0.7% | ||||||||||
LyondellBasell Industries NV, Class A(6) | 81,600 | $ | 3,631,200 | |||||||
Rockwood Holdings, Inc.(6) | 50,000 | 2,837,000 | ||||||||
| $ | 6,468,200 | |||||||||
| Consumer Products — 0.0%(7) | ||||||||||
HF Holdings, Inc.(4)(5)(6) | 13,600 | $ | 154,632 | |||||||
| $ | 154,632 | |||||||||
| Energy — 0.6% | ||||||||||
| El Paso Corp. | 225,000 | $ | 4,367,250 | |||||||
| EXCO Resources, Inc. | 50,000 | 1,047,500 | ||||||||
SemGroup Corp.(6) | 16,378 | 459,403 | ||||||||
| $ | 5,874,153 | |||||||||
| Gaming — 0.0%(7) | ||||||||||
Fontainebleau Equity Holdings, Class A(4)(5)(6) | 148,726 | $ | 1,487 | |||||||
Greektown Superholdings, Inc.(6) | 892 | 64,670 | ||||||||
Shreveport Gaming Holdings, Inc.(4) | 4,858 | 87,444 | ||||||||
| $ | 153,601 | |||||||||
| Leisure — 0.4% | ||||||||||
| Carnival Corp. | 100,000 | $ | 3,807,000 | |||||||
| $ | 3,807,000 | |||||||||
| Metals / Mining — 0.1% | ||||||||||
Alpha Natural Resources, Inc.(6) | 20,000 | $ | 1,163,400 | |||||||
| $ | 1,163,400 | |||||||||
| Services — 0.3% | ||||||||||
Geo Group, Inc. (The)(6) | 101,500 | $ | 2,708,020 | |||||||
| $ | 2,708,020 | |||||||||
| Steel — 0.8% | ||||||||||
RathGibson Acquisition Co., LLC(4)(5)(6) | 233,000 | $ | 7,793,850 | |||||||
| $ | 7,793,850 | |||||||||
| Super Retail — 0.8% | ||||||||||
| Express, Inc. | 110,100 | $ | 2,377,059 | |||||||
GNC Holdings, Inc., Class A(6) | 96,898 | 1,845,907 | ||||||||
| Limited Brands, Inc. | 81,600 | 3,358,656 | ||||||||
| $ | 7,581,622 | |||||||||
| Technology — 0.3% | ||||||||||
Amkor Technology, Inc.(6) | 350,000 | $ | 2,345,000 | |||||||
| $ | 2,345,000 | |||||||||
| Telecommunications — 0.7% | ||||||||||
Crown Castle International Corp.(6) | 50,000 | $ | 2,143,000 | |||||||
| Verizon Communications, Inc. | 100,000 | 3,778,000 | ||||||||
| $ | 5,921,000 | |||||||||
| Total Common Stocks | ||||||||||
| (identified cost $37,072,403) | $ | 46,971,058 | ||||||||
| Convertible Preferred Stocks — 1.0% | ||||||||||
| Security | Shares | Value | ||||||||
| Automotive & Auto Parts — 0.7% | ||||||||||
| General Motors Co., 4.75% | 131,495 | $ | 6,549,766 | |||||||
| $ | 6,549,766 | |||||||||
| Energy — 0.3% | ||||||||||
| Chesapeake Energy Corp., 4.50% | 22,471 | $ | 2,178,338 | |||||||
| Chesapeake Energy Corp., 5.00% | 6,292 | 651,222 | ||||||||
| $ | 2,829,560 | |||||||||
| Total Convertible Preferred Stocks | ||||||||||
| (identified cost $9,483,150) | $ | 9,379,326 | ||||||||
See Notes to Financial Statements.
24
High Income Opportunities Portfolio
April 30, 2011
Portfolio of Investments (Unaudited) — continued
| Preferred Stocks — 0.8% | ||||||||||
| Security | Shares/Units | Value | ||||||||
| Banks and Thrifts — 0.7% | ||||||||||
| Citigroup Capital XIII, 7.875% | 26,702 | $ | 745,053 | |||||||
| GMAC Capital Trust I | 225,820 | 5,862,287 | ||||||||
| $ | 6,607,340 | |||||||||
| Gaming — 0.0%(7) | ||||||||||
Fontainebleau Resorts LLC, (PIK)(4)(5)(6) | 4,544 | $ | 45 | |||||||
| $ | 45 | |||||||||
| Services — 0.1% | ||||||||||
Muzak Holdings, LLC, Variable Rate, (PIK), 10.00%(5)(6) | 102,000 | $ | 956,261 | |||||||
| $ | 956,261 | |||||||||
| Total Preferred Stocks | ||||||||||
| (identified cost $11,931,642) | $ | 7,563,646 | ||||||||
| Miscellaneous — 0.0%(7) | ||||||||||
| Shares/ | ||||||||||
| Principal | ||||||||||
| Amount | ||||||||||
| Security | (000’s omitted) | Value | ||||||||
| Cable/Satellite TV — 0.0%(7) | ||||||||||
Adelphia, Inc., Escrow Certificate(6) | 7,585,000 | $ | 142,219 | |||||||
Adelphia, Inc., Escrow Certificate(6) | 3,555,000 | 66,656 | ||||||||
Adelphia Recovery Trust(6) | 10,758,837 | 56,484 | ||||||||
| $ | 265,359 | |||||||||
| Gaming — 0.0%(7) | ||||||||||
BLB Worldwide Holdings, Inc., Contingent Value Rights, Expires 11/5/17(5) | 5,410 | $ | 59,510 | |||||||
| $ | 59,510 | |||||||||
| Health Care — 0.0%(7) | ||||||||||
| US Oncology, Inc., Escrow | 705 | $ | 15,863 | |||||||
| $ | 15,863 | |||||||||
| Total Miscellaneous | ||||||||||
| (identified cost $9,891,232) | $ | 340,732 | ||||||||
| Warrants — 0.3% | ||||||||||
| Security | Shares | Value | ||||||||
| Energy — 0.0%(7) | ||||||||||
SemGroup Corp., Expires 11/30/14(6) | 17,240 | $ | 142,230 | |||||||
| $ | 142,230 | |||||||||
| Food / Beverage / Tobacco — 0.0%(7) | ||||||||||
ASG Consolidated, LLC/ASG Finance, Inc., Expires 5/15/18(6) | 1,610 | $ | 233,450 | |||||||
| $ | 233,450 | |||||||||
| Gaming — 0.3% | ||||||||||
Peninsula Gaming LLC, Convertible Preferred Membership Interests(4)(5)(6) | 25,351 | $ | 2,148,261 | |||||||
| $ | 2,148,261 | |||||||||
| Publishing / Printing — 0.0% | ||||||||||
Reader’s Digest Association, Inc. (The), Expires 2/14/19(4)(5)(6) | 17,588 | $ | 0 | |||||||
| $ | 0 | |||||||||
| Total Warrants | ||||||||||
| (identified cost $172) | $ | 2,523,941 | ||||||||
| Short-Term Investments — 4.5% | ||||||||||
| Repurchase Agreements — 0.6% | ||||||||||
| Principal | ||||||||||
| Amount | ||||||||||
| Description | (000’s omitted) | Value | ||||||||
Morgan Stanley: Dated 1/26/11, with an interest rate of 1.00% payable by the Portfolio collateralized by $5,000,000 Marina District Finance Co., Inc. 9.875%, due 8/15/18 and a market value, including accrued interest, of $5,491,736(8) | $ | 5,800 | $ | 5,800,000 | ||||||
| Total Repurchase Agreements | ||||||||||
| (identified cost $5,800,000) | $ | 5,800,000 | ||||||||
See Notes to Financial Statements.
25
High Income Opportunities Portfolio
April 30, 2011
Portfolio of Investments (Unaudited) — continued
| Other Securities — 3.9% | ||||||||||
| Interest | ||||||||||
| Description | (000’s Omitted) | Value | ||||||||
Eaton Vance Cash Reserves Fund, LLC, 0.16%(9) | $ | 36,591 | $ | 36,590,590 | ||||||
| Total Other Securities | ||||||||||
| (identified cost $36,590,590) | $ | 36,590,590 | ||||||||
| Total Short-Term Investments | ||||||||||
| (identified cost $42,390,590) | $ | 42,390,590 | ||||||||
| Total Investments — 98.7% | ||||||||||
| (identified cost $901,116,902) | $ | 932,857,065 | ||||||||
| Other Assets, Less Liabilities — 1.3% | $ | 12,620,849 | ||||||||
| Net Assets — 100.0% | $ | 945,477,914 | ||||||||
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
| 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 lending 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) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At April 30, 2011, the aggregate value of these securities is $358,600,541 or 37.9% of the Portfolio’s net assets. | |
| (3) | Currently the issuer is in default with respect to interest and/or principal payments. For a variable rate security, interest rate has been adjusted to reflect non-accrual status. | |
| (4) | Security valued at fair value using methods determined in good faith by or at the direction of the Trustees. | |
| (5) | Restricted security (see Note 5). | |
| (6) | Non-income producing security. | |
| (7) | Amount is less than 0.05%. | |
| (8) | Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. | |
| (9) | 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 April 30, 2011. |
| Securities Sold Short | ||||||||||
| Principal | ||||||||||
| Amount | ||||||||||
| Security | (000’s omitted) | Value | ||||||||
| Corporate Bonds & Notes | ||||||||||
| Marina District Finance Co., Inc., 9.875%, 8/15/18 | $ | (5,000 | ) | $ | (5,387,500 | ) | ||||
| Total Securities Sold Short | ||||||||||
| (proceeds $5,057,786) | $ | (5,387,500 | ) | |||||||
See Notes to Financial Statements.
26
High Income Opportunities Portfolio
April 30, 2011
Statement of Assets and Liabilities (Unaudited)
| Assets | April 30, 2011 | |||||
| Unaffiliated investments, at value (identified cost, $864,526,312) | $ | 896,266,475 | ||||
| Affiliated investment, at value (identified cost, $36,590,590) | 36,590,590 | |||||
| Cash | 46,278 | |||||
| Interest and dividends receivable | 18,238,463 | |||||
| Interest receivable from affiliated investment | 5,333 | |||||
| Receivable for investments sold | 14,705,592 | |||||
| Receivable for open swap contracts | 791,095 | |||||
Total assets | $ | 966,643,826 | ||||
| Liabilities | ||||||
| Payable for investments purchased | $ | 14,671,451 | ||||
| Premium received on open swap contracts | 437,108 | |||||
| Payable for securities sold short, at value (proceeds, $5,057,786) | 5,387,500 | |||||
| Payable to affiliates: | ||||||
| Investment adviser fee | 405,547 | |||||
| Trustees’ fees | 2,388 | |||||
| Interest payable for securities sold short | 104,236 | |||||
| Accrued expenses | 157,682 | |||||
Total liabilities | $ | 21,165,912 | ||||
Net Assets applicable to investors’ interest in Portfolio | $ | 945,477,914 | ||||
| Sources of Net Assets | ||||||
| Net proceeds from capital contributions and withdrawals | $ | 913,276,370 | ||||
| Net unrealized appreciation | 32,201,544 | |||||
Total | $ | 945,477,914 | ||||
See Notes to Financial Statements.
27
High Income Opportunities Portfolio
April 30, 2011
Statement of Operations (Unaudited)
| Six Months Ended | ||||||
| Investment Income | April 30, 2011 | |||||
| Interest and other income | $ | 36,834,202 | ||||
| Dividends | 496,018 | |||||
| Interest allocated from affiliated investment | 16,149 | |||||
| Expenses allocated from affiliated investment | (891 | ) | ||||
Total investment income | $ | 37,345,478 | ||||
| Expenses | ||||||
| Investment adviser fee | $ | 2,393,971 | ||||
| Trustees’ fees and expenses | 14,364 | |||||
| Custodian fee | 127,244 | |||||
| Legal and accounting services | 49,075 | |||||
| Interest expense on securities sold short | 130,295 | |||||
| Miscellaneous | 31,692 | |||||
Total expenses | $ | 2,746,641 | ||||
| Deduct — | ||||||
| Reduction of custodian fee | $ | 499 | ||||
Total expense reductions | $ | 499 | ||||
Net expenses | $ | 2,746,142 | ||||
Net investment income | $ | 34,599,336 | ||||
| Realized and Unrealized Gain (Loss) | ||||||
| Net realized gain (loss) — | ||||||
| Investment transactions | $ | (485,991 | ) | |||
| Investment transactions allocated from affiliated investment | 291 | |||||
| Swap contracts | (979,776 | ) | ||||
Net realized loss | $ | (1,465,476 | ) | |||
| Change in unrealized appreciation (depreciation) — | ||||||
| Investments | $ | 30,917,951 | ||||
| Securities sold short | (329,714 | ) | ||||
| Swap contracts | 157,902 | |||||
Net change in unrealized appreciation (depreciation) | $ | 30,746,139 | ||||
Net realized and unrealized gain | $ | 29,280,663 | ||||
Net increase in net assets from operations | $ | 63,879,999 | ||||
See Notes to Financial Statements.
28
High Income Opportunities Portfolio
April 30, 2011
Statements of Changes in Net Assets
| Six Months Ended | ||||||||||
| April 30, 2011 | Year Ended | |||||||||
| Increase (Decrease) in Net Assets | (Unaudited) | October 31, 2010 | ||||||||
| From operations — | ||||||||||
| Net investment income | $ | 34,599,336 | $ | 68,174,020 | ||||||
| Net realized gain (loss) from investment transactions and swap contracts | (1,465,476 | ) | 19,512,393 | |||||||
| Net change in unrealized appreciation (depreciation) from investments, securities sold short and swap contracts | 30,746,139 | 53,571,187 | ||||||||
Net increase in net assets from operations | $ | 63,879,999 | $ | 141,257,600 | ||||||
| Capital transactions — | ||||||||||
| Contributions | $ | 129,723,324 | $ | 104,640,446 | ||||||
| Withdrawals | (100,284,688 | ) | (104,594,857 | ) | ||||||
Net increase in net assets from capital transactions | $ | 29,438,636 | $ | 45,589 | ||||||
Net increase in net assets | $ | 93,318,635 | $ | 141,303,189 | ||||||
| Net Assets | ||||||||||
| At beginning of period | $ | 852,159,279 | $ | 710,856,090 | ||||||
At end of period | $ | 945,477,914 | $ | 852,159,279 | ||||||
See Notes to Financial Statements.
29
High Income Opportunities Portfolio
April 30, 2011
Supplementary Data
| Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||
| April 30, 2011 | ||||||||||||||||||||||||||
| Ratios/Supplemental Data | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||||
| Ratios (as a percentage of average daily net assets): | ||||||||||||||||||||||||||
Expenses(1) | 0.62 | %(2) | 0.64 | % | 0.79 | % | 0.70 | % | 0.63 | % | 0.59 | % | ||||||||||||||
| Net investment income | 7.85 | %(2) | 8.65 | % | 11.34 | % | 9.38 | % | 8.33 | % | 8.13 | % | ||||||||||||||
| Portfolio Turnover | 43 | %(3) | 79 | % | 72 | % | 48 | % | 81 | % | 62 | % | ||||||||||||||
Total Return | 7.51 | %(3) | 19.52 | % | 38.97 | % | (29.08 | )% | 6.54 | % | 11.66 | % | ||||||||||||||
Net assets, end of period (000’s omitted) | $ | 945,478 | $ | 852,159 | $ | 710,856 | $ | 480,061 | $ | 872,268 | $ | 1,087,324 | ||||||||||||||
| (1) | Excludes the effect of custody fee credits, if any, of less than 0.005%. | |
| (2) | Annualized. | |
| (3) | Not annualized. |
See Notes to Financial Statements.
30
High Income Opportunities Portfolio
April 30, 2011
Notes to Financial Statements (Unaudited)
1 Significant Accounting Policies
High Income Opportunities Portfolio (the Portfolio) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a diversified, open-end management investment company. The Portfolio’s investment objective is to provide a high level of current income. The Portfolio also seeks growth of capital as a secondary investment objective. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. At April 30, 2011, Eaton Vance High Income Opportunities Fund, Eaton Vance Floating-Rate & High Income Fund, Eaton Vance Strategic Income Fund and Eaton Vance International (Cayman Islands) Strategic Income Fund held an interest of 54.8%, 23.6%, 17.2% and 2.7%, respectively, in the Portfolio.
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 Valuation — Debt obligations (including short-term obligations with a remaining maturity of more than sixty days) are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker/dealer quotations, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. Short-term debt securities purchased with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates market value. Interests in senior floating-rate loans (Senior Loans) for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service. Other Senior Loans are valued at fair value by the investment adviser under procedures approved by the Trustees. In fair valuing a Senior Loan, the investment adviser utilizes one or more of the valuation techniques described in (i) through (iii) below to assess the likelihood that the borrower will make a full repayment of the loan underlying such Senior Loan relative to yields on other Senior Loans issued by companies of comparable credit quality. If the investment adviser believes that there is a reasonable likelihood of full repayment, the investment adviser will determine fair value using a matrix pricing approach that considers the yield on the Senior Loan. If the investment adviser believes there is not a reasonable likelihood of full repayment, the investment adviser will determine fair value using analyses that include, but are not limited to: (i) a comparison of the value of the borrower’s outstanding equity and debt to that of comparable public companies; (ii) a discounted cash flow analysis; or (iii) when the investment adviser believes it is likely that a borrower will be liquidated or sold, an analysis of the terms of such liquidation or sale. In certain cases, the investment adviser will use a combination of analytical methods to determine fair value, such as when only a portion of a borrower’s assets are likely to be sold. In conducting its assessment and analyses for purposes of determining fair value of a Senior Loan, the investment adviser will use its discretion and judgment in considering and appraising relevant factors. Fair value determinations are made by the portfolio managers of the Portfolio based on information available to such managers. The portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may not possess the same information about a Senior Loan borrower as the portfolio managers of the Portfolio. At times, the fair value of a Senior Loan determined by the portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may vary from the fair value of the same Senior Loan determined by the portfolio managers of the Portfolio. The fair value of each Senior Loan is periodically reviewed and approved by the investment adviser’s Valuation Committee and by the Trustees based upon procedures approved by the Trustees. Junior Loans (i.e., subordinated loans and second lien loans) are valued in the same manner as Senior Loans. Equity securities (including common shares of closed-end investment companies) listed on a U.S. securities exchange generally are valued at the last sale or closing price on the day of valuation or, if no sales took place on such date, at the mean between the closing bid and asked prices therefore on the exchange where such securities are principally traded. Equity securities listed on the NASDAQ Global or Global Select Market generally are valued at the NASDAQ official closing price. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and asked prices or, in the case of preferred equity securities that are not listed or traded in the over-the-counter market, by a third party pricing service that will use various techniques that consider factors including, but not limited to, prices or yields of securities with similar characteristics, benchmark yields, broker/dealer quotes, quotes of underlying common stock, issuer spreads, as well as industry and economic events. Credit default swaps are normally valued using valuations provided by a third party pricing service. The pricing services employ electronic data processing techniques to determine the present value based on credit spread quotations obtained from broker/dealers and expected default recovery rates determined by the pricing service using proprietary models. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Portfolio in a manner that most fairly reflects the security’s value, or the amount that the Portfolio might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker-dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The Portfolio may invest in Eaton Vance Cash Reserves Fund, LLC (Cash Reserves Fund), an affiliated investment company managed by Eaton Vance Management (EVM). Cash Reserves Fund generally values its investment securities utilizing the amortized cost valuation technique in accordance with Rule 2a-7 under the 1940 Act. This technique involves initially valuing a portfolio security at its cost and thereafter assuming a constant amortization to maturity of any discount or premium. If amortized cost is determined not to approximate fair value, Cash Reserves Fund may value its investment securities in the same manner as debt obligations described above.
31
High Income Opportunities Portfolio
April 30, 2011
Notes to Financial Statements (Unaudited) — continued
B Investment Transactions — Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost.
C Income — Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Fees associated with loan amendments are recognized immediately. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities.
D Federal Taxes — The Portfolio has elected to be treated as a partnership for 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 on its share of taxable income. Since at least one of the Portfolio’s investors is a regulated investment company that invests all or substantially all of its 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 investment income, net realized capital gains and any other items of income, gain, loss, deduction or credit.
As of April 30, 2011, the Portfolio had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. Each of the Portfolio’s federal tax returns filed in the 3-year period ended October 31, 2010 remains subject to examination by the Internal Revenue Service.
E Expense Reduction — State Street Bank and Trust Company (SSBT) serves as custodian of the Portfolio. Pursuant to the custodian agreement, SSBT receives a fee reduced by credits, which are determined based on the average daily cash balance the Portfolio maintains with SSBT. All credit balances, if any, used to reduce the Portfolio’s custodian fees are reported as a reduction of expenses in the Statement of Operations.
F 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 amounts of income and expense during the reporting period. Actual results could differ from those estimates.
G 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. Under Massachusetts law, if certain conditions prevail, interestholders in the Portfolio could be deemed to have personal liability for the obligations of the Portfolio. However, the Portfolio’s Declaration of Trust contains an express disclaimer of liability on the part of Portfolio interestholders and the By-laws provide that the Portfolio shall assume the defense on behalf of any Portfolio interestholder. Moreover, the By-laws also provide for indemnification out of Portfolio property of any interestholder held personally liable solely by reason of being or having been an interestholder for all loss or expense arising from such liability. 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.
H Credit Default Swaps — When the Portfolio is the buyer of a credit default swap contract, the Portfolio is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation (or basket of debt obligations) from the counterparty to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer, on the debt obligation occurs. In return, the Portfolio pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Portfolio would have spent the stream of payments and received no proceeds from the contract. When the Portfolio is the seller of a credit default swap contract, it receives the stream of payments, but is obligated to pay to the buyer of the protection an amount up to the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the Portfolio is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Portfolio could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Portfolio for the same referenced obligation. As the seller, the Portfolio may create economic leverage to its portfolio because, in addition to its total net assets, the Portfolio is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap contract, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The Portfolio also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. Upfront payments or receipts, if any, are recorded as other assets or other liabilities, respectively, and amortized over the life of the swap contract as realized gains or losses. For financial reporting purposes, unamortized upfront payments, if any, are netted with unrealized appreciation or depreciation on swap contracts to determine the market value of swaps as presented in Notes 6 and 9. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, marked to market on a daily basis. These transactions involve certain risks, including the risk that the seller may be unable to fulfill the transaction.
I Repurchase Agreements — A repurchase agreement is the purchase by the Portfolio of securities from a counterparty in exchange for cash that is coupled with an agreement to resell those securities to the counterparty at a specified date and price. When a repurchase agreement is entered, the Portfolio typically receives securities with a value that equals or exceeds the repurchase price, including any accrued interest earned on the agreement. The value of such securities will be marked to market daily, and cash or additional securities will be exchanged between the parties as needed. Except in the case of a repurchase agreement entered to settle a short sale, the value of the securities delivered to the Portfolio will be at least equal to 90% of the repurchase price during the term of the repurchase agreement. The terms of a repurchase agreement entered to settle a short sale may provide that the
32
High Income Opportunities Portfolio
April 30, 2011
Notes to Financial Statements (Unaudited) — continued
cash purchase price paid by the Portfolio is more than the value of purchased securities that effectively collateralize the repurchase price payable by the counterparty. Since in such a transaction the Portfolio normally will have used the purchased securities to settle the short sale, the Portfolio will segregate liquid assets equal to the marked to market value of the purchased securities that it is obligated to return to the counterparty under the repurchase agreement. In the event of the insolvency of the counterparty to a repurchase agreement, recovery of the repurchase price owed to the Portfolio may be delayed. Such an insolvency also may result in a loss to the extent that the value of the purchased securities decreases during the delay or that value has otherwise not been maintained at an amount at least equal to the repurchase price.
J Securities Sold Short — A short sale is a transaction in which the Portfolio sells a security it does not own in anticipation of a decline in the market value of that security. To complete such a transaction, the Portfolio must borrow the security to make delivery to the buyer with an obligation to replace such borrowed security at a later date. Until the security is replaced, the Portfolio is required to repay the lender any interest, which accrues during the period of the loan. The proceeds received from a short sale are recorded as a liability and the Portfolio records an unrealized gain or loss to the extent of the difference between the proceeds received and the value of the open short position on the day of determination. A gain, limited to the price at which the Portfolio sold the security short, or a loss, potentially unlimited as there is no upward limit on the price of a security, is recorded when the short position is terminated. Interest payable on securities sold short is recorded as an expense.
K Interim Financial Statements — The interim financial statements relating to April 30, 2011 and for the six months then ended have not been audited by an independent registered public accounting firm, 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 Boston Management and Research (BMR), a subsidiary of EVM, as compensation for investment advisory services rendered to the Portfolio. The fee is computed at an annual rate of 0.30% of the Portfolio’s average daily net assets up to $500 million, 0.275% from $500 million up to $1 billion and at reduced rates on daily net assets of $1 billion or more; plus 3.00% of the Portfolio’s daily gross income (i.e., income other than gains from the sale of securities) when daily net assets are less than $500 million, 2.75% when daily net assets are $500 million but less than $1 billion, and at reduced rates on daily net assets of $1 billion or more, and is payable monthly. The Portfolio invests its cash in Cash Reserves Fund. EVM does not currently receive a fee for advisory services provided to Cash Reserves Fund. For the six months ended April 30, 2011, the Portfolio’s investment adviser fee amounted to $2,393,971 or 0.54% (annualized) of the Portfolio’s average daily net assets.
Except for Trustees of the Portfolio who are not members of EVM’s or BMR’s organizations, officers and Trustees receive remuneration for their services to the Portfolio out of the investment adviser fee. Trustees of the Portfolio who are not affiliated with the investment adviser may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the six months ended April 30, 2011, no significant amounts have been deferred. Certain officers and Trustees of the Portfolio are officers of the above organizations.
3 Purchases and Sales of Investments
Purchases and sales of investments, other than short-term obligations and short sale transactions and including maturities, paydowns and principal repayments on Senior Loans, aggregated $406,166,421 and $364,587,278, respectively, for the six months ended April 30, 2011.
4 Federal Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) of investments of the Portfolio at April 30, 2011, as determined on a federal income tax basis, were as follows:
Aggregate cost | $ | 905,331,362 | ||||
| Gross unrealized appreciation | $ | 71,743,865 | ||||
| Gross unrealized depreciation | (44,218,162 | ) | ||||
Net unrealized appreciation | $ | 27,525,703 | ||||
5 Restricted Securities
At April 30, 2011, the Portfolio owned the following securities (representing 1.5% 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.
33
High Income Opportunities Portfolio
April 30, 2011
Notes to Financial Statements (Unaudited) — continued
| Date of | ||||||||||||||||||
| Description | Acquisition | Shares/Units | Cost | Value | ||||||||||||||
Stocks, Miscellaneous and Warrants | ||||||||||||||||||
| BLB Worldwide Holdings, Inc., Contingent Value Rights, Expires 11/5/17 | 11/22/10 | 5,410 | $ | 94,675 | $ | 59,510 | ||||||||||||
| Fontainebleau Equity Holdings, Class A | 6/1/07 | 148,726 | 1,784,712 | 1,487 | ||||||||||||||
| Fontainebleau Resorts LLC, (PIK), Preferred | 6/1/07 | 4,544 | 4,544,460 | 45 | ||||||||||||||
| HF Holdings, Inc. | 10/27/09 | 13,600 | 730,450 | 154,632 | ||||||||||||||
| Muzak Holdings, LLC, Variable Rate, (PIK), 10.00%, Preferred | 6/18/10 | 102,000 | 1,019,967 | 956,261 | ||||||||||||||
| Panolam Holdings Co. | 12/30/09 | 3,117 | 1,712,791 | 3,000,580 | ||||||||||||||
| Peninsula Gaming LLC, Convertible Preferred Membership Interests | 7/8/99 | 25,351 | 0 | (1) | 2,148,261 | |||||||||||||
| RathGibson Acquisition Co., LLC | 6/14/10 | 233,000 | 1,236,540 | 7,793,850 | ||||||||||||||
| Reader’s Digest Association, Inc. (The), Expires 2/14/19 | 4/26/10 | 17,588 | 0 | 0 | ||||||||||||||
Total Restricted Securities | $ | 11,123,595 | $ | 14,114,626 | ||||||||||||||
| (1) | Less than $0.50. |
6 Financial Instruments
The Portfolio may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include swap 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 do 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, 2011 is as follows:
| Credit Default Swaps — Sell Protection | ||||||||||||||||||||||||||||||||
| Notional | Receive | Net | ||||||||||||||||||||||||||||||
| Credit | Amount** | Annual | Termination | Market | Upfront Payments | Unrealized | ||||||||||||||||||||||||||
| Counterparty | Reference Entity | Rating* | (000’s omitted) | Fixed Rate | Date | Value | Received (Paid) | Appreciation | ||||||||||||||||||||||||
| Bank of America | Amkor Technology, Inc. | Ba3/BB- | $ | 1,150 | 5.00 | %(1) | 6/20/15 | $ | 57,056 | $ | 42,290 | $ | 99,346 | |||||||||||||||||||
| Barclays Bank PLC | Amkor Technology, Inc. | Ba3/BB- | 2,000 | 5.00 | (1) | 6/20/15 | 99,227 | 114,284 | 213,511 | |||||||||||||||||||||||
| Goldman Sachs Group, Inc. | Levi Strauss & Co. | B2/B+ | 1,700 | 5.00 | (1) | 9/20/15 | 65,901 | 97,073 | 162,974 | |||||||||||||||||||||||
| Goldman Sachs Group, Inc. | Levi Strauss & Co. | B2/B+ | 3,400 | 5.00 | (1) | 9/20/15 | 131,803 | 183,461 | 315,264 | |||||||||||||||||||||||
| $ | 353,987 | $ | 437,108 | $ | 791,095 | |||||||||||||||||||||||||||
| * | Credit ratings are those of Moody’s Investors Service, Inc. and Standard & Poor’s Corp. 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 April 30, 2011, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $8,250,000. | |
| (1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
At April 30, 2011, 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 enters into credit default swap contracts to manage its credit risk, to gain exposure to a credit in which it may otherwise invest, or to enhance return.
34
High Income Opportunities Portfolio
April 30, 2011
Notes to Financial Statements (Unaudited) — continued
The Portfolio enters into swap contracts that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Portfolio’s net assets below a certain level over a certain period of time, which would trigger a payment by the Portfolio for those swaps in a liability position. At April 30, 2011, the Portfolio had no open derivatives with credit-related contingent features in a net liability position.
The non-exchange traded derivatives in which the Portfolio invests, including swap contracts, are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. At April 30, 2011, the maximum amount of loss the Portfolio would incur due to counterparty risk was $791,095, with the highest amount from any one counterparty being $478,238. Such amount would be reduced by any unamortized upfront payments received by the Portfolio. Counterparties may be required to pledge collateral in the form of cash, U.S. Government securities or highly-rated bonds for the benefit of the Portfolio if the net amount due from the counterparty with respect to a derivative contract exceeds a certain threshold. The amount of collateral posted by the counterparties with respect to such contracts would also reduce the amount of any loss incurred.
The fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is credit risk at April 30, 2011 was as follows:
| Fair Value | ||||||||||
| Derivative | Asset Derivative(1) | Liability Derivative | ||||||||
| Credit default swap contracts | $ | 353,987 | $ | — | ||||||
| (1) | Statement of Assets and Liabilities location: Receivable for open swap contracts; Premium received on open swap contracts. |
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is credit risk for the six months ended April 30, 2011 was as follows:
| Realized Gain (Loss) | Change in Unrealized | |||||||||
| on Derivatives Recognized | Appreciation (Depreciation) on | |||||||||
| Derivative | in Income(1) | Derivatives Recognized in Income(2) | ||||||||
| Credit default swap contracts | $ | (979,776 | ) | $ | 157,902 | |||||
| (1) | Statement of Operations location: Net realized gain (loss) – Swap contracts. | |
| (2) | Statement of Operations location: Change in unrealized appreciation (depreciation) – Swap contracts. |
The average notional amount of credit default swap contracts outstanding during the six months ended April 30, 2011, which is indicative of the volume of this derivative type, was approximately $14,267,000.
7 Line of Credit
The Portfolio participates with other portfolios and funds managed by EVM and its affiliates in a $450 million unsecured line of credit agreement with a group of banks. Borrowings are made by the Portfolio solely to facilitate the handling of unusual and/or unanticipated short-term cash requirements. Interest is charged to the Portfolio 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. Because the line of credit is not available exclusively to the Portfolio, it may be unable to borrow some or all of its requested amounts at any particular time. The Portfolio did not have any significant borrowings or allocated fees during the six months ended April 30, 2011.
8 Credit Risk
The Portfolio regularly invests in lower rated and comparable quality unrated high yield securities. These investments have different risks than investments in debt securities rated investment grade and held by the Portfolio. Risk of loss upon default by the borrower is significantly greater with respect to such debt than with other debt securities because these securities are generally unsecured and are more sensitive to adverse economic conditions, such as recession or increasing interest rates, than are investment grade issuers.
9 Fair Value Measurements
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
35
High Income Opportunities Portfolio
April 30, 2011
Notes to Financial Statements (Unaudited) — continued
| • | 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) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At April 30, 2011, the hierarchy of inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:
| Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
| Senior Floating-Rate Interests | $ | — | $ | 56,089,688 | $ | — | $ | 56,089,688 | ||||||||||
| Corporate Bonds & Notes | — | 757,219,343 | 5,506,872 | 762,726,215 | ||||||||||||||
| Convertible Bonds | — | 4,871,869 | — | 4,871,869 | ||||||||||||||
| Common Stocks | 35,868,395 | 64,670 | 11,037,993 | 46,971,058 | ||||||||||||||
| Convertible Preferred Stocks | 9,379,326 | — | — | 9,379,326 | ||||||||||||||
| Preferred Stocks | 5,862,287 | 1,701,314 | 45 | 7,563,646 | ||||||||||||||
| Miscellaneous | — | 340,732 | — | 340,732 | ||||||||||||||
| Warrants | — | 375,680 | 2,148,261 | 2,523,941 | ||||||||||||||
| Short-Term Investments — | ||||||||||||||||||
| Repurchase Agreements | — | 5,800,000 | — | 5,800,000 | ||||||||||||||
| Other Securities | — | 36,590,590 | — | 36,590,590 | ||||||||||||||
Total Investments | $ | 51,110,008 | $ | 863,053,886 | $ | 18,693,171 | $ | 932,857,065 | ||||||||||
| Credit Default Swaps | $ | — | $ | 353,987 | $ | — | $ | 353,987 | ||||||||||
Total | $ | 51,110,008 | $ | 863,407,873 | $ | 18,693,171 | $ | 933,211,052 | ||||||||||
Liability Description | ||||||||||||||||||
| Securities Sold Short | $ | — | $ | (5,387,500 | ) | $ | — | $ | (5,387,500 | ) | ||||||||
Total | $ | — | $ | (5,387,500 | ) | $ | — | $ | (5,387,500 | ) | ||||||||
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
| Investments | Investments | Investments | ||||||||||||||||||||
| in Corporate | in Common | in Preferred | Investments | |||||||||||||||||||
| Bonds & Notes | Stocks | Stocks | in Warrants | Total | ||||||||||||||||||
Balance as of October 31, 2010 | $ | 3,440,236 | $ | 9,587,193 | $ | 242,100 | $ | 2,148,261 | $ | 15,417,790 | ||||||||||||
| Realized gains (losses) | (9,567,318 | ) | — | 91,840 | — | (9,475,478 | ) | |||||||||||||||
| Change in net unrealized appreciation (depreciation)* | 9,843,743 | 1,994,890 | (56,145 | ) | — | 11,782,488 | ||||||||||||||||
| Cost of purchases | 2,066,311 | — | — | — | 2,066,311 | |||||||||||||||||
| Proceeds from sales | (295,066 | ) | (544,090 | ) | (277,750 | ) | — | (1,116,906 | ) | |||||||||||||
| Accrued discount (premium) | 18,966 | — | — | — | 18,966 | |||||||||||||||||
| Transfers to Level 3 | — | — | — | — | — | |||||||||||||||||
| Transfers from Level 3 | — | — | — | — | — | |||||||||||||||||
Balance as of April 30, 2011 | $ | 5,506,872 | $ | 11,037,993 | $ | 45 | $ | 2,148,261 | $ | 18,693,171 | ||||||||||||
Change in net unrealized appreciation (depreciation) on investments still held as of April 30, 2011* | $ | 166,005 | $ | 2,854,552 | $ | — | $ | — | $ | 3,020,557 | ||||||||||||
| * | Amount is included in the related amount on investments in the Statement of Operations. |
At April 30, 2011, the value of investments transferred between Level 1 and Level 2, if any, during the six months then ended was not significant.
36
Eaton Vance
High Income Opportunities Fund
April 30, 2011
Board of Trustees’ Contract Approval
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended (the “1940 Act”), provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees, including by a vote of a majority of the trustees who are not “interested persons” of the fund (“Independent Trustees”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees (each a “Board”) of the Eaton Vance group of mutual funds (the “Eaton Vance Funds”) held on April 25, 2011, the Board, including a majority of the Independent Trustees, voted to approve continuation of existing advisory and sub-advisory agreements for the Eaton Vance Funds for an additional one-year period. In voting its approval, the Board relied upon the affirmative recommendation of the Contract Review Committee of the Board, which is a committee comprised exclusively of Independent Trustees. Prior to making its recommendation, the Contract Review Committee reviewed information furnished for a series of meetings of the Contract Review Committee held between February and April 2011. Such information included, among other things, the following:
Information about Fees, Performance and Expenses
| • | An independent report comparing the advisory and related fees paid by each fund with fees paid by comparable funds; | |
| • | An independent report comparing each fund’s total expense ratio and its components to comparable funds; | |
| • | An independent report comparing the investment performance of each fund (including yield data and Sharpe and information ratios where relevant) to the investment performance of comparable funds over various time periods; | |
| • | Data regarding investment performance in comparison to relevant peer groups of similarly managed funds and appropriate indices; | |
| • | For each fund, comparative information concerning the fees charged and the services provided by each adviser in managing other mutual funds and institutional accounts using investment strategies and techniques similar to those used in managing such fund; | |
| • | Profitability analyses for each adviser with respect to each fund; |
Information about Portfolio Management
| • | Descriptions of the investment management services provided to each fund, including the investment strategies and processes employed, and any changes in portfolio management processes and personnel; | |
| • | Information about the allocation of brokerage and the benefits received by each adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and/or the fund’s policies with respect to “soft dollar” arrangements; | |
| • | Data relating to portfolio turnover rates of each fund; | |
| • | The procedures and processes used to determine the fair value of fund assets and actions taken to monitor and test the effectiveness of such procedures and processes; |
Information about each Adviser
| • | Reports detailing the financial results and condition of each adviser; | |
| • | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; | |
| • | Copies of the Codes of Ethics of each adviser and its affiliates, together with information relating to compliance with and the administration of such codes; | |
| • | Copies of or descriptions of each adviser’s policies and procedures relating to proxy voting, the handling of corporate actions and class actions; | |
| • | Information concerning the resources devoted to compliance efforts undertaken by each adviser and its affiliates on behalf of the funds (including descriptions of various compliance programs) and their record of compliance with investment policies and restrictions, including policies with respect to market-timing, late trading and selective portfolio disclosure, and with policies on personal securities transactions; | |
| • | Descriptions of the business continuity and disaster recovery plans of each adviser and its affiliates; | |
| • | A description of Eaton Vance Management’s procedures for overseeing third party advisers and sub-advisers; |
Other Relevant Information
| • | Information concerning the nature, cost and character of the administrative and other non-investment management services provided by Eaton Vance Management and its affiliates; | |
| • | Information concerning management of the relationship with the custodian, subcustodians and fund accountants by each adviser or the funds’ administrator; and | |
| • | The terms of each advisory agreement. |
37
Eaton Vance
High Income Opportunities Fund
April 30, 2011
Board of Trustees’ Contract Approval — continued
In addition to the information identified above, the Contract Review Committee considered information provided from time to time by each adviser throughout the year at meetings of the Board and its committees. Over the course of the twelve-month period ended April 30, 2011, with respect to one or more funds, the Board met nine times and the Contract Review Committee, the Audit Committee, the Governance Committee, the Portfolio Management Committee and the Compliance Reports and Regulatory Matters Committee, each of which is a Committee comprised solely of Independent Trustees, met nine, fifteen, seven, eight and twelve times, respectively. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of each adviser relating to the investment performance of each fund and the investment strategies used in pursuing the fund’s investment objective including, where relevant, the use of derivative instruments, as well as trading policies and procedures and risk management techniques.
For funds that invest through one or more underlying portfolios, the Board considered similar information about the portfolio(s) when considering the approval of advisory agreements. In addition, in cases where the fund’s investment adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any sub-advisory agreement.
The Contract Review Committee was assisted throughout the contract review process by Goodwin Procter LLP, legal counsel for the Independent Trustees. The members of the Contract Review Committee relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each advisory and sub-advisory agreement and the weight to be given to each such factor. The conclusions reached with respect to each advisory and sub-advisory agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each member of the Contract Review Committee may have placed varying emphasis on particular factors in reaching conclusions with respect to each advisory and sub-advisory agreement.
Results of the Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Contract Review Committee concluded that the continuance of the investment advisory agreement of High Income Opportunities Portfolio (the “Portfolio”), the portfolio in which Eaton Vance High Income Opportunities Fund (the “Fund”) invests, with Boston Management and Research (the “Adviser”), including its fee structure, is in the interests of shareholders and, therefore, the Contract Review Committee recommended to the Board approval of the agreement. The Board accepted the recommendation of the Contract Review Committee as well as the factors considered and conclusions reached by the Contract Review Committee with respect to the agreement. Accordingly, the Board, including a majority of the Independent Trustees, voted to approve continuation of the investment advisory agreement for the Portfolio.
Nature, Extent and Quality of Services
In considering whether to approve the investment advisory agreement of the Portfolio, the Board evaluated the nature, extent and quality of services provided to the Portfolio by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the Portfolio, including the education, experience and number of its investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Portfolio. In particular, the Board evaluated the abilities and experience of such investment personnel in analyzing special considerations relevant to investing in high-yield debt. The Board also took into account the resources dedicated to portfolio management and other services, including the compensation methods of the Adviser to recruit and retain investment personnel, and the time and attention devoted to the Portfolio by senior management.
The Board also reviewed the compliance programs of the Adviser and relevant affiliates thereof. Among other matters, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity and the allocation of investment opportunities. The Board also evaluated the responses of the Adviser and its affiliates to requests in recent years from regulatory authorities such as the Securities and Exchange Commission and the Financial Industry Regulatory Authority.
The Board considered shareholder and other administrative services provided or managed by Eaton Vance Management and its affiliates, including transfer agency and accounting services. The Board evaluated the benefits to shareholders of investing in a fund that is a part of a large family of funds, including the ability, in many cases, to exchange an investment among different funds without incurring additional sales charges.
After consideration of the foregoing factors, among others, the Board concluded that the nature, extent and quality of services provided by the Adviser, taken as a whole, are appropriate and consistent with the terms of the investment advisory agreement.
Fund Performance
The Board compared the Fund’s investment performance to a relevant universe of comparable funds identified by an independent data provider as well as a peer group of similarly managed funds and appropriate benchmark indices. The Board reviewed comparative performance data for the one-, three- and
38
Eaton Vance
High Income Opportunities Fund
April 30, 2011
Board of Trustees’ Contract Approval — continued
five-year periods ended September 30, 2010 for the Fund. In considering the Fund’s longer-term performance record, the Board noted that the Fund’s performance had improved relative to its peers in recent periods. On the basis of the foregoing and other relevant information provided by the Adviser in response to inquiries from the Contract Review Committee, the Board concluded that the performance of the Fund was satisfactory.
Management Fees and Expenses
The Board reviewed contractual investment advisory fee rates payable by the Portfolio and by the Fund (referred to as “management fees”). As part of its review, the Board considered the management fees and the Fund’s total expense ratio for the year ended September 30, 2010, as compared to a group of similarly managed funds selected by an independent data provider. The Board also considered factors that had an impact on Fund expense ratios, as identified by management in response to inquiries from the Contract Review Committee, as well as actions being taken to reduce expenses at the Eaton Vance fund complex level, including the negotiation of reduced fees for transfer agency and custody services.
After reviewing the foregoing information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the management fees charged for advisory and related services are reasonable.
Profitability
The Board reviewed the level of profits realized by the Adviser and relevant affiliates thereof in providing investment advisory and administrative services to the Fund, to the Portfolio and to all Eaton Vance Funds as a group. The Board considered the level of profits realized without regard to revenue sharing or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered other direct or indirect benefits received by the Adviser and its affiliates in connection with its relationship with the Fund and the Portfolio, including the benefits of research services that may be available to the Adviser as a result of securities transactions effected for the Portfolio and other investment advisory clients.
The Board concluded that, in light of the foregoing factors and the nature, extent and quality of the services rendered, the profits realized by the Adviser and its affiliates are reasonable.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Fund and the Portfolio, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and the Portfolio increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of any specific fund or group of funds. The Board reviewed data summarizing the increases and decreases in the assets of the Fund and of all Eaton Vance Funds as a group over various time periods, and evaluated the extent to which the total expense ratio of the Fund and the profitability of the Adviser and its affiliates may have been affected by such increases or decreases. Based upon the foregoing, the Board concluded that the Fund currently shares in the benefits from economies of scale. The Board also concluded that, assuming reasonably foreseeable increases in the assets of the Portfolio, the structure of the advisory fee, which includes breakpoints at several asset levels, will allow the Fund to continue to benefit from economies of scale in the future.
39
Eaton Vance
High Income Opportunities Fund
April 30, 2011
Officers and Trustees
| Officers of Eaton Vance High Income Opportunities Fund | ||||
Duncan W. Richardson President Payson F. Swaffield Vice President Barbara E. Campbell Treasurer | Maureen A. Gemma Vice President, Secretary and Chief Legal Officer Paul M. O’Neil Chief Compliance Officer | |||
| Officers of High Income Opportunities Portfolio | ||
Michael W. Weilheimer President Payson F. Swaffield Vice President Barbara E. Campbell Treasurer | Maureen A. Gemma Vice President, Secretary and Chief Legal Officer Paul M. O’Neil Chief Compliance Officer | |
| Trustees of Eaton Vance High Income Opportunities Fund and High Income Opportunities Portfolio | ||
Ralph F. Verni Chairman Benjamin C. Esty Thomas E. Faust Jr.* Allen R. Freedman | William H. Park Ronald A. Pearlman Helen Frame Peters Lynn A. Stout | |
| * | Interested Trustee |
40
Eaton Vance
High Income Opportunities Fund
April 30, 2011
IMPORTANT NOTICES
Privacy. The Eaton Vance organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (Privacy Policy) with respect to nonpublic personal information about its customers:
| • | Only such information received from you, through application forms or otherwise, and information about your Eaton Vance fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
| • | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Eaton Vance may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker/dealers. |
| • | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
| • | We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Privacy Policy periodically for changes by accessing the link on our homepage: www.eatonvance.com. |
Our pledge of privacy applies to the following entities within the Eaton Vance organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton Vance Investment Counsel, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management’s Real Estate Investment Group and Boston Management and Research. In addition, our Privacy Policy applies only to those Eaton Vance customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial adviser/broker-dealer, it is likely that only such adviser’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Eaton Vance’s Privacy Policy, please call 1-800-262-1122.
Delivery of Shareholder Documents. The Securities and Exchange Commission (the “SEC”) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Eaton Vance, or your financial adviser, may household the mailing of your documents indefinitely unless you instruct Eaton Vance, or your financial adviser, otherwise. If you would prefer that your Eaton Vance documents not be householded, please contact Eaton Vance at 1-800-262-1122, or contact your financial adviser. Your instructions that householding not apply to delivery of your Eaton Vance documents will be effective within 30 days of receipt by Eaton Vance or your financial adviser.
Portfolio Holdings. Each Eaton Vance Fund and its underlying Portfolio(s) (if applicable) will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Eaton Vance website at www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. From time to time, funds are required to vote proxies related to the securities held by the funds. The Eaton Vance Funds or their underlying Portfolios (if applicable) vote proxies according to a set of policies and procedures approved by the Funds’ and Portfolios’ Boards. You may obtain a description of these policies and procedures and information on how the Funds or Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge, upon request, by calling 1-800-262-1122 and by accessing the SEC’s website at www.sec.gov.
41
This Page Intentionally Left Blank
This Page Intentionally Left Blank
This Page Intentionally Left Blank
Investment Adviser of High Income Opportunities Portfolio
Boston Management and Research
Boston Management and Research
Two International Place
Boston, MA 02110
Administrator of Eaton Vance High Income Opportunities Fund
Eaton Vance Management
Eaton Vance Management
Two International Place
Boston, MA 02110
Principal Underwriter*
Eaton Vance Distributors, Inc.
Eaton Vance Distributors, Inc.
Two International Place
Boston, MA 02110
(617) 482-8260
Custodian
State Street Bank and Trust Company
State Street Bank and Trust Company
200 Clarendon Street
Boston, MA 02116
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
BNY Mellon Investment Servicing (US) Inc.
Attn: Eaton Vance Funds
P.O. Box 9653
Providence, RI 02940-9653
(800) 262-1122
Fund Offices
Two International Place
Two International Place
Boston, MA 02110
| * | FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org. |
| 446-6/11 | HISRC |
Item 2. Code of Ethics
Not required in this filing.
Item 3. Audit Committee Financial Expert
The registrant’s Board has designated William H. Park, an independent trustee, as its audit committee financial expert. Mr. Park is a certified public accountant who is the Chief Financial Officer of Aveon Group, L.P. (an investment management firm). Previously, he served as the Vice Chairman of Commercial Industrial Finance Corp. (specialty finance company), as President and Chief Executive Officer of Prizm Capital Management, LLC (investment management firm), as Executive Vice President and Chief Financial Officer of United Asset Management Corporation (an institutional investment management firm) and as a Senior Manager at Price Waterhouse (now PricewaterhouseCoopers) (an independent registered public accounting firm).
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 applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
No Material Changes.
Item 11. 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. 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 Opportunities Portfolio
| By: | /s/ Michael W. Weilheimer | |||
| President | ||||
| Date: | June 14, 2011 |
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 | |||
| Treasurer | ||||
| Date: | June 14, 2011 | |||
| By: | /s/ Michael W. Weilheimer | |||
| President | ||||
| Date: | June 14, 2011 |