<Page>
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-08464
---------
High Income Portfolio
---------------------
(Exact Name of Registrant as Specified in Charter)
The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
-----------------------------------------------------------------------
(Address of Principal Executive Offices)
Alan R. Dynner
The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
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(Name and Address of Agent for Services)
(617) 482-8260
--------------
(Registrant's Telephone Number)
October 31
----------
Date of Fiscal Year End
April 30, 2004
--------------
Date of Reporting Period
<Page>
ITEM 1. REPORTS TO STOCKHOLDERS
<Page>
HIGH INCOME PORTFOLIO as of April 30, 2004
PORTFOLIO OF INVESTMENTS (Unaudited)
SENIOR, FLOATING RATE INTERESTS -- 1.3%(1)(2)
<Table>
<Caption>
PRINCIPAL
SECURITY AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
BEVERAGE, FOOD AND TOBACCO -- 0.3%
New World Pasta, Term Loan B,
Maturing 1/28/06 $ 4,277,546 $ 3,962,077
- ------------------------------------------------------------------------------------------------------------
$ 3,962,077
- ------------------------------------------------------------------------------------------------------------
UTILITIES -- 0.1%
Mirant Corp., Revolving Term Loan,
Maturing 7/16/06(3) $ 2,100,000 $ 1,207,500
- ------------------------------------------------------------------------------------------------------------
$ 1,207,500
- ------------------------------------------------------------------------------------------------------------
WIRELESS COMMUNICATION SERVICES -- 0.9%
IPCS Wireless, Revolving Term Loan,
Maturing 6/30/08(4) $ 6,676,214 $ 6,642,833
IPCS Wireless, Term Loan B, Maturing 6/30/08(4) 3,588,465 3,570,522
- ------------------------------------------------------------------------------------------------------------
$ 10,213,355
- ------------------------------------------------------------------------------------------------------------
TOTAL SENIOR, FLOATING RATE INTERESTS
(IDENTIFIED COST $14,373,313) $ 15,382,932
- ------------------------------------------------------------------------------------------------------------
</Table>
CORPORATE BONDS & NOTES -- 92.6%
<Table>
<Caption>
PRINCIPAL
AMOUNT
SECURITY (000'S OMITTED) VALUE
- ------------------------------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 1.0%
BE Aerospace, Sr. Notes, 8.50%, 10/1/10 $ 1,105 $ 1,204,450
Dunlop Stand Aero Holdings, Sr. Notes,
11.875%, 5/15/09 8,410 8,935,625
Dunlop Stand Aero Holdings, Sr. Notes,
11.875%, 5/15/09(5) 1,965 2,087,812
- ------------------------------------------------------------------------------------------------------------
$ 12,227,887
- ------------------------------------------------------------------------------------------------------------
AIRLINES -- 2.7%
American Airlines, 7.80%, 10/1/06 $ 7,243 $ 6,880,981
American Airlines, 7.858%, 10/1/11 260 263,529
American Airlines, 8.608%, 4/1/11 570 536,825
AMR Corp., Debs., 9.00%, 8/1/12 7,880 6,698,000
Continental Airlines, 7.033%, 6/15/11 4,571 3,927,418
Continental Airlines, 7.08%, 11/1/04 95 93,864
Continental Airlines, 7.434%, 9/15/04 2,740 2,709,223
Continental Airlines, 8.00%, 12/15/05 $ 550 $ 525,250
Delta Air Lines, 7.70%, 12/15/05 2,215 1,716,625
Delta Air Lines, 8.30%, 12/15/29 1,005 487,425
Delta Air Lines, Series 00-1, 7.779%, 11/18/05 4,250 3,573,888
Delta Air Lines, Series 02-1, 7.779%, 1/2/12 697 506,442
Northwest Airlines, Inc., 8.875%, 6/1/06 3,285 2,841,525
Northwest Airlines, Inc., Sr. Notes, 9.875%, 3/15/07 2,350 1,974,000
- ------------------------------------------------------------------------------------------------------------
$ 32,734,995
- ------------------------------------------------------------------------------------------------------------
APPAREL -- 1.6%
GFSI, Inc., Sr. Sub. Notes, Series B, 9.625%, 3/1/07 $ 970 $ 945,750
J Crew Operating Corp., Sr. Sub. Notes,
10.375%, 10/15/07 4,350 4,377,187
Perry Ellis International, Inc., Sr. Sub. Notes, Series B,
8.875%, 9/15/13 1,965 2,082,900
Phillips Van-Heusen, Sr. Notes, 7.25%, 2/15/11(5) 1,350 1,363,500
Phillips Van-Heusen, Sr. Notes, 8.125%, 5/1/13 3,615 3,813,825
William Carter, Series B, 10.875%, 8/15/11 5,778 6,673,590
- ------------------------------------------------------------------------------------------------------------
$ 19,256,752
- ------------------------------------------------------------------------------------------------------------
AUTO AND PARTS -- 3.1%
Amerco, 9.00%, 3/15/09 $ 3,060 $ 3,197,700
CSK Auto, Inc., Sr. Notes, 7.00%, 1/15/14(5) 522 516,780
Dana Corp., 10.125%, 3/15/10 7,770 8,935,500
Keystone Automotive Operations, Inc., Sr. Sub.
Notes, 9.75%, 11/1/13(5) 1,110 1,221,000
Metaldyne Corp., 11.00%, 6/15/12(5) 4,173 3,567,915
Metaldyne Corp., Sr. Notes, 10.00%, 11/1/13(5) 1,755 1,711,125
Rexnord Corp., 10.125%, 12/15/12 1,665 1,823,175
Tenneco Automotive, Inc., Series B,
11.625%, 10/15/09 7,780 8,558,000
Tenneco Automotive, Inc., Sr. Notes,
10.25%, 7/15/13(5) 3,690 4,271,175
TRW Automotive, Inc., Sr. Sub. Notes,
11.00%, 2/15/13 2,142 2,559,690
United Components, Inc., Sr. Sub. Notes,
9.375%, 6/15/13 1,670 1,786,900
- ------------------------------------------------------------------------------------------------------------
$ 38,148,960
- ------------------------------------------------------------------------------------------------------------
BROADCASTING AND CABLE -- 10.7%
Adelphia Communications, Sr. Notes,
8.75%, 10/1/07(3) $ 1,040 $ 1,154,400
Adelphia Communications, Sr. Notes,
8.875%, 1/15/07(3) 4,915 5,529,375
</Table>
See notes to financial statements
11
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
SECURITY (000'S OMITTED) VALUE
- ------------------------------------------------------------------------------------------------------------
BROADCASTING AND CABLE (CONTINUED)
Adelphia Communications, Sr. Notes,
9.50%, 3/1/05(3) $ 4,745 $ 5,361,850
Adelphia Communications, Sr. Notes,
10.25%, 11/1/06(3) 7,200 7,740,000
Adelphia Communications, Sr. Notes, Series B,
9.25%, 10/1/02(3) 7,585 7,964,250
Avalon Cable Holdings, LLC, Sr. Disc. Notes, 11.875%,
(0% until 2003), 12/1/08 583 622,293
Cablevision Systems Corp., Sr. Notes,
5.65%, 4/1/09(5) 1,450 1,500,750
Cablevision Systems Corp., Sr. Notes,
8.00%, 4/15/12(5) 6,680 6,730,100
Charter Communication Holdings, Sr. Disc
Notes, 12.125%, (0% until 2007), 1/15/12 520 313,300
Charter Communication Holdings, Sr. Disc. Notes,
13.50%, (0% until 2007), 1/15/11 9,480 7,062,600
Charter Communication Holdings, Sr. Notes,
10.00%, 4/1/09 4,390 3,808,325
Charter Communication Holdings, Sr. Notes,
10.00%, 5/15/11 4,705 3,916,912
Charter Communication Holdings, Sr. Notes,
10.75%, 10/1/09 1,965 1,734,112
Charter Communications Holdings, Sr. Notes,
8.375%, 4/30/14 8,780 8,692,200
CSC Holdings, Inc., Sr. Notes, 7.875%, 12/15/07 15 16,050
CSC Holdings, Inc., Sr. Sub. Notes, 10.50%, 5/15/16 5,540 6,398,700
Dex Media West LLC, Sr. Sub. Notes,
9.875%, 8/15/13(5) 8,340 9,174,000
Echostar DBS Corp., Sr. Notes, 9.125%, 1/15/09 42 47,250
Insight Communications, Sr. Disc. Notes, 12.25%,
(0% until 2006) 2/15/11 10,900 9,428,500
LBI Media, Inc., Sr. Disc. Notes, 0.00%, 10/15/13 2,760 1,959,600
Muzak Holdings LLC, 9.875%, 3/15/09 620 598,300
Muzak Holdings LLC, Sr. Disc. Notes, 13.00%,
(0% until 2004), 3/15/10 5,853 5,699,359
Muzak LLC/Muzak Finance, Sr. Notes,
10.00%, 2/15/09 3,700 3,811,000
Nexstar Finance Holdings LLC, Inc., 12.00%, 4/1/08 520 585,000
Nexstar Finance Holdings LLC, Inc., Sr. Disc. Notes,
11.375%, (0% until 2008), 4/1/13 6,345 4,727,025
Nextmedia Operating, Inc., 10.75%, 7/1/11 1,650 1,868,625
Paxson Communications Corp., 10.75%, 7/15/08 2,880 3,052,800
Paxson Communications Corp., 12.25%,
(0% until 2006), 1/15/09 2,955 2,578,237
Pegasus Communications Corp., Sr. Notes,
9.625%, 10/15/05 375 277,500
Pegasus Communications Corp., Sr. Notes,
9.75%, 12/1/06 $ 120 $ 84,600
Pegasus Communications Corp., Sr. Notes,
11.25%, 1/15/10(5) 4,175 2,880,750
Pegasus Communications Corp., Sr. Notes,
12.50%, 8/1/07 2,550 1,746,750
Pegasus Satellite, 12.375%, 8/1/06 5,600 3,948,000
Telewest Communication PLC, Sr. Debs.,
11.00%, 10/1/07(3) 6,090 3,867,150
Telewest Communication PLC, Sr. Disc. Notes, 9.25%,
(0% until 2004), 4/15/09(3) 5,715 3,000,375
XM Satellite Radio, Inc., 6.65%, 5/1/09(5) 2,245 2,278,675
Young Broadcasting, Inc., Sr. Sub. Notes,
8.75%, 1/15/14(5) 2,085 2,116,275
- ------------------------------------------------------------------------------------------------------------
$ 132,274,988
- ------------------------------------------------------------------------------------------------------------
BUILDING AND CONSTRUCTION - MISCELLANEOUS -- 0.7%
Dayton Superior Corp., Sr. Notes, 10.75%, 9/15/08 $ 1,240 $ 1,246,200
Interline Brands, Inc., Sr. Sub. Notes,
11.50%, 5/15/11 4,350 4,719,750
Ply Gem Industries, Inc., Sr. Sub. Notes,
9.00%, 2/15/12(5) 3,030 3,120,900
- ------------------------------------------------------------------------------------------------------------
$ 9,086,850
- ------------------------------------------------------------------------------------------------------------
BUILDING MATERIALS -- 0.6%
Koppers, Inc., Sr. Notes, 9.875%, 10/15/13(5) $ 60 $ 66,000
Nortek Holdings, Inc., Sr. Notes, (0% until 2007),
10.00%, 5/15/11(5) 4,590 3,453,975
Owens Corning, 7.50%, 8/1/18(3) 2,890 1,213,800
Owens Corning, 7.70%, 5/1/08(3) 2,700 1,134,000
US Concrete, Inc., Sr. Sub. Notes, 8.375%, 4/1/14(5) 1,905 1,914,525
- ------------------------------------------------------------------------------------------------------------
$ 7,782,300
- ------------------------------------------------------------------------------------------------------------
BUSINESS SERVICES -- 0.4%
Norcross Safety Products LLC/Norcross Capital Corp.,
Sr. Sub. Notes, Series B, 9.875%, 8/15/11 $ 5,065 $ 5,444,875
- ------------------------------------------------------------------------------------------------------------
$ 5,444,875
- ------------------------------------------------------------------------------------------------------------
BUSINESS SERVICES - MISCELLANEOUS -- 1.9%
Advanstar Communications, Inc., 10.75%, 8/15/10 $ 6,120 $ 6,716,700
Affinity Group, Inc., Sr. Sub. Notes, 9.00%, 2/15/12(5) 3,815 4,043,900
Interface, Inc., Sr. Sub. Notes, 9.50%, 2/1/14(5) 745 752,450
Mobile Mini, Inc., 9.50%, 7/1/13 1,575 1,771,875
</Table>
See notes to financial statements
12
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
SECURITY (000'S OMITTED) VALUE
- ------------------------------------------------------------------------------------------------------------
BUSINESS SERVICES - MISCELLANEOUS (CONTINUED)
R.H. Donnelley Finance Corp., 10.875%, 12/15/12 $ 1,220 $ 1,457,900
R.H. Donnelley Finance Corp., Sr. Sub. Notes,
10.875%, 12/15/12(5) 4,780 5,712,100
Synagro Technologies, Inc., Sr. Sub. Notes,
9.50%, 4/1/09 1,360 1,475,600
Vertis, Inc., Sub. Notes, 13.50%, 12/7/09(5) 500 512,500
Williams Scotsman, Inc., Sr. Notes, 10.00%, 8/15/08 1,425 1,567,500
- ------------------------------------------------------------------------------------------------------------
$ 24,010,525
- ------------------------------------------------------------------------------------------------------------
CHEMICALS -- 5.3%
Avecia Group PLC, 11.00%, 7/1/09 $ 5,935 $ 4,748,000
Equistar Chemical, Sr. Notes, 10.625%, 5/1/11 3,900 4,387,500
Hercules, Inc., 11.125%, 11/15/07 5,300 6,386,500
Huntsman Adventure Materials, Sr. Notes,
11.00%, 7/15/10(5) 735 837,900
Huntsman International LLC, Sr. Notes,
9.875%, 3/1/09 1,960 2,190,300
Huntsman LLC, 11.625%, 10/15/10 1,885 2,082,925
IMC Global, Inc., Sr. Notes, 10.875%, 8/1/13 6,000 7,395,000
Lyondell Chemical Co., 9.50%, 12/15/08 1,040 1,092,000
Lyondell Chemical Co., 9.50%, 12/15/08 2,665 2,798,250
Lyondell Chemical Co., Series B, 9.875%, 5/1/07 5,200 5,486,000
Methanex Corp., Sr. Notes, 8.75%, 8/15/12 2,815 3,237,250
Nalco Co., Sr. Notes, 7.75%, 11/15/11(5) 3,475 3,674,812
Nalco Co., Sr. Sub. Notes, 8.875%, 11/15/13(5) 3,310 3,508,600
Nalco Finance Holdings, Inc., Sr. Notes,
(0% until 2009), 0.00%, 2/1/14(5) 4,320 2,743,200
Noveon, Inc., 11.00%, 2/28/11 680 795,600
OM Group, Inc., 9.25%, 12/15/11 10,070 10,372,100
Rockwood Specialties Group, Sr. Sub. Notes,
10.625%, 5/15/11 1,855 1,984,850
Texas Petrochemical Corp., 7.25%, 5/15/09(4) 416 416,000
Texas Petrochemical Corp., Sr. Sub. Notes,
11.125%, 7/1/06(3) 3,010 1,219,050
- ------------------------------------------------------------------------------------------------------------
$ 65,355,837
- ------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES -- 0.2%
DigitalNet, Inc., Sr. Notes, 9.00%, 7/15/10 $ 2,302 $ 2,486,160
- ------------------------------------------------------------------------------------------------------------
$ 2,486,160
- ------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 0.9%
American Achievement Corp., Sr. Sub. Notes,
8.25%, 4/1/12(5) $ 820 $ 840,500
Amscan Holdings, Inc., Sr. Sub. Notes,
8.75%, 5/1/14(5) $ 2,785 $ 2,840,700
Fedders North America, Inc., Sr. Notes,
9.875%, 3/1/14(5) 2,712 2,644,200
Hockey Co., 11.25%, 4/15/09 1,640 1,959,800
INVISTA, 9.25%, 5/1/12(5) 350 351,750
Jostens Holding Corp., Sr. Disc. Notes, 10.25%, 12/1/13 1,380 931,500
Rayovac Corp., Sr. Sub. Notes, 8.50%, 10/1/13 1,935 2,080,125
- ------------------------------------------------------------------------------------------------------------
$ 11,648,575
- ------------------------------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING -- 1.6%
Crown Euro Holdings SA, 9.50%, 3/1/11 $ 1,625 $ 1,830,156
Crown Euro Holdings SA, 10.875%, 3/1/13 5,755 6,733,350
Graham Packaging Co., 8.75%, 1/15/08 830 840,375
Pliant Corp., 11.125%, 9/1/09 2,500 2,675,000
Pliant Corp., Sr. Disc. Notes, 11.125%, 6/15/09(5) 3,065 2,574,600
Solo Cup Co., Sr. Sub. Notes, 8.50%, 2/15/14(5) 3,110 3,218,850
US Can Corp., Sr. Notes, 10.875%, 7/15/10 1,835 1,935,925
- ------------------------------------------------------------------------------------------------------------
$ 19,808,256
- ------------------------------------------------------------------------------------------------------------
DRUGS -- 0.2%
Valeant Pharmaceuticals International, Sr. Notes,
7.00%, 12/15/11(5) $ 2,545 $ 2,595,900
- ------------------------------------------------------------------------------------------------------------
$ 2,595,900
- ------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT -- 0.4%
Danka Business Systems, Sr. Notes,
11.00%, 6/15/10 $ 3,125 $ 3,203,125
Hexcel Corp., 9.875%, 10/1/08 1,090 1,207,175
Hexcel Corp., Sr. Sub. Notes, 9.75%, 1/15/09 780 822,900
- ------------------------------------------------------------------------------------------------------------
$ 5,233,200
- ------------------------------------------------------------------------------------------------------------
ENERGY SERVICES -- 1.0%
Port Arthur Finance Corp., 12.50%, 1/15/09 $ 10,086 $ 11,952,431
- ------------------------------------------------------------------------------------------------------------
$ 11,952,431
- ------------------------------------------------------------------------------------------------------------
ENTERTAINMENT -- 2.4%
AMF Bowling Worldwide, Sr. Sub. Notes,
10.00%, 3/1/10(5) $ 2,155 $ 2,246,587
Carmike Cinemas, Sr. Sub. Notes, 7.50%, 2/15/14(5) 4,150 4,212,250
Intrawest Corp., Sr. Notes, 7.50%, 10/15/13 2,170 2,229,675
Royal Caribbean Cruises, Debs., 7.50%, 10/15/27 5,295 5,175,862
</Table>
See notes to financial statements
13
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
SECURITY (000'S OMITTED) VALUE
- ------------------------------------------------------------------------------------------------------------
ENTERTAINMENT (CONTINUED)
Royal Caribbean Cruises, Sr. Debs., 7.25%, 3/15/18 $ 1,570 $ 1,573,925
Royal Caribbean Cruises, Sr. Notes, 8.00%, 5/15/10 120 131,400
Royal Caribbean Cruises, Sr. Notes, 8.75%, 2/2/11 1,340 1,517,550
Six Flags, Inc., Sr. Notes, 8.875%, 2/1/10 3,743 3,827,217
Six Flags, Inc., Sr. Notes, 9.50%, 2/1/09 455 482,300
Six Flags, Inc., Sr. Notes, 9.625%, 6/1/14(5) 4,230 4,452,075
Six Flags, Inc., Sr. Notes, 9.75%, 4/15/13 2,170 2,297,487
True Temper Sports, Inc., Sr. Sub. Notes,
8.375%, 9/15/11(5) 805 829,150
- ------------------------------------------------------------------------------------------------------------
$ 28,975,478
- ------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES -- 0.1%
Poster Financial Group, Inc., 8.75%, 12/1/11(5) $ 1,655 $ 1,746,025
- ------------------------------------------------------------------------------------------------------------
$ 1,746,025
- ------------------------------------------------------------------------------------------------------------
FOOD AND BEVERAGES -- 0.2%
Tabletop Holdings, Inc., Sr. Sub. Notes,
(0% until 2008), 0.00%, 5/15/14(5) $ 3,430 $ 2,246,650
- ------------------------------------------------------------------------------------------------------------
$ 2,246,650
- ------------------------------------------------------------------------------------------------------------
FOOD, BEVERAGES AND TOBACCO -- 0.2%
WH Holdings Ltd. and WH Capital Corp., Sr. Notes,
9.50%, 4/1/11(5) $ 1,875 $ 2,001,562
- ------------------------------------------------------------------------------------------------------------
$ 2,001,562
- ------------------------------------------------------------------------------------------------------------
FOODS -- 2.6%
American Seafood Group LLC, 10.125%, 4/15/10 $ 5,665 $ 6,798,000
Merisant Co., Sr. Notes, 9.50%, 7/15/13(5) 3,340 3,540,400
Michael Foods, Sr. Sub. Notes, 8.00%, 11/15/13(5) 3,325 3,512,031
Pinnacle Foods Holdings Corp., Sr. Sub. Notes,
8.25%, 12/1/13(5) 1,385 1,452,519
Premier International Foods, Sr. Notes,
12.00%, 9/1/09 7,167 7,776,195
Reddy Ice Group, Inc., Sr. Sub. Notes,
8.875%, 8/1/11 1,945 2,100,600
UAP Holding Corp., Sr. Disc. Notes, (0% until 2008),
0.00%, 7/15/12(5) 6,370 5,247,287
United Agricultural Products, Sr. Notes,
8.25%, 12/15/11(5) 1,805 2,053,187
- ------------------------------------------------------------------------------------------------------------
$ 32,480,219
- ------------------------------------------------------------------------------------------------------------
GAMING -- 2.6%
Chukchansi EDA, Sr. Notes, 14.50%, 6/15/09(5) $ 7,220 $ 9,025,000
Global Cash Access LLC/Global Cash Finance Corp.,
Sr. Sub. Notes, 8.75%, 3/15/12(5) 805 841,225
OED Corp./Diamond Jo LLC, 8.75%, 4/15/12(5) 4,355 4,278,787
Seneca Gaming Corp., Sr. Notes, 7.25%, 5/1/12(5) 2,860 2,909,764
Trump Holdings and Funding, Sr. Notes,
11.625%, 3/15/10 5,515 5,611,512
Universal City Development, Sr. Notes,
11.75%, 4/1/10 8,005 9,285,800
- ------------------------------------------------------------------------------------------------------------
$ 31,952,088
- ------------------------------------------------------------------------------------------------------------
HEALTH SERVICES -- 3.8%
Ardent Health Services, Sr. Sub. Notes,
10.00%, 8/15/13 $ 4,345 $ 4,779,500
Curative Health Services, Sr. Notes,
10.75%, 5/1/11(5) 3,230 3,258,262
Healthsouth Corp., 7.625%, 6/1/12 1,815 1,842,225
Healthsouth Corp., Sr. Notes, 8.375%, 10/1/11 5,415 5,496,225
Magellan Health Services, Inc., Sr. Notes, Series A,
9.375%, 11/15/08 3,614 3,925,588
National Nephrology Association, Sr. Sub. Notes,
9.00%, 11/1/11(5) 1,420 1,654,300
Pacificare Health System, 10.75%, 6/1/09 3,127 3,650,772
Quintiles Transnational, Sr. Sub. Notes,
10.00%, 10/1/13(5) 8,415 8,751,600
Rotech Healthcare, Inc., 9.50%, 4/1/12 3,045 3,258,150
Vanguard Health Systems, 9.75%, 8/1/11 9,740 10,616,600
- ------------------------------------------------------------------------------------------------------------
$ 47,233,222
- ------------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 0.7%
New Asat (Finance) Ltd., Sr. Notes,
9.25%, 2/1/11(5) $ 2,875 $ 3,047,500
Stratus Technologies, Inc., Sr. Notes,
10.375%, 12/1/08(5) 5,643 5,643,000
- ------------------------------------------------------------------------------------------------------------
$ 8,690,500
- ------------------------------------------------------------------------------------------------------------
LODGING -- 0.4%
Felcor Lodging, 10.00%, 9/15/08 $ 2,850 $ 3,056,625
Host Marriott L.P., 9.25%, 10/1/07 475 534,375
Host Marriott L.P., Series I, 9.50%, 1/15/07 630 702,450
- ------------------------------------------------------------------------------------------------------------
$ 4,293,450
- ------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
14
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
SECURITY (000'S OMITTED) VALUE
- ------------------------------------------------------------------------------------------------------------
LODGING AND GAMING -- 3.9%
Ameristar Casinos, Inc., 10.75%, 2/15/09 $ 1,885 $ 2,196,025
Hollywood Casino Shreveport, First Mortgage Bonds,
13.00%, 8/1/06(3) 1,175 881,250
Inn of the Mountain Gods, Sr. Notes,
12.00%, 11/15/10(5) 4,180 4,598,000
Majestic Star Casino LLC, 9.50%, 10/15/10 4,695 4,941,487
Mandalay Resort Group, Sr. Sub. Notes,
10.25%, 8/1/07 855 998,212
MGM Grand, Inc., 9.75%, 6/1/07 1,480 1,679,800
MTR Gaming Group, Series B, 9.75%, 4/1/10 2,555 2,727,463
Premier Entertainment Biloxi LLC/Premier Finance
Biloxi Corp., 10.75%, 2/1/12(5) 550 596,750
Sun International Hotels, Sr. Sub. Notes,
8.875%, 8/15/11 5,600 6,244,000
Venetian Casino/Las Vegas Sands, 11.00%, 6/15/10 9,140 10,739,500
Waterford Gaming LLC, Sr. Notes, 8.625%, 9/15/12(5) 11,187 12,026,025
- ------------------------------------------------------------------------------------------------------------
$ 47,628,512
- ------------------------------------------------------------------------------------------------------------
MACHINERY -- 1.9%
Case New Holland, Inc., Sr. Notes, 9.25%, 8/1/11(5) $ 3,720 $ 4,166,400
Flowserve Corp., 12.25%, 8/15/10 4,065 4,695,075
Manitowoc Co., Inc. (The), 10.50%, 8/1/12 905 1,036,225
Terex Corp., 10.375%, 4/1/11 7,215 8,243,138
Thermadyne Holdings Corp., Sr. Sub. Notes,
9.25%, 2/1/14(5) 5,272 5,377,440
- ------------------------------------------------------------------------------------------------------------
$ 23,518,278
- ------------------------------------------------------------------------------------------------------------
MANUFACTURING -- 3.3%
Aearo Co. I, Sr. Sub. Notes, 8.25%, 4/15/12(5) $ 1,905 $ 1,962,150
Amsted Industries, Inc., Sr. Notes,
10.25%, 10/15/11(5) 7,765 8,813,275
Avondale Mills, Inc., Sr. Sub. Notes, 10.25%, 7/1/13 2,440 1,427,400
Dresser, Inc., 9.375%, 4/15/11 4,350 4,719,750
General Cable Corp., Sr. Notes, 9.50%, 11/15/10(5) 1,655 1,820,500
Oxford Industries, Inc., Sr. Notes, 8.875%, 6/1/11(5) 5,260 5,641,350
Roller Bearing Holdings Co., Sr. Disc. Notes,
Value13.00%, 6/15/09(5) 11,485 11,255,300
Tekni-Plex, Inc., Series B, 12.75%, 6/15/10 275 279,125
Tekni-Plex, Inc., Sr. Notes, 8.75%, 11/15/13(5) 1,940 1,920,600
Trinity Industries, Inc., Sr. Notes, 6.50%, 3/15/14(5) 2,735 2,673,463
Venture Holding Trust, Sr. Notes, 9.50%, 7/1/05(3) 3,811 181,023
- ------------------------------------------------------------------------------------------------------------
$ 40,693,936
- ------------------------------------------------------------------------------------------------------------
MEDICAL PRODUCTS -- 1.3%
Inverness Medical Innovations, Inc., Sr. Sub. Notes,
8.75%, 2/15/12(5) $ 2,915 $ 2,995,163
Medquest, Inc., 11.875%, 8/15/12 6,185 7,050,900
VWR International, Inc., Sr. Notes, 6.875%, 4/15/12(5) 1,610 1,670,375
VWR International, Inc., Sr. Sub. Notes, 8.00%, 4/15/14(5) 3,755 3,923,975
- ------------------------------------------------------------------------------------------------------------
$ 15,640,413
- ------------------------------------------------------------------------------------------------------------
METALS - INDUSTRIAL -- 0.4%
International Steel Group, Inc., Sr. Notes,
6.50%, 4/15/14(5) $ 535 $ 516,275
Mueller Group, Inc., Sr. Sub. Notes, 10.00%, 5/1/12(5) 2,685 2,825,963
Mueller Holdings, Inc., Sr. Notes, 0.00%, 4/15/14 3,115 1,759,975
- ------------------------------------------------------------------------------------------------------------
$ 5,102,213
- ------------------------------------------------------------------------------------------------------------
METALS - STEEL -- 0.2%
Ispat Inland ULC, Sr. Notes, 9.75%, 4/1/14(5) $ 2,720 $ 2,788,000
- ------------------------------------------------------------------------------------------------------------
$ 2,788,000
- ------------------------------------------------------------------------------------------------------------
NETWORKING PRODUCTS -- 0.3%
Lucent Technologies, Inc., Debs., 6.50%, 1/15/28 $ 3,870 $ 3,086,325
- ------------------------------------------------------------------------------------------------------------
$ 3,086,325
- ------------------------------------------------------------------------------------------------------------
OIL AND GAS - EQUIPMENT AND SERVICES -- 6.2%
ANR Pipeline Co., 8.875%, 3/15/10 $ 1,600 $ 1,776,000
Dynegy Holdings, Inc., Sr. Notes, 6.875%, 4/1/11 11,955 10,281,300
Dynegy Holdings, Inc., Sr. Notes, 8.75%, 2/15/12 2,905 2,737,963
Dynegy Holdings, Inc., Sr. Notes,
10.125%, 7/15/13(5) 11,605 12,765,500
Giant Industries, Sr. Sub. Notes, 8.00%, 5/15/14 1,785 1,793,925
Gulfterra Energy Partner, 10.625%, 12/1/12 975 1,204,125
Hanover Compressor Co., Sr. Notes,
8.625%, 12/15/10 2,120 2,257,800
Hanover Compressor Co., Sub. Notes,
0.00%, 3/31/07 5,355 4,150,125
NGC Corp., Sr. Debs., 7.625%, 10/15/26 775 620,000
Northwest Pipeline Corp., 8.125%, 3/1/10 825 899,250
Parker Drilling Co., Sr. Notes, 9.625%, 10/1/13 975 1,057,875
Petro Stopping Centers LP / Petro Financial Corp.,
Sr. Notes, 9.00%, 2/15/12(5) 2,075 2,178,750
Premcor Refining Group, Sr. Notes, 9.50%, 2/1/13 5,035 5,790,250
Premcor Refining Group, Sr. Sub. Notes, 7.75%, 2/1/12 1,385 1,457,713
Ram Energy, Inc., Sr. Notes, 11.50%, 2/15/08 4,602 4,164,810
</Table>
See notes to financial statements
15
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
SECURITY (000'S OMITTED) VALUE
- ------------------------------------------------------------------------------------------------------------
OIL AND GAS - EQUIPMENT AND SERVICES (CONTINUED)
SESI, LLC, 8.875%, 5/15/11 $ 11,063 $ 12,031,013
Southern Natural Gas, 8.875%, 3/15/10 1,200 1,332,000
Transmontaigne, Inc., Sr. Sub. Notes,
9.125%, 6/1/10(5) 4,325 4,476,375
Williams Cos., Inc., Sr. Notes, 8.625%, 6/1/10 5,065 5,596,825
- ------------------------------------------------------------------------------------------------------------
$ 76,571,599
- ------------------------------------------------------------------------------------------------------------
OIL AND GAS - EXPLORATION AND PRODUCTION -- 0.7%
Continental Resources, 10.25%, 8/1/08 $ 6,795 $ 7,049,813
Petrobras International Finance, Sr. Notes,
9.125%, 7/2/13 1,925 1,939,438
- ------------------------------------------------------------------------------------------------------------
$ 8,989,251
- ------------------------------------------------------------------------------------------------------------
OIL AND GAS - REFINING -- 0.1%
WESTERN GAS RESOURCES, 10.00%, 6/15/09 $ 935 $ 986,425
- ------------------------------------------------------------------------------------------------------------
$ 986,425
- ------------------------------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 2.0%
Caraustar Industries, Inc., Sr. Sub. Notes,
9.875%, 4/1/11 $ 265 $ 271,625
Georgia-Pacific Corp., 9.375%, 2/1/13 2,445 2,854,538
Georgia-Pacific Corp., 9.50%, 12/1/11 5,330 6,449,300
Longview Fibre Co., Sr. Sub. Notes, 10.00%, 1/15/09 2,495 2,732,025
MDP Acquisitions/JSG Funding PLC, Sr. Notes,
9.625%, 10/1/12 4,325 4,887,250
Newark Group, Inc., Sr. Sub. Notes,
9.75%, 3/15/14(5) 3,220 3,171,700
Norske Skog Canada Ltd., Sr. Notes,
7.375%, 3/1/14(5) 3,890 4,006,700
- ------------------------------------------------------------------------------------------------------------
$ 24,373,138
- ------------------------------------------------------------------------------------------------------------
PRINTING AND BUSINESS PRODUCTS -- 0.9%
American Color Graphics, 10.00%, 6/15/10 $ 2,225 $ 1,924,625
Merrill Corp., Series A, (PIK), 12.00%, 5/1/09 1,780 1,700,310
Merrill Corp., Series B, (PIK), 12.00%, 5/1/09 8,212 7,842,033
Xerox Corp., Sr. Notes, 7.125%, 6/15/10 55 56,100
- ------------------------------------------------------------------------------------------------------------
$ 11,523,068
- ------------------------------------------------------------------------------------------------------------
PRINTING OR PUBLISHING - DIVERSIFICATION -- 1.2%
Hollinger Participation Trust, Sr. Notes, (PIK),
12.125%, 11/15/10(5) $ 12,252 $ 14,319,221
- ------------------------------------------------------------------------------------------------------------
$ 14,319,221
- ------------------------------------------------------------------------------------------------------------
PUBLISHING -- 1.4%
American Media, Inc., Series B, 10.25%, 5/1/09 $ 3,549 $ 3,744,195
CanWest Media, Inc., Sr. Sub. Notes,
10.625%, 5/15/11 5,310 6,040,125
CBD Media/CBD Finance, 8.625%, 6/1/11 2,040 2,187,900
Liberty Group Operating, 9.375%, 2/1/08 5,010 5,072,625
- ------------------------------------------------------------------------------------------------------------
$ 17,044,845
- ------------------------------------------------------------------------------------------------------------
REITS -- 0.3%
CB Richard Ellis Services, Inc., Sr. Notes,
9.75%, 5/15/10 $ 1,920 $ 2,150,400
Omega Healthcare Investors, Inc., Sr. Notes,
7.00%, 4/1/14(5) 1,340 1,373,500
- ------------------------------------------------------------------------------------------------------------
$ 3,523,900
- ------------------------------------------------------------------------------------------------------------
RETAIL -- 0.8%
Couche-Tard US LP/Couche-Tard Finance Corp., Sr.
Sub. Notes, 7.50%, 12/15/13 $ 2,705 $ 2,853,775
PCA LLC/PCA Finance Corp., Sr. Notes,
11.875%, 8/1/09 5,971 6,717,375
- ------------------------------------------------------------------------------------------------------------
$ 9,571,150
- ------------------------------------------------------------------------------------------------------------
RETAIL - APPAREL -- 0.6%
Mothers Work, Inc., 11.25%, 8/1/10 $ 3,495 $ 3,695,963
Payless Shoesource, Inc., Sr. Sub. Notes,
8.25%, 8/1/13 3,055 3,085,550
- ------------------------------------------------------------------------------------------------------------
$ 6,781,513
- ------------------------------------------------------------------------------------------------------------
RETAIL - FOOD AND DRUG -- 0.1%
General Nutrition Center, Sr. Sub. Notes,
8.50%, 12/1/10(5) $ 1,380 $ 1,449,000
- ------------------------------------------------------------------------------------------------------------
$ 1,449,000
- ------------------------------------------------------------------------------------------------------------
RETAIL - GENERAL -- 0.6%
Home Interiors & Gifts, 10.125%, 6/1/08 $ 2,060 $ 2,093,475
Jafra Cosmetics International, 10.75%, 5/15/11 1,935 2,201,063
Jo-Ann Stores, Inc., Sr. Sub. Notes, 7.50%, 3/1/12(5) 1,105 1,132,625
Shopko Stores, Inc., Sr. Notes, 9.25%, 3/15/22 2,445 2,402,213
- ------------------------------------------------------------------------------------------------------------
$ 7,829,376
- ------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS -- 1.4%
AMI Semiconductor, Inc., 10.75%, 2/1/13$ 2,884 $ 3,395,910
Amkor Technologies, Inc., 5.75%, 6/1/06 400 399,500
Amkor Technologies, Inc., Sr. Notes, 9.25%, 2/15/08 200 215,000
</Table>
See notes to financial statements
16
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
SECURITY (000'S OMITTED) VALUE
- ------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS (CONTINUED)
Chippac International Ltd., 12.75%, 8/1/09 $ 5,545 $ 6,044,050
ON Semiconductor Corp., 13.00%, 5/15/08 6,175 7,471,750
- ------------------------------------------------------------------------------------------------------------
$ 17,526,210
- ------------------------------------------------------------------------------------------------------------
TELECOMMUNICATION EQUIPMENT -- 1.6%
Inmarsat Finance PLC, 7.625%, 6/30/12(5) $ 1,615 $ 1,655,375
Marconi Corp. PLC, Series A, 8.00%, 4/30/08(5) 4,407 4,838,612
Nortel Networks Ltd., 4.25%, 9/1/08 8,760 8,256,300
Nortel Networks Ltd., 6.125%, 2/15/06 5,130 5,097,938
- ------------------------------------------------------------------------------------------------------------
$ 19,848,225
- ------------------------------------------------------------------------------------------------------------
TELEPHONE - INTEGRATED -- 0.2%
Cincinnati Bell, Inc., Sr. Sub. Notes,
8.375%, 1/15/14 $ 2,085 $ 1,980,750
- ------------------------------------------------------------------------------------------------------------
$ 1,980,750
- ------------------------------------------------------------------------------------------------------------
TOBACCO -- 0.2%
North Atlantic Trading Co., Sr. Notes,
9.25%, 3/1/12(5) $ 2,825 $ 2,874,438
- ------------------------------------------------------------------------------------------------------------
$ 2,874,438
- ------------------------------------------------------------------------------------------------------------
TRANSPORTATION -- 0.4%
OMI Corp., Sr. Notes, 7.625%, 12/1/13 $ 3,320 $ 3,452,800
Petroleum Helicopters, Series B, 9.375%, 5/1/09 220 234,300
Quality Distribution LLC/QD Capital Corp.,
9.00%, 11/15/10(5) 1,145 1,150,725
- ------------------------------------------------------------------------------------------------------------
$ 4,837,825
- ------------------------------------------------------------------------------------------------------------
UTILITIES -- 2.1%
El Paso Corp., Sr. Notes, 7.00%, 5/15/11 $ 940 $ 803,700
Illinois Power, 7.50%, 6/15/09 2,660 2,965,900
National Waterworks, Inc., Series B, 10.50%, 12/1/12 2,925 3,305,250
NRG Energy, Inc., Sr. Notes, 8.00%, 12/15/13(5) 9,185 9,299,813
Orion Power Holdings, Inc., Sr. Notes, 12.00%, 5/1/10 6,490 8,015,150
Reliant Energy, Inc., 9.25%, 7/15/10 1,200 1,290,000
- ------------------------------------------------------------------------------------------------------------
$ 25,679,813
- ------------------------------------------------------------------------------------------------------------
UTILITY - ELECTRIC POWER GENERATION -- 4.4%
AES Corp., 10.00%, 7/15/05(5) $ 1,445 $ 1,488,498
AES Corp., Sr. Notes, 8.75%, 6/15/08 5,550 5,799,750
AES Corp., Sr. Notes, 8.75%, 5/15/13(5) $ 3,535 $ 3,861,988
AES Corp., Sr. Notes, 8.875%, 2/15/11 457 482,135
AES Corp., Sr. Notes, 9.00%, 5/15/15(5) 1,585 1,735,575
AES Corp., Sr. Notes, 9.375%, 9/15/10 3,519 3,800,520
AES Corp., Sr. Sub. Notes, 8.50%, 11/1/07 4,495 4,624,231
AES Eastern Energy, Series 99-A, 9.00%, 1/2/17 2,648 2,967,812
Calpine Corp., 8.75%, 7/15/13(5) 5,645 5,024,050
Calpine Corp., Sr. Notes, 7.625%, 4/15/06 4,550 3,799,250
Calpine Corp., Sr. Notes, 7.875%, 4/1/08 735 518,175
Calpine Corp., Sr. Notes, 8.25%, 8/15/05 13,150 12,361,000
Calpine Corp., Sr. Notes, 8.50%, 7/15/10(5) 6,575 5,851,750
Calpine Corp., Sr. Notes, 8.75%, 7/15/07 550 412,500
Calpine Corp., Sr. Notes, 10.50%, 5/15/06 1,595 1,443,475
- ------------------------------------------------------------------------------------------------------------
$ 54,170,709
- ------------------------------------------------------------------------------------------------------------
WASTE MANAGEMENT -- 0.1%
Allied Waste Industries, Series B, 9.25%, 9/1/12 $ 305 $ 347,700
Waste Services, Inc., Sr. Sub. Notes,
9.50%, 4/15/14(5) 1,345 1,385,350
- ------------------------------------------------------------------------------------------------------------
$ 1,733,050
- ------------------------------------------------------------------------------------------------------------
WIRELESS COMMUNICATION SERVICES -- 8.2%
Alamosa Delaware, Inc., Sr. Notes,
8.50%, 1/31/12(5) $ 1,955 $ 1,901,238
American Tower Corp., Sr. Notes, 9.375%, 2/1/09 11,615 12,515,163
Centennial Cellular Operating Co./Centennial
Communications Corp., Sr. Notes, 10.125%, 6/15/13 10,040 10,391,400
Crown Castle International Corp., Sr. Disc. Notes,
11.25%, (0% until 2004), 8/1/11 1,465 1,540,081
Crown Castle International Corp., Sr. Notes,
10.75%, 8/1/11 315 359,100
Insight Midwest/Insight Capital, Sr. Notes,
10.50%, 11/1/10 1,645 1,801,275
IWO Holdings, Inc., 14.00%, 1/15/11 7,490 2,733,850
LCI International, Inc., Sr. Notes, 7.25%, 6/15/07 7,595 6,721,575
Level 3 Financing, Inc., Sr. Notes,
10.75%, 10/15/11(5) 250 222,500
Nextel Communications, Inc., 6.00%, 6/1/11 5,230 5,622,250
Nextel Communications, Inc., Sr. Notes,
7.375%, 8/1/15 420 438,375
Nextel Partners, Inc., Sr. Notes, 11.00%, 3/15/10 6,590 7,479,650
Nextel Partners, Inc., Sr. Notes, 11.00%, 3/15/10 805 913,675
Nextel Partners, Inc., Sr. Notes, 12.50%, 11/15/09 3,698 4,345,150
Ono Finance PLC, 13.00%, 5/1/09 3,405 3,656,119
</Table>
See notes to financial statements
17
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
SECURITY (000'S OMITTED) VALUE
- ------------------------------------------------------------------------------------------------------------
WIRELESS COMMUNICATION SERVICES (CONTINUED)
Ono Finance PLC, Sr. Notes, 14.00%, 7/15/10 EUR 1,840 $ 2,492,441
Ono Finance PLC, Sr. Notes, 14.00%, 2/15/11 3,672 4,273,290
Ono Finance PLC, Sr.Notes, 14.00%, 2/15/11 EUR 1,935 2,702,312
PTC International Finance II SA, 11.25%, 12/1/09 1,670 1,803,600
PTC International Finance II SA, 11.25%, 12/1/09 EUR 3,010 3,895,948
Rural Cellular Corp., Sr. Notes, 8.25%, 3/15/12(5) 2,415 2,505,563
SBA Telecommunications, Sr. Disc. Notes,
(0% until 2007), 0.00%, 12/19/11(5) 3,170 2,361,650
Telemig Celular SA/Amazonia Celular SA,
8.75%, 1/20/09(5) 2,030 1,938,650
TSI Telecommunication, Series B, 12.75%, 2/1/09 1,605 1,757,475
UbiquiTel Operating Co., Sr. Notes, 9.875%, 3/1/11(5) 5,335 5,361,675
US Unwired, Inc., Sr. Sub. Disc. Notes, Series B,
(0% until 2004), 0.00%, 11/1/09 1,940 1,940,000
Western Wireless Corp., Sr. Notes, 9.25%, 7/15/13 9,075 9,369,938
- ------------------------------------------------------------------------------------------------------------
$ 101,043,943
- ------------------------------------------------------------------------------------------------------------
WIRELINE COMMUNICATION SERVICES -- 2.5%
NTL Cable PLC, Sr. Notes, 8.75%, 4/15/14(5) $ 1,360 $ 1,411,000
Qwest Capital Funding, 7.00%, 8/3/09 1,160 977,300
Qwest Capital Funding, 7.75%, 8/15/06 965 950,525
Qwest Capital Funding, 7.75%, 2/15/31 4,115 3,127,400
Qwest Capital Funding, 7.90%, 8/15/10 3,825 3,289,500
Qwest Services Corp., 13.50%, 12/15/10(5) 17,195 20,032,175
U.S. West Communications, Debs., 7.20%, 11/10/26 585 506,025
- ------------------------------------------------------------------------------------------------------------
$ 30,293,925
- ------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES
(IDENTIFIED COST $1,078,357,822) $ 1,141,076,736
- ------------------------------------------------------------------------------------------------------------
</Table>
CONVERTIBLE BONDS -- 0.8%
<Table>
<Caption>
PRINCIPAL
AMOUNT
SECURITY (000'S OMITTED) VALUE
- ------------------------------------------------------------------------------------------------------------
Charter Communications, Inc., 5.75%, 10/15/05 $ 1,995 $ 1,940,137
Kerzner International Ltd., 2.375%, 4/15/24(4)(5) 2,720 2,699,600
Sinclair Broadcast Group, Inc., 4.875%, 7/15/18 1,480 1,492,950
Wynn Resorts, 6.00%, 7/15/15(5) 1,935 3,797,438
- ------------------------------------------------------------------------------------------------------------
TOTAL CONVERTIBLE BONDS
(IDENTIFIED COST, $8,149,427) $ 9,930,125
- ------------------------------------------------------------------------------------------------------------
</Table>
COMMON STOCKS AND WARRANTS -- 0.7%
<Table>
<Caption>
SECURITY SHARES VALUE
- ------------------------------------------------------------------------------------------------------------
CHEMICALS -- 0.0%
Pioneer Companies, Inc., Common(4)(6) 67,381 $ 320,060
Sterling Chemicals, Inc., Common 1,821 46,663
- ------------------------------------------------------------------------------------------------------------
$ 366,723
- ------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES -- 0.2%
DigitalNet Holdings, Inc., Common(6) 113,650 $ 2,700,324
- ------------------------------------------------------------------------------------------------------------
$ 2,700,324
- ------------------------------------------------------------------------------------------------------------
LODGING AND GAMING -- 0.0%
Peninsula Gaming LLC, Convertible Preferred
Membership Interests(6)(7) 25,351 $ 152,107
- ------------------------------------------------------------------------------------------------------------
$ 152,107
- ------------------------------------------------------------------------------------------------------------
PRINTING AND BUSINESS PRODUCTS -- 0.0%
Merrill Corp., Warrants, Class A, Exp. 1/1/10(4)(6) 9,547 $ 0
- ------------------------------------------------------------------------------------------------------------
$ 0
- ------------------------------------------------------------------------------------------------------------
RESTAURANTS -- 0.0%
New World Coffee, Warrants, Exp. 6/15/06(6)(7) 557 $ 6
New World Coffee, Warrants, Exp. 6/20/06(6)(7) 687 7
- ------------------------------------------------------------------------------------------------------------
$ 13
- ------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS -- 0.0%
Asat Finance, Warrants, Exp. 11/1/06(4)(6) 5,660 $ 84,221
- ------------------------------------------------------------------------------------------------------------
$ 84,221
- ------------------------------------------------------------------------------------------------------------
SERVICES -- 0.0%
HF Holdings, Inc., Warrants, Exp. 9/27/09(4)(6) 13,600 $ 0
- ------------------------------------------------------------------------------------------------------------
$ 0
- ------------------------------------------------------------------------------------------------------------
TRANSPORTATION -- 0.0%
Quality Distribution, Inc., Warrants, Exp.1/15/07(4)(6) 3,266 $ 55,685
VS Holdings, Inc., Common(6)(7) 88,916 44,458
- ------------------------------------------------------------------------------------------------------------
$ 100,143
- ------------------------------------------------------------------------------------------------------------
WIRELESS COMMUNICATION SERVICES -- 0.5%
American Tower Corp., Warrants, Exp. 8/1/08(6) 5,070 $ 808,665
Crown Castle International Corp., Common(6) 8,902 124,183
NTL, Inc., Common(6) 85,015 4,826,301
</Table>
See notes to financial statements
18
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- ------------------------------------------------------------------------------------------------------------
WIRELESS COMMUNICATION SERVICES (CONTINUED)
Ono Finance PLC, Warrants, Exp. 3/16/11(4)(6) 3,370 $ 0
Ono Finance PLC, Warrants, Exp. 5/31/09(4)(6) 9,690 0
Ono Finance PLC, Warrants, Exp. 5/31/09(4)(6) 3,390 0
- ------------------------------------------------------------------------------------------------------------
$ 5,759,149
- ------------------------------------------------------------------------------------------------------------
WIRELINE COMMUNICATION SERVICES -- 0.0%
Primus Telecommunications Group, Warrants,
Exp. 8/1/04(4)(6) 4,600 $ 0
- ------------------------------------------------------------------------------------------------------------
$ 0
- ------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS AND WARRANTS
(IDENTIFIED COST $8,142,520) $ 9,162,680
- ------------------------------------------------------------------------------------------------------------
</Table>
CONVERTIBLE PREFERRED STOCKS -- 1.0%
<Table>
<Caption>
SECURITY SHARES VALUE
- ------------------------------------------------------------------------------------------------------------
ENTERTAINMENT -- 0.0%
Six Flags, Inc. 19,570 $ 454,024
- ------------------------------------------------------------------------------------------------------------
$ 454,024
- ------------------------------------------------------------------------------------------------------------
NETWORKING PRODUCTS -- 0.1%
Lucent Technologies Capital Trust I 745 $ 869,788
- ------------------------------------------------------------------------------------------------------------
$ 869,788
- ------------------------------------------------------------------------------------------------------------
OIL AND GAS - EQUIPMENT AND SERVICES -- 0.3%
Chesapeake Energy Corp. 11,225 $ 1,247,378
Williams Cos., Inc.(5) 45,592 3,048,965
- ------------------------------------------------------------------------------------------------------------
$ 4,296,343
- ------------------------------------------------------------------------------------------------------------
WIRELESS COMMUNICATION SERVICES -- 0.6%
Crown Castle International Corp. 152,605 $ 7,115,208
- ------------------------------------------------------------------------------------------------------------
$ 7,115,208
- ------------------------------------------------------------------------------------------------------------
TOTAL CONVERTIBLE PREFERRED STOCKS
(IDENTIFIED COST $11,194,945) $ 12,735,363
- ------------------------------------------------------------------------------------------------------------
</Table>
PREFERRED STOCKS -- 0.4%
<Table>
<Caption>
SECURITY SHARES VALUE
- ------------------------------------------------------------------------------------------------------------
WIRELESS COMMUNICATION SERVICES -- 0.4%
Rural Cellular Corp., 12.25% (PIK) 7,142 $ 5,017,417
- ------------------------------------------------------------------------------------------------------------
$ 5,017,417
- ------------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS
(IDENTIFIED COST $5,925,280) $ 5,017,417
- ------------------------------------------------------------------------------------------------------------
</Table>
SHORT-TERM INVESTMENTS -- 1.0%
<Table>
<Caption>
PRINCIPAL
AMOUNT
SECURITY (000'S OMITTED) VALUE
- ------------------------------------------------------------------------------------------------------------
Investors Bank & Trust Company Time
Deposit, 1.07%, 5/3/04 $ 12,528 $ 12,528,000
- ------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS
(AT AMORTIZED COST, $12,528,000) $ 12,528,000
- ------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 97.8%
(IDENTIFIED COST $1,138,671,307) $ 1,205,833,253
- ------------------------------------------------------------------------------------------------------------
OTHER ASSETS, LESS LIABILITIES -- 2.2% $ 26,734,713
- ------------------------------------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 1,232,567,966
- ------------------------------------------------------------------------------------------------------------
</Table>
EUR - Euro Dollar
PIK - Payment In Kind.
(1) Senior floating-rate interests often require prepayments from excess cash
flows or permit the borrower to repay at its election. The degree to which
borrowers repay, whether as a contractual requirement or at their election,
cannot be predicted with accuracy. As a result, the actual remaining
maturity may be substantially less than the stated maturities shown.
However, it is anticipated that the senior floating-rate interests will
have an expected average life of approximately two to four years.
(2) Interest rates are periodically predetermined by a reference to a base
lending rate plus a premium. These base lending rates are generally (i) the
prime rate offered by one or more major United States banks or (ii) the
lending rate offered by one or more European banks such as the London
Inter-Bank Offered Rate (LIBOR).
(3) Defaulted security.
(4) Security valued at fair value using methods determined in good faith by or
at the direction of the Trustees.
(5) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(6) Non-income producing security.
(7) Restricted security.
See notes to financial statements
19
<Page>
HIGH INCOME PORTFOLIO as of April 30, 2004
FINANCIAL STATEMENTS (Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
AS OF APRIL 30, 2004
<Table>
ASSETS
Investments, at value (identified cost, $1,138,671,307) $ 1,205,833,253
Cash 22,399
Receivable for investments sold 15,035,709
Interest and dividends receivable 26,409,549
- ------------------------------------------------------------------------------------------------
TOTAL ASSETS $ 1,247,300,910
- ------------------------------------------------------------------------------------------------
LIABILITIES
Payable for investments purchased $ 14,562,634
Payable for open forward foreign currency contracts 114,702
Payable for Trustees' fees 2,183
Accrued expenses 53,425
- ------------------------------------------------------------------------------------------------
TOTAL LIABILITIES $ 14,732,944
- ------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO INVESTORS' INTEREST IN PORTFOLIO $ 1,232,567,966
- ------------------------------------------------------------------------------------------------
SOURCES OF NET ASSETS
Net proceeds from capital contributions and withdrawals $ 1,165,507,349
Net unrealized appreciation (computed on the basis of identified cost) 67,060,617
- ------------------------------------------------------------------------------------------------
TOTAL $ 1,232,567,966
- ------------------------------------------------------------------------------------------------
</Table>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED
APRIL 30, 2004
<Table>
INVESTMENT INCOME
Interest $ 55,982,987
Dividends 1,255,522
Miscellaneous 508,639
- ------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME $ 57,747,148
- ------------------------------------------------------------------------------------------------
EXPENSES
Investment adviser fee $ 3,414,051
Trustees' fees and expenses 15,078
Custodian fee 170,867
Legal and accounting services 34,565
Miscellaneous 5,623
- ------------------------------------------------------------------------------------------------
Total expenses $ 3,640,184
- ------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 54,106,964
- ------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 6,679,467
Foreign currency and forward foreign currency exchange
contract transactions 363,598
- ------------------------------------------------------------------------------------------------
NET REALIZED GAIN $ 7,043,065
- ------------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 24,769,562
Foreign currency and forward foreign currency exchange contracts (178,384)
- ------------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) $ 24,591,178
- ------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN $ 31,634,243
- ------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 85,741,207
- ------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
20
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
INCREASE (DECREASE) APRIL 30, 2004 YEAR ENDED
IN NET ASSETS (UNAUDITED) OCTOBER 31, 2003
- ------------------------------------------------------------------------------------------------------------
From operations --
Net investment income $ 54,106,964 $ 103,905,446
Net realized gain from investments and
foreign currency transactions 7,043,065 26,267,616
Net change in unrealized
appreciation (depreciation) from
investments and foreign currency 24,591,178 174,501,253
- ------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 85,741,207 $ 304,674,315
- ------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 277,309,110 $ 225,082,542
Withdrawals (294,525,404) (255,366,876)
- ------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
CAPITAL TRANSACTIONS $ (17,216,294) $ (30,284,334)
- ------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS $ 68,524,913 $ 274,389,981
- ------------------------------------------------------------------------------------------------------------
NET ASSETS
At beginning of period $ 1,164,043,053 $ 889,653,072
- ------------------------------------------------------------------------------------------------------------
AT END OF PERIOD $ 1,232,567,966 $ 1,164,043,053
- ------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
21
<Page>
SUPPLEMENTARY DATA
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED OCTOBER 31, YEAR ENDED MARCH 31,
APRIL 30, 2004 ------------------------------------------------ -------------------------
(UNAUDITED) 2003 2002(1) 2001 2000(2) 2000 1999
- -----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratios (As a percentage of
average daily net assets):
Expenses 0.60%(3) 0.66% 0.64% 0.67% 0.67%(3) 0.64% 0.65%
Net investment income 8.89%(3) 10.04% 10.38% 11.96% 11.46%(3) 10.54% 10.23%
Portfolio Turnover 38% 122% 88% 83% 41% 113% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
Total Return(4) 7.38% 34.76% (4.36)% -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S OMITTED) $ 1,232,568 $ 1,164,043 $ 889,653 $ 1,186,751 $ 1,163,806 $ 1,184,998 $ 1,039,223
- -----------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) The Portfolio has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies and began using the interest
method to amortize premiums on fixed-income securities. The effect of this
change for the year ended October 31, 2002 was to decrease the ratio of net
investment income to average net assets from 10.59% to 10.38%. Ratios for
the periods prior to November 1, 2001 have not been restated to reflect
this change in presentation.
(2) For the seven-month period ended October 31, 2000.
(3) Annualized.
(4) Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
See notes to financial statements
22
<Page>
HIGH INCOME PORTFOLIO as of April 30, 2004
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1 SIGNIFICANT ACCOUNTING POLICIES
High Income Portfolio (the Portfolio) is registered under the Investment
Company Act of 1940 as a diversified open-end management investment company
which was organized as a trust under the laws of the State of New York on May
1, 1992. The Declaration of Trust permits the Trustees to issue interests in
the Portfolio. At April 30, 2004 Eaton Vance High Income Fund, Eaton Vance
Floating-Rate High Income Fund and Eaton Vance Strategic Income Fund held an
approximate 75.8%, 12.5% and 5.6% interest in the Portfolio, respectively.
The following is a summary of significant accounting policies of the
Portfolio. The policies are in conformity with accounting principles
generally accepted in the United States of America.
A INVESTMENT VALUATIONS -- Investments listed on securities exchanges are
valued at closing sale prices. Investments listed on the NASDAQ National
Market System are valued at the NASDAQ official closing price. Listed or
unlisted investments for which closing sale prices are not available are
valued at the mean between the latest bid and asked prices. Fixed income
investments (other than short-term obligations), including listed investments
and investments for which price quotations are available, will normally be
valued on the basis of market valuations furnished by a pricing service.
Financial futures contracts listed on commodity exchanges are valued at
closing settlement prices. Short-term obligations, maturing in sixty days or
less, are valued at amortized cost, which approximates fair value. The
Portfolio also invests in interests in senior floating rate loans (Senior
Loans). The Portfolio's investment adviser, Boston Management and Research
(BMR) a wholly owned subsidiary of Eaton Vance Management (EVM), has
characterized certain Senior Loans as liquid based on a predetermined
acceptable number and range of market quotations available. Such loans are
valued on the basis of market valuations furnished by a pricing service.
Investments for which there are no quotations or valuations are valued at
fair value using methods determined in good faith by or at the direction of
the Trustees. Other Senior Loans are valued at fair value by BMR under
procedures established by the Trustees as permitted by section 2(a)(41).
B INCOME -- Interest income is determined on the basis of interest accrued,
adjusted for amortization of premium or discount. Dividend income is recorded
on ex-dividend date for dividends received in cash and/or securities.
However, if the ex-dividend date has passed, certain dividends from foreign
securities are recorded as the Portfolio is informed of the ex-dividend date.
C INCOME TAXES -- The Portfolio has elected to be treated as a partnership
for United States Federal tax purposes. No provision is made by the Portfolio
for federal or state taxes on any taxable income of the Portfolio because
each investor in the Portfolio is ultimately responsible for the payment of
any taxes. Since some of the Portfolio's investors are regulated investment
companies that invest all or substantially all of their assets in the
Portfolio, the Portfolio normally must satisfy the applicable source of
income and diversification requirements (under the Internal Revenue Code) in
order for its investors to satisfy them. The Portfolio will allocate at least
annually among its investors each investor's distributive share of the
Portfolio's net taxable investment income, net realized capital gains, and
any other items of income, gain, loss, deduction or credit.
D FINANCIAL FUTURES CONTRACTS -- Upon the entering of a financial futures
contract, the Portfolio is required to deposit (initial margin) either in
cash or securities an amount equal to a certain percentage of the purchase
price indicated in the financial futures contract. Subsequent payments are
made or received by the Portfolio (margin maintenance) each day, dependent on
the daily fluctuations in the value of the underlying security, and are
recorded for book purposes as unrealized gains or losses by the Portfolio.
The Portfolio's investment in financial futures contracts is designed only to
hedge against anticipated future changes in interest rates. Should interest
rates move unexpectedly, the Portfolio may not achieve the anticipated
benefits of the financial futures contracts and may realize a loss.
E FOREIGN CURRENCY TRANSLATION -- Investment valuations, other assets, and
liabilities initially expressed in foreign currencies are converted each
business day into U.S. dollars based upon current exchange rates. Purchases
and sales of foreign investment securities and income and expenses are
converted into U.S. dollars based upon currency exchange rates prevailing on
the respective dates of such transactions. Realized gains or losses on
investment transactions attributable to changes in foreign currency exchange
rates are recorded for financial statement purposes as net realized gains and
losses on investments. That portion of unrealized gains and losses on
investments that results from fluctuations in foreign currency exchange rates
is not separately disclosed.
F FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- The Portfolio may enter into
forward foreign currency exchange contracts for the purchase or sale of a
specific foreign currency at a fixed price on a future date. Risks may arise
upon entering these contracts from the
23
<Page>
potential inability of counterparties to meet the terms of their contracts
and from movements in the value of a foreign currency relative to the U.S.
dollar. The Portfolio will enter into forward contracts for hedging purposes
as well as non-hedging purposes. The forward foreign currency exchange
contracts are adjusted by the daily exchange rate of the underlying currency
and any gains or losses are recorded for financial statement purposes as
unrealized until such time as the contracts have been closed.
G USE OF ESTIMATES -- The preparation of the financial statements in
conformity with accounting principles generally accepted in the United States
of America requires management to make estimates and assumptions that affect
the reported amounts of assets and liabilities at the date of the financial
statements and the reported amount of revenue and expense during the
reporting period. Actual results could differ from those estimates.
H INDEMNIFICATIONS -- Under the Portfolio's organizational documents, its
officers and Trustees may be indemnified against certain liabilities and
expenses arising out of the performance of their duties to the Portfolio.
Interestholders in the Portfolio are jointly and severally liable for the
liabilities and obligations of the Portfolio in the event that the Portfolio
fails to satisfy such liabilities and obligations; provided, however, that,
to the extent assets are available in the Portfolio, the Portfolio may, under
certain circumstances, indemnify interestholders from and against any claim
or liability to which such holder may become subject by reason of being or
having been an interestholder in the Portfolio. Additionally, in the normal
course of business, the Portfolio enters into agreements with service
providers that may contain indemnification clauses. The Portfolio's maximum
exposure under these arrangements is unknown as this would involve future
claims that may be made against the Portfolio that have not yet occurred.
I OTHER -- Investment transactions are accounted for on a trade date basis.
Realized gains and losses are computed based on the specific identification
of the securities sold.
J INTERIM FINANCIAL STATEMENTS -- The interim financial statements relating
to April 30, 2004 and for the six months then ended have not been audited by
independent certified public accountants, but in the opinion of the
Portfolio's management reflect all adjustments, consisting only of normal
recurring adjustments, necessary for the fair presentation of the financial
statements.
2 INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES
The investment adviser fee is earned by BMR, a wholly-owned subsidiary of
EVM, as compensation for management and investment advisory services rendered
to the Portfolio. The fee is based upon a percentage of average daily net
assets plus a percentage of gross income (i.e., income other than gains from
the sale of securities). For the six months ended April 30, 2004, the fee was
equivalent to 0.56% (annualized) of the Portfolio's average daily net assets
and amounted to $3,414,051. Except as to Trustees of the Portfolio who are
not members of EVM's or BMR's organization, officers and Trustees receive
remuneration for their services to the Portfolio out of such investment
adviser fee. Certain officers and Trustees of the Portfolio are officers of
the above organizations. Trustees of the Portfolio that are not affiliated
with the investment adviser may elect to defer receipt of all or a portion of
their annual fees in accordance with the terms of the Trustees Deferred
Compensation Plan. For the six months ended April 30, 2004, no significant
amounts have been deferred.
3 INVESTMENTS
The Portfolio invests primarily in debt securities. The ability of the
issuers of the debt securities held by the Portfolio to meet their
obligations may be affected by economic developments in a specific industry.
Purchases and sales of investments, other than U.S. Government securities and
short-term obligations, aggregated $474,906,183 and $456,090,087,
respectively, for the six months ended April 30, 2004.
4 LINE OF CREDIT
The Portfolio participates with other portfolios and funds managed by BMR and
EVM and its affiliates in a $150 million unsecured line of credit agreement
with a group of banks. Borrowings will be made by the Portfolio solely to
facilitate the handling of unusual and/or unanticipated short-term cash
requirements. Interest is charged to each participating portfolio or fund
based on its borrowings at an amount above either the Eurodollar rate or
federal funds rate. In addition, a fee computed at an annual rate of 0.10% on
the daily unused portion of the line of credit is allocated among the
participating portfolios and funds at the end of each quarter. The Portfolio
did not have any significant borrowings or allocated fees during the six
months ended April 30, 2004.
24
<Page>
5 FINANCIAL INSTRUMENTS
The Portfolio regularly trades in financial instruments with off-balance
sheet risk in the normal course of its investing activities to assist in
managing exposure to various market risks. These financial instruments
include written options, forward foreign currency contracts and financial
futures contracts and may involve, to a varying degree, elements of risk in
excess of the amounts recognized for financial statement purposes. The
notional or contractual amounts of these instruments represent the investment
the Portfolio has in particular classes of financial instruments and does not
necessarily represent the amounts potentially subject to risk. The
measurement of the risks associated with these instruments is meaningful only
when all related and offsetting transactions are considered. A summary of
obligations under these financial instruments at April 30, 2004 is as
follows:
Forward Foreign Currency Exchange Contracts
SALES
<Table>
<Caption>
NET
SETTLEMENT IN EXCHANGE FOR UNREALIZED
DATE(S) DELIVER (IN U.S. DOLLARS) DEPRECIATION
-------------------------------------------------------------------
5/28/04 Euro Dollar 7,819,833 $ 9,253,208 $ (114,702)
-------------------------------------------------------------------
$ 9,253,208 $ (114,702)
-------------------------------------------------------------------
</Table>
At April 30, 2004, the Portfolio had sufficient cash and/or securities to
cover any margin requirements under these contracts.
6 FEDERAL INCOME TAX BASIS OF UNREALIZED APPRECIATION (DEPRECIATION)
The cost and unrealized appreciation (depreciation) in value of the
investments owned at April 30, 2004 as computed on a federal income tax
basis, were as follows:
<Table>
AGGREGATE COST $ 1,142,210,373
-------------------------------------------------------
Gross unrealized appreciation $ 89,816,426
Gross unrealized depreciation (26,193,546)
-------------------------------------------------------
NET UNREALIZED APPRECIATION $ 63,622,880
-------------------------------------------------------
</Table>
7 RESTRICTED SECURITIES
At April 30, 2004, the Portfolio owned the following securities (representing
less than 0.1% of net assets) which were restricted as to public resale and
not registered under the Securities Act of 1933 (excluding Rule 144A
securities). The Portfolio has various registration rights (exercisable under
a variety of circumstances) with respect to these securities. The fair value
of these securities is determined based on valuations provided by brokers
when available, or if not available, they are valued at fair value using
methods determined in good faith by or at the direction of the Trustees.
<Table>
<Caption>
DATE OF
DESCRIPTION ACQUISITION SHARES/FACE COST FAIR VALUE
---------------------------------------------------------------------------------
COMMON STOCKS AND WARRANTS
New World Coffee,
Warrants, Exp. 6/15/06 9/15/02 -
7/15/02 557 $ 0 $ 6
New World Coffee,
Warrants, Exp. 6/20/06 9/30/02 687 0 7
Peninsula Gaming LLC,
Convertible Preferred
Membership Interests 7/08/99 25,351 0 152,107
VS Holdings, Inc., Common 4/03/02 88,916 1,111,000 44,458
---------------------------------------------------------------------------------
$ 1,111,000 $ 196,578
---------------------------------------------------------------------------------
</Table>
25
<Page>
INVESTMENT MANAGEMENT
HIGH INCOME PORTFOLIO
OFFICERS
Michael W. Weilheimer
President and Co-Portfolio
Manager
Thomas P. Huggins
Vice President and Co-Portfolio
Manager
Barbara E. Campbell
Treasurer
Alan R. Dynner
Secretary
TRUSTEES
James B. Hawkes
Samuel L. Hayes, III
William H. Park
Ronald A. Pearlman
Norton H. Reamer
Lynn A. Stout
26
<Page>
ITEM 2. CODE OF ETHICS
[[NOTE: REGISTRANT MUST DISCLOSE HERE IF THERE HAS BEEN AN AMENDMENT TO THE
CODE. REGISTRANT MUST ALSO DISCLOSE IF THERE HAVE BEEN ANY EXPLICIT OR IMPLICIT
WAIVERS OF THE CODE UNDER THIS ITEM AS WELL.]]
The registrant has adopted a code of ethics applicable to its Principal
Executive Officer, Principal Financial Officer and Principal Accounting Officer.
The registrant undertakes to provide a copy of such code of ethics to any person
upon request, without charge, by calling 1-800-262-1122.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
The registrant's Board has designated William H. Park, Samuel L. Hayes, III and
Norton H. Reamer, each an independent trustee, as its audit committee financial
experts. Mr. Park is a certified public accountant who is the President and
Chief Executive Officer of Prizm Capital Management, LLC (investment management
firm). Previously, he served as Executive Vice President and Chief Financial
Officer of United Asset Management Corporation ("UAM") (a holding company owning
institutional investment management firms). Mr. Hayes is the Jacob H. Schiff
Professor of Investment Banking Emeritus of the Harvard University Graduate
School of Business Administration. Mr. Reamer is the President, Chief Executive
Officer and a Director of Asset Management Finance Corp. (a specialty finance
company serving the investment management industry) and is President of Unicorn
Corporation (an investment and financial advisory services company). Formerly,
Mr. Reamer was Chairman of Hellman, Jordan Management Co., Inc. (an investment
management company) and Advisory Director of Berkshire Capital Corporation (an
investment banking firm), Chairman of the Board of UAM and Chairman, President
and Director of the UAM Funds (mutual funds).
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
Not required in this filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not required in this filing.
ITEM 6. SCHEDULE OF INVESTMENTS
Please see schedule of investments contained in the Report to Stockholders
included under Item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES
Not required in this filing.
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
<Page>
Not required in this filing.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Effective February 9, 2004, the Governance Committee of the Board of Trustees
formalized the procedures by which a Fund's shareholders may recommend nominees
to the registrant's Board of Trustees. The Governance Committee shall, when
identifying candidates for the position of Independent Trustee, consider any
such candidate recommended by a shareholder of a Fund if such recommendation
contains sufficient background information concerning the candidate, and is
received in a sufficiently timely manner (and in any event no later than the
date specified for receipt of shareholder proposals in any applicable proxy
statement with respect to a Fund). Shareholders shall be directed to address any
such recommendations to the attention of the Governance Committee, c/o the
Secretary of the Fund.
ITEM 10. CONTROLS AND PROCEDURES
(a) It is the conclusion of the registrant's principal executive officer and
principal financial officer that the effectiveness of the registrant's current
disclosure controls and procedures (such disclosure controls and procedures
having been evaluated within 90 days of the date of this filing) provide
reasonable assurance that the information required to be disclosed by the
registrant has been recorded, processed, summarized and reported within the time
period specified in the Commission's rules and forms and that the information
required to be disclosed by the registrant has been accumulated and communicated
to the registrant's principal executive officer and principal financial officer
in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant's internal controls over
financial reporting during the period that has materially affected, or is
reasonably likely to materially affect the registrant's internal control over
financial reporting.
ITEM 11. EXHIBITS
(a)(1) Registrant's Code of Ethics - Not applicable (please see Item 2).
(a)(2)(i) Treasurer's Section 302 certification.
(a)(2)(ii) President's Section 302 certification.
(b) Combined Section 906 certification.
<Page>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
HIGH INCOME PORTFOLIO
By: /s/ Michael W. Weilheimer
-------------------------
Michael W. Weilheimer
President
Date: June 14, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ Barbara E. Campbell
-----------------------
Barbara E. Campbell
Treasurer
Date: June 14, 2004
By: /s/ Michael W. Weilheimer
-------------------------
Michael W. Weilheimer
President
Date: June 14, 2004