UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

Form N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

811-22044

Investment Company Act File Number

 

Eaton Vance Risk-Managed Diversified Equity Income Fund

(Exact Name of Registrant as Specified in Charter)

 

Two International Place Boston, MA 02110

(Address of Principal Executive Offices)

 

Maureen A. Gemma

Two International Place Boston, MA 02110

(Name and Address of Agent for Services)

 

(617) 482-8260

(Registrant’s Telephone Number, Including Area Code)

 

December 31

Date of Fiscal Year End

 

September 30, 2009

Date of Reporting Period

 

 

Item 1. Schedule of Investments

 

PORTFOLIO OF INVESTMENTS (Unaudited)

 

Common Stocks — 93.1%

 

 

1

 

2

 

3

 

Put Options Purchased — 6.4%

 

 

4

Short-Term Investments — 2.7%

 

 

Covered Call Options Written — (1.0)%

 

 

 

5

The cost and unrealized appreciation (depreciation) of investments of the Fund at September 30, 2009, as determined on a federal income tax basis, were as follows:

 

Aggregate cost		$	1,135,393,102
Gross unrealized appreciation		$	111,800,728
Gross unrealized depreciation			(37,532,600	)
Net unrealized appreciation		$	74,268,128

 

Written call options activity for the fiscal year to date ended September 30, 2009 was as follows:

 

		Number				Premiums
		of Contracts				Received
Outstanding, beginning of period			9,834			$	11,956,243
Options written			68,534				139,017,159
Options terminated in closing purchase transactions			(70,953	)			(133,579,943	)
Outstanding, end of period			7,415			$	17,393,459

 

All of the assets of the Fund are subject to segregation to satisfy the requirements of the escrow agent. At September 30, 2009, the Fund had sufficient cash and/or securities to cover commitments under these contracts.

 

The Fund is subject to equity price risk in the normal course of pursuing its investment objective. The Fund generally intends to purchase index put options below the current value of the index to reduce the Fund’s exposure to market risk and volatility. In buying index put options, the Fund in effect, acquires protection against decline in the value of the applicable index below the exercise price in exchange for the option premium paid. The Fund generally intends to write index call options above the current value of the index to generate premium income. In writing index call options, the Fund in effect, sells potential appreciation in the value of the applicable index above the exercise price in exchange for the option premium received. The Fund retains the risk of loss, minus the premium received, should the price of the underlying index decline.

 

At September 30, 2009, the aggregate fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in a liability position and whose primary underlying risk exposure is interest rate risk was $11,887,600.

 

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.

 

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

6

At September 30, 2009, the inputs used in valuing the Fund’s investments, which are carried at value, were as follows:

 

		Quoted Priced in
		Active Markets for				Significant Other				Significant
		Identical Assets				Observable Inputs				Unobservable Inputs
Asset Description		(Level 1)				(Level 2)				(Level 3)				Total
Common Stocks
Consumer Discretionary		$	110,055,459			$	—			$	—			$	110,055,459
Consumer Staples			113,246,127				9,464,476				—				122,710,603
Energy			131,138,021				—				—				131,138,021
Financials			166,656,752				—				—				166,656,752
Health Care			147,245,186				—				—				147,245,186
Industrials			119,514,967				—				—				119,514,967
Information Technology			212,666,631				—				—				212,666,631
Materials			42,119,583				—				—				42,119,583
Telecommunication Services			27,447,362				—				—				27,447,362
Utilities			22,202,291				—				—				22,202,291
Total Common Stocks		$	1,092,292,379			$	9,464,476	*		$	—			$	1,101,756,855
Put Options Purchased		$	75,725,825			$	—			$	—			$	75,725,825
Short-Term Investments			32,178,550				—				—				32,178,550
Total Investments		$	1,200,196,754			$	9,464,476			$	—			$	1,209,661,230
Liability Description
Covered Call Options Written		$	(11,887,600	)		$	—			$	—			$	(11,887,600	)
Total		$	(11,887,600	)		$	—			$	—			$	(11,887,600	)

 

 

The Fund held no investments or other financial instruments as of December 31, 2008 whose fair value was determined using Level 3 inputs.

 

For information on the Fund’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.

 

7

 

Item 2. Controls and Procedures

 

(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant on this Form N-Q has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant on this Form N-Q has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

 

(b) There have been no changes in the registrant’s internal controls over financial reporting during the fiscal quarter for which the report is being filed that have materially affected, or are reasonably likely to materially affect the registrant’s internal control over financial reporting.

 

Signatures

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Eaton Vance Risk-Managed Diversified Equity Income Fund

 

 

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.