-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, Q+jmomuZ4eVVdcROJwMO9tC36pxistmVutHBN0AicR8aPwv0YSxzAQQIiu7l+qHa Hp4mauJRGUusznfEhe4sOg== 0001047469-04-037897.txt : 20041221 0001047469-04-037897.hdr.sgml : 20041221 20041221151703 ACCESSION NUMBER: 0001047469-04-037897 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20041031 FILED AS OF DATE: 20041221 DATE AS OF CHANGE: 20041221 EFFECTIVENESS DATE: 20041221 FILER: COMPANY DATA: COMPANY CONFORMED NAME: EATON VANCE LIMITED DURATION INCOME FUND CENTRAL INDEX KEY: 0001222922 IRS NUMBER: 000000000 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-21323 FILM NUMBER: 041217102 MAIL ADDRESS: STREET 1: 255 STATE STREET CITY: BOSTON STATE: MA ZIP: 02109 N-CSRS 1 a2148900zn-csrs.txt N-CSRS UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act File Number: 811-21323 --------- Eaton Vance Limited Duration Income Fund ---------------------------------------- (Exact Name of registrant as Specified in Charter) The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109 ----------------------------------------------------------------------- (Address of Principal Executive Offices) Alan R. Dynner The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109 ----------------------------------------------------------------------- (Name and Address of Agent for Services) (617) 482-8260 -------------- (registrant's Telephone Number) April 30 -------- Date of Fiscal Year End October 31, 2004 ---------------- Date of Reporting Period ITEM 1. REPORTS TO STOCKHOLDERS [EV LOGO] [GRAPHIC IMAGE] SEMIANNUAL REPORT OCTOBER 31, 2004 [GRAPHIC IMAGE] EATON VANCE LIMITED DURATION INCOME FUND [GRAPHIC IMAGE] PRIVACY NOTICE 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, 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 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, Boston Management and Research, and Eaton Vance Distributors, Inc. In addition, our Privacy Policy only 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. IMPORTANT NOTICE REGARDING DELIVERY OF SHAREHOLDER DOCUMENTS The Securities and Exchange Commission 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. The Fund will file a schedule of its portfolio holdings on Form N-Q with the Securities and Exchange Commission (the "SEC") for the first and third quarters of each fiscal year. The Fund's Form N-Q will be available on the Eaton Vance website 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). 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 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 without charge, upon request, by calling 1-800-262-1122. This description is also available on the Securities and Exchange Commission's website at http://www.sec.gov. EATON VANCE LIMITED DURATION INCOME FUND as of October 31, 2004 MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE THE FUND Performance - - Based on the Fund's October 2004 monthly dividend of $0.1345 and a closing share price of $19.25, the Fund had a market yield of 8.38%.(1) - - Based on share price (traded on the American Stock Exchange), the Fund had a total return of 12.84% for the six months ended October 31, 2004. That return was the result of an increase in share price from $17.81 on April 30, 2004 to $19.25 on October 31, 2004 and the reinvestment of $0.807 in regular monthly dividends.(1) - - Based on net asset value, the Fund had a total return of 4.12% for the six months ended October 31, 2004. That return was the result of a decrease in net asset value per share from $19.07 on April 30, 2004 to $19.02 on October 31, 2004, and the reinvestment of all distributions. The Fund's Investments - - Among the corporate loan and bond portfolio portions of the Fund, the Fund's managers continued to emphasize broad industry diversification. Investments included companies in cyclical sectors that may benefit from a continued recovery in overall economic activity. The Fund also had commitments in defensive, non-economically sensitive companies whose revenues derive from non-discretionary expenditures and are, therefore, less reliant on a sustained recovery. At October 31, 2004, the Fund's investments represented 52 industries, with no single sector representing as much as 8% of the Fund's net assets. The largest industry weightings were telecommunications, health care, chemicals and plastics, radio and television and publishing. - - Due to improving fundamentals and strong technical factors in the loan market, loan credit spreads for new issues narrowed and prices averaged above-par in the secondary market. These trends have increased the importance of diligent risk-management. - - Among its high-yield corporate bond investments, while management continued its historical focus on the B-rated portion of the high-yield market, the Fund was less involved in turnaround situations, focusing instead on B-rated bonds that management believes may be positioned for an upgrade. The Fund's chemical investments fared especially well, as producers of commodity chemicals and specialty chemicals alike have seen increased demand in response to a stronger economy. These companies have products used in industrial processes and are thus leveraged to a turnaround in the broader cyclical economy and could benefit from an upturn in manufacturing. - - The mortgage-backed securities (MBS) market improved somewhat during the year. Seasoned MBS spreads were around 150 basis points (1.50%) at October 31, 2004, down from 175 basis points (1.75%) at April 30, 2004. Prepayment rates for the Fund's seasoned MBS declined significantly over the course of the year, falling to near 25% by October 31, 2004 from from their peak around 50% in 2003. Interestingly, while this trend marked a significant improvement, the rate of decline was somewhat below expectations due, in part, to a flattening of the yield curve. That is, while short-term rates rose, longer-term rates moved slightly lower, keeping 30-year mortgage rates near historical lows. We believe that seasoned MBS may fare better in a stable-to slightly-higher long-term interest rate scenario. Signs of a sustained economic recovery would likely pressure long-term rates higher. THE VIEWS EXPRESSED IN THIS REPORT ARE THOSE OF THE PORTFOLIO MANAGERS AND ARE CURRENT ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON THE COVER. THESE VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED UPON MARKET OR OTHER CONDITIONS, AND EATON VANCE DISCLAIMS ANY RESPONSIBILITY TO UPDATE SUCH VIEWS. THESE VIEWS MAY NOT BE RELIED ON AS INVESTMENT ADVICE AND, BECAUSE INVESTMENT DECISIONS FOR AN EATON VANCE FUND ARE BASED ON MANY FACTORS, MAY NOT BE RELIED ON AS AN INDICATION OF TRADING INTENT ON BEHALF OF ANY EATON VANCE FUND. FUND INFORMATION AS OF OCTOBER 31, 2004 PERFORMANCE(2) AVERAGE ANNUAL TOTAL RETURN (BY SHARE PRICE, AMEX) - ---------------------------------------------------------------- One year 11.66% Life of Fund (5/30/03) 8.91
AVERAGE ANNUAL TOTAL RETURN (AT NET ASSET VALUE) - ---------------------------------------------------------------- One year 8.30% Life of Fund (5/30/03) 8.00
(1) THE FUND'S MARKET YIELD IS CALCULATED BY DIVIDING THE MOST RECENT DIVIDEND PER SHARE BY THE SHARE MARKET PRICE AT THE END OF THE PERIOD AND ANNUALIZING THE RESULT. (2) RETURNS ARE HISTORICAL AND ARE CALCULATED BY DETERMINING THE PERCENTAGE CHANGE IN NET ASSET VALUE OR SHARE PRICE (AS APPLICABLE) WITH ALL DISTRIBUTIONS REINVESTED. PERFORMANCE RESULTS REFLECT THE EFFECT OF LEVERAGE RESULTING FROM THE FUND'S ISSUANCE OF AUCTION PREFERRED SHARES. IN THE EVENT OF A RISE IN LONG-TERM INTEREST RATES, THE VALUE OF THE FUND'S INVESTMENT PORTFOLIO COULD DECLINE, WHICH WOULD REDUCE THE ASSET COVERAGE FOR ITS AUCTION PREFERRED SHARES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. RETURNS ARE HISTORICAL AND ARE CALCULATED BY DETERMINING THE PERCENTAGE CHANGE IN NET ASSET VALUE OR SHARE PRICE (AS APPLICABLE) WITH ALL DISTRIBUTIONS REINVESTED. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE IS FOR THE STATED TIME PERIOD ONLY; DUE TO MARKET VOLATILITY, THE FUND'S CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE QUOTED RETURN. FUND SHARES ARE NOT INSURED BY THE FDIC AND ARE NOT DEPOSITS OR OTHER OBLIGATIONS OF, OR GUARANTEED BY, ANY DEPOSITORY INSTITUTION. SHARES ARE SUBJECT TO INVESTMENT RISKS, INCLUDING POSSIBLE LOSS OF PRINCIPAL INVESTED. YIELDS WILL VARY. 2 EATON VANCE LIMITED DURATION INCOME FUND as of October 31, 2004 PORTFOLIO OF INVESTMENTS (Unaudited) SENIOR, FLOATING RATE INTERESTS -- 48.5%(1)
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE - --------------------------------------------------------------------------------------------------- AEROSPACE AND DEFENSE -- 0.8% ALLIANT TECHSYSTEMS, INC. $ 3,450,000 Term Loan, 5.67%, Maturing March 31, 2011 $ 3,497,437 CACI INTERNATIONAL, INC. 1,368,125 Term Loan, 3.95%, Maturing May 3, 2011 1,381,806 STANDARD AERO HOLDINGS, INC. 790,193 Term Loan, 4.51%, Maturing August 24, 2012 801,552 TRANSDIGM, INC. 5,273,500 Term Loan, 5.44%, Maturing July 22, 2010 5,347,661 UNITED DEFENSE INDUSTRIES, INC. 5,199,536 Term Loan, 3.97%, Maturing June 30, 2009 5,250,881 - --------------------------------------------------------------------------------------------------- $ 16,279,337 - --------------------------------------------------------------------------------------------------- AIR TRANSPORT -- 0.0% UNITED AIRLINES, INC. $ 1,000,000 DIP Loan, 8.00%, Maturing June 30, 2005 $ 1,011,250 - --------------------------------------------------------------------------------------------------- $ 1,011,250 - --------------------------------------------------------------------------------------------------- AUTOMOTIVE -- 2.9% ACCURIDE CORP. $ 4,875,500 Term Loan, 6.69%, Maturing June 13, 2007 $ 5,006,529 COLLINS & AIKMAN PRODUCTS, CO. 2,967,840 Revolving Loan, 5.81%, Maturing August 31, 2009 2,964,130 DAYCO PRODUCTS, LLC 2,992,500 Term Loan, 3.98%, Maturing June 23, 2011 3,041,128 EXIDE TECHNOLOGIES 1,275,000 Term Loan, 5.25%, Maturing May 5, 2010 1,278,187 1,275,000 Term Loan, 5.25%, Maturing May 5, 2010 1,278,187 FEDERAL-MOGUL CORP. 1,919,081 Term Loan, 5.71%, Maturing February 6, 2005 1,940,671 5,626,706 Term Loan, 5.71%, Maturing February 24, 2005 5,668,906 HLI OPERATING CO., INC. 5,711,667 Term Loan, 4.25%, Maturing June 3, 2009 5,789,311 KEY AUTOMOTIVE GROUP 1,189,872 Term Loan, 4.87%, Maturing June 29, 2010 1,204,374 MERIDIAN AUTOMOTIVE SYSTEMS 298,500 Term Loan, 4.44%, Maturing April 27, 2010 278,351 METALDYNE CORP. 2,639,686 Term Loan, 4.48%, Maturing December 31, 2009 2,633,636 PLASTECH ENGINEERED PRODUCTS 881,379 Term Loan, 5.09%, Maturing March 31, 2010 896,253 R.J. TOWER CORP. $ 1,750,000 Term Loan, 8.94%, Maturing January 29, 2010 $ 1,755,469 TENNECO AUTOMOTIVE, INC. 2,094,288 Term Loan, 4.88%, Maturing December 12, 2009 2,133,556 949,552 Term Loan, 4.88%, Maturing December 12, 2010 967,752 THE GOODYEAR TIRE & RUBBER CO. 2,500,000 Term Loan, 5.16%, Maturing March 31, 2006 2,536,720 8,000,000 Term Loan, 6.43%, Maturing March 31, 2006 8,155,000 TI AUTOMOTIVE LIMITED 1,375,000 Term Loan, 5.23%, Maturing June 30, 2011 1,366,406 TRIMAS CORP. 4,730,927 Term Loan, 5.62%, Maturing December 31, 2009 4,778,236 TRW AUTOMOTIVE, INC. 2,010,420 Term Loan, 4.13%, Maturing February 27, 2009 2,037,058 3,055,427 Term Loan, 4.13%, Maturing February 27, 2011 3,106,669 UNITED COMPONENTS, INC. 1,713,333 Term Loan, 6.09%, Maturing June 30, 2010 1,737,962 - --------------------------------------------------------------------------------------------------- $ 60,554,491 - --------------------------------------------------------------------------------------------------- BEVERAGE AND TOBACCO -- 0.4% CONSTELLATION BRANDS, INC. $ 1,718,750 Term Loan, 3.50%, Maturing November 30, 2008 $ 1,729,032 CULLIGAN INTERNATIONAL CO. 700,000 Term Loan, 4.34%, Maturing September 30, 2011 710,797 DS WATERS, L.P. 1,509,423 Term Loan, 4.83%, Maturing November 7, 2009 1,470,178 SOUTHERN WINE & SPIRITS OF AMERICA 4,363,233 Term Loan, 4.32%, Maturing June 28, 2008 4,421,182 SUNNY DELIGHT BEVERAGES CO. 720,000 Term Loan, 5.98%, Maturing August 20, 2010 725,400 - --------------------------------------------------------------------------------------------------- $ 9,056,589 - --------------------------------------------------------------------------------------------------- BUILDING AND DEVELOPMENT -- 1.8% BRE/HOMESTEAD, LLC $ 4,000,000 Term Loan, 5.87%, Maturing January 11, 2006 $ 3,992,500 DMB/CHII, LLC 1,471,075 Term Loan, 4.38%, Maturing March 3, 2009 1,474,752 FORMICA CORP. 78,574 Term Loan, 6.96%, Maturing June 10, 2010 78,967 192,055 Term Loan, 6.96%, Maturing June 10, 2010 193,015 98,218 Term Loan, 6.96%, Maturing June 10, 2010 98,709 286,102 Term Loan, 6.96%, Maturing June 10, 2010 287,532
See notes to financial statements 3
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE - --------------------------------------------------------------------------------------------------- BUILDING AND DEVELOPMENT (CONTINUED) LANDSOURCE COMMUNITIES, LLC $ 1,002,000 Term Loan, 4.50%, Maturing March 31, 2010 $ 1,018,909 MAAX CORP. 927,675 Term Loan, 4.61%, Maturing June 4, 2011 938,691 MUELLER GROUP, INC. 2,362,385 Term Loan, 4.71%, Maturing April 23, 2011 2,381,580 NCI BUILDING SYSTEMS, INC. 875,000 Term Loan, 3.82%, Maturing June 18, 2010 886,211 NEWKIRK MASTER, L.P. 410,789 Term Loan, 3.62%, Maturing November 24, 2006 416,951 NEWKIRK TENDER HOLDINGS, LLC 1,798,216 Term Loan, 7.89%, Maturing May 25, 2006 1,816,198 4,333,333 Term Loan, 7.89%, Maturing May 25, 2006 4,376,667 NORTEK, INC. 2,050,000 Term Loan, 4.74%, Maturing August 27, 2011 2,082,458 PANOLAM INDUSTRIES, INC. 500,000 Term Loan, 9.94%, Maturing November 24, 2007 505,000 PLY GEM INDUSTRIES, INC. 800,000 Term Loan, 4.59%, Maturing February 12, 2011 807,750 2,156,663 Term Loan, 4.59%, Maturing February 12, 2011 2,177,556 380,588 Term Loan, 4.59%, Maturing February 12, 2011 384,275 ST. MARYS CEMENT, INC. 1,989,987 Term Loan, 3.98%, Maturing December 4, 2010 2,010,510 SUGARLOAF MILLS, LLC 2,000,000 Term Loan, 4.84%, Maturing April 7, 2008 1,995,000 TOWER FINANCING, LLC 2,750,000 Term Loan, 5.44%, Maturing July 9, 2008 2,753,437 WFP TOWER A CO. L.P. 4,500,000 Term Loan, 4.13%, Maturing June 12, 2006 4,504,221 WHITEHALL STREET REAL ESTATE L.P. 3,972,026 Term Loan, 4.21%, Maturing September 11, 2006(2) 3,987,398 - --------------------------------------------------------------------------------------------------- $ 39,168,287 - --------------------------------------------------------------------------------------------------- BUSINESS EQUIPMENT AND SERVICES -- 0.7% ALLIED SECURITY HOLDINGS, LLC $ 850,000 Term Loan, 6.23%, Maturing June 30, 2010 $ 860,625 BAKER & TAYLOR, INC. 1,350,000 Term Loan, 9.00%, Maturing May 6, 2011 1,350,000 GLOBAL IMAGING SYSTEMS, INC. 2,423,759 Term Loan, 3.74%, Maturing May 10, 2010 2,454,056 INFOUSA, INC. 872,813 Term Loan, 4.63%, Maturing June 4, 2010 883,723 IRON MOUNTAIN, INC. 1,680,308 Term Loan, 3.56%, Maturing April 2, 2011 1,692,490 LANGUAGE LINE, INC. $ 3,157,895 Term Loan, 4.50%, Maturing June 11, 2011 $ 3,193,421 MITCHELL INTERNATIONAL, INC. 474,088 Term Loan, 4.98%, Maturing August 13, 2011 480,162 997,500 Term Loan, 8.25%, Maturing August 13, 2012 998,123 QUINTILES TRANSNATIONAL CORP. 2,475,000 Term Loan, 6.23%, Maturing September 25, 2009 2,507,484 WORLDSPAN, L.P. 391,254 Term Loan, 6.07%, Maturing June 30, 2007 393,333 - --------------------------------------------------------------------------------------------------- $ 14,813,417 - --------------------------------------------------------------------------------------------------- CABLE AND SATELLITE TELEVISION -- 3.4% ADELPHIA COMMUNICATIONS CORP. $ 1,986,191 DIP Loan, 4.25%, Maturing March 31, 2005 $ 1,995,708 ATLANTIC BROADBAND FINANCE, LLC 1,935,000 Term Loan, 5.23%, Maturing February 10, 2011 1,966,444 BRAGG COMMUNICATION, INC. 1,185,000 Term Loan, 3.81%, Maturing August 31, 2011 1,196,109 BRESNAN COMMUNICATIONS, LLC 6,500,000 Term Loan, 5.86%, Maturing September 30, 2010 6,591,409 CANADIEN CABLE ACQUISITION 500,000 Term Loan, 4.98%, Maturing July 27, 2011 505,312 CEBRIDGE CONNECTIONS, INC. 1,592,000 Term Loan, 8.40%, Maturing February 23, 2010 1,588,020 CHARTER COMMUNICATIONS OPERATING, LLC 13,241,813 Term Loan, 5.61%, Maturing April 27, 2011 13,155,873 DIRECTV HOLDINGS, LLC 14,866,531 Term Loan, 4.01%, Maturing March 6, 2010 15,087,670 INSIGHT MIDWEST HOLDINGS, LLC 1,488,750 Term Loan, 3.37%, Maturing December 31, 2009 1,512,426 9,925,000 Term Loan, 4.75%, Maturing December 31, 2009 10,080,078 MCC IOWA, LLC 3,960,000 Term Loan, 4.71%, Maturing March 31, 2010 3,943,914 MEDIACOM BROADBAND 4,488,750 Term Loan, 5.06%, Maturing September 30, 2010 4,536,443 MEDIACOM ILLINOIS, LLC 2,900,000 Term Loan, 5.06%, Maturing March 31, 2013 2,923,304 NTL, INC. 2,600,000 Term Loan, 5.20%, Maturing April 13, 2012 2,627,625 UGS CORP. 3,820,425 Term Loan, 4.21%, Maturing May 27, 2011 3,882,507 - --------------------------------------------------------------------------------------------------- $ 71,592,842 - ---------------------------------------------------------------------------------------------------
See notes to financial statements 4
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE - --------------------------------------------------------------------------------------------------- CHEMICALS AND PLASTICS -- 2.3% BRENNTAG AG $ 2,475,000 Term Loan, 4.73%, Maturing December 9, 2011 $ 2,518,312 HERCULES, INC. 835,800 Term Loan, 3.95%, Maturing October 8, 2010 843,113 HUNTSMAN INTERNATIONAL, LLC 9,014,409 Term Loan, 5.19%, Maturing December 31, 2010 9,174,415 HUNTSMAN, LLC 2,250,000 Term Loan, 5.44%, Maturing March 31, 2010 2,284,922 INNOPHOS, INC. 445,000 Term Loan, 3.37%, Maturing August 13, 2010 452,787 INVISTA B.V. 4,581,176 Term Loan, 4.75%, Maturing April 29, 2011 4,669,937 2,018,825 Term Loan, 4.75%, Maturing April 29, 2011 2,052,892 ISP CHEMCO, INC. 1,492,500 Term Loan, 4.12%, Maturing March 27, 2011 1,509,291 KRATON POLYMER 3,469,660 Term Loan, 4.73%, Maturing December 5, 2008 3,501,467 NALCO CO. 5,058,307 Term Loan, 4.43%, Maturing November 4, 2010 5,152,756 ROCKWOOD SPECIALTIES GROUP, INC. 3,815,000 Term Loan, 4.63%, Maturing July 30, 2012 3,858,216 SOLO CUP CO. 3,448,833 Term Loan, 4.32%, Maturing February 27, 2011 3,490,147 SYNTHETIC INDUSTRIES, INC. 996,156 Term Loan, 6.73%, Maturing December 30, 2007 989,930 UNITED INDUSTRIES CORP. 5,032,624 Term Loan, 4.63%, Maturing April 29, 2011 5,117,550 997,500 Term Loan, 6.56%, Maturing October 31, 2011 1,015,580 WELLMAN, INC. 750,000 Term Loan, 3.48%, Maturing February 10, 2009 763,281 WESTLAKE CHEMICAL CORP. 2,262,500 Term Loan, 4.21%, Maturing July 31, 2010 2,292,195 - --------------------------------------------------------------------------------------------------- $ 49,686,791 - --------------------------------------------------------------------------------------------------- CLOTHING / TEXTILES -- 0.1% ST. JOHN KNITS INTERNATIONAL $ 2,220,490 Term Loan, 3.94%, Maturing July 31, 2007 $ 2,237,839 - --------------------------------------------------------------------------------------------------- $ 2,237,839 - --------------------------------------------------------------------------------------------------- CONGLOMERATES -- 1.0% AMSTED INDUSTRIES, INC. $ 6,792,868 Term Loan, 4.70%, Maturing October 15, 2010 $ 6,865,042 BLOUNT, INC. 997,500 Term Loan, 4.88%, Maturing August 9, 2010 1,017,450 JOHNSON DIVERSEY, INC. $ 2,600,677 Term Loan, 7.25%, Maturing November 30, 2009 $ 2,646,839 POLYMER GROUP, INC. 2,452,083 Term Loan, 4.59%, Maturing April 27, 2010 2,473,029 2,500,000 Term Loan, 4.59%, Maturing April 27, 2011 2,512,500 PP ACQUISITION CORP. 3,366,563 Term Loan, 4.21%, Maturing November 12, 2011 3,410,749 REXNORD CORP. 2,299,464 Term Loan, 5.20%, Maturing November 30, 2009 2,322,459 - --------------------------------------------------------------------------------------------------- $ 21,248,068 - --------------------------------------------------------------------------------------------------- CONTAINERS AND GLASS PRODUCTS -- 2.7% BERRY PLASTICS CORP. $ 4,287,204 Term Loan, 3.71%, Maturing July 22, 2010 $ 4,348,833 BWAY CORP. 1,696,111 Term Loan, 4.19%, Maturing June 30, 2011 1,722,084 CELANESE AG 2,250,000 Term Loan, 5.48%, Maturing June 4, 2011 2,292,188 1,500,000 Term Loan, 5.48%, Maturing December 8, 2011 1,527,499 CONSOLIDATED CONTAINER HOLDING 1,246,875 Term Loan, 4.61%, Maturing December 15, 2008 1,260,902 DR. PEPPER/SEVEN UP BOTTLING 3,697,342 Term Loan, 4.71%, Maturing December 19, 2010 3,750,953 GRAHAM PACKAGING HOLDINGS CO. 4,148,045 Term Loan, 8.00%, Maturing October 7, 2011 4,211,564 2,000,000 Term Loan, 8.00%, Maturing October 7, 2012 2,049,584 GRAPHIC PACKAGING INTERNATIONAL, INC. 1,900,000 Term Loan, 4.51%, Maturing August 8, 2008 1,915,042 10,227,687 Term Loan, 4.51%, Maturing August 8, 2009 10,422,013 IPG (US), INC. 775,000 Term Loan, 4.14%, Maturing July 28, 2011 789,047 OWENS-ILLINOIS, INC. 4,171,137 Term Loan, 4.74%, Maturing April 1, 2007 4,238,050 PRINTPACK HOLDINGS, INC 2,984,962 Term Loan, 3.61%, Maturing April 30, 2009 3,014,812 SILGAN HOLDINGS, INC. 2,467,638 Term Loan, 5.75%, Maturing December 31, 2008 2,497,713 STONE CONTAINER CORP. 9,147,852 Term Loan, 6.25%, Maturing June 30, 2009 9,200,736 1,840,014 Term Loan, 6.25%, Maturing June 30, 2009 1,852,664 U.S. CAN CORP. 1,492,500 Term Loan, 5.89%, Maturing January 10, 2010 1,494,366 - --------------------------------------------------------------------------------------------------- $ 56,588,050 - ---------------------------------------------------------------------------------------------------
See notes to financial statements 5
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE - --------------------------------------------------------------------------------------------------- COSMETICS / TOILETRIES -- 0.5% AMERICAN SAFETY RAZOR CO. $ 517,400 Term Loan, 4.92%, Maturing April 29, 2011 $ 525,161 333,333 Term Loan, 9.11%, Maturing October 29, 2011 338,333 CHURCH & DWIGHT CO., INC. 5,935,125 Revolving Loan, 3.71%, Maturing May 30, 2011 6,013,024 PRESTIGE BRANDS, INC. 1,766,125 Term Loan, 4.86%, Maturing April 7, 2011 1,784,154 2,000,000 Term Loan, 6.86%, Maturing April 7, 2011 2,039,166 REVLON CONSUMER PRODUCTS CORP. 670,000 Term Loan, 4.63%, Maturing July 9, 2010 680,783 - --------------------------------------------------------------------------------------------------- $ 11,380,621 - --------------------------------------------------------------------------------------------------- ECOLOGICAL SERVICES AND EQUIPMENT -- 1.1% ALDERWOODS GROUP, INC. $ 959,219 Term Loan, 4.61%, Maturing August 19, 2010 $ 976,905 ALLIED WASTE INDUSTRIES, INC. 8,485,011 Term Loan, 4.66%, Maturing January 15, 2009 8,584,447 666,304 Term Loan, 4.66%, Maturing January 15, 2010 673,991 983,951 Term Loan, 4.66%, Maturing January 15, 2010 994,559 ENVIRONMENTAL SYSTEMS, INC. 770,363 Term Loan, 12.01%, Maturing December 12, 2008 779,993 1,000,000 Term Loan, 12.01%, Maturing December 12, 2010 1,037,500 IONICS, INC. 2,242,400 Term Loan, 4.73%, Maturing February 13, 2011 2,271,132 IPSI CORP. 1,980,000 Term Loan, 5.08%, Maturing September 30, 2010 2,010,937 NATIONAL WATERWORKS, INC. 4,201,531 Term Loan, 4.73%, Maturing November 22, 2009 4,250,550 WASTE CONNECTIONS, INC. 990,000 Term Loan, 3.62%, Maturing October 22, 2010 1,002,066 - --------------------------------------------------------------------------------------------------- $ 22,582,080 - --------------------------------------------------------------------------------------------------- ELECTRONICS / ELECTRICAL -- 1.3% AMI SEMICONDUCTOR $ 497,487 Term Loan, 4.46%, Maturing September 30, 2008 $ 503,084 AMPHENOL CORP. 3,789,474 Term Loan, 3.76%, Maturing May 6, 2010 3,820,263 COMMUNICATIONS & POWER, INC. 1,990,000 Term Loan, 4.94%, Maturing July 23, 2010 2,021,508 ENERSYS CAPITAL, INC. 1,571,063 Term Loan, 4.84%, Maturing March 17, 2011 1,591,683 FAIRCHILD SEMICONDUCTOR CORP. 7,653,125 Term Loan, 3.23%, Maturing June 19, 2008 7,755,968 INVENSYS INTERNATIONAL HOLDING $ 4,091,483 Term Loan, 6.08%, Maturing September 5, 2009 $ 4,150,298 MEMEC GROUP, LTD. 2,125,000 Term Loan, 10.00%, Maturing June 15, 2010 2,129,781 RAYOVAC CORP. 4,290,739 Term Loan, 4.38%, Maturing September 30, 2009 4,360,464 SECURITYCO, INC. 997,500 Term Loan, 5.94%, Maturing June 28, 2010 999,994 500,000 Term Loan, 9.56%, Maturing June 28, 2011 502,500 VIASYSTEMS, INC. 750,000 Term Loan, 6.49%, Maturing September 30, 2009 757,187 - --------------------------------------------------------------------------------------------------- $ 28,592,730 - --------------------------------------------------------------------------------------------------- EQUIPMENT LEASING -- 0.2% UNITED RENTALS, INC. $ 565,000 Term Loan, 4.63%, Maturing February 14, 2011 $ 570,885 2,810,875 Term Loan, 4.63%, Maturing February 14, 2011 2,846,362 - --------------------------------------------------------------------------------------------------- $ 3,417,247 - --------------------------------------------------------------------------------------------------- FARMING / AGRICULTURE -- 0.2% IMC GLOBAL, INC. $ 4,721,369 Term Loan, 5.08%, Maturing November 17, 2006 $ 4,739,665 THE SCOTTS CO. 393,750 Term Loan, 3.44%, Maturing September 30, 2010 397,288 - --------------------------------------------------------------------------------------------------- $ 5,136,953 - --------------------------------------------------------------------------------------------------- FINANCIAL INTERMEDIARIES -- 0.7% AIMCO PROPERTIES, L.P. $ 5,000,000 Term Loan, 4.94%, Maturing May 30, 2008 $ 5,084,375 COINSTAR, INC. 793,013 Term Loan, 4.29%, Maturing July 7, 2011 806,395 CORRECTIONS CORP. OF AMERICA 2,461,932 Term Loan, 3.50%, Maturing March 31, 2008 2,505,016 REFCO GROUP LTD, LLC 3,850,000 Term Loan, 4.46%, Maturing August 5, 2011 3,861,230 WACKENHUT CORRECTIONS CORP. 1,545,633 Term Loan, 4.09%, Maturing July 9, 2009 1,563,988 - --------------------------------------------------------------------------------------------------- $ 13,821,004 - --------------------------------------------------------------------------------------------------- FOOD PRODUCTS -- 1.6% ACOSTA SALES CO., INC. $ 1,600,000 Term Loan, 4.73%, Maturing August 13, 2010 $ 1,616,000
See notes to financial statements 6
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE - --------------------------------------------------------------------------------------------------- FOOD PRODUCTS (CONTINUED) AMERICAN SEAFOODS HOLDINGS, LLC $ 2,360,290 Term Loan, 5.29%, Maturing March 31, 2009 $ 2,375,780 ATKINS NUTRITIONAL, INC. 1,895,000 Term Loan, 4.12%, Maturing November 26, 2009 1,565,270 DEL MONTE CORP. 2,413,082 Term Loan, 4.38%, Maturing December 20, 2010 2,458,703 INTERSTATE BRANDS CORP. 625,000 Term Loan, 5.47%, Maturing July 19, 2006 609,375 1,202,226 Term Loan, 5.47%, Maturing July 19, 2007 1,178,558 3,884,640 Term Loan, 5.47%, Maturing July 19, 2007 3,798,693 MERISANT CO. 6,153,645 Term Loan, 4.88%, Maturing January 31, 2010 6,187,490 MICHAEL FOODS, INC. 1,246,859 Term Loan, 4.48%, Maturing November 20, 2010 1,265,173 3,000,000 Term Loan, 4.48%, Maturing November 20, 2011 3,087,189 PINNACLE FOODS HOLDINGS CORP. 3,879,587 Term Loan, 4.98%, Maturing November 25, 2010 3,918,383 1,095,413 Term Loan, 4.98%, Maturing November 25, 2010 1,104,770 REDDY ICE GROUP, INC. 4,356,000 Term Loan, 4.46%, Maturing July 31, 2009 4,409,544 SEMINIS VEGETABLE SEEDS, INC. 873,078 Term Loan, 4.46%, Maturing September 30, 2009 885,810 - --------------------------------------------------------------------------------------------------- $ 34,460,738 - --------------------------------------------------------------------------------------------------- FOOD SERVICE -- 0.9% AFC ENTERPRISES, INC. $ 2,393,029 Term Loan, 4.95%, Maturing May 23, 2009 $ 2,404,396 BUFFETS, INC. 418,182 Term Loan, 5.48%, Maturing June 28, 2009 420,273 2,384,902 Term Loan, 5.48%, Maturing June 28, 2009 2,396,826 CKE RESTAURANTS, INC. 1,949,292 Term Loan, 4.88%, Maturing July 2, 2008 1,990,714 DENNY'S, INC. 535,000 Term Loan, 5.16%, Maturing September 21, 2009 546,871 DOMINO'S, INC. 7,569,042 Term Loan, 4.25%, Maturing June 25, 2010 7,722,792 GATE GOURMET BORROWER, LLC 1,000,000 Term Loan, 9.50%, Maturing December 31, 2008 1,020,000 JACK IN THE BOX, INC. 1,488,750 Term Loan, 4.30%, Maturing January 8, 2011 1,510,151 MAINE BEVERAGE CO., LLC 1,050,000 Term Loan, 5.34%, Maturing June 30, 2010 1,055,250 WEIGHT WATCHERS INTERNATIONAL 950,000 Term Loan, 6.76%, Maturing March 31, 2010 957,125 - --------------------------------------------------------------------------------------------------- $ 20,024,398 - --------------------------------------------------------------------------------------------------- FOOD / DRUG RETAILERS -- 0.8% CUMBERLAND FARMS, INC. $ 4,261,403 Term Loan, 4.49%, Maturing September 8, 2008 $ 4,296,027 2,068,178 Term Loan, 5.00%, Maturing September 8, 2008 2,068,178 GENERAL NUTRITION CENTERS, INC. 2,979,987 Term Loan, 6.42%, Maturing December 5, 2009 3,013,512 RITE AID CORP. 1,975,000 Term Loan, 3.64%, Maturing September 22, 2009 1,997,219 THE JEAN COUTU GROUP (PJC), INC. 3,000,000 Term Loan, 6.43%, Maturing July 30, 2011 3,049,944 THE PANTRY, INC. 2,147,956 Term Loan, 4.44%, Maturing March 12, 2011 2,181,518 - --------------------------------------------------------------------------------------------------- $ 16,606,398 - --------------------------------------------------------------------------------------------------- FOREST PRODUCTS -- 0.4% APPLETON PAPERS, INC. $ 2,478,788 Term Loan, 4.16%, Maturing June 11, 2010 $ 2,510,392 KOCH CELLULOSE, LLC 551,114 Term Loan, 4.22%, Maturing May 7, 2011 559,898 2,196,517 Term Loan, 4.22%, Maturing May 7, 2011 2,231,525 RLC INDUSTRIES CO. 2,807,016 Term Loan, 3.96%, Maturing February 24, 2010 2,824,559 - --------------------------------------------------------------------------------------------------- $ 8,126,374 - --------------------------------------------------------------------------------------------------- HEALTHCARE -- 3.3% ACCREDO HEALTH, INC. $ 2,224,425 Term Loan, 3.71%, Maturing April 30, 2011 $ 2,241,108 ALLIANCE IMAGING, INC. 2,500,000 Term Loan, 4.41%, Maturing June 10, 2008 2,493,360 AMERISOURCE BERGEN CORP. 1,094,118 Term Loan, 3.14%, Maturing March 31, 2005 1,096,853 ARDENT HEALTH SERVICES, INC. 1,200,000 Term Loan, 7.00%, Maturing July 12, 2011 1,201,126 COLGATE MEDICAL, LTD. 1,054,151 Term Loan, 4.72%, Maturing December 30, 2008 1,063,375 COMMUNITY HEALTH SYSTEMS, INC. 7,883,016 Term Loan, 3.54%, Maturing July 5, 2010 7,916,803 3,970,000 Term Loan, 3.54%, Maturing July 5, 2010 4,010,943 CONCENTRA OPERATING CORP. 4,937,625 Term Loan, 4.30%, Maturing June 30, 2009 4,995,232 CONMED CORP. 2,998,592 Term Loan, 5.83%, Maturing December 31, 2007 3,033,577 CROSS COUNTRY HEALTHCARE, INC. 1,144,036 Term Loan, 4.27%, Maturing June 5, 2009 1,154,761
See notes to financial statements 7
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE - --------------------------------------------------------------------------------------------------- HEALTHCARE (CONTINUED) DADE BEHRING HOLDINGS, INC. $ 582,679 Term Loan, 4.25%, Maturing October 3, 2008 $ 585,593 1,810,267 Term Loan, 4.52%, Maturing October 3, 2008 1,834,027 DAVITA, INC. 13,264,456 Term Loan, 3.98%, Maturing March 31, 2009 13,447,877 DJ ORTHOPEDICS, INC. 962,500 Term Loan, 4.01%, Maturing May 15, 2009 972,727 ENCORE MEDICAL IHC, INC. 1,650,000 Term Loan, 4.84%, Maturing October 4, 2010 1,675,781 ENVISION WORLDWIDE, INC. 1,300,000 Term Loan, 6.84%, Maturing September 30, 2010 1,303,250 FHC HEALTH SYSTEMS, INC. 1,300,000 Term Loan, 5.71%, Maturing December 18, 2009 1,316,250 1,857,143 Term Loan, 9.79%, Maturing December 18, 2009 1,880,357 HANGER ORTHOPEDIC GROUP, INC. 497,487 Term Loan, 5.48%, Maturing September 30, 2009 497,487 KINETIC CONCEPTS, INC. 3,216,500 Term Loan, 4.67%, Maturing October 3, 2009 3,257,375 KNOWLEDGE LEARNING CORP. 1,903,523 Term Loan, 5.23%, Maturing May 15, 2010 1,913,040 LEINER HEALTH PRODUCTS, INC. 1,122,188 Term Loan, 4.89%, Maturing May 27, 2011 1,139,020 MAGELLAN HEALTH SERVICES, INC. 277,778 Term Loan, 3.98%, Maturing August 15, 2008 279,861 493,056 Term Loan, 4.13%, Maturing August 15, 2008 496,753 MEDCATH HOLDINGS CORP. 498,750 Term Loan, 5.06%, Maturing July 2, 2011 506,076 SUNRISE MEDICAL HOLDINGS, INC. 1,064,650 Term Loan, 5.23%, Maturing May 13, 2010 1,073,966 TEAM HEALTH, INC. 2,238,750 Term Loan, 5.23%, Maturing March 23, 2011 2,259,738 TRIAD HOSPITALS HOLDINGS 4,794,348 Term Loan, 5.05%, Maturing March 31, 2008 4,867,462 VANGUARD HEALTH HOLDING CO., LLC 1,275,000 Term Loan, 5.58%, Maturing September 23, 2011 1,297,712 VWR INTERNATIONAL, INC. 1,189,933 Term Loan, 5.71%, Maturing April 7, 2011 1,210,757 - --------------------------------------------------------------------------------------------------- $ 71,022,247 - --------------------------------------------------------------------------------------------------- HOME FURNISHINGS -- 1.1% GENERAL BINDING CORP. $ 1,150,000 Term Loan, 6.42%, Maturing January 15, 2008 $ 1,155,031 INTERLINE BRANDS, INC. 4,218,750 Term Loan, 5.47%, Maturing November 30, 2009 4,268,848 JUNO LIGHTING, INC. $ 852,364 Term Loan, 3.60%, Maturing November 21, 2010 $ 864,616 KNOLL, INC. 3,425,000 Term Loan, 4.84%, Maturing September 30, 2011 3,472,094 SEALY MATTRESS CO. 2,621,699 Term Loan, 4.17%, Maturing April 6, 2012 2,659,386 SIMMONS CO. 4,979,259 Term Loan, 3.96%, Maturing December 19, 2011 5,035,276 TERMPUR-PEDIC, INC. 4,937,500 Term Loan, 3.94%, Maturing June 30, 2009 4,969,905 - --------------------------------------------------------------------------------------------------- $ 22,425,156 - --------------------------------------------------------------------------------------------------- INDUSTRIAL EQUIPMENT -- 0.9% BUCYRUS INTERNATIONAL, INC. $ 483,875 Term Loan, 4.04%, Maturing July 28, 2010 $ 492,040 CHART INDUSTRIES, INC. 1,573,060 Term Loan, 5.61%, Maturing September 15, 2009 1,570,111 COLFAX CORP. 2,005,078 Term Loan, 4.88%, Maturing May 30, 2009 2,015,103 DOUGLAS DYNAMICS HOLDINGS, INC. 294,455 Term Loan, 4.25%, Maturing March 30, 2010 298,871 900,000 Term Loan, 7.98%, Maturing March 30, 2011 922,500 FLOWSERVE CORP. 2,917,740 Term Loan, 4.65%, Maturing June 30, 2009 2,966,067 GLEASON CORP. 550,000 Term Loan, 4.65%, Maturing July 27, 2011 556,875 750,000 Term Loan, 7.27%, Maturing January 31, 2012 757,500 ITRON, INC. 889,392 Term Loan, 4.25%, Maturing December 17, 2010 898,471 MTD PRODUCTS 997,500 Term Loan, 3.63%, Maturing June 1, 2010 1,007,475 SPX CORP. 871,795 Term Loan, 3.94%, Maturing September 30, 2008 876,972 5,880,822 Term Loan, 3.94%, Maturing September 30, 2009 5,950,657 - --------------------------------------------------------------------------------------------------- $ 18,312,642 - --------------------------------------------------------------------------------------------------- INSURANCE -- 0.8% ALLIANT RESOURCES GROUP, INC. $ 1,596,000 Term Loan, 5.67%, Maturing August 31, 2011 $ 1,597,995 CCC INFORMATION SERVICES GROUP 1,101,773 Term Loan, 4.96%, Maturing August 20, 2010 1,110,036 CONSECO, INC. 6,086,000 Term Loan, 5.41%, Maturing June 22, 2010 6,214,062
See notes to financial statements 8
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE - --------------------------------------------------------------------------------------------------- INSURANCE (CONTINUED) HILB, ROGAL AND HAMILTON CO. $ 1,974,747 Term Loan, 4.25%, Maturing June 30, 2007 $ 1,979,684 U.S.I. HOLDINGS CORP. 5,925,000 Term Loan, 4.63%, Maturing August 11, 2008 5,967,589 - --------------------------------------------------------------------------------------------------- $ 16,869,366 - --------------------------------------------------------------------------------------------------- LEISURE GOODS / ACTIVITIES / MOVIES -- 2.7% AMF BOWLING WORLDWIDE, INC. $ 2,401,196 Term Loan, 4.00%, Maturing August 27, 2009 $ 2,419,956 BOMBARDIER RECREATIONAL PRODUCTS, INC. 1,194,000 Term Loan, 4.25%, Maturing December 18, 2010 1,214,149 CINEMARK, INC. 1,990,000 Term Loan, 4.54%, Maturing March 31, 2011 2,012,387 HOLLYWOOD ENTERTAINMENT CORP. 2,462,121 Term Loan, 5.75%, Maturing March 31, 2008 2,472,893 LIONS GATE ENTERTAINMENT, INC. 1,666,667 Term Loan, 4.23%, Maturing December 31, 2008 1,681,250 LOEWS CINEPLEX ENTERTAINMENT 3,370,000 Term Loan, 5.23%, Maturing July 30, 2011 3,416,337 METRO-GOLDWYN-MAYER STUDIO, INC. 8,750,000 Term Loan, 4.48%, Maturing April 26, 2011 8,791,563 NEW ENGLAND SPORTS VENTURES 3,000,000 Term Loan, 5.70%, Maturing February 28, 2005 3,000,000 REGAL CINEMAS CORP. 8,634,718 Term Loan, 3.88%, Maturing November 10, 2010 8,751,286 SIX FLAGS THEME PARKS, INC. 8,317,254 Term Loan, 4.34%, Maturing June 30, 2009 8,382,236 UNIVERSAL CITY DEVELOPMENT 6,205,282 Term Loan, 4.17%, Maturing June 30, 2007 6,228,551 WMG ACQUISITION CORP. 6,616,750 Term Loan, 4.53%, Maturing February 28, 2011 6,718,952 YANKEES HOLDINGS & YANKEENETS 455,714 Term Loan, 3.73%, Maturing June 25, 2007 463,120 994,286 Term Loan, 3.73%, Maturing June 25, 2007 1,010,443 - --------------------------------------------------------------------------------------------------- $ 56,563,123 - --------------------------------------------------------------------------------------------------- LODGING AND CASINOS -- 1.8% ALLIANCE GAMING CORP. $ 6,939,796 Term Loan, 3.54%, Maturing September 5, 2009 $ 7,022,206 AMERISTAR CASINOS 2,988,316 Term Loan, 3.14%, Maturing December 31, 2006 3,025,670 ARGOSY GAMING CO. 2,400,000 Term Loan, 3.82%, Maturing June 30, 2011 2,421,000 BOYD GAMING CORP. $ 4,972,538 Term Loan, 3.81%, Maturing June 30, 2011 $ 5,040,288 CNL RESORT HOTEL, L.P. 1,790,000 Term Loan, 4.34%, Maturing August 18, 2006 1,790,000 GLOBALCASH ACCESS, LLC 1,151,796 Term Loan, 3.74%, Maturing March 10, 2010 1,172,672 ISLE OF CAPRI CASIONS, INC. 2,005,063 Term Loan, 4.12%, Maturing April 25, 2008 2,030,127 MARINA DISTRICT FINANCE CO., INC. 2,850,000 Term Loan, 3.93%, Maturing October 14, 2011 2,871,968 PENN NATIONAL GAMING, INC. 2,143,145 Term Loan, 4.48%, Maturing July 31, 2006 2,179,756 PINNACLE ENTERTAINMENT, INC. 1,565,000 Term Loan, 4.98%, Maturing August 27, 2010 1,588,475 SEMINOLE TRIBE OF FLORIDA 650,000 Term Loan, 6.00%, Maturing September 30, 2011 656,500 VAIL RESORTS, INC. 3,940,000 Term Loan, 4.38%, Maturing December 10, 2008 3,978,580 VENETIAN CASINO RESORT, LLC 1,843,864 Term Loan, 5.06%, Maturing June 15, 2011 1,878,053 WYNDHAM INTERNATIONAL, INC. 2,199,362 Term Loan, 7.88%, Maturing December 31, 2004 2,207,334 - --------------------------------------------------------------------------------------------------- $ 37,862,629 - --------------------------------------------------------------------------------------------------- NONFERROUS METALS / MINERALS -- 0.4% COMPASS MINERALS GROUP, INC. $ 1,851,248 Term Loan, 4.30%, Maturing November 28, 2009 $ 1,879,789 CONSOL ENERGY, INC. 1,560,000 Term Loan, 4.34%, Maturing June 30, 2010 1,592,663 FOUNDATION COAL CORP. 2,000,000 Term Loan, 4.04%, Maturing July 30, 2011 2,025,000 MAGNEQUENCH, INC. 960,586 Term Loan, 12.84%, Maturing September 30, 2009 967,791 1,600,000 Term Loan, 12.84%, Maturing December 31, 2009 1,624,000 - --------------------------------------------------------------------------------------------------- $ 8,089,243 - --------------------------------------------------------------------------------------------------- OIL AND GAS -- 1.9% BPL ACQUISITION, L.P. $ 1,500,000 Term Loan, 3.81%, Maturing May 4, 2010 $ 1,519,688 COLUMBIA NATURAL RESOURCES, LLC 4,875,000 Revolving Loan, 5.81%, Maturing August 28, 2008 4,862,813 DRESSER, INC. 1,631,252 Term Loan, 4.46%, Maturing March 31, 2007 1,648,584
See notes to financial statements 9
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE - --------------------------------------------------------------------------------------------------- OIL AND GAS (CONTINUED) DYNEGY HOLDINGS, INC. $ 4,438,875 Term Loan, 5.84%, Maturing May 28, 2010 $ 4,537,365 GETTY PETROLEUM MARKETING, INC. 3,294,167 Term Loan, 5.23%, Maturing May 19, 2010 3,347,697 LA GRANGE ACQUISITION, L.P. 2,500,000 Term Loan, 4.96%, Maturing January 18, 2008 2,541,408 LYONDELL-CITGO REFINING, L.P. 1,985,025 Term Loan, 3.59%, Maturing May 21, 2007 1,999,913 MAGELLAN MIDSTREAM HOLDINGS 2,589,605 Term Loan, 4.13%, Maturing June 17, 2008 2,628,450 SEMGROUP, L.P. 790,000 Term Loan, 5.33%, Maturing August 27, 2010 801,850 SPRAGUE ENERGY CORP. 2,907,143 Revolving Loan, 4.32%, Maturing August 10, 2007 2,899,875 TRANSWESTERN PIPELINE CO. 1,635,900 Term Loan, 4.09%, Maturing April 30, 2009 1,646,465 WILLIAMS PRODUCTION RMT CO. 12,284,519 Term Loan, 5.71%, Maturing May 30, 2007 12,489,265 - --------------------------------------------------------------------------------------------------- $ 40,923,373 - --------------------------------------------------------------------------------------------------- PUBLISHING -- 3.0% ADVANSTAR COMMUNICATIONS $ 359,177 Term Loan, 5.07%, Maturing November 17, 2007 $ 361,272 AMERICAN MEDIA OPERATIONS, INC. 2,294,864 Term Loan, 4.81%, Maturing April 1, 2007 2,327,852 CBD MEDIA, LLC 1,696,854 Term Loan, 4.29%, Maturing December 31, 2009 1,719,125 DEX MEDIA EAST, LLC 791,845 Term Loan, 3.82%, Maturing November 8, 2008 801,166 4,937,860 Term Loan, 3.82%, Maturing May 8, 2009 5,009,869 FREEDOM COMMUNICATIONS 4,750,000 Term Loan, 4.04%, Maturing May 18, 2012 4,829,563 HERALD MEDIA, INC. 309,225 Term Loan, 4.45%, Maturing July 22, 2011 313,477 625,000 Term Loan, 7.45%, Maturing January 22, 2012 635,352 LIBERTY GROUP OPERATING 4,378,996 Term Loan, 4.89%, Maturing April 30, 2007 4,406,365 MERRILL COMMUNICATIONS, LLC 1,500,000 Term Loan, 4.48%, Maturing February 9, 2009 1,517,345 MORRIS PUBLISHING GROUP, LLC $ 3,000,000 Term Loan, 3.63%, Maturing September 30, 2010 $ 3,025,314 4,500,000 Term Loan, 3.63%, Maturing March 31, 2011 4,554,846 NEBRASKA BOOK CO., INC. 955,200 Term Loan, 4.67%, Maturing March 4, 2011 968,334 NEWSPAPER HOLDINGS, INC. 2,300,000 Term Loan, 3.69%, Maturing August 24, 2011 2,299,282 R.H. DONNELLEY CORP. 5,670,787 Term Loan, 6.50%, Maturing June 30, 2011 5,759,983 SUN MEDIA CORP. 2,585,211 Term Loan, 4.13%, Maturing February 7, 2009 2,605,409 THE READER'S DIGEST ASSOCIATION, INC. 3,034,750 Term Loan, 3.84%, Maturing May 20, 2008 3,076,004 TRANSWESTERN PUBLISHING CO., LLC 857,937 Term Loan, 4.09%, Maturing February 25, 2011 868,930 1,592,001 Term Loan, 5.88%, Maturing February 25, 2011 1,614,638 395,600 Term Loan, 4.09%, Maturing August 24, 2012 399,989 WEEKLY READER CORP. 980,000 Term Loan, 6.76%, Maturing March 18, 2009 978,163 XEROX CORP. 4,500,000 Term Loan, 3.73%, Maturing September 30, 2008 4,534,686 - --------------------------------------------------------------------------------------------------- $ 63,780,582 - --------------------------------------------------------------------------------------------------- RADIO AND TELEVISION -- 1.8% ADAMS OUTDOOR ADVERTISING, L.P. $ 2,643,375 Term Loan, 4.33%, Maturing October 15, 2011 $ 2,680,271 350,000 Term Loan, 5.58%, Maturing April 15, 2012 356,344 BLOCK COMMUNICATIONS, INC. 746,019 Term Loan, 4.73%, Maturing November 30, 2009 751,614 CANWEST MEDIA, INC. 3,953,494 Term Loan, 4.07%, Maturing August 15, 2009 4,007,855 CUMULUS MEDIA, INC. 997,500 Term Loan, 4.49%, Maturing March 28, 2010 1,013,709 EMMIS OPERATING CO. 5,575,000 Term Loan, 3.59%, Maturing November 10, 2011 5,634,931 ENTRAVISION COMMUNICATIONS CO. 660,000 Term Loan, 3.85%, Maturing February 27, 2012 667,632 GRAY TELEVISION, INC. 6,284,250 Term Loan, 3.72%, Maturing December 31, 2010 6,370,658 NEP SUPERSHOOTERS, L.P. 1,500,000 Term Loan, 10.13%, Maturing August 3, 2011 1,507,500 NEXSTAR BROADCASTING, INC. 1,287,157 Term Loan, 3.73%, Maturing December 31, 2010 1,288,766 702,855 Term Loan, 3.73%, Maturing December 31, 2010 705,052
See notes to financial statements 10
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE - --------------------------------------------------------------------------------------------------- RADIO AND TELEVISION (CONTINUED) RAINBOW NATIONAL SERVICES, LLC $ 3,128,663 Term Loan, 4.50%, Maturing March 31, 2012 $ 3,183,415 RAYCOM NATIONAL, LLC 2,350,000 Term Loan, 4.50%, Maturing February 24, 2012 2,364,688 SINCLAIR TELEVISION GROUP, INC. 1,835,000 Term Loan, 3.96%, Maturing June 30, 2009 1,847,616 2,985,000 Term Loan, 3.96%, Maturing December 31, 2009 3,017,337 SUSQUEHANNA MEDIA CO. 2,000,000 Term Loan, 4.05%, Maturing March 31, 2012 2,029,376 - --------------------------------------------------------------------------------------------------- $ 37,426,764 - --------------------------------------------------------------------------------------------------- RAIL INDUSTRIES -- 0.2% RAILAMERICA, INC. $ 4,441,513 Term Loan, 3.94%, Maturing September 29, 2011 $ 4,517,387 525,035 Term Loan, 3.94%, Maturing September 29, 2011 534,004 - --------------------------------------------------------------------------------------------------- $ 5,051,391 - --------------------------------------------------------------------------------------------------- RETAILERS (EXCEPT FOOD AND DRUG) -- 1.4% AMERICAN ACHIEVEMENT CORP. $ 696,500 Term Loan, 4.66%, Maturing March 25, 2011 $ 707,383 AMSCAN HOLDINGS, INC. 987,525 Term Loan, 3.76%, Maturing April 30, 2012 999,869 CKS AUTO, INC. 3,980,000 Term Loan, 4.88%, Maturing June 20, 2009 4,027,263 COINMACH LAUNDRY CORP. 4,642,194 Term Loan, 4.64%, Maturing July 25, 2009 4,696,596 FTD, INC. 995,000 Term Loan, 4.63%, Maturing February 28, 2011 1,010,547 HARBOR FREIGHT TOOLS USA, INC. 2,350,000 Term Loan, 5.48%, Maturing July 15, 2010 2,374,236 HOME INTERIORS & GIFTS, INC. 885,938 Term Loan, 6.42%, Maturing March 31, 2011 855,594 JOSTEN'S CORP. 2,631,034 Term Loan, 6.25%, Maturing October 4, 2011 2,673,789 ORIENTAL TRADING CO., INC. 5,330,584 Term Loan, 8.00%, Maturing August 4, 2010 5,413,874 PETCO ANIMAL SUPPLIES, INC. 987,456 Term Loan, 4.34%, Maturing October 2, 2008 1,002,885 RENT-A-CENTER, INC. 2,584,216 Term Loan, 3.88%, Maturing June 30, 2010 2,610,327 SAVERS, INC. 897,750 Term Loan, 6.50%, Maturing August 4, 2009 905,044 1,000,000 Term Loan, 10.48%, Maturing August 4, 2010 1,012,500 TRAVELCENTERS OF AMERICA, INC. $ 498,718 Term Loan, 5.05%, Maturing November 30, 2008 $ 504,536 - --------------------------------------------------------------------------------------------------- $ 28,794,443 - --------------------------------------------------------------------------------------------------- SURFACE TRANSPORT -- 0.6% HORIZON LINES, LLC $ 982,538 Term Loan, 4.73%, Maturing July 7, 2011 $ 1,000,550 LAIDLAW INTERNATIONAL, INC. 6,492,939 Term Loan, 5.59%, Maturing June 19, 2009 6,601,494 NFIL HOLDING CORP. 1,726,018 Term Loan, 4.31%, Maturing February 27, 2010 1,750,291 392,857 Term Loan, 4.71%, Maturing February 27, 2010 398,996 SIRVA WORLDWIDE, INC. 2,441,176 Term Loan, 4.34%, Maturing December 31, 2010 2,462,537 - --------------------------------------------------------------------------------------------------- $ 12,213,868 - --------------------------------------------------------------------------------------------------- TELECOMMUNICATIONS -- 3.4% AMERICAN TOWER, L.P. $ 6,359,063 Term Loan, 4.48%, Maturing August 31, 2011 $ 6,452,960 CENTENNIAL CELLULAR OPERATING 2,835,750 Term Loan, 4.50%, Maturing February 9, 2011 2,873,222 CINCINNATI BELL, INC. 9,550,502 Term Loan, 4.54%, Maturing June 30, 2008 9,651,976 CONSOLIDATED COMMUNICATIONS, INC. 1,264,481 Term Loan, 4.34%, Maturing October 14, 2010 1,267,642 2,117,917 Term Loan, 4.34%, Maturing October 14, 2011 2,139,096 DOBSON CELLULAR SYSTEMS, INC. 2,979,950 Term Loan, 5.38%, Maturing March 31, 2010 2,972,315 NEXTEL COMMUNICATIONS 12,397,584 Term Loan, 3.73%, Maturing December 15, 2010 12,447,695 NEXTEL PARTNERS OPERATION CORP. 4,800,000 Term Loan, 4.31%, Maturing May 31, 2011 4,881,499 NTELOS, INC. 994,922 Term Loan, 5.96%, Maturing July 25, 2008 993,057 PANAMSAT CORP. 5,758,275 Term Loan, 4.66%, Maturing August 20, 2011 5,797,207 QWEST CORP. 12,500,000 Term Loan, 6.50%, Maturing June 4, 2007 13,012,275 SBA SENIOR FINANCE, INC. 1,679,462 Term Loan, 5.21%, Maturing October 31, 2008 1,696,783 SPECTRASITE COMMUNICATIONS, INC. 3,227,995 Term Loan, 5.23%, Maturing December 31, 2007 3,236,468
See notes to financial statements 11
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE - --------------------------------------------------------------------------------------------------- TELECOMMUNICATIONS (CONTINUED) WESTERN WIRELESS CORP. $ 5,386,500 Term Loan, 4.94%, Maturing May 28, 2011 $ 5,475,474 - --------------------------------------------------------------------------------------------------- $ 72,897,669 - --------------------------------------------------------------------------------------------------- UTILITIES -- 1.4% ALLEGHENY ENERGY SUPPLY CO. $ 3,963,695 Term Loan, 3.70%, Maturing March 8, 2011 $ 3,989,709 CENTERPOINT ENERGY, INC. 9,630,617 Term Loan, 4.88%, Maturing October 7, 2006 9,678,770 COGENTRIX DELAWARE HOLDINGS, INC. 1,741,250 Term Loan, 4.34%, Maturing February 26, 2009 1,773,172 COLETO CREEK WLE, L.P. 947,625 Term Loan, 4.23%, Maturing June 30, 2011 966,380 NRG ENERGY, INC. 1,692,839 Term Loan, 4.74%, Maturing June 23, 2010 1,749,126 2,988,039 Term Loan, 4.74%, Maturing June 23, 2010 3,085,897 NUI UTILITIES 562,500 Term Loan, 5.20%, Maturing November 24, 2004 565,313 399,590 Term Loan, 8.00%, Maturing November 24, 2004 401,089 2,037,910 Term Loan, 8.00%, Maturing November 24, 2004 2,045,552 PIKE ELECTRIC, INC. 1,541,251 Term Loan, 4.13%, Maturing July 1, 2012 1,569,829 PLAINS RESOURCES, INC. 1,474,286 Term Loan, 5.09%, Maturing July 23, 2010 1,495,019 TETON POWER FUNDING, LLC 2,121,955 Term Loan, 5.16%, Maturing March 12, 2011 2,156,437 - --------------------------------------------------------------------------------------------------- $ 29,476,293 - --------------------------------------------------------------------------------------------------- TOTAL SENIOR, FLOATING RATE INTERESTS (IDENTIFIED COST $1,018,375,491) $ 1,028,094,293 - ---------------------------------------------------------------------------------------------------
MORTGAGE PASS-THROUGHS -- 49.1%
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE - --------------------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP.: $ 1,554 6.00%, with maturity at 2026 $ 1,621,132 34,243 6.50%, with various maturities to 2025 36,202,051 29,719 7.00%, with various maturities to 2027 31,796,957 1,932 7.13%, with maturity at 2023 2,072,053 61,573 7.50%, with various maturities to 2028 66,721,510 2,492 7.65%, with maturity at 2022 2,728,708 637 7.70%, with maturity at 2022 699,676 43,194 8.00%, with various maturities to 2030 47,369,701 29,787 8.50%, with various maturities to 2030 33,021,332 $ 389 8.75%, with maturity at 2010 $ 417,819 11,269 9.00%, with various maturities to 2023 12,561,502 11,287 9.50%, with various maturities to 2025 12,794,431 5,334 10.00%, with various maturities to 2022 6,172,491 2,290 10.50%, with various maturities to 2021 2,670,150 206 11.00%, with maturity at 2015 235,122 395 11.50%, with various maturities to 2020 460,285 227 12.00%, with maturity at 2019 267,837 1,349 12.50%, with various maturities to 2015 1,611,366 586 13.00%, with maturity at 2015 712,770 60 13.50%, with maturity at 2014 71,205 204 14.00%, with maturity at 2014 255,138 - --------------------------------------------------------------------------------------------------- $ 260,463,236 - --------------------------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSN.: $ 1,405 6.00%, with maturity at 2023 $ 1,462,747 98,179 6.50%, with various maturities to 2029(3) 103,549,949 1,192 6.75%, with maturity at 2023 1,274,143 92,170 7.00%, with various maturities to 2028(3) 98,483,311 12,711 7.50%, with various maturities to 2026 13,750,085 32,002 8.00%, with various maturities to 2028 35,033,202 178 8.25%, with maturity at 2018 197,772 16,720 8.50%, with various maturities to 2027 18,565,042 2,589 8.616%, with maturity at 2029 2,895,650 4,144 8.634%, with maturity at 2028 4,588,814 3,919 8.799%, with maturity at 2027 4,352,392 28,855 9.00%, with various maturities to 2026 32,315,786 1,686 9.176%, with maturity at 2024 1,902,299 12,556 9.50%, with various maturities to 2030 14,238,420 5,316 10.00%, with various maturities to 2021 6,161,036 4,843 10.233%, with maturity at 2019 5,559,536 6,545 10.50%, with various maturities to 2025 7,646,989 2,192 11.00%, with various maturities to 2020 2,566,712 226 11.25%, with maturity at 2016 264,865 5,384 11.50%, with various maturities to 2021 6,344,164 15 11.75%, with maturity at 2014 18,139 787 12.00%, with various maturities to 2016 938,992 661 12.50%, with various maturities to 2015 790,489 738 13.00%, with various maturities to 2015 895,535 259 13.50%, with various maturities to 2017 320,334 96 14.50%, with maturity at 2014 119,252 - --------------------------------------------------------------------------------------------------- $ 364,235,655 - --------------------------------------------------------------------------------------------------- GOVERNMENT NATIONAL MORTGAGE ASSN.: $ 9,978 6.00%, with maturity at 2024(3) $ 10,414,671 86,753 6.50%, with various maturities to 2024(3) 91,702,172 16,146 7.00%, with various maturities to 2024(3) 17,276,496 50,976 8.00%, with various maturities to 2025(3) 55,974,767
See notes to financial statements 12
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE - --------------------------------------------------------------------------------------------------- $ 4,680 8.50%, with various maturities to 2022 $ 5,213,297 22,036 9.00%, with various maturities to 2026 24,756,325 30,781 9.50%, with various maturities to 2026(3) 35,025,768 2,116 10.00%, with maturity at 2019 2,472,948 - --------------------------------------------------------------------------------------------------- $ 242,836,444 - --------------------------------------------------------------------------------------------------- COLLATERALIZED MORTGAGE OBLIGATIONS: 1,239 Federal Home Loan Mortgage Corp., Series 1289, Class PV, 7.50%, 6/15/22 $ 1,314,084 6,921 Federal Home Loan Mortgage Corp., Series 1497, Class K, 7.00%, 4/15/23 7,337,281 10,966 Federal Home Loan Mortgage Corp., Series 1529, Class Z, 7.00%, 6/15/23 11,656,183 6,343 Federal Home Loan Mortgage Corp., Series 1620, Class Z, 6.00%, 11/15/23 6,641,151 3,907 Federal Home Loan Mortgage Corp., Series 1650, Class K, 6.50%, 1/15/24 4,181,137 2,009 Federal Home Loan Mortgage Corp., Series 1720, Class PJ, 7.25%, 1/15/24 2,102,361 15,547 Federal Home Loan Mortgage Corp., Series 1730, Class Z, 7.00%, 5/15/24 16,537,378 2,942 Federal Home Loan Mortgage Corp., Series 2198, Class ZA, 8.50%, 11/15/29 3,595,680 4,300 Federal Home Loan Mortgage Corp., Series 24, Class J, 6.25%, 11/25/23 4,526,249 5,152 Federal Home Loan Mortgage Corp., Series 40, Class K, 6.50%, 8/17/24 5,497,138 1,322 Federal National Mortgage Assn., Series 1988-14, Class I, 9.20%, 6/25/18 1,466,324 1,182 Federal National Mortgage Assn., Series 1989-1, Class D, 10.30%, 1/25/19 1,335,254 2,464 Federal National Mortgage Assn., Series 1989-34, Class Y, 9.85%, 7/25/19 2,780,671 572 Federal National Mortgage Assn., Series 1990-29, Class J, 9.00%, 3/25/20 636,789 3,051 Federal National Mortgage Assn., Series 1990-43, Class Z, 9.50%, 4/25/20 3,454,023 1,019 Federal National Mortgage Assn., Series 1991-98, Class J, 8.00%, 8/25/21 1,107,592 550 Federal National Mortgage Assn., Series 1992-103, Class Z, 7.50%, 6/25/22 591,158 1,030 Federal National Mortgage Assn., Series 1992-113, Class Z, 7.50%, 7/25/22 1,108,416 2,057 Federal National Mortgage Assn., Series 1992-185, Class ZB, 7.00%, 10/25/22 2,188,653 8,053 Federal National Mortgage Assn., Series 1992-77, Class ZA, 8.00%, 5/25/22 8,808,286 4,274 Federal National Mortgage Assn., Series 1993-16, Class Z, 7.50%, 2/25/23 4,598,512 3,973 Federal National Mortgage Assn., Series 1993-22, Class PM, 7.40%, 2/25/23 4,264,855 $ 5,455 Federal National Mortgage Assn., Series 1993-25, Class J, 7.50%, 3/25/23 $ 5,869,295 12,471 Federal National Mortgage Assn., Series 1993-30, Class PZ, 7.50%, 3/25/23 13,419,522 8,862 Federal National Mortgage Assn., Series 1994-89, Class ZQ, 8.00%, 7/25/24 9,638,923 9,910 Federal National Mortgage Assn., Series 1996-57, Class Z, 7.00%, 12/25/26 10,544,422 5,545 Federal National Mortgage Assn., Series 1997-77, Class Z, 7.00%, 11/18/27 5,923,907 9,185 Federal National Mortgage Assn., Series 2001-37, Class GA, 8.00%, 7/25/16 10,001,467 1,814 Federal National Mortgage Assn., Series G92-44, Class Z, 8.00%, 7/25/22 1,970,041 6,606 Federal National Mortgage Assn., Series G93-29, Class Z, 7.00%, 8/25/23 7,025,386 9,000 Government National Mortgage Assn., Series 2002-45, Class PG, 6.00%, 3/17/32 9,406,044 3,622 Merrill Lynch Trust, Series 45, Class Z, 9.10%, 9/20/20 3,820,881 - --------------------------------------------------------------------------------------------------- $ 173,349,063 - --------------------------------------------------------------------------------------------------- TOTAL MORTGAGE PASS-THROUGHS (IDENTIFIED COST $1,045,562,501) $ 1,040,884,398 - ---------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES -- 48.2%
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE - --------------------------------------------------------------------------------------------------- AEROSPACE AND DEFENSE -- 0.6% ARGO TECH CORP., SR. NOTES $ 1,815 9.25%, 6/1/11(4) $ 1,987,425 ARMOR HOLDINGS, INC., SR. SUB. NOTES 1,895 8.25%, 8/15/13 2,093,975 SEQUA CORP. 5,350 8.875%, 4/1/08 5,871,625 STANDARD AERO HOLDINGS, INC., SR. SUB. NOTES 760 8.25%, 9/1/14(4) 807,500 VOUGHT AIRCRAFT INDUSTRIES, INC., SR. NOTES 1,000 8.00%, 7/15/11 980,000 - --------------------------------------------------------------------------------------------------- $ 11,740,525 - --------------------------------------------------------------------------------------------------- AIR TRANSPORT -- 0.4% AMERICAN AIRLINES $ 3,000 7.80%, 10/1/06 $ 2,510,923 525 8.608%, 4/1/11 446,003
See notes to financial statements 13
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE - --------------------------------------------------------------------------------------------------- AIR TRANSPORT (CONTINUED) AMR CORP. $ 2,970 9.00%, 8/1/12 $ 1,826,550 CONTINENTAL AIRLINES 475 8.00%, 12/15/05 439,375 DELTA AIR LINES 2,625 7.779%, 11/18/05 1,970,686 DELTA AIR LINES, SERIES 02-1 643 7.779%, 1/2/12 302,712 - --------------------------------------------------------------------------------------------------- $ 7,496,249 - --------------------------------------------------------------------------------------------------- AUTOMOTIVE -- 1.6% DANA CORP. $ 2,360 10.125%, 3/15/10 $ 2,672,700 KEYSTONE AUTOMOTIVE OPERATIONS, INC., SR. SUB. NOTES 1,020 9.75%, 11/1/13 1,109,250 METALDYNE CORP. 2,855 11.00%, 6/15/12(4) 2,412,475 METALDYNE, INC., SR. NOTES 2,640 10.00%, 11/1/13(4) 2,534,400 SONIC AUTOMOTIVE, INC., SR. SUB. NOTES 1,600 8.625%, 8/15/13 1,700,000 TENNECO AUTOMOTIVE, GLOBAL SHARES, SERIES B 10,855 10.25%, 7/15/13 12,700,350 TENNECO AUTOMOTIVE, INC., SERIES B 2,470 11.625%, 10/15/09 2,636,725 TRW AUTOMOTIVE, INC., SR. NOTES 2,230 9.375%, 2/15/13 2,575,650 TRW AUTOMOTIVE, INC., SR. SUB. NOTES 3,900 11.00%, 2/15/13 4,660,500 UNITED COMPONENTS, INC., SR. SUB. NOTES 990 9.375%, 6/15/13 1,079,100 - --------------------------------------------------------------------------------------------------- $ 34,081,150 - --------------------------------------------------------------------------------------------------- BEVERAGE AND TOBACCO -- 0.2% ASG CONSOLIDATED, LLC/ASG FINANCE, INC., SR. DISC. NOTES $ 4,240 11.50%, 11/1/11(4) $ 2,724,200 NORTH ATLANTIC TRADING CO., SR. NOTES 1,985 9.25%, 3/1/12 1,935,375 - --------------------------------------------------------------------------------------------------- $ 4,659,575 - --------------------------------------------------------------------------------------------------- BROADCASTING -- 0.0% FISHER COMMUNICATIONS, INC., SR. NOTES $ 995 8.625%, 9/15/14(4) $ 1,054,700 - --------------------------------------------------------------------------------------------------- $ 1,054,700 - --------------------------------------------------------------------------------------------------- BUILDING AND DEVELOPMENT -- 1.4% COLEMAN CABLE, INC., SR. NOTES $ 1,060 9.875%, 10/1/12(4) $ 1,097,100 DAYTON SUPERIOR CORP., SR. NOTES 7,000 10.75%, 9/15/08 7,490,000 KOPPERS, INC. 1,835 9.875%, 10/15/13 2,082,725 MAAX CORP., SR. SUB. NOTES 1,150 9.75%, 6/15/12(4) 1,242,000 MUELLER GROUP, INC., SR. SUB. NOTES 2,625 10.00%, 5/1/12(4) 2,848,125 PLY GEM INDUSTRIES, INC., SR. SUB. NOTES 1,740 9.00%, 2/15/12(4) 1,744,350 2,625 9.00%, 2/15/12(4) 2,631,562 RMCC ACQUISITION CO., SR. SUB. NOTES 1,550 9.50%, 11/1/12(4) 1,581,000 THL BUILDCO (NORTEK, INC.), SR. SUB. NOTES 2,190 8.50%, 9/1/14(4) 2,332,350 WCI COMMUNITIES, INC., SR. SUB. NOTES 6,000 7.875%, 10/1/13 6,420,000 - --------------------------------------------------------------------------------------------------- $ 29,469,212 - --------------------------------------------------------------------------------------------------- BUSINESS EQUIPMENT AND SERVICES -- 1.4% AFFINITY GROUP, INC., SR. SUB. NOTES $ 3,450 9.00%, 2/15/12 $ 3,708,750 ALLIED SECURITY ESCROW, SR. SUB. NOTES 675 11.375%, 7/15/11(4) 712,125 AMERCO, INC. 1,560 9.00%, 3/15/09 1,653,600 COINMACH CORP., SR. NOTES 660 9.00%, 2/1/10 686,400 MOBILE MINI, INC. 2,090 9.50%, 7/1/13 2,393,050 NORCROSS SAFETY PRODUCTS LLC/NORCROSS CAPITAL CORP., SR. SUB. NOTES, SERIES B 4,660 9.875%, 8/15/11 5,102,700 QUINTILES TRANSNATIONAL CORP., SR. SUB. NOTES 9,690 10.00%, 10/1/13 10,610,550 UGS CORP., SR. SUB. NOTES 2,265 10.00%, 6/1/12(4) 2,548,125 WILLIAMS SCOTSMAN, INC., SR. NOTES 1,515 10.00%, 8/15/08 1,658,925 - --------------------------------------------------------------------------------------------------- $ 29,074,225 - ---------------------------------------------------------------------------------------------------
See notes to financial statements 14
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE - --------------------------------------------------------------------------------------------------- CABLE AND SATELLITE TELEVISION -- 0.8% CABLEVISION SYSTEMS CORP., SR. NOTES $ 345 8.00%, 4/15/12(4) $ 372,600 CHARTER COMMUNICATIONS HOLDINGS, LLC, SR. NOTES 2,520 10.25%, 1/15/10 2,079,000 INSIGHT COMMUNICATIONS, SR. DISC. NOTES 15,730 12.25%, 2/15/11 15,454,725 - --------------------------------------------------------------------------------------------------- $ 17,906,325 - --------------------------------------------------------------------------------------------------- CHEMICALS AND PLASTICS -- 3.8% ACETEX CORP., SR. NOTES $ 3,000 10.875%, 8/1/09 $ 3,315,000 AVECIA INVESTMENTS LTD. 2,207 11.00%, 7/1/09 2,085,615 BCP CAYLUX HOLDINGS, SR. SUB. NOTES 4,880 9.625%, 6/15/14(4) 5,490,000 BORDEN U.S. FINANCE/NOVA SCOTIA FINANCE, SR. NOTES 1,765 9.00%, 7/15/14(4) 1,939,294 CRYSTAL US HOLDINGS/US HOLDINGS 3, LLC, SR. DISC. NOTES 5,165 10.50%, 10/1/14(4) 3,279,775 EQUISTAR CHEMICAL, SR. NOTES 7,000 10.625%, 5/1/11 8,120,000 HUNTSMAN ADVANCED MATERIALS, SR. NOTES 905 11.00%, 7/15/10(4) 1,049,800 HUNTSMAN INTERNATIONAL 6,000 9.875%, 3/1/09 6,690,000 HUNTSMAN LLC 6,825 11.625%, 10/15/10 8,079,094 INNOPHOS, INC., SR. SUB. NOTES 1,100 8.875%, 8/15/14(4) 1,190,750 LYONDELL CHEMICAL CO. 1,940 9.50%, 12/15/08 2,124,300 4,790 9.50%, 12/15/08 5,245,050 LYONDELL CHEMICAL CO., SERIES A 3,170 9.625%, 5/1/07 3,494,925 LYONDELL CHEMICAL CO., SR. NOTES 2,412 10.50%, 6/1/13 2,858,220 NALCO CO., SR. SUB. NOTES 2,960 8.875%, 11/15/13(4) 3,259,700 OM GROUP, INC. 11,180 9.25%, 12/15/11 11,752,975 POLYONE CORP., SR. NOTES 2,275 8.875%, 5/1/12 2,439,937 RHODIA SA, SR. NOTES 6,450 10.25%, 6/1/10 7,030,500 ROCKWOOD SPECIALTIES GROUP, SR. SUB. NOTES $ 1,185 10.625%, 5/15/11 $ 1,321,275 - --------------------------------------------------------------------------------------------------- $ 80,766,210 - --------------------------------------------------------------------------------------------------- CLOTHING / TEXTILES -- 0.9% GFSI, INC., SR. SUB. NOTES, SERIES B $ 270 9.625%, 3/1/07 $ 265,950 J CREW OPERATING CORP., SR. SUB. NOTES 3,885 10.375%, 10/15/07 4,011,262 LEVI STRAUSS & CO. 250 7.00%, 11/1/06 245,937 LEVI STRAUSS & CO., SR. NOTES 3,250 11.625%, 1/15/08 3,331,250 MOTHERS WORK, INC. 1,100 11.25%, 8/1/10 1,061,500 PENNY (JC) CO., INC. 1,875 8.00%, 3/1/10 2,156,250 PERRY ELLIS INTERNATIONAL, INC., SR. SUB. NOTES 3,795 8.875%, 9/15/13 4,079,625 PHILLIPS VAN-HEUSEN, SR. NOTES 1,175 7.25%, 2/15/11(4) 1,236,687 2,500 8.125%, 5/1/13 2,725,000 - --------------------------------------------------------------------------------------------------- $ 19,113,461 - --------------------------------------------------------------------------------------------------- COMPUTERS - INTEGRATED SYSTEMS -- 0.0% ACTIVANT SOLUTIONS, INC., SR. NOTES $ 1,000 10.50%, 6/15/11 $ 1,047,500 - --------------------------------------------------------------------------------------------------- $ 1,047,500 - --------------------------------------------------------------------------------------------------- CONGLOMERATES -- 0.4% AMSTED INDUSTRIES, INC., SR. NOTES $ 7,150 10.25%, 10/15/11(4) $ 7,900,750 - --------------------------------------------------------------------------------------------------- $ 7,900,750 - --------------------------------------------------------------------------------------------------- CONSUMER PRODUCTS -- 0.3% FEDDERS NORTH AMERICA, INC. $ 2,585 9.875%, 3/1/14 $ 2,093,850 RIDDELL BELL HOLDINGS, SR. SUB. NOTES 425 8.375%, 10/1/12(4) 440,937 SAMSONITE CORP., SR. SUB. NOTES 3,680 8.875%, 6/1/11 3,937,600 - --------------------------------------------------------------------------------------------------- $ 6,472,387 - ---------------------------------------------------------------------------------------------------
See notes to financial statements 15
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE - --------------------------------------------------------------------------------------------------- CONTAINERS AND GLASS PRODUCTS -- 2.4% ANCHOR GLASS CONTAINER CORP. $ 5,000 11.00%, 2/15/13 $ 5,600,000 CROWN EURO HOLDINGS SA 20,495 10.875%, 3/1/13 24,440,287 GRAHAM PACKAGING CO., SR. NOTES 850 8.50%, 10/15/12(4) 896,750 GRAHAM PACKAGING CO., SR. SUB. NOTES 1,700 9.875%, 10/15/14(4) 1,810,500 GRAPHIC PACKAGING INTERNATIONAL CORP., SR. SUB. NOTES 3,265 9.50%, 8/15/13 3,779,237 INTERTAPE POLYMER US, INC., SR. SUB. NOTES 3,235 8.50%, 8/1/14(4) 3,230,956 PLASTIPAK HOLDINGS, INC. 3,915 10.75%, 9/1/11 4,404,375 PLIANT CORP. 2,775 11.125%, 6/15/09 2,483,625 STONE CONTAINER CORP., SR. NOTES 1,150 7.375%, 7/15/14(4) 1,233,375 TEKNI-PLEX, INC., SR. NOTES 1,755 8.75%, 11/15/13(4) 1,682,606 US CAN CORP., SR. NOTES 820 10.875%, 7/15/10 836,400 - --------------------------------------------------------------------------------------------------- $ 50,398,111 - --------------------------------------------------------------------------------------------------- ECOLOGICAL SERVICES AND EQUIPMENT -- 0.1% ALDERWOODS GROUP, INC., SR. NOTES $ 1,145 7.75%, 9/15/12(4) $ 1,242,325 NATIONAL WATERWORKS, INC., SERIES B 1,500 10.50%, 12/1/12 1,691,250 - --------------------------------------------------------------------------------------------------- $ 2,933,575 - --------------------------------------------------------------------------------------------------- ELECTRONICS / ELECTRICAL -- 1.0% DANKA BUSINESS SYSTEMS, SR. NOTES $ 2,350 11.00%, 6/15/10 $ 2,479,250 HEXCEL CORP. 1,520 9.875%, 10/1/08 1,710,000 HEXCEL CORP., SR. SUB. NOTES 525 9.75%, 1/15/09 555,187 RAYOVAC CORP., SR. SUB. NOTES 4,025 8.50%, 10/1/13 4,437,562 SANMINA-SCI CORP., SR. NOTES 5,000 10.375%, 1/15/10 5,887,500 WESCO DISTRIBUTION INC. 5,000 9.125%, 6/1/08 5,200,000 - --------------------------------------------------------------------------------------------------- $ 20,269,499 - --------------------------------------------------------------------------------------------------- ENGINEERING -- 0.1% SHAW GROUP, INC., SR. NOTES $ 1,210 10.75%, 3/15/10 $ 1,297,725 - --------------------------------------------------------------------------------------------------- $ 1,297,725 - --------------------------------------------------------------------------------------------------- EQUIPMENT LEASING -- 0.2% UNITED RENTALS NORTH AMERICA, INC. $ 2,120 6.50%, 2/15/12 $ 2,109,400 UNITED RENTALS NORTH AMERICA, INC., SR. SUB. NOTES 2,250 7.00%, 2/15/14 2,086,875 - --------------------------------------------------------------------------------------------------- $ 4,196,275 - --------------------------------------------------------------------------------------------------- FARMING / AGRICULTURE -- 0.4% IMC GLOBAL, INC. $ 6,775 11.25%, 6/1/11 $ 7,994,500 - --------------------------------------------------------------------------------------------------- $ 7,994,500 - --------------------------------------------------------------------------------------------------- FINANCIAL INTERMEDIARIES -- 0.2% REFCO FINANCE HOLDINGS, LLC, SR. SUB. NOTES $ 4,335 9.00%, 8/1/12(4) $ 4,703,475 - --------------------------------------------------------------------------------------------------- $ 4,703,475 - --------------------------------------------------------------------------------------------------- FINANCIAL INVESTMENTS -- 0.1% CARLYLE HIGH YIELD PARTNERS, SERIES 2004-6A, CLASS C $ 1,000 4.36%, 8/15/16(2)(4) $ 1,000,000 DRYDEN LEVERAGED LOAN, SERIES 2004-6A, CLASS C1 1,500 4.055%, 7/30/16(2)(4) 1,500,000 - --------------------------------------------------------------------------------------------------- $ 2,500,000 - --------------------------------------------------------------------------------------------------- FOOD PRODUCTS -- 0.7% MERISANT CO., SR. NOTES $ 3,155 9.75%, 7/15/13(4) $ 2,949,925 MICHAEL FOODS, SR. SUB. NOTES 1,125 8.00%, 11/15/13 1,192,500 PINNACLE FOODS HOLDINGS CORP., SR. SUB. NOTES 250 8.25%, 12/1/13(4) 237,500 3,725 8.25%, 12/1/13(4) 3,538,750 UAP HOLDING CORP., SR. DISC. NOTES 5,535 10.75%, 7/15/12(4) 4,261,950 WH HOLDINGS LTD./WH CAPITAL CORP., SR. NOTES 1,865 9.50%, 4/1/11 2,051,500 - --------------------------------------------------------------------------------------------------- $ 14,232,125 - ---------------------------------------------------------------------------------------------------
See notes to financial statements 16
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE - --------------------------------------------------------------------------------------------------- FOOD / DRUG RETAILERS -- 0.3% GENERAL NUTRITION CENTERS, SR. SUB. NOTES $ 1,250 8.50%, 12/1/10(4) $ 1,265,625 JEAN COUTU GROUP, INC., SR. SUB. NOTES 2,685 8.50%, 8/1/14(4) 2,752,125 PIERRE FOODS, INC., SR. SUB. NOTES 3,225 9.875%, 7/15/12(4) 3,289,500 - --------------------------------------------------------------------------------------------------- $ 7,307,250 - --------------------------------------------------------------------------------------------------- FOREST PRODUCTS -- 2.5% AINSWORTH LUMBER, SR. NOTES $ 2,125 7.25%, 10/1/12(4) $ 2,162,187 BOISE CASCADE, LLC, SR. NOTES, VARIABLE RATE 1,520 5.005%, 10/15/12(4) 1,561,800 BOISE CASCADE, LLC, SR. SUB. NOTES 1,955 7.125%, 10/15/14(4) 2,050,420 CARAUSTAR INDUSTRIES, INC., SR. SUB. NOTES 4,950 9.875%, 4/1/11 5,395,500 GEORGIA-PACIFIC CORP. 15,225 9.50%, 12/1/11 19,031,250 MDP ACQUISITIONS/JSG FUNDING PLC, SR. NOTES 17,180 9.625%, 10/1/12 19,671,100 NEWARK GROUP, INC., SR. SUB. NOTES 3,885 9.75%, 3/15/14(4) 4,059,825 - --------------------------------------------------------------------------------------------------- $ 53,932,082 - --------------------------------------------------------------------------------------------------- HEALTHCARE -- 3.4% ARDENT HEALTH SERVICES, INC., SR. SUB. NOTES $ 6,995 10.00%, 8/15/13 $ 7,187,362 CONCENTRA OPERATING CORP., SR. NOTES 7,000 9.50%, 8/15/10 7,805,000 INVERNESS MEDICAL INNOVATIONS, INC., SR. SUB. NOTES 3,175 8.75%, 2/15/12(4) 3,286,125 MEDICAL DEVICE MANUFACTURING, INC., SR. SUB. NOTES 2,645 10.00%, 7/15/12(4) 2,843,375 MEDQUEST, INC. 6,000 11.875%, 8/15/12 6,990,000 NATIONAL MENTOR, INC., SR. SUB. NOTES 1,305 9.625%, 12/1/12(4) 1,344,150 NATIONAL NEPHROLOGY ASSOCIATION, SR. SUB. NOTES 2,000 9.00%, 11/1/11(4) 2,320,000 PACIFICARE HEALTH SYSTEM 7,017 10.75%, 6/1/09 8,122,177 ROTECH HEALTHCARE, INC. 3,675 9.50%, 4/1/12 4,024,125 TENET HEALTHCARE CORP. $ 6,500 7.375%, 2/1/13 $ 6,175,000 TENET HEALTHCARE CORP., SR. NOTES 5,710 9.875%, 7/1/14(4) 6,009,775 US ONCOLOGY, INC., SR. NOTES 2,205 9.00%, 8/15/12(4) 2,392,425 US ONCOLOGY, INC., SR. SUB. NOTES 4,365 10.75%, 8/15/14(4) 4,779,675 VANGUARD HEALTH HOLDINGS II, SR. SUB. NOTES 4,730 9.00%, 10/1/14(4) 4,966,500 VWR INTERNATIONAL, INC., SR. SUB. NOTES 3,270 8.00%, 4/15/14(4) 3,523,425 - --------------------------------------------------------------------------------------------------- $ 71,769,114 - --------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 0.2% NEW ASAT (FINANCE) LTD., SR. NOTES $ 2,490 9.25%, 2/1/11(4) $ 2,191,200 STRATUS TECHNOLOGIES, INC., SR. NOTES 2,715 10.375%, 12/1/08 2,321,325 - --------------------------------------------------------------------------------------------------- $ 4,512,525 - --------------------------------------------------------------------------------------------------- INVESTMENT SERVICES -- 0.1% E*TRADE FINANCIAL CORP., SR. NOTES $ 2,420 8.00%, 6/15/11(4) $ 2,565,200 - --------------------------------------------------------------------------------------------------- $ 2,565,200 - --------------------------------------------------------------------------------------------------- LEISURE GOODS / ACTIVITIES / MOVIES -- 2.3% CHUKCHANSI EDA, SR. NOTES $ 800 14.50%, 6/15/09(4) $ 1,012,000 LCE ACQUISITION CORP., SR. SUB. NOTES 4,465 9.00%, 8/1/14(4) 4,699,412 MARQUEE HOLDINGS, INC., SR. DISC. NOTES 5,965 12.00%, 8/15/14(4) 3,698,300 MARQUEE, INC., SR. NOTES 3,310 8.625%, 8/15/12(4) 3,632,725 OED CORP./DIAMOND JO LLC 3,830 8.75%, 4/15/12(4) 3,619,350 PENN NATIONAL GAMING, INC., SR. SUB. NOTES 850 11.125%, 3/1/08 923,312 ROYAL CARIBBEAN CRUISES, SR. NOTES 11,010 8.75%, 2/2/11 13,156,950 SIX FLAGS THEME PARKS, INC., SR. NOTES 1,000 8.875%, 2/1/10 962,500 1,025 9.625%, 6/1/14 984,000
See notes to financial statements 17
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE - --------------------------------------------------------------------------------------------------- LEISURE GOODS / ACTIVITIES / MOVIES (CONTINUED) TRUE TEMPER SPORTS, INC., SR. SUB. NOTES $ 700 8.375%, 9/15/11 $ 640,500 UNIVERSAL CITY DEVELOPMENT PARTNERS, SR. NOTES 12,925 11.75%, 4/1/10 15,122,250 - --------------------------------------------------------------------------------------------------- $ 48,451,299 - --------------------------------------------------------------------------------------------------- LODGING AND CASINOS -- 2.7% HOST MARRIOTT L.P., SERIES I $ 3,505 9.50%, 1/15/07 $ 3,908,075 INN OF THE MOUNTAIN GODS, SR. NOTES 5,230 12.00%, 11/15/10 6,092,950 JOHN Q HAMONS HOTELS/FINANCE, SERIES B 3,500 8.875%, 5/15/12 4,042,500 MAJESTIC STAR CASINO LLC 5,555 9.50%, 10/15/10 5,763,312 MGM GRAND, INC. 1,125 6.875%, 2/6/08 1,230,469 MTR GAMING GROUP, SERIES B 2,500 9.75%, 4/1/10 2,712,500 PREMIER ENTERTAINMENT BILOXI, LLC/PREMIER FINANCE BILOXI CORP. 475 10.75%, 2/1/12(4) 508,250 SUN INTERNATIONAL HOTELS, SR. SUB. NOTES 4,000 8.875%, 8/15/11 4,430,000 TRUMP ATLANTIC CITY ASSOCIATES, INC. 5,510 11.25%, 5/1/06(5) 4,862,575 TRUMP HOLDINGS AND FUNDING, SR. NOTES 6,545 11.625%, 3/15/10 7,003,150 VENETIAN CASINO RESORT, LLC/LAS VEGAS SANDS, INC. 5,995 11.00%, 6/15/10 6,916,731 WATERFORD GAMING LLC, SR. NOTES 9,086 8.625%, 9/15/12(4) 9,710,662 - --------------------------------------------------------------------------------------------------- $ 57,181,174 - --------------------------------------------------------------------------------------------------- MACHINERY -- 1.1% CASE NEW HOLLAND, INC., SR. NOTES $ 7,135 9.25%, 8/1/11(4) $ 8,169,575 MANITOWOC CO., INC. (THE) 1,500 10.50%, 8/1/12 1,741,875 TEREX CORP. 8,645 10.375%, 4/1/11 9,768,850 THERMADYNE HOLDINGS CORP., SR. SUB. NOTES 4,575 9.25%, 2/1/14 4,369,125 - --------------------------------------------------------------------------------------------------- $ 24,049,425 - --------------------------------------------------------------------------------------------------- MANUFACTURING -- 0.6% AEARO CO. I, SR. SUB. NOTES $ 1,665 8.25%, 4/15/12(4) $ 1,731,600 OXFORD INDUSTRIES, INC., SR. NOTES 9,690 8.875%, 6/1/11(4) 10,513,650 - --------------------------------------------------------------------------------------------------- $ 12,245,250 - --------------------------------------------------------------------------------------------------- MINING - COAL -- 0.1% ALPHA NATURAL RESOURCES, SR. NOTES $ 1,370 10.00%, 6/1/12(4) $ 1,527,550 - --------------------------------------------------------------------------------------------------- $ 1,527,550 - --------------------------------------------------------------------------------------------------- NONFERROUS METALS / MINERALS -- 0.4% AK STEEL CORP. $ 2,000 7.75%, 6/15/12 $ 2,035,000 GENERAL CABLE CORP., SR. NOTES 1,510 9.50%, 11/15/10 1,713,850 ISPAT INLAND ULC, SR. NOTES 3,235 9.75%, 4/1/14(4) 3,946,700 - --------------------------------------------------------------------------------------------------- $ 7,695,550 - --------------------------------------------------------------------------------------------------- OIL AND GAS -- 2.7% BELDEN & BLAKE CORP., SR. NOTES $ 675 8.75%, 7/15/12(4) $ 732,375 DENBURY RESOURCES, INC. 210 7.50%, 4/1/13 228,900 DRESSER, INC. 9,200 9.375%, 4/15/11 10,258,000 DRESSER-RAND GROUP, INC., SR. SUB. NOTES 4,655 7.375%, 11/1/14(4) 4,899,387 DYNEGY HOLDINGS, INC., SR. NOTES 9,790 10.125%, 7/15/13(4) 11,454,300 EL PASO CGP CO., SR. DEBS. 2,305 9.625%, 5/15/12 2,518,212 EL PASO CORP., SR. NOTES 650 7.00%, 5/15/11 656,500 EL PASO PRODUCTION HOLDING CO. 2,245 7.75%, 6/1/13 2,351,638 GIANT INDUSTRIES 850 8.00%, 5/15/14 890,375 HANOVER COMPRESSOR CO., SR. SUB. NOTES 4,945 0.00%, 3/31/07 4,227,975 MARKWEST ENERGY PARTNERS, L.P./MARKWEST ENERGY FINANCE CORP., SR. NOTES 1,085 6.875%, 11/1/14(4) 1,112,125
See notes to financial statements 18
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE - --------------------------------------------------------------------------------------------------- OIL AND GAS (CONTINUED) NGC CORP., SR. DEBS. $ 885 7.125%, 5/15/18 $ 787,650 1,990 7.625%, 10/15/26 1,746,225 PARKER DRILLING CO., SR. NOTES 1,930 9.625%, 10/1/13 2,156,775 PREMCOR REFINING GROUP, SR. SUB. NOTES 1,265 7.75%, 2/1/12 1,407,313 SONAT, INC. 5,000 7.625%, 7/15/11 5,137,500 TRANSMONTAIGNE, INC., SR. SUB. NOTES 4,800 9.125%, 6/1/10 5,364,000 UNITED REFINING CO., SR. NOTES 2,320 10.50%, 8/15/12(4) 2,360,600 - --------------------------------------------------------------------------------------------------- $ 58,289,850 - --------------------------------------------------------------------------------------------------- PUBLISHING -- 2.1% ADVANSTAR COMMUNICATIONS, INC. $ 6,980 10.75%, 8/15/10 $ 7,817,600 ADVANSTAR COMMUNICATIONS, INC., VARIABLE RATE 4,455 9.79%, 8/15/08 4,688,888 ADVERTISING DIRECT SOLUTIONS, SR. NOTES 870 9.25%, 11/15/12(4) 912,413 AMERICAN MEDIA OPERATIONS, INC. 2,040 8.875%, 1/15/11 2,182,800 AMERICAN MEDIA OPERATIONS, INC., SERIES B 5,240 10.25%, 5/1/09 5,541,300 CBD MEDIA, INC., SR. SUB. NOTES 1,335 8.625%, 6/1/11 1,405,088 DEX MEDIA WEST LLC, SR. SUB. NOTES 5,475 9.875%, 8/15/13 6,501,563 HOLLINGER PARTICIPATION TRUST, SR. NOTES, (PIK) 1,739 12.125%, 11/15/10(4) 2,130,090 HOUGHTON MIFFLIN CO., SR. SUB. NOTES 1,490 9.875%, 2/1/13 1,624,100 LIBERTY GROUP OPERATING, INC. 1,380 9.375%, 2/1/08 1,397,250 PRIMEDIA, INC. 3,180 8.875%, 5/15/11 3,331,050 XEROX CORP. 3,000 9.75%, 1/15/09 3,532,500 XEROX CORP., SR. NOTES 1,855 7.125%, 6/15/10 2,017,313 1,485 7.625%, 6/15/13 1,640,925 - --------------------------------------------------------------------------------------------------- $ 44,722,880 - --------------------------------------------------------------------------------------------------- RADIO AND TELEVISION -- 3.3% CANWEST MEDIA, INC., SR. SUB. NOTES $ 11,000 10.625%, 5/15/11 $ 12,485,000 CCO HOLDINGS LLC / CCO CAPITAL CORP., SENIOR NOTES 2,000 8.75%, 11/15/13 2,005,000 CORUS ENTERTAINMENT, INC., SR. SUB. NOTES 880 8.75%, 3/1/12 985,600 CSC HOLDINGS, INC., SR. NOTES 2,970 7.875%, 12/15/07 3,215,025 5,000 8.125%, 7/15/09 5,525,000 CSC HOLDINGS, INC., SR. SUB. NOTES 6,605 10.50%, 5/15/16 7,579,238 ECHOSTAR DBS CORP., SR. NOTES 10,000 4.85%, 10/1/08 10,450,000 KABEL DEUTSCHLAND GMBH 4,965 10.625%, 7/1/14(4) 5,585,625 MUZAK HOLDINGS LLC 1,310 9.875%, 3/15/09 910,450 MUZAK LLC/MUZAK FINANCE, SR. NOTES 7,365 10.00%, 2/15/09 6,628,500 NEXSTAR FINANCE HOLDINGS LLC, INC. 330 12.00%, 4/1/08 361,350 NEXSTAR FINANCE HOLDINGS LLC, INC., SR. DISC. NOTES 3,450 11.375%, 4/1/13 2,673,750 PAXSON COMMUNICATIONS CORP. 3,000 4.35%, 1/15/10(4) 3,033,750 RAINBOW NATIONAL SERVICES, LLC, SR. NOTES 1,805 8.75%, 9/1/12(4) 1,940,375 RAINBOW NATIONAL SERVICES, LLC, SR. SUB. DEBS. 6,905 10.375%, 9/1/14(4) 7,560,975 - --------------------------------------------------------------------------------------------------- $ 70,939,638 - --------------------------------------------------------------------------------------------------- RECYCLING -- 0.1% IMCO RECYCLING, SR. NOTES $ 1,085 9.00%, 11/15/14(2)(4) $ 1,085,000 - --------------------------------------------------------------------------------------------------- $ 1,085,000 - --------------------------------------------------------------------------------------------------- REITS -- 0.3% CB RICHARD ELLIS SERVICES, INC., SR. NOTES $ 1,717 9.75%, 5/15/10 $ 1,965,965 CB RICHARD ELLIS SERVICES, INC., SR. SUB. NOTES 2,600 11.25%, 6/15/11 3,055,000 OMEGA HEALTHCARE INVESTORS, INC., SR. NOTES 1,165 7.00%, 4/1/14(4) 1,199,950 - --------------------------------------------------------------------------------------------------- $ 6,220,915 - ---------------------------------------------------------------------------------------------------
See notes to financial statements 19
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE - --------------------------------------------------------------------------------------------------- RETAILERS (EXCEPT FOOD AND DRUG) -- 0.6% AMSCAN HOLDINGS, INC., SR. SUB. NOTES $ 220 8.75%, 5/1/14(4) $ 222,200 HOME INTERIORS & GIFTS, INC. 2,255 10.025%, 6/1/08 1,950,575 JOSTENS HOLDING CORP., SR. DISC. NOTES 1,250 10.25%, 12/1/13 878,125 PCA LLC/PCA FINANCE CORP., SR. NOTES 8,455 11.875%, 8/1/09 8,074,525 PETRO STOPPING CENTERS LP/PETRO FINANCIAL CORP., SR. NOTES 1,795 9.00%, 2/15/12 1,929,625 - --------------------------------------------------------------------------------------------------- $ 13,055,050 - --------------------------------------------------------------------------------------------------- SEMICONDUCTORS -- 0.8% ADVANCED MICRO DEVICES, INC., SR. NOTES $ 8,040 7.75%, 11/1/12(4) $ 8,100,300 AMKOR TECHNOLOGIES, INC. 1,010 5.75%, 6/1/06 964,550 AMKOR TECHNOLOGIES, INC., SR. NOTES 2,340 7.125%, 3/15/11 2,029,950 7,585 7.75%, 5/15/13 6,579,988 - --------------------------------------------------------------------------------------------------- $ 17,674,788 - --------------------------------------------------------------------------------------------------- SERVICES -- 0.3% KINDERCARE LEARNING CENTERS, INC., SR. SUB. NOTES $ 5,375 9.50%, 2/15/09 $ 5,469,063 - --------------------------------------------------------------------------------------------------- $ 5,469,063 - --------------------------------------------------------------------------------------------------- SURFACE TRANSPORT -- 0.4% HORIZON LINES, LLC $ 4,380 9.00%, 11/1/12(4) $ 4,757,775 OMI CORP., SR. NOTES 3,510 7.625%, 12/1/13 3,724,988 QUALITY DISTRIBUTION LLC/QD CAPITAL CORP. 1,045 9.00%, 11/15/10(4) 978,381 - --------------------------------------------------------------------------------------------------- $ 9,461,144 - --------------------------------------------------------------------------------------------------- TELECOMMUNICATIONS -- 3.8% AIRGATE PCS, INC., SR. NOTES, VARIABLE RATE $ 1,080 5.85%, 10/15/11(4) $ 1,112,400 ALAMOSA DELAWARE, INC., SR. DISC. NOTES 1,305 12.00%, 7/31/09 1,396,350 ALAMOSA DELAWARE, INC., SR. NOTES $ 2,295 11.00%, 7/31/10 $ 2,696,625 1,010 8.50%, 1/31/12 1,075,650 ALASKA COMMUNICATIONS SYSTEMS HOLDINGS, INC. 5,000 9.875%, 8/15/11 4,975,000 AMERICAN TOWER, L.P., SR. NOTES 3,529 9.375%, 2/1/09 3,749,563 CENTENNIAL CELLULAR OPERATING CO., LLC, SR. SUB. NOTES 680 10.75%, 12/15/08 710,600 CENTENNIAL CELLULAR OPERATING CO./CENTENNIAL COMMUNICATIONS CORP., SR. NOTES 6,490 10.125%, 6/15/13 7,074,100 CROWN CASTLE OPERATING CO., SR. NOTES 5,000 10.75%, 8/1/11(2) 5,562,500 DOBSON CELLULAR SYSTEMS, INC., VARIABLE RATE 1,085 6.95%, 11/1/11(4) 1,120,263 INMARSAT FINANCE PLC 4,795 7.625%, 6/30/12 4,866,925 LCI INTERNATIONAL, INC., SR. NOTES 3,150 7.25%, 6/15/07 2,905,875 NEXTEL COMMUNICATIONS, INC., SR. NOTES 6,225 7.375%, 8/1/15 6,940,875 NEXTEL PARTNERS, INC., SR. NOTES 1,918 12.50%, 11/15/09 2,203,303 NORTEL NETWORKS LTD. 665 6.125%, 2/15/06 683,288 1,575 4.25%, 9/1/08 1,521,844 PANAMSAT CORP., SR. NOTES 4,335 9.00%, 8/15/14(4) 4,616,775 QWEST CAPITAL FUNDING, INC. 510 7.75%, 8/15/06 526,575 785 7.90%, 8/15/10 763,413 QWEST CORP. 3,740 14.00%, 12/15/10(4) 4,459,950 2,000 8.875%, 3/15/12(4) 2,265,000 RURAL CELLULAR CORP., VARIABLE RATE 2,000 5.61%, 3/15/10(4) 2,070,000 TELEMIG CELULAR SA/AMAZONIA CELULAR SA 1,755 8.75%, 1/20/09(4) 1,755,000 TRITON PCS, INC. 2,765 8.50%, 6/1/13 2,550,713 TSI TELECOMMUNICATION, SERIES B 2,000 12.75%, 2/1/09 2,250,000 UBIQUITEL OPERATING CO., SR. NOTES 1,435 9.875%, 3/1/11 1,560,563
See notes to financial statements 20
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE - --------------------------------------------------------------------------------------------------- TELECOMMUNICATIONS (CONTINUED) US UNWIRED, INC., SERIES B $ 4,470 10.00%, 6/15/12 $ 4,861,125 WESTERN WIRELESS, SR. NOTES 3,290 9.25%, 7/15/13 3,520,300 - --------------------------------------------------------------------------------------------------- $ 79,794,575 - --------------------------------------------------------------------------------------------------- UTILITIES -- 2.9% AES CORP., SR. NOTES $ 4,500 8.75%, 6/15/08 $ 4,983,750 6,000 9.50%, 6/1/09 6,945,000 6,965 8.75%, 5/15/13(4) 8,079,400 945 9.00%, 5/15/15(4) 1,105,650 CALPINE CORP., SR. NOTES 1,810 8.25%, 8/15/05 1,778,325 4,455 7.625%, 4/15/06 4,165,425 680 10.50%, 5/15/06 647,700 4,405 8.50%, 7/15/10(4) 3,259,700 ILLINOIS POWER 2,430 7.50%, 6/15/09 2,789,001 MISSION ENERGY HOLDING CO. 2,115 13.50%, 7/15/08 2,691,338 NORTHWESTERN CORP., SR. NOTES 435 5.875%, 11/1/14(4) 450,769 NRG ENERGY, INC., SR. NOTES 5,805 8.00%, 12/15/13(4) 6,421,781 ORION POWER HOLDINGS, INC., SR. NOTES 12,415 12.00%, 5/1/10 15,704,975 RELIANT ENERGY, INC. 1,770 9.25%, 7/15/10 1,973,550 - --------------------------------------------------------------------------------------------------- $ 60,996,364 - --------------------------------------------------------------------------------------------------- WASTE MANAGEMENT -- 0.2% WASTE SERVICES, INC., SR. SUB. NOTES $ 4,515 9.50%, 4/15/14(4) $ 4,266,675 - --------------------------------------------------------------------------------------------------- $ 4,266,675 - --------------------------------------------------------------------------------------------------- TOTAL CORPORATE BONDS & NOTES (IDENTIFIED COST $962,817,525) $ 1,022,519,915 - ---------------------------------------------------------------------------------------------------
COMMERCIAL PAPER -- 0.5%
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE - --------------------------------------------------------------------------------------------------- GENERAL ELECTRIC CAPITAL CORP. $ 8,144 1.83%, 11/1/04 $ 8,143,172 MORTGAGE & REALTY TRUST $ 1,500 1.90%, 11/1/04 $ 1,499,842 - --------------------------------------------------------------------------------------------------- TOTAL COMMERCIAL PAPER (IDENTIFIED COST $9,643,014) $ 9,643,014 - ---------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 1.0%
PRINCIPAL MATURITY AMOUNT DATE BORROWER RATE AMOUNT - --------------------------------------------------------------------------------------------------- $ 20,958,000 11/01/04 Investors Bank and Trust 1.88% $ 20,958,000 Company Time Deposit - --------------------------------------------------------------------------------------------------- TOTAL SHORT-TERM INVESTMENTS (AT AMORTIZED COST) $ 20,958,000 - --------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 147.3% (IDENTIFIED COST $3,057,356,531) $ 3,122,099,620 - --------------------------------------------------------------------------------------------------- OTHER ASSETS, LESS LIABILITIES -- (9.6)% $ (202,445,876) - --------------------------------------------------------------------------------------------------- AUCTION PREFERRED SHARES PLUS CUMULATIVE UNPAID DIVIDENDS -- (37.8)% $ (800,150,340) - --------------------------------------------------------------------------------------------------- NET ASSETS APPLICABLE TO COMMON SHARES -- 100.0% $ 2,119,503,404 - ---------------------------------------------------------------------------------------------------
Note: The Fund has made commitments to fund specified amounts under certain existing credit arrangments. Pursuant to the terms of these arrangements, the Fund had unfunded loan commitments of $7,878,070 as of October 31, 2004. 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 three years. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility. (2) Security valued at fair value using methods determined in good faith by or at the direction of the Trustees. (3) All or a portion of these securities were on loan at October 31, 2004. (4) Security exempt from registration under Rule 144A of the Securities Act of 1933. these securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2004, the aggregate value of the securities is $287,887,932 or 13.6% of the Fund's net assets. (5) Defaulted bond. See notes to financial statements 21 EATON VANCE LIMITED DURATION INCOME FUND as of October 31, 2004 FINANCIAL STATEMENTS (UNAUDITED) STATEMENT OF ASSETS AND LIABILITIES AS OF OCTOBER 31, 2004 ASSETS Investments, at value including $216,333,374 of securities on loan (identified cost, $3,057,356,531) $ 3,122,099,620 Cash 4,575,544 Receivable for investments sold 11,812,193 Interest receivable 33,078,901 Prepaid expenses 79,452 - ----------------------------------------------------------------------------------------------------- TOTAL ASSETS $ 3,171,645,710 - ----------------------------------------------------------------------------------------------------- LIABILITIES Collateral for securities loaned $ 221,705,085 Payable for investments purchased 29,977,231 Payable to affiliate for Trustees' fees 2,006 Accrued expenses 307,644 - ----------------------------------------------------------------------------------------------------- TOTAL LIABILITIES $ 251,991,966 - ----------------------------------------------------------------------------------------------------- AUCTION PREFERRED SHARES (32,000 SHARES OUTSTANDING) AT LIQUIDATION VALUE PLUS CUMULATIVE UNPAID DIVIDENDS 800,150,340 - ----------------------------------------------------------------------------------------------------- NET ASSETS APPLICABLE TO COMMON SHARES $ 2,119,503,404 - ----------------------------------------------------------------------------------------------------- SOURCES OF NET ASSETS Common Shares, $0.01 par value, unlimited number of shares authorized, 111,447,775 shares issued and outstanding $ 1,114,478 Additional paid-in capital 2,116,810,969 Accumulated net realized loss (computed on the basis of identified cost) (50,275,668) Accumulated distributions in excess of net investment income (12,889,464) Net unrealized appreciation (computed on the basis of identified cost) 64,743,089 - ----------------------------------------------------------------------------------------------------- NET ASSETS APPLICABLE TO COMMON SHARES $ 2,119,503,404 - ----------------------------------------------------------------------------------------------------- NET ASSET VALUE PER COMMON SHARE ($2,119,503,404 DIVIDED BY 111,447,775 COMMON SHARES ISSUED AND OUTSTANDING) $ 19.02 - -----------------------------------------------------------------------------------------------------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED OCTOBER 31, 2004 INVESTMENT INCOME Interest $ 81,520,531 Securities lending income, net 2,377,587 Dividends 33,701 - ----------------------------------------------------------------------------------------------------- TOTAL INVESTMENT INCOME $ 83,931,819 - ----------------------------------------------------------------------------------------------------- EXPENSES Investment adviser fee $ 11,896,668 Trustees' fees and expenses 11,455 Preferred shares remarketing agent fee 1,173,630 Custodian fee 306,081 Printing and postage 193,967 Legal and accounting services 48,749 Transfer and dividend disbursing agent fees 30,180 Miscellaneous 152,398 - ----------------------------------------------------------------------------------------------------- TOTAL EXPENSES $ 13,813,128 - ----------------------------------------------------------------------------------------------------- Deduct -- Reduction of custodian fee $ 357 Reduction of investment adviser fee 3,172,445 - ----------------------------------------------------------------------------------------------------- TOTAL EXPENSE REDUCTIONS $ 3,172,802 - ----------------------------------------------------------------------------------------------------- NET EXPENSES $ 10,640,326 - ----------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME $ 73,291,493 - ----------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) -- Investment transactions (identified cost basis) $ (3,279,043) - ----------------------------------------------------------------------------------------------------- NET REALIZED LOSS $ (3,279,043) - ----------------------------------------------------------------------------------------------------- Change in unrealized appreciation (depreciation) -- Investments (identified cost basis) $ 21,310,445 - ----------------------------------------------------------------------------------------------------- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) $ 21,310,445 - ----------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN $ 18,031,402 - ----------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO PREFERRED SHAREHOLDERS $ (7,289,221) - ----------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 84,033,674 - -----------------------------------------------------------------------------------------------------
See notes to financial statements 22 STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED INCREASE (DECREASE) OCTOBER 31, 2004 PERIOD ENDED IN NET ASSETS (UNAUDITED) APRIL 30, 2004(1) - ------------------------------------------------------------------------------------------------------- From operations -- Net investment income $ 73,291,493 $ 116,656,709 Net realized gain (loss) from investment transactions (3,279,043) 4,765,139 Net change in unrealized appreciation (depreciation) from investments 21,310,445 43,432,644 Distributions to preferred shareholders (7,289,221) (8,280,107) - ------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 84,033,674 $ 156,574,385 - ------------------------------------------------------------------------------------------------------- Distributions to common shareholders -- From net investment income $ (89,713,589) $ (149,316,513) - ------------------------------------------------------------------------------------------------------- TOTAL DISTRIBUTIONS TO COMMON SHAREHOLDERS $ (89,713,589) $ (149,316,513) - ------------------------------------------------------------------------------------------------------- Capital share transactions -- Proceeds from sale of common shares $ -- $ 2,120,100,000(2) Reinvestment of distributions to common shareholders 6,274,258 2,116,452 Offering costs and preferred shares underwriting discounts -- (10,665,263) - ------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS $ 6,274,258 $ 2,111,551,189 - ------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS $ 594,343 $ 2,118,809,061 - ------------------------------------------------------------------------------------------------------- NET ASSETS APPLICABLE TO COMMON SHARES At beginning of period $ 2,118,909,061 $ 100,000 - ------------------------------------------------------------------------------------------------------- AT END OF PERIOD $ 2,119,503,404 $ 2,118,909,061 - ------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED NET INVESTMENT INCOME INCLUDED IN NET ASSETS APPLICABLE TO COMMON SHARES AT END OF PERIOD $ (12,889,464) $ 10,821,853 - -------------------------------------------------------------------------------------------------------
(1) For the period from the start of business, May 30, 2003, to April 30, 2004. (2) Proceeds from sales of shares net of sales load paid of $99,900,000. STATEMENT OF CASH FLOWS
SIX MONTHS ENDED INCREASE (DECREASE) IN CASH OCTOBER 31, 2004 - ----------------------------------------------------------------------------------------------------- Cash Flows From (Used For) Operating Activities -- Purchase of investments $ (968,290,626) Proceeds from sales of investments and principal repayments 998,281,014 Interest and dividends received, including net securities lending income 103,053,503 Prepaid expenses (44,732) Facility fees received 236,517 Operating expenses paid (10,541,534) Net decrease in short-term investments 16,609,986 Payment of collateral for securities loaned, net 97,749,542 - --------------------------------------------------------------------------------------------------- NET CASH FROM OPERATING ACTIVITIES $ 237,053,670 - --------------------------------------------------------------------------------------------------- Cash Flows Used For Financing Activities -- Auction preferred shares redeemed $ (150,000,000) Cash distributions paid (excluding reinvestments of $6,274,258) (90,627,519) - --------------------------------------------------------------------------------------------------- NET CASH USED FOR FINANCING ACTIVITIES $ (240,627,519) - --------------------------------------------------------------------------------------------------- NET DECREASE IN CASH $ (3,573,849) - --------------------------------------------------------------------------------------------------- CASH AT BEGINNING OF PERIOD $ 8,149,393 - --------------------------------------------------------------------------------------------------- CASH AT END OF PERIOD $ 4,575,544 - ---------------------------------------------------------------------------------------------------
RECONCILIATION OF NET INCREASE IN NET ASSETS FROM OPERATIONS TO NET CASH USED FOR OPERATING ACTIVITIES Net increase in net assets from operations $ 84,033,674 Distributions to preferred shareholders 7,289,221 Increase in receivable for investments sold (5,998,170) Decrease in interest receivable 1,238,086 Increase in prepaid expenses (76,312) Decrease in payable to affiliate (583) Increase in accrued expenses 130,955 Increase in collateral for securities loaned 97,749,542 Increase in payable for investments purchased 29,977,231 Net decrease in investments 22,710,026 - --------------------------------------------------------------------------------------------------- NET CASH FROM OPERATING ACTIVITIES $ 237,053,670 - ---------------------------------------------------------------------------------------------------
See notes to financial statements 23 FINANCIAL HIGHLIGHTS Selected data for a common share outstanding during the periods stated
SIX MONTHS ENDED OCTOBER 31, 2004 YEAR ENDED (UNAUDITED)(1) APRIL 30, 2004(1)(2) - -------------------------------------------------------------------------------------------------------------------------- Net asset value -- Beginning of period (Common shares) $ 19.070 $ 19.100(3) - -------------------------------------------------------------------------------------------------------------------------- INCOME (LOSS) FROM OPERATIONS Net investment income $ 0.659(11) $ 1.061(10) Net realized and unrealized gain 0.164(11) 0.426(10) Distribution to preferred shareholders from net investment income (0.066) (0.075) - -------------------------------------------------------------------------------------------------------------------------- TOTAL INCOME FROM OPERATIONS $ 0.757 $ 1.412 - -------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income $ (0.807) $ (1.345) - -------------------------------------------------------------------------------------------------------------------------- TOTAL DISTRIBUTIONS TO COMMON SHAREHOLDERS $ (0.807) $ (1.345) - -------------------------------------------------------------------------------------------------------------------------- PREFERRED AND COMMON SHARES OFFERING COSTS CHARGED TO PAID-IN CAPITAL $ -- $ (0.011) - -------------------------------------------------------------------------------------------------------------------------- PREFERRED SHARES UNDERWRITING DISCOUNTS $ -- $ (0.086) - -------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE -- END OF PERIOD (COMMON SHARES) $ 19.020 $ 19.070 - -------------------------------------------------------------------------------------------------------------------------- MARKET VALUE -- END OF PERIOD (COMMON SHARES) $ 19.250 $ 17.810 - -------------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENT RETURN ON NET ASSET VALUE 4.12%(4) 7.22%(5) - -------------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENT RETURN ON MARKET VALUE 12.84%(4) 0.13%(5) - --------------------------------------------------------------------------------------------------------------------------
See notes to financial statements 24 Selected data for a common share outstanding during the periods stated
SIX MONTHS ENDED OCTOBER 31, 2004 YEAR ENDED (UNAUDITED)(1) APRIL 30, 2004(1)(2) - -------------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA+ ++ Net assets applicable to common shares, end of period (000's omitted) $ 2,119,503 $ 2,118,889 Ratios (As a percentage of average net assets applicable to common shares): Net expenses(6) 1.01%(7) 0.93%(7) Net expenses after custodian fee reduction(6) 1.01%(7) 0.93%(7) Net investment income(6) 6.95%(7) 6.02%(7) Portfolio Turnover 33% 72% - -------------------------------------------------------------------------------------------------------------------------------- + The operating expenses of the Fund reflect a reduction of the investment adviser fee. Had such action not been taken, the ratios and net investment income per share would have been as follows: Ratios (As a percentage of average net assets applicable to common shares): Expenses(6) 1.31%(7) 1.21%(7) Expenses after custodian fee reduction(6) 1.31%(7) 1.21%(7) Net investment income(6) 6.65%(7) 5.74%(7) Net investment income per share $ 0.631 $ 1.012 - -------------------------------------------------------------------------------------------------------------------------------- ++ The ratios reported are based on net assets applicable solely to common shares. The ratios based on net assets, including amounts related to preferred shares, are as follows: Ratios (As a percentage of average total net assets): Net expenses 0.70%(7) 0.67%(7) Net expenses after custodian fee reduction 0.70%(7) 0.67%(7) Net investment income 4.81%(7) 4.37%(7) - -------------------------------------------------------------------------------------------------------------------------------- + The operating expenses of the Fund reflect a reduction of the investment adviser fee. Had such action not been taken, the ratios and net investment income per share would have been as follows: Ratios (As a percentage of average total net assets): Expenses 0.91%(7) 0.88%(7) Expenses after custodian fee reduction 0.91%(7) 0.88%(7) Net investment income 4.60%(7) 4.16%(7) - -------------------------------------------------------------------------------------------------------------------------------- Senior Securities: Total preferred shares outstanding 32,000 38,000 Asset coverage per preferred share(8) $ 91,239 $ 80,762 Involuntary liquidation preference per preferred share(9) $ 25,000 $ 25,000 Approximate market value per preferred share(9) $ 25,000 $ 25,000 - --------------------------------------------------------------------------------------------------------------------------------
(1) Computed using average common shares outstanding. (2) For the period from the start of business, May 30, 2003, to April 30, 2004. (3) Net asset value at beginning of period reflects the deduction of the sales load of $0.900 per share paid by the shareholder from the $20.000 offering price. (4) Returns are historical and are calculated by determining the percentage change in net asset value or market value with all distributions reinvested. total return is not computed on an annualized basis. (5) Total investment return on net asset value is calculated assuming a purchase at the offering of $20.000 less the sales load of $0.900 per share paid by the shareholder on the first day and a sale at the net asset value on the last day of the period reported. Total investment return on market value is calculated assuming a purchase at the offering price of $20.000 less the sales load of $0.900 per share paid by on the first day and a sale at the current market price on the last day of the period reported. Total investment return on net asset value and total investment return on market value are not computed on an annualized basis. (6) Ratios do not reflect the effect of dividend payments to preferred shareholders. Ratios to average net assets applicable to common shares reflect the Fund's leveraged capital structure. (7) Annualized. (8) Calculated by subtracting the Fund's total liabilities (not including the preferred shares) from the Fund's total assets, and dividing this by the number of preferred shares outstanding. (9) Plus accumulated and unpaid dividends. (10) For Federal Income tax purposes, net investment income per share was $1.531 and net realized and unrealized loss per share was $0.044. Computed using average common shares outstanding. (11) For Federal Income tax purposes, net investment income per share was $0.842 and net realized and unrealized loss per share was $0.019. Computed using average common shares outstanding. See notes to financial statements 25 EATON VANCE LIMITED DURATION INCOME FUND as of October 31, 2004 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 1 SIGNIFICANT ACCOUNTING POLICIES Eaton Vance Limited Duration Income Fund (the Fund) is registered under the Investment Company Act of 1940, as amended, as a diversified closed-end management investment company. The Fund, which was organized as a Massachusetts business trust on March 12, 2003, seeks to provide a high level of current income. The Fund may, as a secondary objective, also seek capital appreciation to the extent consistent with its primary goal of high current income. The Fund pursues its objectives by investing primarily in, mortgage-backed securities (MBS) issued, backed or otherwise guaranteed by the U.S. government or its agencies or instrumentalities; senior, secured floating rate loans made to corporate and other business entities (Senior Loans); and corporate bonds of below investment grade quality (Non-Investment Grade Bonds). The following is a summary of significant accounting policies of the Fund. The policies are in conformity with accounting principles generally accepted in the United States of America. A INVESTMENT VALUATION -- Seasoned mortgage backed, pass-through securities are valued using an independent matrix pricing system applied by the adviser which takes into account closing bond valuations, yield differentials, anticipated prepayments and interest rates provided by dealers. Debt securities (other than seasoned mortgage backed, pass-through securities) are normally valued on the basis of valuations furnished by dealers or a pricing service. Certain senior loans are deemed to be liquid because reliable market quotations are readily available for them. Liquid senior loans are valued on the basis of prices furnished by a pricing service. Other senior loans are valued at fair value by the Fund's investment adviser, Eaton Vance Management (EVM), under procedures established by the Trustees as permitted by Section 2(a)(41) of the Investment Company Act of 1940. Such procedures include the consideration of relevant factors, data and information relating to fair value, including (i) the characteristics of and fundamental analytical data relating to the Senior Loan, including the cost, size, current interest rate, period until next interest rate reset, maturity and base lending rate of the Senior Loan, the terms and conditions of the Senior Loan and any related agreements, and the position of the Senior Loan in the Borrower's debt structure; (ii) the nature, adequacy and value of the collateral, including the Fund's rights, remedies and interests with respect to the collateral; (iii) the creditworthiness of the Borrower, based on an evaluation of its financial condition, financial statements and information about the Borrower's business, cash flows, capital structure and future prospects; (iv) information relating to the market for the Senior Loan including price quotations for and trading in the Senior Loan, and interests in similar Senior Loans and the market environment and investor attitudes towards the Senior Loan and interests in similar Senior Loans; (v) the experience, the reputation, stability and financial condition of the agent and any intermediate participant in the Senior Loan; and (vi) general economic and market conditions affecting the fair value of the Senior Loan. Other portfolio securities (other than short-term obligations, but including listed issues) may be valued on the basis of prices furnished by one or more pricing services which determine prices for normal, institutional-size trading units of such securities which may use market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. In certain circumstances, portfolio securities will be valued at the last sales price on the exchange that is the primary market for such securities, or the last quoted bid price for those securities for which the over-the-counter market is the primary market or for listed securities in which there were no sales during the day. The value of interest rate swaps will be based on dealer quotations. Short-term obligations which mature in 60 days or less, are valued at amortized cost, if their original term to maturity when acquired by the Fund was 60 days or less or are valued at amortized cost using their value on the 61st day prior to maturity, if their original term to maturity when acquired by the Fund was more than 60 days, unless in each case this is determined not to represent fair value. OTC options are valued at the mean between the bid and asked price provided by dealers. Financial futures contracts listed on commodity exchanges and exchange traded options are valued at closing settlement prices. Securities for which there is no such quotation or valuation are valued at fair value using methods determined in good faith by or at the direction of the Trustees. Repurchase agreements are valued at cost plus accrued interest. Other portfolio securities for which there are no quotations or valuations are valued at fair value as determined in good faith by or on behalf of the Trustees. B INCOME -- Interest income from Senior Loans is recorded on the accrual basis at the then-current interest rate, while all other interest income is determined on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. 26 C FEDERAL TAXES -- The Fund's policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders each year all of its taxable income, including any net realized gain on investments. Accordingly, no provision for federal income or excise tax is necessary. At April 30, 2004, the Fund, for federal income tax purposes, had a capital loss carryover of $26,481,368 which will reduce the Fund's taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code, and thus will reduce the amount of the distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. Such capital loss carryover will expire on April 30, 2012. At April 30, 2004, net capital losses of $17,668,020 attributable to security transactions incurred after October 31, 2003, are treated as arising on the first day of the Fund's taxable year ending April 30, 2005. D INVESTMENT TRANSACTIONS -- Investment transactions are recorded on a trade date basis. Realized gains and losses from such transactions are determined using the specific identification method. Securities purchased or sold on a when-issued or delayed delivery basis may be settled a month or more after the transaction date. The securities so purchased are subject to market fluctuations during this period. To the extent that when-issued or delayed delivery purchases are outstanding, the Fund instructs the custodian to segregate assets in a separate account, with a current value at least equal to the amount of its purchase commitments. E OFFERING COSTS -- Costs incurred by the Fund in connection with the offering of the common shares were recorded as a reduction of capital paid in excess of par applicable to common shares. F EXPENSE REDUCTION -- Investors Bank & Trust Company (IBT) serves as custodian of the Fund. Pursuant to the custodian agreement, IBT receives a fee reduced by credits which are determined based on the average daily cash balances the Fund maintains with IBT. All credit balances used to reduce the Fund's custodian fees are reported as a reduction of expenses on the Statement of Operations. G WRITTEN OPTIONS -- Upon the writing of a call or a put option, an amount equal to the premium received by the Fund is included in the Statement of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written in accordance with the Fund's policies on investment valuations discussed above. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or are closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund, as writer of an option, may have no control over whether the underlying securities may be sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the securities underlying the written option. H PURCHASED OPTIONS -- Upon the purchase of a call or put option, the premium paid by the Fund is included in the Statement of Assets and Liabilities as an investment. The amount of the investment is subsequently marked-to-market to reflect the current market value of the option purchased, in accordance with the Fund's policies on investment valuations discussed above. If an option which the Fund has purchased expires on the stipulated expiration date, the Fund will realize a loss in the amount of the cost of the option. If the Fund enters into a closing sale transaction, the Fund will realize a gain or loss, depending on whether the sales proceeds from the closing sale transaction are greater or less than the cost of the option. If a Fund exercises a put option, it will realize a gain or loss from the sale of the underlying security, and the proceeds from such sale will be decreased by the premium originally paid. If the Fund exercises a call option, the cost of the security which the Fund purchases upon exercise will be increased by the premium originally paid. I FINANCIAL FUTURES CONTRACTS -- Upon entering into a financial futures contract, the Fund is required to deposit an amount (initial margin) either in cash or securities equal to a certain percentage of the purchase price indicated in the financial futures contract. Subsequent payments are made or received by the Fund (margin maintenance) each day, dependent on the daily fluctuations in the value of the underlying securities, and are recorded for book purposes as unrealized gains or losses by the Fund. If the Fund enters into a closing transaction, the Fund will realize, for book purposes, a gain or loss equal to the difference between the value of the financial futures contract to sell and the financial futures contract to buy. The Fund's investment in financial futures contracts is designed only to hedge against anticipated future changes in interest rates. Should interest rates move unexpectedly, the Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. 27 J REVERSE REPURCHASE AGREEMENTS -- The Fund may enter into reverse repurchase agreements. Under such an agreement, the Fund temporarily transfers possession, but not ownership, of a security to a counterparty, in return for cash. At the same time, the Fund agrees to repurchase the security at an agreed-upon price and time in the future. The Fund may enter into reverse repurchase agreements for temporary purposes, such as to fund withdrawals, or for use as hedging instruments where the underlying security is denominated in a foreign currency. As a form of leverage, reverse repurchase agreements may increase the risk of fluctuation in the market value of the Fund's assets or in its yield. Liabilities to counterparties under reverse repurchase agreements are recognized in the Statement of Assets and Liabilities at the same time at which cash is received by the Fund. The securities underlying such agreements continue to be treated as owned by the Fund and remain in the Portfolio of Investments. Interest charged on amounts borrowed by the Fund under reverse repurchase agreements is accrued daily. K TOTAL RETURN SWAPS -- The Fund may enter into swap agreements to hedge against fluctuations in securities prices, interest rates or market conditions; to change the duration of the portfolio; to mitigate default risk; or for other risk management purposes. Pursuant to these agreements, the Fund makes monthly payments at a rate equal to a predetermined spread to the one-month LIBOR. In exchange, the Fund receives payments based on the rate of return of a benchmark industry index. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains and losses. Payments received or made at the end of the measurement period are recorded as realized gains and losses. The value of the swap is determined by changes in the relationship between the rate of interest and the benchmark industry index. The Fund is exposed to credit loss in the event of non-performance by the swap counterparty. However, the Fund does not anticipate non-performance by the counterparty. Risk may also arise from the unanticipated movements in value of interest rates or the index. L OTHER -- Investment transactions are accounted for on the date the securities are purchased or sold. Realized gains and losses are computed based on the specific identification of securities sold. M 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. N INDEMNIFICATIONS -- Under the Fund'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 Fund, and shareholders are indemnified against personal liability for obligations of the Fund. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. O INTERIM FINANCIAL STATEMENTS -- The interim financial statements relating to October 31, 2004 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Fund's management reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements. 2 AUCTION PREFERRED SHARES (APS) The Fund issued 7,600 shares of Auction Preferred Shares Series A, 7,600 shares of Auction Preferred Shares Series B, 7,600 shares of Auction Preferred Shares Series C, 7,600 shares of Auction Preferred Shares Series D, and 7,600 shares of Auction Preferred Shares Series E on July 25, 2003 in a public offering. The underwriting discount and other offering costs were recorded as a reduction of the capital of the common shares. As of October 31, 2004, 6,400 shares of Series A, 6,400 shares of Series B, 6,400 shares of Series C, 6,400 shares of Series D and 6,400 shares of Series E were outstanding. During the six months ended October 31, 2004, the Fund redeemed 6,000 preferred shares at a cost of $150,000,000. Dividends on the APS, which accrue daily, are cumulative at a rate which was established at the offering of the APS and have been reset every 7 days thereafter by an auction. Dividend rates ranged from 1.12% to 1.92% for Series A Shares, from 1.09% to 1.94% for Series B Shares, from 1.15% to 1.90% for Series C Shares, from 1.18% to 1.94% for Series D Shares and from 1.10% to 1.90% for Series E Shares, during the six months ended October 31, 2004. The APS are redeemable at the option of the Fund, at a redemption price equal to $25,000 per share, plus accumulated and unpaid dividends on any dividend payment date. The APS are also subject to mandatory redemption at a redemption price equal to $25,000 per share, plus accumulated and unpaid dividends, if the Fund is in default for an extended period on its asset 28 maintenance requirements with respect to the APS. If the dividends on the APS shall remain unpaid in an amount equal to two full years' dividends, the holders of the APS as a class have the right to elect a majority of the Board of Trustees. In general, the holders of the APS and the common shares have equal voting rights of one vote per share, except that the holders of the APS, as a separate class, have the right to elect at least two members of the Board of Trustees. The APS have a liquidation preference of $25,000 per share, plus accumulated and unpaid dividends. The Fund is required to maintain certain asset coverage with respect to the APS as defined in the Fund's By-Laws and the Investment Company Act of 1940. The Fund pays an annual fee equivalent to 0.25% of the preferred shares' liquidation value for the remarketing efforts associated with the preferred auctions. 3 DISTRIBUTION TO SHAREHOLDERS The Fund intends to make monthly distributions of net investment income, after payment of any dividends on any outstanding Auction Preferred Shares. Distributions are recorded on the ex-dividend date. Distributions to preferred shareholders are recorded daily and are payable at the end of each dividend period. Each dividend payment period for the Auction Preferred Shares is generally seven days. The applicable dividend rate for the Auction Preferred Shares on October 31, 2004 was 1.85%, 1.87%, 1.86%, 1.90% and 1.80%, for Series A, Series B, Series C, Series D and Series E Shares, respectively. For the six months ended October 31, 2004, the Fund paid dividends to Auction Preferred shareholders amounting to $1,467,489, $1,460,793, $1,447,039, $1,469,928, and $1,443,972 for Series A, Series B, Series C, Series D and Series E Shares, respectively, representing an average APS dividend rate for such period of 1.55%, 1.54%, 1.53%, 1.56% and 1.52%, respectively. The Fund distinguishes between distribution on a tax basis and a financial reporting basis. Accounting principles generally accepted in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid in capital. These differences relate primarily to the different treatment for paydown gain/losses on mortgage-backed securities and the method for amortizing premiums. 4 INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES The investment adviser fee, computed at an annual rate of 0.75% of the Fund's weekly gross assets, was earned by Eaton Vance Management (EVM), as compensation for management and investment advisory services rendered to the Fund. For the six months ended October 31, 2004, the fee was equivalent to 0.75% (annualized) of the Fund's average weekly gross assets for such period and amounted to $11,896,668. In addition, the Adviser has contractually agreed to reimburse the Fund for fees and other expenses in the amount of 0.20% (annualized) of average weekly gross assets of the Fund for the first five years of the Fund's operations 0.15% of average weekly gross assets of the Fund in year 6, 0.10% in year 7 and 0.05% in year 8. For the six months ended October 31, 2004, the Investment Adviser waived $3,172,445 of its advisory fee. EVM serves as the administrator of the Fund, but currently receives no compensation for providing administrative services to the Fund. Certain officers and Trustees of the Fund are officers of the above organizations. 5 PURCHASES AND SALES OF INVESTMENTS Purchases and sales of investments, other than short-term obligations and including paydowns, aggregated $998,267,857 and $1,004,279,184, respectively, for the six months ended October 31, 2004. 6 SECURITIES LENDING AGREEMENT The Fund has established a securities lending agreement with brokers in which the Fund lends portfolio securities to a broker in exchange for collateral consisting of either cash or U.S. government securities in an amount at least equal to the market value of the securities on loan. Under the agreement, the Fund continues to earn interest on the securities loaned. Collateral received is generally cash, and the Fund invests the cash and receives any interest on the amount invested but it must also pay the broker a loan rebate fee computed as a varying percentage of the collateral received. The loan rebate fee paid by the Fund offsets a portion of the interest income received and amounted to $955,119 for the six months ended October 31, 2004. At October 31, 2004, the value of the securities loaned and the value of the collateral amounted to $216,333,374 and $221,705,085, respectively. In the event of counterparty default, the Fund is subject to potential loss if it is delayed or prevented from exercising its right to dispose of the collateral. The Fund bears risk in the event that invested collateral is not sufficient to meet obligations due on the loans. The Fund has the right under the lending agreement to recover the securities from the borrower on demand. 29 7 COMMON SHARES OF BENEFICIAL INTEREST The Agreement and Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional $0.01 par value common shares of beneficial interest. Transactions in common shares were as follows:
SIX MONTHS ENDED OCTOBER 31, 2004 YEAR ENDED (UNAUDITED) APRIL 30, 2004(1) ---------------------------------------------------------------------------- Sales -- 111,005,000 Issued to shareholders electing to receive payments of distributions in Fund shares 332,829 109,946 ---------------------------------------------------------------------------- NET INCREASE 332,829 111,114,946 ----------------------------------------------------------------------------
(1) For the period from the start of business, May 30, 2003, to October 31, 2004. 8 FEDERAL INCOME TAX BASIS OF UNREALIZED APPRECIATION (DEPRECIATION) The cost and unrealized appreciation (depreciation) in value of the investments owned at October 31, 2004, as computed on a federal income tax basis, were as follows: AGGREGATE COST $ 3,060,635,548 -------------------------------------------------------- Gross unrealized appreciation $ 78,460,895 Gross unrealized depreciation (16,996,823) -------------------------------------------------------- NET UNREALIZED APPRECIATION $ 61,464,072 --------------------------------------------------------
9 FINANCIAL INSTRUMENTS The Fund 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 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 Fund 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. At October 31, 2004 there were no outstanding obligations under these financial instruments. 30 EATON VANCE LIMITED DURATION INCOME FUND DIVIDEND REINVESTMENT PLAN The Fund offers a dividend reinvestment plan (the Plan) pursuant to which shareholders may elect to have dividends and capital gains distributions reinvested in common shares (the Shares) of the Fund. You may elect to participate in the Plan be completing the Dividend Reinvestment Plan Application Form. If you do not participate, you will receive all distributions in cash paid by check mailed directly to you by PFPC Inc. as dividend paying agent. On the distribution payment date, if the net asset value per Share is equal to or less than the market price per Share plus estimated brokerage commissions then new Shares will be issued. The number of Shares shall be determined by the greater of the net asset value per Share or 95% of the market price. Otherwise, Shares generally will be purchased on the open market by the Plan Agent. Distributions subject to income tax (if any) are taxable whether or not shares are reinvested. If your shares are in the name of a brokerage firm, bank, or other nominee, you can ask the firm or nominee to participate in the Plan on your behalf. If the nominee does not offer the Plan, you will need to request that your shares be re-registered in your name with the Fund's transfer agent, PFPC, Inc. or you will not be able to participate. The Plan Agent's service fee for handling distributions will be paid by the Fund. Each participant will be charged their pro rata share of brokerage commissions on all open-market purchases. Plan participants may withdraw from the Plan at any time by writing to the Plan Agent at the address noted on the following page. If you withdraw, you will receive shares in your name for all Shares credited to your account under the Plan. If a participant elects by written notice to the Plan Agent to have the Plan Agent sell part or all of his or her Shares and remit the proceeds, the Plan Agent is authorized to deduct a $5.00 fee plus brokerage commissions from the proceeds. If you wish to participate in the Plan and your shares are held in your own name, you may complete the form on the following page and deliver it to the Plan Agent. Any inquires regarding the Plan can be directed to the Plan Agent, PFPC, Inc., at 1-800-331-1710. 31 EATON VANCE LIMITED DURATION INCOME FUND APPLICATION FOR PARTICIPATION IN DIVIDEND REINVESTMENT PLAN This form is for shareholders who hold their common shares in their own names. If your common shares are held in the name of a brokerage firm, bank, or other nominee, you should contact your nominee to see if it will participate in the Plan on your behalf. If you wish to participate in the Plan, but your brokerage firm, bank, or nominee is unable to participate on your behalf, you should request that your common shares be re-registered in your own name which will enable your participation in the Plan. The following authorization and appointment is given with the understanding that I may terminate it at any time by terminating my participation in the Plan as provided in the terms and conditions of the Plan. -------------------------------------------------------------- Please print exact name on account: -------------------------------------------------------------- Shareholder signature Date -------------------------------------------------------------- Shareholder signature Date Please sign exactly as your common shares are registered. All persons whose names appear on the share certificate must sign. YOU SHOULD NOT RETURN THIS FORM IF YOU WISH TO RECEIVE YOUR DIVIDENDS AND DISTRIBUTIONS IN CASH. THIS IS NOT A PROXY. THIS AUTHORIZATION FORM, WHEN SIGNED, SHOULD BE MAILED TO THE FOLLOWING ADDRESS: Eaton Vance Limited Duration Income Fund c/o PFPC, Inc. P.O. Box 43027 Providence, RI 02940-3027 800-331-1710 NUMBER OF EMPLOYEES The Fund is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as a diversified, closed-end management investment company and has no employees. NUMBER OF SHAREHOLDERS As of October 31, 2004, our records indicate that there are 122 registered shareholders and approximately 99,329 shareholders owning the Fund shares in street name, such as through brokers, banks, and financial intermediaries. If you are a street name shareholder and wish to receive our reports directly, which contain important information about the Fund, please write or call: Eaton Vance Distributors, Inc. The Eaton Vance Building 255 State Street Boston, MA 02109 1-800-225-6265 AMERICAN STOCK EXCHANGE SYMBOL The American Stock Exchange symbol is EVV. 32 EATON VANCE LIMITED DURATION INCOME FUND INVESTMENT MANAGEMENT EATON VANCE LIMITED DURATION INCOME FUND OFFICERS Thomas E. Faust Jr. President and Chief Executive Officer James B. Hawkes Vice President and Trustee Scott H. Page Vice President Susan Schiff Vice President Payson F. Swaffield Vice President Mark S. Venezia Vice President Michael W. Weilheimer Vice President James L. O'Connor Treasurer and Principal Financial Accounting Officer Paul M. O'Neil Chief Compliance Officer Alan R. Dynner Secretary TRUSTEES Samuel L. Hayes, III William H. Park Ronald A. Pearlman Norton H. Reamer Lynn A. Stout 33 THIS PAGE INTENTIONALLY LEFT BLANK THIS PAGE INTENTIONALLY LEFT BLANK INVESTMENT ADVISER OF EATON VANCE LIMITED DURATION INCOME FUND EATON VANCE MANAGEMENT THE EATON VANCE BUILDING 255 STATE STREET BOSTON, MA 02109 ADMINISTRATOR OF EATON VANCE LIMITED DURATION INCOME FUND EATON VANCE MANAGEMENT THE EATON VANCE BUILDING 255 STATE STREET BOSTON, MA 02109 CUSTODIAN INVESTORS BANK & TRUST COMPANY 200 CLARENDON STREET BOSTON, MA 02116 TRANSFER AGENT PFPC INC. ATTN: EATON VANCE FUNDS P.O. BOX 43027 PROVIDENCE, RI 02940-9653 (800) 331-1710 EATON VANCE LIMITED DURATION INCOME FUND THE EATON VANCE BUILDING 255 STATE STREET BOSTON, MA 02109 1856-12/04 CE-LDISRC ITEM 2. CODE OF ETHICS 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 The Board of Trustees of the Trust has adopted a proxy voting policy and procedure (the "Fund Policy"), pursuant to which the Trustees have delegated proxy voting responsibility to the Fund's investment adviser and adopted the investment adviser's proxy voting policies and procedures (the "Policies") which are described below. The Trustees will review the Fund's proxy voting records from time to time and will annually consider approving the Policies for the upcoming year. In the event that a conflict of interest arises between the Fund's shareholders and the investment adviser, the administrator, or any of their affiliates or any affiliate of the Fund, the investment adviser will generally refrain from voting the proxies related to the companies giving rise to such conflict until it consults with the Board of the Fund except as contemplated under the Fund Policy. The Board's Special Committee will instruct the investment adviser on the appropriate course of action. The Policies are designed to promote accountability of a company's management to its shareholders and to align the interests of management with those shareholders. The investment adviser will generally support company management on proposals relating to environmental and social policy issues and on matters regarding the state of organization of the company. On all other matters, the investment adviser will take management's proposals under advisement but will consider each matter in light of the guidelines set forth in the Policies. Except in the instance of routine matters related to corporate administration which are not expected to have a significant economic impact on the company or its shareholders (on which the investment adviser will routinely vote with management), the investment adviser will review each matter on a case-by-case basis and reserves the right to deviate from the Policies guidelines when it believes the situation warrants such a deviation. The Policy includes voting guidelines for matters relating to, among other things, the election of directors, approval of independent auditors, executive compensation, corporate structure and anti-takeover defenses. The investment adviser may abstain from voting from time to time where it determines that the costs associated with voting a proxy outweighs the benefits derived from exercising the right to vote. In addition, the investment adviser will monitor situations that may result in a conflict of interest between the Fund's shareholders and the investment adviser, the administrator, or any of their affiliates or any affiliate of the Fund by maintaining a list of significant existing and prospective corporate clients. The investment adviser's personnel responsible for reviewing and voting proxies on behalf of the Fund will report any proxy received or expected to be received from a company included on that list to the investment adviser's general counsel or chief equity investment officer. The general counsel or chief equity investment officer will determine if a conflict exists. If a conflict does exist, the proxy will either be voted strictly in accordance with the Policy or the investment adviser will seek instruction on how to vote from the Board. Effective August 31, 2004, information on how the Fund voted proxies relating to portfolio securities during the 12 month period ended June 30, 2004 [is/will be] available (1) without charge, upon request, by calling 1-800-262-1122, and (2) on the Securities and Exchange Commission's website at http://www.sec.gov. ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not required in this filing. ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Effective February 9, 2004, the Governance Committee of the Board of Trustees formalized the procedures by which a Fund's shareholders may recommend nominees to the registrant's Board of Trustees. The Governance Committee shall, when identifying candidates for the position of Independent Trustee, consider any such candidate recommended by a shareholder of a Fund if such recommendation contains sufficient background information concerning the candidate, and is received in a sufficiently timely manner (and in any event no later than the date specified for receipt of shareholder proposals in any applicable proxy statement with respect to a Fund). Shareholders shall be directed to address any such recommendations to the attention of the Governance Committee, c/o the Secretary of the Fund. ITEM 10. CONTROLS AND PROCEDURES (a) It is the conclusion of the registrant's principal executive officer and principal financial officer that the effectiveness of the registrant's current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission's rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant's principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure. (b) There have been no changes in the registrant's internal controls over financial reporting during the period that has materially affected, or is reasonably likely to materially affect the registrant's internal control over financial reporting. ITEM 11. EXHIBITS (a)(1) Registrant's Code of Ethics - Not applicable (please see Item 2). (a)(2)(i) Treasurer's Section 302 certification. (a)(2)(ii) President's Section 302 certification. (b) Combined Section 906 certification. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. EATON VANCE LIMITED DURATION INCOME FUND By: /s/ Thomas E. Faust Jr. ----------------------------------- Thomas E. Faust Jr. President Date: December 17, 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/ James L. O'Connor ----------------------------------- James L. O'Connor Treasurer Date: December 17, 2004 - --------------- By: /s/ Thomas E. Faust Jr. ----------------------------------- Thomas E. Faust Jr. President Date: December 17, 2004 ----------------- EX-99.CERT 2 a2148900zex-99_cert.txt EX 99.CERT Exhibit 99.Cert EATON VANCE LIMITED DURATION INCOME FUND FORM N-CSR EXHIBIT 11(a)(2)(i) CERTIFICATION I, James L. O'Connor, certify that: 1. I have reviewed this report on Form N-CSR of Eaton Vance Limited Duration Income Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) [omitted]; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Dated: December 17, 2004 /s/ James L. O'Connor ------------------------------ James L. O'Connor Treasurer EATON VANCE LIMITED DURATION INCOME FUND FORM N-CSR EXHIBIT 11(a)(2)(ii) CERTIFICATION I, Thomas E. Faust Jr. certify that: 1. I have reviewed this report on Form N-CSR of Eaton Vance Limited Duration Income Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) [omitted]; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: December 17, 2004 /s/ Thomas E. Faust Jr. ------------------------------ Thomas E. Faust Jr. President EX-99.906CERT 3 a2148900zex-99_906cert.txt EX 99.906CERT Exhibit 99-906Cert FORM N-CSR ITEM 11(b) EXHIBIT CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350, AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 The undersigned hereby certify in their capacity as Treasurer and President, respectively, of Eaton Vance Limited Duration Income Fund(the "Fund"), that: (a) the Annual Report of the Fund on Form N-CSR for the period ended April 30, 2004 (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and (b) the information contained in the Report fairly presents, in all material respects, the financial condition and the results of operations of the Fund for such period. A SIGNED ORIGINAL OF THIS WRITTEN STATEMENT REQUIRED BY SECTION 906 HAS BEEN PROVIDED TO THE FUND AND WILL BE RETAINED BY THE FUND AND FURNISHED TO THE SECURITIES AND EXCHANGE COMMISSION OR ITS STAFF UPON REQUEST. Date: December 17, 2004 ----------------- /s/ James L. O'Connor - ------------------------------- James L. O'Connor Treasurer Date: December 17, 2004 ----------------- /s/ Thomas E. Faust Jr. - ------------------------------- Thomas E. Faust Jr. President -----END PRIVACY-ENHANCED MESSAGE-----