N-CSR 1 a2149491zn-csr.txt N-CSR 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- 21411 ---------- Eaton Vance Senior Floating-Rate Trust -------------------------------------- (Exact Name of Registrant as Specified in Charter) The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109 ----------------------------------------------------------------------- (Address of Principal Executive Offices) Alan R. Dynner The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109 ----------------------------------------------------------------------- (Name and Address of Agent for Services) (617) 482-8260 -------------- (Registrant's Telephone Number) October 31 ---------- Date of Fiscal Year End October 31, 2004 ---------------- Date of Reporting Period ITEM 1. REPORTS TO STOCKHOLDERS [EV LOGO] [GRAPHIC IMAGE] ANNUAL REPORT OCTOBER 31, 2004 [GRAPHIC IMAGE] EATON VANCE SENIOR FLOATING-RATE TRUST 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 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 and information on how the Fund or Portfolio voted proxies relating to portfolio securities during the 12 month period ended June 30 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 SENIOR FLOATING-RATE TRUST AS OF OCTOBER 31, 2004 MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE THE TRUST PERFORMANCE FOR THE PERIOD ENDED OCTOBER 31, 2004 - Based on the Trust's October 2004 monthly dividend of $0.093 and a closing share price of $19.94, the Trust had a market yield of 5.60%.(1) The Trust's market yield represented a yield advantage over many other income-producing vehicles during the period. - Based on share price (traded on the New York Stock Exchange), the Trust had a total return of 9.45% for the period from inception on November 28, 2003 through October 31, 2004. That return was the result of an increase in share price from $19.10 on November 28, 2003 to $19.94 on October 31, 2004 and the reinvestment of $0.900 in regular monthly dividends.(1) - Based on net asset value, the Trust had a total return of 4.13% for the period from inception on November 28, 2003 through October 31, 2004. That return was the result of a decrease in net asset value per share from $19.10 on November 28, 2003 to $18.97 on October 31, 2004, and the reinvestment of all distributions. - For performance comparison, the S&P/Loan Syndications and Trading Association (LSTA) Index , had a return of 4.90% for the period from November 28, 2003 through October 31, 2004.(2) THE TRUST'S INVESTMENTS - The Trust's investment objective is to provide a high level of current income. The Trust may, as a secondary objective, also seek preservation of capital to the extent consistent with its primary goal of high current income. The Trust invests primarily in senior secured floating-rate loans. As a result, the Trust may be well-positioned to take advantage of a rise in short-term interest rates. The Trust also employs leverage in the form of Auction Preferred Shares.(3) 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. - The Trust's senior floating-rate loan investments included 305 borrowers, ranging across 35 industries at October 31, 2004. The Trust's average loan size was just 0.26% of loan assets (based on net assets), and no industry constituted more than 11.0% of the Trust's loan investments. Automotive, telecommunications, leisure goods and activities, health care and publishing were the Trust's largest loan sector weightings.* - 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 credit risk-management. - In economically sensitive areas, the Trust included the publishing and printing sector, such as newspapers with relatively stable, locally-based advertising revenues. Examples of other cyclical investments were chemical companies and container and glass producers, which should benefit from increase demand. - The Trust's high-yield corporate bond holdings constituted 17.1% of its net assets at October 31, 2004 (10.8% of total investments). This component provided a yield enhancement for the Trust and performed well during the past year. - At October 31, 2004, the Trust had leverage in the amount of approximately 38% of the Trust's total assets. The Trust uses leverage through the issuance of preferred shares. Use of financial leverage creates an opportunity for increased income, but, at the same time, creates special risks (including the likelihood of greater volatility of net asset value and market price of common shares). *HOLDINGS AND SECTOR WEIGHTINGS ARE SUBJECT TO CHANGE DUE TO ACTIVE MANAGEMENT. 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(4) Average Annual Total Return (by share price, NYSE) Life of Fund (11/28/03) 9.45% Average Annual Total Return (at net asset value) Life of Fund (11/28/03) 4.13%
SHARES OF THE TRUST 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. YIELD WILL VARY. (1) THE TRUST'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) IT IS NOT POSSIBLE TO INVEST DIRECTLY IN AN INDEX. THE INDEX'S TOTAL RETURN DOES NOT REFLECT THE COMMISSIONS OR EXPENSES THAT WOULD HAVE BEEN INCURRED IF AN INVESTOR INDIVIDUALLY PURCHASED OR SOLD THE SECURITIES REPRESENTED IN THE INDEX. (3) IN THE EVENT OF A RISE IN LONG-TERM INTEREST RATES, THE VALUE OF THE TRUST'S INVESTMENT PORTFOLIO COULD DECLINE, WHICH WOULD REDUCE THE ASSET COVERAGE FOR ITS AUCTION PREFERRED SHARES. (4) RETURNS ARE HISTORICAL AND ARE CALCULATED BY DETERMINING THE PERCENTAGE CHANGE IN SHARE PRICE OR NET ASSET VALUE WITH ALL DISTRIBUTIONS REINVESTED. PERFORMANCE RESULTS REFLECT THE EFFECT OF LEVERAGE RESULTING FROM THE TRUST'S ISSUANCE OF AUCTION PREFERRED SHARES. 2 EATON VANCE SENIOR FLOATING-RATE TRUST as of October 31, 2004 PORTFOLIO OF INVESTMENTS SENIOR, FLOATING RATE INTERESTS -- 132.4%(1)
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE -------------------------------------------------------------------------------------------------- AEROSPACE AND DEFENSE -- 1.6% ALLIANT TECHSYSTEMS, INC. $ 3,514,400 Term Loan, 5.67%, Maturing March 31, 2011 $ 3,562,723 ARINC, Inc. 995,000 Term Loan, 4.12%, Maturing March 10, 2010 1,007,437 STANDARD AERO HOLDINGS, INC. 703,872 Term Loan, 4.51%, Maturing August 24, 2012 713,990 TRANSDIGM, INC. 1,995,000 Term Loan, 5.23%, Maturing July 22, 2010 2,023,056 UNITED DEFENSE INDUSTRIES, INC. 1,181,350 Term Loan, 3.97%, Maturing June 30, 2009 1,193,016 VOUGHT AIRCRAFT INDUSTRIES, INC. 932,400 Term Loan, 6.49%, Maturing December 31, 2006 940,558 160,361 Term Loan, 6.49%, Maturing July 24, 2007 162,265 264,812 Term Loan, 6.49%, Maturing July 24, 2008 267,957 -------------------------------------------------------------------------------------------------- $ 9,871,002 -------------------------------------------------------------------------------------------------- AIR TRANSPORT -- 0.2% UNITED AIRLINES, INC. $ 1,000,000 DIP Loan, 8.00%, Maturing June 30, 2005 $ 1,011,250 -------------------------------------------------------------------------------------------------- $ 1,011,250 -------------------------------------------------------------------------------------------------- AUTOMOTIVE -- 9.9% ACCURIDE CORP. $ 3,265,625 Term Loan, 4.61%, Maturing January 21, 2007 $ 3,349,307 4,975,000 Term Loan, 5.13%, Maturing June 13, 2007 5,108,703 COLLINS & AIKMAN PRODUCTS, CO. 2,599,200 Revolving Loan, 5.81%, Maturing August 31, 2009 2,595,951 DAYCO PRODUCTS, LLC 2,892,750 Term Loan, 3.98%, Maturing June 23, 2011 2,939,757 DURA OPERATING CORP. 2,231,143 Term Loan, 4.46%, Maturing March 31, 2007 2,248,807 EXIDE TECHNOLOGIES 1,240,000 Term Loan, 5.25%, Maturing May 5, 2010 1,243,100 1,240,000 Term Loan, 5.25%, Maturing May 5, 2010 1,243,100 FEDERAL-MOGUL CORP. 7,076,029 Revolving Loan, 4.19%, Maturing December 31, 2004 6,547,541 2,559,019 Term Loan, 4.19%, Maturing February 24, 2005 2,381,487 HLI OPERATING CO., INC. 6,680,312 Term Loan, 3.95%, Maturing June 3, 2009 6,771,124 KEY AUTOMOTIVE GROUP 1,556,414 Term Loan, 4.88%, Maturing June 29, 2010 1,575,383 KEYSTONE AUTOMOTIVE OPERATIONS $ 3,739,130 Term Loan, 4.88%, Maturing October 30, 2009 $ 3,787,623 PLASTECH ENGINEERED PRODUCTS 881,379 Term Loan, 5.09%, Maturing March 31, 2010 896,253 R.J. TOWER CORP. 1,745,625 Term Loan, 8.94%, Maturing January 29, 2010 1,751,080 TENNECO AUTOMOTIVE, INC. 4,243,794 Term Loan, 4.84%, Maturing December 12, 2009 4,323,365 1,924,137 Term Loan, 4.84%, Maturing December 12, 2010 1,961,017 THE GOODYEAR TIRE & RUBBER CO. 3,750,000 Term Loan, 5.16%, Maturing March 31, 2006 3,805,080 1,000,000 Term Loan, 5.69%, Maturing March 31, 2006 1,019,375 TI AUTOMOTIVE LIMITED 1,200,000 Term Loan, 5.23%, Maturing June 30, 2011 1,192,500 TRW AUTOMOTIVE, INC. 2,010,420 Term Loan, 4.13%, Maturing February 27, 2009 2,037,058 6,040,427 Term Loan, 4.13%, Maturing February 27, 2011 6,141,731 -------------------------------------------------------------------------------------------------- $ 62,919,342 -------------------------------------------------------------------------------------------------- BEVERAGE AND TOBACCO -- 1.3% CONSTELLATION BRANDS, INC. $ 2,375,000 Term Loan, 3.50%, Maturing November 30, 2008 $ 2,389,207 DS WATERS, L.P. 1,507,205 Term Loan, 4.83%, Maturing November 7, 2009 1,468,017 SOUTHERN WINE & SPIRITS OF AMERICA 3,818,887 Term Loan, 4.32%, Maturing June 28, 2008 3,869,605 SUNNY DELIGHT BEVERAGES CO. 640,000 Term Loan, 5.98%, Maturing August 20, 2010 644,800 -------------------------------------------------------------------------------------------------- $ 8,371,629 -------------------------------------------------------------------------------------------------- BUILDING AND DEVELOPMENT -- 4.5% 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. 51,366 Term Loan, 6.89%, Maturing June 10, 2010 51,623 125,551 Term Loan, 6.89%, Maturing June 10, 2010 126,179 64,208 Term Loan, 6.89%, Maturing June 10, 2010 64,529 185,928 Term Loan, 6.89%, Maturing June 10, 2010 186,858 LANDSOURCE COMMUNITIES, LLC 6,011,000 Term Loan, 4.50%, Maturing March 31, 2010 6,112,436 MAAX CORP. 817,950 Term Loan, 4.61%, Maturing June 4, 2011 827,663
See notes to financial statements 3
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE -------------------------------------------------------------------------------------------------- BUILDING AND DEVELOPMENT (CONTINUED) NCI BUILDING SYSTEMS, INC. $ 770,000 Term Loan, 3.82%, Maturing June 18, 2010 $ 779,866 NEWKIRK MASTER, L.P. 482,856 Term Loan, 9.70%, Maturing November 24, 2006 490,099 NEWKIRK TENDER HOLDINGS, LLC 1,806,929 Term Loan, 7.87%, Maturing May 25, 2006 1,824,998 1,444,444 Term Loan, 7.87%, Maturing May 25, 2006 1,458,889 NORTEK, INC. 1,800,000 Term Loan, 4.74%, Maturing August 27, 2011 1,828,499 PLY GEM INDUSTRIES, INC. 700,000 Term Loan, 4.37%, Maturing February 12, 2011 706,782 1,310,913 Term Loan, 4.37%, Maturing February 12, 2011 1,323,613 231,338 Term Loan, 4.37%, Maturing February 12, 2011 233,579 ST. MARYS CEMENT, INC. 5,945,025 Term Loan, 3.98%, Maturing December 4, 2010 6,006,336 W9/GPT REAL ESTATE, L.P. 900,000 Term Loan, 4.09%, Maturing March 27, 2006 900,000 -------------------------------------------------------------------------------------------------- $ 28,389,201 -------------------------------------------------------------------------------------------------- BUSINESS EQUIPMENT AND SERVICES -- 3.3% ALLIED SECURITY HOLDINGS, LLC $ 750,000 Term Loan, 6.23%, Maturing June 30, 2010 $ 759,375 BAKER & TAYLOR, INC. 1,200,000 Term Loan, 9.00%, Maturing May 6, 2011 1,200,000 BUHRMANN US, INC. 3,171,065 Term Loan, 4.32%, Maturing December 31, 2010 3,214,667 GLOBAL IMAGING SYSTEMS, INC. 490,035 Term Loan, 3.74%, Maturing May 10, 2010 496,160 INFOUSA, INC. 1,000,000 Term Loan, 4.48%, Maturing March 25, 2009 1,012,500 IRON MOUNTAIN, INC. 2,333,138 Term Loan, 3.56%, Maturing April 2, 2011 2,350,053 KNOLL, INC. 3,350,000 Term Loan, 4.84%, Maturing September 30, 2011 3,396,062 LANGUAGE LINE, INC. 2,763,158 Term Loan, 4.50%, Maturing June 11, 2011 2,794,243 MITCHELL INTERNATIONAL, INC. 425,213 Term Loan, 8.25%, Maturing August 13, 2011 430,661 1,246,875 Term Loan, 8.25%, Maturing August 13, 2012 1,247,654 QUINTILES TRANSNATIONAL CORP. 994,975 Term Loan, 6.23%, Maturing September 25, 2009 1,008,034 WILLIAMS SCOTSMAN, INC. 2,687,904 Term Loan, 5.01%, Maturing December 31, 2006 2,724,863 -------------------------------------------------------------------------------------------------- $ 20,634,272 -------------------------------------------------------------------------------------------------- CABLE AND SATELLITE TELEVISION -- 7.3% ADELPHIA COMMUNICATIONS CORP. $ 1,812,399 DIP Loan, 4.25%, Maturing March 31, 2005 $ 1,821,084 ATLANTIC BROADBAND FINANCE, LLC 4,294,434 Term Loan, 5.23%, Maturing February 10, 2011 4,364,219 BRAGG COMMUNICATION, INC. 1,050,000 Term Loan, 4.46%, Maturing August 31, 2011 1,059,844 CANADIEN CABLE ACQUISITION 1,500,000 Term Loan, 4.98%, Maturing July 27, 2011 1,515,937 CEBRIDGE CONNECTIONS, INC. 1,502,450 Term Loan, 8.06%, Maturing February 23, 2009 1,508,554 1,592,000 Term Loan, 8.06%, Maturing February 23, 2010 1,588,020 CHARTER COMMUNICATIONS OPERATING, LLC 12,319,125 Term Loan, 5.61%, Maturing April 27, 2011 12,239,174 DIRECTV HOLDINGS, LLC 4,955,510 Term Loan, 3.88%, Maturing March 6, 2010 5,029,223 INSIGHT MIDWEST HOLDINGS, LLC 5,195,663 Term Loan, 3.37%, Maturing December 31, 2009 5,278,289 1,985,000 Term Loan, 4.75%, Maturing December 31, 2009 2,016,016 MEDIACOM BROADBAND 5,985,000 Term Loan, 4.26%, Maturing September 30, 2010 6,048,591 NTL, INC. 2,300,000 Term Loan, 5.20%, Maturing April 13, 2012 2,324,437 UGS CORP. 1,376,550 Term Loan, 4.21%, Maturing May 27, 2011 1,398,919 -------------------------------------------------------------------------------------------------- $ 46,192,307 -------------------------------------------------------------------------------------------------- CHEMICALS AND PLASTICS -- 7.0% BRENNTAG AG $ 2,975,000 Term Loan, 4.73%, Maturing December 9, 2011 $ 3,027,062 HERCULES, INC. 880,575 Term Loan, 3.95%, Maturing October 8, 2010 888,280 HUNTSMAN INTERNATIONAL, LLC 7,000,000 Term Loan, 5.19%, Maturing December 31, 2010 7,124,250 HUNTSMAN, LLC 2,200,000 Term Loan, 5.44%, Maturing March 31, 2010 2,234,146 INNOPHOS, INC. 396,455 Term Loan, 3.37%, Maturing August 13, 2010 403,392 INVISTA B.V. 3,715,613 Term Loan, 4.75%, Maturing April 29, 2011 3,787,603 1,637,388 Term Loan, 4.75%, Maturing April 29, 2011 1,665,019 ISP CHEMCO, INC. 1,492,500 Term Loan, 4.12%, Maturing March 27, 2011 1,509,291 KRATON POLYMER 4,277,663 Term Loan, 4.22%, Maturing December 5, 2008 4,316,877
See notes to financial statements 4
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE -------------------------------------------------------------------------------------------------- CHEMICALS AND PLASTICS (CONTINUED) NALCO CO. $ 6,594,684 Term Loan, 4.43%, Maturing November 4, 2010 $ 6,717,820 POLYMER GROUP, INC. 489,167 Term Loan, 4.37%, Maturing April 27, 2010 493,345 1,750,000 Term Loan, 4.37%, Maturing April 27, 2011 1,758,750 ROCKWOOD SPECIALTIES GROUP, INC. 3,450,000 Term Loan, 4.63%, Maturing July 30, 2012 3,489,082 SOLO CUP CO. 2,700,523 Term Loan, 4.32%, Maturing February 27, 2011 2,732,872 UNITED INDUSTRIES CORP. 1,027,425 Term Loan, 4.63%, Maturing April 29, 2011 1,044,763 997,500 Term Loan, 4.63%, Maturing October 31, 2011 1,015,580 WELLMAN, INC. 2,250,000 Term Loan, 6.76%, Maturing February 10, 2009 2,289,843 -------------------------------------------------------------------------------------------------- $ 44,497,975 -------------------------------------------------------------------------------------------------- CLOTHING / TEXTILES -- 0.2% THE WILLIAM CARTER CO. $ 1,220,506 Term Loan, 4.23%, Maturing September 30, 2008 $ 1,237,797 -------------------------------------------------------------------------------------------------- $ 1,237,797 -------------------------------------------------------------------------------------------------- CONGLOMERATES -- 2.1% AMSTED INDUSTRIES, INC. $ 3,600,441 Term Loan, 4.70%, Maturing October 15, 2010 $ 3,638,696 BLOUNT, INC. 666,667 Term Loan, 6.88%, Maturing February 9, 2011 678,334 GOODMAN GLOBAL HOLDINGS, INC. 2,702,382 Term Loan, 4.03%, Maturing November 21, 2009 2,729,406 JOHNSON DIVERSEY, INC. 1,691,371 Term Loan, 4.30%, Maturing November 30, 2009 1,721,392 PP ACQUISITION CORP. 2,294,250 Term Loan, 4.21%, Maturing November 12, 2011 2,324,362 ROPER INDUSTRIES, INC. 2,454,375 Term Loan, 3.74%, Maturing December 29, 2008 2,462,813 -------------------------------------------------------------------------------------------------- $ 13,555,003 -------------------------------------------------------------------------------------------------- CONTAINERS AND GLASS PRODUCTS -- 7.4% BALL CORP. $ 1,729,627 Term Loan, 3.73%, Maturing December 31, 2009 $ 1,752,977 BERRY PLASTICS CORP. 2,141,455 Term Loan, 3.71%, Maturing July 22, 2010 2,172,239 BWAY CORP. 664,111 Term Loan, 4.19%, Maturing June 30, 2011 674,281 CELANESE AG $ 1,500,000 Term Loan, 5.48%, Maturing June 4, 2011 $ 1,528,125 1,300,000 Term Loan, 5.48%, Maturing December 8, 2011 1,323,833 CONSOLIDATED CONTAINER HOLDING 1,197,000 Term Loan, 4.61%, Maturing December 15, 2008 1,210,466 DR. PEPPER/SEVEN UP BOTTLING 6,508,704 Term Loan, 4.71%, Maturing December 19, 2010 6,603,080 GRAHAM PACKAGING HOLDINGS CO. 4,055,866 Term Loan, 4.03%, Maturing October 7, 2011 4,117,973 2,000,000 Term Loan, 4.03%, Maturing October 7, 2012 2,049,584 GRAPHIC PACKAGING INTERNATIONAL, INC. 6,099,011 Term Loan, 4.51%, Maturing August 8, 2009 6,214,892 GREIF BROS. CORP. 427,500 Term Loan, 3.88%, Maturing August 31, 2008 432,202 IPG (US), INC. 685,000 Term Loan, 4.14%, Maturing July 28, 2011 697,416 OWENS-ILLINOIS, INC. 1,887,141 Term Loan, 4.64%, Maturing April 1, 2007 1,917,415 892,857 Term Loan, 4.64%, Maturing April 1, 2008 908,668 1,334,286 Term Loan, 4.75%, Maturing April 1, 2008 1,356,802 PRINTPACK HOLDINGS, INC 1,440,785 Term Loan, 6.86%, Maturing April 30, 2009 1,455,193 SILGAN HOLDINGS, INC. 4,252,809 Term Loan, 5.75%, Maturing December 31, 2008 4,304,642 SOLA INTERNATIONAL, INC. 3,900,000 Term Loan, 4.34%, Maturing December 11, 2009 3,953,625 STONE CONTAINER CORP. 2,492,874 Term Loan, 6.25%, Maturing June 30, 2009 2,507,285 502,479 Term Loan, 6.25%, Maturing June 30, 2009 505,933 U.S. CAN CORP. 1,492,500 Term Loan, 5.89%, Maturing January 10, 2010 1,494,366 -------------------------------------------------------------------------------------------------- $ 47,180,997 -------------------------------------------------------------------------------------------------- COSMETICS / TOILETRIES -- 1.1% AMERICAN SAFETY RAZOR COMPANY $ 333,334 Term Loan, 9.11%, Maturing October 29, 2011 $ 338,334 CHURCH & DWIGHT CO., INC. 2,294,250 Revolving Loan, 3.71%, Maturing May 30, 2011 2,324,362 PRESTIGE BRANDS, INC. 1,791,000 Term Loan, 6.86%, Maturing April 7, 2011 1,809,283 2,000,000 Term Loan, 6.86%, Maturing April 7, 2011 2,039,166 REVLON CONSUMER PRODUCTS CORP 580,000 Term Loan, 3.88%, Maturing July 9, 2010 589,335 -------------------------------------------------------------------------------------------------- $ 7,100,480 --------------------------------------------------------------------------------------------------
See notes to financial statements 5
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE -------------------------------------------------------------------------------------------------- ECOLOGICAL SERVICES AND EQUIPMENT -- 4.1% ALDERWOODS GROUP, INC. $ 368,090 Term Loan, 4.61%, Maturing August 19, 2010 $ 374,877 ALLIED WASTE INDUSTRIES, INC. 1,535,714 Term Loan, 4.66%, Maturing January 15, 2009 1,553,711 6,341,073 Term Loan, 4.66%, Maturing January 15, 2010 6,414,236 1,096,403 Term Loan, 4.66%, Maturing January 15, 2010 1,108,223 CASELLA WASTE SYSTEMS, INC. 2,475,000 Term Loan, 4.71%, Maturing January 24, 2010 2,506,712 CULLIGAN INTERNATIONAL CO. 675,000 Term Loan, 4.34%, Maturing September 30, 2011 685,412 ENVIRONMENTAL SYSTEMS, INC. 1,581,986 Term Loan, 12.01%, Maturing December 12, 2008 1,601,761 2,500,000 Term Loan, 12.01%, Maturing December 12, 2010 2,593,750 IESI CORP. 1,089,000 Term Loan, 5.08%, Maturing September 30, 2010 1,106,016 IONICS, INC. 1,694,893 Term Loan, 4.73%, Maturing February 13, 2011 1,716,609 NATIONAL WATERWORKS, INC. 1,000,000 Term Loan, 4.73%, Maturing November 22, 2009 1,011,667 SENSUS METERING SYSTEMS, INC. 385,435 Term Loan, 4.65%, Maturing December 17, 2010 389,209 2,569,565 Term Loan, 6.00%, Maturing December 17, 2010 2,594,726 SYNAGRO TECHNOLOGIES 522,183 Term Loan, 4.05%, Maturing April 15, 2008 524,793 WASTE CONNECTIONS, INC. 1,980,000 Term Loan, 3.62%, Maturing October 22, 2010 2,004,132 -------------------------------------------------------------------------------------------------- $ 26,185,834 -------------------------------------------------------------------------------------------------- ELECTRONICS / ELECTRICAL -- 2.4% AMPHENOL CORP. $ 2,320,000 Term Loan, 3.76%, Maturing May 6, 2010 $ 2,338,850 COMMUNICATIONS & POWER, INC. 1,144,250 Term Loan, 4.94%, Maturing July 23, 2010 1,162,367 ENERSYS CAPITAL, INC. 1,097,250 Term Loan, 4.84%, Maturing March 17, 2011 1,111,651 FAIRCHILD SEMICONDUCTOR CORP. 740,625 Term Loan, 3.23%, Maturing June 19, 2008 750,578 INVENSYS INTERNATIONAL HOLDING 3,064,594 Term Loan, 6.08%, Maturing September 5, 2009 3,108,647 MEMEC GROUP, LTD. 1,875,000 Term Loan, 10.00%, Maturing June 15, 2010 1,879,219 SEAGATE TECHNOLOGY HOLDINGS 2,156,000 Term Loan, 4.50%, Maturing November 22, 2006 2,189,148 SECURITYCO, INC. $ 997,500 Term Loan, 5.94%, Maturing June 28, 2010 $ 999,994 1,000,000 Term Loan, 5.94%, Maturing June 28, 2011 1,005,000 VIASYSTEMS, INC. 750,000 Term Loan, 6.49%, Maturing September 30, 2009 757,187 -------------------------------------------------------------------------------------------------- $ 15,302,641 -------------------------------------------------------------------------------------------------- EQUIPMENT LEASING -- 1.1% UNITED RENTALS, INC. $ 1,121,250 Term Loan, 4.63%, Maturing February 14, 2011 $ 1,132,930 5,578,219 Term Loan, 4.63%, Maturing February 14, 2011 5,648,644 -------------------------------------------------------------------------------------------------- $ 6,781,574 -------------------------------------------------------------------------------------------------- FARMING / AGRICULTURE -- 0.3% CENTRAL GARDEN & PET CO. $ 989,975 Term Loan, 4.21%, Maturing May 19, 2009 $ 1,001,731 THE SCOTTS CO. 840,000 Term Loan, 3.44%, Maturing September 30, 2010 847,546 -------------------------------------------------------------------------------------------------- $ 1,849,277 -------------------------------------------------------------------------------------------------- FINANCIAL INTERMEDIARIES -- 0.7% COINSTAR, INC. $ 698,250 Term Loan, 4.29%, Maturing July 7, 2011 $ 710,033 REFCO GROUP LTD, LLC 3,430,000 Term Loan, 4.46%, Maturing August 5, 2011 3,440,005 -------------------------------------------------------------------------------------------------- $ 4,150,038 -------------------------------------------------------------------------------------------------- FOOD PRODUCTS -- 5.4% ACOSTA SALES CO., INC. $ 1,000,000 Term Loan, 4.61%, Maturing August 13, 2010 $ 1,010,000 AMERICAN SEAFOODS HOLDINGS, LLC 1,651,432 Term Loan, 5.29%, Maturing March 31, 2009 1,662,270 ATKINS NUTRITIONAL, INC. 964,377 Term Loan, 4.12%, Maturing November 26, 2009 796,575 DEL MONTE CORP. 2,087,826 Term Loan, 4.38%, Maturing December 20, 2010 2,127,298 DOAN PET CARE CO. 656,355 Term Loan, 4.38%, Maturing December 29, 2006 660,731 DOANE PET CARE CO. 607,539 Term Loan, 7.23%, Maturing December 29, 2005 611,589 DOLE FOOD CO., INC. 607,712 Term Loan, 4.39%, Maturing September 29, 2008 616,828
See notes to financial statements 6
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE -------------------------------------------------------------------------------------------------- FOOD PRODUCTS (CONTINUED) INTERSTATE BRANDS CORP. $ 1,969,231 Term Loan, 4.75%, Maturing July 19, 2007 $ 1,930,463 LAND O' LAKES 590,062 Term Loan, 5.59%, Maturing October 1, 2007 600,511 MERISANT CO. 3,714,786 Term Loan, 4.88%, Maturing January 31, 2010 3,777,473 MICHAEL FOODS, INC. 4,367,000 Term Loan, 4.48%, Maturing November 20, 2010 4,431,142 6,000,000 Term Loan, 4.48%, Maturing November 20, 2011 6,174,378 PINNACLE FOODS HOLDINGS CORP. 4,383,933 Term Loan, 4.98%, Maturing November 25, 2010 4,427,773 1,237,817 Term Loan, 4.98%, Maturing November 25, 2010 1,248,390 REDDY ICE GROUP, INC. 702,492 Term Loan, 4.46%, Maturing July 31, 2009 710,834 2,107,476 Term Loan, 4.46%, Maturing July 31, 2009 2,133,382 SEMINIS VEGETABLE SEEDS, INC. 1,402,895 Term Loan, 4.46%, Maturing September 30, 2009 1,423,353 -------------------------------------------------------------------------------------------------- $ 34,342,990 -------------------------------------------------------------------------------------------------- FOOD SERVICE -- 3.6% AFC ENTERPRISES, INC. $ 2,101,691 Term Loan, 4.95%, Maturing December 31, 2004 $ 2,075,419 856,798 Term Loan, 4.95%, Maturing May 23, 2009 860,867 BUFFETS, INC. 418,182 Term Loan, 5.48%, Maturing June 28, 2009 420,273 2,285,153 Term Loan, 5.48%, Maturing June 28, 2009 2,296,579 CARROLS CORP. 1,742,235 Term Loan, 6.00%, Maturing November 30, 2007 1,753,124 CKE RESTAURANTS, INC. 537,736 Term Loan, 4.88%, Maturing July 2, 2008 549,163 DENNY'S, INC. 470,000 Term Loan, 5.16%, Maturing September 21, 2009 480,428 DOMINO'S, INC. 6,915,684 Term Loan, 4.25%, Maturing June 25, 2010 7,056,162 GATE GOURMET BORROWER, LLC 2,980,000 Term Loan, 9.50%, Maturing December 31, 2008 3,039,600 JACK IN THE BOX, INC. 2,977,500 Term Loan, 4.30%, Maturing January 8, 2011 3,020,302 WEIGHT WATCHERS INTERNATIONAL 925,000 Term Loan, 6.76%, Maturing March 31, 2010 931,937 -------------------------------------------------------------------------------------------------- $ 22,483,854 -------------------------------------------------------------------------------------------------- FOOD / DRUG RETAILERS -- 2.0% CUMBERLAND FARMS, INC. $ 927,828 Term Loan, 4.50%, Maturing September 8, 2008 $ 935,367 GENERAL NUTRITION CENTERS, INC. 2,972,513 Term Loan, 9.50%, Maturing December 5, 2009 3,005,953 GIANT EAGLE, INC. 1,984,119 Term Loan, 3.70%, Maturing August 6, 2009 2,010,161 RITE AID CORP. 1,695,000 Term Loan, 3.64%, Maturing September 22, 2009 1,714,069 THE JEAN COUTU GROUP (PJC), INC. 2,675,000 Term Loan, 5.69%, Maturing July 30, 2011 2,719,533 THE PANTRY, INC. 2,158,364 Term Loan, 4.44%, Maturing March 12, 2011 2,192,088 -------------------------------------------------------------------------------------------------- $ 12,577,171 -------------------------------------------------------------------------------------------------- FOREST PRODUCTS -- 1.2% APPLETON PAPERS, INC. $ 1,000,000 Term Loan, 4.16%, Maturing June 11, 2010 $ 1,012,750 BUCKEYE TECHNOLOGIES, INC. 3,934,583 Term Loan, 4.41%, Maturing April 15, 2010 3,995,243 KOCH CELLULOSE, LLC 197,887 Term Loan, 4.22%, Maturing May 7, 2011 201,041 788,696 Term Loan, 4.22%, Maturing May 7, 2011 801,266 RLC INDUSTRIES CO. 1,529,357 Term Loan, 3.96%, Maturing February 24, 2010 1,538,916 -------------------------------------------------------------------------------------------------- $ 7,549,216 -------------------------------------------------------------------------------------------------- HEALTHCARE -- 8.9% ACCREDO HEALTH, INC. $ 1,980,038 Term Loan, 3.71%, Maturing April 30, 2011 $ 1,994,888 ALLIANCE IMAGING, INC. 1,230,821 Term Loan, 4.41%, Maturing June 10, 2008 1,227,552 AMN HEALTHCARE, INC. 1,618,707 Term Loan, 5.04%, Maturing October 2, 2008 1,627,812 ARDENT HEALTH SERVICES, INC. 1,075,000 Term Loan, 7.00%, Maturing July 12, 2011 1,076,008 COLGATE MEDICAL, LTD. 1,668,182 Term Loan, 4.72%, Maturing December 30, 2008 1,682,778 COMMUNITY HEALTH SYSTEMS, INC. 7,246,446 Term Loan, 3.54%, Maturing July 5, 2010 7,277,504 CONCENTRA OPERATING CORP. 3,960,000 Term Loan, 4.30%, Maturing June 30, 2009 4,006,201
See notes to financial statements 7
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE -------------------------------------------------------------------------------------------------- HEALTHCARE (CONTINUED) CONMED CORP. $ 2,686,569 Term Loan, 4.26%, Maturing December 31, 2007 $ 2,717,914 DAVITA, INC. 6,431,117 Term Loan, 3.98%, Maturing March 31, 2009 6,520,046 ENCORE MEDICAL IHC, INC. 1,600,000 Term Loan, 4.84%, Maturing October 4, 2010 1,625,000 ENVISION WORLDWIDE, INC. 1,300,000 Term Loan, 6.84%, Maturing September 30, 2010 1,303,250 EXPRESS SCRIPTS, INC. 1,492,500 Term Loan, 3.23%, Maturing February 13, 2010 1,504,316 FHC HEALTH SYSTEMS, INC. 650,000 Term Loan, 4.21%, Maturing December 18, 2009 658,125 928,571 Term Loan, 7.79%, Maturing December 18, 2009 940,179 KINETIC CONCEPTS, INC. 3,442,402 Term Loan, 4.67%, Maturing October 3, 2009 3,486,148 KNOWLEDGE LEARNING CORP. 4,758,807 Term Loan, 5.23%, Maturing May 15, 2010 4,782,601 LEINER HEALTH PRODUCTS, INC. 992,513 Term Loan, 4.89%, Maturing May 27, 2011 1,007,400 MAGELLAN HEALTH SERVICES, INC. 1,111,111 Term Loan, 4.61%, Maturing August 15, 2008 1,119,444 1,972,222 Term Loan, 4.61%, Maturing August 15, 2008 1,987,014 MARINER HEALTH CARE, INC. 1,932,097 Term Loan, 4.71%, Maturing December 31, 2009 1,939,343 TEAM HEALTH, INC. 2,228,800 Term Loan, 5.23%, Maturing March 23, 2011 2,249,695 TRIAD HOSPITALS HOLDINGS 3,134,708 Term Loan, 4.15%, Maturing March 31, 2008 3,182,513 VANGUARD HEALTH HOLDING CO., LLC 1,235,000 Term Loan, 5.58%, Maturing September 23, 2011 1,256,999 VWR INTERNATIONAL, INC. 1,189,933 Term Loan, 5.21%, Maturing April 7, 2011 1,210,757 -------------------------------------------------------------------------------------------------- $ 56,383,487 -------------------------------------------------------------------------------------------------- HOME FURNISHINGS -- 1.5% SEALY MATTRESS CO. $ 3,069,783 Term Loan, 4.17%, Maturing April 6, 2012 $ 3,113,911 SIMMONS CO. 5,470,593 Term Loan, 3.96%, Maturing December 19, 2011 5,532,137 TERMPUR-PEDIC, INC. 994,962 Term Loan, 3.94%, Maturing June 30, 2009 1,001,492 -------------------------------------------------------------------------------------------------- $ 9,647,540 -------------------------------------------------------------------------------------------------- INDUSTRIAL EQUIPMENT -- 3.1% BUCYRUS INTERNATIONAL, INC. $ 212,313 Term Loan, 4.04%, Maturing July 28, 2010 $ 215,895 CHART INDUSTRIES, INC. 2,772,680 Term Loan, 5.61%, Maturing September 15, 2009 2,767,481 DOUGLAS DYNAMICS HOLDINGS, INC. 294,455 Term Loan, 4.25%, Maturing March 30, 2010 298,871 900,000 Term Loan, 4.25%, Maturing March 30, 2011 922,500 FLOWSERVE CORP. 2,069,087 Term Loan, 4.65%, Maturing June 30, 2009 2,103,357 GLEASON CORP. 500,000 Term Loan, 4.65%, Maturing July 27, 2011 506,250 750,000 Term Loan, 4.65%, Maturing January 31, 2012 757,500 ITRON, INC. 3,557,568 Term Loan, 4.25%, Maturing December 17, 2010 3,593,883 PROFESSIONAL PAINT, INC. 475,000 Term Loan, 5.38%, Maturing September 30, 2011 481,531 REXNORD CORP. 2,441,071 Term Loan, 5.20%, Maturing November 30, 2009 2,465,482 SPX CORP. 4,595,516 Term Loan, 3.94%, Maturing September 30, 2009 4,650,087 TEREX CORP. 874,457 Term Loan, 3.94%, Maturing June 30, 2009 885,935 -------------------------------------------------------------------------------------------------- $ 19,648,772 -------------------------------------------------------------------------------------------------- INSURANCE -- 1.1% ALLIANT RESOURCES GROUP, INC. $ 1,396,500 Term Loan, 5.67%, Maturing August 31, 2011 $ 1,398,246 CCC INFORMATION SERVICES GROUP 1,005,967 Term Loan, 4.96%, Maturing August 20, 2010 1,013,511 CONSECO, INC. 4,490,000 Term Loan, 5.41%, Maturing June 22, 2010 4,584,479 -------------------------------------------------------------------------------------------------- $ 6,996,236 -------------------------------------------------------------------------------------------------- LEISURE GOODS / ACTIVITIES / MOVIES -- 9.2% AMF BOWLING WORLDWIDE, INC. $ 2,663,144 Term Loan, 4.48%, Maturing August 27, 2009 $ 2,683,951 BOMBARDIER RECREATIONAL PRODUCTS, INC. 2,387,725 Term Loan, 6.88%, Maturing December 18, 2010 2,428,018 1,050,000 Term Loan, 6.88%, Maturing December 18, 2010 1,067,719 CINEMARK, INC. 1,990,000 Term Loan, 4.54%, Maturing March 31, 2011 2,012,388 HOLLYWOOD ENTERTAINMENT CORP. 1,000,000 Term Loan, 5.75%, Maturing March 31, 2008 1,004,375
See notes to financial statements 8
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE -------------------------------------------------------------------------------------------------- LEISURE GOODS / ACTIVITIES / MOVIES (CONTINUED) LIONS GATE ENTERTAINMENT, INC. $ 2,222,222 Term Loan, 4.23%, Maturing December 31, 2008 $ 2,241,667 LOEWS CINEPLEX ENTERTAINMENT 3,000,000 Term Loan, 5.23%, Maturing July 30, 2011 3,041,250 METRO-GOLDWYN-MAYER STUDIO, INC. 8,850,000 Term Loan, 4.48%, Maturing April 26, 2011 8,892,038 PENN NATIONAL GAMING, INC. 800,940 Term Loan, 4.48%, Maturing July 31, 2006 814,622 REGAL CINEMAS CORP. 7,042,843 Term Loan, 3.88%, Maturing November 10, 2010 7,137,921 SCIENTIFIC GAMES CORP. 3,970,000 Term Loan, 4.50%, Maturing December 31, 2009 4,029,550 SIX FLAGS THEME PARKS, INC. 7,902,817 Term Loan, 4.34%, Maturing June 30, 2009 7,964,562 UNIVERSAL CITY DEVELOPMENT 3,734,847 Term Loan, 4.17%, Maturing June 30, 2007 3,748,853 WMG ACQUISITION CORP. 9,569,431 Term Loan, 4.53%, Maturing February 28, 2011 9,717,241 YANKEES HOLDINGS & YANKEENETS 400,714 Term Loan, 6.63%, Maturing June 25, 2007 407,226 874,286 Term Loan, 6.63%, Maturing June 25, 2007 888,493 -------------------------------------------------------------------------------------------------- $ 58,079,874 -------------------------------------------------------------------------------------------------- LODGING AND CASINOS -- 3.7% ALLIANCE GAMING CORP. $ 6,507,303 Term Loan, 3.54%, Maturing September 5, 2009 $ 6,584,577 ARGOSY GAMING CO. 2,125,000 Term Loan, 3.82%, Maturing June 30, 2011 2,143,594 CNL RESORT HOTEL, L.P. 1,560,000 Term Loan, 4.34%, Maturing August 18, 2006 1,560,000 GLOBALCASH ACCESS, LLC 1,145,625 Term Loan, 3.74%, Maturing March 10, 2010 1,166,389 ISLE OF CAPRI CASIONS, INC. 1,134,375 Term Loan, 4.12%, Maturing April 25, 2008 1,148,555 MARINA DISTRICT FINANCE CO., INC. 2,775,000 Term Loan, 9.34%, Maturing October 14, 2011 2,796,390 PINNACLE ENTERTAINMENT, INC. 1,375,000 Term Loan, 4.98%, Maturing August 27, 2010 1,395,625 SEMINOLE TRIBE OF FLORIDA 625,000 Term Loan, 6.00%, Maturing September 30, 2011 631,250 VENETIAN CASINO RESORT, LLC 1,640,909 Term Loan, 5.31%, Maturing June 15, 2011 1,671,335 WYNDHAM INTERNATIONAL, INC. 4,455,911 Term Loan, 4.53%, Maturing June 30, 2006 4,467,051 -------------------------------------------------------------------------------------------------- $ 23,564,766 -------------------------------------------------------------------------------------------------- NONFERROUS METALS / MINERALS -- 0.9% COMPASS MINERALS GROUP, INC. $ 480,746 Term Loan, 4.30%, Maturing November 28, 2009 $ 488,158 CONSOL ENERGY, INC. 1,370,000 Term Loan, 4.34%, Maturing June 30, 2010 1,398,685 FOUNDATION COAL CORP. 1,775,000 Term Loan, 4.04%, Maturing July 30, 2011 1,797,188 MAGNEQUENCH, INC. 960,586 Term Loan, 9.34%, Maturing September 30, 2009 967,791 1,300,000 Term Loan, 9.34%, Maturing December 31, 2009 1,319,500 -------------------------------------------------------------------------------------------------- $ 5,971,322 -------------------------------------------------------------------------------------------------- OIL AND GAS -- 3.1% DRESSER, INC. $ 1,132,534 Term Loan, 4.46%, Maturing March 31, 2007 $ 1,144,567 DYNEGY HOLDINGS, INC. 3,142,125 Term Loan, 5.84%, Maturing May 28, 2010 3,211,842 GETTY PETROLEUM MARKETING, INC. 2,015,833 Term Loan, 5.23%, Maturing May 19, 2010 2,048,591 LA GRANGE ACQUISITION, L.P. 5,375,000 Term Loan, 4.96%, Maturing January 18, 2008 5,464,026 LYONDELL-CITGO REFINING, L.P. 1,680,788 Term Loan, 3.59%, Maturing May 21, 2007 1,693,393 MAGELLAN MIDSTREAM HOLDINGS 525,359 Term Loan, 4.13%, Maturing June 17, 2008 533,239 SEMGROUP, L.P. 695,000 Term Loan, 5.33%, Maturing August 27, 2010 705,425 WILLIAMS PRODUCTION RMT CO. 4,714,375 Term Loan, 4.94%, Maturing May 30, 2007 4,792,949 -------------------------------------------------------------------------------------------------- $ 19,594,032 -------------------------------------------------------------------------------------------------- PUBLISHING -- 7.5% ADVANSTAR COMMUNICATIONS $ 584,554 Term Loan, 4.58%, Maturing November 17, 2007 $ 587,964 AMERICAN MEDIA OPERATIONS, INC. 556,431 Term Loan, 4.81%, Maturing April 1, 2007 564,429 3,764,470 Term Loan, 4.81%, Maturing April 1, 2008 3,823,290 CBD MEDIA, LLC 2,418,542 Term Loan, 4.71%, Maturing December 31, 2009 2,450,285 DEX MEDIA EAST, LLC 857,209 Term Loan, 3.78%, Maturing November 8, 2008 867,300 6,299,313 Term Loan, 3.78%, Maturing May 8, 2009 6,391,176 DEX MEDIA WEST, LLC 1,900,260 Term Loan, 3.78%, Maturing September 9, 2009 1,924,692 4,867,184 Term Loan, 3.78%, Maturing March 9, 2010 4,943,234
See notes to financial statements 9
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE -------------------------------------------------------------------------------------------------- PUBLISHING (CONTINUED) FREEDOM COMMUNICATIONS $ 2,650,000 Term Loan, 4.04%, Maturing May 18, 2012 $ 2,694,388 HERALD MEDIA, INC. 284,288 Term Loan, 7.45%, Maturing July 22, 2011 288,196 625,000 Term Loan, 7.45%, Maturing January 22, 2012 635,352 LAMAR MEDIA CORP. 2,239,600 Term Loan, 5.59%, Maturing June 30, 2010 2,267,595 MERRILL COMMUNICATIONS, LLC 1,330,000 Term Loan, 4.48%, Maturing February 9, 2009 1,345,379 MORRIS PUBLISHING GROUP, LLC 440,000 Term Loan, 3.63%, Maturing September 30, 2010 443,713 660,000 Term Loan, 3.63%, Maturing March 31, 2011 668,044 NEBRASKA BOOK CO., INC. 1,452,700 Term Loan, 4.67%, Maturing March 4, 2011 1,472,675 R.H. DONNELLEY CORP. 4,962,562 Term Loan, 6.50%, Maturing June 30, 2011 5,040,619 SP NEWSPRINT CO. 2,088,333 Term Loan, 4.86%, Maturing January 9, 2010 2,119,658 3,866,667 Term Loan, 4.86%, Maturing January 9, 2010 3,924,667 SUN MEDIA CORP. 1,290,224 Term Loan, 4.13%, Maturing February 7, 2009 1,300,304 TRANSWESTERN PUBLISHING CO., LLC 857,937 Term Loan, 4.09%, Maturing February 25, 2011 868,930 1,592,001 Term Loan, 4.09%, Maturing February 25, 2011 1,614,638 368,000 Term Loan, 4.09%, Maturing August 24, 2012 372,083 WEEKLY READER CORP. 985,000 Term Loan, 6.76%, Maturing March 18, 2009 983,153 -------------------------------------------------------------------------------------------------- $ 47,591,764 -------------------------------------------------------------------------------------------------- RADIO AND TELEVISION -- 4.6% ADAMS OUTDOOR ADVERTISING, L.P. $ 997,500 Term Loan, 5.58%, Maturing October 15, 2011 $ 1,011,423 350,000 Term Loan, 4.61%, Maturing April 15, 2012 356,344 CANWEST MEDIA, INC. 3,162,795 Term Loan, 4.07%, Maturing August 15, 2009 3,206,284 CUMULUS MEDIA, INC. 1,995,000 Term Loan, 4.50%, Maturing March 28, 2010 2,027,419 GRAY TELEVISION, INC. 2,194,500 Term Loan, 3.72%, Maturing December 31, 2010 2,224,674 LIN TELEVISION CORP. 1,078,000 Term Loan, 4.23%, Maturing December 31, 2007 1,091,571 1,012,000 Term Loan, 4.23%, Maturing December 31, 2007 1,025,493 NEP SUPERSHOOTERS, L.P. 1,500,000 Term Loan, 4.67%, Maturing August 3, 2011 1,507,500 NEXSTAR BROADCASTING, INC. $ 320,983 Term Loan, 3.73%, Maturing December 31, 2010 $ 321,384 175,273 Term Loan, 3.73%, Maturing December 31, 2010 175,821 RAINBOW NATIONAL SERVICES, LLC 2,786,888 Term Loan, 4.50%, Maturing March 31, 2012 2,835,659 RAYCOM NATIONAL, LLC 2,275,000 Term Loan, 4.50%, Maturing February 24, 2012 2,289,219 SINCLAIR TELEVISION GROUP, INC. 2,640,000 Term Loan, 3.96%, Maturing December 31, 2009 2,668,599 SPANISH BROADCASTING SYSTEM 2,729,375 Term Loan, 4.86%, Maturing October 31, 2009 2,763,492 SUSQUEHANNA MEDIA CO. 5,250,000 Term Loan, 4.05%, Maturing March 31, 2012 5,327,112 -------------------------------------------------------------------------------------------------- $ 28,831,994 -------------------------------------------------------------------------------------------------- RAIL INDUSTRIES -- 0.3% RAILAMERICA, INC. $ 1,893,816 Term Loan, 3.94%, Maturing September 29, 2011 $ 1,926,168 223,870 Term Loan, 3.94%, Maturing September 29, 2011 227,694 -------------------------------------------------------------------------------------------------- $ 2,153,862 -------------------------------------------------------------------------------------------------- RETAILERS (EXCEPT FOOD AND DRUG) -- 4.4% ADVANCE STORES CO., INC. $ 2,632,464 Term Loan, 4.25%, Maturing November 30, 2007 $ 2,645,626 ALIMENTATION COUCHE-TARD, INC. 1,215,306 Term Loan, 4.61%, Maturing December 17, 2010 1,229,485 AMERICAN ACHIEVEMENT CORP. 696,500 Term Loan, 4.66%, Maturing March 25, 2011 707,383 CKS AUTO, INC. 6,716,250 Term Loan, 4.88%, Maturing June 20, 2009 6,796,005 COINMACH LAUNDRY CORP. 1,273,594 Term Loan, 4.64%, Maturing July 25, 2009 1,288,519 FTD, INC. 2,985,000 Term Loan, 4.38%, Maturing February 28, 2011 3,031,641 HARBOR FREIGHT TOOLS USA, INC. 2,135,000 Term Loan, 3.88%, Maturing July 15, 2010 2,157,018 HOME INTERIORS & GIFTS, INC. 885,938 Term Loan, 6.42%, Maturing March 31, 2011 855,594 JOSTEN'S CORP. 2,558,621 Term Loan, 4.38%, Maturing October 4, 2011 2,600,198 ORIENTAL TRADING CO., INC 3,000,000 Term Loan, 4.75%, Maturing January 8, 2011 3,059,376 ORIENTAL TRADING CO., INC. 950,829 Term Loan, 4.75%, Maturing August 4, 2010 965,685
See notes to financial statements 10
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE -------------------------------------------------------------------------------------------------- RETAILERS (EXCEPT FOOD AND DRUG) (CONTINUED) PETRO STOPPING CENTER, L.P. $ 531,250 Term Loan, 4.48%, Maturing February 9, 2007 $ 539,219 SAVERS, INC. 798,000 Term Loan, 10.48%, Maturing August 4, 2009 804,484 1,000,000 Term Loan, 10.48%, Maturing August 4, 2010 1,012,500 STEWART ENTERPRISES, INC. 324,442 Term Loan, 4.20%, Maturing January 31, 2006 327,483 -------------------------------------------------------------------------------------------------- $ 28,020,216 -------------------------------------------------------------------------------------------------- SURFACE TRANSPORT -- 2.4% HORIZON LINES, LLC $ 947,625 Term Loan, 4.73%, Maturing July 7, 2011 $ 964,998 LAIDLAW INTERNATIONAL, INC. 6,046,615 Term Loan, 5.59%, Maturing June 19, 2009 6,147,708 NFIL HOLDING CORP. 1,305,054 Term Loan, 4.31%, Maturing February 27, 2010 1,323,407 NFIL HOLDINGS CORP. 428,571 Term Loan, 4.08%, Maturing February 27, 2010 435,268 QUALITY DISTRIBUTION, LLC 1,221,889 Term Loan, 5.07%, Maturing November 13, 2009 1,197,452 SIRVA WORLDWIDE, INC. 4,882,353 Term Loan, 4.34%, Maturing December 31, 2010 4,925,074 -------------------------------------------------------------------------------------------------- $ 14,993,907 -------------------------------------------------------------------------------------------------- TELECOMMUNICATIONS -- 9.8% AMERICAN TOWER, L.P. $ 2,493,750 Term Loan, 4.48%, Maturing August 31, 2011 $ 2,530,573 CENTENNIAL CELLULAR OPERATING 4,825,750 Term Loan, 5.48%, Maturing February 9, 2011 4,889,517 CINCINNATI BELL, INC. 4,380,964 Term Loan, 4.54%, Maturing June 30, 2008 4,427,512 CONSOLIDATED COMMUNICATIONS, INC. 2,093,000 Term Loan, 4.34%, Maturing October 14, 2011 2,113,930 D&E COMMUNICATIONS, INC. 992,474 Term Loan, 4.52%, Maturing December 31, 2011 1,007,051 DOBSON CELLULAR SYSTEMS, INC. 4,950,000 Term Loan, 5.38%, Maturing March 31, 2010 4,937,318 MEDIACOM ILLINOIS, LLC 2,820,000 Term Loan, 4.26%, Maturing March 31, 2013 2,842,662 NEXTEL COMMUNICATIONS 6,126,100 Term Loan, 3.73%, Maturing December 15, 2010 6,150,862 NEXTEL PARTNERS OPERATION CORP. 2,450,000 Term Loan, 4.31%, Maturing May 31, 2011 2,491,599 NTELOS, INC. $ 497,461 Term Loan, 5.71%, Maturing July 25, 2008 $ 496,528 PANAMSAT CORP. 5,129,241 Term Loan, 4.66%, Maturing August 20, 2011 5,163,920 QWEST CORP. 10,000,000 Term Loan, 6.50%, Maturing June 4, 2007 10,409,820 SBA SENIOR FINANCE, INC. 3,551,385 Term Loan, 5.21%, Maturing October 31, 2008 3,588,011 SPECTRASITE COMMUNICATIONS, INC. 2,990,444 Term Loan, 4.11%, Maturing June 30, 2007 2,998,387 1,145,295 Term Loan, 5.23%, Maturing December 31, 2007 1,148,302 VALOR TELECOMMUNICATIONS ENTERPRISES, LLC 1,468,450 Term Loan, 6.02%, Maturing June 30, 2008 1,486,805 WESTERN WIRELESS CORP. 5,231,888 Term Loan, 4.94%, Maturing May 28, 2011 5,318,308 -------------------------------------------------------------------------------------------------- $ 62,001,105 -------------------------------------------------------------------------------------------------- UTILITIES -- 5.2% ALLEGHENY ENERGY SUPPLY CO. $ 3,963,695 Term Loan, 3.70%, Maturing March 8, 2011 $ 3,989,709 CENTERPOINT ENERGY, INC. 9,100,511 Term Loan, 4.88%, Maturing October 7, 2006 9,146,014 COGENTRIX DELAWARE HOLDINGS, INC. 3,084,500 Term Loan, 4.34%, Maturing February 26, 2009 3,141,048 COLETO CREEK WLE, L.P. 1,032,413 Term Loan, 4.23%, Maturing June 30, 2011 1,052,846 NRG ENERGY, INC. 1,637,802 Term Loan, 4.74%, Maturing June 23, 2010 1,692,259 2,890,893 Term Loan, 4.74%, Maturing June 23, 2010 2,985,569 NUI UTILITIES 983,607 Term Loan, 5.20%, Maturing November 24, 2004 987,295 5,016,393 Term Loan, 5.20%, Maturing November 24, 2004 5,035,205 PIKE ELECTRIC, INC. 479,169 Term Loan, 4.13%, Maturing July 1, 2012 488,054 PLAINS RESOURCES, INC. 614,286 Term Loan, 5.09%, Maturing July 23, 2010 622,924 TETON POWER FUNDING, LLC 3,819,519 Term Loan, 5.16%, Maturing March 12, 2011 3,881,586 -------------------------------------------------------------------------------------------------- $ 33,022,509 -------------------------------------------------------------------------------------------------- TOTAL SENIOR, FLOATING RATE INTERESTS (IDENTIFIED COST $833,494,498) $ 838,685,236 --------------------------------------------------------------------------------------------------
See notes to financial statements 11 COMMON STOCKS -- 2.5%
SHARES/RIGHTS SECURITY VALUE -------------------------------------------------------------------------------------------------- 795,800 ING Prime Rate Trust $ 6,167,450 1,097,000 Van Kampen Senior Income Trust 9,510,990 -------------------------------------------------------------------------------------------------- TOTAL COMMON STOCKS (IDENTIFIED COST, $15,753,789) $ 15,678,440 --------------------------------------------------------------------------------------------------
WARRANTS -- 0.0%
SHARES/RIGHTS SECURITY VALUE -------------------------------------------------------------------------------------------------- 190 Mueller Holdings, Inc., Exp. 4/15/14(2)(3) $ 11,495 -------------------------------------------------------------------------------------------------- TOTAL WARRANTS (IDENTIFIED COST, $0) $ 11,495 --------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES -- 17.1%
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE -------------------------------------------------------------------------------------------------- AEROSPACE AND DEFENSE -- 0.2% ARGO TECH CORP., SR. NOTES $ 840 9.25%, 6/1/11(3) $ 919,800 SEQUA CORP. 500 8.875%, 4/1/08 548,750 STANDARD AERO HOLDINGS, INC., SR. SUB. NOTES 75 8.25%, 9/1/14(3) 79,687 -------------------------------------------------------------------------------------------------- $ 1,548,237 -------------------------------------------------------------------------------------------------- AIR TRANSPORT -- 0.3% AMERICAN AIRLINES $ 750 7.80%, 10/1/06 $ 627,731 AMR CORP. 175 9.00%, 8/1/12 107,625 CONTINENTAL AIRLINES 811 7.033%, 6/15/11 627,420 DELTA AIRLINES NOTES 1,000 7.90%, 12/15/09 470,000 -------------------------------------------------------------------------------------------------- $ 1,832,776 -------------------------------------------------------------------------------------------------- AUTOMOTIVE -- 0.6% COLLINS & AIKMAN FLOOR COVER $ 300 9.75%, 2/15/10 $ 322,125 KEYSTONE AUTOMOTIVE OPERATIONS, INC., SR. SUB. NOTES 1,500 9.75%, 11/1/13 1,631,250 METALDYNE CORP. $ 350 11.00%, 6/15/12(3) $ 295,750 METALDYNE CORP., SR. NOTES 605 10.00%, 11/1/13(3) 580,800 TENNECO AUTOMOTIVE, INC., SERIES B 615 11.625%, 10/15/09 656,512 TENNECO AUTOMOTIVE, INC., SERIES B, SR. SEC. NOTES 255 10.25%, 7/15/13 298,350 -------------------------------------------------------------------------------------------------- $ 3,784,787 -------------------------------------------------------------------------------------------------- BEVERAGE AND TOBACCO -- 0.0% NORTH ATLANTIC TRADING CO., SR. NOTES $ 185 9.25%, 3/1/12 $ 180,375 -------------------------------------------------------------------------------------------------- $ 180,375 -------------------------------------------------------------------------------------------------- BROADCAST RADIO AND TELEVISION -- 0.7% FISHER COMMUNICATIONS, INC., SR. NOTES $ 100 8.625%, 9/15/14(3) $ 106,000 NEXSTAR FINANCE HOLDINGS LLC, INC., SR. DISC. NOTES 110 11.375%, 4/1/13 85,250 PAXSON COMMUNICATIONS CORP. 4,000 4.35%, 1/15/10(3) 4,045,000 -------------------------------------------------------------------------------------------------- $ 4,236,250 -------------------------------------------------------------------------------------------------- BUILDING AND DEVELOPMENT -- 0.4% COLEMAN CABLE, INC., SR. NOTES $ 105 9.875%, 10/1/12(3) $ 108,675 INTERLINE BRANDS, INC., SR. SUB. NOTES 750 11.50%, 5/15/11 836,250 MAAX CORP., SR. SUB. NOTES 115 9.75%, 6/15/12(3) 124,200 PLY GEM INDUSTRIES, INC., SR. SUB. NOTES 175 9.00%, 2/15/12(3) 175,437 1,000 9.00%, 2/15/12(3) 1,002,500 THL BUILDCO (NORTEK, INC.), SR. SUB. NOTES 215 8.50%, 9/1/14(3) 228,975 -------------------------------------------------------------------------------------------------- $ 2,476,037 -------------------------------------------------------------------------------------------------- BUILDING MATERIALS -- 0.0% AINSWORTH LUMBER, SR. NOTES $ 210 7.25%, 10/1/12(3) $ 213,675 RMCC ACQUISITION CO., SR. SUB. NOTES 145 9.50%, 11/1/12(3) 145,797 -------------------------------------------------------------------------------------------------- $ 359,472 --------------------------------------------------------------------------------------------------
See notes to financial statements 12
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE -------------------------------------------------------------------------------------------------- BUSINESS EQUIPMENT AND SERVICES -- 0.4% ALLIED SECURITY ESCROW, SR. SUB. NOTES $ 65 11.375%, 7/15/11(3) $ 68,575 AMERCO, INC. 310 9.00%, 3/15/09 328,600 QUINTILES TRANSNATIONAL CORP., SR. SUB. NOTES 2,000 10.00%, 10/1/13 2,190,000 WILLIAMS SCOTSMAN, INC., SR. NOTES 15 10.00%, 8/15/08 16,425 -------------------------------------------------------------------------------------------------- $ 2,603,600 -------------------------------------------------------------------------------------------------- CABLE AND SATELLITE TELEVISION -- 0.6% CABLEVISION SYSTEMS CORP., SR. NOTES $ 35 8.00%, 4/15/12(3) $ 37,800 CHARTER COMMUNICATIONS HOLDINGS, LLC, SR. NOTES 900 10.25%, 1/15/10 742,500 CSC HOLDINGS, INC., SR. SUB. NOTES 1,000 10.50%, 5/15/16 1,147,500 INSIGHT COMMUNICATIONS, SR. DISC. NOTES 195 12.25%, 2/15/11 191,587 KABEL DEUTSCHLAND GMBH 485 10.625%, 7/1/14(3) 545,625 UGS CORP., SR. SUB. NOTES 985 10.00%, 6/1/12(3) 1,108,125 -------------------------------------------------------------------------------------------------- $ 3,773,137 -------------------------------------------------------------------------------------------------- CAPITAL GOODS -- 0.5% DRESSER-RAND GROUP, INC., SR. SUB. NOTES $ 440 7.375%, 11/1/14(3) $ 463,100 ERICO INTERNATIONAL CORP., SR. SUB. NOTES 2,000 8.875%, 3/1/12 2,100,000 MUELLER GROUP, INC., SR. SUB. NOTES 635 10.00%, 5/1/12(3) 688,975 MUELLER HOLDINGS, INC., DISC. NOTES 190 14.75%, 4/15/14(3) 122,550 -------------------------------------------------------------------------------------------------- $ 3,374,625 -------------------------------------------------------------------------------------------------- CHEMICALS AND PLASTICS -- 1.0% AVECIA GROUP PLC $ 200 11.00%, 7/1/09 $ 189,000 BCP CAYLUX HOLDINGS, SR. SUB. NOTES 480 9.625%, 6/15/14(3) 540,000 BORDEN U.S. FINANCE/NOVA SCOTIA FINANCE, SR. NOTES 175 9.00%, 7/15/14(3) 192,281 HUNTSMAN LLC $ 435 11.625%, 10/15/10 $ 514,931 INNOPHOS, INC., SR. SUB. NOTES 110 8.875%, 8/15/14(3) 119,075 LYONDELL CHEMICAL CO. 10 9.50%, 12/15/08 10,950 LYONDELL CHEMICAL CO., SR. NOTES 1,193 10.50%, 6/1/13 1,413,705 NALCO CO., SR. SUB. NOTES 605 8.875%, 11/15/13(3) 666,256 OM GROUP, INC. 1,765 9.25%, 12/15/11 1,855,456 POLYONE CORP. 250 10.625%, 5/15/10 278,750 RHODIA SA, SR. NOTES 545 10.25%, 6/1/10 594,050 -------------------------------------------------------------------------------------------------- $ 6,374,454 -------------------------------------------------------------------------------------------------- CLOTHING / TEXTILES -- 0.1% LEVI STRAUSS & CO. $ 395 7.00%, 11/1/06 $ 388,581 LEVI STRAUSS & CO., SR. NOTES 320 11.625%, 1/15/08 328,000 PHILLIPS VAN-HEUSEN, SR. NOTES 110 7.25%, 2/15/11(3) 115,775 -------------------------------------------------------------------------------------------------- $ 832,356 -------------------------------------------------------------------------------------------------- CONGLOMERATES -- 0.1% AMSTED INDUSTRIES, INC., SR. NOTES $ 615 10.25%, 10/15/11(3) $ 679,575 -------------------------------------------------------------------------------------------------- $ 679,575 -------------------------------------------------------------------------------------------------- CONSUMER PRODUCTS -- 0.6% AEARO CO. I, SR. SUB. NOTES $ 155 8.25%, 4/15/12(3) $ 161,200 AMSCAN HOLDINGS, INC., SR. SUB. NOTES 35 8.75%, 5/1/14(3) 35,350 CHATTEM INC. 1,000 7.00%, 3/1/14 1,032,500 FEDDERS NORTH AMERICA, INC. 240 9.875%, 3/1/14 194,400 GFSI, INC., SR. SUB. NOTES, SERIES B 1,025 9.625%, 3/1/07 1,009,625
See notes to financial statements 13
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE -------------------------------------------------------------------------------------------------- CONSUMER PRODUCTS (CONTINUED) OXFORD INDUSTRIES, INC., SR. NOTES $ 20 8.875%, 6/1/11(3) $ 21,700 RAYOVAC CORP., SR. SUB. NOTES 455 8.50%, 10/1/13 501,637 RIDDELL BELL HOLDINGS, SR. SUB. NOTES 40 8.375%, 10/1/12(3) 41,500 SAMSONITE CORP., SR. SUB. NOTES 365 8.875%, 6/1/11 390,550 TRUE TEMPER SPORTS, INC., SR. SUB. NOTES 65 8.375%, 9/15/11 59,475 WH HOLDINGS LTD./WH CAPITAL CORP., SR. NOTES 175 9.50%, 4/1/11 192,500 -------------------------------------------------------------------------------------------------- $ 3,640,437 -------------------------------------------------------------------------------------------------- CONTAINERS AND GLASS PRODUCTS -- 0.4% GRAHAM PACKAGING CO., SR. NOTES $ 85 8.50%, 10/15/12(3) $ 89,675 GRAHAM PACKAGING CO., SR. SUB. NOTES 165 9.875%, 10/15/14(3) 175,725 INTERTAPE POLYMER US, INC., SR. SUB. NOTES 315 8.50%, 8/1/14(3) 314,606 PLIANT CORP. 1,000 11.125%, 6/15/09 895,000 STONE CONTAINER CORP., SR. NOTES 750 7.375%, 7/15/14(3) 804,375 -------------------------------------------------------------------------------------------------- $ 2,279,381 -------------------------------------------------------------------------------------------------- ECOLOGICAL SERVICES AND EQUIPMENT -- 0.1% ALDERWOODS GROUP, INC., SR. NOTES $ 110 7.75%, 9/15/12(3) $ 119,350 IMCO RECYCLING, SR. NOTES 100 9.00%, 11/15/14(3)(4) 100,000 WASTE SERVICES, INC., SR. SUB. NOTES 500 9.50%, 4/15/14(3) 472,500 -------------------------------------------------------------------------------------------------- $ 691,850 -------------------------------------------------------------------------------------------------- ENERGY -- 0.0% HARVEST OPERATIONS CORP., SR. NOTES $ 330 7.875%, 10/15/11(3) $ 343,612 -------------------------------------------------------------------------------------------------- $ 343,612 -------------------------------------------------------------------------------------------------- ENGINEERING -- 0.0% SHAW GROUP, INC., SR. NOTES $ 120 10.75%, 3/15/10 $ 128,700 -------------------------------------------------------------------------------------------------- $ 128,700 -------------------------------------------------------------------------------------------------- EQUIPMENT LEASING -- 0.1% UNITED RENTALS NORTH AMERICA, INC. $ 210 6.50%, 2/15/12 $ 208,950 UNITED RENTALS NORTH AMERICA, INC., SR. SUB. NOTES 220 7.00%, 2/15/14 204,050 -------------------------------------------------------------------------------------------------- $ 413,000 -------------------------------------------------------------------------------------------------- FINANCIAL INTERMEDIARIES -- 0.7% CARLYLE HIGH YIELD PARTNERS, SERIES 2004-6A, CLASS C $ 1,000 4.36%, 8/15/16(3) $ 1,000,000 CRYSTAL US HOLDINGS/US HOLDINGS 3, LLC, SR. DISC. NOTES 480 10.50%, 10/1/14(3) 304,800 DRYDEN LEVERAGED LOAN, SERIES 2004-6A, CLASS C1 1,500 4.055%, 7/30/16(3)(4) 1,500,000 E*TRADE FINANCIAL CORP., SR. NOTES 240 8.00%, 6/15/11(3) 254,400 FIRST CLO, LTD., SR. SUB. NOTES 1,000 Variable Rate, 3.96%, 7/27/16(3) 1,000,000 REFCO FINANCE HOLDINGS, LLC, SR. SUB. NOTES 430 9.00%, 8/1/12(3) 466,550 -------------------------------------------------------------------------------------------------- $ 4,525,750 -------------------------------------------------------------------------------------------------- FOOD PRODUCTS -- 0.4% MERISANT CO., SR. NOTES $ 255 9.75%, 7/15/13(3) $ 238,425 PINNACLE FOODS HOLDINGS CORP., SR. SUB. NOTES 2,115 8.25%, 12/1/13(3) 2,009,250 UNITED AGRICULTURAL PRODUCTS, SR. NOTES 95 8.25%, 12/15/11(3) 103,075 -------------------------------------------------------------------------------------------------- $ 2,350,750 -------------------------------------------------------------------------------------------------- FOOD, BEVERAGES AND TOBACCO -- 0.1% ASG CONSOLIDATED, LLC/ASG FINANCE, INC., SR. DISC. NOTES $ 400 11.50%, 11/1/11(3) $ 257,000 PIERRE FOODS, INC., SR. SUB. NOTES 320 9.875%, 7/15/12(3) 326,400 -------------------------------------------------------------------------------------------------- $ 583,400 --------------------------------------------------------------------------------------------------
See notes to financial statements 14
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE -------------------------------------------------------------------------------------------------- FOOD / DRUG RETAILERS -- 0.3% GENERAL NUTRITION CENTERS, SR. SUB. NOTES $ 1,000 8.50%, 12/1/10(3) $ 1,012,500 JEAN COUTU GROUP, INC., SR. SUB. NOTES 735 8.50%, 8/1/14(3) 753,375 -------------------------------------------------------------------------------------------------- $ 1,765,875 -------------------------------------------------------------------------------------------------- FOREST PRODUCTS -- 0.3% BOISE CASCADE, LLC, SR. NOTES, VARIABLE RATE $ 145 5.005%, 10/15/12(3) $ 148,987 BOISE CASCADE, LLC, SR. SUB. NOTES 185 7.125%, 10/15/14(3) 194,029 CARAUSTAR INDUSTRIES, INC., SR. SUB. NOTES 460 9.875%, 4/1/11 501,400 GEORGIA-PACIFIC CORP. 65 9.50%, 12/1/11 81,250 NEWARK GROUP, INC., SR. SUB. NOTES 870 9.75%, 3/15/14(3) 909,150 -------------------------------------------------------------------------------------------------- $ 1,834,816 -------------------------------------------------------------------------------------------------- HEALTH CARE -- 0.8% HEALTHSOUTH CORP. $ 75 7.625%, 6/1/12 $ 73,125 HEALTHSOUTH CORP., SR. NOTES 75 8.375%, 10/1/11 75,187 INVERNESS MEDICAL INNOVATIONS, INC., SR. SUB. NOTES 1,545 8.75%, 2/15/12(3) 1,599,075 MEDICAL DEVICE MANUFACTURING, INC., SR. SUB. NOTES 235 10.00%, 7/15/12(3) 252,625 NATIONAL MENTOR, INC., SR. SUB. NOTES 120 9.625%, 12/1/12(3) 123,600 OMEGA HEALTHCARE INVESTORS, INC., SR. NOTES 110 7.00%, 4/1/14(3) 113,300 TENET HEALTHCARE CORP. 500 7.375%, 2/1/13 475,000 TENET HEALTHCARE CORP., SR. NOTES 525 9.875%, 7/1/14(3) 552,562 US ONCOLOGY, INC., SR. NOTES 220 9.00%, 8/15/12(3) 238,700 US ONCOLOGY, INC., SR. SUB. NOTES 425 10.75%, 8/15/14(3) 465,375 VANGUARD HEALTH HOLDINGS II, SR. SUB. NOTES 475 9.00%, 10/1/14(3) 498,750 VWR INTERNATIONAL, INC., SR. SUB. NOTES 305 8.00%, 4/15/14(3) 328,637 -------------------------------------------------------------------------------------------------- $ 4,795,936 -------------------------------------------------------------------------------------------------- HOUSING -- 0.1% INTERFACE, INC. $ 500 10.375%, 2/1/10 $ 577,500 -------------------------------------------------------------------------------------------------- $ 577,500 -------------------------------------------------------------------------------------------------- INDUSTRIAL EQUIPMENT -- 0.1% MILACRON ESCROW CORP. $ 445 11.50%, 5/15/11(3) $ 465,025 -------------------------------------------------------------------------------------------------- $ 465,025 -------------------------------------------------------------------------------------------------- LEISURE GOODS / ACTIVITIES / MOVIES -- 0.3% LCE ACQUISITION CORP., SR. SUB. NOTES $ 320 9.00%, 8/1/14(3) $ 336,800 MARQUEE HOLDINGS, INC., SR. DISC. NOTES 590 12.00%, 8/15/14(3) 365,800 MARQUEE, INC., SR. NOTES 325 8.625%, 8/15/12(3) 356,687 SIX FLAGS, INC., SR. NOTES 1,000 8.875%, 2/1/10 962,500 190 9.625%, 6/1/14 182,400 UNIVERSAL CITY DEVELOPMENT PARTNERS, SR. NOTES 40 11.75%, 4/1/10 46,800 -------------------------------------------------------------------------------------------------- $ 2,250,987 -------------------------------------------------------------------------------------------------- LODGING AND CASINOS -- 0.7% FELCOR LODGING L.P., SR. NOTES, VARIABLE RATE $ 140 5.84%, 6/1/11(3) $ 145,250 INN OF THE MOUNTAIN GODS, SR. NOTES 1,000 12.00%, 11/15/10 1,165,000 MAJESTIC STAR CASINO LLC 465 9.50%, 10/15/10 482,437 MGM GRAND, INC. 110 6.875%, 2/6/08 120,312 OED CORP./DIAMOND JO LLC 355 8.75%, 4/15/12(3) 335,475 PREMIER ENTERTAINMENT BILOXI, LLC/PREMIER FINANCE BILOXI CORP. 30 10.75%, 2/1/12(3) 32,100 SENECA GAMING CORP., SR. NOTES 230 7.25%, 5/1/12(3) 243,800 TRUMP ATLANTIC CITY ASSOCIATES, INC. 535 11.25%, 5/1/06 472,137 TRUMP HOLDINGS AND FUNDING, SR. NOTES 540 11.625%, 3/15/10 577,800 WYNN LAS VEGAS LLC/CORP. 670 12.00%, 11/1/10 840,850 -------------------------------------------------------------------------------------------------- $ 4,415,161 --------------------------------------------------------------------------------------------------
See notes to financial statements 15
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE -------------------------------------------------------------------------------------------------- MANUFACTURING -- 0.3% THERMADYNE HOLDINGS CORP., SR. SUB. NOTES $ 2,180 9.25%, 2/1/14 $ 2,081,900 -------------------------------------------------------------------------------------------------- $ 2,081,900 -------------------------------------------------------------------------------------------------- MEDIA -- 0.0% VERTIS, INC., SUB. NOTES $ 40 13.50%, 12/7/09(3) $ 41,800 -------------------------------------------------------------------------------------------------- $ 41,800 -------------------------------------------------------------------------------------------------- NONFERROUS METALS / MINERALS -- 0.1% ALPHA NATURAL RESOURCES, SR. NOTES $ 135 10.00%, 6/1/12(3) $ 150,525 ISPAT INLAND ULC, SR. NOTES 305 9.75%, 4/1/14(3) 372,100 -------------------------------------------------------------------------------------------------- $ 522,625 -------------------------------------------------------------------------------------------------- OIL AND GAS -- 0.8% BELDEN & BLAKE CORP., SR. NOTES $ 65 8.75%, 7/15/12(3) $ 70,525 COASTAL CORP. 225 9.625%, 5/15/12 245,812 COMSTOCK RESOURCE, INC. 1,000 6.875%, 3/1/12 1,040,000 CONTINENTAL RESOURCES 1,000 10.25%, 8/1/08 1,040,500 DENBURY RESOURCES, INC. 20 7.50%, 4/1/13 21,800 DYNEGY HOLDINGS, INC., SR. NOTES 460 10.125%, 7/15/13(3) 538,200 EL PASO CORP., SR. NOTES 65 7.00%, 5/15/11 65,650 EL PASO PRODUCTION HOLDING CO. 215 7.75%, 6/1/13 225,213 GIANT INDUSTRIES 225 8.00%, 5/15/14 235,688 HANOVER COMPRESSOR CO., SR. NOTES 85 8.625%, 12/15/10 93,925 HANOVER COMPRESSOR CO., SUB. NOTES 550 0.00%, 3/31/07 470,250 MARKWEST ENERGY PARTNERS, L.P./MARKWEST ENERGY FINANCE CORP., SR. NOTES 105 6.875%, 11/1/14(3) 107,625 NGC CORP. $ 80 7.125%, 5/15/18 $71,200 145 7.625%, 10/15/26 127,238 PARKER DRILLING CO., SR. NOTES 100 9.625%, 10/1/13 111,750 PETROBRAS INTERNATIONAL FINANCE CO. 260 7.75%, 9/15/14 261,625 TRANSMONTAIGNE, INC., SR. SUB. NOTES 80 9.125%, 6/1/10 89,400 UNITED REFINING CO., SR. NOTES 225 10.50%, 8/15/12(3) 228,938 -------------------------------------------------------------------------------------------------- $ 5,045,339 -------------------------------------------------------------------------------------------------- PUBLISHING -- 0.6% ADVANSTAR COMMUNICATIONS, INC. $ 1,000 10.75%, 8/15/10 $ 1,120,000 ADVERTISING DIRECT SOLUTIONS, SR. NOTES 80 9.25%, 11/15/12(3) 83,900 AMERICAN MEDIA, INC., SERIES B 315 10.25%, 5/1/09 333,113 CBD MEDIA, INC., SR. SUB. NOTES 125 8.625%, 6/1/11 131,563 DEX MEDIA WEST LLC, SR. SUB. NOTES 107 9.875%, 8/15/13 127,063 HOLLINGER PARTICIPATION TRUST, SR. NOTES, (PIK) 164 12.125%, 11/15/10(3) 201,319 HOUGHTON MIFFLIN CO., SR. SUB. NOTES 1,035 9.875%, 2/1/13 1,128,150 LIBERTY GROUP OPERATING 500 9.375%, 2/1/08 506,250 PRIMEDIA, INC., SR. NOTES 315 8.875%, 5/15/11 329,963 -------------------------------------------------------------------------------------------------- $ 3,961,321 -------------------------------------------------------------------------------------------------- RADIO AND TELEVISION -- 0.2% CANWEST MEDIA, INC., SR. SUB. NOTES $ 500 10.625%, 5/15/11 $ 567,500 RAINBOW NATIONAL SERVICES, LLC, SR. NOTES 180 8.75%, 9/1/12(3) 193,500 RAINBOW NATIONAL SERVICES, LLC, SR. SUB. DEBS. 685 10.375%, 9/1/14(3) 750,075 -------------------------------------------------------------------------------------------------- $ 1,511,075 --------------------------------------------------------------------------------------------------
See notes to financial statements 16
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE -------------------------------------------------------------------------------------------------- RETAILERS (EXCEPT FOOD AND DRUG) -- 0.6% AFFINITY GROUP, INC., SR. SUB. NOTES $ 1,000 9.00%, 2/15/12 $ 1,075,000 COINMACH CORP., SR. NOTES 65 9.00%, 2/1/10 67,600 HOME INTERIORS & GIFTS, INC., SR. SUB. NOTES 155 10.025%, 6/1/08 134,075 J CREW OPERATING CORP., SR. SUB. NOTES 165 10.375%, 10/15/07 170,363 PCA LLC/PCA FINANCE CORP., SR. NOTES 895 11.875%, 8/1/09 854,725 PETRO STOPPING CENTERS LP/PETRO FINANCIAL CORP., SR. NOTES 1,145 9.00%, 2/15/12 1,230,875 -------------------------------------------------------------------------------------------------- $ 3,532,638 -------------------------------------------------------------------------------------------------- SEMICONDUCTORS -- 0.3% ADVANCED MICRO DEVICES, INC., SR. NOTES $ 750 7.75%, 11/1/12(3) $ 755,625 AMKOR TECHNOLOGIES, INC. 100 5.75%, 6/1/06 95,500 AMKOR TECHNOLOGIES, INC., SR. NOTES 220 7.125%, 3/15/11 190,850 725 7.75%, 5/15/13 628,938 -------------------------------------------------------------------------------------------------- $ 1,670,913 -------------------------------------------------------------------------------------------------- SURFACE TRANSPORT -- 0.1% HORIZON LINES, LLC $ 230 9.00%, 11/1/12(3) $ 249,838 OMI CORP., SR. NOTES 100 7.625%, 12/1/13 106,125 QUALITY DISTRIBUTION LLC/QD CAPITAL CORP. 115 9.00%, 11/15/10(3) 107,669 -------------------------------------------------------------------------------------------------- $ 463,632 -------------------------------------------------------------------------------------------------- TECHNOLOGY -- 0.3% NEW ASAT (FINANCE) LTD., SR. NOTES $ 1,545 9.25%, 2/1/11(3) $ 1,359,600 NORTEL NETWORKS LTD. 65 6.125%, 2/15/06 66,788 165 4.25%, 9/1/08 159,431 STRATUS TECHNOLOGIES, INC., SR. NOTES 605 10.375%, 12/1/08 517,275 -------------------------------------------------------------------------------------------------- $ 2,103,094 -------------------------------------------------------------------------------------------------- TELECOMMUNICATIONS -- 1.2% AIRGATE PCS, INC., SR. NOTES, VARIABLE RATE $ 105 5.85%, 10/15/11(3) $ 108,150 ALAMOSA DELAWARE, INC., SR. DISC. NOTES 130 12.00%, 7/31/09 139,100 ALAMOSA DELAWARE, INC., SR. NOTES 220 11.00%, 7/31/10 258,500 120 8.50%, 1/31/12 127,800 CENTENNIAL CELLULAR OPERATING CO., LLC, SR. SUB. NOTES 65 10.75%, 12/15/08 67,925 CENTENNIAL CELLULAR OPERATING CO./CENTENNIAL COMMUNICATIONS CORP., SR. NOTES 335 10.125%, 6/15/13 365,150 DOBSON CELLULAR SYSTEMS, INC., VARIABLE RATE 100 6.95%, 11/1/11(3) 103,250 INMARSAT FINANCE PLC 520 7.625%, 6/30/12(3) 527,800 LCI INTERNATIONAL, INC., SR. NOTES 795 7.25%, 6/15/07 733,388 NEW SKIES SATELLITES NV, SR. NOTES, VARIABLE RATE 195 7.438%, 11/1/11(3) 198,413 NEW SKIES SATELLITES NV, SR. SUB. NOTES 260 9.125%, 11/1/12(3) 267,150 PANAMSAT CORP., SR. NOTES 420 9.00%, 8/15/14(3) 447,300 QWEST CAPITAL FUNDING, INC. 55 7.75%, 8/15/06 56,788 70 7.90%, 8/15/10 68,075 QWEST SERVICES CORP. 525 14.00%, 12/15/10(3) 626,063 RURAL CELLULAR CORP., VARIABLE RATE 2,000 5.61%, 3/15/10(3) 2,070,000 SBA TELECOMMUNICATIONS, SR. DISC. NOTES 185 9.75%, 12/15/11 156,788 UBIQUITEL OPERATING CO., SR. NOTES 245 9.875%, 3/1/11 266,438 US UNWIRED, INC., SERIES B 455 10.00%, 6/15/12 494,813 WESTERN WIRELESS CORP., SR. NOTES 260 9.25%, 7/15/13 278,200 -------------------------------------------------------------------------------------------------- $ 7,361,091 --------------------------------------------------------------------------------------------------
See notes to financial statements 17
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE -------------------------------------------------------------------------------------------------- UTILITIES -- 2.7% CALPINE CORP., SR. NOTES $ 55 8.25%, 8/15/05 $ 54,038 310 7.625%, 4/15/06 289,850 500 8.75%, 7/15/07 360,000 395 8.50%, 7/15/10(3) 292,300 DOW JONES CDX HY 14,000 8.00%, 12/29/09(3) 14,332,500 MISSION ENERGY HOLDING CO. 215 13.50%, 7/15/08 273,588 NORTHWESTERN CORP., SR. NOTES 40 5.875%, 11/1/14(3) 41,450 NRG ENERGY, INC., SR. NOTES 1,165 8.00%, 12/15/13(3) 1,288,781 -------------------------------------------------------------------------------------------------- $ 16,932,507 -------------------------------------------------------------------------------------------------- TOTAL CORPORATE BONDS & NOTES (IDENTIFIED COST $106,723,002) $ 108,345,796 --------------------------------------------------------------------------------------------------
COMMERCIAL PAPER -- 4.4%
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE -------------------------------------------------------------------------------------------------- CORTEZ CAPITAL CORP. $ 4,268 1.78%, 11/1/04 $ 4,267,578 RANGER FUNDING CO., LLC 5,000 1.78%, 11/4/04 4,998,764 YORKTOWN CAPITAL, LLC 18,561 1.78%, 11/8/04 18,552,740 -------------------------------------------------------------------------------------------------- $ 27,819,082 -------------------------------------------------------------------------------------------------- TOTAL COMMERCIAL PAPER (IDENTIFIED COST $27,819,082) $ 27,819,082 --------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 2.2%
PRINCIPAL MATURITY AMOUNT DATE BORROWER RATE AMOUNT -------------------------------------------------------------------------------------- $ 13,914,000 11/01/04 Investors Bank and Trust Company Time Deposit 1.88% $ 13,914,000 -------------------------------------------------------------------------------------- TOTAL SHORT-TERM INVESTMENTS (AT AMORTIZED COST) $ 13,914,000 -------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 158.6% (IDENTIFIED COST $997,704,371) $ 1,004,454,049 -------------------------------------------------------------------------------------- OTHER ASSETS, LESS LIABILITIES -- 3.7% $ 23,456,213 -------------------------------------------------------------------------------------- AUCTION PREFERRED SHARES PLUS CUMULATIVE UNPAID DIVIDENDS -- (62.3)% $ (394,326,263) -------------------------------------------------------------------------------------- NET ASSETS APPLICABLE TO COMMON SHARES -- 100.0% $ 633,583,999 --------------------------------------------------------------------------------------
Note: The Trust has made commitments to fund specified amounts under certain existing credit arrangments. Pursuant to the terms of these arrangements, the Trust had unfunded loan commitments of $5,471,841 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) Non-income producing security. (3) 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 $58,510,994 or 9.2% of the Trust's net assets. (4) Security valued at fair value using methods determined in good faith by or at the direction of the Trustees. See notes to financial statements 18 EATON VANCE SENIOR FLOATING-RATE TRUST as of October 31, 2004 FINANCIAL STATEMENTS STATEMENT OF ASSETS AND LIABILITIES AS OF OCTOBER 31, 2004 ASSETS Investments, at value (identified cost, $997,704,371) $ 1,004,454,049 Cash 7,834,156 Receivable for investments sold 374,541 Receivable from the Transfer Agent 264,680 Receivable for open swap contracts 107,351 Dividends and interest receivable 5,890,441 Cash collateral segregated for credit default swaps 11,600,000 Prepaid expenses 79,811 -------------------------------------------------------------------------------- TOTAL ASSETS $ 1,030,605,029 -------------------------------------------------------------------------------- LIABILITIES Payable for investments purchased $ 2,464,682 Payable to affiliate for Trustees' fees 1,412 Accrued expenses 228,673 -------------------------------------------------------------------------------- TOTAL LIABILITIES $ 2,694,767 -------------------------------------------------------------------------------- AUCTION PREFERRED SHARES (15,760 SHARES OUTSTANDING) AT LIQUIDATION VALUE PLUS CUMULATIVE UNPAID DIVIDENDS 394,326,263 -------------------------------------------------------------------------------- NET ASSETS APPLICABLE TO COMMON SHARES $ 633,583,999 -------------------------------------------------------------------------------- SOURCES OF NET ASSETS Common Shares, $0.01 par value, unlimited number of shares authorized, 33,403,970 shares issued and outstanding $ 334,040 Additional paid-in capital 632,846,491 Accumulated net realized loss (computed on the basis of identified cost) (6,757,854) Undistributed net investment income 539,293 Net unrealized appreciation (computed on the basis of identified cost) 6,622,029 -------------------------------------------------------------------------------- NET ASSETS APPLICABLE TO COMMON SHARES $ 633,583,999 -------------------------------------------------------------------------------- NET ASSET VALUE PER COMMON SHARE ($633,583,999 DIVIDED BY 33,403,970 COMMON SHARES ISSUED AND OUTSTANDING) $ 18.97 --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS FOR THE PERIOD ENDED OCTOBER 31, 2004(1) INVESTMENT INCOME Interest $ 37,474,023 Dividends 711,282 -------------------------------------------------------------------------------- TOTAL INVESTMENT INCOME $ 38,185,305 -------------------------------------------------------------------------------- EXPENSES Investment adviser fee $ 6,599,223 Trustees' fees and expenses 9,885 Preferred shares remarketing agent fee 755,616 Custodian fee 212,510 Printing and postage 141,583 Legal and accounting services 126,062 Transfer and dividend disbursing agent fees 55,189 Organization expenses 7,500 Miscellaneous 96,827 -------------------------------------------------------------------------------- TOTAL EXPENSES $ 8,004,395 -------------------------------------------------------------------------------- Deduct -- Reduction of custodian fee $ 2,241 Reduction of Investment Adviser fee 1,754,115 Expense reimbursement 7,500 -------------------------------------------------------------------------------- TOTAL EXPENSE REDUCTIONS $ 1,763,856 -------------------------------------------------------------------------------- NET EXPENSES $ 6,240,539 -------------------------------------------------------------------------------- NET INVESTMENT INCOME $ 31,944,766 -------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss)-- Investment transactions (identified cost basis) $ (4,090,790) Swap contracts 286,378 -------------------------------------------------------------------------------- NET REALIZED LOSS $ (3,804,412) -------------------------------------------------------------------------------- Change in unrealized appreciation (depreciation)-- Investments (identified cost basis) $ 6,749,678 Swap contracts (127,649) -------------------------------------------------------------------------------- NET CHANGE IN UNREALIZED APPRECIATION $ 6,622,029 -------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN $ 2,817,617 -------------------------------------------------------------------------------- DISTRIBUTIONS TO PREFERRED SHAREHOLDERS FROM INCOME $ (4,366,536) -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 30,395,847 --------------------------------------------------------------------------------
(1) For the period from the start of business, November 28, 2003, to October 31, 2004. See notes to financial statements 19 STATEMENT OF CHANGES IN NET ASSETS
PERIOD ENDED OCTOBER 31, 2004(1) -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS From operations -- Net investment income $ 31,944,766 Net realized loss from investment transactions and swap contracts (3,804,412) Net change in unrealized appreciation (depreciation) from investments and swap contracts 6,622,029 Distributions to preferred shareholders from net investment income (4,366,536) -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 30,395,847 -------------------------------------------------------------------------------- Distributions to common shareholders -- From net investment income $ (29,992,379) -------------------------------------------------------------------------------- TOTAL DISTRIBUTIONS TO COMMON SHAREHOLDERS $ (29,992,379) -------------------------------------------------------------------------------- Capital share transactions -- Proceeds from sale of common shares(2) $ 635,075,000 Reinvestment of distributions to common shareholders 2,824,407 Offering costs and preferred shares underwriting discounts (4,818,876) -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS $ 633,080,531 -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS $ 633,483,999 -------------------------------------------------------------------------------- NET ASSETS APPLICABLE TO COMMON SHARES At beginning of period $ 100,000 -------------------------------------------------------------------------------- AT END OF PERIOD $ 633,583,999 -------------------------------------------------------------------------------- UNDISTRIBUTED NET INVESTMENT INCOME INCLUDED IN NET ASSETS APPLICABLE TO COMMON SHARES AT END OF PERIOD $ 539,293 --------------------------------------------------------------------------------
(1) For the period from the start of business, November 28, 2003, to October 31, 2004. (2) Proceeds from sales of shares net of sales load paid of $29,925,000. See notes to financial statements 20 FINANCIAL HIGHLIGHTS SELECTED DATA FOR A COMMON SHARE OUTSTANDING DURING THE PERIODS STATED
PERIOD ENDED OCTOBER 31, 2004(1)(2) ------------------------------------------------------------------------------------------------- Net asset value -- Beginning of period (Common shares)(3) $ 19.100 ------------------------------------------------------------------------------------------------- INCOME (LOSS) FROM OPERATIONS Net investment income $ 0.968 Net realized and unrealized gain 0.080 Distribution to preferred shareholders from net investment income (0.132) ------------------------------------------------------------------------------------------------- TOTAL INCOME FROM OPERATIONS $ 0.916 ------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income $ (0.900) ------------------------------------------------------------------------------------------------- TOTAL DISTRIBUTIONS TO COMMON SHAREHOLDERS $ (0.900) ------------------------------------------------------------------------------------------------- PREFERRED AND COMMON SHARES OFFERING COSTS CHARGED TO PAID-IN CAPITAL $ (0.027) ------------------------------------------------------------------------------------------------- PREFERRED SHARES UNDERWRITING DISCOUNTS $ (0.119) ------------------------------------------------------------------------------------------------- NET ASSET VALUE -- END OF PERIOD (COMMON SHARES) $ 18.970 ------------------------------------------------------------------------------------------------- MARKET VALUE -- END OF PERIOD (COMMON SHARES) $ 19.940 ------------------------------------------------------------------------------------------------- TOTAL INVESTMENT RETURN ON NET ASSET VALUE(4) 4.13% ------------------------------------------------------------------------------------------------- TOTAL INVESTMENT RETURN ON MARKET VALUE(4) 9.45% -------------------------------------------------------------------------------------------------
See notes to financial statements 21
PERIOD ENDED OCTOBER 31, 2004(1)(2) ------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA+ ++ Net assets applicable to common shares, end of period (000's omitted) $ 633,584 Ratios (As a percentage of average net assets applicable to common shares): Net expenses(5) 1.08%(6) Net expenses after custodian fee reduction 1.08%(6) Net investment income(5) 5.51%(6) Portfolio Turnover 95% + The operating expenses of the Trust reflect a reduction of the investment advisor fee and a reimbursement of expenses by the Advisor. Had such actions 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(5) 1.38%(6) Expenses after custodian fee reduction 1.38%(6) Net investment income(5) 5.21%(6) Net investment income per share $ 0.914 ++ 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 0.71%(6) Net expenses after custodian fee reduction 0.71%(6) Net investment income 3.63%(6) + The operating expenses of the Trust reflect a reduction of the investment advisor fee and a reimbursement of expenses by the Advisor. Had such actions not been taken, the ratios would have been as follows: Ratios (As a percentage of average total net assets): Expenses 0.91%(6) Expenses after custodian fee reduction 0.91%(6) Net investment income 3.43%(6) Senior Securities: Total preferred shares outstanding 15,760 Asset coverage per preferred share(7) $ 65,223 Involuntary liquidation preference per preferred share(8) $ 25,000 Approximate market value per preferred share(8) $ 25,000
(1) Computed using average common shares outstanding. (2) For the period from the start of business, November 28, 2003, to October 31, 2004. (3) Net asset value at beginning of period reflects the deduction of the sales load of $0.90 per share paid by the shareholder from the $20.00 offering price. (4) Total investment return on net asset value is calculated assuming a purchase at the offering price of $20.00 less the sales load of $0.90 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 $20.00 less the sales load of $0.90 per share paid by the shareholder 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. (5) 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. (6) Annualized. (7) 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. (8) Plus accumulated and unpaid dividends. See notes to financial statements 22 EATON VANCE SENIOR FLOATING-RATE TRUST as of October 31, 2004 NOTES TO FINANCIAL STATEMENTS 1 SIGNIFICANT ACCOUNTING POLICIES Eaton Vance Senior Floating-Rate Trust (the Trust) is registered under the Investment Company Act of 1940, as amended, as a diversified closed-end management investment company. The Trust, which was organized as a Massachusetts business trust on August 5, 2003, seeks to provide a high level of current income. The Trust may, as a secondary objective, also seek preservation of capital to the extent consistent with its primary goal of high current income. The Trust pursues its objectives by investing primarily in senior, secured floating rate loans (Senior Loans). The following is a summary of significant accounting policies of the Trust. The policies are in conformity with accounting principles generally accepted in the United States of America. A INVESTMENT VALUATION -- Certain senior loans are deemed to be liquid if 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 Trust's investment advisor, 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 Trust'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, 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 sale price on the exchange that is the primary market for such securities, or the average of the last quoted bid price and asked 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. Marketable securities listed in the NASDAQ National Market System are valued at the NASDAQ official closing price. The value of 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 Trust 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 Trust 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 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. C FEDERAL TAXES -- The Trust'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 October 31, 2004, the Trust, for federal income tax purposes, had a capital loss carryover of $5,860,075 which will reduce the Trust'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 23 which would otherwise be necessary to relieve the Trust of any liability for federal income or excise tax. Such capital loss carryover will expire on October 31, 2012. 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 Trust 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 Trust in connection with the offering of the common shares and preferred 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 Trust. Pursuant to the custodian agreement, IBT receives a fee reduced by credits which are determined based on the average daily cash balance the Trust maintains with IBT. All credit balances used to reduce the Trust'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 Trust 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 Trust'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 Trust. The Trust, 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 Trust 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 Trust's policies on investment valuations discussed above. If an option which the Trust has purchased expires on the stipulated expiration date, the Trust will realize a loss in the amount of the cost of the option. If the Trust enters into a closing sale transaction, the Trust 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 the Trust 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 Trust exercises a call option, the cost of the security which the Trust purchases upon exercise will be increased by the premium originally paid. I FINANCIAL FUTURES CONTRACTS -- Upon entering into a financial futures contract, the Trust 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 Trust (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 Trust. If the Trust enters into a closing transaction, the Trust 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 Trust's investment in financial futures contracts is designed only to hedge against anticipated future changes in interest rates. Should interest rates move unexpectedly, the Trust may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. J REVERSE REPURCHASE AGREEMENTS -- The Trust may enter into reverse repurchase agreements. Under such an agreement, the Trust temporarily transfers possession, but not ownership, of a security to a counterparty, in return for cash. At the same time, the Trust agrees to repurchase the security at an agreed-upon price and time in the future. The Trust may enter into reverse repurchase agreements for temporary purposes, such as to Trust 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 Trust's assets or in its yield. Liabilities to counterparties under reverse repurchase agreements are recognized in the 24 Statement of Assets and Liabilities at the same time at which cash is received by the Trust. The securities underlying such agreements continue to be treated as owned by the Trust and remain in the Portfolio of Investments. Interest charged on amounts borrowed by the Trust under reverse repurchase agreements is accrued daily. K TOTAL RETURN SWAPS -- The Trust may enter into swap agreements to hedge against fluctuations in securities prices, interest rates or market conditions; to change the duration of the overall portfolio; to mitigate default risk; or for other risk management purposes. Pursuant to these agreements, the Trust makes monthly payments at a rate equal to a predetermined spread to the one-month LIBOR. In exchange, the Trust 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 Trust is exposed to credit loss in the event of non-performance by the swap counterparty. However, the Trust 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 CREDIT DEFAULT SWAPS -- The Trust may enter into credit default swap contracts for risk management purposes, including diversification. When the Trust is the buyer of a credit default swap contract, the Trust is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation from the counterparty to the contract in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the debt obligation. In return, the Trust would pay the counterparty a periodic stream of payments over the term of the contract provided that no event of default has occurred. If no default occurs, the Trust would have spent the stream of payments and received no benefit from the contract. When the Trust is the seller of a credit default swap contract, it receives the stream of payments, but is obligated to pay upon default of the referenced debt obligation. As the seller, the Trust would effectively add leverage to its portfolio because, in addition to its total net assets, the Trust would be subject to investment exposure on the notional amount of the swap. The Trust will segregate assets in the form of cash and cash equivalents in an amount equal to the aggregate market value of the credit default swaps of which it is the seller, marked to market on a daily basis. These transactions involve certain risks, including the risk that the seller may be unable to fulfill the transaction. 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 Trust'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 Trust, and shareholders are indemnified against personal liability for obligations of the Trust. Additionally, in the normal course of business, the Trust enters into agreements with service providers that may contain indemnification clauses. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred. O 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. 2 AUCTION PREFERRED SHARES The Trust issued 3,940 shares of Auction Preferred Shares (APS) Series A, 3,940 shares of Auction Preferred Shares (APS) Series B, 3,940 shares of Auction Preferred Shares (APS) Series C, and 3,940 shares of Auction Preferred Shares (APS) Series D on January 26, 2004 in a public offering. The underwriting discount and other offering costs were recorded as a reduction of the capital of the common shares. 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 28 days thereafter by an auction. Dividend rates ranged from 1.10% to 1.98% for Series A shares, 1.109% to 1.85% for Series B shares, 1.08% to 1.90% for Series C shares and 1.09% to 1.95% for Series D shares. The APS are redeemable at the option of the Trust, 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 Trust 25 is in default for an extended period on its asset 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 Trust is required to maintain certain asset coverage with respect to the APS as defined in the Trust's By-Laws and the Investment Company Act of 1940. The Trust 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 Trust intends to make monthly distributions of net investment income, after payment of any dividends on any outstanding Auction Preferred Shares. In addition, at least annually, the Trust intends to distribute net capital gain, if any. 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 twenty-eight days. The applicable dividend rate for the Auction Preferred Shares on October 31, 2004 was 1.98%, 1.85%, 1.87%, and 1.93%, for Series A, Series B, Series C, and Series D Shares, respectively. For the period ended October 31, 2004, the Trust paid dividends to Auction Preferred shareholders amounting to $1,091,236, $1,090,483, $1,091,666 and $1,093,151 for Series A, Series B, Series C, and Series D Shares, respectively, representing an average APS dividend rate for such period of 1.462%, 1.428%, 1.452%, and 1.475%, respectively. The Trust distinguishes between distributions on a tax basis and a financial reporting basis. Accounting principals 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 method for amortizing premiums. The tax character of distributions paid for the period from the start of business, November 28, 2003, to October 31, 2004 was as follows:
PERIOD ENDED OCTOBER 31, 2004 ----------------------------------------------------------------------------- Distributions declared from: Ordinary income $ 34,358,915
During the period from the start of business, November 28, 2003, to October 31, 2004, undistributed net investment income was decreased by $2,953,442, and accumulated net realized loss was increased by $2,953,442 primarily due to differences between book and tax accounting. This change had no effect on the net assets or the net asset value per share. As of October 31, 2004, the components of distributable earnings (accumulated losses) on a tax basis were as follows: Undistributed income $ 539,293 Capital loss carryforwards $ (5,860,075) Unrealized gain $ 5,724,250
4 INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES The investment adviser fee, computed at an annual rate of 0.75% of the average daily gross assets of the Trust, was earned by Eaton Vance Management (EVM), as compensation for management and investment advisory services rendered to the Trust. For the period from the start of business, November 28, 2003 to October 31, 2004, the fee was equivalent to 0.75% (annualized) of the Trust's average daily gross assets for such period and amounted to $6,599,223. In addition, the Adviser has contractually agreed to reimburse the Trust for fees and other expenses in the amount of 0.20% of the average daily gross assets of the Trust for the first five full years of the Trust's operations, 0.15% of average weekly gross assets in year 6, 0.10% in year 7 and 0.05% in year 8. For the period from the start of business, November 28, 2003 to October 31, 2004 the Investment Adviser waived $1,754,115 of its advisory fee. Certain officers and Trustees of the Trust are officers of the above organization. 26 5 PURCHASES AND SALES OF INVESTMENTS Purchases and sales of investments, other than short-term obligations and including paydowns, aggregated $1,755,435,162 and $793,206,854 respectively, for the period from the start of business, November 28, 2003 to October 31, 2004. 6 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:
PERIOD ENDED OCTOBER 31, 2004(1) ----------------------------------------------------------------------------- Sales 33,255,000 Issued to shareholders electing to receive payments of distributions in Fund shares 148,970 ----------------------------------------------------------------------------- NET INCREASE 33,403,970 -----------------------------------------------------------------------------
(1) For the period from the start of business, November 28, 2003, to October 31, 2004. 7 FEDERAL INCOME TAX BASIS OF UNREALIZED APPRECIATION (DEPRECIATION) The cost and unrealized appreciation (depreciation) in value of investments owned by the Trust at October 31, 2004, as computed on a federal income tax basis, were as follows: AGGREGATE COST $ 998,602,150 ----------------------------------------------------------------------------- Gross unrealized appreciation $ 9,828,612 Gross unrealized depreciation (3,976,713) ----------------------------------------------------------------------------- NET UNREALIZED APPRECIATION $ 5,851,899 -----------------------------------------------------------------------------
8 FINANCIAL INSTRUMENTS The Trust may trade 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 Trust 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, the Trust had entered into Credit Default Swaps with Credit Suisse First Boston dated January 9, 2004 and January 27, 2004 whereby the Trust will receive 2.45% per year times the notional amounts of $5,800,000 and $5,800,000, respectively. The Trust makes payment only upon a default event on underlying loan assets (50 in total, each representing 2% of the notional value of the swap). At October 31, 2004, The Trust had sufficient cash segregated to cover potential obligations arising from open swap contracts. 9 ANNUAL MEETING OF SHAREHOLDERS (UNAUDITED) The Trust held its Annual Meeting of Shareholders on August 19, 2004. The following action was taken by the shareholders: ITEM 1: The election of Lynn A. Stout and Samuel L. Hayes, III as Trustees of the Trust for a three-year term expiring in 2007. Mr. Hayes was designated the Nominee to be elected solely by APS shareholders:
NUMBER OF SHARES NOMINEE FOR TRUSTEE ----------------------- ELECTED BY ALL SHAREHOLDERS FOR WITHHELD ------------------------------------------------------------------------------- Lynn A. Stout 26,413,858 166,483 NUMBER OF SHARES NOMINEE FOR TRUSTEE ----------------------- ELECTED BY APS SHAREHOLDERS FOR WITHHELD ------------------------------------------------------------------------------- Samuel L. Hayes, III 10,202 18
27 EATON VANCE SENIOR FLOATING-RATE TRUST as of October 31, 2004 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM TO THE TRUSTEES AND SHAREHOLDERS OF EATON VANCE SENIOR FLOATING-RATE TRUST: We have audited the accompanying statement of assets and liabilities of Eaton Vance Senior Floating-Rate Trust (the Trust), including the portfolio of investments as of October 31, 2004, and the related statement of operations, the statement of changes in net assets, and the financial highlights for the period from the start of business, November 28, 2003, to October 31, 2004. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. We conducted our audit in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities held as of October 31, 2004 by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Eaton Vance Senior Floating-Rate Trust at October 31, 2004, the results of its operations, the changes in its net assets, and the financial highlights for the period from the start of business, November 28, 2003, to October 31, 2004, in conformity with accounting principles generally accepted in the United States of America. DELOITTE & TOUCHE LLP Boston, Massachusetts December 22, 2004 28 EATON VANCE SENIOR FLOATING-RATE TRUST as of October 31, 2004 FEDERAL TAX INFORMATION (Unaudited) The Form 1099-DIV you receive in January 2005 will show the tax status of all distributions paid to your account in calendar 2004. Shareholders are advised to consult their own tax adviser with respect to the tax consequences of their investment in the Fund. 29 EATON VANCE SENIOR FLOATING-RATE TRUST DIVIDEND REINVESTMENT PLAN The Trust 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 Trust. You may elect to participate in the Plan by 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 Trust'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 Trust. 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. 30 EATON VANCE SENIOR FLOATING-RATE TRUST 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 Senior Floating-Rate Trust c/o PFPC, Inc. P.O. Box 43027 Providence, RI 02940-3027 800-331-1710 NUMBER OF EMPLOYEES The Trust 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 16 registered shareholders and approximately 24,177 shareholders owning the Trust 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 Trust, please write or call: Eaton Vance Distributors, Inc. The Eaton Vance Building 255 State Street Boston, MA 02109 1-800-225-6265 NEW YORK STOCK EXCHANGE SYMBOL The New York Stock Exchange symbol is EFR. 31 EATON VANCE SENIOR FLOATING-RATE TRUST MANAGEMENT AND ORGANIZATION Trust Management. The Trustees of Eaton Vance Senior Floating-Rate Trust (the Trust) are responsible for the overall management and supervision of the Trust's affairs. The Trustees and officers of the Trust are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Trustees and officers of the Trust hold indefinite terms of office. The "noninterested Trustees" consist of those Trustees who are not "interested persons" of the Trust, as that term is defined under the 1940 Act. The business address of each Trustee and officer is The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109. As used below, "EVC" refers to Eaton Vance Corp., "EV" refers to Eaton Vance, Inc., "EVM" refers to Eaton Vance Management, "BMR" refers to Boston Management and Research, and "EVD" refers to Eaton Vance Distributors, Inc. EVC and EV are the corporate parent and trustee, respectively, of EVM and BMR. EVD is the Trust's principal underwriter and a wholly-owned subsidiary of EVM.
TERM OF NUMBER OF PORTFOLIOS POSITION(S) OFFICE AND IN FUND COMPLEX NAME AND WITH THE LENGTH OF PRINCIPAL OCCUPATION(S) OVERSEEN BY DATE OF BIRTH TRUST SERVICE DURING PAST FIVE YEARS TRUSTEE(1) OTHER DIRECTORSHIPS HELD ----------------------------------------------------------------------------------------------------------------------------------- INTERESTED TRUSTEE James B. Hawkes Trustee and Since 2003 Chairman, President and 192 Director of EVC 11/9/41 Vice President Chief Executive Officer of BMR, EVC, EVM and EV; Director of EV; Vice President and Director of EVD. Trustee and/or officer of 192 registered investment companies in the Eaton Vance Fund Complex. Mr. Hawkes is an interested person because of his positions with BMR, EVM, EVC and EV, which are affiliates of the Trust. NONINTERESTED TRUSTEE(S) Samuel L. Hayes, III Trustee Since 2003 Jacob H. Schiff Professor of 192 Director of Tiffany & Co. 2/23/35 Investment Banking Emeritus, (specialty retailer) and Harvard University Graduate Telect, Inc. School of Business (telecommunication Administration. services company) William H. Park Trustee Since 2003 President and Chief 192 None 9/19/47 Executive Officer, Prizm Capital Management, LLC (investment management firm) (since 2002). Executive Vice President and Chief Financial Officer, United Asset Management Corporation ( a holding company owning institutional investment management firms) (1982-2001). Ronald A. Pearlman Trustee Since 2003 Professor of Law, Georgetown 192 None 7/10/40 University Law Center (since 1999). Tax Partner, Covington & Burling, Washington, DC (1991-2000). Norton H. Reamer Trustee Since 2003 President and Chief 192 None 9/21/35 Executive Officer of Asset Management Finance Corp. (a specialty finance company serving the investment management industry) (since October 2003). President, Unicorn Corporation (an investment and financial advisory services company) (since September 2000). Formerly, Chairman, Hellman, Jordan Management Co., Inc. (an investment management company) (2000-2003). Formerly, Advisory Director of Berkshire Capital Corporation (investment banking firm) (2002-2003). Formerly, Chairman of the Board, United Asset Management Corporation (a holding company owning institutional investment management firms) and Chairman, President and Director, UAM Funds (mutual funds) (1980-2000). Lynn A. Stout Trustee Since 2003 Professor of Law, University 192 None 9/14/57 of California at Los Angeles School of Law (since July 2001). Formerly, Professor of Law, Georgetown University Law Center.
32 PRINCIPAL OFFICERS WHO ARE NOT TRUSTEES
TERM OF POSITION(S) OFFICE AND NAME AND WITH THE LENGTH OF PRINCIPAL OCCUPATION(S) DATE OF BIRTH TRUST SERVICE DURING PAST FIVE YEARS ---------------------------------------------------------------------------------------------- Thomas E. Faust Jr. President Since 2003 Executive Vice President of EVM, BMR, 5/31/58 EVC and EV; Chief Investment Officer of EVM and BMR and Director of EVC. Chief Executive Officer of Belair Capital Fund LLC, Belcrest Capital Fund LLC, Belmar Capital Fund LLC, Belport Capital Fund LLC and Belrose Capital Fund LLC (private investment companies sponsored by EVM). Officer of 55 registered investment companies managed by EVM or BMR. Scott H. Page Vice President Since 2003 Vice President EVM and BMR. Officer of 11/30/59 13 registered investment companies managed by EVM or BMR. Craig Russ Vice President Since 2003 Vice President EVM and BMR. Officer of 1 10/30/63 registered investment companies managed by EVM or BMR. Payson F. Swaffield Vice President Since 2003 Vice President of EVM and BMR. Officer 8/13/56 of 13 registered investment companies managed by EVM or BMR. Michael Weilheimer Vice President Since 2003 Vice President of EVM and BMR. Officer 2/11/61 of 10 registered investment companies managed by EVM or BMR. Alan R. Dynner Secretary Since 2003 Vice President, Secretary and Chief 10/10/40 Legal Officer of BMR, EVM, EVD, EV and EVC. Officer of 192 registered investment companies managed by EVM or BMR. Barbara E. Campbell Treasurer Since 2003 Vice President of EVM and BMR. Officer 6/19/57 of 192 registered investment companies managed by EVM or BMR. Paul M. O'Neil Chief Compliance Since 2004 Vice President of EVM and BMR. Officer 7/11/53 Officer of 192 registered investment companies managed by EVM or BMR.
(1) Includes both master and feeder funds in a master-feeder structure. The SAI for the Trust includes additional information about the Trustees and officers of the Trust and can be obtained without charge by calling 1-800-225-6265. In accordance with Section 303A.12 (a) of the New York Stock Exchange Listed Company Manual, the Fund's Annual CEO Certification certifying as to compliance with NYSE's Corporate Governance Listing Standards was submitted to the Exchange on August 19, 2004. 33 INVESTMENT ADVISER OF EATON VANCE SENIOR FLOATING-RATE TRUST EATON VANCE MANAGEMENT THE EATON VANCE BUILDING 255 STATE STREET BOSTON, MA 02109 ADMINISTRATOR OF EATON VANCE SENIOR FLOATING-RATE TRUST 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 02940-3027 (800) 331-1710 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM DELOITTE & TOUCHE LLP 200 BERKELEY STREET BOSTON, MA 02116-5022 EATON VANCE SENIOR FLOATING-RATE TRUST THE EATON VANCE BUILDING 255 STATE STREET BOSTON, MA 02109 2025-12/04 CE-FLRTSRC 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 (a)-(d) The following table presents aggregate fees billed to the registrant for its first fiscal years ended October 31, 2004 by the registrant's principal accountant for professional services rendered for the audit of the registrant's annual financial statements and fees billed for other services rendered by the principal accountant during such period. The Trust commenced operations on November 28, 2003. The following table presents the aggregate fees billed to the Trust for the Trust's first fiscal year ended October 31, 2004 by the Fund's principal accountant for professional services rendered for the audit of the Trust's annual financial statements and fees billed for other services rendered by the principal accountant during such period.
FISCAL YEARS ENDED 10/31/04* ---------------------------------------------------------------- Audit Fees $ 64,891 Audit-Related Fees(1) $ 4,950
Tax Fees(2) $ 6,100 All Other Fees(3) $ 0 ---------------- Total $ 75,941 ================
(1) Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under the category of audit fees and specifically include fees for the performance of certain agreed-upon procedures relating to the registrant's auction preferred shares. (2) Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation. (3) All other fees consist of the aggregate fees billed for products and services provided by the registrant's principal accountant other than audit, audit-related, and tax services. * The Trust commenced operations on November 28, 2003. (e)(1) The registrant's audit committee has adopted policies and procedures relating to the pre-approval of services provided by the registrant's principal accountant (the "Pre-Approval Policies"). The Pre-Approval Policies establish a framework intended to assist the audit committee in the proper discharge of its pre-approval responsibilities. As a general matter, the Pre-Approval Policies (i) specify certain types of audit, audit-related, tax, and other services determined to be pre-approved by the audit committee; and (ii) delineate specific procedures governing the mechanics of the pre-approval process, including the approval and monitoring of audit and non-audit service fees. Unless a service is specifically pre-approved under the Pre-Approval Policies, it must be separately pre-approved by the audit committee. The Pre-Approval Policies and the types of audit and non-audit services pre-approved therein must be reviewed and ratified by the registrant's audit committee at least annually. The registrant's audit committee maintains full responsibility for the appointment, compensation, and oversight of the work of the registrant's principal accountant. (e)(2) No services described in paragraphs (b)-(d) above were approved by the registrant's audit committee pursuant to the "de minimis exception" set forth in Rule 2-01 (c)(7)(i)(C) of Regulation S-X. (f) Not applicable. (g) The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the registrant by the registrant's principal accountant for the registrant's first fiscal year; and (ii) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the Eaton Vance organization by the registrant's principal accountant for the same time period.
FISCAL YEARS ENDED 10/31/04* ---------------------------------------------------------------- Registrant $ 11,050 Eaton Vance (1) $ 340,730
(1) Eaton Vance Management, a subsidiary of Eaton Vance Corp., acts as the registrant's investment adviser and administrator. * The Trust commenced operations on November 28, 2003. (h) The registrant's audit committee has considered whether the provision by the registrant's principal accountant of non-audit services to the registrant's investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant's independence. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS Not required in this filing. ITEM 6. SCHEDULE OF INVESTMENTS Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES Not required in this filing. ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not required in this filing. ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Effective February 9, 2004, the Governance Committee of the Board of Trustees formalized the procedures by which a Fund's shareholders may recommend nominees to the registrant's Board of Trustees. The Governance Committee shall, when identifying candidates for the position of Independent Trustee, consider any such candidate recommended by a shareholder of a Fund if such recommendation contains sufficient background information concerning the candidate, and is received in a sufficiently timely manner (and in any event no later than the date specified for receipt of shareholder proposals in any applicable proxy statement with respect to a Fund). Shareholders shall be directed to address any such recommendations to the attention of the Governance Committee, c/o the Secretary of the Fund. ITEM 10. CONTROLS AND PROCEDURES (a) It is the conclusion of the registrant's principal executive officer and principal financial officer that the effectiveness of the registrant's current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission's rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant's principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure. (b) There have been no changes in the registrant's internal controls over financial reporting during the period that has materially affected, or is reasonably likely to materially affect the registrant's internal control over financial reporting. ITEM 11. EXHIBITS (a)(1) Registrant's Code of Ethics - Not applicable (please see Item 2). (a)(2)(i) Treasurer's Section 302 certification. (a)(2)(ii) President's Section 302 certification. (b) Combined Section 906 certification. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. EATON VANCE SENIOR FLOATING-RATE TRUST By: /s/ Thomas E. Faust Jr. ---------------------------------------- Thomas E. Faust Jr. President Date: December 22, 2004 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ Barbara E. Campbell ---------------------------------------- Barbara E. Campbell Treasurer Date: December 22, 2004 By: /s/ Thomas E. Faust Jr. --------------------------------------- Thomas E. Faust Jr. President Date: December 22, 2004