N-CSR/A 1 a2153232zn-csra.txt N-CSR/A 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: 811-21574 --------- Eaton Vance Floating Rate Income 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) May 31 ------ Date of Fiscal Year End November 30, 2004 ----------------- Date of Reporting Period ITEM 1. REPORTS TO STOCKHOLDERS [EV LOGO] [GRAPHIC IMAGE] SEMIANNUAL REPORT NOVEMBER 30, 2004 [GRAPHIC IMAGE] EATON VANCE FLOATING-RATE INCOME TRUST [GRAPHIC IMAGE] PRIVACY NOTICE The Eaton Vance organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy ("Privacy Policy") with respect to nonpublic personal information about its customers: - Only such information received from you, through application forms or otherwise, and information about your Eaton Vance fund transactions will be collected. This may include information such as name, address, social security, tax status, account balances and transactions. - None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer's account, Eaton Vance may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker/dealers. - Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. - We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Policy periodically for changes by accessing the link on our homepage: www.eatonvance.com. Our pledge of privacy applies to the following entities within the Eaton Vance organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton Vance Investment Counsel, Boston Management and Research, and Eaton Vance Distributors, Inc. In addition, our Privacy Policy only applies 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 FLOATING-RATE INCOME TRUST as of November 30, 2004 MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE THE TRUST We are pleased to welcome shareholders with this initial shareholder report. PERFORMANCE FOR THE PERIOD ENDED NOVEMBER 30, 2004 - Based on the Trust's November 2004 monthly dividend of $0.094 and a closing share price of $18.92, the Trust had a market yield of 5.96%.(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 0.95% for the period from inception on June 29, 2004 through November 30, 2004. That return was the result of a decrease in share price from $19.10 on June 29, 2004 to $18.92 on November 30, 2004 and the reinvestment of $0.361 in regular monthly dividends.(2) - Based on net asset value, the Trust had a total return of 1.80% for the period from inception on June 29, 2004 through November 30, 2004. That return was the result of a decrease in net asset value per share from $19.10 on June 29, 2004 to $19.08 on November 30, 2004, and the reinvestment of all distributions.(2) - For performance comparison, the S&P/LSTA Leveraged Loan Index had a return of 1.88% for the period from June 30, 2004 through November 30, 2004.(3) THE TRUST'S INVESTMENTS - The Trust is a closed-end fund and trades on the New York Stock Exchange. The Trust's investment objective is to provide a high level of current income. The Trust will, 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. The Trust also employs leverage in the form of Auction Preferred Shares.(4) - The Trust's senior floating-rate loan investments included 279 borrowers, ranging across 45 industries at November 30, 2004. The Trust's average loan size was just 0.30% of loan assets (based on net assets), and no industry constituted more than 11.0% of the Trust's loan investments. Telecommunications, health care, containers and glass products, chemicals and plastics and leisure goods and activities were the Trust's largest loan industry weightings.* - The Federal Reserve raised its Federal Funds rate - a short-term interest rate benchmark - five times from June 30 through 2004 year-end. With their interest rate reset provisions, floating-rate loans have historically generated higher income in response to rising short-term rates. - 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. - The Trust's high-yield corporate bond holdings constituted 13.6% of its net assets at November 30, 2004 (8.6% of total investments). This component provided a yield enhancement for the Trust and performed well during the past year. - At November 30, 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 auction 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. 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 TRUST'S CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE QUOTED RETURN. 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. TRUST INFORMATION as of November 30, 2004 PERFORMANCE(2) Average Annual Total Return (by share price, NYSE) Life of Fund (6/29/04) 0.95% Average Annual Total Return (at net asset value) Life of Fund (6/29/04) 1.80%
(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) RETURNS ARE HISTORICAL AND ARE CALCULATED BY DETERMINING THE PERCENTAGE CHANGE IN SHARE PRICE OR NET ASSET VALUE, AS APPLICABLE, WITH ALL DISTRIBUTIONS REINVESTED. PERFORMANCE RESULTS REFLECT THE EFFECT OF LEVERAGE RESULTING FROM THE TRUST'S ISSUANCE OF AUCTION PREFERRED SHARES. (3) 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. (4) 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. TRUST SHARES ARE NOT INSURED BY THE FDIC AND ARE NOT DEPOSITS OR OTHER OBLIGATIONS OF, OR GUARANTEED BY, ANY DEPOSITORY INSTITUTION. SHARES ARE SUBJECT TO INVESTMENT RISKS, INCLUDING POSSIBLE LOSS OF PRINCIPAL INVESTED. YIELD WILL VARY. 2 EATON VANCE FLOATING-RATE INCOME TRUST as of November 30, 2004 TRUST SECTOR ALLOCATIONS [CHART] SECTOR ALLOCATIONS(1) Corporate Bonds/Notes 8.6%(2) Closed-End Investment Companies 0.4%(3) Senior Floating-Rate Interests 91.0%(1)
(1) As a percentage of total investments as of November 30, 2004. Holdings subject to change due to active management. 3 EATON VANCE FLOATING-RATE INCOME TRUST as of November 30, 2004 PORTFOLIO OF INVESTMENTS (Unaudited) SENIOR, FLOATING RATE INTERESTS -- 143.0%(1)
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE ------------------------------------------------------------------------------------------- AEROSPACE AND DEFENSE -- 2.8% ALLIANT TECHSYSTEMS, INC. $ 2,417,288 Term Loan, 5.67%, Maturing March 31, 2011 $ 2,453,045 CACI INTERNATIONAL, INC. 4,243,108 Term Loan, 3.95%, Maturing May 3, 2011 4,294,823 DRS TECHNOLOGIES, INC. 3,640,444 Term Loan, 3.89%, Maturing November 4, 2010 3,677,988 K&F INDUSTRIES, INC. 827,000 Term Loan, 4.72%, Maturing November 18, 2012 839,922 STANDARD AERO HOLDINGS, INC. 3,726,545 Term Loan, 4.56%, Maturing August 24, 2012 3,782,443 TRANSDIGM, INC. 2,992,513 Term Loan, 5.44%, Maturing July 22, 2010 3,041,141 VOUGHT AIRCRAFT INDUSTRIES, INC. 718,315 Term Loan, 5.71%, Maturing July 24, 2007 727,294 1,185,717 Term Loan, 5.96%, Maturing July 24, 2008 1,200,538 ------------------------------------------------------------------------------------------- $ 20,017,194 ------------------------------------------------------------------------------------------- AIR TRANSPORT -- 0.7% UNITED AIRLINES, INC. $ 5,000,000 DIP Loan, 8.00%, Maturing June 30, 2005 $ 5,059,375 ------------------------------------------------------------------------------------------- $ 5,059,375 ------------------------------------------------------------------------------------------- AUTOMOTIVE -- 7.8% ACCURIDE CORP. $ 4,250,000 Term Loan, 4.73%, Maturing January 21, 2007 $ 4,354,924 990,000 Term Loan, 5.31%, Maturing June 13, 2007 1,014,750 COLLINS & AIKMAN PRODUCTS CO. 4,036,153 Revolving Loan, 6.34%, Maturing August 31, 2009 4,052,128 DAYCO PRODUCTS, LLC 1,546,125 Term Loan, 3.99%, Maturing June 23, 2011 1,571,250 EXIDE TECHNOLOGIES 1,000,000 Term Loan, 5.91%, Maturing May 5, 2010 996,250 1,000,000 Term Loan, 5.91%, Maturing May 5, 2010 996,250 FEDERAL-MOGUL CORP. 2,852,861 Revolving Loan, 4.15%, Maturing December 31, 2004 2,687,395 2,000,000 Term Loan, 5.66%, Maturing February 24, 2005 1,899,750 563,750 Term Loan, 5.66%, Maturing February 24, 2005 567,273 4,366,382 Revolving Loan, 6.50%, Maturing February 24, 2005 4,377,298 HLI OPERATING CO., INC. 1,840,949 Term Loan, 4.25%, Maturing June 3, 2009 1,860,509 KEY AUTOMOTIVE GROUP $ 3,604,261 Term Loan, 5.03%, Maturing June 29, 2010 $ 3,656,073 METALDYNE CORP. 6,271,519 Term Loan, 4.48%, Maturing December 31, 2009 6,264,464 PLASTECH ENGINEERED PRODUCTS, INC. 1,000,000 Term Loan, 6.88%, Maturing March 31, 2011 1,020,000 R.J. TOWER CORP. 3,000,000 Term Loan, 9.19%, Maturing January 29, 2010 3,041,250 THE GOODYEAR TIRE & RUBBER CO. 5,500,000 Term Loan, 2.88%, Maturing March 31, 2006 5,582,500 2,000,000 Term Loan, 2.88%, Maturing September 30, 2007 2,024,062 TI AUTOMOTIVE, LTD. 750,000 Term Loan, 5.23%, Maturing June 30, 2011 744,375 TRW AUTOMOTIVE, INC. 3,000,000 Term Loan, 3.88%, Maturing October 31, 2010 3,017,499 3,980,000 Term Loan, 3.63%, Maturing February 27, 2011 4,017,810 UNITED COMPONENTS, INC. 1,870,000 Term Loan, 8.00%, Maturing June 30, 2010 1,893,960 ------------------------------------------------------------------------------------------- $ 55,639,770 ------------------------------------------------------------------------------------------- BEVERAGE AND TOBACCO -- 2.2% CONSTELLATION BRANDS, INC. $ 5,812,500 Term Loan, 3.50%, Maturing November 30, 2008 $ 5,844,742 CULLIGAN INTERNATIONAL CO. 3,735,000 Term Loan, 4.56%, Maturing September 30, 2011 3,804,254 SOUTHERN WINE & SPIRITS OF AMERICA, INC. 2,987,227 Term Loan, 4.06%, Maturing June 28, 2008 3,026,900 SUNNY DELIGHT BEVERAGES CO. 2,745,000 Term Loan, 6.78%, Maturing August 20, 2010 2,731,275 ------------------------------------------------------------------------------------------- $ 15,407,171 ------------------------------------------------------------------------------------------- BUILDING AND DEVELOPMENT -- 5.1% FORMICA CORP. $ 359,573 Term Loan, 6.88%, Maturing June 10, 2010 $ 361,371 878,886 Term Loan, 6.88%, Maturing June 10, 2010 883,281 449,466 Term Loan, 6.88%, Maturing June 10, 2010 451,713 1,301,531 Term Loan, 6.88%, Maturing June 10, 2010 1,308,038 FT-FIN ACQUISTION, LLC 726,453 Term Loan, 3.82%, Maturing November 17, 2007 728,269 GENERAL GROWTH PROPERTIES, INC. 9,725,000 Term Loan, 4.35%, Maturing November 12, 2008 9,772,108 LANDSOURCE COMMUNITIES, LLC 2,000,000 Term Loan, 4.69%, Maturing March 31, 2010 2,033,750
See notes to financial statements 4
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE ------------------------------------------------------------------------------------------- BUILDING AND DEVELOPMENT (CONTINUED) MUELLER GROUP, INC. $ 2,834,862 Term Loan, 5.08%, Maturing April 25, 2011 $ 2,857,896 NEWKIRK MASTER, L.P. 1,491,143 Term Loan, 3.72%, Maturing November 24, 2006 1,513,510 NORTEK, INC. 5,087,250 Term Loan, 4.75%, Maturing August 27, 2011 5,180,515 PLY GEM INDUSTRIES, INC. 800,000 Term Loan, 4.59%, Maturing February 12, 2011 809,500 1,695,739 Term Loan, 4.59%, Maturing February 12, 2011 1,715,876 299,248 Term Loan, 4.59%, Maturing February 12, 2011 302,802 SOUTH EDGE, LLC 656,250 Term Loan, 4.06%, Maturing October 31, 2007 659,737 843,750 Term Loan, 4.06%, Maturing October 31, 2009 852,452 ST. MARYS CEMENT, INC. 5,972,462 Term Loan, 3.98%, Maturing December 4, 2010 6,043,385 W9/GPT REAL ESTATE, L.P. 997,941 Term Loan, 4.09%, Maturing March 27, 2006 997,941 ------------------------------------------------------------------------------------------- $ 36,472,144 ------------------------------------------------------------------------------------------- BUSINESS EQUIPMENT AND SERVICES -- 3.8% ALLIED SECURITY HOLDINGS, LLC $ 2,880,000 Term Loan, 6.23%, Maturing June 30, 2010 $ 2,916,000 BAKER & TAYLOR, INC. 2,000,000 Term Loan, 9.35%, Maturing May 6, 2011 2,000,000 BUHRMANN US, INC. 1,475,014 Term Loan, 4.32%, Maturing December 31, 2010 1,495,757 INFOUSA, INC. 1,666,667 Term Loan, 4.48%, Maturing March 25, 2009 1,683,333 IRON MOUNTAIN, INC. 3,548,171 Term Loan, 3.56%, Maturing April 2, 2011 3,574,782 LANGUAGE LINE, INC. 4,934,211 Term Loan, 4.69%, Maturing June 11, 2011 4,999,998 MITCHELL INTERNATIONAL, INC. 2,503,750 Term Loan, 8.25%, Maturing August 13, 2011 2,540,525 1,745,625 Term Loan, 8.25%, Maturing August 13, 2012 1,754,353 QUINTILES TRANSNATIONAL CORP. 2,992,453 Term Loan, 6.23%, Maturing September 25, 2009 3,041,080 WILLIAMS SCOTSMAN, INC. 2,500,000 Term Loan, 5.18%, Maturing December 31, 2006 2,534,375 WORLDSPAN, L.P. 391,254 Term Loan, 6.03%, Maturing June 30, 2007 392,232 ------------------------------------------------------------------------------------------- $ 26,932,435 ------------------------------------------------------------------------------------------- CABLE AND SATELLITE TELEVISION -- 6.9% ATLANTIC BROADBAND FINANCE, LLC $ 4,000,000 Term Loan, 5.69%, Maturing February 10, 2011 $ 4,091,668 BRAGG COMMUNICATION, INC. 2,209,463 Term Loan, 4.43%, Maturing August 31, 2011 2,238,462 BRESNAN COMMUNICATIONS, LLC 1,884,762 Term Loan, 5.45%, Maturing September 30, 2010 1,912,446 CANADIEN CABLE ACQUISITION 2,000,000 Term Loan, 4.98%, Maturing July 30, 2011 2,018,750 CEBRIDGE CONNECTIONS, INC. 1,994,987 Term Loan, 8.21%, Maturing February 23, 2010 1,985,013 CHARTER COMMUNICATIONS OPERATING, LLC 5,000,000 Term Loan, 5.13%, Maturing April 27, 2010 4,943,030 10,473,750 Term Loan, 5.61%, Maturing April 27, 2011 10,461,590 INSIGHT MIDWEST HOLDINGS, LLC 1,880,000 Term Loan, 2.69%, Maturing December 31, 2008 1,896,450 992,500 Term Loan, 4.56%, Maturing December 31, 2009 1,009,731 MCC IOWA, LLC 2,475,000 Term Loan, 3.24%, Maturing March 31, 2010 2,464,558 MEDIACOM BROADBAND 2,992,500 Term Loan, 5.06%, Maturing September 30, 2010 3,041,691 MEDIACOM ILLINOIS, LLC 4,150,000 Term Loan, 5.06%, Maturing March 31, 2013 4,188,906 NTL, INC. 5,000,000 Term Loan, 5.20%, Maturing April 13, 2012 5,050,000 UGS CORP. 3,990,000 Term Loan, 4.46%, Maturing May 27, 2011 4,057,331 ------------------------------------------------------------------------------------------- $ 49,359,626 ------------------------------------------------------------------------------------------- CHEMICALS AND PLASTICS -- 7.9% BRENNTAG AG $ 5,500,000 Term Loan, 4.73%, Maturing February 27, 2012 $ 5,599,687 HERCULES, INC. 2,992,481 Term Loan, 3.95%, Maturing October 8, 2010 3,017,917 HUNTSMAN INTERNATIONAL, LLC 6,421,129 Term Loan, 5.38%, Maturing December 31, 2010 6,551,157 HUNTSMAN, LLC 2,500,000 Term Loan, 5.67%, Maturing March 31, 2010 2,547,395 INNOPHOS, INC. 2,564,818 Term Loan, 3.55%, Maturing August 13, 2010 2,609,702 INVISTA B.V. 7,875,000 Term Loan, 4.77%, Maturing April 30, 2010 7,894,687 KRATON POLYMER 1,868,971 Term Loan, 4.73%, Maturing December 5, 2008 1,893,890
See notes to financial statements 5
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE ------------------------------------------------------------------------------------------- CHEMICALS AND PLASTICS (CONTINUED) NALCO CO. $ 6,416,248 Term Loan, 4.50%, Maturing November 4, 2010 $ 6,489,431 PROFESSIONAL PAINT, INC. 1,530,000 Term Loan, 5.37%, Maturing September 30, 2011 1,551,037 RESOLUTION SPECIALTY MATERIALS 2,000,000 Term Loan, 3.39%, Maturing August 2, 2010 2,033,126 ROCKWOOD SPECIALTIES GROUP, INC. 6,475,000 Term Loan, 4.63%, Maturing July 30, 2012 6,525,298 SOLO CUP CO. 5,476,181 Term Loan, 4.53%, Maturing February 27, 2011 5,586,559 UNITED INDUSTRIES CORP. 1,197,000 Term Loan, 4.63%, Maturing April 29, 2011 1,217,199 2,493,750 Term Loan, 6.63%, Maturing October 31, 2011 2,538,949 ------------------------------------------------------------------------------------------- $ 56,056,034 ------------------------------------------------------------------------------------------- CLOTHING / TEXTILES -- 0.7% SYNTHETIC INDUSTRIES, INC. $ 4,972,323 Term Loan, 6.73%, Maturing December 30, 2007 $ 4,972,323 ------------------------------------------------------------------------------------------- $ 4,972,323 ------------------------------------------------------------------------------------------- CONGLOMERATES -- 2.4% AMSTED INDUSTRIES, INC. $ 2,634,881 Term Loan, 5.07%, Maturing October 15, 2010 $ 2,669,464 BLOUNT, INC. 666,667 Term Loan, 6.88%, Maturing February 9, 2011 677,500 JOHNSON DIVERSEY, INC. 2,692,933 Term Loan, 6.25%, Maturing November 30, 2009 2,742,163 POLYMER GROUP, INC. 3,747,929 Term Loan, 4.37%, Maturing April 27, 2010 3,793,215 2,500,000 Term Loan, 4.37%, Maturing April 27, 2011 2,521,875 PP ACQUISITION CORP. 4,499,625 Term Loan, 4.53%, Maturing November 12, 2011 4,567,119 ------------------------------------------------------------------------------------------- $ 16,971,336 ------------------------------------------------------------------------------------------- CONTAINERS AND GLASS PRODUCTS -- 9.5% BERRY PLASTICS CORP. $ 2,913,028 Term Loan, 4.22%, Maturing July 22, 2010 $ 2,953,082 BWAY CORP. 6,507,333 Term Loan, 4.49%, Maturing June 30, 2011 6,610,364 CELANESE AG 4,500,000 Term Loan, 4.50%, Maturing April 6, 2011 4,592,813 2,000,000 Term Loan, 4.50%, Maturing December 8, 2011 2,047,500 DR. PEPPER/SEVEN UP BOTTLING GROUP, INC. 4,368,180 Term Loan, 4.92%, Maturing December 19, 2010 4,446,672 GRAHAM PACKAGING HOLDINGS CO. $ 5,400,000 Term Loan, 4.62%, Maturing October 7, 2011 $ 5,489,197 2,000,000 Term Loan, 6.44%, Maturing October 7, 2012 2,054,250 GRAPHIC PACKAGING INTERNATIONAL, INC. 9,642,963 Term Loan, 4.52%, Maturing August 8, 2009 9,832,206 GREIF BROS. CORP. 720,000 Term Loan, 3.88%, Maturing August 31, 2008 728,550 IPG (US), INC. 3,300,000 Term Loan, 4.14%, Maturing July 28, 2011 3,357,750 KRANSON INDUSTRIES, INC. 2,603,475 Term Loan, 4.73%, Maturing July 30, 2011 2,629,510 OWENS-ILLINOIS, INC. 4,509,713 Term Loan, 4.95%, Maturing April 1, 2007 4,600,376 2,928,757 Term Loan, 4.96%, Maturing April 1, 2008 2,986,419 SILGAN HOLDINGS, INC. 4,746,338 Term Loan, 3.80%, Maturing December 31, 2008 4,806,408 SMURFIT-STONE CONTAINER CORP. 656,041 Term Loan, 4.06%, Maturing November 1, 2011 667,932 5,242,951 Term Loan, 4.06%, Maturing November 1, 2011 5,332,737 1,666,490 Term Loan, 4.06%, Maturing November 1, 2011 1,695,914 SOLA INTERNATIONAL, INC. 2,925,000 Term Loan, 4.48%, Maturing December 11, 2009 2,965,219 ------------------------------------------------------------------------------------------- $ 67,796,899 ------------------------------------------------------------------------------------------- COSMETICS / TOILETRIES -- 1.0% PRESTIGE BRANDS, INC. $ 2,492,500 Term Loan, 4.86%, Maturing April 7, 2011 $ 2,530,927 2,000,000 Term Loan, 6.86%, Maturing April 7, 2011 2,052,084 REVLON CONSUMER PRODUCTS CORP. 2,125,000 Term Loan, 4.81%, Maturing July 9, 2010 2,178,125 ------------------------------------------------------------------------------------------- $ 6,761,136 ------------------------------------------------------------------------------------------- ECOLOGICAL SERVICES AND EQUIPMENT -- 2.3% ALDERWOODS GROUP, INC. $ 1,565,088 Term Loan, 4.94%, Maturing August 19, 2010 $ 1,581,717 ALLIED WASTE INDUSTRIES, INC. 707,143 Term Loan, 3.90%, Maturing January 15, 2009 716,645 983,951 Term Loan, 4.54%, Maturing January 5, 2010 996,988 5,902,757 Term Loan, 3.90%, Maturing January 15, 2010 5,990,773 ENVIRONMENTAL SYSTEMS, INC. 2,446,737 Term Loan, 12.13%, Maturing December 12, 2008 2,477,321 IONICS, INC. 791,127 Term Loan, 4.73%, Maturing February 13, 2011 796,566
See notes to financial statements 6
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE ------------------------------------------------------------------------------------------- ECOLOGICAL SERVICES AND EQUIPMENT (CONTINUED) NATIONAL WATERWORKS, INC. $ 4,000,000 Term Loan, 4.73%, Maturing November 22, 2009 $ 4,046,668 ------------------------------------------------------------------------------------------- $ 16,606,678 ------------------------------------------------------------------------------------------- ELECTRONICS / ELECTRICAL -- 2.5% COMMUNICATIONS & POWER, INC. $ 1,987,506 Term Loan, 4.44%, Maturing July 23, 2010 $ 2,019,803 ENERSYS CAPITAL, INC. 1,995,000 Term Loan, 5.07%, Maturing March 17, 2011 2,024,925 INVENSYS INTERNATIONAL HOLDING 5,960,025 Term Loan, 5.93%, Maturing September 5, 2009 6,045,700 MEMEC GROUP, LTD. 1,500,000 Term Loan, 4.44%, Maturing June 2, 2009 1,490,625 SECURITYCO, INC. 997,500 Term Loan, 5.94%, Maturing June 28, 2010 1,008,722 3,000,000 Term Loan, 9.56%, Maturing June 28, 2011 3,000,000 VIASYSTEMS, INC. 2,000,000 Term Loan, 6.49%, Maturing September 30, 2009 2,020,416 ------------------------------------------------------------------------------------------- $ 17,610,191 ------------------------------------------------------------------------------------------- EQUIPMENT LEASING -- 0.6% ASHTEAD GROUP, PLC $ 1,000,000 Term Loan, 4.81%, Maturing November 12, 2009 $ 1,015,625 UNITED RENTALS, INC. 334,029 Term Loan, 4.63%, Maturing February 14, 2011 337,230 3,158,036 Term Loan, 4.63%, Maturing February 14, 2011 3,201,459 ------------------------------------------------------------------------------------------- $ 4,554,314 ------------------------------------------------------------------------------------------- FARMING / AGRICULTURE -- 0.2% IMC GLOBAL, INC. $ 695,309 Term Loan, 6.07%, Maturing November 17, 2006 $ 697,655 THE SCOTTS CO. 1,000,000 Term Loan, 3.44%, Maturing September 30, 2010 1,009,453 ------------------------------------------------------------------------------------------- $ 1,707,108 ------------------------------------------------------------------------------------------- FINANCIAL INTERMEDIARIES -- 2.2% COINSTAR, INC. $ 6,059,813 Term Loan, 4.29%, Maturing July 7, 2011 $ 6,165,859 CORRECTIONS CORP. OF AMERICA 2,363,455 Term Loan, 3.50%, Maturing March 31, 2008 2,403,338 REFCO GROUP LTD., LLC 5,785,500 Term Loan, 4.68%, Maturing August 5, 2011 5,855,649 WACKENHUT CORRECTIONS CORP. $ 1,030,422 Term Loan, 4.63%, Maturing July 9, 2009 $ 1,051,031 ------------------------------------------------------------------------------------------- $ 15,475,877 ------------------------------------------------------------------------------------------- FOOD PRODUCTS -- 2.3% ACOSTA SALES COMPANY, INC. $ 3,640,875 Term Loan, 4.73%, Maturing August 13, 2010 $ 3,695,488 ATKINS NUTRITIONAL, INC. 981,865 Term Loan, 7.23%, Maturing November 26, 2009 833,604 DEL MONTE CORP. 1,911,368 Term Loan, 4.38%, Maturing December 20, 2010 1,947,207 DOANE PET CARE CO. 1,685,000 Term Loan, 6.31%, Maturing November 5, 2009 1,712,381 MICHAEL FOODS, INC. 2,300,000 Term Loan, 4.48%, Maturing November 20, 2011 2,368,282 PINNACLE FOODS HOLDINGS CORP. 1,994,987 Term Loan, 4.98%, Maturing November 25, 2010 1,995,402 REDDY ICE GROUP, INC. 2,582,229 Term Loan, 4.68%, Maturing July 31, 2009 2,613,970 SEMINIS VEGETABLE SEEDS, INC. 1,279,748 Term Loan, 4.46%, Maturing September 30, 2009 1,298,411 ------------------------------------------------------------------------------------------- $ 16,464,745 ------------------------------------------------------------------------------------------- FOOD SERVICE -- 3.4% BUFFETS, INC. $ 1,000,000 Term Loan, 5.48%, Maturing June 28, 2009 $ 1,005,000 1,474,168 Term Loan, 5.48%, Maturing June 28, 2009 1,481,538 CKE RESTAURANTS, INC. 2,971,714 Term Loan, 4.81%, Maturing May 1, 2010 3,038,578 DENNY'S, INC. 2,550,000 Term Loan, 5.46%, Maturing September 21, 2009 2,604,986 DOMINO'S, INC. 7,640,158 Term Loan, 4.25%, Maturing June 25, 2010 7,704,626 GATE GOURMET BORROWER, LLC 2,000,000 Term Loan, 9.50%, Maturing December 31, 2008 2,040,000 1,053,222 Term Loan, 9.50%, Maturing December 31, 2008 1,074,287 JACK IN THE BOX, INC. 994,987 Term Loan, 4.41%, Maturing January 8, 2011 1,010,224 WEIGHT WATCHERS INTERNATIONAL, INC. 4,500,000 Term Loan, 6.76%, Maturing March 31, 2010 4,536,562 ------------------------------------------------------------------------------------------- $ 24,495,801 -------------------------------------------------------------------------------------------
See notes to financial statements 7
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE ------------------------------------------------------------------------------------------- FOOD / DRUG RETAILERS -- 2.6% GENERAL NUTRITION CENTERS, INC. $ 2,977,500 Term Loan, 4.97%, Maturing December 5, 2009 $ 3,013,974 GIANT EAGLE, INC. 4,600,792 Term Loan, 3.86%, Maturing August 6, 2009 4,663,096 RITE AID CORP. 3,990,000 Term Loan, 3.77%, Maturing September 22, 2009 4,033,643 THE JEAN COUTU GROUP (PJC), INC. 6,084,750 Term Loan, 6.14%, Maturing July 30, 2011 6,189,852 THE PANTRY, INC. 500,000 Term Loan, 4.44%, Maturing March 12, 2011 507,969 ------------------------------------------------------------------------------------------- $ 18,408,534 ------------------------------------------------------------------------------------------- FOREST PRODUCTS -- 3.7% APPLETON PAPERS, INC. $ 3,890,250 Term Loan, 4.56%, Maturing June 11, 2010 $ 3,941,796 BOISE CASCADE HOLDINGS, LLC 7,353,425 Term Loan, 4.44%, Maturing September 29, 2010 7,485,941 4,746,575 Term Loan, 4.47%, Maturing October 28, 2010 4,785,682 BUCKEYE TECHNOLOGIES, INC. 2,879,017 Term Loan, 4.51%, Maturing April 15, 2010 2,924,002 KOCH CELLULOSE, LLC 1,088,377 Term Loan, 3.84%, Maturing May 7, 2011 1,106,063 4,341,779 Term Loan, 3.84%, Maturing May 7, 2011 4,412,333 RLC INDUSTRIES CO. 1,575,736 Term Loan, 4.21%, Maturing February 24, 2010 1,585,584 ------------------------------------------------------------------------------------------- $ 26,241,401 ------------------------------------------------------------------------------------------- HEALTHCARE -- 9.3% ACCREDO HEALTH, INC. $ 2,294,250 Term Loan, 3.96%, Maturing April 30, 2011 $ 2,318,626 ADVANCED MEDICAL OPTICS, INC. 1,849,531 Term Loan, 3.81%, Maturing June 25, 2009 1,879,586 ARDENT HEALTH SERVICES, INC. 3,440,000 Term Loan, 7.00%, Maturing July 12, 2011 3,452,900 COLGATE MEDICAL, LTD. 877,990 Term Loan, 3.97%, Maturing December 30, 2008 888,417 COMMUNITY HEALTH SYSTEMS, INC. 9,734,025 Term Loan, 4.15%, Maturing July 5, 2010 9,829,088 CONCENTRA OPERATING CORP. 2,827,244 Term Loan, 4.56%, Maturing June 30, 2010 2,860,230 CORSS COUNTRY HEALTHCARE, INC. 354,881 Term Loan, 4.37%, Maturing June 5, 2009 358,430 DAVITA, INC. 9,946,592 Term Loan, 3.99%, Maturing June 30, 2010 10,087,247 DJ ORTHOPEDICS, INC. $ 1,203,125 Term Loan, 4.02%, Maturing May 15, 2009 $ 1,215,908 ENCORE MEDICAL IHC, INC. 1,800,000 Term Loan, 5.07%, Maturing October 4, 2010 1,832,625 ENVISION WORLDWIDE, INC. 1,400,000 Term Loan, 7.07%, Maturing September 30, 2010 1,403,500 EXPRESS SCRIPTS, INC. 2,992,481 Term Loan, 3.70%, Maturing February 13, 2010 3,021,158 FRENSIUS MEDICAL CARE HOLDING, INC. 3,314,748 Term Loan, 3.98%, Maturing February 21, 2010 3,334,431 HANGER ORTHOPEDIC GROUP, INC. 2,493,700 Term Loan, 5.48%, Maturing September 30, 2009 2,518,637 IASIS HEALTHCARE, LLC 3,990,000 Term Loan, 4.25%, Maturing June 16, 2011 4,052,759 KINETIC CONCEPTS, INC. 2,355,988 Term Loan, 4.67%, Maturing October 3, 2009 2,390,837 KNOWLEDGE LEARNING CORP. 972,518 Term Loan, 5.47%, Maturing December 31, 2010 977,381 LEINER HEALTH PRODUCTS, INC. 2,493,750 Term Loan, 4.89%, Maturing May 27, 2011 2,537,391 MAGELLAN HEALTH SERVICES, INC. 2,162,162 Term Loan, 2.47%, Maturing August 15, 2008 2,189,189 3,837,838 Term Loan, 2.47%, Maturing August 15, 2008 3,885,811 MEDCATH HOLDINGS CORP. 1,561,088 Term Loan, 5.06%, Maturing July 2, 2011 1,585,968 NATIONAL MENTOR, INC. 925,000 Term Loan, 5.48%, Maturing September 30, 2011 942,922 VANGUARD HEALTH HOLDING CO., LLC 1,375,000 Term Loan, 5.68%, Maturing September 23, 2011 1,399,406 VWR INTERNATIONAL, INC. 1,246,000 Term Loan, 5.46%, Maturing April 7, 2011 1,270,297 ------------------------------------------------------------------------------------------- $ 66,232,744 ------------------------------------------------------------------------------------------- HOME FURNISHINGS -- 1.9% JUNO LIGHTING, INC. $ 1,386,908 Term Loan, 3.60%, Maturing November 21, 2010 $ 1,406,844 KNOLL, INC. 3,700,000 Term Loan, 5.05%, Maturing September 30, 2011 3,748,562 SEALY MATTRESS CO. 2,513,792 Term Loan, 4.28%, Maturing April 6, 2012 2,555,689 SIMMONS CO. 1,437,778 Term Loan, 3.98%, Maturing December 19, 2011 1,456,948 3,917,038 Term Loan, 4.01%, Maturing December 19, 2011 3,969,263 ------------------------------------------------------------------------------------------- $ 13,137,306 -------------------------------------------------------------------------------------------
See notes to financial statements 8
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE ------------------------------------------------------------------------------------------- INDUSTRIAL EQUIPMENT -- 1.7% BUCYRUS INTERNATIONAL, INC. $ 740,625 Term Loan, 4.10%, Maturing July 28, 2010 $ 753,586 DOUGLAS DYNAMICS HOLDINGS, INC. 1,500,000 Term Loan, 7.97%, Maturing March 30, 2011 1,537,500 GLEASON CORP. 585,000 Term Loan, 4.93%, Maturing July 27, 2011 592,312 2,000,000 Term Loan, 8.10%, Maturing January 31, 2012 2,020,000 ITRON, INC. 2,223,480 Term Loan, 4.25%, Maturing December 17, 2010 2,245,715 SPX CORP. 4,994,975 Term Loan, 4.25%, Maturing September 30, 2009 5,028,067 ------------------------------------------------------------------------------------------- $ 12,177,180 ------------------------------------------------------------------------------------------- INSURANCE -- 1.7% ALLIANT RESOURCES GROUP, INC. $ 1,501,238 Term Loan, 5.67%, Maturing August 31, 2011 $ 1,503,114 CCC INFORMATION SERVICES GROUP 2,697,579 Term Loan, 5.18%, Maturing August 20, 2010 2,731,299 CONSECO, INC. 6,468,750 Term Loan, 5.68%, Maturing June 22, 2010 6,606,211 U.S.I. HOLDINGS CORP. 980,038 Term Loan, 4.63%, Maturing August 11, 2008 984,938 ------------------------------------------------------------------------------------------- $ 11,825,562 ------------------------------------------------------------------------------------------- LEISURE GOODS / ACTIVITIES / MOVIES -- 9.0% BOMBARDIER RECREATIONAL PRODUCTS, INC. $ 5,719,000 Term Loan, 4.47%, Maturing December 18, 2010 $ 5,808,359 1,257,000 Term Loan, 4.47%, Maturing December 18, 2010 1,276,641 CINEMARK, INC. 4,979,987 Term Loan, 4.62%, Maturing March 31, 2011 5,052,611 LOEWS CINEPLEX ENTERTAINMENT CORP. 8,603,750 Term Loan, 5.23%, Maturing July 30, 2011 8,728,100 METRO-GOLDWYN-MAYER STUDIOS, INC. 12,000,000 Term Loan, 6.31%, Maturing April 26, 2011 12,055,500 REGAL CINEMAS CORP. 9,680,450 Term Loan, 3.63%, Maturing November 10, 2010 9,791,775 SIX FLAGS THEME PARKS, INC. 8,083,858 Term Loan, 4.57%, Maturing June 30, 2009 8,174,801 UNIVERSAL CITY DEVELOPMENT 4,990,166 Term Loan, 4.44%, Maturing June 30, 2007 5,008,879 WMG ACQUISITION CORP. 5,974,925 Term Loan, 5.21%, Maturing February 28, 2011 6,077,622 YANKEES HOLDINGS & YANKEENETS, LLC $ 628,571 Term Loan, 3.73%, Maturing June 25, 2007 $ 639,571 1,371,429 Term Loan, 3.73%, Maturing June 25, 2007 1,395,429 ------------------------------------------------------------------------------------------- $ 64,009,288 ------------------------------------------------------------------------------------------- LODGING AND CASINOS -- 4.1% ALLIANCE GAMING CORP. $ 2,814,326 Term Loan, 3.54%, Maturing September 5, 2009 $ 2,842,469 ARGOSY GAMING CO. 2,375,000 Term Loan, 3.82%, Maturing June 30, 2011 2,392,071 BOCA RESORTS, INC. 2,200,000 Term Loan, 4.44%, Maturing July 22, 2009 2,200,000 CNL RESORT HOTEL, L.P. 1,750,000 Term Loan, 4.34%, Maturing August 18, 2006 1,750,000 GLOBALCASH ACCESS, LLC 987,342 Term Loan, 4.11%, Maturing March 10, 2010 1,006,472 ISLE OF CAPRI CASINOS, INC. 1,987,952 Term Loan, 4.33%, Maturing April 25, 2008 2,014,044 MARINA DISTRICT FINANCE CO., INC. 4,575,000 Term Loan, 3.93%, Maturing October 14, 2011 4,613,123 MOHEGAN TRIBAL GAMING AUTHORITY 785,000 Term Loan, 8.25%, Maturing March 31, 2008 786,963 PINNACLE ENTERTAINMENT, INC. 1,600,000 Term Loan, 4.98%, Maturing August 27, 2010 1,624,000 SEMINOLE TRIBE OF FLORIDA 700,000 Term Loan, 6.00%, Maturing September 30, 2011 707,875 VAIL RESORTS, INC. 807,864 Term Loan, 4.38%, Maturing December 10, 2008 815,774 VENETIAN CASINO RESORT, LLC 4,147,715 Term Loan, 4.90%, Maturing June 15, 2011 4,224,622 WYNDHAM INTERNATIONAL, INC. 1,803,378 Term Loan, 6.88%, Maturing December 31, 2004 1,820,961 2,255,175 Term Loan, 6.03%, Maturing June 30, 2006 2,273,263 ------------------------------------------------------------------------------------------- $ 29,071,637 ------------------------------------------------------------------------------------------- NONFERROUS METALS / MINERALS -- 2.0% CONSOL ENERGY, INC. $ 1,200,000 Term Loan, 4.49%, Maturing June 30, 2010 $ 1,225,876 FOUNDATION COAL CORP. 7,365,000 Term Loan, 4.04%, Maturing July 30, 2011 7,483,761 ICG, LLC 950,000 Term Loan, 4.99%, Maturing November 5, 2010 965,438 INTERNATIONAL MILL SERVICE, INC. 1,000,000 Term Loan, 4.82%, Maturing October 26, 2011 1,015,000
See notes to financial statements 9
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE ------------------------------------------------------------------------------------------- NONFERROUS METALS / MINERALS (CONTINUED) MAGNEQUENCH, INC. $ 1,497,688 Term Loan, 13.07%, Maturing September 30, 2009 $ 1,508,921 1,500,000 Term Loan, 13.07%, Maturing December 31, 2009 1,522,500 STILLWATER MINING CO. 498,750 Term Loan, 5.52%, Maturing June 30, 2007 509,348 ------------------------------------------------------------------------------------------- $ 14,230,844 ------------------------------------------------------------------------------------------- OIL AND GAS -- 6.5% BELDON & BLAKE CORP. $ 2,507,400 Term Loan, 4.80%, Maturing July 21, 2011 $ 2,554,414 BPL ACQUISITION, L.P. 1,990,650 Term Loan, 4.43%, Maturing May 4, 2010 2,010,557 DRESSER RAND GROUP, INC. 4,200,000 Term Loan, 4.18%, Maturing October 29, 2011 4,271,400 DRESSER, INC. 2,873,171 Term Loan, 4.71%, Maturing March 31, 2007 2,912,677 DYNEGY HOLDINGS, INC. 6,985,000 Term Loan, 6.02%, Maturing May 28, 2010 7,139,983 EL PASO CORP. 2,205,750 Term Loan, 6.02%, Maturing November 23, 2009 2,205,750 3,676,250 Term Loan, 6.02%, Maturing November 23, 2009 3,676,250 GETTY PETROLEUM MARKETING, INC. 4,425,000 Term Loan, 5.23%, Maturing May 19, 2010 4,510,734 LA GRANGE ACQUISITION, L.P. 2,000,000 Term Loan, 5.20%, Maturing January 18, 2008 2,033,126 LYONDELL-CITGO REFINING, L.P. 3,491,250 Term Loan, 4.59%, Maturing May 21, 2007 3,517,434 MAGELLAN MIDSTREAM HOLDINGS 1,012,071 Term Loan, 4.13%, Maturing June 17, 2008 1,029,782 PRIDE OFFSHORE, INC. 2,623,425 Term Loan, 3.84%, Maturing July 7, 2011 2,658,951 SEMGROUP, L.P. 810,000 Term Loan, 5.33%, Maturing August 27, 2010 820,125 WILLIAMS PRODUCTION RMT CO. 6,481,175 Term Loan, 5.96%, Maturing May 30, 2007 6,589,196 ------------------------------------------------------------------------------------------- $ 45,930,379 ------------------------------------------------------------------------------------------- PUBLISHING -- 7.8% ADVANSTAR COMMUNICATIONS, INC. $ 456,349 Term Loan, 3.81%, Maturing November 17, 2007 $ 459,011 ADVERTISING DIRECTORY SOLUTION 775,000 Term Loan, 4.50%, Maturing May 9, 2010 792,147 1,500,000 Term Loan, 4.50%, Maturing November 9, 2011 1,513,907 CBD MEDIA, LLC $ 4,505,358 Term Loan, 4.29%, Maturing December 31, 2009 $ 4,572,938 DEX MEDIA EAST, LLC 4,748,790 Term Loan, 3.95%, Maturing May 8, 2009 4,808,150 DEX MEDIA WEST, LLC 4,367,313 Term Loan, 3.94%, Maturing March 9, 2010 4,412,807 FREEDOM COMMUNICATIONS 4,500,000 Term Loan, 4.04%, Maturing May 18, 2012 4,578,750 HERALD MEDIA, INC. 1,000,000 Term Loan, 7.45%, Maturing January 22, 2012 1,016,563 LAMAR MEDIA CORP. 3,500,000 Term Loan, 5.96%, Maturing June 30, 2010 3,537,734 MEDIANEWS GROUP, INC. 564,838 Term Loan, 3.59%, Maturing August 25, 2010 570,016 MERRILL COMMUNICATIONS, LLC 5,536,385 Term Loan, 4.48%, Maturing February 9, 2009 5,603,863 MORRIS PUBLISHING GROUP, LLC 2,950,000 Term Loan, 3.56%, Maturing March 31, 2011 2,985,955 NEBRASKA BOOK CO., INC. 1,485,000 Term Loan, 4.67%, Maturing March 4, 2011 1,506,347 NEWSPAPER HOLDINGS, INC. 2,400,000 Term Loan, 3.84%, Maturing August 24, 2011 2,399,251 R.H. DONNELLEY CORP. 11,299,075 Term Loan, 6.50%, Maturing June 30, 2011 11,425,545 TRANSWESTERN PUBLISHING CO., LLC 1,990,001 Term Loan, 5.79%, Maturing February 25, 2011 2,022,028 386,400 Term Loan, 4.31%, Maturing August 24, 2012 390,687 WEEKLY READER CORP. 1,000,000 Term Loan, 6.76%, Maturing March 18, 2009 997,500 XEROX CORP. 2,000,000 Term Loan, 3.73%, Maturing September 30, 2008 2,016,250 ------------------------------------------------------------------------------------------- $ 55,609,449 ------------------------------------------------------------------------------------------- RADIO AND TELEVISION -- 6.4% ADAMS OUTDOOR ADVERTISING, L.P. $ 3,990,000 Term Loan, 4.33%, Maturing October 15, 2011 $ 4,048,186 CANWEST MEDIA, INC. 2,989,354 Term Loan, 4.49%, Maturing August 15, 2009 3,030,458 CUMULUS MEDIA, INC. 1,058,750 Term Loan, 5.09%, Maturing March 28, 2009 1,069,007 3,291,750 Term Loan, 5.09%, Maturing March 28, 2010 3,344,556 DIRECTV HOLDINGS, LLC 6,000,000 Term Loan, 4.02%, Maturing March 6, 2010 6,095,250 EMMIS OPERATING CO. 3,000,000 Term Loan, 3.81%, Maturing November 10, 2011 3,035,064
See notes to financial statements 10
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE ------------------------------------------------------------------------------------------- RADIO AND TELEVISION (CONTINUED) ENTRAVISION COMMUNICATIONS CO. $ 2,500,000 Term Loan, 4.15%, Maturing February 27, 2012 $ 2,531,250 GRAY TELEVISION, INC. 2,992,500 Term Loan, 3.78%, Maturing December 31, 2010 3,033,647 NEP SUPERSHOOTERS, L.P. 1,535,971 Term Loan, 10.13%, Maturing August 3, 2011 1,524,451 NEXSTAR BROADCASTING, INC. 1,937,191 Term Loan, 3.73%, Maturing December 31, 2010 1,946,877 1,057,809 Term Loan, 3.73%, Maturing December 31, 2010 1,063,098 RAINBOW NATIONAL SERVICES, LLC 3,600,000 Term Loan, 5.19%, Maturing March 31, 2012 3,661,499 RAYCOM TV BROADCASTING, INC. 2,000,000 Term Loan, 3.81%, Maturing October 6, 2011 2,006,250 4,000,000 Term Loan, 5.19%, Maturing February 24, 2012 4,050,000 SINCLAIR TELEVISION GROUP, INC. 1,900,000 Term Loan, 3.98%, Maturing June 30, 2009 1,913,063 3,100,000 Term Loan, 3.98%, Maturing December 31, 2009 3,133,582 ------------------------------------------------------------------------------------------- $ 45,486,238 ------------------------------------------------------------------------------------------- RAIL INDUSTRIES -- 0.7% RAILAMERICA, INC. $ 4,145,456 Term Loan, 4.38%, Maturing September 29, 2011 $ 4,210,229 490,038 Term Loan, 4.38%, Maturing September 29, 2011 497,695 ------------------------------------------------------------------------------------------- $ 4,707,924 ------------------------------------------------------------------------------------------- RETAILERS (EXCEPT FOOD AND DRUG) -- 5.1% ADVANCE STORES COMPANY, INC. $ 165,163 Term Loan, 4.18%, Maturing September 30, 2010 $ 167,383 ALIMENTATION COUCHE-TARD, INC. 3,664,004 Term Loan, 4.94%, Maturing December 17, 2010 3,709,804 AMERICAN ACHIEVEMENT CORP. 2,493,719 Term Loan, 4.75%, Maturing March 25, 2011 2,531,124 AMSCAN HOLDINGS, INC. 997,500 Term Loan, 3.94%, Maturing April 30, 2012 1,007,475 FTD, INC. 1,983,756 Term Loan, 4.65%, Maturing February 28, 2011 2,013,513 HARBOR FREIGHT TOOLS USA, INC. 4,500,000 Term Loan, 3.88%, Maturing July 15, 2010 4,526,249 HOME INTERIORS & GIFTS, INC. 2,976,378 Term Loan, 6.42%, Maturing March 31, 2011 2,787,378 JOSTENS CORP. 1,500,000 Term Loan, 6.25%, Maturing October 4, 2010 1,521,563 5,780,000 Term Loan, 4.54%, Maturing October 4, 2011 5,835,737 ORIENTAL TRADING CO., INC. $ 2,317,645 Term Loan, 4.75%, Maturing August 4, 2010 $ 2,352,892 2,000,000 Term Loan, 4.75%, Maturing January 8, 2011 2,041,250 RENT-A-CENTER, INC. 4,000,000 Term Loan, 3.63%, Maturing June 30, 2010 4,054,000 RIDDELL BELL HOLDINGS, INC. 1,000,000 Term Loan, 4.76%, Maturing September 30, 2011 1,015,208 SAVERS, INC. 818,368 Term Loan, 6.52%, Maturing August 4, 2009 825,017 1,500,000 Term Loan, 10.48%, Maturing August 4, 2010 1,518,750 TRAVELCENTERS OF AMERICA, INC. 498,718 Term Loan, 5.26%, Maturing November 30, 2008 501,212 ------------------------------------------------------------------------------------------- $ 36,408,555 ------------------------------------------------------------------------------------------- SURFACE TRANSPORT -- 2.0% HORIZON LINES, LLC $ 3,017,438 Term Loan, 4.73%, Maturing July 7, 2011 $ 3,072,756 LAIDLAW INTERNATIONAL, INC. 8,338,218 Term Loan, 5.96%, Maturing June 19, 2009 8,476,324 NFIL HOLDINGS CORP. 1,851,946 Term Loan, 4.31%, Maturing February 27, 2010 1,872,780 634,201 Term Loan, 4.95%, Maturing February 27, 2010 640,543 ------------------------------------------------------------------------------------------- $ 14,062,403 ------------------------------------------------------------------------------------------- TELECOMMUNICATIONS -- 10.3% AMERICAN TOWER, L.P. $ 1,496,250 Term Loan, 4.48%, Maturing August 31, 2011 $ 1,517,408 CELLULAR SOUTH, INC. 1,745,625 Term Loan, 4.50%, Maturing May 4, 2011 1,779,446 CENTENNIAL CELLULAR OPERATING CO., LLC 4,974,937 Term Loan, 4.95%, Maturing February 9, 2011 5,049,119 CINCINNATI BELL, INC. 2,740,073 Term Loan, 4.62%, Maturing June 30, 2008 2,771,926 CONSOLIDATED COMMUNICATIONS, INC. 3,988,333 Term Loan, 4.49%, Maturing April 14, 2012 4,055,636 D&E COMMUNICATIONS, INC. 1,491,139 Term Loan, 4.24%, Maturing December 31, 2011 1,500,458 NEXTEL COMMUNICATIONS 8,977,387 Term Loan, 3.73%, Maturing December 15, 2010 8,998,870 NEXTEL PARTNERS OPERATING CORP. 6,500,000 Term Loan, 4.31%, Maturing May 31, 2011 6,615,102 NTELOS, INC. 4,709,691 Term Loan, 5.96%, Maturing July 25, 2008 4,715,578
See notes to financial statements 11
PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE ------------------------------------------------------------------------------------------- TELECOMMUNICATIONS (CONTINUED) PANAMSAT CORP. $ 6,914,661 Term Loan, 4.88%, Maturing August 20, 2011 $ 6,970,842 QWEST CORP. 10,000,000 Term Loan, 6.50%, Maturing June 4, 2007 10,439,580 SBA SENIOR FINANCE, INC. 4,493,750 Term Loan, 6.52%, Maturing October 31, 2008 4,542,903 TRITON PCS, INC. 1,715,000 Term Loan, 5.38%, Maturing November 18, 2009 1,736,081 VALOR TELECOM ENTERPRISE, LLC 1,075,000 Term Loan, 4.38%, Maturing November 10, 2011 1,088,774 3,500,000 Term Loan, 4.38%, Maturing November 10, 2011 3,543,750 WESTERN WIRELESS CORP. 7,980,000 Term Loan, 5.08%, Maturing May 28, 2011 8,122,499 ------------------------------------------------------------------------------------------- $ 73,447,972 ------------------------------------------------------------------------------------------- UTILITIES -- 3.9% ALLEGHENY ENERGY SUPPLY CO., LLC $ 6,806,725 Term Loan, 3.95%, Maturing October 28, 2011 $ 6,934,351 CENTERPOINT ENERGY, INC. 7,466,014 Term Loan, 4.95%, Maturing October 7, 2006 7,501,015 COLETO CREEK WLE, L.P. 3,493,750 Term Loan, 4.23%, Maturing June 30, 2011 3,555,617 NRG ENERGY, INC. 2,025,515 Term Loan, 4.75%, Maturing June 23, 2010 2,083,749 3,611,472 Term Loan, 4.75%, Maturing June 23, 2010 3,715,301 PIKE ELECTRIC, INC. 3,544,086 Term Loan, 4.31%, Maturing July 1, 2012 3,607,217 ------------------------------------------------------------------------------------------- $ 27,397,250 ------------------------------------------------------------------------------------------- TOTAL SENIOR, FLOATING RATE INTERESTS (IDENTIFIED COST $1,014,199,425) $ 1,016,744,823 -------------------------------------------------------------------------------------------
PREFERRED STOCKS -- 0.0%
SHARES SECURITY VALUE ------------------------------------------------------------------------------------------- 1,159 Crown Castle International Corp., (PIK) $ 57,081 ------------------------------------------------------------------------------------------- TOTAL PREFERRED STOCKS (IDENTIFIED COST, $55,364) $ 57,081 -------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES -- 13.6%
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE ------------------------------------------------------------------------------------------- AEROSPACE AND DEFENSE -- 0.3% ARGO TECH CORP., SR. NOTES $ 1,500 9.25%, 6/1/11 $ 1,646,250 BE AEROSPACE, SR. SUB. NOTES, SERIES B 65 8.00%, 3/1/08 65,000 SEQUA CORP. 500 8.875%, 4/1/08 547,500 STANDARD AERO HOLDINGS, INC., SR. SUB. NOTES 95 8.25%, 9/1/14(2) 102,125 ------------------------------------------------------------------------------------------- $ 2,360,875 ------------------------------------------------------------------------------------------- AIR TRANSPORT -- 0.0% NORTHWEST AIRLINES, INC. $ 45 8.875%, 6/1/06 $ 41,625 ------------------------------------------------------------------------------------------- $ 41,625 ------------------------------------------------------------------------------------------- AUTOMOTIVE -- 0.2% KEYSTONE AUTOMOTIVE OPERATIONS, INC., SR. SUB. NOTES $ 500 9.75%, 11/1/13 $ 543,750 METALDYNE CORP., SR. NOTES 545 10.00%, 11/1/13(2) 531,375 TENNECO AUTOMOTIVE, INC., SR. NOTES, SERIES B 45 10.25%, 7/15/13 53,212 TENNECO AUTOMOTIVE, INC., SR. SUB. NOTES 280 8.625%, 11/15/14(2) 292,600 ------------------------------------------------------------------------------------------- $ 1,420,937 ------------------------------------------------------------------------------------------- BROADCAST MEDIA -- 0.6% PAXSON COMMUNICATIONS CORP. $ 4,500 4.82%, 1/15/10(2) $ 4,545,000 ------------------------------------------------------------------------------------------- $ 4,545,000 ------------------------------------------------------------------------------------------- BUILDING AND DEVELOPMENT -- 0.4% COLEMAN CABLE, INC., SR. NOTES $ 115 9.875%, 10/1/12(2) $ 121,612 COLLINS & AIKMAN FLOOR COVER 400 9.75%, 2/15/10 432,000 MUELLER GROUP, INC., SR. SUB. NOTES 600 10.00%, 5/1/12(2) 654,000 PLY GEM INDUSTRIES, INC., SR. SUB. NOTES 115 9.00%, 2/15/12(2) 117,300 1,000 9.00%, 2/15/12(2) 1,020,000
See notes to financial statements 12
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE ------------------------------------------------------------------------------------------- BUILDING AND DEVELOPMENT (CONTINUED) RMCC ACQUISITION CO., SR. SUB. NOTES $ 360 9.50%, 11/1/12(2) $ 363,600 ------------------------------------------------------------------------------------------- $ 2,708,512 ------------------------------------------------------------------------------------------- BUSINESS EQUIPMENT AND SERVICES -- 0.2% ALLIED SECURITY ESCROW, SR. SUB. NOTES $ 45 11.375%, 7/15/11(2) $ 48,375 ASG CONSOLIDATED, LLC/ASG FINANCE, INC., SR. DISC. NOTES 440 11.50%, 11/1/11(2) 283,800 COINMACH CORP., SR. NOTES 45 9.00%, 2/1/10 47,475 WILLIAMS SCOTSMAN, INC., SR. NOTES 1,015 10.00%, 8/15/08 1,131,725 ------------------------------------------------------------------------------------------- $ 1,511,375 ------------------------------------------------------------------------------------------- CABLE AND SATELLITE TELEVISION -- 0.4% INSIGHT COMMUNICATIONS, SR. DISC. NOTES $ 35 12.25%, 2/15/11 $ 33,775 KABEL DEUTSCHLAND GMBH 560 10.625%, 7/1/14(2) 646,800 ROGERS CABLE, INC., SR. NOTES 170 6.75%, 3/15/15(2) 173,400 UGS CORP., SR. SUB. NOTES 2,055 10.00%, 6/1/12(2) 2,352,975 ------------------------------------------------------------------------------------------- $ 3,206,950 ------------------------------------------------------------------------------------------- CHEMICALS AND PLASTICS -- 1.5% AVECIA GROUP PLC $ 1,035 11.00%, 7/1/09 $ 978,075 BCP CAYLUX HOLDINGS, SR. SUB. NOTES 670 9.625%, 6/15/14(2) 755,425 BORDEN U.S. FINANCE/NOVA SCOTIA FINANCE, SR. NOTES 1,115 9.00%, 7/15/14(2) 1,232,075 CRYSTAL US HOLDINGS/US HOLDINGS 3, LLC, SR. DISC. NOTES 1,545 10.50%, 10/1/14(2) 1,050,600 INNOPHOS, INC., SR. SUB. NOTES 1,070 8.875%, 8/15/14(2) 1,160,950 LYONDELL CHEMICAL CO. 1,005 9.50%, 12/15/08 1,100,475 MILACRON ESCROW CORP. 145 11.50%, 5/15/11 154,425 OM GROUP, INC. $ 2,010 9.25%, 12/15/11 $ 2,140,650 POLYONE CORP. 750 10.625%, 5/15/10 849,375 POLYONE CORP., SR. NOTES 25 8.875%, 5/1/12 27,250 RHODIA SA, SR. NOTES 780 10.25%, 6/1/10 869,700 ROCKWOOD SPECIALTIES GROUP, SR. SUB. NOTES 450 10.625%, 5/15/11 514,125 ------------------------------------------------------------------------------------------- $ 10,833,125 ------------------------------------------------------------------------------------------- CLOTHING / TEXTILES -- 0.1% GFSI, INC., SR. SUB. NOTES, SERIES B $ 30 9.625%, 3/1/07 $ 29,250 J CREW OPERATING CORP., SR. SUB. NOTES 10 10.375%, 10/15/07 10,250 LEVI STRAUSS & CO. 340 7.00%, 11/1/06 346,800 LEVI STRAUSS & CO., SR. NOTES 350 11.625%, 1/15/08 367,500 ------------------------------------------------------------------------------------------- $ 753,800 ------------------------------------------------------------------------------------------- COAL -- 0.0% ALPHA NATURAL RESOURCES, SR. NOTES $ 90 10.00%, 6/1/12(2) $ 102,150 ------------------------------------------------------------------------------------------- $ 102,150 ------------------------------------------------------------------------------------------- COMMERCIAL SERVICES -- 0.6% AFFINITY GROUP, INC., SR. SUB. NOTES $ 500 9.00%, 2/15/12 $ 542,500 AMERCO, INC. 2,115 9.00%, 3/15/09 2,252,475 NORCROSS SAFETY PRODUCTS LLC/NORCROSS CAPITAL CORP., SR. SUB. NOTES, SERIES B 1,000 9.875%, 8/15/11 1,105,000 WASTE SERVICES, INC., SR. SUB. NOTES 660 9.50%, 4/15/14(2) 660,000 ------------------------------------------------------------------------------------------- $ 4,559,975 ------------------------------------------------------------------------------------------- CONGLOMERATES -- 0.2% AMSTED INDUSTRIES, INC., SR. NOTES $ 1,000 10.25%, 10/15/11(2) $ 1,105,000 ------------------------------------------------------------------------------------------- $ 1,105,000 -------------------------------------------------------------------------------------------
See notes to financial statements 13
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE ------------------------------------------------------------------------------------------- CONSUMER PRODUCTS -- 0.3% FEDDERS NORTH AMERICA, INC. $ 15 9.875%, 3/1/14 $ 12,300 SAMSONITE CORP., SR. SUB. NOTES 1,680 8.875%, 6/1/11 1,795,500 ------------------------------------------------------------------------------------------- $ 1,807,800 ------------------------------------------------------------------------------------------- CONTAINERS AND GLASS PRODUCTS -- 0.5% INTERTAPE POLYMER US, INC., SR. SUB. NOTES $ 950 8.50%, 8/1/14(2) $ 957,125 OWENS-ILLINOIS, INC., SR. NOTES 135 8.10%, 5/15/07 143,100 PLASTIPAK HOLDINGS, INC. 500 10.75%, 9/1/11 562,500 PLIANT CORP. 1,605 11.125%, 9/1/09 1,765,500 ------------------------------------------------------------------------------------------- $ 3,428,225 ------------------------------------------------------------------------------------------- ECOLOGICAL SERVICES AND EQUIPMENT -- 0.1% ALDERWOODS GROUP, INC., SR. NOTES $ 70 7.75%, 9/15/12(2) $ 75,075 ALLIED WASTE, SERIES B 270 8.875%, 4/1/08 284,850 IMCO RECYCLING, SR. NOTES 110 9.00%, 11/15/14(2) 114,125 ------------------------------------------------------------------------------------------- $ 474,050 ------------------------------------------------------------------------------------------- ENGINEERING -- 0.2% SHAW GROUP, INC., SR. NOTES $ 1,135 10.75%, 3/15/10 $ 1,228,637 ------------------------------------------------------------------------------------------- $ 1,228,637 ------------------------------------------------------------------------------------------- EQUIPMENT LEASING -- 0.2% UNITED RENTALS NORTH AMERICA, INC. $ 80 6.50%, 2/15/12 $ 78,800 UNITED RENTALS NORTH AMERICA, INC., SR. SUB. NOTES 1,000 7.75%, 11/15/13 965,000 145 7.00%, 2/15/14 135,212 ------------------------------------------------------------------------------------------- $ 1,179,012 ------------------------------------------------------------------------------------------- FINANCIAL INTERMEDIARIES -- 0.6% FIRST CLO, LTD., SR. SUB. NOTES $ 1,000 Variable Rate, 3.96%, 7/27/16(2) $ 1,000,000 REFCO FINANCE HOLDINGS, LLC, SR. SUB. NOTES $ 1,770 9.00%, 8/1/12(2) $ 1,938,150 STANFIELD MODENA CLO LTD., SERIES 2004-1A, CLASS D, VARIABLE RATE 1,000 4.48%, 9/22/16(2) 1,000,000 ------------------------------------------------------------------------------------------- $ 3,938,150 ------------------------------------------------------------------------------------------- FOOD PRODUCTS -- 0.1% PINNACLE FOODS HOLDINGS CORP., SR. SUB. NOTES $ 20 8.25%, 12/1/13(2) $ 18,200 WH HOLDINGS LTD./WH CAPITAL CORP., SR. NOTES 500 9.50%, 4/1/11 552,500 ------------------------------------------------------------------------------------------- $ 570,700 ------------------------------------------------------------------------------------------- FOOD / DRUG RETAILERS -- 0.0% GENERAL NUTRITION CENTERS, SR. SUB. NOTES $ 45 8.50%, 12/1/10(2) $ 45,169 PIERRE FOODS, INC., SR. SUB. NOTES 40 9.875%, 7/15/12(2) 41,600 ------------------------------------------------------------------------------------------- $ 86,769 ------------------------------------------------------------------------------------------- FOREST PRODUCTS -- 0.2% BOISE CASCADE, LLC, SR. NOTES, VARIABLE RATE $ 160 5.005%, 10/15/12(2) $ 164,800 CARAUSTAR INDUSTRIES, INC., SR. SUB. NOTES 855 9.875%, 4/1/11 923,400 NEENAH PAPER, INC., SR. NOTES 110 7.375%, 11/15/14(2) 112,200 NEWARK GROUP, INC., SR. SUB. NOTES 550 9.75%, 3/15/14(2) 585,750 ------------------------------------------------------------------------------------------- $ 1,786,150 ------------------------------------------------------------------------------------------- HEALTH CARE-EQUIPMENT & SUPPLIES -- 0.1% ELAN FINANCE PLC/ELAN FINANCE CORP., SR. NOTES $ 410 7.75%, 11/15/11(2) $ 435,625 ------------------------------------------------------------------------------------------- $ 435,625 ------------------------------------------------------------------------------------------- HEALTHCARE -- 1.0% HCA, INC. $ 215 5.50%, 12/1/09 $ 214,198 HEALTHSOUTH CORP. 165 7.625%, 6/1/12 163,144
See notes to financial statements 14
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE ------------------------------------------------------------------------------------------- HEALTHCARE (CONTINUED) HEALTHSOUTH CORP., SR. NOTES $ 1,050 8.375%, 10/1/11 $ 1,065,750 INVERNESS MEDICAL INNOVATIONS, INC., SR. SUB. NOTES 550 8.75%, 2/15/12(2) 580,250 MEDICAL DEVICE MANUFACTURING, INC., SR. SUB. NOTES 230 10.00%, 7/15/12(2) 248,400 NATIONAL MENTOR, INC., SR. SUB. NOTES 135 9.625%, 12/1/12(2) 143,100 TENET HEALTHCARE CORP., SR. NOTES 490 9.875%, 7/1/14(2) 529,200 US ONCOLOGY, INC., SR. NOTES 390 9.00%, 8/15/12(2) 434,850 US ONCOLOGY, INC., SR. SUB. NOTES 1,840 10.75%, 8/15/14(2) 2,111,400 VANGUARD HEALTH HOLDINGS II, SR. SUB. NOTES 1,520 9.00%, 10/1/14(2) 1,622,600 ------------------------------------------------------------------------------------------- $ 7,112,892 ------------------------------------------------------------------------------------------- INDUSTRIAL EQUIPMENT -- 0.1% ALTRA INDUSTRIAL MOTION $ 70 9.00%, 12/1/11(2) $ 71,400 THERMADYNE HOLDINGS CORP., SR. SUB. NOTES 750 9.25%, 2/1/14 723,750 ------------------------------------------------------------------------------------------- $ 795,150 ------------------------------------------------------------------------------------------- LEISURE GOODS / ACTIVITIES / MOVIES -- 0.4% AMC ENTERTAINMENT, INC., SR. SUB. NOTES $ 215 9.875%, 2/1/12 $ 234,350 LCE ACQUISITION CORP., SR. SUB. NOTES 1,790 9.00%, 8/1/14(2) 1,933,200 MARQUEE HOLDINGS, INC., SR. DISC. NOTES 385 12.00%, 8/15/14(2) 248,325 MARQUEE, INC., SR. NOTES 35 8.625%, 8/15/12(2) 38,762 UNIVERSAL CITY DEVELOPMENT PARTNERS, SR. NOTES 160 11.75%, 4/1/10 186,400 ------------------------------------------------------------------------------------------- $ 2,641,037 ------------------------------------------------------------------------------------------- LODGING AND CASINOS -- 0.4% AFFINIA GROUP, INC., SR. SUB. NOTES $ 110 9.00%, 11/30/14(2) $ 113,850 INN OF THE MOUNTAIN GODS, SR. NOTES 1,000 12.00%, 11/15/10 1,170,000 MAJESTIC STAR CASINO LLC $ 500 9.50%, 10/15/10 $ 530,000 TRUMP ATLANTIC CITY ASSOCIATES, INC. 590 11.25%, 5/1/06(3) 540,587 WATERFORD GAMING LLC, SR. NOTES 408 8.625%, 9/15/12(2) 438,600 WYNN LAS VEGAS LLC/CORP. 180 6.625%, 12/1/14(2) 177,750 ------------------------------------------------------------------------------------------- $ 2,970,787 ------------------------------------------------------------------------------------------- MANUFACTURING -- 0.3% KI HOLDINGS, INC., SR. DISC. NOTES $ 200 0.00%, 11/15/14(2) $ 126,500 MAAX CORP., SR. SUB. NOTES 750 9.75%, 6/15/12(2) 821,250 OXFORD INDUSTRIES, INC., SR. NOTES 1,000 8.875%, 6/1/11(2) 1,085,000 ------------------------------------------------------------------------------------------- $ 2,032,750 ------------------------------------------------------------------------------------------- OIL AND GAS -- 0.6% BELDEN & BLAKE CORP., SR. NOTES $ 45 8.75%, 7/15/12(2) $ 48,937 DRESSER-RAND GROUP, INC., SR. SUB. NOTES 325 7.375%, 11/1/14(2) 335,562 EL PASO CGP CO., SR. DEBS. 245 9.625%, 5/15/12 268,887 EL PASO CORP. 200 6.95%, 12/15/07 206,500 EL PASO CORP., SR. NOTES 70 7.00%, 5/15/11 70,000 EL PASO PRODUCTION HOLDING CO. 1,245 7.75%, 6/1/13 1,304,137 GIANT INDUSTRIES 90 8.00%, 5/15/14 94,725 HANOVER COMPRESSOR CO., SR. SUB. NOTES 10 0.00%, 3/31/07 8,550 HARVEST OPERATIONS CORP., SR. NOTES 330 7.875%, 10/15/11(2) 338,250 NGC CORP., SR. DEBS. 95 7.125%, 5/15/18 85,263 185 7.625%, 10/15/26 161,413 PARKER DRILLING CO., SR. NOTES 110 9.625%, 10/1/13 124,025
See notes to financial statements 15
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE ------------------------------------------------------------------------------------------- OIL AND GAS (CONTINUED) PETROBRAS INTERNATIONAL FINANCE CO. $ 145 7.75%, 9/15/14 $ 151,888 TRANSMONTAIGNE, INC., SR. SUB. NOTES 515 9.125%, 6/1/10 563,925 UNITED REFINING CO., SR. NOTES 255 10.50%, 8/15/12(2) 269,025 ------------------------------------------------------------------------------------------- $ 4,031,087 ------------------------------------------------------------------------------------------- PUBLISHING -- 0.8% ADVANSTAR COMMUNICATIONS, INC. $ 1,000 10.75%, 8/15/10 $ 1,132,500 ADVANSTAR COMMUNICATIONS, INC., VARIABLE RATE 1,975 9.79%, 8/15/08 2,078,688 ADVERTISING DIRECTORY SOLUTIONS, INC., SR. NOTES 90 9.25%, 11/15/12(2) 94,500 AMERICAN MEDIA OPERATIONS, INC., SERIES B 35 10.25%, 5/1/09 36,750 CBD MEDIA, INC., SR. SUB. NOTES 135 8.625%, 6/1/11 142,763 HOUGHTON MIFFLIN CO., SR. SUB. NOTES 560 9.875%, 2/1/13 618,800 PRIMEDIA, INC. 1,350 8.875%, 5/15/11 1,397,250 ------------------------------------------------------------------------------------------- $ 5,501,251 ------------------------------------------------------------------------------------------- RADIO AND TELEVISION -- 0.4% 3815668 CANADA, INC., SR. SUB. NOTES $ 290 8.00%, 9/15/12(2) $ 311,750 CCO HOLDINGS LLC / CCO CAPITAL CORP., SENIOR NOTES 1,000 8.75%, 11/15/13 1,032,500 RAINBOW NATIONAL SERVICES, LLC, SR. NOTES 115 8.75%, 9/1/12(2) 122,188 RAINBOW NATIONAL SERVICES, LLC, SR. SUB. DEBS. 1,565 10.375%, 9/1/14(2) 1,666,725 ------------------------------------------------------------------------------------------- $ 3,133,163 ------------------------------------------------------------------------------------------- REITS -- 0.0% MERISTAR HOSPITALITY OPERATIONS/FINANCE $ 230 10.50%, 6/15/09 $ 253,000 ------------------------------------------------------------------------------------------- $ 253,000 ------------------------------------------------------------------------------------------- RETAILERS (EXCEPT FOOD AND DRUG) -- 0.0% HOME INTERIORS & GIFTS, INC. $ 45 10.025%, 6/1/08 $ 37,350 RIDDELL BELL HOLDINGS, SR. SUB. NOTES 45 8.375%, 10/1/12(2) 46,800 ------------------------------------------------------------------------------------------- $ 84,150 ------------------------------------------------------------------------------------------- SEMICONDUCTORS -- 0.3% ADVANCED MICRO DEVICES, INC., SR. NOTES $ 825 7.75%, 11/1/12(2) $ 845,625 AMKOR TECHNOLOGIES, INC. 65 5.75%, 6/1/06 63,050 AMKOR TECHNOLOGIES, INC., SR. NOTES 135 7.125%, 3/15/11 119,813 990 7.75%, 5/15/13 878,625 STATS CHIPPAC LTD., SR. NOTES 145 6.75%, 11/15/11(2) 143,188 ------------------------------------------------------------------------------------------- $ 2,050,301 ------------------------------------------------------------------------------------------- SURFACE TRANSPORT -- 0.5% HORIZON LINES, LLC $ 2,240 9.00%, 11/1/12(2) $ 2,458,400 OMI CORP., SR. NOTES 65 7.625%, 12/1/13 70,281 QUALITY DISTRIBUTION LLC/QD CAPITAL CORP. 895 9.00%, 11/15/10(2) 898,356 ------------------------------------------------------------------------------------------- $ 3,427,037 ------------------------------------------------------------------------------------------- TELECOMMUNICATIONS -- 1.9% AIRGATE PCS, INC., SR. NOTES, VARIABLE RATE $ 120 5.85%, 10/15/11(2) $ 123,300 ALAMOSA DELAWARE, INC., SR. DISC. NOTES 150 12.00%, 7/31/09 161,250 ALAMOSA DELAWARE, INC., SR. NOTES 220 11.00%, 7/31/10 257,950 75 8.50%, 1/31/12 81,000 CENTENNIAL CELLULAR OPERATING CO., LLC, SR. SUB. NOTES 45 10.75%, 12/15/08 47,025 CENTENNIAL CELLULAR OPERATING CO./CENTENNIAL COMMUNICATIONS CORP., SR. NOTES 600 10.125%, 6/15/13 657,000 INMARSAT FINANCE PLC 1,125 7.625%, 6/30/12 1,155,938
See notes to financial statements 16
PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE ------------------------------------------------------------------------------------------- TELECOMMUNICATIONS (CONTINUED) NEW SKIES SATELLITES NV, SR. NOTES, VARIABLE RATE $ 215 7.438%, 11/1/11(2) $ 221,450 NEW SKIES SATELLITES NV, SR. SUB. NOTES 290 9.125%, 11/1/12(2) 297,250 NORTEL NETWORKS LTD. 145 4.25%, 9/1/08 139,744 PANAMSAT CORP., SR. NOTES 1,355 9.00%, 8/15/14(2) 1,456,625 QWEST CAPITAL FUNDING, INC. 25 7.75%, 8/15/06 26,000 QWEST SERVICES CORP. 1,000 13.00%, 12/15/07(2) 1,145,000 ROGERS WIRELESS, INC. 690 7.50%, 3/15/15(2) 719,325 ROGERS WIRELESS, INC., SR. SUB. NOTES 185 8.00%, 12/15/12(2) 192,863 ROGERS WIRELESS, INC., VARIABLE RATE 1,617 5.525%, 12/15/10(2) 1,681,680 RURAL CELLULAR CORP., VARIABLE RATE 1,000 6.38%, 3/15/10 1,035,000 UBIQUITEL OPERATING CO., SR. NOTES 1,475 9.875%, 3/1/11 1,626,188 US UNWIRED, INC., SERIES B 1,230 10.00%, 6/15/12 1,362,225 WESTERN WIRELESS CORP., SR. NOTES 1,065 9.25%, 7/15/13 1,155,525 ------------------------------------------------------------------------------------------- $ 13,542,338 ------------------------------------------------------------------------------------------- UTILITIES -- 0.1% CALPINE CORP., SR. NOTES $ 165 7.625%, 4/15/06 $ 161,700 NRG ENERGY, INC., SR. NOTES 500 8.00%, 12/15/13(2) 555,000 ------------------------------------------------------------------------------------------- $ 716,700 ------------------------------------------------------------------------------------------- TOTAL CORPORATE BONDS & NOTES (IDENTIFIED COST $93,002,163) $ 96,376,085 -------------------------------------------------------------------------------------------
CLOSED-END INVESTMENT COMPANIES -- 0.5%
SHARES SECURITY VALUE ------------------------------------------------------------------------------------------- 75,000 Citigroup Investments Corporate Loan Fund $ 1,035,000 128,600 First Trust/Four Corners Senior Floating Rate Income Fund II 2,375,242 ------------------------------------------------------------------------------------------- TOTAL CLOSED-END INVESTMENT COMPANIES (IDENTIFIED COST, $3,517,275) $ 3,410,242 ------------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 157.1% (IDENTIFIED COST $1,110,774,227) $ 1,116,588,231 ------------------------------------------------------------------------------------------- OTHER ASSETS, LESS LIABILITIES -- 4.1% $ 29,387,964 ------------------------------------------------------------------------------------------- AUCTION PREFERRED SHARES PLUS CUMULATIVE UNPAID DIVIDENDS -- (61.2)% $ (435,257,711) ------------------------------------------------------------------------------------------- NET ASSETS APPLICABLE TO COMMON SHARES -- 100.0% $ 710,718,484 -------------------------------------------------------------------------------------------
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 $4,433,095 AS OF NOVEMBER 30, 2004. (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. INTEREST RATES ARE PERIODICALLY PREDETERMINED BY A REFERENCE TO A BASE LENDING RATE PLUS A PREMIUM. THESE BASE LENDING RATES ARE GENERALLY (i) THE PRIME RATE OFFERED BY ONE OR MORE MAJOR UNITED STATES BANKS OR (ii) THE LENDING RATE OFFERED BY ONE OR MORE EUROPEAN BANKS SUCH AS THE LONDON INTERBANK OFFERED RATE (LIBOR). (2) 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 NOVEMBER 30, 2004, THE AGGREGATE VALUE OF THE SECURITIES IS $48,503,217 OR 6.8% OF THE TRUST'S NET ASSETS. (3) DEFAULTED SECURITY. See notes to financial statements 17 EATON VANCE FLOATING-RATE INCOME TRUST as of November 30, 2004 FINANCIAL STATEMENTS (Unaudited) STATEMENT OF ASSETS AND LIABILITIES AS OF NOVEMBER 30, 2004 ASSETS Investments, at value (identified cost, $1,110,774,227) $ 1,116,588,231 Receivable for investments sold 22,372,091 Receivable for open swap contracts 82,311 Interest receivable 6,468,169 Cash collateral segregated for credit default swaps 4,000,000 Prepaid expenses 21,773 ---------------------------------------------------------------------------------------------------- TOTAL ASSETS $ 1,149,532,575 ---------------------------------------------------------------------------------------------------- LIABILITIES Due to bank $ 2,548,432 Payable for investments purchased 565,000 Payable to affiliate for Trustees' fees 6,200 Accrued expenses 436,748 ---------------------------------------------------------------------------------------------------- TOTAL LIABILITIES $ 3,556,380 ---------------------------------------------------------------------------------------------------- AUCTION PREFERRED SHARES (17,400 SHARES OUTSTANDING) AT LIQUIDATION VALUE PLUS CUMULATIVE UNPAID DIVIDENDS 435,257,711 ---------------------------------------------------------------------------------------------------- NET ASSETS APPLICABLE TO COMMON SHARES $ 710,718,484 ---------------------------------------------------------------------------------------------------- SOURCES OF NET ASSETS Common Shares, $0.01 par value, unlimited number of shares authorized, 37,246,324 shares issued and outstanding $ 372,463 Additional paid-in capital 705,645,220 Accumulated undistributed net realized gain (computed on the basis of identified cost) 205,707 Accumulated distributions in excess of net investment income (1,366,221) Net unrealized appreciation (computed on the basis of identified cost) 5,861,315 ---------------------------------------------------------------------------------------------------- NET ASSETS APPLICABLE TO COMMON SHARES $ 710,718,484 ---------------------------------------------------------------------------------------------------- NET ASSET VALUE PER COMMON SHARE ($710,718,484 DIVIDED BY 37,246,324 COMMON SHARES ISSUED AND OUTSTANDING) $ 19.08 ----------------------------------------------------------------------------------------------------
STATEMENT OF OPERATIONS FOR THE PERIOD ENDED NOVEMBER 30, 2004(1) INVESTMENT INCOME Interest $ 16,553,424 Dividends 15,480 ---------------------------------------------------------------------------------------------------- TOTAL INVESTMENT INCOME $ 16,568,904 ---------------------------------------------------------------------------------------------------- EXPENSES Investment adviser fee $ 2,875,682 Trustees' fees and expenses 6,200 Preferred shares remarketing agent fee 368,360 Custodian fee 90,608 Legal and accounting services 52,668 Printing and postage 31,000 Transfer and dividend disbursing agent fees 26,350 Organization expenses 7,500 Miscellaneous 49,926 ---------------------------------------------------------------------------------------------------- TOTAL EXPENSES $ 3,508,294 ---------------------------------------------------------------------------------------------------- Deduct -- Reduction of custodian fee $ 3,798 Reduction of Investment Adviser fee 766,848 Expense reimbursement 7,500 ---------------------------------------------------------------------------------------------------- TOTAL EXPENSE REDUCTIONS $ 778,146 ---------------------------------------------------------------------------------------------------- NET EXPENSES $ 2,730,148 ---------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME $ 13,838,756 ---------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) -- Investment transactions (identified cost basis) $ 188,585 Swap contracts 17,122 ---------------------------------------------------------------------------------------------------- NET REALIZED GAIN $ 205,707 ---------------------------------------------------------------------------------------------------- Change in unrealized appreciation (depreciation) -- Investments (identified cost basis) $ 5,814,004 Swap contracts 47,311 ---------------------------------------------------------------------------------------------------- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) $ 5,861,315 ---------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN $ 6,067,022 ---------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO PREFERRED SHAREHOLDERS FROM INCOME $ (1,764,620) ---------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 18,141,158 ----------------------------------------------------------------------------------------------------
(1) FOR THE PERIOD FROM THE START OF BUSINESS, JUNE 29, 2004, TO NOVEMBER 30, 2004. See notes to financial statements 18 STATEMENT OF CHANGES IN NET ASSETS
PERIOD ENDED NOVEMBER 30, 2004(1) ---------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS From operations -- Net investment income $ 13,838,756 Net realized gain from investment transactions and swap contracts 205,707 Net change in unrealized appreciation (depreciation) from investments and swap contracts 5,861,315 Distributions to preferred shareholders from net investment income (1,764,620) ---------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 18,141,158 ---------------------------------------------------------------------------------------------------- Distributions to common shareholders -- From net investment income $ (13,440,357) ---------------------------------------------------------------------------------------------------- TOTAL DISTRIBUTIONS TO COMMON SHAREHOLDERS $ (13,440,357) ---------------------------------------------------------------------------------------------------- Capital share transactions -- Proceeds from sale of common shares(2) $ 710,520,000 Reinvestment of distributions to common shareholders 785,416 Offering costs and preferred shares underwriting discounts (5,387,733) ---------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS $ 705,917,683 ---------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS $ 710,618,484 ---------------------------------------------------------------------------------------------------- NET ASSETS APPLICABLE TO COMMON SHARES At beginning of period $ 100,000 ---------------------------------------------------------------------------------------------------- AT END OF PERIOD $ 710,718,484 ---------------------------------------------------------------------------------------------------- ACCUMULATED DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME INCLUDED IN NET ASSETS APPLICABLE TO COMMON SHARES AT END OF PERIOD $ (1,366,221) ----------------------------------------------------------------------------------------------------
(1) FOR THE PERIOD FROM THE START OF BUSINESS, JUNE 29, 2004, TO NOVEMBER 30, 2004. (2) PROCEEDS FROM SALE OF SHARES NET OF SALES LOAD PAID OF $33,480,000. See notes to financial statements 19 EATON VANCE FLOATING-RATE INCOME TRUST as of November 30, 2004 FINANCIAL STATEMENTS FINANCIAL HIGHLIGHTS Selected data for a common share outstanding during the periods stated
PERIOD ENDED NOVEMBER 30, 2004 (UNAUDITED)(1)(2) --------------------------------------------------------------------------------------------------------- Net asset value -- Beginning of period (Common shares)(3) $ 19.100 --------------------------------------------------------------------------------------------------------- INCOME (LOSS) FROM OPERATIONS Net investment income $ 0.381(9) Net realized and unrealized gain 0.158(9) Distribution to preferred shareholders from net investment income (0.049) --------------------------------------------------------------------------------------------------------- TOTAL INCOME FROM OPERATIONS $ 0.490 --------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income $ (0.361) --------------------------------------------------------------------------------------------------------- TOTAL DISTRIBUTIONS TO COMMON SHAREHOLDERS $ (0.361) --------------------------------------------------------------------------------------------------------- PREFERRED AND COMMON SHARES OFFERING COSTS CHARGED TO PAID-IN CAPITAL $ (0.029) --------------------------------------------------------------------------------------------------------- PREFERRED SHARES UNDERWRITING DISCOUNTS $ (0.120) --------------------------------------------------------------------------------------------------------- NET ASSET VALUE -- END OF PERIOD (COMMON SHARES) $ 19.080 --------------------------------------------------------------------------------------------------------- MARKET VALUE -- END OF PERIOD (COMMON SHARES) $ 18.920 --------------------------------------------------------------------------------------------------------- TOTAL INVESTMENT RETURN ON NET ASSET VALUE(4) 1.80% --------------------------------------------------------------------------------------------------------- TOTAL INVESTMENT RETURN ON MARKET VALUE(4) 0.95% ---------------------------------------------------------------------------------------------------------
See notes to financial statements 20 Selected data for a common share outstanding during the periods stated
PERIOD ENDED NOVEMBER 30, 2004 (UNAUDITED)(1)(2) --------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA+ ++ Net assets applicable to common shares, end of period (000's omitted) $ 710,718 Ratios (As a percentage of average net assets applicable to common shares): Net expenses(5) 0.93%(6) Net expenses after custodian fee reduction(5) 0.93%(6) Net investment income(5) 4.70%(6) Portfolio Turnover 83% --------------------------------------------------------------------------------------------------------- + The operating expenses of the Trust reflect a reduction of the investment adviser fee and a reimbursement of expenses by the Adviser. 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) 1.19%(6) Expenses after custodian fee reduction(5) 1.19%(6) Net investment income(5) 4.44%(6) Net investment income per share $ 0.360 --------------------------------------------------------------------------------------------------------- ++ 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 3.60%(6) --------------------------------------------------------------------------------------------------------- + The operating expenses of the Trust reflect a reduction of the investment adviser fee and a reimbursement of expenses by the Adviser. 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 3.40%(6) --------------------------------------------------------------------------------------------------------- Senior Securities: Total preferred shares outstanding 17,400 Asset coverage per preferred share(7) $ 65,861 Involuntary liquidation preference per preferred share(8) $ 25,000 Approximate market value per preferred share(8) $ 25,000 ---------------------------------------------------------------------------------------------------------
(1) FOR THE PERIOD FROM THE START OF BUSINESS, JUNE 29, 2004, TO NOVEMBER 30, 2004. (2) COMPUTED USING AVERAGE COMMON SHARES OUTSTANDING. (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 TRUST'S LEVERAGED CAPITAL STRUCTURE. (6) ANNUALIZED. (7) CALCULATED BY SUBTRACTING THE TRUST'S TOTAL LIABILITIES (NOT INCLUDING THE PREFERRED SHARES) FROM THE TRUST'S TOTAL ASSETS, AND DIVIDING THIS BY THE NUMBER OF PREFERRED SHARES OUTSTANDING. (8) PLUS ACCUMULATED AND UNPAID DIVIDENDS. (9) FOR FEDERAL INCOME TAX PURPOSES, NET INVESTMENT INCOME WAS $0.436 AND NET REALIZED AND UNREALIZED GAIN PER SHARE WAS $0.103. COMPUTED USING AVERAGE COMMON SHARES OUTSTANDING. See notes to financial statements 21 EATON VANCE FLOATING-RATE INCOME TRUST as of November 30, 2004 NOTES TO FINANCIAL STATEMENTS (Unaudited) 1 SIGNIFICANT ACCOUNTING POLICIES Eaton Vance Floating-Rate Income 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 April 28, 2004, seeks to provide a high level of current income. The Trust will, 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 adviser, Eaton Vance Management (EVM), under procedures established by the Trustees as permitted by Section 2(a)(41) of the Investment Company Act of 1940. Such procedures include the consideration of relevant factors, data and information relating to fair value, including (i) the characteristics of and fundamental analytical data relating to the Senior Loan, including the cost, size, current interest rate, period until next interest rate reset, maturity and base lending rate of the Senior Loan, the terms and conditions of the Senior Loan and any related agreements, and the position of the Senior Loan in the Borrower's debt structure; (ii) the nature, adequacy and value of the collateral, including the 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. 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 22 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 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; or to mitigate default risk. 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 23 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. P INTERIM FINANCIAL STATEMENTS -- The interim financial statements relating to November 30, 2004 and for the period then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Trust's management reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements. 2 AUCTION PREFERRED SHARES The Trust issued 3,480 shares of Auction Preferred Shares (APS) Series A, 3,480 shares of Auction Preferred Shares (APS) Series B, 3,480 shares of Auction Preferred Shares (APS) Series C, 3,480 shares of Auction Preferred Shares (APS) Series D, and 3,480 shares of Auction Preferred Shares (APS) Series E on September 16, 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 Series A, Series B, and Series C, which accrue daily, are cumulative at a rate which was established at the offering of the APS and have been reset every 7 days thereafter by an auction. Dividends on the APS Series D and Series E, 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 1.60% to 2.18% for Series A shares, 1.75% to 2.07% for Series B shares, 1.75% to 2.07% for Series C shares, 1.85% to 2.20% for Series D shares, and 1.85% to 2.125% for Series E 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 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 24 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 seven or twenty-eight days. The applicable dividend rate for the Auction Preferred Shares on November 30, 2004 was 2.18%, 2.07%, 2.07%, 2.20%, and 2.125%, for Series A, Series B, Series C, Series D, and Series E Shares, respectively. For the period ended November 30, 2004, the Trust paid dividends to Auction Preferred shareholders amounting to $344,416, $351,887, $354,828, $358,861 and $354,628 for Series A, Series B, Series C, Series D, and Series E Shares, respectively, representing an average APS dividend rate for such period of 1.890%, 1.917%, 1.911%, 1.993%, and 1.955%, 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. 4 INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES EVM serves as the administrator of the Trust, but currently receives no compensation for providing administrative services to the Trust. The investment adviser fee is earned by Eaton Vance Management (EVM), as compensation for management and investment advisory services rendered to the Trust. Under the advisory agreement, EVM receives a monthly advisory fee in the amount equal to 0.75% annually of average daily gross assets of the Trust. For the period from the start of business, June 29, 2004 to November 30, 2004, the advisory fee amounted to $2,875,682. 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 daily gross assets in year six, 0.10% in year seven and 0.05% in year eight. For the period from the start of business, June 29, 2004 to November 30, 2004 the Investment Adviser waived $766,848 of its advisory fee. In addition, the Adviser has agreed to reimburse the Trust for all organizational costs, estimated at $7,500. During the period from the start of business, June 29, 2004 to November 30, 2004, the Trust engaged in purchase and sale transactions with other trusts that also utilize EVM as an investment adviser. These purchase and sale transactions complied with Rule 17a-7 under the Investment Company Act of 1940 and amounted to $36,940,673 and $10,500,00, respectively. Certain officers and Trustees of the Trust are officers of the above organization. 5 PURCHASES AND SALES OF INVESTMENTS Purchases and sales of investments, other than short-term obligations and including paydowns, aggregated $1,661,249,409 and $549,129,314 respectively, for the period from the start of business, June 29, 2004, to November 30, 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 NOVEMBER 30, 2004 (UNAUDITED)(1) -------------------------------------------------------------------------------- Sales 37,205,000 Issued to shareholders electing to receive payments of distributions in Fund shares 41,324 -------------------------------------------------------------------------------- NET INCREASE 37,246,324 --------------------------------------------------------------------------------
(1) For the period from the start of business, June 29, 2004 to November 30, 2004. 25 7 FEDERAL INCOME TAX BASIS OF UNREALIZED APPRECIATION (DEPRECIATION) The cost and unrealized appreciation (depreciation) in value of investments owned by the Trust at November 30, 2004, as computed on a federal income tax basis, were as follows: AGGREGATE COST $ 1,111,377,617 ----------------------------------------------------------------------------- Gross unrealized appreciation $ 7,205,878 Gross unrealized depreciation (1,995,264) ----------------------------------------------------------------------------- NET UNREALIZED APPRECIATION $ 5,210,614 -----------------------------------------------------------------------------
8 OVERDRAFT ADVANCES Pursuant to the custodian agreement between the Trust and Investors Bank & Trust (the Bank), the Bank may in its discretion advance funds to the Trust to make properly authorized payments. When such payments result in an overdraft by the Trust, the Trust is obligated to repay the Bank at the current rate of interest charged by the Bank for secured loans (currently, a rate above the federal funds rate). This obligation is payable on demand to the Bank. At November 30, 2004, the Trust's payment due to the Bank pursuant to the foregoing arrangement was $2,548,432. 9 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 November 30, 2004, the Trust had entered into a Credit Default Swap with Lehman Brothers Special Financing, Inc. dated September 24, 2004 whereby the Trust will receive 2.30% per year times the notional amount of $4,000,000. The Trust makes payment only upon a default event on underlying loan assets (50 in total, each representing 2.30% of the notional value of the swap). At November 30, 2004, the Trust had sufficient cash segregated to cover potential obligations arising from open swap contracts. 26 EATON VANCE FLOATING-RATE INCOME TRUST DIVIDEND REINVESTMENT PLAN The Trust offers a dividend reinvestment plan (the Plan) pursuant to which shareholders may elect to have 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. 27 EATON VANCE FLOATING-RATE INCOME 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 DISTRIBUTIONS IN CASH. THIS IS NOT A PROXY. THIS AUTHORIZATION FORM, WHEN SIGNED, SHOULD BE MAILED TO THE FOLLOWING ADDRESS: Eaton Vance Floating-Rate Income 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 November 30, 2004, our records indicate that there are 11 registered shareholders and approximately 24,200 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 EFT. 28 EATON VANCE FLOATING-RATE INCOME TRUST INVESTMENT MANAGEMENT EATON VANCE FLOATING-RATE INCOME TRUST OFFICERS Payson F. Swaffield President Thomas E. Faust Jr. Vice President James B. Hawkes Vice President and Trustee Scott H. Page Vice President Michael W. Weilheimer Vice President Barbara E. Campbell Treasurer Paul M. O'Neil Chief Compliance Officer Alan R. Dynner Secretary TRUSTEES Samuel L. Hayes, III William H. Park Ronald A. Pearlman Norton H. Reamer Lynn A. Stout 29 INVESTMENT ADVISER AND ADMINISTRATOR OF EATON VANCE FLOATING-RATE INCOME 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) 262-1122 EATON VANCE FLOATING-RATE INCOME TRUST THE EATON VANCE BUILDING 255 STATE STREET BOSTON, MA 02109 THIS REPORT MUST BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. BEFORE INVESTING, INVESTORS SHOULD CONSIDER CAREFULLY THE FUND'S INVESTMENT OBJECTIVE(S), RISKS, AND CHARGES AND EXPENSES. THE FUND'S CURRENT PROSPECTUS CONTAINS THIS AND OTHER INFORMATION ABOUT THE FUND AND IS AVAILABLE THROUGH YOUR FINANCIAL ADVISOR. PLEASE READ THE PROSPECTUS CAREFULLY BEFORE YOU INVEST OR SEND MONEY. FOR FURTHER INFORMATION PLEASE CALL 1-800-225-6265. 2224-1/05 CE-FLRINCSRC ITEM 2. CODE OF ETHICS The registrant has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-262-1122. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT The registrant's Board has designated William H. Park, Samuel L. Hayes, III and Norton H. Reamer, each an independent trustee, as its audit committee financial experts. Mr. Park is a certified public accountant who is the President and Chief Executive Officer of Prizm Capital Management, LLC (investment management firm). Previously, he served as Executive Vice President and Chief Financial Officer of United Asset Management Corporation ("UAM") (a holding company owning institutional investment management firms). Mr. Hayes is the Jacob H. Schiff Professor of Investment Banking Emeritus of the Harvard University Graduate School of Business Administration. Mr. Reamer is the President, Chief Executive Officer and a Director of Asset Management Finance Corp. (a specialty finance company serving the investment management industry) and is President of Unicorn Corporation (an investment and financial advisory services company). Formerly, Mr. Reamer was Chairman of Hellman, Jordan Management Co., Inc. (an investment management company) and Advisory Director of Berkshire Capital Corporation (an investment banking firm), Chairman of the Board of UAM and Chairman, President and Director of the UAM Funds (mutual funds). ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES Not required in this filing ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS Not required in this filing. ITEM 6. SCHEDULE OF INVESTMENTS Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES The Board of Trustees of the Trust has adopted a proxy voting policy and procedure (the "Fund Policy"), pursuant to which the Trustees have delegated proxy voting responsibility to the Fund's investment adviser and adopted the investment adviser's proxy voting policies and procedures (the "Policies") which are described below. The Trustees will review the Fund's proxy voting records from time to time and will annually consider approving the Policies for the upcoming year. In the event that a conflict of interest arises between the Fund's shareholders and the investment adviser, the administrator, or any of their affiliates or any affiliate of the Fund, the investment adviser will generally refrain from voting the proxies related to the companies giving rise to such conflict until it consults with the Board of the Fund except as contemplated under the Fund Policy. The Board's Special Committee will instruct the investment adviser on the appropriate course of action. The Policies are designed to promote accountability of a company's management to its shareholders and to align the interests of management with those shareholders. The investment adviser will generally support company management on proposals relating to environmental and social policy issues and on matters regarding the state of organization of the company. On all other matters, the investment adviser will take management's proposals under advisement but will consider each matter in light of the guidelines set forth in the Policies. Except in the instance of routine matters related to corporate administration which are not expected to have a significant economic impact on the company or its shareholders (on which the investment adviser will routinely vote with management), the investment adviser will review each matter on a case-by-case basis and reserves the right to deviate from the Policies guidelines when it believes the situation warrants such a deviation. The Policy includes voting guidelines for matters relating to, among other things, the election of directors, approval of independent auditors, executive compensation, corporate structure and anti-takeover defenses. The investment adviser may abstain from voting from time to time where it determines that the costs associated with voting a proxy outweighs the benefits derived from exercising the right to vote. In addition, the investment adviser will monitor situations that may result in a conflict of interest between the Fund's shareholders and the investment adviser, the administrator, or any of their affiliates or any affiliate of the Fund by maintaining a list of significant existing and prospective corporate clients. The investment adviser's personnel responsible for reviewing and voting proxies on behalf of the Fund will report any proxy received or expected to be received from a company included on that list to the investment adviser's general counsel or chief equity investment officer. The general counsel or chief equity investment officer will determine if a conflict exists. If a conflict does exist, the proxy will either be voted strictly in accordance with the Policy or the investment adviser will seek instruction on how to vote from the Board. Effective August 31, 2004, information on how the Fund voted proxies relating to portfolio securities during the 12 month period ended June 30, 2004 [is/will be] available (1) without charge, upon request, by calling 1-800-262-1122, and (2) on the Securities and Exchange Commission's website at http://www.sec.gov. ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not required in this filing. ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Effective February 7, 2005, the Governance Committee of the Board of Trustees revised the procedures by which a Fund's shareholders may recommend nominees to the registrant's Board of Trustees to add the following (highlighted): 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 (i)sufficient background information concerning the candidate, INCLUDING EVIDENCE THE CANDIDATE IS WILLING TO SERVE AS AN INDEPENDENT TRUSTEE IF SELECTED FOR THE POSITION; AND (ii) 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 IN WRITING to the attention of the Governance Committee, c/o the Secretary of the Fund. THE SECRETARY SHALL RETAIN COPIES OF ANY SHAREHOLDER RECOMMENDATIONS WHICH MEET THE FOREGOING REQUIREMENTS FOR A PERIOD OF NOT MORE THAN 12 MONTHS FOLLOWING RECEIPT. THE SECRETARY SHALL HAVE NO OBLIGATION TO ACKNOWLEDGE RECEIPT OF ANY SHAREHOLDER RECOMMENDATIONS. 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 FLOATING RATE INCOME TRUST By: /s/ Payson F. Swaffield ----------------------- Payson F. Swaffield President Date: January 19, 2005 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: January 19, 2005 By: /s/ Payson F. Swaffield ----------------------- Payson F. Swaffield President Date: January 19, 2005