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: 811-09013
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Eaton Vance Senior Income Trust
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(Exact Name of registrant as Specified in Charter)
The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
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(Address of Principal Executive Offices)
Alan R. Dynner
The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
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(Name and Address of Agent for Services)
(617) 482-8260
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(registrant's Telephone Number)
June 30
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Date of Fiscal Year End
December 31, 2004
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Date of Reporting Period
ITEM 1. REPORTS TO STOCKHOLDERS
[EV LOGO]
[GRAPHIC IMAGE]
SEMIANNUAL REPORT DECEMBER 31, 2004
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EATON VANCE SENIOR INCOME TRUST
[GRAPHIC IMAGE]
IMPORTANT NOTICES REGARDING PRIVACY,
DELIVERY OF SHAREHOLDER DOCUMENTS,
PORTFOLIO HOLDINGS, AND PROXY VOTING
PRIVACY. 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 number, 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.
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.
PORTFOLIO HOLDINGS. Each Eaton Vance Fund and its underlying Portfolio (if
applicable) will file a schedule of its portfolio holdings on Form N-Q with the
Securities and Exchange Commission for the first and third quarters of each
fiscal year. The 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 Securities and Exchange Commision'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).
PROXY VOTING. 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 (if applicable) 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 Funds or
Portfolios voted proxies relating to Portfolio securities during the most recent
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 www.sec.gov.
EATON VANCE SENIOR INCOME TRUST as of December 31, 2004
MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE
THE TRUST
PERFORMANCE FOR THE SIX MONTHS ENDED DECEMBER 31, 2004
- Based on the Trust's December 2004 monthly dividend payment of $0.037 and a
closing share price of $8.73, the Trust had a market yield of 5.09%.(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 -5.44% for the six months ended December 31, 2004.(2) That
return was the result of a decrease in share price from $9.46 on June 30,
2004 to $8.73 on December 31, 2004 and the reinvestment of $0.217 in monthly
dividend payments.
- Based on net asset value, the Trust had a total return of 2.71% for the six
months ended December 31, 2004.(2) That return was the result of an increase
in net asset value from $8.78 on June 30, 2004 to $8.80 on December 31,
2004, and the reinvestment of all distributions.
- For performance comparison, the S&P/Loan Syndications and Trading
Association (LSTA) Index , had a return of 2.26% for the six months ended
December 31, 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, consistent with preservation of capital, by investing primarily in
senior loans. The Trust invests primarily in senior secured floating-rate
loans. The Trust also employs leverage through the issuance of preferred
shares and participation in a commercial paper program.(4)
- The Trust's senior floating-rate loan investments included 347 borrowers,
ranging across 37 industries at December 31, 2004. The Trust's average loan
size was just 0.25% of loan assets (based on net assets), and no industry
constituted more than 7.0% of the Trust's loan investments.
Telecommunications, automotive, publishing, containers and glass products
and health care were the Trust's largest loan sector weightings.*
- The Federal Reserve raised its Federal Funds rate - a short-term interest
rate benchmark - five times from June 30, 2004 through December 31, 2004.
With their relatively short 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 16.3% of its net
assets at December 31, 2004 (9.6% of total investments). This component
provided a yield enhancement for the Trust and performed well during the
past year.
- At December 31, 2004, the Trust had leverage in the amount of approximately
42% of the Trust's total assets. The Trust uses leverage through the
issuance of preferred shares and participation in a commercial paper
program. 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. THE RETURNS DO NOT
INCLUDE DIVIDENDS DECLARED IN DECEMBER 2004 AND PAYABLE IN 2005. INVESTMENT
RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE IS FOR THE STATED TIME
PERIOD ONLY; DUE TO MARKET VOLATILITY, THE FUND'S CURRENT PERFORMANCE MAY BE
LOWER OR HIGHER THAN THE QUOTED RETURN.
THE VIEWS EXPRESSED IN THIS REPORT ARE THOSE OF THE PORTFOLIO MANAGERS AND ARE
CURRENT ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON THE COVER.
THESE VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED UPON MARKET OR OTHER
CONDITIONS, AND EATON VANCE DISCLAIMS ANY RESPONSIBILITY TO UPDATE SUCH VIEWS.
THESE VIEWS MAY NOT BE RELIED ON AS INVESTMENT ADVICE AND, BECAUSE INVESTMENT
DECISIONS FOR AN EATON VANCE FUND ARE BASED ON MANY FACTORS, MAY NOT BE RELIED
ON AS AN INDICATION OF TRADING INTENT ON BEHALF OF ANY EATON VANCE FUND.
FUND INFORMATION as of December 31, 2004
PERFORMANCE(2)
Average Annual Total Return (by share price, NYSE)
One Year -1.03%
Five Years 5.88
Life of Fund (10/30/98) 5.33
Average Annual Total Return (at net asset value)
One Year 6.18%
Five Years 4.95
Life of Fund (10/30/98) 5.51
(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 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.
SHARES OF THE TRUST ARE NOT INSURED BY THE FDIC AND ARE NOT DEPOSITS OR OTHER
OBLIGATIONS OF, OR GUARANTEED BY, ANY DEPOSITORY INSTITUTION. SHARES ARE SUBJECT
TO INVESTMENT RISKS, INCLUDING POSSIBLE LOSS OF PRINCIPAL INVESTED. YIELD WILL
VARY.
2
TRUST SECTOR ALLOCATIONS
SECTOR ALLOCATIONS(1)
[CHART]
Short-Term Investments(2) 2.4%
Corporate Banks/Notes 9.6%
Senior Floating-Rate Interests 86.6%
Other 1.4%
(1) As a percentage of total investments as of December 31, 2004. Holdings
subject to change due to active management.
(2) Includes other assets, less liabilities.
3
EATON VANCE SENIOR INCOME TRUST as of December 31, 2004
PORTFOLIO OF INVESTMENTS
SENIOR, FLOATING RATE INTERESTS -- 146.5%(1)
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
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AEROSPACE AND DEFENSE -- 1.8%
$ 397,813 K&F Industries, Inc.
Term Loan, 4.93%, Maturing November 18, 2012 $ 404,733
1,217,104 Standard Aero Holdings, Inc.
Term Loan, 4.96%, Maturing August 24, 2012 1,235,742
1,985,000 Transdigm, Inc.
Term Loan, 6.03%, Maturing July 22, 2010 2,014,156
1,541,553 United Defense Industries, Inc.
Term Loan, 4.50%, Maturing June 30, 2009 1,561,466
635,000 Vought Aircraft
Term Loan, 4.92%, Maturing December 17, 2011 645,319
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$ 5,861,416
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AIR TRANSPORT -- 0.4%
$ 1,250,000 United Airlines, Inc.
DIP Loan, 8.00%, Maturing June 30, 2005 $ 1,265,104
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$ 1,265,104
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AUTOMOTIVE -- 9.9%
$ 2,400,000 Acuride Corp.
Term Loan, 5.69%, Maturing January 21, 2007 $ 2,436,751
335,000 Affina Group, Inc.
Term Loan, 4.92%, Maturing November 30, 2011 340,695
1,884,318 Collins & Aikman Products, Co.
Revolving Loan, 6.34%, Maturing August 31, 2009 1,890,598
CSA Acquisition Corp.
124,583 Term Loan, 4.63%, Maturing December 23, 2011 126,296
200,417 Term Loan, 4.63%, Maturing December 23, 2011 203,172
1,393,000 Dayco Products, LLC
Term Loan, 4.16%, Maturing June 23, 2011 1,415,636
979,900 Dura Operating Corp.
Term Loan, 4.92%, Maturing December 31, 2008 989,699
Exide Technologies
915,000 Term Loan, 5.91%, Maturing May 5, 2010 898,987
915,000 Term Loan, 5.91%, Maturing May 5, 2010 898,987
Federal-Mogul Corp.
1,500,000 Term Loan, 4.65%, Maturing February 24, 2005 1,425,937
750,000 Term Loan, 4.65%, Maturing February 24, 2005 710,906
763,183 Term Loan, 6.15%, Maturing February 24, 2005 767,953
2,141,875 HLI Operating Co., Inc.
Term Loan, 6.04%, Maturing June 3, 2009 2,176,680
962,841 Key Automotive Group
Term Loan, 5.43%, Maturing June 29, 2010 977,284
148,875 Meridian Automotive Systems, Inc.
Term Loan, 6.72%, Maturing April 27, 2010 139,849
$ 1,316,537 Metaldyne, Inc.
Term Loan, 6.56%, Maturing December 31, 2009 $ 1,311,463
484,483 Plastech Engineered Products, Inc.
Term Loan, 5.31%, Maturing March 31, 2010 492,456
498,750 R.J. Tower Corp.
Term Loan, 9.56%, Maturing January 29, 2010 511,141
1,386,841 Tenneco Automotive, Inc.
Term Loan, 4.84%, Maturing December 12, 2010 1,413,422
The Goodyear Tire & Rubber Co.
1,400,000 Term Loan, 4.48%, Maturing March 31, 2006 1,421,875
2,500,000 Term Loan, 6.14%, Maturing March 31, 2006 2,542,707
650,000 TI Automotive, Ltd.
Term Loan, 6.03%, Maturing June 30, 2011 644,922
2,154,606 Trimas Corp.
Term Loan, 5.63%, Maturing December 31, 2009 2,182,549
TRW Automotive, Inc.
2,871,644 Term Loan, 3.88%, Maturing February 27, 2009 2,878,823
2,079,380 Term Loan, 3.88%, Maturing February 27, 2011 2,099,134
902,724 United Components, Inc.
Term Loan, 4.67%, Maturing June 30, 2010 915,136
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$ 31,813,058
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BEVERAGE AND TOBACCO -- 2.3%
$ 2,690,000 Constellation Brands, Inc.
Term Loan, 4.95%, Maturing December 22, 2011 $ 2,729,677
850,000 Culligan International Co.
Term Loan, 4.85%, Maturing September 30, 2011 864,698
711,938 DS Waters, L.P.
Term Loan, 6.85%, Maturing November 7, 2009 691,292
2,440,062 Southern Wine & Spirits of America, Inc.
Term Loan, 4.69%, Maturing June 28, 2008 2,472,469
590,000 Sunny Delight Beverages Co.
Term Loan, 6.78%, Maturing August 20, 2010 579,675
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$ 7,337,811
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BUILDING AND DEVELOPMENT -- 8.2%
$ 449,611 AGBRI Octagon
Term Loan, 4.54%, Maturing May 31, 2005 $ 446,239
2,000,000 BRE/Homestead, LLC
Term Loan, 5.87%, Maturing January 11, 2006 1,996,250
1,000,000 Concordia Properties, LLC
Term Loan, 6.06%, Maturing January 31, 2006 1,000,625
600,742 DMB/CHII, LLC
Term Loan, 4.62%, Maturing March 3, 2009 602,244
Formica Corp.
64,704 Term Loan, 7.03%, Maturing June 10, 2010 65,027
158,152 Term Loan, 7.03%, Maturing June 10, 2010 158,943
80,879 Term Loan, 7.03%, Maturing June 10, 2010 81,283
230,806 Term Loan, 7.03%, Maturing June 10, 2010 231,960
See notes to financial statements
4
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
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BUILDING AND DEVELOPMENT (CONTINUED)
$ 693,000 FT-FIN Acquistion, LLC
Term Loan, 7.19%, Maturing November 17, 2007 $ 694,732
4,725,000 General Growth Properties, Inc.
Term Loan, 4.53%, Maturing November 12, 2008 4,743,928
1,502,000 Landsource Communities Development, LLC
Term Loan, 4.94%, Maturing March 31, 2010 1,525,939
437,800 Maax Corp.
Term Loan, 4.97%, Maturing June 4, 2011 442,178
1,181,193 Mueller Group, Inc.
Term Loan, 5.08%, Maturing April 25, 2011 1,195,219
1,132,396 Newkirk Master, L.P.
Term Loan, 4.67%, Maturing November 24, 2006 1,149,382
Newkirk Tender Holdings, LLC
911,305 Term Loan, 7.06%, Maturing May 25, 2006 920,418
1,277,778 Term Loan, 8.47%, Maturing May 25, 2006 1,290,556
947,625 Nortek, Inc.
Term Loan, 4.75%, Maturing August 27, 2011 964,604
Panolam Industries Holdings
539,985 Term Loan, 5.16%, Maturing June 3, 2011 547,410
641,167 Term Loan, 8.48%, Maturing December 3, 2011 656,395
Ply Gem Industries, Inc.
375,000 Term Loan, 4.59%, Maturing February 12, 2011 379,453
658,028 Term Loan, 5.28%, Maturing February 12, 2011 665,842
96,622 Term Loan, 5.28%, Maturing February 12, 2011 97,770
South Edge, LLC
328,125 Term Loan, 4.69%, Maturing October 31, 2007 329,766
421,875 Term Loan, 4.69%, Maturing October 31, 2009 425,830
1,200,000 Sugarloaf Mills, LLC
Term Loan, 5.35%, Maturing April 7, 2008 1,197,000
The Woodlands Commercial Property Co.
173,000 Term Loan, 4.03%, Maturing November 30, 2007 173,000
554,000 Term Loan, 4.03%, Maturing November 30, 2007 558,155
1,500,000 Tower Financing I, LLC
Term Loan, 5.95%, Maturing April 8, 2009 1,501,875
2,234,265 Whitehall Street Real Estate, L.P.
Term Loan, 5.24%, Maturing September 11, 2006(2) 2,274,034
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$ 26,316,057
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BUSINESS EQUIPMENT AND SERVICES -- 3.4%
$ 392,381 Allied Security Holdings, LLC
Term Loan, 6.81%, Maturing June 30, 2010 $ 398,757
1,700,000 Baker & Taylor, Inc.
Term Loan, 9.35%, Maturing May 6, 2011 1,700,000
488,807 Global Imaging Systems, Inc.
Term Loan, 4.66%, Maturing May 10, 2010 495,986
369,750 Infousa, Inc.
Term Loan, 6.94%, Maturing June 9, 2010 374,372
4,020,191 Iron Mountain, Inc.
Term Loan, 4.19%, Maturing April 2, 2011 4,050,342
Mitchell International, Inc.
$ 459,038 Term Loan, 5.55%, Maturing August 13, 2011 $ 465,780
746,873 Term Loan, 8.80%, Maturing August 13, 2012 751,541
1,481,250 Quintiles Transnational Corp.
Term Loan, 6.76%, Maturing September 25, 2009 1,509,023
992,347 Williams Scotsman, Inc.
Term Loan, 5.18%, Maturing December 31, 2006 1,005,992
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$ 10,751,793
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CABLE AND SATELLITE TELEVISION -- 7.9%
$ 968,268 Adelphia Communications Corp.
DIP Loan, 4.81%, Maturing March 31, 2005 $ 974,521
1,494,183 Atlantic Broadband Finance, LLC
Term Loan, 4.81%, Maturing February 10, 2011 1,525,311
558,645 Bragg Communication, Inc.
Term Loan, 4.97%, Maturing August 31, 2011 566,327
Bresnan Communications, LLC
500,000 Term Loan, 5.86%, Maturing September 30, 2009 506,250
1,000,000 Term Loan, 5.86%, Maturing September 30, 2010 1,014,688
1,004,950 Canadian Cable Acquisition Co., Inc.
Term Loan, 5.56%, Maturing July 30, 2011 1,016,570
Cebridge Connections, Inc.
763,088 Term Loan, 5.56%, Maturing February 23, 2009 764,518
794,000 Term Loan, 5.56%, Maturing February 23, 2010 794,000
7,208,763 Charter Communications Operating, LLC
Term Loan, 4.00%, Maturing April 27, 2011 7,223,778
Insight Midwest Holdings, LLC
1,980,000 Term Loan, 3.87%, Maturing December 31, 2009 2,014,100
1,485,000 Term Loan, 5.19%, Maturing December 31, 2009 1,509,828
845,750 Mediacom Broadband
Term Loan, 5.06%, Maturing September 30, 2010 859,018
1,500,000 Mediacom Illinois, LLC
Term Loan, 3.90%, Maturing March 31, 2013 1,507,366
1,750,000 NTL, Inc.
Term Loan, 5.20%, Maturing April 13, 2012 1,767,500
2,719,273 Panamsat Corp.
Term Loan, 5.16%, Maturing August 20, 2011 2,738,110
398,000 UGS Corp.
Term Loan, 4.67%, Maturing May 27, 2011 404,716
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$ 25,186,601
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CHEMICALS AND PLASTICS -- 6.7%
$ 1,275,000 Brenntag AG
Term Loan, 4.73%, Maturing December 9, 2011 $ 1,286,050
496,250 Hercules, Inc.
Term Loan, 3.99%, Maturing October 8, 2010 500,282
2,209,442 Huntsman International, LLC
Term Loan, 4.94%, Maturing December 31, 2010 2,237,612
See notes to financial statements
5
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
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CHEMICALS AND PLASTICS (CONTINUED)
$ 1,200,000 Huntsman, LLC
Term Loan, 5.94%, Maturing March 31, 2010 $ 1,222,500
411,605 Innophos, Inc.
Term Loan, 3.87%, Maturing August 13, 2010 417,393
Invista B.V.
2,018,648 Term Loan, 5.31%, Maturing April 29, 2011 2,056,498
910,759 Term Loan, 5.31%, Maturing April 29, 2011 926,128
694,750 ISP Chemco, Inc.
Term Loan, 4.62%, Maturing March 27, 2011 703,290
1,479,036 Kraton Polymers, LLC
Term Loan, 5.31%, Maturing December 5, 2008 1,499,989
3,329,426 Nalco Co.
Term Loan, 4.46%, Maturing November 4, 2010 3,380,929
750,000 Resolution Specialty Materials
Term Loan, 4.46%, Maturing August 2, 2010 762,422
1,835,000 Rockwood Specialties Group, Inc.
Term Loan, 4.38%, Maturing July 30, 2012 1,849,192
1,360,286 Solo Cup Co.
Term Loan, 4.88%, Maturing February 27, 2011 1,387,067
United Industries Corp.
2,036,019 Term Loan, 4.63%, Maturing April 29, 2011 2,070,377
497,500 Term Loan, 6.63%, Maturing October 31, 2011 505,895
400,000 Wellman, Inc.
Term Loan, 3.77%, Maturing February 10, 2009 405,667
167,500 Westlake Chemical Corp.
Term Loan, 4.38%, Maturing July 31, 2010 169,698
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$ 21,380,989
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CLOTHING / TEXTILES -- 0.5%
$ 190,000 Propex Fabrics, Inc.
Term Loan, 4.69%, Maturing December 1, 2011 $ 191,187
860,000 SI Corp.
Term Loan, 6.44%, Maturing December 2, 2009 874,512
581,141 St. John Knits International, Inc.
Term Loan, 3.20%, Maturing July 31, 2007 587,558
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$ 1,653,257
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CONGLOMERATES -- 3.1%
$ 2,168,981 Amsted Industries, Inc.
Term Loan, 4.97%, Maturing October 15, 2010 $ 2,203,550
740,905 Blount, Inc.
Term Loan, 5.08%, Maturing August 9, 2010 753,871
442,151 Identity Now Holdings
Term Loan, 4.99%, Maturing January 21, 2005(2) 336,034
1,199,414 Johnson Diversey, Inc.
Term Loan, 4.48%, Maturing November 30, 2009 1,219,841
Polymer Group, Inc.
$ 1,176,428 Term Loan, 5.28%, Maturing April 27, 2010 $ 1,190,154
1,250,000 Term Loan, 5.28%, Maturing April 27, 2011 1,264,062
1,243,750 PP Acquisition Corp.
Term Loan, 4.67%, Maturing November 12, 2011 1,262,406
1,753,125 Rexnord Corp.
Term Loan, 5.19%, Maturing November 30, 2009 1,770,656
-----------------------------------------------------------------------------------------------------
$ 10,000,574
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CONTAINERS AND GLASS PRODUCTS -- 8.5%
$ 2,144,707 Berry Plastics Corp.
Term Loan, 4.22%, Maturing July 22, 2010 $ 2,174,197
325,500 BWAY Corp.
Term Loan, 4.51%, Maturing June 30, 2011 331,060
Celanese AG
498,750 Term Loan, 4.81%, Maturing April 6, 2011 504,361
700,000 Term Loan, 4.81%, Maturing December 8, 2011 709,625
646,750 Consolidated Container Holdings, LLC
Term Loan, 4.95%, Maturing December 15, 2008 655,239
1,344,914 Dr. Pepper/Seven Up Bottling Group, Inc.
Term Loan, 4.31%, Maturing December 19, 2010 1,367,190
Graham Packaging Holdings Co.
2,300,000 Term Loan, 4.91%, Maturing October 7, 2011 2,334,088
1,000,000 Term Loan, 4.91%, Maturing October 7, 2012 1,027,000
4,562,742 Graphic Packaging International, Inc.
Term Loan, 4.51%, Maturing August 8, 2009 4,647,724
215,302 Greif Bros. Corp.
Term Loan, 3.88%, Maturing August 31, 2008 217,858
369,075 IPG (US), Inc.
Term Loan, 4.79%, Maturing July 28, 2011 374,611
497,500 Kranson Industries, Inc.
Term Loan, 5.31%, Maturing July 30, 2011 502,475
Owens-Illinois, Inc.
684,735 Term Loan, 4.95%, Maturing April 1, 2007 697,788
404,959 Term Loan, 5.17%, Maturing April 1, 2008 413,227
2,565,877 Printpack Holdings, Inc.
Term Loan, 4.86%, Maturing April 30, 2009 2,593,140
3,814,568 Silgan Holdings, Inc.
Term Loan, 4.33%, Maturing December 31, 2008 3,860,461
Smurfit-Stone Container Corp.
315,687 Term Loan, 4.40%, Maturing November 1, 2011 320,883
2,522,910 Term Loan, 4.40%, Maturing November 1, 2011 2,562,961
801,916 Term Loan, 4.40%, Maturing November 1, 2011 814,822
992,500 U.S. Can Corp.
Term Loan, 5.89%, Maturing January 10, 2010 996,222
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$ 27,104,932
-----------------------------------------------------------------------------------------------------
See notes to financial statements
6
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
-----------------------------------------------------------------------------------------------------
COSMETICS / TOILETRIES -- 1.1%
American Safety Razor Co.
$ 281,956 Term Loan, 5.70%, Maturing April 29, 2011 $ 283,366
333,334 Term Loan, 5.70%, Maturing October 29, 2011 338,334
Prestige Brands, Inc.
893,250 Term Loan, 4.86%, Maturing April 7, 2011 905,346
1,000,000 Term Loan, 6.86%, Maturing April 7, 2011 1,026,042
825,000 Revlon Consumer Products Corp.
Term Loan, 5.13%, Maturing July 9, 2010 852,844
-----------------------------------------------------------------------------------------------------
$ 3,405,932
-----------------------------------------------------------------------------------------------------
DRUGS -- 0.1%
$ 305,000 Herbalife International, Inc.
Term Loan, 4.72%, Maturing December 21, 2010 $ 309,575
-----------------------------------------------------------------------------------------------------
$ 309,575
-----------------------------------------------------------------------------------------------------
ECOLOGICAL SERVICES AND EQUIPMENT -- 3.0%
$ 425,025 Alderwoods Group, Inc.
Term Loan, 4.62%, Maturing September 29, 2009 $ 429,541
Allied Waste Industries, Inc.
495,000 Term Loan, 5.13%, Maturing January 15, 2009 501,652
3,391,871 Term Loan, 5.13%, Maturing January 15, 2010 3,446,107
1,633,500 Casella Waste Systems, Inc.
Term Loan, 4.93%, Maturing January 24, 2010 1,654,430
723,372 Environmental Systems, Inc.
Term Loan, 5.74%, Maturing December 12, 2008 732,415
493,750 IESI Corp.
Term Loan, 5.08%, Maturing September 30, 2010 498,379
522,387 Ionics, Inc.
Term Loan, 5.31%, Maturing February 13, 2011 525,162
1,285,714 National Waterworks, Inc.
Term Loan, 5.06%, Maturing November 22, 2009 1,306,071
Sensus Metering Systems, Inc.
64,239 Term Loan, 4.65%, Maturing December 17, 2010 64,708
428,261 Term Loan, 6.00%, Maturing December 17, 2010 431,384
-----------------------------------------------------------------------------------------------------
$ 9,589,849
-----------------------------------------------------------------------------------------------------
ELECTRONICS / ELECTRICAL -- 4.1%
$ 493,750 AMI Semiconductor
Term Loan, 4.92%, Maturing September 30, 2008 $ 499,922
475,955 Communications & Power, Inc.
Term Loan, 6.75%, Maturing July 23, 2010 482,871
995,000 Enersys Capital, Inc.
Term Loan, 5.35%, Maturing March 17, 2011 1,010,236
1,477,500 Fairchild Semiconductor Corp.
Term Loan, 3.70%, Maturing December 31, 2010 1,497,355
2,326,015 Invensys International Holdings, Ltd.
Term Loan, 5.19%, Maturing September 5, 2009 2,363,813
$ 1,000,000 Memec Group, Ltd.
Term Loan, 10.50%, Maturing June 15, 2010 $ 1,002,250
1,073,999 Panavision, Inc.
Term Loan, 8.48%, Maturing January 12, 2007 1,090,445
2,372,810 Rayovac Corp.
Term Loan, 4.77%, Maturing September 30, 2009 2,411,368
Security Co., Inc.
497,500 Term Loan, 6.44%, Maturing June 28, 2010 503,097
500,000 Term Loan, 9.56%, Maturing June 28, 2011 500,000
Vertafore, Inc.
270,000 Term Loan, 8.42%, Maturing December 22, 2010 272,362
500,000 Term Loan, 8.42%, Maturing December 22, 2011 508,750
1,000,000 Viasystems, Inc.
Term Loan, 6.49%, Maturing September 30, 2009 1,010,208
-----------------------------------------------------------------------------------------------------
$ 13,152,677
-----------------------------------------------------------------------------------------------------
EQUIPMENT LEASING -- 1.0%
$ 1,218,083 Anthony Crane Rental, L.P.
Term Loan, 8.50%, Maturing July 23, 2004 $ 1,088,154
1,000,000 Ashtead Group PLC
Term Loan, 4.81%, Maturing November 12, 2009 1,015,625
United Rentals, Inc.
166,667 Term Loan, 4.63%, Maturing February 14, 2011 168,264
827,083 Term Loan, 4.63%, Maturing February 14, 2011 838,973
-----------------------------------------------------------------------------------------------------
$ 3,111,016
-----------------------------------------------------------------------------------------------------
FARMING / AGRICULTURE -- 1.0%
$ 493,734 Central Garden & Pet Co.
Term Loan, 4.17%, Maturing May 15, 2009 $ 498,363
2,781,108 IMC Global, Inc.
Term Loan, 5.08%, Maturing November 17, 2006 2,791,537
-----------------------------------------------------------------------------------------------------
$ 3,289,900
-----------------------------------------------------------------------------------------------------
FINANCIAL INTERMEDIARIES -- 1.9%
$ 2,350,000 Aimco Properties, L.P.
Term Loan, 4.18%, Maturing November 2, 2009 $ 2,395,531
311,777 Coinstar, Inc.
Term Loan, 4.29%, Maturing July 7, 2011 317,233
982,311 Corrections Corp. of America
Term Loan, 4.40%, Maturing March 31, 2008 998,887
2,324,175 Refco Group, Ltd., LLC
Term Loan, 4.92%, Maturing August 5, 2011 2,352,646
-----------------------------------------------------------------------------------------------------
$ 6,064,297
-----------------------------------------------------------------------------------------------------
See notes to financial statements
7
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
-----------------------------------------------------------------------------------------------------
FOOD PRODUCTS -- 4.4%
$ 523,688 Acosta Sales Co., Inc.
Term Loan, 4.61%, Maturing August 13, 2010 $ 530,561
American Seafood Holdings, Inc.
314,555 Term Loan, 5.81%, Maturing September 30, 2007 315,144
746,669 Term Loan, 5.81%, Maturing March 31, 2009 757,636
414,404 Atkins Nutritional, Inc.
Term Loan, 4.81%, Maturing November 26, 2009 371,928
1,589,930 Del Monte Corp.
Term Loan, 4.38%, Maturing December 20, 2010 1,617,008
1,077,300 Doane Pet Care Co.
Term Loan, 6.43%, Maturing November 5, 2009 1,095,479
Interstate Brands Corp.
901,793 Term Loan, 8.17%, Maturing July 19, 2007 879,732
485,000 Term Loan, 8.17%, Maturing July 19, 2007 470,814
1,483,119 Merisant Co.
Term Loan, 4.88%, Maturing January 31, 2010 1,490,535
Michael Foods, Inc.
919,293 Term Loan, 5.06%, Maturing November 20, 2010 934,519
1,000,000 Term Loan, 5.06%, Maturing November 20, 2011 1,028,750
Pinnacle Foods Holdings Corp.
2,708,888 Term Loan, 5.42%, Maturing November 25, 2010 2,709,451
516,116 Term Loan, 5.42%, Maturing November 25, 2010 516,223
987,500 Reddy Ice Group, Inc.
Term Loan, 4.92%, Maturing July 31, 2009 999,227
466,447 Seminis Vegetable Seeds, Inc.
Term Loan, 4.46%, Maturing September 30, 2009 473,250
-----------------------------------------------------------------------------------------------------
$ 14,190,257
-----------------------------------------------------------------------------------------------------
FOOD SERVICE -- 3.2%
$ 921,815 AFC Enterprises, Inc.
Term Loan, 5.79%, Maturing May 23, 2009 $ 932,377
Buffets, Inc.
209,091 Term Loan, 5.70%, Maturing June 28, 2009 210,136
1,128,689 Term Loan, 5.70%, Maturing June 28, 2009 1,134,332
295,000 Carrols Corp.
Term Loan, 4.94%, Maturing May 1, 2010 300,070
271,957 CKE Restaurants, Inc.
Term Loan, 4.99%, Maturing May 1, 2010 276,716
1,250,000 Denny's, Inc.
Term Loan, 5.67%, Maturing September 21, 2009 1,276,173
3,302,105 Domino's, Inc.
Term Loan, 4.31%, Maturing June 25, 2010 3,346,822
1,230,000 Gate Gourmet Borrower, LLC
Term Loan, 10.50%, Maturing December 31, 2008 1,162,350
744,375 Jack in the Box, Inc.
Term Loan, 4.48%, Maturing January 8, 2011 755,774
464,286 Maine Beverage Co., LLC
Term Loan, 5.78%, Maturing June 30, 2010 466,607
$ 498,750 Weight Watchers International, Inc.
Term Loan, 6.76%, Maturing March 31, 2010 $ 502,699
-----------------------------------------------------------------------------------------------------
$ 10,364,056
-----------------------------------------------------------------------------------------------------
FOOD / DRUG RETAILERS -- 3.5%
$ 2,361,490 Cumberland Farms, Inc.
Term Loan, 5.10%, Maturing September 8, 2008 $ 2,380,677
993,728 General Nutrition Centers, Inc.
Term Loan, 4.53%, Maturing December 5, 2009 999,939
2,841,650 Giant Eagle, Inc.
Term Loan, 3.86%, Maturing August 6, 2009 2,877,762
2,437,500 Roundy's, Inc.
Term Loan, 3.72%, Maturing June 6, 2009 2,467,969
1,421,438 The Jean Coutu Group (PJC), Inc.
Term Loan, 6.14%, Maturing July 30, 2011 1,444,536
1,074,812 The Pantry, Inc.
Term Loan, 4.44%, Maturing March 12, 2011 1,092,278
-----------------------------------------------------------------------------------------------------
$ 11,263,161
-----------------------------------------------------------------------------------------------------
FOREST PRODUCTS -- 2.5%
Boise Cascade Holdings, LLC
$ 3,148,630 Term Loan, 4.22%, Maturing September 29, 2010 $ 3,190,831
2,301,370 Term Loan, 4.69%, Maturing October 28, 2010 2,309,360
216,591 Buckeye Technologies, Inc.
Term Loan, 4.79%, Maturing March 15, 2008 219,975
Koch Cellulose, LLC
286,936 Term Loan, 4.80%, Maturing May 7, 2011 289,984
1,146,516 Term Loan, 4.80%, Maturing May 7, 2011 1,158,698
703,607 RLC Industries Co.
Term Loan, 3.92%, Maturing February 24, 2010 707,565
-----------------------------------------------------------------------------------------------------
$ 7,876,413
-----------------------------------------------------------------------------------------------------
HEALTHCARE -- 8.2%
$ 1,044,750 Accredo Health, Inc.
Term Loan, 4.23%, Maturing April 30, 2011 $ 1,053,239
1,204,361 Alliance Imaging, Inc.
Term Loan, 4.63%, Maturing June 10, 2008 1,206,870
391,243 AMN Healthcare, Inc.
Term Loan, 4.92%, Maturing October 2, 2008 394,911
573,563 Ardent Health Services, Inc.
Term Loan, 4.80%, Maturing July 12, 2011 576,430
348,864 Colgate Medical, Ltd.
Term Loan, 4.55%, Maturing December 30, 2008 353,006
3,430,153 Community Health Systems, Inc.
Term Loan, 4.15%, Maturing August 19, 2011 3,462,043
985,050 Concentra Operating Corp.
Term Loan, 4.78%, Maturing June 30, 2009 995,721
See notes to financial statements
8
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
-----------------------------------------------------------------------------------------------------
HEALTHCARE (CONTINUED)
$ 1,227,583 Conmed Corp.
Term Loan, 5.05%, Maturing December 31, 2007 $ 1,242,160
347,318 Cross Country Healthcare, Inc.
Term Loan, 4.40%, Maturing June 5, 2009 349,922
2,951,515 DaVita, Inc.
Term Loan, 4.16%, Maturing March 31, 2009 2,962,321
962,025 DJ Orthopedics, Inc.
Term Loan, 4.40%, Maturing May 15, 2009 972,247
850,000 Encore Medical IHC, Inc.
Term Loan, 5.35%, Maturing October 4, 2010 864,344
698,056 Envision Worldwide, Inc.
Term Loan, 7.39%, Maturing September 30, 2010 699,801
FHC Health Systems, Inc.
243,750 Term Loan, 6.09%, Maturing December 18, 2009 246,188
348,214 Term Loan, 10.40%, Maturing December 18, 2009 351,696
992,461 Hanger Orthopedic Group, Inc.
Term Loan, 6.06%, Maturing September 30, 2009 1,003,626
362,083 Kinetic Concepts, Inc.
Term Loan, 4.22%, Maturing October 3, 2009 365,101
942,383 Knowledge Learning Corp.
Term Loan, 7.00%, Maturing December 31, 2010 947,095
532,325 Leiner Health Products, Inc.
Term Loan, 5.56%, Maturing May 27, 2011 540,975
Magellan Health Services, Inc.
457,958 Term Loan, 4.43%, Maturing August 15, 2008 464,541
778,529 Term Loan, 4.43%, Maturing August 15, 2008 789,720
248,750 Medcath Holdings Corp.
Term Loan, 5.06%, Maturing July 2, 2011 252,715
922,688 National Mentor, Inc.
Term Loan, 5.48%, Maturing September 30, 2011 939,411
507,450 Sunrise Medical Holdings, Inc.
Term Loan, 5.59%, Maturing May 13, 2010 513,159
822,498 Sybron Dental Management
Term Loan, 4.26%, Maturing June 6, 2009 828,025
1,191,000 Team Health, Inc.
Term Loan, 5.81%, Maturing March 23, 2011 1,196,211
1,450,837 Triad Hospitals Holdings, Inc.
Term Loan, 4.32%, Maturing March 31, 2008 1,472,781
663,338 Vanguard Health Holding Co., LLC
Term Loan, 5.84%, Maturing September 23, 2011 674,946
617,850 VWR International, Inc.
Term Loan, 4.90%, Maturing April 7, 2011 629,126
-----------------------------------------------------------------------------------------------------
$ 26,348,331
-----------------------------------------------------------------------------------------------------
HOME FURNISHINGS -- 2.7%
$ 448,000 General Binding Corp.
Term Loan, 6.70%, Maturing January 15, 2008 $ 449,680
1,536,561 Interline Brands, Inc.
Term Loan, 5.19%, Maturing December 31, 2010 1,555,768
$ 398,420 Juno Lighting, Inc.
Term Loan, 4.67%, Maturing November 21, 2010 $ 404,148
1,651,012 Knoll, Inc.
Term Loan, 5.34%, Maturing September 30, 2011 1,670,102
1,481,378 Sealy Mattress Co.
Term Loan, 4.54%, Maturing April 6, 2012 1,503,599
1,968,889 Simmons Co.
Term Loan, 4.06%, Maturing December 19, 2011 1,995,961
985,000 Termpur-Pedic, Inc.
Term Loan, 4.84%, Maturing June 30, 2009 994,234
-----------------------------------------------------------------------------------------------------
$ 8,573,492
-----------------------------------------------------------------------------------------------------
INDUSTRIAL EQUIPMENT -- 1.5%
$ 108,625 Bucyrus International, Inc.
Term Loan, 4.15%, Maturing July 28, 2010 $ 110,526
1,072,740 Chart Industries, Inc.
Term Loan, 5.63%, Maturing September 15, 2009 1,079,444
602,369 Colfax Corp.
Term Loan, 4.81%, Maturing November 30, 2011 601,256
1,129,339 Flowserve Corp.
Term Loan, 5.20%, Maturing June 30, 2009 1,149,809
Gleason Corp.
275,000 Term Loan, 8.10%, Maturing July 27, 2011 278,438
750,000 Term Loan, 8.10%, Maturing January 31, 2012 757,500
811,216 Itron, Inc.
Term Loan, 4.79%, Maturing December 17, 2010 820,004
-----------------------------------------------------------------------------------------------------
$ 4,796,977
-----------------------------------------------------------------------------------------------------
INSURANCE -- 2.9%
$ 995,000 Alliant Resources Group, Inc.
Term Loan, 5.67%, Maturing August 31, 2011 $ 996,244
1,033,811 CCC Information Services Group
Term Loan, 5.42%, Maturing August 20, 2010 1,046,733
2,880,000 Conseco, Inc.
Term Loan, 5.92%, Maturing June 22, 2010 2,935,800
3,327,175 Hilb, Rogal & Hobbs Co.
Term Loan, 4.81%, Maturing December 15, 2011 3,372,923
987,500 U.S.I. Holdings Corp.
Term Loan, 4.63%, Maturing August 11, 2007 992,747
-----------------------------------------------------------------------------------------------------
$ 9,344,447
-----------------------------------------------------------------------------------------------------
LEISURE GOODS / ACTIVITIES / MOVIES -- 7.0%
$ 339,000 Alliance Atlantis Comm., Inc.
Term Loan, 5.07%, Maturing December 31, 2011 $ 343,661
389,776 AMF Bowling Worldwide, Inc.
Term Loan, 4.44%, Maturing August 27, 2009 393,918
See notes to financial statements
9
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
-----------------------------------------------------------------------------------------------------
LEISURE GOODS / ACTIVITIES / MOVIES (CONTINUED)
Bombardier Recreational Products, Inc.
$ 877,140 Term Loan, 4.69%, Maturing December 18, 2010 $ 891,394
386,100 Term Loan, 4.69%, Maturing December 18, 2010 392,374
1,985,000 Cinemark, Inc.
Term Loan, 4.62%, Maturing March 31, 2011 2,013,122
625,000 Hollywood Entertainment Corp.
Term Loan, 6.04%, Maturing March 31, 2008 628,516
2,099,738 Loews Cineplex Entertainment Co.
Term Loan, 4.56%, Maturing July 30, 2011 2,130,085
4,488,750 Metro-Goldwyn-Mayer Studios, Inc.
Term Loan, 4.79%, Maturing April 30, 2011 4,507,827
4,474,922 Regal Cinemas Corp.
Term Loan, 4.56%, Maturing November 10, 2010 4,523,587
2,252,289 Six Flags Theme Parks, Inc.
Term Loan, 4.84%, Maturing June 30, 2009 2,287,129
1,010,000 Universal City Development Partners, Ltd.
Term Loan, 4.41%, Maturing June 9, 2011 1,026,413
3,374,500 WMG Acquisition Corp.
Term Loan, 5.21%, Maturing February 28, 2011 3,423,710
-----------------------------------------------------------------------------------------------------
$ 22,561,736
-----------------------------------------------------------------------------------------------------
LODGING AND CASINOS -- 5.3%
$ 1,721,489 Alliance Gaming Corp.
Term Loan, 4.90%, Maturing September 5, 2009 $ 1,732,606
Ameristar Casinos, Inc.
1,179,192 Term Loan, 4.23%, Maturing December 31, 2006 1,197,862
295,000 Term Loan, 4.44%, Maturing December 31, 2006 299,671
1,147,125 Argosy Gaming Co.
Term Loan, 4.31%, Maturing June 30, 2011 1,155,371
539,985 CNL Hospitality Partners, L.P.
Term Loan, 4.83%, Maturing October 13, 2006 548,760
850,000 CNL Resort Hotel, L.P.
Term Loan, 4.85%, Maturing August 18, 2006 850,000
327,452 Globalcash Access, LLC
Term Loan, 5.17%, Maturing March 10, 2010 332,568
3,088,508 Isle of Capri Casinos, Inc.
Term Loan, 4.62%, Maturing April 25, 2008 3,127,757
1,475,000 Marina District Finance Co., Inc.
Term Loan, 4.62%, Maturing October 14, 2011 1,488,213
345,454 Mohegan Tribal Gaming Authority
Term Loan, 5.55%, Maturing March 31, 2008 346,318
678,104 Penn National Gaming, Inc.
Term Loan, 4.99%, Maturing July 31, 2006 681,156
735,000 Pinnacle Entertainment, Inc.
Term Loan, 5.42%, Maturing August 27, 2010 746,025
350,000 Seminole Tribe of Florida
Term Loan, 6.00%, Maturing September 30, 2011 353,500
978,828 Vail Resorts, Inc.
Term Loan, 4.38%, Maturing December 10, 2008 988,413
$ 1,295,455 Venetian Casino Resort, LLC
Term Loan, 5.84%, Maturing June 15, 2011 $ 1,319,475
1,783,925 Wyndham International, Inc.
Term Loan, 5.21%, Maturing June 30, 2006 1,795,633
44,162 Wynn Las Vegas, LLC
Term Loan, 4.58%, Maturing December 14, 2011 44,751
-----------------------------------------------------------------------------------------------------
$ 17,008,079
-----------------------------------------------------------------------------------------------------
NONFERROUS METALS / MINERALS -- 1.6%
$ 539,553 Compass Minerals Group, Inc.
Term Loan, 4.78%, Maturing November 28, 2009 $ 547,647
740,000 Consol Energy, Inc.
Term Loan, 4.78%, Maturing June 30, 2010 752,488
778,191 Foundation Coal Corp.
Term Loan, 4.73%, Maturing July 30, 2011 790,740
475,000 ICG, LLC
Term Loan, 4.99%, Maturing November 5, 2010 482,719
500,000 International Mill Service, Inc.
Term Loan, 8.17%, Maturing October 26, 2011 508,750
Magnequench, Inc.
461,328 Term Loan, 13.35%, Maturing September 30, 2009 464,788
500,000 Term Loan, 13.35%, Maturing December 31, 2009 505,000
939,309 Stillwater Mining Co.
Term Loan, 5.69%, Maturing June 30, 2007 959,270
-----------------------------------------------------------------------------------------------------
$ 5,011,402
-----------------------------------------------------------------------------------------------------
OIL AND GAS -- 5.8%
$ 446,501 Beldon & Blake Corp.
Term Loan, 5.05%, Maturing July 21, 2011 $ 450,408
598,500 Dresser Rand Group, Inc.
Term Loan, 4.56%, Maturing October 29, 2011 608,300
254,878 Dresser, Inc.
Term Loan, 4.97%, Maturing April 10, 2009 258,064
2,636,750 Dynegy Holdings, Inc.
Term Loan, 6.31%, Maturing May 28, 2010 2,679,597
El Paso Corp.
1,071,750 Term Loan, 5.19%, Maturing November 23, 2009 1,080,793
1,786,250 Term Loan, 5.19%, Maturing November 23, 2009 1,804,236
1,546,667 Getty Petroleum Marketing, Inc.
Term Loan, 5.80%, Maturing May 19, 2010 1,576,633
1,750,000 La Grange Acquisition, L.P.
Term Loan, 5.44%, Maturing January 18, 2008 1,778,985
945,250 Lyondell-Citgo Refining, L.P.
Term Loan, 4.59%, Maturing May 21, 2007 955,884
975,000 Magellan Midstream Holdings, L.P.
Term Loan, 4.62%, Maturing December 10, 2011 988,406
578,550 Semgroup, L.P.
Term Loan, 5.33%, Maturing August 27, 2010 587,590
See notes to financial statements
10
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
-----------------------------------------------------------------------------------------------------
OIL AND GAS (CONTINUED)
$ 701,714 Sprague Energy Corp.
Revolving Loan, 4.69%, Maturing August 10, 2007 $ 699,960
2,000,000 The Premcor Refining Group, Inc.
Term Loan, 4.67%, Maturing April 13, 2009 2,032,500
2,960,112 Williams Production RMT Co.
Term Loan, 6.17%, Maturing May 30, 2007 3,009,449
-----------------------------------------------------------------------------------------------------
$ 18,510,805
-----------------------------------------------------------------------------------------------------
PUBLISHING -- 9.1%
$ 298,128 Advanstar Communications, Inc.
Term Loan, 4.17%, Maturing October 11, 2007 $ 300,302
Advertising Directory Solution
1,375,000 Term Loan, 6.92%, Maturing May 9, 2010 1,404,219
730,000 Term Loan, 6.92%, Maturing November 9, 2011 736,844
American Media Operations, Inc.
136,136 Term Loan, 5.04%, Maturing April 1, 2006 135,965
1,101,535 Term Loan, 4.81%, Maturing April 1, 2007 1,118,402
876,179 Term Loan, 4.81%, Maturing April 1, 2008 890,691
500,000 CBD Media, LLC
Term Loan, 4.54%, Maturing December 31, 2009 507,500
Dex Media East, LLC
1,518,004 Term Loan, 4.14%, Maturing November 8, 2008 1,534,766
1,749,598 Term Loan, 4.14%, Maturing May 8, 2009 1,770,375
Dex Media West, LLC
684,443 Term Loan, 4.14%, Maturing September 9, 2009 691,358
2,180,447 Term Loan, 4.14%, Maturing March 9, 2010 2,204,750
1,425,000 Freedom Communications, Inc.
Term Loan, 4.73%, Maturing May 18, 2012 1,449,047
Herald Media, Inc.
149,250 Term Loan, 5.03%, Maturing July 22, 2011 151,395
500,000 Term Loan, 5.03%, Maturing January 22, 2012 508,282
2,500,000 Lamar Media Corp.
Term Loan, 6.17%, Maturing June 30, 2010 2,528,125
1,201,142 Liberty Group Operating, Inc.
Term Loan, 5.56%, Maturing March 31, 2007 1,208,649
698,282 Merrill Communications, LLC
Term Loan, 4.79%, Maturing July 30, 2009 708,102
Morris Publishing Group, LLC
800,000 Term Loan, 3.94%, Maturing September 30, 2010 806,750
1,200,000 Term Loan, 3.94%, Maturing March 31, 2011 1,214,626
481,363 Nebraska Book Co., Inc.
Term Loan, 4.67%, Maturing March 4, 2011 487,680
R.H. Donnelley Corp.
158,359 Term Loan, 4.24%, Maturing December 31, 2009 159,489
2,807,224 Term Loan, 7.39%, Maturing June 30, 2011 2,839,097
Source Media, Inc.
256,000 Term Loan, 4.69%, Maturing November 8, 2011 259,200
250,000 Term Loan, 7.94%, Maturing August 30, 2012 255,313
SP Newsprint Co.
345,556 Term Loan, 5.40%, Maturing January 9, 2010 352,251
644,444 Term Loan, 5.40%, Maturing January 9, 2010 652,500
$ 2,402,962 Sun Media Corp.
Term Loan, 4.14%, Maturing February 7, 2009 $ 2,421,736
Transwestern Publishing Co., LLC
403,988 Term Loan, 4.60%, Maturing February 25, 2011 409,290
794,001 Term Loan, 4.60%, Maturing February 25, 2011 806,284
750,000 Weekly Reader Corp.
Term Loan, 6.76%, Maturing March 18, 2009 748,125
-----------------------------------------------------------------------------------------------------
$ 29,261,113
-----------------------------------------------------------------------------------------------------
RADIO AND TELEVISION -- 5.1%
$ 300,000 Adams Outdoor Advertising, L.P.
Term Loan, 4.61%, Maturing April 15, 2012 $ 305,625
927,480 Block Communications, Inc.
Term Loan, 5.31%, Maturing November 30, 2009 934,436
2,247,845 Canwest Media, Inc.
Term Loan, 4.49%, Maturing August 15, 2009 2,278,753
3,303,673 DirecTV Holdings, LLC
Term Loan, 4.40%, Maturing March 6, 2010 3,347,447
997,500 Gray Television, Inc.
Term Loan, 3.83%, Maturing December 31, 2010 1,011,839
Lin Television Corp.
670,714 Term Loan, 4.56%, Maturing December 31, 2007 679,238
687,857 Term Loan, 4.56%, Maturing December 31, 2007 697,028
520,757 NEP Supershooters, L.P.
Term Loan, 4.67%, Maturing August 3, 2011 516,852
Nexstar Broadcasting, Inc.
672,535 Term Loan, 4.31%, Maturing December 31, 2010 675,898
367,240 Term Loan, 4.31%, Maturing December 31, 2010 368,846
1,488,680 Rainbow National Services, LLC
Term Loan, 5.19%, Maturing March 31, 2012 1,514,111
1,200,000 Raycom National, LLC
Term Loan, 5.19%, Maturing February 24, 2012 1,215,000
2,650,000 Susquehanna Media Co.
Term Loan, 4.14%, Maturing March 9, 2012 2,688,923
-----------------------------------------------------------------------------------------------------
$ 16,233,996
-----------------------------------------------------------------------------------------------------
RAIL INDUSTRIES -- 0.2%
Railamerica, Inc.
$ 688,660 Term Loan, 4.38%, Maturing September 29, 2011 $ 699,420
81,407 Term Loan, 4.38%, Maturing September 29, 2011 82,679
-----------------------------------------------------------------------------------------------------
$ 782,099
-----------------------------------------------------------------------------------------------------
RETAILERS (EXCEPT FOOD AND DRUG) -- 5.2%
$ 347,375 American Achievement Corp.
Term Loan, 0.00%, Maturing March 25, 2011 $ 353,020
498,750 Amscan Holdings, Inc.
Term Loan, 3.78%, Maturing April 30, 2012 502,802
See notes to financial statements
11
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
-----------------------------------------------------------------------------------------------------
RETAILERS (EXCEPT FOOD AND DRUG) (CONTINUED)
$ 3,781,523 Coinmach Laundry Corp.
Term Loan, 5.36%, Maturing July 25, 2009 $ 3,827,612
1,980,000 CSK Auto, Inc.
Term Loan, 4.35%, Maturing June 20, 2009 2,002,275
330,000 Dollarama Group, L.P.
Term Loan, 6.50%, Maturing November 18, 2011 333,197
496,250 FTD, Inc.
Term Loan, 4.65%, Maturing February 28, 2011 503,694
997,500 Harbor Freight Tools USA, Inc.
Term Loan, 3.88%, Maturing July 15, 2010 1,001,553
687,469 Home Interiors & Gifts, Inc.
Term Loan, 7.17%, Maturing March 31, 2011 664,783
1,420,000 Josten's Corp.
Term Loan, 4.67%, Maturing December 6, 2011 1,432,932
Oriental Trading Co., Inc.
1,829,465 Term Loan, 5.19%, Maturing August 4, 2010 1,839,375
500,000 Term Loan, 5.19%, Maturing January 8, 2011 510,104
404,359 Petco Animal Supplies, Inc.
Term Loan, 6.75%, Maturing October 2, 2008 409,540
1,289,947 Rent-A-Center, Inc.
Term Loan, 4.80%, Maturing June 30, 2010 1,307,684
Savers, Inc.
397,493 Term Loan, 6.52%, Maturing August 4, 2009 400,723
500,000 Term Loan, 6.52%, Maturing August 4, 2010 506,250
1,061,000 Travelcenters of America, Inc.
Term Loan, 4.19%, Maturing October 1, 2008 1,073,599
-----------------------------------------------------------------------------------------------------
$ 16,669,143
-----------------------------------------------------------------------------------------------------
SURFACE TRANSPORT -- 1.2%
$ 248,750 Horizon Lines, LLC
Term Loan, 5.17%, Maturing July 7, 2011 $ 252,170
939,107 Laidlaw International, Inc.
Term Loan, 6.17%, Maturing June 19, 2009 944,977
NFIL Holdings Corp.
328,188 Term Loan, 4.14%, Maturing February 27, 2010 332,291
958,350 Term Loan, 4.94%, Maturing February 27, 2010 970,330
1,197,059 Sirva Worldwide, Inc.
Term Loan, 4.42%, Maturing December 31, 2010 1,205,663
-----------------------------------------------------------------------------------------------------
$ 3,705,431
-----------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 10.0%
$ 1,343,250 American Tower, L.P.
Term Loan, 4.23%, Maturing August 31, 2011 $ 1,361,824
348,250 Cellular South, Inc.
Term Loan, 4.49%, Maturing May 4, 2011 354,997
1,985,000 Centennial Cellular Operating Co., LLC
Term Loan, 4.81%, Maturing February 9, 2011 2,013,534
$ 1,348,020 Cincinnati Bell, Inc.
Term Loan, 4.62%, Maturing June 30, 2008 $ 1,362,680
1,491,661 Consolidated Communications, Inc.
Term Loan, 4.78%, Maturing October 14, 2011 1,516,833
470,225 D&E Communications, Inc.
Term Loan, 4.42%, Maturing December 31, 2011 473,164
334,000 Iowa Telecommunications Services
Term Loan, 4.38%, Maturing November 23, 2005 337,340
4,950,000 Nextel Communications
Term Loan, 4.31%, Maturing December 15, 2010 4,959,014
1,325,000 Nextel Partners Operating Corp.
Term Loan, 4.94%, Maturing May 31, 2011 1,345,585
1,491,108 NTELOS, Inc.
Term Loan, 6.17%, Maturing July 25, 2008 1,492,972
5,000,000 Qwest Corp.
Term Loan, 7.39%, Maturing June 4, 2007 5,220,835
1,961,496 SBA Senior Finance, Inc.
Term Loan, 4.86%, Maturing October 31, 2008 1,988,467
1,226,000 Spectrasite Communications, Inc.
Term Loan, 4.03%, Maturing May 23, 2012 1,235,450
305,000 Stratos Global Corp.
Term Loan, 4.75%, Maturing December 3, 2010 307,859
830,000 Triton PCS, Inc.
Term Loan, 5.66%, Maturing November 18, 2009 841,413
263,964 USA Mobility, Inc.
Term Loan, 4.82%, Maturing November 16, 2006 266,604
Valor Telecom Enterprise, LLC
775,000 Term Loan, 4.38%, Maturing November 10, 2011 800,575
1,645,875 Term Loan, 4.82%, Maturing November 10, 2011 1,664,391
Westcom Corp.
475,000 Term Loan, 7.00%, Maturing December 17, 2010 483,313
600,000 Term Loan, 7.00%, Maturing June 17, 2011 624,000
3,334,497 Western Wireless Corp.
Term Loan, 5.24%, Maturing May 28, 2011 3,392,254
169,348 Winstar Communications, Inc.
DIP Loan, 5.18%, Maturing December 31, 2005(2)(3) 61,490
-----------------------------------------------------------------------------------------------------
$ 32,104,594
-----------------------------------------------------------------------------------------------------
UTILITIES -- 2.2%
$ 2,320,974 Allegheny Energy Supply Co., LLC
Term Loan, 4.19%, Maturing October 28, 2011 $ 2,363,332
457,700 Coleto Creek WLE, L.P.
Term Loan, 4.67%, Maturing June 30, 2011 465,710
Pike Electric, Inc.
257,112 Term Loan, 4.63%, Maturing July 1, 2012 261,692
450,000 Term Loan, 4.81%, Maturing July 1, 2012 456,750
1,051,286 Plains Resources, Inc.
Term Loan, 4.53%, Maturing July 23, 2010 1,066,070
See notes to financial statements
12
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
-----------------------------------------------------------------------------------------------------
UTILITIES (CONTINUED)
$ 1,265,000 Reliant Energy, Inc.
Term Loan, 4.80%, Maturing December 22, 2010 $ 1,282,525
1,152,926 Texas Genco, LLC
Term Loan, 4.48%, Maturing December 14, 2011 1,169,706
-----------------------------------------------------------------------------------------------------
$ 7,065,785
-----------------------------------------------------------------------------------------------------
TOTAL SENIOR, FLOATING RATE INTERESTS
(IDENTIFIED COST $464,985,074) $ 469,266,155
-----------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES -- 16.3%
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 0.2%
$ 300 Argo Tech Corp., Sr. Notes
9.25%, 6/1/11 $ 330,750
35 BE Aerospace, Sr. Sub. Notes, Series B
8.00%, 3/1/08 35,219
300 Sequa Corp.
8.875%, 4/1/08 330,000
40 Standard Aero Holdings, Inc., Sr. Sub. Notes
8.25%, 9/1/14(4) 43,400
-----------------------------------------------------------------------------------------------------
$ 739,369
-----------------------------------------------------------------------------------------------------
AIR TRANSPORT -- 0.5%
American Airlines
$ 895 7.80%, 10/1/06 $ 819,766
15 8.608%, 4/1/11 13,812
20 7.858%, 10/1/11 20,683
255 AMR Corp.
9.00%, 8/1/12 206,550
Continental Airlines
20 8.00%, 12/15/05 19,600
294 7.033%, 6/15/11 241,834
6 Delta Air Lines
7.779%, 11/18/05(4) 5,522
79 Delta Airlines, Inc.
9.50%, 11/18/08(2)(4) 73,667
25 Northwest Airlines, Inc.
8.875%, 6/1/06 24,125
-----------------------------------------------------------------------------------------------------
$ 1,425,559
-----------------------------------------------------------------------------------------------------
AUTOMOTIVE -- 0.5%
$ 55 Affinia Group, Inc., Sr. Sub. Notes
9.00%, 11/30/14(4) $ 57,612
35 Altra Industrial Motion
9.00%, 12/1/11(4) 35,700
530 Keystone Automotive Operations, Inc., Sr. Sub. Notes
9.75%, 11/1/13 569,750
145 Metaldyne Corp.
11.00%, 6/15/12 121,075
75 Metaldyne Corp., Sr. Notes
10.00%, 11/1/13(4) 71,625
230 Tenneco Automotive, Inc., Sr. Notes, Series B
10.25%, 7/15/13 272,550
140 Tenneco Automotive, Inc., Sr. Sub. Notes
8.625%, 11/15/14(4) 146,300
65 TRW Automotive, Inc., Sr. Sub. Notes
11.00%, 2/15/13 78,650
65 United Components, Inc., Sr. Sub. Notes
9.375%, 6/15/13 70,850
-----------------------------------------------------------------------------------------------------
$ 1,424,112
-----------------------------------------------------------------------------------------------------
BUILDING AND DEVELOPMENT -- 0.2%
$ 60 Coleman Cable, Inc., Sr. Notes
9.875%, 10/1/12(4) $ 64,050
185 Mueller Group, Inc., Sr. Sub. Notes
10.00%, 4/25/11 202,575
105 Mueller Holdings, Inc., Disc. Notes
14.75%, 4/15/14 72,450
10 Owens Corning
7.70%, 5/1/08 8,150
Ply Gem Industries, Inc., Sr. Sub. Notes
95 9.00%, 2/15/12(4) 96,900
90 9.00%, 2/15/12 91,800
180 RMCC Acquisition Co., Sr. Sub. Notes
9.50%, 11/1/12(4) 180,450
-----------------------------------------------------------------------------------------------------
$ 716,375
-----------------------------------------------------------------------------------------------------
BUSINESS EQUIPMENT AND SERVICES -- 0.2%
$ 25 Allied Security Escrow, Sr. Sub. Notes
11.375%, 7/15/11(4) $ 26,250
180 Amerco, Inc.
9.00%, 3/15/09 191,700
260 Quintiles Transnational Corp., Sr. Sub. Notes
10.00%, 10/1/13 292,500
50 Williams Scotsman, Inc., Sr. Notes
10.00%, 8/15/08 55,750
-----------------------------------------------------------------------------------------------------
$ 566,200
-----------------------------------------------------------------------------------------------------
See notes to financial statements
13
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------------------
CABLE AND SATELLITE TELEVISION -- 0.4%
$ 270 Adelphia Communications, Sr. Notes, Series B
9.25%, 10/1/32(3) $ 259,875
82 Avalon Cable Holdings LLC, Sr. Disc. Notes
11.875%, 12/1/08 85,921
85 Charter Communications Holdings, LLC, Sr. Notes
10.25%, 1/15/10 75,012
240 PanAmSat Corp., Sr. Notes
9.00%, 8/15/14(4) 269,100
85 Rogers Cable, Inc., Sr. Notes
6.75%, 3/15/15(4) 87,337
545 UGS Corp., Sr. Sub. Notes
10.00%, 6/1/12(4) 622,662
-----------------------------------------------------------------------------------------------------
$ 1,399,907
-----------------------------------------------------------------------------------------------------
CHEMICALS AND PLASTICS -- 1.1%
$ 115 Avecia Group PLC
11.00%, 7/1/09 $ 119,025
265 BCP Caylux Holdings, Sr. Sub. Notes
9.625%, 6/15/14(4) 300,112
95 Borden U.S. Finance/Nova Scotia Finance, Sr. Notes
9.00%, 7/15/14(4) 105,925
275 Crystal US Holdings/US Holdings 3, LLC, Sr. Disc. Notes
10.50%, 10/1/14(4) 189,750
110 Equistar Chemical, Sr. Notes
10.625%, 5/1/11 128,150
30 Hercules, Inc.
11.125%, 11/15/07 35,850
80 Huntsman International, LLC, Sr. Notes
9.875%, 3/1/09 88,200
155 Huntsman, LLC
11.625%, 10/15/10 184,062
60 Innophos, Inc., Sr. Sub. Notes
8.875%, 8/15/14(4) 65,100
Key Plastics, LLC
65 4.00%, 4/26/07(2) 65,820
118 7.00%, 4/26/07(2) 118,678
Lyondell Chemical Co.
5 9.50%, 12/15/08 5,450
75 9.50%, 12/15/08 81,750
40 Lyondell Chemical Co., Series A
9.625%, 5/1/07 44,200
247 Lyondell Chemical Co., Sr. Notes
10.50%, 6/1/13 295,165
315 Milacron Escrow Corp.
11.50%, 5/15/11 335,475
100 Nalco Co., Sr. Sub. Notes
8.875%, 11/15/13 110,250
460 OM Group, Inc.
9.25%, 12/15/11 492,200
$ 130 Polyone Corp., Sr. Notes
8.875%, 5/1/12 $ 142,025
450 Rhodia SA, Sr. Notes
10.25%, 6/1/10 508,500
-----------------------------------------------------------------------------------------------------
$ 3,415,687
-----------------------------------------------------------------------------------------------------
CLOTHING / TEXTILES -- 0.3%
$ 60 GFSI, Inc., Sr. Sub. Notes, Series B
9.625%, 3/1/07 $ 58,500
225 Levi Strauss & Co.
7.00%, 11/1/06 237,375
175 Levi Strauss & Co., Sr. Notes
11.625%, 1/15/08 184,625
60 Perry Ellis International, Inc., Sr. Sub. Notes
8.875%, 9/15/13 63,300
Phillips Van-Heusen, Sr. Notes
40 7.25%, 2/15/11 42,200
100 8.125%, 5/1/13 109,000
104 William Carter, Series B
10.875%, 8/15/11 117,000
-----------------------------------------------------------------------------------------------------
$ 812,000
-----------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES -- 0.1%
$ 120 Affinity Group, Inc., Sr. Sub. Notes
9.00%, 2/15/12 $ 130,500
150 Norcross Safety Products LLC/Norcross Capital Corp.,
Sr. Sub. Notes, Series B
9.875%, 8/15/11 166,500
105 Vertis, Inc., Sub. Notes
13.50%, 12/7/09(4) 111,169
-----------------------------------------------------------------------------------------------------
$ 408,169
-----------------------------------------------------------------------------------------------------
CONGLOMERATES -- 0.2%
$ 500 Amsted Industries, Inc., Sr. Notes
10.25%, 10/15/11(4) $ 567,500
65 Rexnord Corp.
10.125%, 12/15/12 73,775
-----------------------------------------------------------------------------------------------------
$ 641,275
-----------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 0.1%
$ 95 Fedders North America, Inc.
9.875%, 3/1/14 $ 77,900
30 Rayovac Corp., Sr. Sub. Notes
8.50%, 10/1/13 33,450
25 Riddell Bell Holdings, Sr. Sub. Notes
8.375%, 10/1/12(4) 26,000
195 Samsonite Corp., Sr. Sub. Notes
8.875%, 6/1/11 212,062
-----------------------------------------------------------------------------------------------------
$ 349,412
-----------------------------------------------------------------------------------------------------
See notes to financial statements
14
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------------------
CONTAINERS AND GLASS PRODUCTS -- 0.3%
Crown Euro Holdings SA
$ 65 9.50%, 3/1/11 $ 74,425
340 10.875%, 3/1/13 403,750
180 Intertape Polymer US, Inc., Sr. Sub. Notes
8.50%, 8/1/14(4) 183,825
170 Jefferson Smurfit
8.25%, 10/1/12 186,150
70 Owens-Illinois, Inc., Sr. Notes
8.10%, 5/15/07 74,900
95 Pliant Corp.
11.125%, 6/15/09 88,231
55 Tekni-Plex, Inc., Sr. Notes
8.75%, 11/15/13(4) 55,000
-----------------------------------------------------------------------------------------------------
$ 1,066,281
-----------------------------------------------------------------------------------------------------
ECOLOGICAL SERVICES AND EQUIPMENT -- 0.2%
$ 60 Alderwoods Group, Inc., Sr. Notes
7.75%, 9/15/12(4) $ 65,100
85 Allied Waste Industries, Series B
9.25%, 9/1/12 92,437
140 Allied Waste, Series B
8.875%, 4/1/08 150,500
55 IMCO Recycling, Sr. Notes
9.00%, 11/15/14(4) 57,475
115 National Waterworks, Inc., Series B
10.50%, 12/1/12 129,950
280 Waste Services, Inc., Sr. Sub. Notes
9.50%, 4/15/14(4) 280,000
-----------------------------------------------------------------------------------------------------
$ 775,462
-----------------------------------------------------------------------------------------------------
ELECTRONICS / ELECTRICAL -- 0.4%
$ 121 AMI Semiconductor, Inc., Sr. Sub. Notes
10.75%, 2/1/13 $ 142,780
25 Danka Business Systems, Sr. Notes
11.00%, 6/15/10 26,625
35 Hexcel Corp.
9.875%, 10/1/08 39,025
1,000 Wesco Distribution, Inc.
9.125%, 6/1/08 1,035,000
-----------------------------------------------------------------------------------------------------
$ 1,243,430
-----------------------------------------------------------------------------------------------------
ENGINEERING -- 0.0%
$ 80 Shaw Group, Inc., Sr. Notes
10.75%, 3/15/10 $ 88,600
-----------------------------------------------------------------------------------------------------
$ 88,600
-----------------------------------------------------------------------------------------------------
ENTERTAINMENT -- 0.3%
$ 115 AMC Entertainment, Inc., Sr. Sub. Notes
9.875%, 2/1/12 $ 125,925
240 LCE Acquisition Corp., Sr. Sub. Notes
9.00%, 8/1/14(4) 261,000
325 Marquee Holdings, Inc., Sr. Disc. Notes
12.00%, 8/15/14(4) 221,000
245 Royal Caribbean Cruises, Sr. Notes
8.75%, 2/2/11 290,631
25 True Temper Sports, Inc., Sr. Sub. Notes
8.375%, 9/15/11 23,375
-----------------------------------------------------------------------------------------------------
$ 921,931
-----------------------------------------------------------------------------------------------------
EQUIPMENT LEASING -- 0.1%
$ 40 United Rentals North America, Inc.
6.50%, 2/15/12 $ 39,200
125 United Rentals North America, Inc., Sr. Sub. Notes
7.00%, 2/15/14 117,500
-----------------------------------------------------------------------------------------------------
$ 156,700
-----------------------------------------------------------------------------------------------------
FINANCIAL INTERMEDIARIES -- 0.6%
$ 500 Alzette
8.691%, 12/15/20 $ 500,000
500 Carlyle High Yield Partners, Series 2004-6A, Class C
4.36%, 8/15/16(4) 500,000
500 Dryden Leveraged Loan, Series 2004-6A, Class C1
4.055%, 7/30/16(4) 500,000
130 E*Trade Financial Corp., Sr. Notes
8.00%, 6/15/11(4) 140,400
235 Refco Finance Holdings, LLC, Sr. Sub. Notes
9.00%, 8/1/12(4) 258,500
-----------------------------------------------------------------------------------------------------
$ 1,898,900
-----------------------------------------------------------------------------------------------------
FOOD PRODUCTS -- 0.6%
$ 400 American Seafood Group LLC
10.125%, 4/15/10 $ 430,000
220 ASG Consolidated, LLC/ASG Finance, Inc., Sr. Disc. Notes
11.50%, 11/1/11(4) 141,350
Pinnacle Foods Holdings Corp., Sr. Sub. Notes
15 8.25%, 12/1/13(4) 14,362
1,065 8.25%, 12/1/13(4) 1,019,737
265 UAP Holding Corp., Sr. Disc. Notes
10.75%, 7/15/12(4) 209,350
50 United Agricultural Products, Sr. Notes
8.25%, 12/15/11(4) 53,875
70 WH Holdings Ltd./WH Capital Corp., Sr. Notes
9.50%, 4/1/11 77,350
-----------------------------------------------------------------------------------------------------
$ 1,946,024
-----------------------------------------------------------------------------------------------------
See notes to financial statements
15
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------------------
FOOD / DRUG RETAILERS -- 0.1%
$ 70 General Nutrition Centers, Sr. Sub. Notes
8.50%, 12/1/10 $ 66,500
175 Pierre Foods, Inc., Sr. Sub. Notes
9.875%, 7/15/12(4) 182,000
-----------------------------------------------------------------------------------------------------
$ 248,500
-----------------------------------------------------------------------------------------------------
FOREST PRODUCTS -- 0.5%
$ 80 Boise Cascade, LLC, Sr. Notes, Variable Rate
5.005%, 10/15/12(4) $ 83,400
260 Caraustar Industries, Inc., Sr. Sub. Notes
9.875%, 4/1/11 283,400
Georgia-Pacific Corp.
145 9.50%, 12/1/11 179,437
180 9.375%, 2/1/13 210,600
225 Longview Fibre Co., Sr. Sub. Notes
10.00%, 1/15/09 246,937
250 MDP Acquisitions/JSG Funding PLC, Sr. Notes
9.625%, 10/1/12 280,000
55 Neenah Paper, Inc., Sr. Notes
7.375%, 11/15/14(4) 56,100
170 Newark Group, Inc., Sr. Sub. Notes
9.75%, 3/15/14 181,900
-----------------------------------------------------------------------------------------------------
$ 1,521,774
-----------------------------------------------------------------------------------------------------
HEALTHCARE -- 0.9%
$ 125 Ardent Health Services, Inc., Sr. Sub. Notes
10.00%, 8/15/13 $ 131,875
205 Elan Finance PLC/Elan Finance Corp., Sr. Notes
7.75%, 11/15/11(4) 219,350
105 HCA, Inc.
5.50%, 12/1/09 105,146
145 Healthsouth Corp.
7.625%, 6/1/12 146,450
245 Healthsouth Corp., Sr. Notes
8.375%, 10/1/11 255,412
120 Inverness Medical Innovations, Inc., Sr. Sub. Notes
8.75%, 2/15/12(4) 126,000
159 Magellan Health Services, Inc., Sr. Notes, Series A
9.375%, 11/15/08 173,632
125 Medical Device Manufacturing, Inc., Sr. Sub. Notes
10.00%, 7/15/12(4) 135,312
205 Medquest, Inc.
11.875%, 8/15/12 241,900
70 National Mentor, Inc., Sr. Sub. Notes
9.625%, 12/1/12(4) 74,725
65 National Nephrology Association, Sr. Sub. Notes
9.00%, 11/1/11(4) 75,562
$ 146 Pacificare Health System
10.75%, 6/1/09 $ 169,360
5 Rotech Healthcare, Inc.
9.50%, 4/1/12 5,525
310 Tenet Healthcare Corp., Sr. Notes
9.875%, 7/1/14(4) 339,450
120 US Oncology, Inc., Sr. Notes
9.00%, 8/15/12(4) 134,700
240 US Oncology, Inc., Sr. Sub. Notes
10.75%, 8/15/14(4) 279,000
255 Vanguard Health Holdings II, Sr. Sub. Notes
9.00%, 10/1/14(4) 274,125
120 VWR International, Inc., Sr. Sub. Notes
8.00%, 4/15/14(4) 128,700
-----------------------------------------------------------------------------------------------------
$ 3,016,224
-----------------------------------------------------------------------------------------------------
HOME FURNISHINGS -- 0.0%
$ 20 Interface, Inc., Sr. Sub. Notes
9.50%, 2/1/14 $ 21,900
32 Interline Brands, Inc., Sr. Sub. Notes
11.50%, 5/15/11 36,160
-----------------------------------------------------------------------------------------------------
$ 58,060
-----------------------------------------------------------------------------------------------------
INDUSTRIAL EQUIPMENT -- 0.2%
$ 110 Case New Holland, Inc., Sr. Notes
9.25%, 8/1/11(4) $ 122,925
29 Manitowoc Co., Inc. (The)
10.50%, 8/1/12 33,495
120 Terex Corp.
10.375%, 4/1/11 135,000
265 Thermadyne Holdings Corp., Sr. Sub. Notes
9.25%, 2/1/14 259,700
-----------------------------------------------------------------------------------------------------
$ 551,120
-----------------------------------------------------------------------------------------------------
INDUSTRIAL GASES -- 0.0%
$ 5 Flowserve Corp.
12.25%, 8/15/10 $ 5,550
-----------------------------------------------------------------------------------------------------
$ 5,550
-----------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 0.0%
$ 50 Stratus Technologies, Inc., Sr. Notes
10.375%, 12/1/08 $ 45,375
-----------------------------------------------------------------------------------------------------
$ 45,375
-----------------------------------------------------------------------------------------------------
See notes to financial statements
16
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------------------
LEISURE GOODS / ACTIVITIES / MOVIES -- 0.0%
$ 95 Universal City Development Partners, Sr. Notes
11.75%, 4/1/10 $ 112,694
-----------------------------------------------------------------------------------------------------
$ 112,694
-----------------------------------------------------------------------------------------------------
LODGING AND CASINOS -- 1.6%
$ 150 Ameristar Casinos, Inc.
10.75%, 2/15/09 $ 168,000
230 Chukchansi EDA, Sr. Notes
14.50%, 6/15/09(4) 290,950
1,000 Felcor Lodging L.P., Sr. Notes, Variable Rate
6.874%, 6/1/11 1,055,000
70 Hollywood Casino Shreveport, 1st Mtg. Notes
13.00%, 8/1/06(3) 59,587
15 Host Marriott L.P., Series I
9.50%, 1/15/07 16,500
165 Inn of the Mountain Gods, Sr. Notes
12.00%, 11/15/10 193,875
210 Kerzner International Hotels, Sr. Sub. Notes
8.875%, 8/15/11 230,475
240 Majestic Star Casino LLC
9.50%, 10/15/10 255,600
115 Meristar Hospitality Operations/Finance
10.50%, 6/15/09 125,925
60 MGM Grand, Inc.
6.875%, 2/6/08 65,250
110 MTR Gaming Group, Series B
9.75%, 4/1/10 121,550
140 OED Corp. / Diamond Jo
8.75%, 4/15/12 137,900
555 Penn National Gaming, Inc., Sr. Sub. Notes
11.125%, 3/1/08 595,237
15 Premier Entertainment Biloxi, LLC/Premier
Finance Biloxi Corp.
10.75%, 2/1/12 16,462
125 Seneca Gaming Corp., Sr. Notes
7.25%, 5/1/12 132,187
295 Trump Atlantic City Associates, Inc.
11.25%, 5/1/06(3) 282,831
275 Trump Holdings and Funding, Sr. Notes
11.625%, 3/15/10 299,062
645 Venetian Casino/Las Vegas Sands
11.00%, 6/15/10 739,331
412 Waterford Gaming LLC, Sr. Notes
8.625%, 9/15/12(4) 442,900
-----------------------------------------------------------------------------------------------------
$ 5,228,622
-----------------------------------------------------------------------------------------------------
MANUFACTURING -- 0.1%
$ 65 Aearo Co. I, Sr. Sub. Notes
8.25%, 4/15/12 $ 67,275
65 MAAX Corp., Sr. Sub. Notes
9.75%, 6/15/12(4) 69,062
100 Oxford Industries, Inc., Sr. Notes
8.875%, 6/1/11 107,875
-----------------------------------------------------------------------------------------------------
$ 244,212
-----------------------------------------------------------------------------------------------------
NONFERROUS METALS / MINERALS -- 0.1%
$ 75 Alpha Natural Resources, Sr. Notes
10.00%, 6/1/12(4) $ 85,875
50 General Cable Corp., Sr. Notes
9.50%, 11/15/10 56,750
127 Ispat Inland ULC, Sr. Notes
9.75%, 4/1/14 157,480
-----------------------------------------------------------------------------------------------------
$ 300,105
-----------------------------------------------------------------------------------------------------
OIL AND GAS -- 1.2%
$ 70 ANR Pipeline Co.
8.875%, 3/15/10 $ 78,750
110 Dresser, Inc.
9.375%, 4/15/11 121,000
110 Dresser-Rand Group, Inc., Sr. Sub. Notes
7.375%, 11/1/14(4) 112,750
5 Dynegy Holdings, Inc., Sr. Notes
10.125%, 7/15/13(4) 5,750
130 El Paso CGP Co., Sr. Debs.
9.625%, 5/15/12 144,950
105 El Paso Corp.
6.95%, 12/15/07 110,512
35 El Paso Corp., Sr. Notes
7.00%, 5/15/11 35,569
125 El Paso Production Holding Co.
7.75%, 6/1/13 131,562
130 Giant Industries
8.00%, 5/15/14 136,500
70 Hanover Compressor Co., Sr. Notes
8.625%, 12/15/10 76,825
285 Hanover Compressor Co., Sr. Sub. Notes
0.00%, 3/31/07 249,375
165 Harvest Operations Corp., Sr. Notes
7.875%, 10/15/11(4) 167,063
70 NGC Corp., Sr. Debs.
7.625%, 10/15/26 61,163
70 Northwest Pipeline Corp.
8.125%, 3/1/10 77,788
85 Parker Drilling Co., Sr. Notes
9.625%, 10/1/13 95,838
See notes to financial statements
17
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------------------
OIL AND GAS (CONTINUED)
$ 30 Petrobras International Finance Co.
7.75%, 9/15/14 $ 31,688
115 Plains E&P Co., Sr. Sub. Notes
8.75%, 7/1/12 129,088
309 Port Arthur Finance Corp.
12.50%, 1/15/09 363,075
210 Premcor Refining Group, Sr. Notes
9.50%, 2/1/13 244,650
40 Premcor Refining Group, Sr. Sub. Notes
7.75%, 2/1/12 44,300
585 SESI, LLC
8.875%, 5/15/11 643,500
Southern Natural Gas
50 8.875%, 3/15/10 56,250
150 8.00%, 3/1/32 164,438
265 Transmontaigne, Inc., Sr. Sub. Notes
9.125%, 6/1/10 288,850
125 United Refining Co., Sr. Notes
10.50%, 8/15/12(4) 132,813
-----------------------------------------------------------------------------------------------------
$ 3,704,047
-----------------------------------------------------------------------------------------------------
PUBLISHING -- 1.2%
$ 185 Advanstar Communications, Inc.
10.75%, 8/15/10 $ 209,744
1,481 Advanstar Communications, Inc., Variable Rate
9.79%, 8/15/08 1,555,313
45 Advertising Directory Solutions, Inc., Sr. Notes
9.25%, 11/15/12(4) 47,475
170 American Media Operations, Inc., Series B
10.25%, 5/1/09 179,988
70 CBD Media, Inc., Sr. Sub. Notes
8.625%, 6/1/11 74,375
80 Dex Media East LLC
9.875%, 11/15/09 91,500
217 Dex Media West LLC, Sr. Sub. Notes
9.875%, 8/15/13 251,178
190 Houghton Mifflin Co., Sr. Sub. Notes
9.875%, 2/1/13 209,000
110 Liberty Group Operating
9.375%, 2/1/08 112,200
180 Primedia, Inc.
8.875%, 5/15/11 191,250
1,000 Primedia, Inc. Sr. Notes, Variable Rate
7.665%, 5/15/10 1,065,000
-----------------------------------------------------------------------------------------------------
$ 3,987,023
-----------------------------------------------------------------------------------------------------
RADIO AND TELEVISION -- 1.4%
$ 217 3815668 Canada, Inc., Sr. Sub. Notes
8.00%, 9/15/12(4) $ 234,152
120 CanWest Media, Inc., Sr. Sub. Notes
10.625%, 5/15/11 135,300
180 CSC Holdings, Inc., Sr. Sub. Notes
10.50%, 5/15/16 205,200
55 Fisher Communications, Inc., Sr. Notes
8.625%, 9/15/14(4) 59,675
400 Insight Communications, Sr. Disc. Notes
12.25%, 2/15/11 391,000
345 Kabel Deutschland GMBH
10.625%, 7/1/14(4) 398,475
80 LBI Media, Inc., Sr. Disc. Notes
11.00%, 10/15/13 59,200
25 Muzak LLC/Muzak Finance, Sr. Notes
10.00%, 2/15/09 23,406
230 Nexstar Finance Holdings LLC, Inc., Sr. Disc. Notes
11.375%, 4/1/13 182,850
65 Nextmedia Operating, Inc.
10.75%, 7/1/11 73,125
65 Paxson Communications Corp.
12.25%, 1/15/09 61,100
2,000 Paxson Communications Corp., Variable Rate
4.82%, 1/15/10(4) 2,020,000
100 Rainbow National Services, LLC, Sr. Notes
8.75%, 9/1/12(4) 110,250
380 Rainbow National Services, LLC, Sr. Sub. Debs.
10.375%, 9/1/14(4) 430,350
35 Sinclair Broadcast Group, Inc., Convertible Bond
4.875%, 7/15/18 33,731
-----------------------------------------------------------------------------------------------------
$ 4,417,814
-----------------------------------------------------------------------------------------------------
RETAILERS (EXCEPT FOOD AND DRUG) -- 0.1%
$ 29 Coinmach Corp., Sr. Notes
9.00%, 2/1/10 $ 30,450
80 Home Interiors & Gifts, Inc.
10.025%, 6/1/08 66,400
45 Jostens Holding Corp., Sr. Disc. Notes
10.25%, 12/1/13 32,175
25 PCA LLC/PCA Finance Corp., Sr. Notes
11.875%, 8/1/09 22,125
-----------------------------------------------------------------------------------------------------
$ 151,150
-----------------------------------------------------------------------------------------------------
SEMICONDUCTORS -- 0.3%
$ 415 Advanced Micro Devices, Inc., Sr. Notes
7.75%, 11/1/12(4) $ 434,194
60 Amkor Technologies, Inc.
5.75%, 6/1/06 59,100
See notes to financial statements
18
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------------------
SEMICONDUCTORS (CONTINUED)
Amkor Technologies, Inc., Sr. Notes
$ 45 7.125%, 3/15/11 $ 42,525
445 7.75%, 5/15/13 420,525
70 Stats Chippac Ltd., Sr. Notes
6.75%, 11/15/11(4) 69,650
-----------------------------------------------------------------------------------------------------
$ 1,025,994
-----------------------------------------------------------------------------------------------------
SURFACE TRANSPORT -- 0.1%
$ 125 Horizon Lines, LLC
9.00%, 11/1/12(4) $ 135,000
135 OMI Corp., Sr. Notes
7.625%, 12/1/13 145,125
15 Petroleum Helicopters, Series B
9.375%, 5/1/09 16,500
105 Quality Distribution LLC/QD Capital Corp.
9.00%, 11/15/10(4) 105,263
-----------------------------------------------------------------------------------------------------
$ 401,888
-----------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 1.8%
$ 60 AirGate PCS, Inc., Sr. Notes, Variable Rate
5.85%, 10/15/11(4) $ 61,950
80 Alamosa Delaware, Inc., Sr. Disc. Notes
12.00%, 7/31/09 87,200
Alamosa Delaware, Inc., Sr. Notes
125 11.00%, 7/31/10 147,813
15 8.50%, 1/31/12 16,463
74 American Tower Corp., Sr. Notes
9.375%, 2/1/09 78,625
21 Centennial Cellular Operating Co., LLC, Sr. Sub. Notes
10.75%, 12/15/08 21,893
295 Centennial Cellular Operating Co./Centennial
Communications Corp., Sr. Notes
10.125%, 6/15/13 332,613
235 Inmarsat Finance PLC
7.625%, 6/30/12 245,575
110 LCI International, Inc., Sr. Notes
7.25%, 6/15/07 107,525
110 New Skies Satellites NV, Sr. Notes, Variable Rate
7.438%, 11/1/11(4) 113,850
145 New Skies Satellites NV, Sr. Sub. Notes
9.125%, 11/1/12(4) 148,625
10 Nextel Communications, Inc., Sr. Notes
7.375%, 8/1/15 11,050
116 Nextel Partners, Inc., Sr. Notes
12.50%, 11/15/09 131,950
Nortel Networks Ltd.
115 6.125%, 2/15/06 117,588
410 4.25%, 9/1/08 400,775
Qwest Capital Funding, Inc.
$ 45 7.75%, 8/15/06 $ 47,588
25 7.90%, 8/15/10 25,375
238 Qwest Services Corp.
14.00%, 12/15/10(4) 287,385
345 Rogers Wireless, Inc.
7.50%, 3/15/15(4) 365,700
90 Rogers Wireless, Inc., Sr. Sub. Notes
8.00%, 12/15/12(4) 95,625
790 Rogers Wireless, Inc., Variable Rate
5.525%, 12/15/10(4) 831,475
1,500 Rural Cellular Corp., Variable Rate
6.38%, 3/15/10 1,560,000
90 SBA Telecommunications, Sr. Disc. Notes
9.75%, 12/15/11 76,275
100 UbiquiTel Operating Co., Sr. Notes
9.875%, 3/1/11 112,750
255 US Unwired, Inc., Series B
10.00%, 6/15/12 288,788
170 Western Wireless Corp., Sr. Notes
9.25%, 7/15/13 185,725
-----------------------------------------------------------------------------------------------------
$ 5,900,181
-----------------------------------------------------------------------------------------------------
UTILITIES -- 0.4%
AES Corp., Sr. Notes
$ 15 9.375%, 9/15/10 $ 17,513
25 8.75%, 5/15/13(4) 28,531
15 9.00%, 5/15/15(4) 17,250
16 AES Corp., Sr. Sub. Notes
8.50%, 11/1/07 16,320
Calpine Corp., Sr. Notes
75 8.25%, 8/15/05 76,125
205 7.625%, 4/15/06 202,438
35 8.50%, 7/15/10(4) 30,188
115 Mission Energy Holding Co.
13.50%, 7/15/08 144,038
130 NRG Energy, Inc., Sr. Notes
8.00%, 12/15/13(4) 142,350
380 Orion Power Holdings, Inc., Sr. Notes
12.00%, 5/1/10 484,500
35 Reliant Energy, Inc.
9.25%, 7/15/10 39,200
-----------------------------------------------------------------------------------------------------
$ 1,198,453
-----------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES
(IDENTIFIED COST $49,009,513) $ 52,114,179
-----------------------------------------------------------------------------------------------------
See notes to financial statements
19
COMMON STOCKS -- 0.1%
SHARES SECURITY VALUE
-----------------------------------------------------------------------------------------------------
774 Crown Castle International Corp.(5) $ 12,879
4,043 Crown Castle International Corp., (PIK) 198,107
2,992 Enviromental Systems Products(2)(5)(6) 74,082
10,443 Hayes Lemmerz International(5) 92,734
10 Identity Now Holdings(2)(5)(6) 0
8 Knowledge Universe, Inc.(2)(6) 11,862
-----------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(IDENTIFIED COST, $302,692) $ 389,664
-----------------------------------------------------------------------------------------------------
PREFERRED STOCKS -- 0.0%
SHARES SECURITY VALUE
-----------------------------------------------------------------------------------------------------
35 Hayes Lemmerz International, Series A(2)(5)(6) $ 1,343
15 Key Plastics, LLC, Series A(2)(5)(6) 15,095
1,790 Williams Cos., Inc. (The)(4) 150,360
-----------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS
IDENTIFIED COST, $107,406) $ 166,798
-----------------------------------------------------------------------------------------------------
WARRANTS -- 0.2%
SHARES/RIGHTS SECURITY VALUE
-----------------------------------------------------------------------------------------------------
210 American Tower Corp., Exp. 8/1/08(2)(5) $ 48,405
105 Mueller Holdings, Inc., Exp. 4/15/14(5) 7,376
45,548 Thermadyne Holdings Corp.(5) 601,234
-----------------------------------------------------------------------------------------------------
TOTAL WARRANTS
(IDENTIFIED COST, $429,913) $ 657,015
-----------------------------------------------------------------------------------------------------
CLOSED-END INVESTMENT COMPANIES -- 2.0%
SHARES SECURITY VALUE
-----------------------------------------------------------------------------------------------------
51,000 ING Prime Rate Trust $ 378,420
725,000 Van Kampen Senior Income Trust 6,082,750
-----------------------------------------------------------------------------------------------------
$ 6,461,170
-----------------------------------------------------------------------------------------------------
TOTAL CLOSED-END INVESTMENT COMPANIES
(IDENTIFIED COST $6,002,592) $ 6,461,170
-----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 4.1%
PRINCIPAL MATURITY
AMOUNT DATE BORROWER RATE AMOUNT
-----------------------------------------------------------------------------------------------------
$ 3,410,000 01/06/05 American General
Finance Corp.
Commercial Paper 2.30% $ 3,408,911
3,191,000 01/03/05 General Electric
Capital Corp.
Commercial Paper 1.95 3,190,654
6,400,000 01/03/05 Investors Bank and
Trust Company Time Deposit 2.25 6,400,000
-----------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS
(AT AMORTIZED COST) $ 12,999,565
-----------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 169.2%
(IDENTIFIED COST $533,836,755) $ 542,054,546
-----------------------------------------------------------------------------------------------------
OTHER ASSETS, LESS LIABILITIES -- (34.8)% $ (111,647,005)
-----------------------------------------------------------------------------------------------------
AUCTION PREFERRED SHARES PLUS
CUMULATIVE UNPAID
DIVIDENDS -- (34.3)% $ (110,018,361)
-----------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON
SHARES -- 100.0% $ 320,389,180
-----------------------------------------------------------------------------------------------------
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 $3,817,240 as of December 31,
2004.
PIK - Payment In Kind.
(1) Senior floating-rate interests often require prepayments from excess cash
flows or permit the borrower to repay at its election. The degree to which
borrowers repay, whether as a contractual requirement or at their election,
cannot be predicted with accuracy. As a result, the actual remaining
maturity may be substantially less than the stated maturities shown.
However, it is anticipated that the senior floating-rate interests will
have an expected average life of approximately two to three years. The
stated interest rate represents the weighted average interest rate of all
contracts within the senior loan facility. 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 valued at fair value using methods determined in good faith by or
at the direction of the Trustees.
(3) Defaulted security.
(4) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be sold in transactions exempt from
registration, normally to qualified institutional buyers. At December 31,
2004, the aggregate value of the securities is $16,963,390 or 5.3% of the
Trust's net assets.
(5) Non-income producing security.
(6) Restricted security.
See notes to financial statements
20
EATON VANCE SENIOR INCOME TRUST as of December 31, 2004
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
As of December 31, 2004
ASSETS
Investments, at value (identified cost, $533,836,755) $ 542,054,546
Cash 4,989,579
Cash collateral segregated for credit default swaps 2,600,000
Receivable for investments sold 126,350
Receivable for open swap contracts 56,274
Dividends and interest receivable 2,922,634
Prepaid expenses 67,514
---------------------------------------------------------------------------------------------
TOTAL ASSETS $ 552,816,897
---------------------------------------------------------------------------------------------
LIABILITIES
Demand note payable $ 120,000,000
Dividends payable 1,456,493
Payable for investments purchased 386,361
Miscellaneous liabilities 66,496
Payable to affiliate for Trustees' fees 3,513
Payable to affiliate 48,647
Accrued expenses:
Interest 270,997
Operating expenses 176,849
---------------------------------------------------------------------------------------------
TOTAL LIABILITIES $ 122,409,356
---------------------------------------------------------------------------------------------
AUCTION PREFERRED SHARES (4,400 SHARES OUTSTANDING) AT
LIQUIDATION VALUE PLUS CUMULATIVE UNPAID DIVIDENDS 110,018,361
---------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHARES $ 320,389,180
---------------------------------------------------------------------------------------------
SOURCES OF NET ASSETS
Common Shares, $0.01 par value, unlimited number of shares
authorized, 36,412,319 shares issued and outstanding $ 364,123
Additional paid-in capital 360,924,394
Accumulated net realized loss (computed on the basis of identified cost) (49,232,264)
Accumulated undistributed net investment income 90,183
Net unrealized appreciation (computed on the basis of identified cost) 8,242,744
---------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHARES $ 320,389,180
---------------------------------------------------------------------------------------------
NET ASSET VALUE PER COMMON SHARE
($320,389,180 DIVIDED BY 36,412,319 COMMON SHARES ISSUED AND OUTSTANDING) $ 8.80
---------------------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2004
INVESTMENT INCOME
Interest $ 13,833,834
Dividends 174,383
Miscellaneous 61,482
---------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME $ 14,069,699
---------------------------------------------------------------------------------------------
EXPENSES
Investment adviser fee $ 2,354,870
Administration fee 692,609
Trustees' fees and expenses 6,076
Interest 1,328,624
Preferred shares remarketing agent fee 142,007
Custodian fee 111,502
Legal and accounting services 99,213
Printing and postage 94,936
Transfer and dividend disbursing agent fees 42,825
Registration fees 35,425
Miscellaneous 35,678
---------------------------------------------------------------------------------------------
TOTAL EXPENSES $ 4,943,765
---------------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee $ 1,140
---------------------------------------------------------------------------------------------
TOTAL EXPENSE REDUCTIONS $ 1,140
---------------------------------------------------------------------------------------------
NET EXPENSES $ 4,942,625
---------------------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 9,127,074
---------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 1,472,637
Swap contracts 36,451
---------------------------------------------------------------------------------------------
NET REALIZED GAIN $ 1,509,088
---------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 465,723
Swap contracts 32,382
---------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) $ 498,105
---------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN $ 2,007,193
---------------------------------------------------------------------------------------------
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS FROM INCOME $ (983,538)
---------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 10,150,729
---------------------------------------------------------------------------------------------
See notes to financial statements
21
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED YEAR ENDED
DECEMBER 31, 2004 JUNE 30, 2004
-----------------------------------------------------------------------------------------------
INCREASE (DECREASE)
IN NET ASSETS
From operations --
Net investment income $ 9,127,074 $ 16,942,537
Net realized gain (loss) from investment
and swap contract transactions 1,509,088 (2,647,257)
Net change in unrealized appreciation
(depreciation) from investments and
swap contracts 498,105 12,995,207
Distributions to preferred shareholders from
net investment income (983,538) (1,257,174)
-----------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 10,150,729 $ 26,033,313
-----------------------------------------------------------------------------------------------
Distributions to common shareholders --
From net investment income $ (9,348,684) $ (16,135,456)
-----------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO COMMON SHAREHOLDERS $ (9,348,684) $ (16,135,456)
-----------------------------------------------------------------------------------------------
Capital share transactions --
Reinvestment of distributions to
common shareholders $ 795,365 $ 2,455,462
-----------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM CAPITAL
SHARE TRANSACTIONS $ 795,365 $ 2,455,462
-----------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS $ 1,597,410 $ 12,353,319
-----------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO
COMMON SHARES
At beginning of period $ 318,791,770 $ 306,438,451
-----------------------------------------------------------------------------------------------
AT END OF PERIOD $ 320,389,180 $ 318,791,770
-----------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED
NET INVESTMENT INCOME
INCLUDED IN NET ASSETS
APPLICABLE TO COMMON SHARES
AT END OF PERIOD $ 90,183 $ 1,295,331
-----------------------------------------------------------------------------------------------
STATEMENT OF CASH FLOWS
SIX MONTHS ENDED
DECEMBER 31, 2004
---------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN CASH
Cash Flows From (Used For) Operating Activities --
Purchases of loan interests and corporate bonds $ (204,632,856)
Proceeds from sales and principal repayments 200,078,419
Interest and dividends received 13,739,130
Payable to affiliate (327,439)
Miscellaneous income received 10,944
Interest paid (1,206,991)
Prepaid expenses 6,417
Operating expenses paid (3,510,725)
Swap contract transactions 4,776
Net increase in short-term investments 444,435
---------------------------------------------------------------------------------------------
NET CASH FROM OPERATING ACTIVITIES $ 4,606,110
---------------------------------------------------------------------------------------------
Cash Flows From (Used For) Financing Activities --
Cash distributions paid (excluding reinvestments of $795,365) (8,075,517)
---------------------------------------------------------------------------------------------
NET CASH USED FOR FINANCING ACTIVITIES $ (8,075,517)
---------------------------------------------------------------------------------------------
NET DECREASE IN CASH $ (3,469,407)
---------------------------------------------------------------------------------------------
CASH AT BEGINNING OF PERIOD $ 11,058,986(1)
---------------------------------------------------------------------------------------------
CASH AT END OF PERIOD $ 7,589,579(2)
---------------------------------------------------------------------------------------------
RECONCILIATION OF NET INCREASE IN NET ASSETS
FROM OPERATIONS TO NET CASH USED FOR
OPERATING ACTIVITIES
Net increase in net assets from operations $ 10,150,729
Distributions to preferred shareholders 983,538
Decrease in receivable for investments sold 182,846
Increase in swap contract transactions (31,675)
Increase in dividends and interest receivable (403,894)
Decrease in prepaid expenses 6,417
Decrease in miscellaneous liability (50,538)
Decrease in payable to affiliate (328,388)
Increase in accrued expenses 225,858
Decrease payable for investments purchased (2,207,052)
Net increase in investments (3,921,731)
---------------------------------------------------------------------------------------------
NET CASH FROM OPERATING ACTIVITIES $ 4,606,110
---------------------------------------------------------------------------------------------
(1) Balance includes $3,900,000 of cash collateral that has been segregated for
credit default swaps.
(2) Balance includes $2,600,000 of cash collateral that has been segregated for
credit default swaps.
See notes to financial statements
22
FINANCIAL HIGHLIGHTS
Selected data for a common share outstanding during the periods stated
SIX MONTHS ENDED
DECEMBER 31, 2004(1)
---------------------------------------------------------------------------------------
Net asset value -- Beginning of period (Common shares) $ 8.780
---------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS
Net investment income $ 0.251
Net realized and unrealized gain (loss) 0.053
Distribution to preferred shareholders from net investment income (0.027)
---------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM OPERATIONS $ 0.277
---------------------------------------------------------------------------------------
LESS DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income $ (0.257)
---------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO COMMON SHAREHOLDERS $ (0.257)
---------------------------------------------------------------------------------------
OFFERING COSTS CHARGED TO PAID-IN CAPITAL $ --
---------------------------------------------------------------------------------------
PREFERRED SHARES UNDERWRITING DISCOUNTS $ --
---------------------------------------------------------------------------------------
NET ASSET VALUE -- END OF PERIOD (COMMON SHARES) $ 8.800
---------------------------------------------------------------------------------------
MARKET VALUE -- END OF PERIOD (COMMON SHARES) $ 8.730
---------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN ON NET ASSET VALUE(3) 2.71%
---------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN ON MARKET VALUE(3) (5.44)%
---------------------------------------------------------------------------------------
YEAR ENDED JUNE 30,
--------------------------------------------------------------
2004(1) 2003(1) 2002(1)(2) 2001(1) 2000
---------------------------------------------------------------------------------------------------------------------------------
Net asset value -- Beginning of period (Common shares) $ 8.500 $ 8.420 $ 8.860 $ 9.810 $ 10.090
---------------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS
Net investment income $ 0.468 $ 0.569 $ 0.687 $ 0.872 $ 0.868
Net realized and unrealized gain (loss) 0.293 0.079 (0.420) (0.908) (0.271)
Distribution to preferred shareholders from net investment income (0.035) (0.045) (0.076) -- --
---------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM OPERATIONS $ 0.726 $ 0.603 $ 0.191 $ (0.036) $ 0.597
---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income $ (0.446) $ (0.523) $ (0.631) $ (0.882) $ (0.877)
---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO COMMON SHAREHOLDERS $ (0.446) $ (0.523) $ (0.631) $ (0.882) $ (0.877)
---------------------------------------------------------------------------------------------------------------------------------
OFFERING COSTS CHARGED TO PAID-IN CAPITAL $ -- $ -- $ -- $ (0.001) $ --
---------------------------------------------------------------------------------------------------------------------------------
PREFERRED SHARES UNDERWRITING DISCOUNTS $ -- $ -- $ -- $ (0.031) $ --
---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE -- END OF PERIOD (COMMON SHARES) $ 8.780 $ 8.500 $ 8.420 $ 8.860 $ 9.810
---------------------------------------------------------------------------------------------------------------------------------
MARKET VALUE -- END OF PERIOD (COMMON SHARES) $ 9.460 $ 8.920 $ 7.760 $ 8.940 $ 9.313
---------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN ON NET ASSET VALUE(3) 8.65% 8.04% 2.92% (0.72)% 6.49%
---------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN ON MARKET VALUE(3) 11.59% 23.03% (6.18)% 5.65% 2.00%
---------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
23
Selected data for a common share outstanding during the periods stated
SIX MONTHS ENDED
DECEMBER 31, 2004(1)
---------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA+
Net assets applicable to common shares, end of period
(000's omitted) $ 320,389
Ratios (As a percentage of average net assets applicable to
common shares):
Net expenses(4) 2.25%(5)
Net expenses after custodian fee reduction(4) 2.25%(5)
Interest expense 0.83%(5)
Total expenses(4) 3.08%(5)
Net investment income(4) 5.68%(5)
Portfolio Turnover 38%
---------------------------------------------------------------------------------------
+ The ratios reported above are based on net assets attributable
solely to common shares. The ratios based on net assets,
including amounts related to preferred shares since the
initial offering of preferred share are as follows:
Ratios (As a percentage of average total net assets):
Net expenses(4) 1.67%(5)
Net expenses after custodian fee reduction(4) 1.67%(5)
Interest expense 0.62%(5)
Total expenses(4) 2.29%(5)
Net investment income(4) 4.22%(5)
---------------------------------------------------------------------------------------
Senior Securities:
Total preferred shares outstanding 4,400
Asset coverage per preferred share(6) $ 97,820
Involuntary liquidation preference per preferred share(7) $ 25,000
Approximate market value per preferred share(7) $ 25,000
---------------------------------------------------------------------------------------
YEAR ENDED JUNE 30,
--------------------------------------------------------------
2004(1) 2003(1) 2002(1)(2) 2001(1) 2000
---------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA+
Net assets applicable to common shares, end of period
(000's omitted) $ 318,792 $ 306,438 $ 302,759 $ 317,597 $ 349,803
Ratios (As a percentage of average net assets applicable to
common shares):
Net expenses(4) 2.17% 2.22% 2.28% 1.89% 1.84%
Net expenses after custodian fee reduction(4) 2.17% 2.22% 2.28% 1.89% 1.84%
Interest expense 0.54% 0.72% 0.85% 2.50% 2.41%
Total expenses(4) 2.71% 2.94% 3.13% 4.39% 4.25%
Net investment income(4) 5.41% 6.92% 8.01% 9.37% 8.73%
Portfolio Turnover 82% 56% 69% 37% 63%
---------------------------------------------------------------------------------------------------------------------------------
+ The ratios reported above are based on net assets attributable
solely to common shares. The ratios based on net assets,
including amounts related to preferred shares since the
initial offering of preferred share are as follows:
Ratios (As a percentage of average total net assets):
Net expenses(4) 1.61% 1.62% 1.68% 1.88%
Net expenses after custodian fee reduction(4) 1.61% 1.62% 1.68% 1.88%
Interest expense 0.40% 0.52% 0.63% 2.50%
Total expenses(4) 2.01% 2.14% 2.31% 4.38%
Net investment income(4) 4.00% 5.05% 5.90% 9.33%
---------------------------------------------------------------------------------------------------------------------------------
Senior Securities:
Total preferred shares outstanding 4,400 4,400 4,400 4,400 --
Asset coverage per preferred share(6) $ 97,456 $ 94,649 $ 93,814 $ 97,192 $ --
Involuntary liquidation preference per preferred share(7) $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ --
Approximate market value per preferred share(7) $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ --
---------------------------------------------------------------------------------------------------------------------------------
(1) Net investment income per share was computed using average shares
outstanding.
(2) The Trust has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies and began using the interest
method to amortize premiums on fixed-income securities. The effect of this
change for the year ended June 30, 2002 was to increase net investment
income per share by $0.001, increase net realized and unrealized losses per
share by $0.001, and increase the ratio of net investment income to average
net assets attributable to common shares by less than 0.01%. Per share data
and ratios for the periods prior to July 1, 2001 have not been restated to
reflect this change in presentation.
(3) Returns are historical and are calculated by determining the percentage
change in market value or net asset value with all distributions
reinvested. Total return is not computed on an annualized basis.
(4) Ratios do not reflect the effect of dividend payments to preferred
shareholders. Ratios to average net assets attributable to common shares
reflect the Trust's leverage capital structure.
(5) Annualized
(6) 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.
(7) Plus accumulated and unpaid dividends.
See notes to financial statements
24
EATON VANCE SENIOR INCOME TRUST as of December 31, 2004
NOTES TO FINANCIAL STATEMENTS
1 SIGNIFICANT ACCOUNTING POLICIES
Eaton Vance Senior Income Trust (the Trust) is an entity commonly known as a
Massachusetts business trust and is registered under the Investment Company Act
of 1940 as a non-diversified closed-end management investment company. The
Trust's investment objective is to provide a high level of current income
consistent with the preservation of capital, by investing primarily in senior,
floating rate loans. The following is a summary of significant accounting
policies consistently followed by the Trust in the preparation of its financial
statements. The policies are in conformity with accounting principles generally
accepted in the United States of America.
A INVESTMENT VALUATION -- The Trust's investments are primarily in interests in
senior floating rate loans (Senior Loans). Certain Senior Loans are deemed
liquid because reliable market quotations are readily available for them. Liquid
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 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 evaluations 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 loans and the market environment and
investor attitudes towards the Senior Loan and interests in similar loans; (v)
the experience, reputation, stability and financial condition of the agent and
any intermediate participant in the loan; and (vi) general economic and market
conditions affecting the fair value of the Senior Loan. Non-loan portfolio
holdings (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
using market information, transactions for comparable securities and various
relationships between securities which are generally recognized by institutional
traders. In certain circumstances, portfolio securities will be valued at the
last sales price on the exchange that is the primary market for such securities,
or the average of the last quoted bid price for those securities for which the
over-the-counter market is the primary market or for listed securities in which
there were no sales during the day. Marketable securities listed in the NASDAQ
National Market System are valued at the NASDAQ official closing price. The
value of interest rate swaps will be based upon a dealer quotation. 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
then 60 days, unless in each case this is determined not to represent fair
value. 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
discount. Dividend income is recorded on the ex-dividend date for dividends
received in cash and/or securities.
C FEDERAL TAXES -- The Trust's policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders each year all of its taxable income, including any
net realized gain on investments. Accordingly, no provision for federal income
or excise tax is necessary. At June 30, 2004, the Trust, for federal income tax
purposes, had a capital loss carryover of $49,875,806, which will expire on June
30, 2009 ($1,925,241), June 30, 2010 ($27,557,475), June 30, 2011 ($13,711,847)
and June 30, 2012 ($6,681,243). These amounts will reduce the Trust's taxable
income arising from future net realized gain on investments, if any, to the
extent permitted by the Internal Revenue Code and thus will reduce the amount of
the distributions to shareholders which would otherwise be necessary to relieve
the Trust of any liability for federal income or excise tax.
Additionally, at June 30, 2004, the Trust had net capital losses of $850,511
attributable to security transactions incurred after October 31, 2003. These are
treated as arising on the first day of the Trust's current taxable year.
25
D CREDIT DEFAULT SWAPS -- The Trust may enter into credit default swap contracts
for risk management purposes, including diversification. When the Trust is a
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 obligations. 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 swap 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.
E 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 balances the Trust
maintains with IBT. All credit balances used to reduce the Trust's custodian
fees are reported as a reduction of expenses in the statement of operations.
F USE OF ESTIMATES -- The preparation of 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.
G 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 of 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.
H OTHER -- Investment transactions are accounted for on the date the investments
are purchased or sold. Gains and losses on securities sold are determined on the
basis of identified cost.
2 AUCTION PREFERRED SHARES (APS)
The Trust issued 2,200 shares of Auction Preferred Shares Series A and 2,200
shares of Auction Preferred Shares Series B on June 27, 2001 in a public
offering. The underwriting discount and other offering costs were recorded as a
reduction to paid in capital. Dividends on the APS, which accrue daily, are paid
cumulatively at a rate which was established at the offering of the APS and have
been reset every 7 days thereafter by an auction. Dividend rates ranged from
0.85% to 2.65% for Series A and 1.22% to 2.67% for Series B, during the six
months ended December 31, 2004. Series A and Series B are identical in all
respects except for the dates of reset for the dividend rates.
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 on its asset maintenance requirements with respect to the APS. If
the dividends on the APS shall remain unpaid in an amount equal to two full
years' dividends, the holders of the APS as a class have the right to elect a
majority of the Board of Trustees. In general, the holders of the APS and the
common shares have equal voting rights of one vote per share, except that the
holders of the APS, as a separate class, have the right to elect at least two
members of the Board of Trustees. The APS have a liquidation preference of
$25,000 per share, plus accumulated and unpaid dividends. The Trust is required
to maintain certain asset coverage with respect to the APS as defined in the
Trust's By-Laws. The Trust pays annual fees equivalent to 0.25% of the preferred
shares' liquidation value for the remarketing efforts associated with the
preferred auctions.
3 DISTRIBUTIONS TO SHAREHOLDERS
The Trust intends to make monthly distributions to common shareholders of net
investment income, after payment of any dividends on any outstanding preferred
shares. Distributions are recorded on the ex-dividend date. Distributions to
preferred shareholders are recorded daily
26
and are payable at the end of each dividend period. Each dividend payment period
for the APS is generally seven days. The applicable dividend rate for the APS on
December 31, 2004 was 2.65% and 2.67%, for Series A and Series B shares,
respectively. For the six months ended December 31, 2004, the Trust paid
dividends to Auction Preferred shareholders amounting to $489,157 and $494,381
for Series A and Series B shares, respectively, representing an average APS
dividend rate for such period of 1.76% and 1.79%, respectively.
4 COMMON SHARES OF BENEFICIAL INTEREST
The Agreement and Declaration of Trust permits the Trustees to issue an
unlimited number of full and fractional $0.01 par value common shares of
beneficial interest. Transactions in common shares were as follows:
SIX MONTHS ENDED YEAR ENDED
DECEMBER 31, 2004 JUNE 30, 2004
------------------------------------------------------------------------------------
Issued to shareholders electing to
receive payments of distributions
in Fund shares 89,226 279,215
------------------------------------------------------------------------------------
NET INCREASE 89,226 279,215
------------------------------------------------------------------------------------
5 INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES
The investment adviser fee, computed at a monthly rate of 17/240 of 1% (0.85%
annually) of the Trust's average weekly gross assets, was earned by EVM as
compensation for management and investment advisory services rendered to the
Trust. For the six months ended December 31, 2004, the fee was equivalent to
0.85% (annualized) of the Trust's average weekly gross assets and amounted to
$2,354,870. Except for Trustees of the Trust who are not members of EVM's
organization, officers and Trustees receive remuneration for their services to
the Trust out of such investment adviser fee. EVM also serves as the
administrator of the Trust. An administration fee, computed at the monthly rate
of 1/48 of 1% (0.25% annually) of the average weekly gross assets of the Trust,
is paid to EVM for managing and administering business affairs of the Trust. For
the six months ended December 31, 2004, the fee was equivalent to 0.25%
(annualized) of the Trust's average weekly gross assets for such period and
amounted to $692,609.
Certain officers and Trustees of the Trust are officers of the above
organization.
6 INVESTMENT TRANSACTIONS
The Trust invests primarily in Senior Loans. The ability of the issuers of the
Senior Loans held by the Trust to meet their obligations may be affected by
economic developments in a specific industry. The cost of purchases and the
proceeds from principal repayments and sales of Senior Loans, corporate bonds
and equities aggregated $202,425,804 and $199,895,573, respectively, for the six
months ended December 31, 2004.
7 SHORT-TERM DEBT AND CREDIT AGREEMENTS
The Trust has entered into a revolving credit agreement that will allow the
Trust to borrow $120 million to support the issuance of commercial paper and to
permit the Trust to invest in accordance with its investment practices. Interest
is charged under the revolving credit agreement at the bank's base rate or at an
amount above either the bank's adjusted certificate of deposit rate or federal
funds effective rate. Interest expense includes commercial paper program fees of
approximately $186,000 and a commitment fee of approximately $92,000 which is
computed at the annual rate of 0.15% on the unused portion of the revolving
credit agreement. There were no significant borrowings under this agreement
during the period. As of December 31, 2004, the Trust had commercial paper
outstanding of $120,000,000, at an interest rate of 2.24% and is reflected in
the demand note payable on the Statement of Assets and Liabilities. Maximum and
average borrowings for the six months ended December 31, 2004 were $120,000,000
and $120,000,000, respectively, and the average interest rate was 1.74%.
8 FINANCIAL INSTRUMENTS
The Portfolio may trade in financial instruments with off-balance sheet risk in
the normal course of its investing activities and to assist in managing exposure
to various market risks. These financial instruments include written options,
financial futures contracts and interest rate swaps and may involve, to a
varying degree, elements of risk in excess of the amounts recognized for
financial statement purposes. The notional or contractual amounts of these
instruments represent the investment the Portfolio has in particular classes of
financial instruments and does not necessarily represent the amounts potentially
subject to risk. The measurement of the risks associated with these instruments
is meaningful only when all related and offsetting transactions are considered.
At December 31, 2004, the Trust had entered into credit default swaps with
Credit Suisse First Boston dated
27
February 6, 2004 whereby the Trust will receive 2.45% per year times the
notional amount of $2,600,000. The Trust makes payment only upon a default event
on underlying loan assets (47 in total, each representing 2.128% of the notional
value of the swap). At December 31, 2004, the Trust had sufficient cash
segregated to cover potential obligations arising from open swap contracts.
9 FEDERAL INCOME TAX BASIS OF UNREALIZED APPRECIATION (DEPRECIATION)
(UNAUDITED)
The cost and unrealized appreciation (depreciation) in value of the investment
securities at December 31, 2004, as computed on a federal income tax basis, were
as follows:
AGGREGATE COST $ 533,851,299
-----------------------------------------------------
Gross unrealized appreciation $ 8,987,350
Gross unrealized depreciation (784,103)
-----------------------------------------------------
NET UNREALIZED APPRECIATION $ 8,203,247
-----------------------------------------------------
Unrealized appreciation on swap contracts was $24,953.
10 RESTRICTED SECURITIES
At December 31, 2004, the Trust owned the following securities (representing
less than 0.1% of net assets) which were restricted as to public resale and not
registered under the Securities Act of 1933 (excluding Rule 144A securities).
The Portfolio has various registration rights (exercisable under a variety of
circumstances) with respect to these securities. The fair value of these
securities is determined based on valuations provided by brokers when available,
or if not available, they are valued at fair value using methods determined in
good faith by or at the direction of the Trustees.
DATE OF
DESCRIPTION ACQUISITION SHARES/FACE COST FAIR VALUE
---------------------------------------------------------------------------
COMMON STOCKS
Enviromental
Systems Products 10/24/00 2,992 $ 0 $ 74,082
Identity Now Holdings 5/30/03 10 0 0
Knowledge Universe, Inc. 5/14/03 8 8,000 11,862
---------------------------------------------------------------------------
$ 8,000 $ 85,944
---------------------------------------------------------------------------
DATE OF
DESCRIPTION ACQUISITION SHARES/FACE COST FAIR VALUE
---------------------------------------------------------------------------
PREFERRED STOCKS
Hayes Lemmerz
International, Series A 6/04/03 35 $ 1,750 $ 1,343
Key Plastics, LLC, Series A 4/26/01 15 15,231 15,095
---------------------------------------------------------------------------
$ 16,981 $ 16,438
---------------------------------------------------------------------------
$ 24,981 $ 102,382
---------------------------------------------------------------------------
11 ANNUAL MEETING OF SHAREHOLDERS (UNAUDITED)
The Trust held its Annual Meeting of Shareholders on October 15, 2004. The
following action was taken by the shareholders:
ITEM 1: The election of William H. Park and Lynn A. Stout as Trustees of the
Trust for a three-year term expiring in 2007.
NUMBER OF SHARES
NOMINEE FOR TRUSTEE -----------------------------
ELECTED BY ALL SHAREHOLDERS FOR WITHHELD
---------------------------------------------------------------------------
William H. Park 31,376,693 1,216,109
Lynn A. Stout 31,360,257 1,232,545
28
EATON VANCE SENIOR INCOME TRUST as of December 31, 2004
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE TRUSTEES AND SHAREHOLDERS OF EATON VANCE SENIOR INCOME TRUST
We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments, of Eaton Vance Senior Income Trust (the Trust) as
of December 31, 2004, and the related statements of operations and cash flows
for the six months then ended, the statements of changes in net assets for the
six months ended December 31, 2004 and for the year ended June 30, 2004, and the
financial highlights for the six months ended December 31, 2004 and for each of
the years in the five-year period ended June 30, 2004. These financial
statements and financial highlights are the responsibility of the Trust's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audit.
We conducted our audit in accordance with standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and supplementary data are free of material misstatement. An audit
includes consideration of internal control over financial reporting as a basis
for designing audit procedures that are appropriate in the circumstances, but
not for the purpose of expressing an opinion on the effectiveness of the
company's internal control over financial reporting. Accordingly, we express no
such opinion. An audit also includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. Our procedures included confirmation of securities and Senior
Loans owned at December 31, 2004 by correspondence with the custodian and
selling or agent banks; where replies were not received from selling or agent
banks, we performed other auditing procedures. We believe that our audit
provides a reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights referred to
above present fairly in all material respects, the financial position of Eaton
Vance Senior Income Trust at December 31, 2004, the results of its operations,
the changes in its net assets, its cash flows and its financial highlights for
the respective stated periods in conformity with accounting principles generally
accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 18, 2005
29
EATON VANCE SENIOR INCOME TRUST
DIVIDEND REINVESTMENT PLAN
The Trust offers a dividend reinvestment plan (the Plan) pursuant to which
shareholders automatically have dividends and capital gains distributions
reinvested in common shares (the Shares) of the Trust unless they elect
otherwise through their investment dealer. On the distribution payment date, if
the net asset value per Share is equal to or less than the market price per
Share plus estimated brokerage commissions then new Shares will be issued. The
number of Shares shall be determined by the greater of the net asset value per
Share or 95% of the market price. Otherwise, Shares generally will be purchased
on the open market by the Plan Agent. Distributions subject to income tax (if
any) are taxable whether or not shares are reinvested.
If your shares are in the name of a brokerage firm, bank, or other nominee, you
can ask the firm or nominee to participate in the Plan on your behalf. If the
nominee does not offer the Plan, you will need to request that your shares be
re-registered in your name with the Trust's transfer agent, PFPC Inc. or you
will not be able to participate.
The Plan Agent's service fee for handling distributions will be paid by the
Trust. Each participant will be charged their pro rata share of brokerage
commissions on all open-market purchases.
Plan participants may withdraw from the Plan at any time by writing to the Plan
Agent at the address noted on the following page. If you withdraw, you will
receive shares in your name for all Shares credited to your account under the
Plan. If a participant elects by written notice to the Plan Agent to have the
Plan Agent sell part or all of his or her Shares and remit the proceeds, the
Plan Agent is authorized to deduct a $5.00 fee plus brokerage commissions from
the proceeds.
If you wish to participate in the Plan and your shares are held in your own
name, you may complete the form on the following page and deliver it to the Plan
Agent.
Any inquires regarding the Plan can be directed to the Plan Agent, PFPC Inc. at
1-800-331-1710.
30
EATON VANCE SENIOR 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 DIVIDENDS AND
DISTRIBUTIONS IN CASH. THIS IS NOT A PROXY.
THE AUTHORIZATION FORM, WHEN SIGNED, SHOULD BE MAILED TO THE FOLLOWING ADDRESS:
Eaton Vance Senior 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 closed-end, nondiversified,
management investment company and has no employees.
NUMBER OF SHAREHOLDERS
As of December 31, 2004, our records indicate that there were 270 registered
shareholders and approximately 15,190 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 EVF
31
EATON VANCE SENIOR INCOME TRUST
INVESTMENT MANAGEMENT
Eaton Vance Senior Income Trust
OFFICERS
James B. Hawkes
President, Chief Executive
Officer and Trustee
Scott H. Page
Vice President and
Co-Portfolio Manager
John P. Redding
Vice President
Payson F. Swaffield
Vice President and
Co-Portfolio Manager
Michael W. Weilheimer
Vice President
James L. O'Connor
Treasurer
Alan R. Dynner
Secretary
Paul M. O'Neil
Chief Compliance Officer
TRUSTEES
Samuel L. Hayes, III
Jacob H. Schiff Professor of Investment
Banking Emeritus, Harvard University
Graduate School of Business Administration
William H. Park
President and Chief Executive Officer of
Prizm Capital Management, LLC
Ronald A. Pearlman
Professor of Law
Georgetown University Law Center
Norton H. Reamer
President and Chief Executive Officer of
Asset Management Finance Corp.
President, Unicorn Corporation
Lynn A. Stout
Professor of Law,
UCLA School of Law
32
This Page Intentionally Left Blank
INVESTMENT ADVISER AND ADMINISTRATOR OF EATON VANCE SENIOR 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.
P.O. BOX 43027
PROVIDENCE, RI 02940-3027
1-800-331-1710
EATON VANCE SENIOR INCOME TRUST
THE EATON VANCE BUILDING
255 STATE STREET
BOSTON, MA 02109
171-2/05 SITSRC
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 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.
No such purchases this period.
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 second fiscal quarter of the period covered by
this report that has materially affected, or is reasonably likely to materially
affect the registrant's internal control over financial reporting.
ITEM 11. EXHIBITS
(a)(1) Registrant's Code of Ethics - Not applicable (please see Item 2).
(a)(2)(i) Treasurer's Section 302 certification.
(a)(2)(ii) President's Section 302 certification.
(b) Combined Section 906 certification.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Eaton Vance Senior Income Trust
-------------------------------
By: /s/ James B. Hawkes
James B. Hawkes
President
Date: February 16, 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/ James L. O'Connor
James L. O'Connor
Treasurer
Date: February 16, 2005
By: /s/ James B. Hawkes
James B. Hawkes
President
Date: February 16, 2005