UNITED STATES SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-21574
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Eaton Vance Floating Rate 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)
May 31
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Date of Fiscal Year End
November 30, 2004
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Date of Reporting Period
ITEM 1. REPORTS TO STOCKHOLDERS
[EV LOGO]
[GRAPHIC IMAGE]
SEMIANNUAL REPORT NOVEMBER 30, 2004
[GRAPHIC IMAGE]
EATON VANCE FLOATING-RATE INCOME TRUST
[GRAPHIC IMAGE]
PRIVACY NOTICE
The Eaton Vance organization is committed to ensuring your financial privacy.
Each of the financial institutions identified below has in effect the following
policy ("Privacy Policy") with respect to nonpublic personal information about
its customers:
- Only such information received from you, through application forms or
otherwise, and information about your Eaton Vance fund transactions will be
collected. This may include information such as name, address, social
security, tax status, account balances and transactions.
- None of such information about you (or former customers) will be disclosed
to anyone, except as permitted by law (which includes disclosure to
employees necessary to service your account). In the normal course of
servicing a customer's account, Eaton Vance may share information with
unaffiliated third parties that perform various required services such as
transfer agents, custodians and broker/dealers.
- Policies and procedures (including physical, electronic and procedural
safeguards) are in place that are designed to protect the confidentiality of
such information.
- We reserve the right to change our Privacy Policy at any time upon proper
notification to you. Customers may want to review our Policy periodically
for changes by accessing the link on our homepage: www.eatonvance.com.
Our pledge of privacy applies to the following entities within the Eaton Vance
organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton
Vance Investment Counsel, Boston Management and Research, and Eaton Vance
Distributors, Inc.
In addition, our Privacy Policy only applies to those Eaton Vance customers who
are individuals and who have a direct relationship with us. If a customer's
account (i.e., fund shares) is held in the name of a third-party financial
adviser/broker-dealer, it is likely that only such adviser's privacy policies
apply to the customer. This notice supersedes all previously issued privacy
disclosures.
For more information about Eaton Vance's Privacy Policy,
please call 1-800-262-1122.
IMPORTANT NOTICE
REGARDING DELIVERY OF
SHAREHOLDER DOCUMENTS
The Securities and Exchange Commission permits funds to deliver only one copy
of shareholder documents, including prospectuses, proxy statements and
shareholder reports, to fund investors with multiple accounts at the same
residential or post office box address. This practice is often called
"householding" and it helps eliminate duplicate mailings to shareholders.
EATON VANCE, OR YOUR FINANCIAL ADVISER, MAY HOUSEHOLD THE MAILING OF YOUR
DOCUMENTS INDEFINITELY UNLESS YOU INSTRUCT EATON VANCE, OR YOUR FINANCIAL
ADVISER, OTHERWISE.
If you would prefer that your Eaton Vance documents not be householded, please
contact Eaton Vance at 1-800-262-1122, or contact your financial adviser.
Your instructions that householding not apply to delivery of your Eaton Vance
documents will be effective within 30 days of receipt by Eaton Vance or your
financial adviser.
The Fund will file a schedule of its portfolio holdings on Form N-Q with the
Securities and Exchange Commission (the "SEC") for the first and third quarters
of each fiscal year. The Fund's Form N-Q will be available on the Eaton Vance
website www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the
EDGAR database on the SEC's website at www.sec.gov. Form N-Q may also be
reviewed and copied at the SEC's public reference room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the public reference
room).
From time to time, funds are required to vote proxies related to the securities
held by the funds. The Eaton Vance Funds or their underlying Portfolios vote
proxies according to a set of policies and procedures approved by the Funds'
and Portfolios' Boards. You may obtain a description of these policies and
procedures and information on how the Fund or Portfolio voted proxies relating
to portfolio securities during the 12 month period ended June 30 without
charge, upon request, by calling 1-800-262-1122. This description is also
available on the Securities and Exchange Commission's website at
http://www.sec.gov.
EATON VANCE FLOATING-RATE INCOME TRUST as of November 30, 2004
MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE
THE TRUST
We are pleased to welcome shareholders with this initial shareholder report.
PERFORMANCE FOR THE PERIOD ENDED NOVEMBER 30, 2004
- Based on the Trust's November 2004 monthly dividend of $0.094 and a closing
share price of $18.92, the Trust had a market yield of 5.96%.(1) The Trust's
market yield represented a yield advantage over many other income-producing
vehicles during the period.
- Based on share price (traded on the New York Stock Exchange), the Trust had a
total return of 0.95% for the period from inception on June 29, 2004 through
November 30, 2004. That return was the result of a decrease in share price
from $19.10 on June 29, 2004 to $18.92 on November 30, 2004 and the
reinvestment of $0.361 in regular monthly dividends.(2)
- Based on net asset value, the Trust had a total return of 1.80% for the period
from inception on June 29, 2004 through November 30, 2004. That return was the
result of a decrease in net asset value per share from $19.10 on June 29, 2004
to $19.08 on November 30, 2004, and the reinvestment of all distributions.(2)
- For performance comparison, the S&P/LSTA Leveraged Loan Index had a return of
1.88% for the period from June 30, 2004 through November 30, 2004.(3)
THE TRUST'S INVESTMENTS
- The Trust is a closed-end fund and trades on the New York Stock Exchange. The
Trust's investment objective is to provide a high level of current income. The
Trust will, as a secondary objective, also seek preservation of capital to the
extent consistent with its primary goal of high current income. The Trust
invests primarily in senior, secured floating rate loans. The Trust also
employs leverage in the form of Auction Preferred Shares.(4)
- The Trust's senior floating-rate loan investments included 279 borrowers,
ranging across 45 industries at November 30, 2004. The Trust's average loan
size was just 0.30% of loan assets (based on net assets), and no industry
constituted more than 11.0% of the Trust's loan investments.
Telecommunications, health care, containers and glass products, chemicals and
plastics and leisure goods and activities were the Trust's largest loan
industry weightings.*
- The Federal Reserve raised its Federal Funds rate - a short-term interest rate
benchmark - five times from June 30 through 2004 year-end. With their interest
rate reset provisions, floating-rate loans have historically generated higher
income in response to rising short-term rates.
- Due to improving fundamentals and strong technical factors in the loan market,
loan credit spreads for new issues narrowed and prices averaged above-par in
the secondary market. These trends have increased the importance of diligent
credit risk-management.
- The Trust's high-yield corporate bond holdings constituted 13.6% of its net
assets at November 30, 2004 (8.6% of total investments). This component
provided a yield enhancement for the Trust and performed well during the past
year.
- At November 30, 2004, the Trust had leverage in the amount of approximately
38% of the Trust's total assets. The Trust uses leverage through the issuance
of auction preferred shares. Use of financial leverage creates an opportunity
for increased income, but, at the same time, creates special risks (including
the likelihood of greater volatility of net asset value and market price of
common shares).
* Holdings and sector weightings are subject to change due to active
management.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. RETURNS ARE HISTORICAL AND
ARE CALCULATED BY DETERMINING THE PERCENTAGE CHANGE IN NET ASSET VALUE OR
SHARE PRICE (AS APPLICABLE) WITH ALL DISTRIBUTIONS REINVESTED. INVESTMENT
RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN REDEEMED, MAY
BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE IS FOR THE STATED
TIME PERIOD ONLY; DUE TO MARKET VOLATILITY, THE TRUST'S CURRENT PERFORMANCE
MAY BE LOWER OR HIGHER THAN THE QUOTED RETURN.
THE VIEWS EXPRESSED IN THIS REPORT ARE THOSE OF THE PORTFOLIO MANAGERS AND ARE
CURRENT ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON THE
COVER. THESE VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED UPON MARKET OR
OTHER CONDITIONS, AND EATON VANCE DISCLAIMS ANY RESPONSIBILITY TO UPDATE SUCH
VIEWS. THESE VIEWS MAY NOT BE RELIED ON AS INVESTMENT ADVICE AND, BECAUSE
INVESTMENT DECISIONS FOR AN EATON VANCE FUND ARE BASED ON MANY FACTORS, MAY
NOT BE RELIED ON AS AN INDICATION OF TRADING INTENT ON BEHALF OF ANY EATON
VANCE FUND.
TRUST INFORMATION
as of November 30, 2004
PERFORMANCE(2)
Average Annual Total Return (by share price, NYSE)
Life of Fund (6/29/04) 0.95%
Average Annual Total Return (at net asset value)
Life of Fund (6/29/04) 1.80%
(1) THE TRUST'S MARKET YIELD IS CALCULATED BY DIVIDING THE MOST RECENT DIVIDEND
PER SHARE BY THE SHARE MARKET PRICE AT THE END OF THE PERIOD AND
ANNUALIZING THE RESULT.
(2) RETURNS ARE HISTORICAL AND ARE CALCULATED BY DETERMINING THE PERCENTAGE
CHANGE IN SHARE PRICE OR NET ASSET VALUE, AS APPLICABLE, WITH ALL
DISTRIBUTIONS REINVESTED. PERFORMANCE RESULTS REFLECT THE EFFECT OF
LEVERAGE RESULTING FROM THE TRUST'S ISSUANCE OF AUCTION PREFERRED SHARES.
(3) IT IS NOT POSSIBLE TO INVEST DIRECTLY IN AN INDEX. THE INDEX'S TOTAL RETURN
DOES NOT REFLECT THE COMMISSIONS OR EXPENSES THAT WOULD HAVE BEEN INCURRED
IF AN INVESTOR INDIVIDUALLY PURCHASED OR SOLD THE SECURITIES REPRESENTED IN
THE INDEX.
(4) IN THE EVENT OF A RISE IN LONG-TERM INTEREST RATES, THE VALUE OF THE
TRUST'S INVESTMENT PORTFOLIO COULD DECLINE, WHICH WOULD REDUCE THE ASSET
COVERAGE FOR ITS AUCTION PREFERRED SHARES.
TRUST SHARES ARE NOT INSURED BY THE FDIC AND ARE NOT DEPOSITS OR OTHER
OBLIGATIONS OF, OR GUARANTEED BY, ANY DEPOSITORY INSTITUTION. SHARES ARE SUBJECT
TO INVESTMENT RISKS, INCLUDING POSSIBLE LOSS OF PRINCIPAL INVESTED. YIELD WILL
VARY.
2
EATON VANCE FLOATING-RATE INCOME TRUST as of November 30, 2004
TRUST SECTOR ALLOCATIONS
[CHART]
SECTOR ALLOCATIONS(1)
Corporate Bonds/Notes 8.6%(2)
Closed-End Investment Companies 0.4%(3)
Senior Floating-Rate Interests 91.0%(1)
(1) As a percentage of total investments as of November 30, 2004. Holdings
subject to change due to active management.
3
EATON VANCE FLOATING-RATE INCOME TRUST as of November 30, 2004
PORTFOLIO OF INVESTMENTS (Unaudited)
SENIOR, FLOATING RATE INTERESTS -- 143.0%(1)
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
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AEROSPACE AND DEFENSE -- 2.8%
ALLIANT TECHSYSTEMS, INC.
$ 2,417,288 Term Loan, 5.67%, Maturing March 31, 2011 $ 2,453,045
CACI INTERNATIONAL, INC.
4,243,108 Term Loan, 3.95%, Maturing May 3, 2011 4,294,823
DRS TECHNOLOGIES, INC.
3,640,444 Term Loan, 3.89%, Maturing November 4, 2010 3,677,988
K&F INDUSTRIES, INC.
827,000 Term Loan, 4.72%, Maturing November 18, 2012 839,922
STANDARD AERO HOLDINGS, INC.
3,726,545 Term Loan, 4.56%, Maturing August 24, 2012 3,782,443
TRANSDIGM, INC.
2,992,513 Term Loan, 5.44%, Maturing July 22, 2010 3,041,141
VOUGHT AIRCRAFT INDUSTRIES, INC.
718,315 Term Loan, 5.71%, Maturing July 24, 2007 727,294
1,185,717 Term Loan, 5.96%, Maturing July 24, 2008 1,200,538
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$ 20,017,194
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AIR TRANSPORT -- 0.7%
UNITED AIRLINES, INC.
$ 5,000,000 DIP Loan, 8.00%, Maturing June 30, 2005 $ 5,059,375
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$ 5,059,375
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AUTOMOTIVE -- 7.8%
ACCURIDE CORP.
$ 4,250,000 Term Loan, 4.73%, Maturing January 21, 2007 $ 4,354,924
990,000 Term Loan, 5.31%, Maturing June 13, 2007 1,014,750
COLLINS & AIKMAN PRODUCTS CO.
4,036,153 Revolving Loan, 6.34%, Maturing August 31, 2009 4,052,128
DAYCO PRODUCTS, LLC
1,546,125 Term Loan, 3.99%, Maturing June 23, 2011 1,571,250
EXIDE TECHNOLOGIES
1,000,000 Term Loan, 5.91%, Maturing May 5, 2010 996,250
1,000,000 Term Loan, 5.91%, Maturing May 5, 2010 996,250
FEDERAL-MOGUL CORP.
2,852,861 Revolving Loan, 4.15%, Maturing December 31, 2004 2,687,395
2,000,000 Term Loan, 5.66%, Maturing February 24, 2005 1,899,750
563,750 Term Loan, 5.66%, Maturing February 24, 2005 567,273
4,366,382 Revolving Loan, 6.50%, Maturing February 24, 2005 4,377,298
HLI OPERATING CO., INC.
1,840,949 Term Loan, 4.25%, Maturing June 3, 2009 1,860,509
KEY AUTOMOTIVE GROUP
$ 3,604,261 Term Loan, 5.03%, Maturing June 29, 2010 $ 3,656,073
METALDYNE CORP.
6,271,519 Term Loan, 4.48%, Maturing December 31, 2009 6,264,464
PLASTECH ENGINEERED PRODUCTS, INC.
1,000,000 Term Loan, 6.88%, Maturing March 31, 2011 1,020,000
R.J. TOWER CORP.
3,000,000 Term Loan, 9.19%, Maturing January 29, 2010 3,041,250
THE GOODYEAR TIRE & RUBBER CO.
5,500,000 Term Loan, 2.88%, Maturing March 31, 2006 5,582,500
2,000,000 Term Loan, 2.88%, Maturing September 30, 2007 2,024,062
TI AUTOMOTIVE, LTD.
750,000 Term Loan, 5.23%, Maturing June 30, 2011 744,375
TRW AUTOMOTIVE, INC.
3,000,000 Term Loan, 3.88%, Maturing October 31, 2010 3,017,499
3,980,000 Term Loan, 3.63%, Maturing February 27, 2011 4,017,810
UNITED COMPONENTS, INC.
1,870,000 Term Loan, 8.00%, Maturing June 30, 2010 1,893,960
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$ 55,639,770
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BEVERAGE AND TOBACCO -- 2.2%
CONSTELLATION BRANDS, INC.
$ 5,812,500 Term Loan, 3.50%, Maturing November 30, 2008 $ 5,844,742
CULLIGAN INTERNATIONAL CO.
3,735,000 Term Loan, 4.56%, Maturing September 30, 2011 3,804,254
SOUTHERN WINE & SPIRITS OF AMERICA, INC.
2,987,227 Term Loan, 4.06%, Maturing June 28, 2008 3,026,900
SUNNY DELIGHT BEVERAGES CO.
2,745,000 Term Loan, 6.78%, Maturing August 20, 2010 2,731,275
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$ 15,407,171
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BUILDING AND DEVELOPMENT -- 5.1%
FORMICA CORP.
$ 359,573 Term Loan, 6.88%, Maturing June 10, 2010 $ 361,371
878,886 Term Loan, 6.88%, Maturing June 10, 2010 883,281
449,466 Term Loan, 6.88%, Maturing June 10, 2010 451,713
1,301,531 Term Loan, 6.88%, Maturing June 10, 2010 1,308,038
FT-FIN ACQUISTION, LLC
726,453 Term Loan, 3.82%, Maturing November 17, 2007 728,269
GENERAL GROWTH PROPERTIES, INC.
9,725,000 Term Loan, 4.35%, Maturing November 12, 2008 9,772,108
LANDSOURCE COMMUNITIES, LLC
2,000,000 Term Loan, 4.69%, Maturing March 31, 2010 2,033,750
See notes to financial statements
4
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
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BUILDING AND DEVELOPMENT (CONTINUED)
MUELLER GROUP, INC.
$ 2,834,862 Term Loan, 5.08%, Maturing April 25, 2011 $ 2,857,896
NEWKIRK MASTER, L.P.
1,491,143 Term Loan, 3.72%, Maturing November 24, 2006 1,513,510
NORTEK, INC.
5,087,250 Term Loan, 4.75%, Maturing August 27, 2011 5,180,515
PLY GEM INDUSTRIES, INC.
800,000 Term Loan, 4.59%, Maturing February 12, 2011 809,500
1,695,739 Term Loan, 4.59%, Maturing February 12, 2011 1,715,876
299,248 Term Loan, 4.59%, Maturing February 12, 2011 302,802
SOUTH EDGE, LLC
656,250 Term Loan, 4.06%, Maturing October 31, 2007 659,737
843,750 Term Loan, 4.06%, Maturing October 31, 2009 852,452
ST. MARYS CEMENT, INC.
5,972,462 Term Loan, 3.98%, Maturing December 4, 2010 6,043,385
W9/GPT REAL ESTATE, L.P.
997,941 Term Loan, 4.09%, Maturing March 27, 2006 997,941
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$ 36,472,144
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BUSINESS EQUIPMENT AND SERVICES -- 3.8%
ALLIED SECURITY HOLDINGS, LLC
$ 2,880,000 Term Loan, 6.23%, Maturing June 30, 2010 $ 2,916,000
BAKER & TAYLOR, INC.
2,000,000 Term Loan, 9.35%, Maturing May 6, 2011 2,000,000
BUHRMANN US, INC.
1,475,014 Term Loan, 4.32%, Maturing December 31, 2010 1,495,757
INFOUSA, INC.
1,666,667 Term Loan, 4.48%, Maturing March 25, 2009 1,683,333
IRON MOUNTAIN, INC.
3,548,171 Term Loan, 3.56%, Maturing April 2, 2011 3,574,782
LANGUAGE LINE, INC.
4,934,211 Term Loan, 4.69%, Maturing June 11, 2011 4,999,998
MITCHELL INTERNATIONAL, INC.
2,503,750 Term Loan, 8.25%, Maturing August 13, 2011 2,540,525
1,745,625 Term Loan, 8.25%, Maturing August 13, 2012 1,754,353
QUINTILES TRANSNATIONAL CORP.
2,992,453 Term Loan, 6.23%, Maturing September 25, 2009 3,041,080
WILLIAMS SCOTSMAN, INC.
2,500,000 Term Loan, 5.18%, Maturing December 31, 2006 2,534,375
WORLDSPAN, L.P.
391,254 Term Loan, 6.03%, Maturing June 30, 2007 392,232
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$ 26,932,435
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CABLE AND SATELLITE TELEVISION -- 6.9%
ATLANTIC BROADBAND FINANCE, LLC
$ 4,000,000 Term Loan, 5.69%, Maturing February 10, 2011 $ 4,091,668
BRAGG COMMUNICATION, INC.
2,209,463 Term Loan, 4.43%, Maturing August 31, 2011 2,238,462
BRESNAN COMMUNICATIONS, LLC
1,884,762 Term Loan, 5.45%, Maturing September 30, 2010 1,912,446
CANADIEN CABLE ACQUISITION
2,000,000 Term Loan, 4.98%, Maturing July 30, 2011 2,018,750
CEBRIDGE CONNECTIONS, INC.
1,994,987 Term Loan, 8.21%, Maturing February 23, 2010 1,985,013
CHARTER COMMUNICATIONS OPERATING, LLC
5,000,000 Term Loan, 5.13%, Maturing April 27, 2010 4,943,030
10,473,750 Term Loan, 5.61%, Maturing April 27, 2011 10,461,590
INSIGHT MIDWEST HOLDINGS, LLC
1,880,000 Term Loan, 2.69%, Maturing December 31, 2008 1,896,450
992,500 Term Loan, 4.56%, Maturing December 31, 2009 1,009,731
MCC IOWA, LLC
2,475,000 Term Loan, 3.24%, Maturing March 31, 2010 2,464,558
MEDIACOM BROADBAND
2,992,500 Term Loan, 5.06%, Maturing September 30, 2010 3,041,691
MEDIACOM ILLINOIS, LLC
4,150,000 Term Loan, 5.06%, Maturing March 31, 2013 4,188,906
NTL, INC.
5,000,000 Term Loan, 5.20%, Maturing April 13, 2012 5,050,000
UGS CORP.
3,990,000 Term Loan, 4.46%, Maturing May 27, 2011 4,057,331
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$ 49,359,626
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CHEMICALS AND PLASTICS -- 7.9%
BRENNTAG AG
$ 5,500,000 Term Loan, 4.73%, Maturing February 27, 2012 $ 5,599,687
HERCULES, INC.
2,992,481 Term Loan, 3.95%, Maturing October 8, 2010 3,017,917
HUNTSMAN INTERNATIONAL, LLC
6,421,129 Term Loan, 5.38%, Maturing December 31, 2010 6,551,157
HUNTSMAN, LLC
2,500,000 Term Loan, 5.67%, Maturing March 31, 2010 2,547,395
INNOPHOS, INC.
2,564,818 Term Loan, 3.55%, Maturing August 13, 2010 2,609,702
INVISTA B.V.
7,875,000 Term Loan, 4.77%, Maturing April 30, 2010 7,894,687
KRATON POLYMER
1,868,971 Term Loan, 4.73%, Maturing December 5, 2008 1,893,890
See notes to financial statements
5
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
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CHEMICALS AND PLASTICS (CONTINUED)
NALCO CO.
$ 6,416,248 Term Loan, 4.50%, Maturing November 4, 2010 $ 6,489,431
PROFESSIONAL PAINT, INC.
1,530,000 Term Loan, 5.37%, Maturing September 30, 2011 1,551,037
RESOLUTION SPECIALTY MATERIALS
2,000,000 Term Loan, 3.39%, Maturing August 2, 2010 2,033,126
ROCKWOOD SPECIALTIES GROUP, INC.
6,475,000 Term Loan, 4.63%, Maturing July 30, 2012 6,525,298
SOLO CUP CO.
5,476,181 Term Loan, 4.53%, Maturing February 27, 2011 5,586,559
UNITED INDUSTRIES CORP.
1,197,000 Term Loan, 4.63%, Maturing April 29, 2011 1,217,199
2,493,750 Term Loan, 6.63%, Maturing October 31, 2011 2,538,949
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$ 56,056,034
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CLOTHING / TEXTILES -- 0.7%
SYNTHETIC INDUSTRIES, INC.
$ 4,972,323 Term Loan, 6.73%, Maturing December 30, 2007 $ 4,972,323
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$ 4,972,323
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CONGLOMERATES -- 2.4%
AMSTED INDUSTRIES, INC.
$ 2,634,881 Term Loan, 5.07%, Maturing October 15, 2010 $ 2,669,464
BLOUNT, INC.
666,667 Term Loan, 6.88%, Maturing February 9, 2011 677,500
JOHNSON DIVERSEY, INC.
2,692,933 Term Loan, 6.25%, Maturing November 30, 2009 2,742,163
POLYMER GROUP, INC.
3,747,929 Term Loan, 4.37%, Maturing April 27, 2010 3,793,215
2,500,000 Term Loan, 4.37%, Maturing April 27, 2011 2,521,875
PP ACQUISITION CORP.
4,499,625 Term Loan, 4.53%, Maturing November 12, 2011 4,567,119
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$ 16,971,336
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CONTAINERS AND GLASS PRODUCTS -- 9.5%
BERRY PLASTICS CORP.
$ 2,913,028 Term Loan, 4.22%, Maturing July 22, 2010 $ 2,953,082
BWAY CORP.
6,507,333 Term Loan, 4.49%, Maturing June 30, 2011 6,610,364
CELANESE AG
4,500,000 Term Loan, 4.50%, Maturing April 6, 2011 4,592,813
2,000,000 Term Loan, 4.50%, Maturing December 8, 2011 2,047,500
DR. PEPPER/SEVEN UP BOTTLING GROUP, INC.
4,368,180 Term Loan, 4.92%, Maturing December 19, 2010 4,446,672
GRAHAM PACKAGING HOLDINGS CO.
$ 5,400,000 Term Loan, 4.62%, Maturing October 7, 2011 $ 5,489,197
2,000,000 Term Loan, 6.44%, Maturing October 7, 2012 2,054,250
GRAPHIC PACKAGING INTERNATIONAL, INC.
9,642,963 Term Loan, 4.52%, Maturing August 8, 2009 9,832,206
GREIF BROS. CORP.
720,000 Term Loan, 3.88%, Maturing August 31, 2008 728,550
IPG (US), INC.
3,300,000 Term Loan, 4.14%, Maturing July 28, 2011 3,357,750
KRANSON INDUSTRIES, INC.
2,603,475 Term Loan, 4.73%, Maturing July 30, 2011 2,629,510
OWENS-ILLINOIS, INC.
4,509,713 Term Loan, 4.95%, Maturing April 1, 2007 4,600,376
2,928,757 Term Loan, 4.96%, Maturing April 1, 2008 2,986,419
SILGAN HOLDINGS, INC.
4,746,338 Term Loan, 3.80%, Maturing December 31, 2008 4,806,408
SMURFIT-STONE CONTAINER CORP.
656,041 Term Loan, 4.06%, Maturing November 1, 2011 667,932
5,242,951 Term Loan, 4.06%, Maturing November 1, 2011 5,332,737
1,666,490 Term Loan, 4.06%, Maturing November 1, 2011 1,695,914
SOLA INTERNATIONAL, INC.
2,925,000 Term Loan, 4.48%, Maturing December 11, 2009 2,965,219
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$ 67,796,899
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COSMETICS / TOILETRIES -- 1.0%
PRESTIGE BRANDS, INC.
$ 2,492,500 Term Loan, 4.86%, Maturing April 7, 2011 $ 2,530,927
2,000,000 Term Loan, 6.86%, Maturing April 7, 2011 2,052,084
REVLON CONSUMER PRODUCTS CORP.
2,125,000 Term Loan, 4.81%, Maturing July 9, 2010 2,178,125
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$ 6,761,136
-------------------------------------------------------------------------------------------
ECOLOGICAL SERVICES AND EQUIPMENT -- 2.3%
ALDERWOODS GROUP, INC.
$ 1,565,088 Term Loan, 4.94%, Maturing August 19, 2010 $ 1,581,717
ALLIED WASTE INDUSTRIES, INC.
707,143 Term Loan, 3.90%, Maturing January 15, 2009 716,645
983,951 Term Loan, 4.54%, Maturing January 5, 2010 996,988
5,902,757 Term Loan, 3.90%, Maturing January 15, 2010 5,990,773
ENVIRONMENTAL SYSTEMS, INC.
2,446,737 Term Loan, 12.13%, Maturing December 12, 2008 2,477,321
IONICS, INC.
791,127 Term Loan, 4.73%, Maturing February 13, 2011 796,566
See notes to financial statements
6
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
-------------------------------------------------------------------------------------------
ECOLOGICAL SERVICES AND EQUIPMENT (CONTINUED)
NATIONAL WATERWORKS, INC.
$ 4,000,000 Term Loan, 4.73%, Maturing November 22, 2009 $ 4,046,668
-------------------------------------------------------------------------------------------
$ 16,606,678
-------------------------------------------------------------------------------------------
ELECTRONICS / ELECTRICAL -- 2.5%
COMMUNICATIONS & POWER, INC.
$ 1,987,506 Term Loan, 4.44%, Maturing July 23, 2010 $ 2,019,803
ENERSYS CAPITAL, INC.
1,995,000 Term Loan, 5.07%, Maturing March 17, 2011 2,024,925
INVENSYS INTERNATIONAL HOLDING
5,960,025 Term Loan, 5.93%, Maturing September 5, 2009 6,045,700
MEMEC GROUP, LTD.
1,500,000 Term Loan, 4.44%, Maturing June 2, 2009 1,490,625
SECURITYCO, INC.
997,500 Term Loan, 5.94%, Maturing June 28, 2010 1,008,722
3,000,000 Term Loan, 9.56%, Maturing June 28, 2011 3,000,000
VIASYSTEMS, INC.
2,000,000 Term Loan, 6.49%, Maturing September 30, 2009 2,020,416
-------------------------------------------------------------------------------------------
$ 17,610,191
-------------------------------------------------------------------------------------------
EQUIPMENT LEASING -- 0.6%
ASHTEAD GROUP, PLC
$ 1,000,000 Term Loan, 4.81%, Maturing November 12, 2009 $ 1,015,625
UNITED RENTALS, INC.
334,029 Term Loan, 4.63%, Maturing February 14, 2011 337,230
3,158,036 Term Loan, 4.63%, Maturing February 14, 2011 3,201,459
-------------------------------------------------------------------------------------------
$ 4,554,314
-------------------------------------------------------------------------------------------
FARMING / AGRICULTURE -- 0.2%
IMC GLOBAL, INC.
$ 695,309 Term Loan, 6.07%, Maturing November 17, 2006 $ 697,655
THE SCOTTS CO.
1,000,000 Term Loan, 3.44%, Maturing September 30, 2010 1,009,453
-------------------------------------------------------------------------------------------
$ 1,707,108
-------------------------------------------------------------------------------------------
FINANCIAL INTERMEDIARIES -- 2.2%
COINSTAR, INC.
$ 6,059,813 Term Loan, 4.29%, Maturing July 7, 2011 $ 6,165,859
CORRECTIONS CORP. OF AMERICA
2,363,455 Term Loan, 3.50%, Maturing March 31, 2008 2,403,338
REFCO GROUP LTD., LLC
5,785,500 Term Loan, 4.68%, Maturing August 5, 2011 5,855,649
WACKENHUT CORRECTIONS CORP.
$ 1,030,422 Term Loan, 4.63%, Maturing July 9, 2009 $ 1,051,031
-------------------------------------------------------------------------------------------
$ 15,475,877
-------------------------------------------------------------------------------------------
FOOD PRODUCTS -- 2.3%
ACOSTA SALES COMPANY, INC.
$ 3,640,875 Term Loan, 4.73%, Maturing August 13, 2010 $ 3,695,488
ATKINS NUTRITIONAL, INC.
981,865 Term Loan, 7.23%, Maturing November 26, 2009 833,604
DEL MONTE CORP.
1,911,368 Term Loan, 4.38%, Maturing December 20, 2010 1,947,207
DOANE PET CARE CO.
1,685,000 Term Loan, 6.31%, Maturing November 5, 2009 1,712,381
MICHAEL FOODS, INC.
2,300,000 Term Loan, 4.48%, Maturing November 20, 2011 2,368,282
PINNACLE FOODS HOLDINGS CORP.
1,994,987 Term Loan, 4.98%, Maturing November 25, 2010 1,995,402
REDDY ICE GROUP, INC.
2,582,229 Term Loan, 4.68%, Maturing July 31, 2009 2,613,970
SEMINIS VEGETABLE SEEDS, INC.
1,279,748 Term Loan, 4.46%, Maturing September 30, 2009 1,298,411
-------------------------------------------------------------------------------------------
$ 16,464,745
-------------------------------------------------------------------------------------------
FOOD SERVICE -- 3.4%
BUFFETS, INC.
$ 1,000,000 Term Loan, 5.48%, Maturing June 28, 2009 $ 1,005,000
1,474,168 Term Loan, 5.48%, Maturing June 28, 2009 1,481,538
CKE RESTAURANTS, INC.
2,971,714 Term Loan, 4.81%, Maturing May 1, 2010 3,038,578
DENNY'S, INC.
2,550,000 Term Loan, 5.46%, Maturing September 21, 2009 2,604,986
DOMINO'S, INC.
7,640,158 Term Loan, 4.25%, Maturing June 25, 2010 7,704,626
GATE GOURMET BORROWER, LLC
2,000,000 Term Loan, 9.50%, Maturing December 31, 2008 2,040,000
1,053,222 Term Loan, 9.50%, Maturing December 31, 2008 1,074,287
JACK IN THE BOX, INC.
994,987 Term Loan, 4.41%, Maturing January 8, 2011 1,010,224
WEIGHT WATCHERS INTERNATIONAL, INC.
4,500,000 Term Loan, 6.76%, Maturing March 31, 2010 4,536,562
-------------------------------------------------------------------------------------------
$ 24,495,801
-------------------------------------------------------------------------------------------
See notes to financial statements
7
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
-------------------------------------------------------------------------------------------
FOOD / DRUG RETAILERS -- 2.6%
GENERAL NUTRITION CENTERS, INC.
$ 2,977,500 Term Loan, 4.97%, Maturing December 5, 2009 $ 3,013,974
GIANT EAGLE, INC.
4,600,792 Term Loan, 3.86%, Maturing August 6, 2009 4,663,096
RITE AID CORP.
3,990,000 Term Loan, 3.77%, Maturing September 22, 2009 4,033,643
THE JEAN COUTU GROUP (PJC), INC.
6,084,750 Term Loan, 6.14%, Maturing July 30, 2011 6,189,852
THE PANTRY, INC.
500,000 Term Loan, 4.44%, Maturing March 12, 2011 507,969
-------------------------------------------------------------------------------------------
$ 18,408,534
-------------------------------------------------------------------------------------------
FOREST PRODUCTS -- 3.7%
APPLETON PAPERS, INC.
$ 3,890,250 Term Loan, 4.56%, Maturing June 11, 2010 $ 3,941,796
BOISE CASCADE HOLDINGS, LLC
7,353,425 Term Loan, 4.44%, Maturing September 29, 2010 7,485,941
4,746,575 Term Loan, 4.47%, Maturing October 28, 2010 4,785,682
BUCKEYE TECHNOLOGIES, INC.
2,879,017 Term Loan, 4.51%, Maturing April 15, 2010 2,924,002
KOCH CELLULOSE, LLC
1,088,377 Term Loan, 3.84%, Maturing May 7, 2011 1,106,063
4,341,779 Term Loan, 3.84%, Maturing May 7, 2011 4,412,333
RLC INDUSTRIES CO.
1,575,736 Term Loan, 4.21%, Maturing February 24, 2010 1,585,584
-------------------------------------------------------------------------------------------
$ 26,241,401
-------------------------------------------------------------------------------------------
HEALTHCARE -- 9.3%
ACCREDO HEALTH, INC.
$ 2,294,250 Term Loan, 3.96%, Maturing April 30, 2011 $ 2,318,626
ADVANCED MEDICAL OPTICS, INC.
1,849,531 Term Loan, 3.81%, Maturing June 25, 2009 1,879,586
ARDENT HEALTH SERVICES, INC.
3,440,000 Term Loan, 7.00%, Maturing July 12, 2011 3,452,900
COLGATE MEDICAL, LTD.
877,990 Term Loan, 3.97%, Maturing December 30, 2008 888,417
COMMUNITY HEALTH SYSTEMS, INC.
9,734,025 Term Loan, 4.15%, Maturing July 5, 2010 9,829,088
CONCENTRA OPERATING CORP.
2,827,244 Term Loan, 4.56%, Maturing June 30, 2010 2,860,230
CORSS COUNTRY HEALTHCARE, INC.
354,881 Term Loan, 4.37%, Maturing June 5, 2009 358,430
DAVITA, INC.
9,946,592 Term Loan, 3.99%, Maturing June 30, 2010 10,087,247
DJ ORTHOPEDICS, INC.
$ 1,203,125 Term Loan, 4.02%, Maturing May 15, 2009 $ 1,215,908
ENCORE MEDICAL IHC, INC.
1,800,000 Term Loan, 5.07%, Maturing October 4, 2010 1,832,625
ENVISION WORLDWIDE, INC.
1,400,000 Term Loan, 7.07%, Maturing September 30, 2010 1,403,500
EXPRESS SCRIPTS, INC.
2,992,481 Term Loan, 3.70%, Maturing February 13, 2010 3,021,158
FRENSIUS MEDICAL CARE HOLDING, INC.
3,314,748 Term Loan, 3.98%, Maturing February 21, 2010 3,334,431
HANGER ORTHOPEDIC GROUP, INC.
2,493,700 Term Loan, 5.48%, Maturing September 30, 2009 2,518,637
IASIS HEALTHCARE, LLC
3,990,000 Term Loan, 4.25%, Maturing June 16, 2011 4,052,759
KINETIC CONCEPTS, INC.
2,355,988 Term Loan, 4.67%, Maturing October 3, 2009 2,390,837
KNOWLEDGE LEARNING CORP.
972,518 Term Loan, 5.47%, Maturing December 31, 2010 977,381
LEINER HEALTH PRODUCTS, INC.
2,493,750 Term Loan, 4.89%, Maturing May 27, 2011 2,537,391
MAGELLAN HEALTH SERVICES, INC.
2,162,162 Term Loan, 2.47%, Maturing August 15, 2008 2,189,189
3,837,838 Term Loan, 2.47%, Maturing August 15, 2008 3,885,811
MEDCATH HOLDINGS CORP.
1,561,088 Term Loan, 5.06%, Maturing July 2, 2011 1,585,968
NATIONAL MENTOR, INC.
925,000 Term Loan, 5.48%, Maturing September 30, 2011 942,922
VANGUARD HEALTH HOLDING CO., LLC
1,375,000 Term Loan, 5.68%, Maturing September 23, 2011 1,399,406
VWR INTERNATIONAL, INC.
1,246,000 Term Loan, 5.46%, Maturing April 7, 2011 1,270,297
-------------------------------------------------------------------------------------------
$ 66,232,744
-------------------------------------------------------------------------------------------
HOME FURNISHINGS -- 1.9%
JUNO LIGHTING, INC.
$ 1,386,908 Term Loan, 3.60%, Maturing November 21, 2010 $ 1,406,844
KNOLL, INC.
3,700,000 Term Loan, 5.05%, Maturing September 30, 2011 3,748,562
SEALY MATTRESS CO.
2,513,792 Term Loan, 4.28%, Maturing April 6, 2012 2,555,689
SIMMONS CO.
1,437,778 Term Loan, 3.98%, Maturing December 19, 2011 1,456,948
3,917,038 Term Loan, 4.01%, Maturing December 19, 2011 3,969,263
-------------------------------------------------------------------------------------------
$ 13,137,306
-------------------------------------------------------------------------------------------
See notes to financial statements
8
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
-------------------------------------------------------------------------------------------
INDUSTRIAL EQUIPMENT -- 1.7%
BUCYRUS INTERNATIONAL, INC.
$ 740,625 Term Loan, 4.10%, Maturing July 28, 2010 $ 753,586
DOUGLAS DYNAMICS HOLDINGS, INC.
1,500,000 Term Loan, 7.97%, Maturing March 30, 2011 1,537,500
GLEASON CORP.
585,000 Term Loan, 4.93%, Maturing July 27, 2011 592,312
2,000,000 Term Loan, 8.10%, Maturing January 31, 2012 2,020,000
ITRON, INC.
2,223,480 Term Loan, 4.25%, Maturing December 17, 2010 2,245,715
SPX CORP.
4,994,975 Term Loan, 4.25%, Maturing September 30, 2009 5,028,067
-------------------------------------------------------------------------------------------
$ 12,177,180
-------------------------------------------------------------------------------------------
INSURANCE -- 1.7%
ALLIANT RESOURCES GROUP, INC.
$ 1,501,238 Term Loan, 5.67%, Maturing August 31, 2011 $ 1,503,114
CCC INFORMATION SERVICES GROUP
2,697,579 Term Loan, 5.18%, Maturing August 20, 2010 2,731,299
CONSECO, INC.
6,468,750 Term Loan, 5.68%, Maturing June 22, 2010 6,606,211
U.S.I. HOLDINGS CORP.
980,038 Term Loan, 4.63%, Maturing August 11, 2008 984,938
-------------------------------------------------------------------------------------------
$ 11,825,562
-------------------------------------------------------------------------------------------
LEISURE GOODS / ACTIVITIES / MOVIES -- 9.0%
BOMBARDIER RECREATIONAL PRODUCTS, INC.
$ 5,719,000 Term Loan, 4.47%, Maturing December 18, 2010 $ 5,808,359
1,257,000 Term Loan, 4.47%, Maturing December 18, 2010 1,276,641
CINEMARK, INC.
4,979,987 Term Loan, 4.62%, Maturing March 31, 2011 5,052,611
LOEWS CINEPLEX ENTERTAINMENT CORP.
8,603,750 Term Loan, 5.23%, Maturing July 30, 2011 8,728,100
METRO-GOLDWYN-MAYER STUDIOS, INC.
12,000,000 Term Loan, 6.31%, Maturing April 26, 2011 12,055,500
REGAL CINEMAS CORP.
9,680,450 Term Loan, 3.63%, Maturing November 10, 2010 9,791,775
SIX FLAGS THEME PARKS, INC.
8,083,858 Term Loan, 4.57%, Maturing June 30, 2009 8,174,801
UNIVERSAL CITY DEVELOPMENT
4,990,166 Term Loan, 4.44%, Maturing June 30, 2007 5,008,879
WMG ACQUISITION CORP.
5,974,925 Term Loan, 5.21%, Maturing February 28, 2011 6,077,622
YANKEES HOLDINGS & YANKEENETS, LLC
$ 628,571 Term Loan, 3.73%, Maturing June 25, 2007 $ 639,571
1,371,429 Term Loan, 3.73%, Maturing June 25, 2007 1,395,429
-------------------------------------------------------------------------------------------
$ 64,009,288
-------------------------------------------------------------------------------------------
LODGING AND CASINOS -- 4.1%
ALLIANCE GAMING CORP.
$ 2,814,326 Term Loan, 3.54%, Maturing September 5, 2009 $ 2,842,469
ARGOSY GAMING CO.
2,375,000 Term Loan, 3.82%, Maturing June 30, 2011 2,392,071
BOCA RESORTS, INC.
2,200,000 Term Loan, 4.44%, Maturing July 22, 2009 2,200,000
CNL RESORT HOTEL, L.P.
1,750,000 Term Loan, 4.34%, Maturing August 18, 2006 1,750,000
GLOBALCASH ACCESS, LLC
987,342 Term Loan, 4.11%, Maturing March 10, 2010 1,006,472
ISLE OF CAPRI CASINOS, INC.
1,987,952 Term Loan, 4.33%, Maturing April 25, 2008 2,014,044
MARINA DISTRICT FINANCE CO., INC.
4,575,000 Term Loan, 3.93%, Maturing October 14, 2011 4,613,123
MOHEGAN TRIBAL GAMING AUTHORITY
785,000 Term Loan, 8.25%, Maturing March 31, 2008 786,963
PINNACLE ENTERTAINMENT, INC.
1,600,000 Term Loan, 4.98%, Maturing August 27, 2010 1,624,000
SEMINOLE TRIBE OF FLORIDA
700,000 Term Loan, 6.00%, Maturing September 30, 2011 707,875
VAIL RESORTS, INC.
807,864 Term Loan, 4.38%, Maturing December 10, 2008 815,774
VENETIAN CASINO RESORT, LLC
4,147,715 Term Loan, 4.90%, Maturing June 15, 2011 4,224,622
WYNDHAM INTERNATIONAL, INC.
1,803,378 Term Loan, 6.88%, Maturing December 31, 2004 1,820,961
2,255,175 Term Loan, 6.03%, Maturing June 30, 2006 2,273,263
-------------------------------------------------------------------------------------------
$ 29,071,637
-------------------------------------------------------------------------------------------
NONFERROUS METALS / MINERALS -- 2.0%
CONSOL ENERGY, INC.
$ 1,200,000 Term Loan, 4.49%, Maturing June 30, 2010 $ 1,225,876
FOUNDATION COAL CORP.
7,365,000 Term Loan, 4.04%, Maturing July 30, 2011 7,483,761
ICG, LLC
950,000 Term Loan, 4.99%, Maturing November 5, 2010 965,438
INTERNATIONAL MILL SERVICE, INC.
1,000,000 Term Loan, 4.82%, Maturing October 26, 2011 1,015,000
See notes to financial statements
9
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
-------------------------------------------------------------------------------------------
NONFERROUS METALS / MINERALS (CONTINUED)
MAGNEQUENCH, INC.
$ 1,497,688 Term Loan, 13.07%, Maturing September 30, 2009 $ 1,508,921
1,500,000 Term Loan, 13.07%, Maturing December 31, 2009 1,522,500
STILLWATER MINING CO.
498,750 Term Loan, 5.52%, Maturing June 30, 2007 509,348
-------------------------------------------------------------------------------------------
$ 14,230,844
-------------------------------------------------------------------------------------------
OIL AND GAS -- 6.5%
BELDON & BLAKE CORP.
$ 2,507,400 Term Loan, 4.80%, Maturing July 21, 2011 $ 2,554,414
BPL ACQUISITION, L.P.
1,990,650 Term Loan, 4.43%, Maturing May 4, 2010 2,010,557
DRESSER RAND GROUP, INC.
4,200,000 Term Loan, 4.18%, Maturing October 29, 2011 4,271,400
DRESSER, INC.
2,873,171 Term Loan, 4.71%, Maturing March 31, 2007 2,912,677
DYNEGY HOLDINGS, INC.
6,985,000 Term Loan, 6.02%, Maturing May 28, 2010 7,139,983
EL PASO CORP.
2,205,750 Term Loan, 6.02%, Maturing November 23, 2009 2,205,750
3,676,250 Term Loan, 6.02%, Maturing November 23, 2009 3,676,250
GETTY PETROLEUM MARKETING, INC.
4,425,000 Term Loan, 5.23%, Maturing May 19, 2010 4,510,734
LA GRANGE ACQUISITION, L.P.
2,000,000 Term Loan, 5.20%, Maturing January 18, 2008 2,033,126
LYONDELL-CITGO REFINING, L.P.
3,491,250 Term Loan, 4.59%, Maturing May 21, 2007 3,517,434
MAGELLAN MIDSTREAM HOLDINGS
1,012,071 Term Loan, 4.13%, Maturing June 17, 2008 1,029,782
PRIDE OFFSHORE, INC.
2,623,425 Term Loan, 3.84%, Maturing July 7, 2011 2,658,951
SEMGROUP, L.P.
810,000 Term Loan, 5.33%, Maturing August 27, 2010 820,125
WILLIAMS PRODUCTION RMT CO.
6,481,175 Term Loan, 5.96%, Maturing May 30, 2007 6,589,196
-------------------------------------------------------------------------------------------
$ 45,930,379
-------------------------------------------------------------------------------------------
PUBLISHING -- 7.8%
ADVANSTAR COMMUNICATIONS, INC.
$ 456,349 Term Loan, 3.81%, Maturing November 17, 2007 $ 459,011
ADVERTISING DIRECTORY SOLUTION
775,000 Term Loan, 4.50%, Maturing May 9, 2010 792,147
1,500,000 Term Loan, 4.50%, Maturing November 9, 2011 1,513,907
CBD MEDIA, LLC
$ 4,505,358 Term Loan, 4.29%, Maturing December 31, 2009 $ 4,572,938
DEX MEDIA EAST, LLC
4,748,790 Term Loan, 3.95%, Maturing May 8, 2009 4,808,150
DEX MEDIA WEST, LLC
4,367,313 Term Loan, 3.94%, Maturing March 9, 2010 4,412,807
FREEDOM COMMUNICATIONS
4,500,000 Term Loan, 4.04%, Maturing May 18, 2012 4,578,750
HERALD MEDIA, INC.
1,000,000 Term Loan, 7.45%, Maturing January 22, 2012 1,016,563
LAMAR MEDIA CORP.
3,500,000 Term Loan, 5.96%, Maturing June 30, 2010 3,537,734
MEDIANEWS GROUP, INC.
564,838 Term Loan, 3.59%, Maturing August 25, 2010 570,016
MERRILL COMMUNICATIONS, LLC
5,536,385 Term Loan, 4.48%, Maturing February 9, 2009 5,603,863
MORRIS PUBLISHING GROUP, LLC
2,950,000 Term Loan, 3.56%, Maturing March 31, 2011 2,985,955
NEBRASKA BOOK CO., INC.
1,485,000 Term Loan, 4.67%, Maturing March 4, 2011 1,506,347
NEWSPAPER HOLDINGS, INC.
2,400,000 Term Loan, 3.84%, Maturing August 24, 2011 2,399,251
R.H. DONNELLEY CORP.
11,299,075 Term Loan, 6.50%, Maturing June 30, 2011 11,425,545
TRANSWESTERN PUBLISHING CO., LLC
1,990,001 Term Loan, 5.79%, Maturing February 25, 2011 2,022,028
386,400 Term Loan, 4.31%, Maturing August 24, 2012 390,687
WEEKLY READER CORP.
1,000,000 Term Loan, 6.76%, Maturing March 18, 2009 997,500
XEROX CORP.
2,000,000 Term Loan, 3.73%, Maturing September 30, 2008 2,016,250
-------------------------------------------------------------------------------------------
$ 55,609,449
-------------------------------------------------------------------------------------------
RADIO AND TELEVISION -- 6.4%
ADAMS OUTDOOR ADVERTISING, L.P.
$ 3,990,000 Term Loan, 4.33%, Maturing October 15, 2011 $ 4,048,186
CANWEST MEDIA, INC.
2,989,354 Term Loan, 4.49%, Maturing August 15, 2009 3,030,458
CUMULUS MEDIA, INC.
1,058,750 Term Loan, 5.09%, Maturing March 28, 2009 1,069,007
3,291,750 Term Loan, 5.09%, Maturing March 28, 2010 3,344,556
DIRECTV HOLDINGS, LLC
6,000,000 Term Loan, 4.02%, Maturing March 6, 2010 6,095,250
EMMIS OPERATING CO.
3,000,000 Term Loan, 3.81%, Maturing November 10, 2011 3,035,064
See notes to financial statements
10
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
-------------------------------------------------------------------------------------------
RADIO AND TELEVISION (CONTINUED)
ENTRAVISION COMMUNICATIONS CO.
$ 2,500,000 Term Loan, 4.15%, Maturing February 27, 2012 $ 2,531,250
GRAY TELEVISION, INC.
2,992,500 Term Loan, 3.78%, Maturing December 31, 2010 3,033,647
NEP SUPERSHOOTERS, L.P.
1,535,971 Term Loan, 10.13%, Maturing August 3, 2011 1,524,451
NEXSTAR BROADCASTING, INC.
1,937,191 Term Loan, 3.73%, Maturing December 31, 2010 1,946,877
1,057,809 Term Loan, 3.73%, Maturing December 31, 2010 1,063,098
RAINBOW NATIONAL SERVICES, LLC
3,600,000 Term Loan, 5.19%, Maturing March 31, 2012 3,661,499
RAYCOM TV BROADCASTING, INC.
2,000,000 Term Loan, 3.81%, Maturing October 6, 2011 2,006,250
4,000,000 Term Loan, 5.19%, Maturing February 24, 2012 4,050,000
SINCLAIR TELEVISION GROUP, INC.
1,900,000 Term Loan, 3.98%, Maturing June 30, 2009 1,913,063
3,100,000 Term Loan, 3.98%, Maturing December 31, 2009 3,133,582
-------------------------------------------------------------------------------------------
$ 45,486,238
-------------------------------------------------------------------------------------------
RAIL INDUSTRIES -- 0.7%
RAILAMERICA, INC.
$ 4,145,456 Term Loan, 4.38%, Maturing September 29, 2011 $ 4,210,229
490,038 Term Loan, 4.38%, Maturing September 29, 2011 497,695
-------------------------------------------------------------------------------------------
$ 4,707,924
-------------------------------------------------------------------------------------------
RETAILERS (EXCEPT FOOD AND DRUG) -- 5.1%
ADVANCE STORES COMPANY, INC.
$ 165,163 Term Loan, 4.18%, Maturing September 30, 2010 $ 167,383
ALIMENTATION COUCHE-TARD, INC.
3,664,004 Term Loan, 4.94%, Maturing December 17, 2010 3,709,804
AMERICAN ACHIEVEMENT CORP.
2,493,719 Term Loan, 4.75%, Maturing March 25, 2011 2,531,124
AMSCAN HOLDINGS, INC.
997,500 Term Loan, 3.94%, Maturing April 30, 2012 1,007,475
FTD, INC.
1,983,756 Term Loan, 4.65%, Maturing February 28, 2011 2,013,513
HARBOR FREIGHT TOOLS USA, INC.
4,500,000 Term Loan, 3.88%, Maturing July 15, 2010 4,526,249
HOME INTERIORS & GIFTS, INC.
2,976,378 Term Loan, 6.42%, Maturing March 31, 2011 2,787,378
JOSTENS CORP.
1,500,000 Term Loan, 6.25%, Maturing October 4, 2010 1,521,563
5,780,000 Term Loan, 4.54%, Maturing October 4, 2011 5,835,737
ORIENTAL TRADING CO., INC.
$ 2,317,645 Term Loan, 4.75%, Maturing August 4, 2010 $ 2,352,892
2,000,000 Term Loan, 4.75%, Maturing January 8, 2011 2,041,250
RENT-A-CENTER, INC.
4,000,000 Term Loan, 3.63%, Maturing June 30, 2010 4,054,000
RIDDELL BELL HOLDINGS, INC.
1,000,000 Term Loan, 4.76%, Maturing September 30, 2011 1,015,208
SAVERS, INC.
818,368 Term Loan, 6.52%, Maturing August 4, 2009 825,017
1,500,000 Term Loan, 10.48%, Maturing August 4, 2010 1,518,750
TRAVELCENTERS OF AMERICA, INC.
498,718 Term Loan, 5.26%, Maturing November 30, 2008 501,212
-------------------------------------------------------------------------------------------
$ 36,408,555
-------------------------------------------------------------------------------------------
SURFACE TRANSPORT -- 2.0%
HORIZON LINES, LLC
$ 3,017,438 Term Loan, 4.73%, Maturing July 7, 2011 $ 3,072,756
LAIDLAW INTERNATIONAL, INC.
8,338,218 Term Loan, 5.96%, Maturing June 19, 2009 8,476,324
NFIL HOLDINGS CORP.
1,851,946 Term Loan, 4.31%, Maturing February 27, 2010 1,872,780
634,201 Term Loan, 4.95%, Maturing February 27, 2010 640,543
-------------------------------------------------------------------------------------------
$ 14,062,403
-------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 10.3%
AMERICAN TOWER, L.P.
$ 1,496,250 Term Loan, 4.48%, Maturing August 31, 2011 $ 1,517,408
CELLULAR SOUTH, INC.
1,745,625 Term Loan, 4.50%, Maturing May 4, 2011 1,779,446
CENTENNIAL CELLULAR OPERATING CO., LLC
4,974,937 Term Loan, 4.95%, Maturing February 9, 2011 5,049,119
CINCINNATI BELL, INC.
2,740,073 Term Loan, 4.62%, Maturing June 30, 2008 2,771,926
CONSOLIDATED COMMUNICATIONS, INC.
3,988,333 Term Loan, 4.49%, Maturing April 14, 2012 4,055,636
D&E COMMUNICATIONS, INC.
1,491,139 Term Loan, 4.24%, Maturing December 31, 2011 1,500,458
NEXTEL COMMUNICATIONS
8,977,387 Term Loan, 3.73%, Maturing December 15, 2010 8,998,870
NEXTEL PARTNERS OPERATING CORP.
6,500,000 Term Loan, 4.31%, Maturing May 31, 2011 6,615,102
NTELOS, INC.
4,709,691 Term Loan, 5.96%, Maturing July 25, 2008 4,715,578
See notes to financial statements
11
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
-------------------------------------------------------------------------------------------
TELECOMMUNICATIONS (CONTINUED)
PANAMSAT CORP.
$ 6,914,661 Term Loan, 4.88%, Maturing August 20, 2011 $ 6,970,842
QWEST CORP.
10,000,000 Term Loan, 6.50%, Maturing June 4, 2007 10,439,580
SBA SENIOR FINANCE, INC.
4,493,750 Term Loan, 6.52%, Maturing October 31, 2008 4,542,903
TRITON PCS, INC.
1,715,000 Term Loan, 5.38%, Maturing November 18, 2009 1,736,081
VALOR TELECOM ENTERPRISE, LLC
1,075,000 Term Loan, 4.38%, Maturing November 10, 2011 1,088,774
3,500,000 Term Loan, 4.38%, Maturing November 10, 2011 3,543,750
WESTERN WIRELESS CORP.
7,980,000 Term Loan, 5.08%, Maturing May 28, 2011 8,122,499
-------------------------------------------------------------------------------------------
$ 73,447,972
-------------------------------------------------------------------------------------------
UTILITIES -- 3.9%
ALLEGHENY ENERGY SUPPLY CO., LLC
$ 6,806,725 Term Loan, 3.95%, Maturing October 28, 2011 $ 6,934,351
CENTERPOINT ENERGY, INC.
7,466,014 Term Loan, 4.95%, Maturing October 7, 2006 7,501,015
COLETO CREEK WLE, L.P.
3,493,750 Term Loan, 4.23%, Maturing June 30, 2011 3,555,617
NRG ENERGY, INC.
2,025,515 Term Loan, 4.75%, Maturing June 23, 2010 2,083,749
3,611,472 Term Loan, 4.75%, Maturing June 23, 2010 3,715,301
PIKE ELECTRIC, INC.
3,544,086 Term Loan, 4.31%, Maturing July 1, 2012 3,607,217
-------------------------------------------------------------------------------------------
$ 27,397,250
-------------------------------------------------------------------------------------------
TOTAL SENIOR, FLOATING RATE INTERESTS
(IDENTIFIED COST $1,014,199,425) $ 1,016,744,823
-------------------------------------------------------------------------------------------
PREFERRED STOCKS -- 0.0%
SHARES SECURITY VALUE
-------------------------------------------------------------------------------------------
1,159 Crown Castle International Corp., (PIK) $ 57,081
-------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS
(IDENTIFIED COST, $55,364) $ 57,081
-------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES -- 13.6%
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
-------------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 0.3%
ARGO TECH CORP., SR. NOTES
$ 1,500 9.25%, 6/1/11 $ 1,646,250
BE AEROSPACE, SR. SUB. NOTES, SERIES B
65 8.00%, 3/1/08 65,000
SEQUA CORP.
500 8.875%, 4/1/08 547,500
STANDARD AERO HOLDINGS, INC., SR. SUB. NOTES
95 8.25%, 9/1/14(2) 102,125
-------------------------------------------------------------------------------------------
$ 2,360,875
-------------------------------------------------------------------------------------------
AIR TRANSPORT -- 0.0%
NORTHWEST AIRLINES, INC.
$ 45 8.875%, 6/1/06 $ 41,625
-------------------------------------------------------------------------------------------
$ 41,625
-------------------------------------------------------------------------------------------
AUTOMOTIVE -- 0.2%
KEYSTONE AUTOMOTIVE OPERATIONS, INC., SR. SUB. NOTES
$ 500 9.75%, 11/1/13 $ 543,750
METALDYNE CORP., SR. NOTES
545 10.00%, 11/1/13(2) 531,375
TENNECO AUTOMOTIVE, INC., SR. NOTES, SERIES B
45 10.25%, 7/15/13 53,212
TENNECO AUTOMOTIVE, INC., SR. SUB. NOTES
280 8.625%, 11/15/14(2) 292,600
-------------------------------------------------------------------------------------------
$ 1,420,937
-------------------------------------------------------------------------------------------
BROADCAST MEDIA -- 0.6%
PAXSON COMMUNICATIONS CORP.
$ 4,500 4.82%, 1/15/10(2) $ 4,545,000
-------------------------------------------------------------------------------------------
$ 4,545,000
-------------------------------------------------------------------------------------------
BUILDING AND DEVELOPMENT -- 0.4%
COLEMAN CABLE, INC., SR. NOTES
$ 115 9.875%, 10/1/12(2) $ 121,612
COLLINS & AIKMAN FLOOR COVER
400 9.75%, 2/15/10 432,000
MUELLER GROUP, INC., SR. SUB. NOTES
600 10.00%, 5/1/12(2) 654,000
PLY GEM INDUSTRIES, INC., SR. SUB. NOTES
115 9.00%, 2/15/12(2) 117,300
1,000 9.00%, 2/15/12(2) 1,020,000
See notes to financial statements
12
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
-------------------------------------------------------------------------------------------
BUILDING AND DEVELOPMENT (CONTINUED)
RMCC ACQUISITION CO., SR. SUB. NOTES
$ 360 9.50%, 11/1/12(2) $ 363,600
-------------------------------------------------------------------------------------------
$ 2,708,512
-------------------------------------------------------------------------------------------
BUSINESS EQUIPMENT AND SERVICES -- 0.2%
ALLIED SECURITY ESCROW, SR. SUB. NOTES
$ 45 11.375%, 7/15/11(2) $ 48,375
ASG CONSOLIDATED, LLC/ASG FINANCE, INC.,
SR. DISC. NOTES
440 11.50%, 11/1/11(2) 283,800
COINMACH CORP., SR. NOTES
45 9.00%, 2/1/10 47,475
WILLIAMS SCOTSMAN, INC., SR. NOTES
1,015 10.00%, 8/15/08 1,131,725
-------------------------------------------------------------------------------------------
$ 1,511,375
-------------------------------------------------------------------------------------------
CABLE AND SATELLITE TELEVISION -- 0.4%
INSIGHT COMMUNICATIONS, SR. DISC. NOTES
$ 35 12.25%, 2/15/11 $ 33,775
KABEL DEUTSCHLAND GMBH
560 10.625%, 7/1/14(2) 646,800
ROGERS CABLE, INC., SR. NOTES
170 6.75%, 3/15/15(2) 173,400
UGS CORP., SR. SUB. NOTES
2,055 10.00%, 6/1/12(2) 2,352,975
-------------------------------------------------------------------------------------------
$ 3,206,950
-------------------------------------------------------------------------------------------
CHEMICALS AND PLASTICS -- 1.5%
AVECIA GROUP PLC
$ 1,035 11.00%, 7/1/09 $ 978,075
BCP CAYLUX HOLDINGS, SR. SUB. NOTES
670 9.625%, 6/15/14(2) 755,425
BORDEN U.S. FINANCE/NOVA SCOTIA FINANCE, SR. NOTES
1,115 9.00%, 7/15/14(2) 1,232,075
CRYSTAL US HOLDINGS/US HOLDINGS 3, LLC,
SR. DISC. NOTES
1,545 10.50%, 10/1/14(2) 1,050,600
INNOPHOS, INC., SR. SUB. NOTES
1,070 8.875%, 8/15/14(2) 1,160,950
LYONDELL CHEMICAL CO.
1,005 9.50%, 12/15/08 1,100,475
MILACRON ESCROW CORP.
145 11.50%, 5/15/11 154,425
OM GROUP, INC.
$ 2,010 9.25%, 12/15/11 $ 2,140,650
POLYONE CORP.
750 10.625%, 5/15/10 849,375
POLYONE CORP., SR. NOTES
25 8.875%, 5/1/12 27,250
RHODIA SA, SR. NOTES
780 10.25%, 6/1/10 869,700
ROCKWOOD SPECIALTIES GROUP, SR. SUB. NOTES
450 10.625%, 5/15/11 514,125
-------------------------------------------------------------------------------------------
$ 10,833,125
-------------------------------------------------------------------------------------------
CLOTHING / TEXTILES -- 0.1%
GFSI, INC., SR. SUB. NOTES, SERIES B
$ 30 9.625%, 3/1/07 $ 29,250
J CREW OPERATING CORP., SR. SUB. NOTES
10 10.375%, 10/15/07 10,250
LEVI STRAUSS & CO.
340 7.00%, 11/1/06 346,800
LEVI STRAUSS & CO., SR. NOTES
350 11.625%, 1/15/08 367,500
-------------------------------------------------------------------------------------------
$ 753,800
-------------------------------------------------------------------------------------------
COAL -- 0.0%
ALPHA NATURAL RESOURCES, SR. NOTES
$ 90 10.00%, 6/1/12(2) $ 102,150
-------------------------------------------------------------------------------------------
$ 102,150
-------------------------------------------------------------------------------------------
COMMERCIAL SERVICES -- 0.6%
AFFINITY GROUP, INC., SR. SUB. NOTES
$ 500 9.00%, 2/15/12 $ 542,500
AMERCO, INC.
2,115 9.00%, 3/15/09 2,252,475
NORCROSS SAFETY PRODUCTS LLC/NORCROSS CAPITAL CORP.,
SR. SUB. NOTES, SERIES B
1,000 9.875%, 8/15/11 1,105,000
WASTE SERVICES, INC., SR. SUB. NOTES
660 9.50%, 4/15/14(2) 660,000
-------------------------------------------------------------------------------------------
$ 4,559,975
-------------------------------------------------------------------------------------------
CONGLOMERATES -- 0.2%
AMSTED INDUSTRIES, INC., SR. NOTES
$ 1,000 10.25%, 10/15/11(2) $ 1,105,000
-------------------------------------------------------------------------------------------
$ 1,105,000
-------------------------------------------------------------------------------------------
See notes to financial statements
13
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
-------------------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 0.3%
FEDDERS NORTH AMERICA, INC.
$ 15 9.875%, 3/1/14 $ 12,300
SAMSONITE CORP., SR. SUB. NOTES
1,680 8.875%, 6/1/11 1,795,500
-------------------------------------------------------------------------------------------
$ 1,807,800
-------------------------------------------------------------------------------------------
CONTAINERS AND GLASS PRODUCTS -- 0.5%
INTERTAPE POLYMER US, INC., SR. SUB. NOTES
$ 950 8.50%, 8/1/14(2) $ 957,125
OWENS-ILLINOIS, INC., SR. NOTES
135 8.10%, 5/15/07 143,100
PLASTIPAK HOLDINGS, INC.
500 10.75%, 9/1/11 562,500
PLIANT CORP.
1,605 11.125%, 9/1/09 1,765,500
-------------------------------------------------------------------------------------------
$ 3,428,225
-------------------------------------------------------------------------------------------
ECOLOGICAL SERVICES AND EQUIPMENT -- 0.1%
ALDERWOODS GROUP, INC., SR. NOTES
$ 70 7.75%, 9/15/12(2) $ 75,075
ALLIED WASTE, SERIES B
270 8.875%, 4/1/08 284,850
IMCO RECYCLING, SR. NOTES
110 9.00%, 11/15/14(2) 114,125
-------------------------------------------------------------------------------------------
$ 474,050
-------------------------------------------------------------------------------------------
ENGINEERING -- 0.2%
SHAW GROUP, INC., SR. NOTES
$ 1,135 10.75%, 3/15/10 $ 1,228,637
-------------------------------------------------------------------------------------------
$ 1,228,637
-------------------------------------------------------------------------------------------
EQUIPMENT LEASING -- 0.2%
UNITED RENTALS NORTH AMERICA, INC.
$ 80 6.50%, 2/15/12 $ 78,800
UNITED RENTALS NORTH AMERICA, INC., SR. SUB. NOTES
1,000 7.75%, 11/15/13 965,000
145 7.00%, 2/15/14 135,212
-------------------------------------------------------------------------------------------
$ 1,179,012
-------------------------------------------------------------------------------------------
FINANCIAL INTERMEDIARIES -- 0.6%
FIRST CLO, LTD., SR. SUB. NOTES
$ 1,000 Variable Rate, 3.96%, 7/27/16(2) $ 1,000,000
REFCO FINANCE HOLDINGS, LLC, SR. SUB. NOTES
$ 1,770 9.00%, 8/1/12(2) $ 1,938,150
STANFIELD MODENA CLO LTD., SERIES 2004-1A,
CLASS D, VARIABLE RATE
1,000 4.48%, 9/22/16(2) 1,000,000
-------------------------------------------------------------------------------------------
$ 3,938,150
-------------------------------------------------------------------------------------------
FOOD PRODUCTS -- 0.1%
PINNACLE FOODS HOLDINGS CORP., SR. SUB. NOTES
$ 20 8.25%, 12/1/13(2) $ 18,200
WH HOLDINGS LTD./WH CAPITAL CORP., SR. NOTES
500 9.50%, 4/1/11 552,500
-------------------------------------------------------------------------------------------
$ 570,700
-------------------------------------------------------------------------------------------
FOOD / DRUG RETAILERS -- 0.0%
GENERAL NUTRITION CENTERS, SR. SUB. NOTES
$ 45 8.50%, 12/1/10(2) $ 45,169
PIERRE FOODS, INC., SR. SUB. NOTES
40 9.875%, 7/15/12(2) 41,600
-------------------------------------------------------------------------------------------
$ 86,769
-------------------------------------------------------------------------------------------
FOREST PRODUCTS -- 0.2%
BOISE CASCADE, LLC, SR. NOTES, VARIABLE RATE
$ 160 5.005%, 10/15/12(2) $ 164,800
CARAUSTAR INDUSTRIES, INC., SR. SUB. NOTES
855 9.875%, 4/1/11 923,400
NEENAH PAPER, INC., SR. NOTES
110 7.375%, 11/15/14(2) 112,200
NEWARK GROUP, INC., SR. SUB. NOTES
550 9.75%, 3/15/14(2) 585,750
-------------------------------------------------------------------------------------------
$ 1,786,150
-------------------------------------------------------------------------------------------
HEALTH CARE-EQUIPMENT & SUPPLIES -- 0.1%
ELAN FINANCE PLC/ELAN FINANCE CORP., SR. NOTES
$ 410 7.75%, 11/15/11(2) $ 435,625
-------------------------------------------------------------------------------------------
$ 435,625
-------------------------------------------------------------------------------------------
HEALTHCARE -- 1.0%
HCA, INC.
$ 215 5.50%, 12/1/09 $ 214,198
HEALTHSOUTH CORP.
165 7.625%, 6/1/12 163,144
See notes to financial statements
14
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
-------------------------------------------------------------------------------------------
HEALTHCARE (CONTINUED)
HEALTHSOUTH CORP., SR. NOTES
$ 1,050 8.375%, 10/1/11 $ 1,065,750
INVERNESS MEDICAL INNOVATIONS, INC., SR. SUB. NOTES
550 8.75%, 2/15/12(2) 580,250
MEDICAL DEVICE MANUFACTURING, INC., SR. SUB. NOTES
230 10.00%, 7/15/12(2) 248,400
NATIONAL MENTOR, INC., SR. SUB. NOTES
135 9.625%, 12/1/12(2) 143,100
TENET HEALTHCARE CORP., SR. NOTES
490 9.875%, 7/1/14(2) 529,200
US ONCOLOGY, INC., SR. NOTES
390 9.00%, 8/15/12(2) 434,850
US ONCOLOGY, INC., SR. SUB. NOTES
1,840 10.75%, 8/15/14(2) 2,111,400
VANGUARD HEALTH HOLDINGS II, SR. SUB. NOTES
1,520 9.00%, 10/1/14(2) 1,622,600
-------------------------------------------------------------------------------------------
$ 7,112,892
-------------------------------------------------------------------------------------------
INDUSTRIAL EQUIPMENT -- 0.1%
ALTRA INDUSTRIAL MOTION
$ 70 9.00%, 12/1/11(2) $ 71,400
THERMADYNE HOLDINGS CORP., SR. SUB. NOTES
750 9.25%, 2/1/14 723,750
-------------------------------------------------------------------------------------------
$ 795,150
-------------------------------------------------------------------------------------------
LEISURE GOODS / ACTIVITIES / MOVIES -- 0.4%
AMC ENTERTAINMENT, INC., SR. SUB. NOTES
$ 215 9.875%, 2/1/12 $ 234,350
LCE ACQUISITION CORP., SR. SUB. NOTES
1,790 9.00%, 8/1/14(2) 1,933,200
MARQUEE HOLDINGS, INC., SR. DISC. NOTES
385 12.00%, 8/15/14(2) 248,325
MARQUEE, INC., SR. NOTES
35 8.625%, 8/15/12(2) 38,762
UNIVERSAL CITY DEVELOPMENT PARTNERS, SR. NOTES
160 11.75%, 4/1/10 186,400
-------------------------------------------------------------------------------------------
$ 2,641,037
-------------------------------------------------------------------------------------------
LODGING AND CASINOS -- 0.4%
AFFINIA GROUP, INC., SR. SUB. NOTES
$ 110 9.00%, 11/30/14(2) $ 113,850
INN OF THE MOUNTAIN GODS, SR. NOTES
1,000 12.00%, 11/15/10 1,170,000
MAJESTIC STAR CASINO LLC
$ 500 9.50%, 10/15/10 $ 530,000
TRUMP ATLANTIC CITY ASSOCIATES, INC.
590 11.25%, 5/1/06(3) 540,587
WATERFORD GAMING LLC, SR. NOTES
408 8.625%, 9/15/12(2) 438,600
WYNN LAS VEGAS LLC/CORP.
180 6.625%, 12/1/14(2) 177,750
-------------------------------------------------------------------------------------------
$ 2,970,787
-------------------------------------------------------------------------------------------
MANUFACTURING -- 0.3%
KI HOLDINGS, INC., SR. DISC. NOTES
$ 200 0.00%, 11/15/14(2) $ 126,500
MAAX CORP., SR. SUB. NOTES
750 9.75%, 6/15/12(2) 821,250
OXFORD INDUSTRIES, INC., SR. NOTES
1,000 8.875%, 6/1/11(2) 1,085,000
-------------------------------------------------------------------------------------------
$ 2,032,750
-------------------------------------------------------------------------------------------
OIL AND GAS -- 0.6%
BELDEN & BLAKE CORP., SR. NOTES
$ 45 8.75%, 7/15/12(2) $ 48,937
DRESSER-RAND GROUP, INC., SR. SUB. NOTES
325 7.375%, 11/1/14(2) 335,562
EL PASO CGP CO., SR. DEBS.
245 9.625%, 5/15/12 268,887
EL PASO CORP.
200 6.95%, 12/15/07 206,500
EL PASO CORP., SR. NOTES
70 7.00%, 5/15/11 70,000
EL PASO PRODUCTION HOLDING CO.
1,245 7.75%, 6/1/13 1,304,137
GIANT INDUSTRIES
90 8.00%, 5/15/14 94,725
HANOVER COMPRESSOR CO., SR. SUB. NOTES
10 0.00%, 3/31/07 8,550
HARVEST OPERATIONS CORP., SR. NOTES
330 7.875%, 10/15/11(2) 338,250
NGC CORP., SR. DEBS.
95 7.125%, 5/15/18 85,263
185 7.625%, 10/15/26 161,413
PARKER DRILLING CO., SR. NOTES
110 9.625%, 10/1/13 124,025
See notes to financial statements
15
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
-------------------------------------------------------------------------------------------
OIL AND GAS (CONTINUED)
PETROBRAS INTERNATIONAL FINANCE CO.
$ 145 7.75%, 9/15/14 $ 151,888
TRANSMONTAIGNE, INC., SR. SUB. NOTES
515 9.125%, 6/1/10 563,925
UNITED REFINING CO., SR. NOTES
255 10.50%, 8/15/12(2) 269,025
-------------------------------------------------------------------------------------------
$ 4,031,087
-------------------------------------------------------------------------------------------
PUBLISHING -- 0.8%
ADVANSTAR COMMUNICATIONS, INC.
$ 1,000 10.75%, 8/15/10 $ 1,132,500
ADVANSTAR COMMUNICATIONS, INC., VARIABLE RATE
1,975 9.79%, 8/15/08 2,078,688
ADVERTISING DIRECTORY SOLUTIONS, INC., SR. NOTES
90 9.25%, 11/15/12(2) 94,500
AMERICAN MEDIA OPERATIONS, INC., SERIES B
35 10.25%, 5/1/09 36,750
CBD MEDIA, INC., SR. SUB. NOTES
135 8.625%, 6/1/11 142,763
HOUGHTON MIFFLIN CO., SR. SUB. NOTES
560 9.875%, 2/1/13 618,800
PRIMEDIA, INC.
1,350 8.875%, 5/15/11 1,397,250
-------------------------------------------------------------------------------------------
$ 5,501,251
-------------------------------------------------------------------------------------------
RADIO AND TELEVISION -- 0.4%
3815668 CANADA, INC., SR. SUB. NOTES
$ 290 8.00%, 9/15/12(2) $ 311,750
CCO HOLDINGS LLC / CCO CAPITAL CORP.,
SENIOR NOTES
1,000 8.75%, 11/15/13 1,032,500
RAINBOW NATIONAL SERVICES, LLC, SR. NOTES
115 8.75%, 9/1/12(2) 122,188
RAINBOW NATIONAL SERVICES, LLC, SR. SUB. DEBS.
1,565 10.375%, 9/1/14(2) 1,666,725
-------------------------------------------------------------------------------------------
$ 3,133,163
-------------------------------------------------------------------------------------------
REITS -- 0.0%
MERISTAR HOSPITALITY OPERATIONS/FINANCE
$ 230 10.50%, 6/15/09 $ 253,000
-------------------------------------------------------------------------------------------
$ 253,000
-------------------------------------------------------------------------------------------
RETAILERS (EXCEPT FOOD AND DRUG) -- 0.0%
HOME INTERIORS & GIFTS, INC.
$ 45 10.025%, 6/1/08 $ 37,350
RIDDELL BELL HOLDINGS, SR. SUB. NOTES
45 8.375%, 10/1/12(2) 46,800
-------------------------------------------------------------------------------------------
$ 84,150
-------------------------------------------------------------------------------------------
SEMICONDUCTORS -- 0.3%
ADVANCED MICRO DEVICES, INC., SR. NOTES
$ 825 7.75%, 11/1/12(2) $ 845,625
AMKOR TECHNOLOGIES, INC.
65 5.75%, 6/1/06 63,050
AMKOR TECHNOLOGIES, INC., SR. NOTES
135 7.125%, 3/15/11 119,813
990 7.75%, 5/15/13 878,625
STATS CHIPPAC LTD., SR. NOTES
145 6.75%, 11/15/11(2) 143,188
-------------------------------------------------------------------------------------------
$ 2,050,301
-------------------------------------------------------------------------------------------
SURFACE TRANSPORT -- 0.5%
HORIZON LINES, LLC
$ 2,240 9.00%, 11/1/12(2) $ 2,458,400
OMI CORP., SR. NOTES
65 7.625%, 12/1/13 70,281
QUALITY DISTRIBUTION LLC/QD CAPITAL CORP.
895 9.00%, 11/15/10(2) 898,356
-------------------------------------------------------------------------------------------
$ 3,427,037
-------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 1.9%
AIRGATE PCS, INC., SR. NOTES, VARIABLE RATE
$ 120 5.85%, 10/15/11(2) $ 123,300
ALAMOSA DELAWARE, INC., SR. DISC. NOTES
150 12.00%, 7/31/09 161,250
ALAMOSA DELAWARE, INC., SR. NOTES
220 11.00%, 7/31/10 257,950
75 8.50%, 1/31/12 81,000
CENTENNIAL CELLULAR OPERATING CO., LLC,
SR. SUB. NOTES
45 10.75%, 12/15/08 47,025
CENTENNIAL CELLULAR OPERATING CO./CENTENNIAL
COMMUNICATIONS CORP., SR. NOTES
600 10.125%, 6/15/13 657,000
INMARSAT FINANCE PLC
1,125 7.625%, 6/30/12 1,155,938
See notes to financial statements
16
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
-------------------------------------------------------------------------------------------
TELECOMMUNICATIONS (CONTINUED)
NEW SKIES SATELLITES NV, SR. NOTES, VARIABLE RATE
$ 215 7.438%, 11/1/11(2) $ 221,450
NEW SKIES SATELLITES NV, SR. SUB. NOTES
290 9.125%, 11/1/12(2) 297,250
NORTEL NETWORKS LTD.
145 4.25%, 9/1/08 139,744
PANAMSAT CORP., SR. NOTES
1,355 9.00%, 8/15/14(2) 1,456,625
QWEST CAPITAL FUNDING, INC.
25 7.75%, 8/15/06 26,000
QWEST SERVICES CORP.
1,000 13.00%, 12/15/07(2) 1,145,000
ROGERS WIRELESS, INC.
690 7.50%, 3/15/15(2) 719,325
ROGERS WIRELESS, INC., SR. SUB. NOTES
185 8.00%, 12/15/12(2) 192,863
ROGERS WIRELESS, INC., VARIABLE RATE
1,617 5.525%, 12/15/10(2) 1,681,680
RURAL CELLULAR CORP., VARIABLE RATE
1,000 6.38%, 3/15/10 1,035,000
UBIQUITEL OPERATING CO., SR. NOTES
1,475 9.875%, 3/1/11 1,626,188
US UNWIRED, INC., SERIES B
1,230 10.00%, 6/15/12 1,362,225
WESTERN WIRELESS CORP., SR. NOTES
1,065 9.25%, 7/15/13 1,155,525
-------------------------------------------------------------------------------------------
$ 13,542,338
-------------------------------------------------------------------------------------------
UTILITIES -- 0.1%
CALPINE CORP., SR. NOTES
$ 165 7.625%, 4/15/06 $ 161,700
NRG ENERGY, INC., SR. NOTES
500 8.00%, 12/15/13(2) 555,000
-------------------------------------------------------------------------------------------
$ 716,700
-------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES
(IDENTIFIED COST $93,002,163) $ 96,376,085
-------------------------------------------------------------------------------------------
CLOSED-END INVESTMENT COMPANIES -- 0.5%
SHARES SECURITY VALUE
-------------------------------------------------------------------------------------------
75,000 Citigroup Investments Corporate Loan Fund $ 1,035,000
128,600 First Trust/Four Corners Senior Floating Rate
Income Fund II 2,375,242
-------------------------------------------------------------------------------------------
TOTAL CLOSED-END INVESTMENT COMPANIES
(IDENTIFIED COST, $3,517,275) $ 3,410,242
-------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 157.1%
(IDENTIFIED COST $1,110,774,227) $ 1,116,588,231
-------------------------------------------------------------------------------------------
OTHER ASSETS, LESS LIABILITIES -- 4.1% $ 29,387,964
-------------------------------------------------------------------------------------------
AUCTION PREFERRED SHARES PLUS CUMULATIVE
UNPAID DIVIDENDS -- (61.2)% $ (435,257,711)
-------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO
COMMON SHARES -- 100.0% $ 710,718,484
-------------------------------------------------------------------------------------------
NOTE: THE TRUST HAS MADE COMMITMENTS TO FUND SPECIFIED AMOUNTS UNDER CERTAIN
EXISTING CREDIT ARRANGMENTS. PURSUANT TO THE TERMS OF THESE ARRANGEMENTS, THE
TRUST HAD UNFUNDED LOAN COMMITMENTS OF $4,433,095 AS OF NOVEMBER 30, 2004.
(1) SENIOR FLOATING-RATE INTERESTS OFTEN REQUIRE PREPAYMENTS FROM EXCESS CASH
FLOWS OR PERMIT THE BORROWER TO REPAY AT ITS ELECTION. THE DEGREE TO WHICH
BORROWERS REPAY, WHETHER AS A CONTRACTUAL REQUIREMENT OR AT THEIR ELECTION,
CANNOT BE PREDICTED WITH ACCURACY. AS A RESULT, THE ACTUAL REMAINING
MATURITY MAY BE SUBSTANTIALLY LESS THAN THE STATED MATURITIES SHOWN.
HOWEVER, IT IS ANTICIPATED THAT THE SENIOR FLOATING-RATE INTERESTS WILL
HAVE AN EXPECTED AVERAGE LIFE OF APPROXIMATELY TWO TO THREE YEARS. THE
STATED INTEREST RATE REPRESENTS THE WEIGHTED AVERAGE INTEREST RATE OF ALL
CONTRACTS WITHIN THE SENIOR LOAN FACILITY. INTEREST RATES ARE PERIODICALLY
PREDETERMINED BY A REFERENCE TO A BASE LENDING RATE PLUS A PREMIUM. THESE
BASE LENDING RATES ARE GENERALLY (i) THE PRIME RATE OFFERED BY ONE OR MORE
MAJOR UNITED STATES BANKS OR (ii) THE LENDING RATE OFFERED BY ONE OR MORE
EUROPEAN BANKS SUCH AS THE LONDON INTERBANK OFFERED RATE (LIBOR).
(2) SECURITY EXEMPT FROM REGISTRATION UNDER RULE 144A OF THE SECURITIES ACT OF
1933. THESE SECURITIES MAY BE SOLD IN TRANSACTIONS EXEMPT FROM
REGISTRATION, NORMALLY TO QUALIFIED INSTITUTIONAL BUYERS. AT NOVEMBER 30,
2004, THE AGGREGATE VALUE OF THE SECURITIES IS $48,503,217 OR 6.8% OF THE
TRUST'S NET ASSETS.
(3) DEFAULTED SECURITY.
See notes to financial statements
17
EATON VANCE FLOATING-RATE INCOME TRUST as of November 30, 2004
FINANCIAL STATEMENTS (Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
AS OF NOVEMBER 30, 2004
ASSETS
Investments, at value (identified cost, $1,110,774,227) $ 1,116,588,231
Receivable for investments sold 22,372,091
Receivable for open swap contracts 82,311
Interest receivable 6,468,169
Cash collateral segregated for credit default swaps 4,000,000
Prepaid expenses 21,773
----------------------------------------------------------------------------------------------------
TOTAL ASSETS $ 1,149,532,575
----------------------------------------------------------------------------------------------------
LIABILITIES
Due to bank $ 2,548,432
Payable for investments purchased 565,000
Payable to affiliate for Trustees' fees 6,200
Accrued expenses 436,748
----------------------------------------------------------------------------------------------------
TOTAL LIABILITIES $ 3,556,380
----------------------------------------------------------------------------------------------------
AUCTION PREFERRED SHARES (17,400 SHARES OUTSTANDING) AT LIQUIDATION
VALUE PLUS CUMULATIVE UNPAID DIVIDENDS 435,257,711
----------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHARES $ 710,718,484
----------------------------------------------------------------------------------------------------
SOURCES OF NET ASSETS
Common Shares, $0.01 par value, unlimited number of shares authorized,
37,246,324 shares issued and outstanding $ 372,463
Additional paid-in capital 705,645,220
Accumulated undistributed net realized gain (computed on the basis of
identified cost) 205,707
Accumulated distributions in excess of net investment income (1,366,221)
Net unrealized appreciation (computed on the basis of identified cost) 5,861,315
----------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHARES $ 710,718,484
----------------------------------------------------------------------------------------------------
NET ASSET VALUE PER COMMON SHARE
($710,718,484 DIVIDED BY 37,246,324 COMMON SHARES ISSUED AND OUTSTANDING) $ 19.08
----------------------------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED
NOVEMBER 30, 2004(1)
INVESTMENT INCOME
Interest $ 16,553,424
Dividends 15,480
----------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME $ 16,568,904
----------------------------------------------------------------------------------------------------
EXPENSES
Investment adviser fee $ 2,875,682
Trustees' fees and expenses 6,200
Preferred shares remarketing agent fee 368,360
Custodian fee 90,608
Legal and accounting services 52,668
Printing and postage 31,000
Transfer and dividend disbursing agent fees 26,350
Organization expenses 7,500
Miscellaneous 49,926
----------------------------------------------------------------------------------------------------
TOTAL EXPENSES $ 3,508,294
----------------------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee $ 3,798
Reduction of Investment Adviser fee 766,848
Expense reimbursement 7,500
----------------------------------------------------------------------------------------------------
TOTAL EXPENSE REDUCTIONS $ 778,146
----------------------------------------------------------------------------------------------------
NET EXPENSES $ 2,730,148
----------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 13,838,756
----------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 188,585
Swap contracts 17,122
----------------------------------------------------------------------------------------------------
NET REALIZED GAIN $ 205,707
----------------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 5,814,004
Swap contracts 47,311
----------------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) $ 5,861,315
----------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN $ 6,067,022
----------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS FROM INCOME $ (1,764,620)
----------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 18,141,158
----------------------------------------------------------------------------------------------------
(1) FOR THE PERIOD FROM THE START OF BUSINESS, JUNE 29, 2004, TO NOVEMBER 30,
2004.
See notes to financial statements
18
STATEMENT OF CHANGES IN NET ASSETS
PERIOD ENDED
NOVEMBER 30, 2004(1)
----------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
From operations --
Net investment income $ 13,838,756
Net realized gain from investment transactions and swap contracts 205,707
Net change in unrealized appreciation (depreciation) from
investments and swap contracts 5,861,315
Distributions to preferred shareholders from net investment income (1,764,620)
----------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 18,141,158
----------------------------------------------------------------------------------------------------
Distributions to common shareholders --
From net investment income $ (13,440,357)
----------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO COMMON SHAREHOLDERS $ (13,440,357)
----------------------------------------------------------------------------------------------------
Capital share transactions --
Proceeds from sale of common shares(2) $ 710,520,000
Reinvestment of distributions to common shareholders 785,416
Offering costs and preferred shares underwriting discounts (5,387,733)
----------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS $ 705,917,683
----------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS $ 710,618,484
----------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHARES
At beginning of period $ 100,000
----------------------------------------------------------------------------------------------------
AT END OF PERIOD $ 710,718,484
----------------------------------------------------------------------------------------------------
ACCUMULATED DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME INCLUDED IN
NET ASSETS APPLICABLE TO COMMON SHARES
AT END OF PERIOD $ (1,366,221)
----------------------------------------------------------------------------------------------------
(1) FOR THE PERIOD FROM THE START OF BUSINESS, JUNE 29, 2004, TO NOVEMBER 30,
2004.
(2) PROCEEDS FROM SALE OF SHARES NET OF SALES LOAD PAID OF $33,480,000.
See notes to financial statements
19
EATON VANCE FLOATING-RATE INCOME TRUST as of November 30, 2004
FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS
Selected data for a common share outstanding during the periods stated
PERIOD ENDED
NOVEMBER 30, 2004
(UNAUDITED)(1)(2)
---------------------------------------------------------------------------------------------------------
Net asset value -- Beginning of period (Common shares)(3) $ 19.100
---------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS
Net investment income $ 0.381(9)
Net realized and unrealized gain 0.158(9)
Distribution to preferred shareholders from net investment income (0.049)
---------------------------------------------------------------------------------------------------------
TOTAL INCOME FROM OPERATIONS $ 0.490
---------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income $ (0.361)
---------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO COMMON SHAREHOLDERS $ (0.361)
---------------------------------------------------------------------------------------------------------
PREFERRED AND COMMON SHARES OFFERING COSTS CHARGED TO PAID-IN CAPITAL $ (0.029)
---------------------------------------------------------------------------------------------------------
PREFERRED SHARES UNDERWRITING DISCOUNTS $ (0.120)
---------------------------------------------------------------------------------------------------------
NET ASSET VALUE -- END OF PERIOD (COMMON SHARES) $ 19.080
---------------------------------------------------------------------------------------------------------
MARKET VALUE -- END OF PERIOD (COMMON SHARES) $ 18.920
---------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN ON NET ASSET VALUE(4) 1.80%
---------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN ON MARKET VALUE(4) 0.95%
---------------------------------------------------------------------------------------------------------
See notes to financial statements
20
Selected data for a common share outstanding during the periods stated
PERIOD ENDED
NOVEMBER 30, 2004
(UNAUDITED)(1)(2)
---------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA+ ++
Net assets applicable to common shares, end of period (000's omitted) $ 710,718
Ratios (As a percentage of average net assets applicable to common shares):
Net expenses(5) 0.93%(6)
Net expenses after custodian fee reduction(5) 0.93%(6)
Net investment income(5) 4.70%(6)
Portfolio Turnover 83%
---------------------------------------------------------------------------------------------------------
+ The operating expenses of the Trust reflect a reduction of the investment
adviser fee and a reimbursement of expenses by the Adviser. Had such actions
not been taken, the ratios and net investment income per share would have
been as follows:
Ratios (As a percentage of average net assets applicable to common shares):
Expenses(5) 1.19%(6)
Expenses after custodian fee reduction(5) 1.19%(6)
Net investment income(5) 4.44%(6)
Net investment income per share $ 0.360
---------------------------------------------------------------------------------------------------------
++ The ratios reported are based on net assets applicable solely to common
shares. The ratios based on net assets, including amounts related to
preferred shares, are as follows:
Ratios (As a percentage of average total net assets):
Net expenses 0.71%(6)
Net expenses after custodian fee reduction 0.71%(6)
Net investment income 3.60%(6)
---------------------------------------------------------------------------------------------------------
+ The operating expenses of the Trust reflect a reduction of the investment
adviser fee and a reimbursement of expenses by the Adviser. Had such actions
not been taken, the ratios would have been as follows:
Ratios (As a percentage of average total net assets):
Expenses 0.91%(6)
Expenses after custodian fee reduction 0.91%(6)
Net investment income 3.40%(6)
---------------------------------------------------------------------------------------------------------
Senior Securities:
Total preferred shares outstanding 17,400
Asset coverage per preferred share(7) $ 65,861
Involuntary liquidation preference per preferred share(8) $ 25,000
Approximate market value per preferred share(8) $ 25,000
---------------------------------------------------------------------------------------------------------
(1) FOR THE PERIOD FROM THE START OF BUSINESS, JUNE 29, 2004, TO NOVEMBER 30,
2004.
(2) COMPUTED USING AVERAGE COMMON SHARES OUTSTANDING.
(3) NET ASSET VALUE AT BEGINNING OF PERIOD REFLECTS THE DEDUCTION OF THE SALES
LOAD OF $0.90 PER SHARE PAID BY THE SHAREHOLDER FROM THE $20.00 OFFERING
PRICE.
(4) TOTAL INVESTMENT RETURN ON NET ASSET VALUE IS CALCULATED ASSUMING A
PURCHASE AT THE OFFERING PRICE OF $20.00 LESS THE SALES LOAD OF $0.90 PER
SHARE PAID BY THE SHAREHOLDER ON THE FIRST DAY AND A SALE AT THE NET ASSET
VALUE ON THE LAST DAY OF THE PERIOD REPORTED. TOTAL INVESTMENT RETURN ON
MARKET VALUE IS CALCULATED ASSUMING A PURCHASE AT THE OFFERING PRICE OF
$20.00 LESS THE SALES LOAD OF $0.90 PER SHARE PAID BY THE SHAREHOLDER ON
THE FIRST DAY AND A SALE AT THE CURRENT MARKET PRICE ON THE LAST DAY OF THE
PERIOD REPORTED. TOTAL INVESTMENT RETURN ON NET ASSET VALUE AND TOTAL
INVESTMENT RETURN ON MARKET VALUE ARE NOT COMPUTED ON AN ANNUALIZED BASIS.
(5) RATIOS DO NOT REFLECT THE EFFECT OF DIVIDEND PAYMENTS TO PREFERRED
SHAREHOLDERS. RATIOS TO AVERAGE NET ASSETS APPLICABLE TO COMMON SHARES
REFLECT THE TRUST'S LEVERAGED CAPITAL STRUCTURE.
(6) ANNUALIZED.
(7) CALCULATED BY SUBTRACTING THE TRUST'S TOTAL LIABILITIES (NOT INCLUDING THE
PREFERRED SHARES) FROM THE TRUST'S TOTAL ASSETS, AND DIVIDING THIS BY THE
NUMBER OF PREFERRED SHARES OUTSTANDING.
(8) PLUS ACCUMULATED AND UNPAID DIVIDENDS.
(9) FOR FEDERAL INCOME TAX PURPOSES, NET INVESTMENT INCOME WAS $0.436 AND NET
REALIZED AND UNREALIZED GAIN PER SHARE WAS $0.103. COMPUTED USING AVERAGE
COMMON SHARES OUTSTANDING.
See notes to financial statements
21
EATON VANCE FLOATING-RATE INCOME TRUST as of November 30, 2004
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1 SIGNIFICANT ACCOUNTING POLICIES
Eaton Vance Floating-Rate Income Trust (the Trust) is registered under the
Investment Company Act of 1940, as amended, as a diversified, closed-end
management investment company. The Trust, which was organized as a Massachusetts
business trust on April 28, 2004, seeks to provide a high level of current
income. The Trust will, as a secondary objective, also seek preservation of
capital to the extent consistent with its primary goal of high current income.
The Trust pursues its objectives by investing primarily in senior, secured
floating rate loans (Senior Loans). The following is a summary of significant
accounting policies of the Trust. The policies are in conformity with accounting
principles generally accepted in the United States of America.
A INVESTMENT VALUATION -- Certain senior loans are deemed to be liquid if
reliable market quotations are readily available for them. Liquid Senior Loans
are valued on the basis of prices furnished by a pricing service. Other Senior
Loans are valued at fair value by the Trust's investment adviser, Eaton Vance
Management (EVM), under procedures established by the Trustees as permitted by
Section 2(a)(41) of the Investment Company Act of 1940. Such procedures include
the consideration of relevant factors, data and information relating to fair
value, including (i) the characteristics of and fundamental analytical data
relating to the Senior Loan, including the cost, size, current interest rate,
period until next interest rate reset, maturity and base lending rate of the
Senior Loan, the terms and conditions of the Senior Loan and any related
agreements, and the position of the Senior Loan in the Borrower's debt
structure; (ii) the nature, adequacy and value of the collateral, including the
Trust's rights, remedies and interests with respect to the collateral; (iii) the
creditworthiness of the Borrower, based on an evaluation of its financial
condition, financial statements and information about the Borrower's business,
cash flows, capital structure and future prospects; (iv) information relating to
the market for the Senior Loan including price quotations for and trading in the
Senior Loan, and interests in similar Senior Loans and the market environment
and investor attitudes towards the Senior Loan and interests in similar Senior
Loans; (v) the experience, reputation, stability and financial condition of the
agent and any intermediate participant in the Senior Loan; and (vi) general
economic and market conditions affecting the fair value of the Senior Loan.
Other portfolio securities (other than short-term obligations, but including
listed issues) may be valued on the basis of prices furnished by one or more
pricing services which determine prices for normal, institutional-size trading
units of such securities which may use market information, transactions for
comparable securities and various relationships between securities which are
generally recognized by institutional traders. In certain circumstances,
portfolio securities will be valued at the last sale price on the exchange that
is the primary market for such securities, or the average of the last quoted bid
price and asked price for those securities for which the over-the-counter market
is the primary market or for listed securities in which there were no sales
during the day. Marketable securities listed in the NASDAQ National Market
System are valued at the NASDAQ official closing price. The value of swaps will
be based on dealer quotations. Short-term obligations which mature in 60 days or
less, are valued at amortized cost, if their original term to maturity when
acquired by the Trust was 60 days or less or are valued at amortized cost using
their value on the 61st day prior to maturity, if their original term to
maturity when acquired by the Trust was more than 60 days, unless in each case
this is determined not to represent fair value. OTC options are valued at the
mean between bid and asked price provided by dealers. Financial futures
contracts listed on commodity exchanges and exchange traded options are valued
at closing settlement prices. Securities for which there is no such quotation or
valuation are valued at fair value using methods determined in good faith by or
at the direction of the Trustees. Repurchase agreements are valued at cost plus
accrued interest. Other portfolio securities for which there are no quotations
or valuations are valued at fair value as determined in good faith by or on
behalf of the Trustees.
B INCOME -- Interest income from Senior Loans is recorded on the accrual basis
at the then-current interest rate, while all other interest income is determined
on the basis of interest accrued, adjusted for amortization of premium or
accretion of discount. Dividend income is recorded on the ex-dividend date for
dividends received in cash and/or securities.
C FEDERAL TAXES -- The Trust's policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders each year all of its taxable income, including any
net realized gain on investments. Accordingly, no provision for federal income
or excise tax is necessary.
D INVESTMENT TRANSACTIONS -- Investment transactions are recorded on a trade
date basis. Realized gains and losses from such transactions are determined
using the specific identification method. Securities purchased or sold on a
when-issued or delayed delivery basis may be settled a month or more after the
transaction date. The securities so purchased are subject to market fluctuations
during this period. To the extent that
22
when-issued or delayed delivery purchases are outstanding, the Trust instructs
the custodian to segregate assets in a separate account, with a current value at
least equal to the amount of its purchase commitments.
E OFFERING COSTS -- Costs incurred by the Trust in connection with the offering
of the common shares and preferred shares were recorded as a reduction of
capital paid in excess of par applicable to common shares.
F EXPENSE REDUCTION -- Investors Bank & Trust Company (IBT) serves as custodian
of the Trust. Pursuant to the custodian agreement, IBT receives a fee reduced by
credits which are determined based on the average daily cash balance the Trust
maintains with IBT. All credit balances used to reduce the Trust's custodian
fees are reported as a reduction of expenses on the Statement of Operations.
G WRITTEN OPTIONS -- Upon the writing of a call or a put option, an amount equal
to the premium received by the Trust is included in the Statement of Assets and
Liabilities as a liability. The amount of the liability is subsequently
marked-to-market to reflect the current value of the option written in
accordance with the Trust's policies on investment valuations discussed above.
Premiums received from writing options which expire are treated as realized
gains. Premiums received from writing options which are exercised or are closed
are added to or offset against the proceeds or amount paid on the transaction to
determine the realized gain or loss. If a put option is exercised, the premium
reduces the cost basis of the securities purchased by the Trust. The Trust, as
writer of an option, may have no control over whether the underlying securities
may be sold (call) or purchased (put) and, as a result, bears the market risk of
an unfavorable change in the price of the securities underlying the written
option.
H PURCHASED OPTIONS -- Upon the purchase of a call or put option, the premium
paid by the Trust is included in the Statement of Assets and Liabilities as an
investment. The amount of the investment is subsequently marked-to-market to
reflect the current market value of the option purchased, in accordance with the
Trust's policies on investment valuations discussed above. If an option which
the Trust has purchased expires on the stipulated expiration date, the Trust
will realize a loss in the amount of the cost of the option. If the Trust enters
into a closing sale transaction, the Trust will realize a gain or loss,
depending on whether the sales proceeds from the closing sale transaction are
greater or less than the cost of the option. If the Trust exercises a put
option, it will realize a gain or loss from the sale of the underlying security,
and the proceeds from such sale will be decreased by the premium originally
paid. If the Trust exercises a call option, the cost of the security which the
Trust purchases upon exercise will be increased by the premium originally paid.
I FINANCIAL FUTURES CONTRACTS -- Upon entering into a financial futures
contract, the Trust is required to deposit an amount (initial margin) either in
cash or securities equal to a certain percentage of the purchase price indicated
in the financial futures contract. Subsequent payments are made or received by
the Trust (margin maintenance) each day, dependent on the daily fluctuations in
the value of the underlying securities, and are recorded for book purposes as
unrealized gains or losses by the Trust.
If the Trust enters into a closing transaction, the Trust will realize, for book
purposes, a gain or loss equal to the difference between the value of the
financial futures contract to sell and the financial futures contract to buy.
The Trust's investment in financial futures contracts is designed only to hedge
against anticipated future changes in interest rates. Should interest rates move
unexpectedly, the Trust may not achieve the anticipated benefits of the
financial futures contracts and may realize a loss.
J REVERSE REPURCHASE AGREEMENTS -- The Trust may enter into reverse repurchase
agreements. Under such an agreement, the Trust temporarily transfers possession,
but not ownership, of a security to a counterparty, in return for cash. At the
same time, the Trust agrees to repurchase the security at an agreed-upon price
and time in the future. The Trust may enter into reverse repurchase agreements
for temporary purposes, such as to Trust withdrawals, or for use as hedging
instruments where the underlying security is denominated in a foreign currency.
As a form of leverage, reverse repurchase agreements may increase the risk of
fluctuation in the market value of the Trust's assets or in its yield.
Liabilities to counterparties under reverse repurchase agreements are recognized
in the Statement of Assets and Liabilities at the same time at which cash is
received by the Trust. The securities underlying such agreements continue to be
treated as owned by the Trust and remain in the Portfolio of Investments.
Interest charged on amounts borrowed by the Trust under reverse repurchase
agreements is accrued daily.
K TOTAL RETURN SWAPS -- The Trust may enter into swap agreements to hedge
against fluctuations in securities prices, interest rates or market conditions;
to change the duration of the overall portfolio; or to mitigate default risk.
Pursuant to these agreements, the Trust makes monthly payments at a rate equal
to a predetermined spread to the one-month LIBOR. In exchange, the Trust
receives payments based on the rate of return of a benchmark
23
industry index. During the term of the outstanding swap agreement, changes in
the underlying value of the swap are recorded as unrealized gains and losses.
Payments received or made at the end of the measurement period are recorded as
realized gains and losses. The value of the swap is determined by changes in the
relationship between the rate of interest and the benchmark industry index. The
Trust is exposed to credit loss in the event of non-performance by the swap
counterparty. However, the Trust does not anticipate non-performance by the
counterparty. Risk may also arise from the unanticipated movements in value of
interest rates or the index.
L CREDIT DEFAULT SWAPS -- The Trust may enter into credit default swap contracts
for risk management purposes, including diversification. When the Trust is the
buyer of a credit default swap contract, the Trust is entitled to receive the
par (or other agreed-upon) value of a referenced debt obligation from the
counterparty to the contract in the event of a default by a third party, such as
a U.S. or foreign corporate issuer, on the debt obligation. In return, the Trust
would pay the counterparty a periodic stream of payments over the term of the
contract provided that no event of default has occurred. If no default occurs,
the Trust would have spent the stream of payments and received no benefit from
the contract. When the Trust is the seller of a credit default swap contract, it
receives the stream of payments, but is obligated to pay upon default of the
referenced debt obligation. As the seller, the Trust would effectively add
leverage to its portfolio because, in addition to its total net assets, the
Trust would be subject to investment exposure on the notional amount of the
swap. The Trust will segregate assets in the form of cash and cash equivalents
in an amount equal to the aggregate market value of the credit default swaps of
which it is the seller, marked to market on a daily basis. These transactions
involve certain risks, including the risk that the seller may be unable to
fulfill the transaction.
M USE OF ESTIMATES -- The preparation of the financial statements in conformity
with accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities at the date of the financial statements and
the reported amounts of income and expense during the reporting period. Actual
results could differ from those estimates.
N INDEMNIFICATIONS -- Under the Trust's organizational documents, its officers
and Trustees may be indemnified against certain liabilities and expenses arising
out of the performance of their duties to the Trust, and shareholders are
indemnified against personal liability for obligations of the Trust.
Additionally, in the normal course of business, the Trust enters into agreements
with service providers that may contain indemnification clauses. The Trust's
maximum exposure under these arrangements is unknown as this would involve
future claims that may be made against the Trust that have not yet occurred.
O OTHER -- Investment transactions are accounted for on the date the securities
are purchased or sold.
P INTERIM FINANCIAL STATEMENTS -- The interim financial statements relating to
November 30, 2004 and for the period then ended have not been audited by an
independent registered public accounting firm, but in the opinion of the Trust's
management reflect all adjustments, consisting only of normal recurring
adjustments, necessary for the fair presentation of the financial statements.
2 AUCTION PREFERRED SHARES
The Trust issued 3,480 shares of Auction Preferred Shares (APS) Series A, 3,480
shares of Auction Preferred Shares (APS) Series B, 3,480 shares of Auction
Preferred Shares (APS) Series C, 3,480 shares of Auction Preferred Shares (APS)
Series D, and 3,480 shares of Auction Preferred Shares (APS) Series E on
September 16, 2004 in a public offering. The underwriting discount and other
offering costs were recorded as a reduction of the capital of the common shares.
Dividends on the APS Series A, Series B, and Series C, which accrue daily, are
cumulative at a rate which was established at the offering of the APS and have
been reset every 7 days thereafter by an auction. Dividends on the APS Series D
and Series E, which accrue daily, are cumulative at a rate which was established
at the offering of the APS and have been reset every 28 days thereafter by an
auction. Dividend rates ranged from 1.60% to 2.18% for Series A shares, 1.75% to
2.07% for Series B shares, 1.75% to 2.07% for Series C shares, 1.85% to 2.20%
for Series D shares, and 1.85% to 2.125% for Series E shares.
The APS are redeemable at the option of the Trust, at a redemption price equal
to $25,000 per share, plus accumulated and unpaid dividends on any dividend
payment date. The APS are also subject to mandatory redemption at a redemption
price equal to $25,000 per share, plus accumulated and unpaid dividends, if the
Trust is in default for an extended period on its asset maintenance requirements
with respect to the APS. If the dividends on the APS shall remain unpaid in an
amount equal to two full years' dividends, the holders of the APS as a class
have the right to elect a majority of the Board of Trustees. In general, the
holders of the APS and the
24
common shares have equal voting rights of one vote per share, except that the
holders of the APS, as a separate class, have the right to elect at least two
members of the Board of Trustees. The APS have a liquidation preference of
$25,000 per share, plus accumulated and unpaid dividends. The Trust is required
to maintain certain asset coverage with respect to the APS as defined in the
Trust's By-Laws and the Investment Company Act of 1940. The Trust pays an annual
fee equivalent to 0.25% of the preferred shares' liquidation value for the
remarketing efforts associated with the preferred auctions.
3 DISTRIBUTION TO SHAREHOLDERS
The Trust intends to make monthly distributions of net investment income, after
payment of any dividends on any outstanding Auction Preferred Shares. In
addition, at least annually, the Trust intends to distribute net capital gain,
if any. Distributions are recorded on the ex-dividend date. Distributions to
preferred shareholders are recorded daily and are payable at the end of each
dividend period. Each dividend payment period for the Auction Preferred Shares
is generally seven or twenty-eight days. The applicable dividend rate for the
Auction Preferred Shares on November 30, 2004 was 2.18%, 2.07%, 2.07%, 2.20%,
and 2.125%, for Series A, Series B, Series C, Series D, and Series E Shares,
respectively. For the period ended November 30, 2004, the Trust paid dividends
to Auction Preferred shareholders amounting to $344,416, $351,887, $354,828,
$358,861 and $354,628 for Series A, Series B, Series C, Series D, and Series E
Shares, respectively, representing an average APS dividend rate for such period
of 1.890%, 1.917%, 1.911%, 1.993%, and 1.955%, respectively.
The Trust distinguishes between distributions on a tax basis and a financial
reporting basis. Accounting principals generally accepted in the United States
of America require that only distributions in excess of tax basis earnings and
profits be reported in the financial statements as a return of capital.
Permanent differences between book and tax accounting relating to distributions
are reclassified to paid in capital. These differences relate primarily to the
method for amortizing premiums.
4 INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES
EVM serves as the administrator of the Trust, but currently receives no
compensation for providing administrative services to the Trust. The investment
adviser fee is earned by Eaton Vance Management (EVM), as compensation for
management and investment advisory services rendered to the Trust. Under the
advisory agreement, EVM receives a monthly advisory fee in the amount equal to
0.75% annually of average daily gross assets of the Trust. For the period from
the start of business, June 29, 2004 to November 30, 2004, the advisory fee
amounted to $2,875,682.
In addition, the Adviser has contractually agreed to reimburse the Trust for
fees and other expenses in the amount of 0.20% of the average daily gross assets
of the Trust for the first five full years of the Trust's operations, 0.15% of
average daily gross assets in year six, 0.10% in year seven and 0.05% in year
eight. For the period from the start of business, June 29, 2004 to November 30,
2004 the Investment Adviser waived $766,848 of its advisory fee. In addition,
the Adviser has agreed to reimburse the Trust for all organizational costs,
estimated at $7,500.
During the period from the start of business, June 29, 2004 to November 30,
2004, the Trust engaged in purchase and sale transactions with other trusts that
also utilize EVM as an investment adviser. These purchase and sale transactions
complied with Rule 17a-7 under the Investment Company Act of 1940 and amounted
to $36,940,673 and $10,500,00, respectively.
Certain officers and Trustees of the Trust are officers of the above
organization.
5 PURCHASES AND SALES OF INVESTMENTS
Purchases and sales of investments, other than short-term obligations and
including paydowns, aggregated $1,661,249,409 and $549,129,314 respectively, for
the period from the start of business, June 29, 2004, to November 30, 2004.
6 COMMON SHARES OF BENEFICIAL INTEREST
The Agreement and Declaration of Trust permits the Trustees to issue an
unlimited number of full and fractional $0.01 par value common shares of
beneficial interest. Transactions in common shares were as follows:
PERIOD ENDED
NOVEMBER 30, 2004
(UNAUDITED)(1)
--------------------------------------------------------------------------------
Sales 37,205,000
Issued to shareholders electing to receive payments of
distributions in Fund shares 41,324
--------------------------------------------------------------------------------
NET INCREASE 37,246,324
--------------------------------------------------------------------------------
(1) For the period from the start of business, June 29, 2004 to November 30,
2004.
25
7 FEDERAL INCOME TAX BASIS OF UNREALIZED APPRECIATION (DEPRECIATION)
The cost and unrealized appreciation (depreciation) in value of investments
owned by the Trust at November 30, 2004, as computed on a federal income tax
basis, were as follows:
AGGREGATE COST $ 1,111,377,617
-----------------------------------------------------------------------------
Gross unrealized appreciation $ 7,205,878
Gross unrealized depreciation (1,995,264)
-----------------------------------------------------------------------------
NET UNREALIZED APPRECIATION $ 5,210,614
-----------------------------------------------------------------------------
8 OVERDRAFT ADVANCES
Pursuant to the custodian agreement between the Trust and Investors Bank & Trust
(the Bank), the Bank may in its discretion advance funds to the Trust to make
properly authorized payments. When such payments result in an overdraft by the
Trust, the Trust is obligated to repay the Bank at the current rate of interest
charged by the Bank for secured loans (currently, a rate above the federal funds
rate). This obligation is payable on demand to the Bank. At November 30, 2004,
the Trust's payment due to the Bank pursuant to the foregoing arrangement was
$2,548,432.
9 FINANCIAL INSTRUMENTS
The Trust may trade in financial instruments with off-balance sheet risk in the
normal course of its investing activities to assist in managing exposure to
various market risks. These financial instruments include written options and
financial futures contracts and may involve, to a varying degree, elements of
risk in excess of the amounts recognized for financial statement purposes. The
notional or contractual amounts of these instruments represent the investment
the Trust has in particular classes of financial instruments and does not
necessarily represent the amounts potentially subject to risk. The measurement
of the risks associated with these instruments is meaningful only when all
related and offsetting transactions are considered.
At November 30, 2004, the Trust had entered into a Credit Default Swap with
Lehman Brothers Special Financing, Inc. dated September 24, 2004 whereby the
Trust will receive 2.30% per year times the notional amount of $4,000,000. The
Trust makes payment only upon a default event on underlying loan assets (50 in
total, each representing 2.30% of the notional value of the swap). At November
30, 2004, the Trust had sufficient cash segregated to cover potential
obligations arising from open swap contracts.
26
EATON VANCE FLOATING-RATE INCOME TRUST
DIVIDEND REINVESTMENT PLAN
The Trust offers a dividend reinvestment plan (the Plan) pursuant to which
shareholders may elect to have distributions reinvested in common shares (the
Shares) of the Trust. You may elect to participate in the Plan by completing the
Dividend Reinvestment Plan Application Form. If you do not participate, you will
receive all distributions in cash paid by check mailed directly to you by PFPC
Inc. as dividend paying agent. On the distribution payment date, if the net
asset value per Share is equal to or less than the market price per Share plus
estimated brokerage commissions then new Shares will be issued. The number of
Shares shall be determined by the greater of the net asset value per Share or
95% of the market price. Otherwise, Shares generally will be purchased on the
open market by the Plan Agent. Distributions subject to income tax (if any) are
taxable whether or not shares are reinvested.
If your shares are in the name of a brokerage firm, bank, or other nominee, you
can ask the firm or nominee to participate in the Plan on your behalf. If the
nominee does not offer the Plan, you will need to request that your shares be
re-registered in your name with the Trust's transfer agent, PFPC, Inc. or you
will not be able to participate.
The Plan Agent's service fee for handling distributions will be paid by the
Trust. Each participant will be charged their pro rata share of brokerage
commissions on all open-market purchases.
Plan participants may withdraw from the Plan at any time by writing to the Plan
Agent at the address noted on the following page. If you withdraw, you will
receive shares in your name for all Shares credited to your account under the
Plan. If a participant elects by written notice to the Plan Agent to have the
Plan Agent sell part or all of his or her Shares and remit the proceeds, the
Plan Agent is authorized to deduct a $5.00 fee plus brokerage commissions from
the proceeds.
If you wish to participate in the Plan and your shares are held in your own
name, you may complete the form on the following page and deliver it to the Plan
Agent.
Any inquires regarding the Plan can be directed to the Plan Agent, PFPC, Inc.,
at 1-800-331-1710.
27
EATON VANCE FLOATING-RATE INCOME TRUST
APPLICATION FOR PARTICIPATION IN DIVIDEND REINVESTMENT PLAN
This form is for shareholders who hold their common shares in their own names.
If your common shares are held in the name of a brokerage firm, bank, or other
nominee, you should contact your nominee to see if it will participate in the
Plan on your behalf. If you wish to participate in the Plan, but your brokerage
firm, bank, or nominee is unable to participate on your behalf, you should
request that your common shares be re-registered in your own name which will
enable your participation in the Plan.
The following authorization and appointment is given with the understanding that
I may terminate it at any time by terminating my participation in the Plan as
provided in the terms and conditions of the Plan.
----------------------------------------------------
Please print exact name on account
----------------------------------------------------
Shareholder signature Date
----------------------------------------------------
Shareholder signature Date
Please sign exactly as your common shares are
registered. All persons whose names appear on the
share certificate must sign.
YOU SHOULD NOT RETURN THIS FORM IF YOU WISH TO RECEIVE YOUR DISTRIBUTIONS IN
CASH. THIS IS NOT A PROXY.
THIS AUTHORIZATION FORM, WHEN SIGNED, SHOULD BE MAILED TO THE FOLLOWING ADDRESS:
Eaton Vance Floating-Rate Income Trust
c/o PFPC, Inc.
P.O. Box 43027
Providence, RI 02940-3027
800-331-1710
NUMBER OF EMPLOYEES
The Trust is organized as a Massachusetts business trust and is registered under
the Investment Company Act of 1940, as amended, as a diversified closed-end
management investment company and has no employees.
NUMBER OF SHAREHOLDERS
As of November 30, 2004, our records indicate that there are 11 registered
shareholders and approximately 24,200 shareholders owning the Trust shares in
street name, such as through brokers, banks, and financial intermediaries.
If you are a street name shareholder and wish to receive our reports directly,
which contain important information about the Trust, please write or call:
Eaton Vance Distributors, Inc.
The Eaton Vance Building
255 State Street
Boston, MA 02109
1-800-225-6265
NEW YORK STOCK EXCHANGE SYMBOL
The New York Stock Exchange symbol is EFT.
28
EATON VANCE FLOATING-RATE INCOME TRUST
INVESTMENT MANAGEMENT
EATON VANCE FLOATING-RATE INCOME TRUST
OFFICERS
Payson F. Swaffield
President
Thomas E. Faust Jr.
Vice President
James B. Hawkes
Vice President and Trustee
Scott H. Page
Vice President
Michael W. Weilheimer
Vice President
Barbara E. Campbell
Treasurer
Paul M. O'Neil
Chief Compliance Officer
Alan R. Dynner
Secretary
TRUSTEES
Samuel L. Hayes, III
William H. Park
Ronald A. Pearlman
Norton H. Reamer
Lynn A. Stout
29
INVESTMENT ADVISER AND ADMINISTRATOR OF EATON VANCE FLOATING-RATE INCOME TRUST
EATON VANCE MANAGEMENT
THE EATON VANCE BUILDING
255 STATE STREET
BOSTON, MA 02109
CUSTODIAN
INVESTORS BANK & TRUST COMPANY
200 CLARENDON STREET
BOSTON, MA 02116
TRANSFER AGENT
PFPC INC.
ATTN: EATON VANCE FUNDS
P.O. BOX 43027
PROVIDENCE, RI 02940-3027
(800) 262-1122
EATON VANCE FLOATING-RATE INCOME TRUST
THE EATON VANCE BUILDING
255 STATE STREET
BOSTON, MA 02109
THIS REPORT MUST BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. BEFORE
INVESTING, INVESTORS SHOULD CONSIDER CAREFULLY THE FUND'S INVESTMENT
OBJECTIVE(S), RISKS, AND CHARGES AND EXPENSES. THE FUND'S CURRENT PROSPECTUS
CONTAINS THIS AND OTHER INFORMATION ABOUT THE FUND AND IS AVAILABLE THROUGH YOUR
FINANCIAL ADVISOR. PLEASE READ THE PROSPECTUS CAREFULLY BEFORE YOU INVEST OR
SEND MONEY. FOR FURTHER INFORMATION PLEASE CALL 1-800-225-6265.
2224-1/05 CE-FLRINCSRC
ITEM 2. CODE OF ETHICS
The registrant has adopted a code of ethics applicable to its Principal
Executive Officer, Principal Financial Officer and Principal Accounting Officer.
The registrant undertakes to provide a copy of such code of ethics to any person
upon request, without charge, by calling 1-800-262-1122.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
The registrant's Board has designated William H. Park, Samuel L. Hayes, III and
Norton H. Reamer, each an independent trustee, as its audit committee financial
experts. Mr. Park is a certified public accountant who is the President and
Chief Executive Officer of Prizm Capital Management, LLC (investment management
firm). Previously, he served as Executive Vice President and Chief Financial
Officer of United Asset Management Corporation ("UAM") (a holding company owning
institutional investment management firms). Mr. Hayes is the Jacob H. Schiff
Professor of Investment Banking Emeritus of the Harvard University Graduate
School of Business Administration. Mr. Reamer is the President, Chief Executive
Officer and a Director of Asset Management Finance Corp. (a specialty finance
company serving the investment management industry) and is President of Unicorn
Corporation (an investment and financial advisory services company). Formerly,
Mr. Reamer was Chairman of Hellman, Jordan Management Co., Inc. (an investment
management company) and Advisory Director of Berkshire Capital Corporation (an
investment banking firm), Chairman of the Board of UAM and Chairman, President
and Director of the UAM Funds (mutual funds).
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
Not required in this filing
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not required in this filing.
ITEM 6. SCHEDULE OF INVESTMENTS
Please see schedule of investments contained in the Report to Stockholders
included under Item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES
The Board of Trustees of the Trust has adopted a proxy voting policy and
procedure (the "Fund Policy"), pursuant to which the Trustees have delegated
proxy voting responsibility to the Fund's investment adviser and adopted the
investment adviser's proxy voting policies and procedures (the "Policies") which
are described below. The Trustees will review the Fund's proxy voting records
from time to time and will annually consider approving the Policies for the
upcoming year. In the event that a conflict of interest arises between the
Fund's shareholders and the investment adviser, the administrator, or any of
their affiliates or any affiliate of the Fund, the investment adviser will
generally refrain from voting the proxies related to the companies giving rise
to such conflict until it consults with the Board of the Fund except as
contemplated under the Fund Policy. The Board's Special Committee will instruct
the investment adviser on the appropriate course of action.
The Policies are designed to promote accountability of a company's management to
its shareholders and to align the interests of management with those
shareholders. The investment adviser will generally support company management
on proposals relating to environmental and social policy issues and on matters
regarding the state of organization of the company. On all other matters, the
investment adviser will take management's proposals under advisement but will
consider each matter in light of the guidelines set forth in the Policies.
Except in the instance of routine matters related to corporate administration
which are not expected to have a significant economic impact on the company or
its shareholders (on which the investment adviser will routinely vote with
management), the investment adviser will review each matter on a case-by-case
basis and reserves the right to deviate from the Policies guidelines when it
believes the situation warrants such a deviation. The Policy includes voting
guidelines for matters relating to, among other things, the election of
directors, approval of independent auditors, executive compensation, corporate
structure and anti-takeover defenses. The investment adviser may abstain from
voting from time to time where it determines that the costs associated with
voting a proxy outweighs the benefits derived from exercising the right to vote.
In addition, the investment adviser will monitor situations that may result in a
conflict of interest between the Fund's shareholders and the investment adviser,
the administrator, or any of their affiliates or any affiliate of the Fund by
maintaining a list of significant existing and prospective corporate clients.
The investment adviser's personnel responsible for reviewing and voting proxies
on behalf of the Fund will report any proxy received or expected to be received
from a company included on that list to the investment adviser's general counsel
or chief equity investment officer. The general counsel or chief equity
investment officer will determine if a conflict exists. If a conflict does
exist, the proxy will either be voted strictly in accordance with the Policy or
the investment adviser will seek instruction on how to vote from the Board.
Effective August 31, 2004, information on how the Fund voted proxies relating to
portfolio securities during the 12 month period ended June 30, 2004 [is/will be]
available (1) without charge, upon request, by calling 1-800-262-1122, and (2)
on the Securities and Exchange Commission's website at http://www.sec.gov.
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not required in this filing.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Effective February 9, 2004, the Governance Committee of the Board of Trustees
formalized the procedures by which a Fund's shareholders may recommend nominees
to the registrant's Board of Trustees. The Governance Committee shall, when
identifying candidates for the position of Independent Trustee, consider any
such candidate recommended by a shareholder of a Fund if such recommendation
contains sufficient background information concerning the candidate, and is
received in a sufficiently timely manner (and in any event no later than the
date specified for receipt of shareholder proposals in any applicable proxy
statement with respect to a Fund). Shareholders shall be directed to address any
such recommendations to the attention of the Governance Committee, c/o the
Secretary of the Fund.
ITEM 10. CONTROLS AND PROCEDURES
(a) It is the conclusion of the registrant's principal executive officer and
principal financial officer that the effectiveness of the registrant's current
disclosure controls and procedures (such disclosure controls and procedures
having been evaluated within 90 days of the date of this filing) provide
reasonable assurance that the information required to be disclosed by the
registrant has been recorded, processed, summarized and reported within the time
period specified in the Commission's rules and forms and that the information
required to be disclosed by the registrant has been accumulated and communicated
to the registrant's principal executive officer and principal financial officer
in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant's internal controls over
financial reporting during the period that has materially affected, or is
reasonably likely to materially affect the registrant's internal control over
financial reporting.
ITEM 11. EXHIBITS
(a)(1) Registrant's Code of Ethics - Not applicable (please see Item 2).
(a)(2)(i) Treasurer's Section 302 certification.
(a)(2)(ii) President's Section 302 certification.
(b) Combined Section 906 certification.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
EATON VANCE FLOATING RATE INCOME TRUST
By: /s/ Payson F. Swaffield
------------------------------
Payson F. Swaffield
President
Date: January 19, 2005
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ Barbara E. Campbell
------------------------------
Barbara E. Campbell
Treasurer
Date: January 19, 2005
By: /s/ Payson F. Swaffield
------------------------------
Payson F. Swaffield
President
Date: January 19, 2005