UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-09987
Floating Rate Portfolio
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number)
October 31
Date of Fiscal Year End
April 30, 2010
Date of Reporting Period
Item 1. Reports to Stockholders
Floating Rate Portfolio as of April 30, 2010
PORTFOLIO OF INVESTMENTS (Unaudited)
Senior Floating-Rate Interests — 96.2%(1) | ||||||||||
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Aerospace and Defense — 1.8% | ||||||||||
Booz Allen Hamilton, Inc. | ||||||||||
3,042 | Term Loan, 6.00%, Maturing July 31, 2015 | $ | 3,055,305 | |||||||
CACI International, Inc. | ||||||||||
4,198 | Term Loan, 1.76%, Maturing May 3, 2011 | 4,195,021 | ||||||||
DAE Aviation Holdings, Inc. | ||||||||||
3,331 | Term Loan, 4.09%, Maturing July 31, 2014 | 3,192,181 | ||||||||
3,423 | Term Loan, 4.09%, Maturing July 31, 2014 | 3,280,390 | ||||||||
Delos Aircraft, Inc. | ||||||||||
4,142 | Term Loan, 7.00%, Maturing March 15, 2016 | 4,201,336 | ||||||||
Evergreen International Aviation | ||||||||||
10,164 | Term Loan, 10.50%, Maturing October 31, 2011(2) | 9,554,232 | ||||||||
Hawker Beechcraft Acquisition | ||||||||||
18,859 | Term Loan, 2.28%, Maturing March 26, 2014 | 16,239,520 | ||||||||
1,238 | Term Loan, 2.29%, Maturing March 26, 2014 | 1,065,728 | ||||||||
Hexcel Corp. | ||||||||||
4,596 | Term Loan, 6.50%, Maturing May 21, 2014 | 4,630,902 | ||||||||
IAP Worldwide Services, Inc. | ||||||||||
3,107 | Term Loan, 9.25%, Maturing December 30, 2012(2) | 2,966,891 | ||||||||
International Lease Finance Co. | ||||||||||
5,633 | Term Loan, 6.75%, Maturing March 15, 2015 | 5,749,571 | ||||||||
PGS Solutions, Inc. | ||||||||||
3,299 | Term Loan, 2.51%, Maturing February 14, 2013 | 3,216,814 | ||||||||
Spirit AeroSystems, Inc. | ||||||||||
3,729 | Term Loan, 2.05%, Maturing December 31, 2011 | 3,693,381 | ||||||||
TransDigm, Inc. | ||||||||||
11,650 | Term Loan, 2.28%, Maturing June 23, 2013 | 11,499,517 | ||||||||
Vought Aircraft Industries, Inc. | ||||||||||
7,407 | Revolving Loan, 0.50%, Maturing December 22, 2010(3) | 7,185,185 | ||||||||
2,778 | Term Loan, 7.50%, Maturing December 17, 2011 | 2,786,459 | ||||||||
3,546 | Term Loan, 7.50%, Maturing December 17, 2011 | 3,558,018 | ||||||||
851 | Term Loan, 7.50%, Maturing December 22, 2011 | 852,872 | ||||||||
Wesco Aircraft Hardware Corp. | ||||||||||
6,822 | Term Loan, 2.53%, Maturing September 29, 2013 | 6,715,529 | ||||||||
Wyle Services Corp. | ||||||||||
2,000 | Term Loan, 6.25%, Maturing March 26, 2016 | 2,005,000 | ||||||||
$ | 99,643,852 | |||||||||
Air Transport — 0.3% | ||||||||||
Delta Air Lines, Inc. | ||||||||||
7,000 | Revolving Loan, 2.25%, Maturing April 30, 2012 | $ | 6,148,331 | |||||||
8,311 | Term Loan, 2.30%, Maturing April 30, 2012 | 8,139,965 | ||||||||
1,329 | Term Loan - Second Lien, 3.55%, Maturing April 30, 2014 | 1,247,007 | ||||||||
$ | 15,535,303 | |||||||||
Automotive — 4.0% | ||||||||||
Accuride Corp. | ||||||||||
2,167 | Term Loan, Maturing January 31, 2012(4) | $ | 2,173,647 | |||||||
13,097 | Term Loan, 9.75%, Maturing June 30, 2013 | 13,167,948 | ||||||||
Adesa, Inc. | ||||||||||
26,248 | Term Loan, 3.03%, Maturing October 18, 2013 | 25,797,494 | ||||||||
Allison Transmission, Inc. | ||||||||||
17,204 | Term Loan, 3.01%, Maturing August 7, 2014 | 16,488,743 | ||||||||
Dayco Products, LLC | ||||||||||
3,000 | Term Loan, 0.50%, Maturing November 12, 2012(3) | 3,093,600 | ||||||||
500 | Term Loan, 10.00%, Maturing November 12, 2012 | 490,000 | ||||||||
1,000 | Term Loan, 10.00%, Maturing November 12, 2012 | 990,000 | ||||||||
1,961 | Term Loan, 10.50%, Maturing November 13, 2014 | 1,960,622 | ||||||||
290 | Term Loan, 12.50%, Maturing November 13, 2014(2) | 266,914 | ||||||||
Federal-Mogul Corp. | ||||||||||
27,313 | Term Loan, 2.19%, Maturing December 27, 2014 | 25,037,131 | ||||||||
19,011 | Term Loan, 2.20%, Maturing December 27, 2015 | 17,426,825 | ||||||||
Financiere Truck (Investissement) | ||||||||||
EUR | 1,309 | Term Loan, 3.22%, Maturing February 15, 2012 | 1,102,327 | |||||||
Ford Motor Co. | ||||||||||
4,852 | Revolving Loan, 2.32%, Maturing December 15, 2013(3) | 4,673,474 | ||||||||
7,123 | Term Loan, 3.26%, Maturing December 16, 2013 | 6,867,409 | ||||||||
20,634 | Term Loan, 3.28%, Maturing December 16, 2013 | 19,960,646 | ||||||||
Fraikin, Ltd. | ||||||||||
GBP | 1,611 | Term Loan, 2.87%, Maturing February 15, 2012(3) | 1,558,771 | |||||||
GBP | 716 | Term Loan, 2.99%, Maturing February 15, 2012(3) | 692,593 | |||||||
Goodyear Tire & Rubber Co. | ||||||||||
41,656 | Term Loan - Second Lien, 2.24%, Maturing April 30, 2014 | 39,906,167 | ||||||||
HHI Holdings, LLC | ||||||||||
2,000 | Term Loan, 10.50%, Maturing March 30, 2015 | 2,033,126 | ||||||||
Keystone Automotive Operations, Inc. | ||||||||||
6,806 | Term Loan, 3.78%, Maturing January 12, 2012 | 5,955,346 | ||||||||
Locafroid Services S.A.S. | ||||||||||
EUR | 307 | Term Loan, 3.22%, Maturing February 15, 2012 | 258,496 | |||||||
Tenneco Automotive, Inc. | ||||||||||
5,550 | Term Loan, 5.25%, Maturing March 17, 2014 | 5,570,813 | ||||||||
TriMas Corp. | ||||||||||
2,086 | Term Loan, 6.00%, Maturing August 2, 2011 | 2,054,648 | ||||||||
8,723 | Term Loan, 6.00%, Maturing December 15, 2015 | 8,591,855 | ||||||||
United Components, Inc. | ||||||||||
8,530 | Term Loan, 2.25%, Maturing June 30, 2010 | 8,338,084 | ||||||||
$ | 214,456,679 | |||||||||
16
Floating Rate Portfolio as of April 30, 2010
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Beverage and Tobacco — 0.2% | ||||||||||
Culligan International Co. | ||||||||||
7,889 | Term Loan, 2.52%, Maturing November 24, 2014 | $ | 6,713,435 | |||||||
Southern Wine & Spirits of America, Inc. | ||||||||||
992 | Term Loan, 5.50%, Maturing May 31, 2012 | 990,927 | ||||||||
Van Houtte, Inc. | ||||||||||
115 | Term Loan, 2.79%, Maturing July 11, 2014 | 111,538 | ||||||||
845 | Term Loan, 2.79%, Maturing July 11, 2014 | 817,945 | ||||||||
$ | 8,633,845 | |||||||||
Building and Development — 2.3% | ||||||||||
401 North Wabash Venture, LLC | ||||||||||
3,274 | Term Loan, 0.00%, Maturing May 7, 2009(5) | $ | 2,488,397 | |||||||
AIMCO Properties, L.P. | ||||||||||
938 | Term Loan, 1.76%, Maturing March 23, 2011 | 933,201 | ||||||||
Beacon Sales Acquisition, Inc. | ||||||||||
4,223 | Term Loan, 2.28%, Maturing September 30, 2013 | 4,159,887 | ||||||||
Brickman Group Holdings, Inc. | ||||||||||
5,800 | Term Loan, 2.29%, Maturing January 23, 2014 | 5,683,798 | ||||||||
Building Materials Corp. of America | ||||||||||
13,274 | Term Loan, 3.06%, Maturing February 22, 2014 | 13,124,377 | ||||||||
Contech Construction Products | ||||||||||
1,767 | Term Loan, 2.26%, Maturing January 13, 2013 | 1,616,964 | ||||||||
Epco/Fantome, LLC | ||||||||||
9,030 | Term Loan, 2.89%, Maturing November 23, 2010 | 8,668,800 | ||||||||
Forestar USA Real Estate Group, Inc. | ||||||||||
1,675 | Revolving Loan, 0.53%, Maturing December 1, 2010(3) | 1,599,840 | ||||||||
11,784 | Term Loan, 5.11%, Maturing December 1, 2010 | 11,607,463 | ||||||||
Lafarge Roofing | ||||||||||
1,593 | Term Loan, 3.25%, Maturing July 16, 2014(2) | 1,221,240 | ||||||||
EUR | 2,861 | Term Loan, 3.25%, Maturing July 16, 2014(2) | 2,920,684 | |||||||
EUR | 1,866 | Term Loan, 5.00%, Maturing April 16, 2015(2) | 1,888,268 | |||||||
Materis | ||||||||||
EUR | 2,161 | Term Loan, 3.03%, Maturing April 27, 2014 | 2,420,231 | |||||||
EUR | 2,322 | Term Loan, 3.16%, Maturing April 27, 2015 | 2,599,590 | |||||||
Mueller Water Products, Inc. | ||||||||||
6,816 | Term Loan, 5.33%, Maturing May 23, 2014 | 6,843,220 | ||||||||
NCI Building Systems, Inc. | ||||||||||
3,723 | Term Loan, 8.00%, Maturing June 18, 2010 | 3,677,659 | ||||||||
November 2005 Land Investors | ||||||||||
610 | Term Loan, 5.75%, Maturing May 9, 2011 | 166,138 | ||||||||
Panolam Industries Holdings, Inc. | ||||||||||
11,322 | Term Loan, 8.25%, Maturing December 31, 2013 | 10,586,062 | ||||||||
Re/Max International, Inc. | ||||||||||
13,900 | Term Loan, 5.50%, Maturing April 16, 2016 | 13,934,750 | ||||||||
Realogy Corp. | ||||||||||
10,411 | Term Loan, 3.29%, Maturing October 10, 2013 | 9,462,042 | ||||||||
2,803 | Term Loan, 3.38%, Maturing October 10, 2013 | 2,547,475 | ||||||||
South Edge, LLC | ||||||||||
8,795 | Term Loan, 0.00%, Maturing October 31, 2009(5) | 4,001,562 | ||||||||
Standard Pacific Corp. | ||||||||||
4,680 | Term Loan, 2.00%, Maturing May 5, 2013 | 4,313,402 | ||||||||
WCI Communities, Inc. | ||||||||||
3,956 | Term Loan, 10.00%, Maturing September 3, 2014(2) | 3,836,853 | ||||||||
5,488 | Term Loan, 10.07%, Maturing September 3, 2014 | 5,478,884 | ||||||||
$ | 125,780,787 | |||||||||
Business Equipment and Services — 8.6% | ||||||||||
Activant Solutions, Inc. | ||||||||||
10,113 | Term Loan, 2.31%, Maturing May 1, 2013 | $ | 9,696,297 | |||||||
Acxiom Corp. | ||||||||||
8,786 | Term Loan, 3.32%, Maturing March 15, 2015 | 8,764,527 | ||||||||
Advantage Sales & Marketing, Inc. | ||||||||||
15,876 | Term Loan, 2.26%, Maturing March 29, 2013 | 15,875,738 | ||||||||
11,500 | Term Loan, Maturing April 7, 2016(4) | 11,467,490 | ||||||||
Affinion Group, Inc. | ||||||||||
5,000 | Revolving Loan, 0.62%, Maturing October 17, 2011(3) | 4,975,000 | ||||||||
26,725 | Term Loan, 5.00%, Maturing October 8, 2016 | 26,591,375 | ||||||||
Dealer Computer Services, Inc. | ||||||||||
13,450 | Term Loan, Maturing April 16, 2017(4) | 13,450,000 | ||||||||
Education Management, LLC | ||||||||||
15,416 | Term Loan, 2.06%, Maturing June 1, 2013 | 15,112,663 | ||||||||
First American Corp. | ||||||||||
6,725 | Term Loan, 4.75%, Maturing April 9, 2016 | 6,773,339 | ||||||||
Info USA, Inc. | ||||||||||
1,208 | Term Loan, 2.05%, Maturing February 14, 2012 | 1,204,242 | ||||||||
1,973 | Term Loan, 2.05%, Maturing February 14, 2012 | 1,967,130 | ||||||||
Intergraph Corp. | ||||||||||
3,350 | Term Loan, 4.50%, Maturing May 29, 2014 | 3,342,175 | ||||||||
3,875 | Term Loan, 6.00%, Maturing May 29, 2014 | 3,895,991 | ||||||||
iPayment, Inc. | ||||||||||
15,632 | Term Loan, 2.28%, Maturing May 10, 2013 | 14,999,912 | ||||||||
Kronos, Inc. | ||||||||||
13,717 | Term Loan, 2.29%, Maturing June 11, 2014 | 13,242,910 | ||||||||
Language Line, Inc. | ||||||||||
12,294 | Term Loan, 5.50%, Maturing October 30, 2015 | 12,365,900 | ||||||||
Mitchell International, Inc. | ||||||||||
1,980 | Term Loan, 2.31%, Maturing March 28, 2014 | 1,873,189 | ||||||||
1,500 | Term Loan - Second Lien, 5.56%, Maturing March 28, 2015 | 1,278,750 |
17
Floating Rate Portfolio as of April 30, 2010
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Business Equipment and Services (continued) | ||||||||||
NE Customer Service | ||||||||||
11,800 | Term Loan, 6.00%, Maturing March 5, 2016 | $ | 11,769,273 | |||||||
Protection One, Inc. | ||||||||||
1,719 | Term Loan, 2.53%, Maturing March 31, 2012 | 1,723,678 | ||||||||
9,744 | Term Loan, 6.25%, Maturing March 31, 2014 | 9,768,776 | ||||||||
Quad Graphics | ||||||||||
5,000 | Term Loan, Maturing April 14, 2016(4) | 4,995,315 | ||||||||
Quantum Corp. | ||||||||||
4,081 | Term Loan, 3.79%, Maturing July 12, 2014 | 3,976,628 | ||||||||
Quintiles Transnational Corp. | ||||||||||
10,000 | Revolving Loan, 0.25%, Maturing March 31, 2012(3) | 9,758,000 | ||||||||
17,869 | Term Loan, 2.30%, Maturing March 31, 2013 | 17,585,826 | ||||||||
Sabre, Inc. | ||||||||||
40,444 | Term Loan, 2.30%, Maturing September 30, 2014 | 38,535,551 | ||||||||
Safenet, Inc. | ||||||||||
15,691 | Term Loan, 2.76%, Maturing April 12, 2014 | 15,161,005 | ||||||||
Serena Software, Inc. | ||||||||||
9,710 | Term Loan, 2.25%, Maturing March 10, 2013 | 9,410,553 | ||||||||
Sitel (Client Logic) | ||||||||||
7,448 | Term Loan, 5.79%, Maturing January 29, 2014 | 7,373,406 | ||||||||
EUR | 569 | Term Loan, 5.91%, Maturing January 29, 2014 | 754,388 | |||||||
Solera Holdings, LLC | ||||||||||
3,736 | Term Loan, 2.06%, Maturing May 15, 2014 | 3,681,408 | ||||||||
EUR | 2,954 | Term Loan, 2.44%, Maturing May 15, 2014 | 3,804,688 | |||||||
SunGard Data Systems, Inc. | ||||||||||
10,374 | Term Loan, 2.00%, Maturing February 28, 2014 | 10,052,083 | ||||||||
3,423 | Term Loan, 6.75%, Maturing February 28, 2014 | 3,442,129 | ||||||||
51,518 | Term Loan, 3.88%, Maturing February 28, 2016 | 51,310,717 | ||||||||
Ticketmaster | ||||||||||
8,651 | Term Loan, 7.00%, Maturing July 22, 2014 | 8,739,929 | ||||||||
Transaction Network Service, Inc. | ||||||||||
2,385 | Term Loan, 6.00%, Maturing November 18, 2015 | 2,405,481 | ||||||||
Travelport, LLC | ||||||||||
6,614 | Term Loan, 2.79%, Maturing August 23, 2013 | 6,438,546 | ||||||||
14,116 | Term Loan, 2.79%, Maturing August 23, 2013 | 13,768,325 | ||||||||
19,549 | Term Loan, 2.79%, Maturing August 23, 2013 | 19,030,979 | ||||||||
EUR | 2,106 | Term Loan, 3.14%, Maturing August 23, 2013 | 2,722,015 | |||||||
3,474 | Term Loan, 10.50%, Maturing August 23, 2013 | 3,497,590 | ||||||||
Valassis Communications, Inc. | ||||||||||
732 | Term Loan, 2.25%, Maturing March 2, 2014 | 727,497 | ||||||||
4,329 | Term Loan, 2.25%, Maturing March 2, 2014 | 4,304,550 | ||||||||
West Corp. | ||||||||||
13,104 | Term Loan, 2.64%, Maturing October 24, 2013 | 12,807,706 | ||||||||
17,581 | Term Loan, 4.14%, Maturing July 15, 2016 | 17,525,628 | ||||||||
$ | 461,948,298 | |||||||||
Cable and Satellite Television — 7.4% | ||||||||||
Atlantic Broadband Finance, LLC | ||||||||||
11,967 | Term Loan, 6.75%, Maturing June 8, 2013 | $ | 12,022,723 | |||||||
445 | Term Loan, 2.55%, Maturing September 1, 2013 | 440,784 | ||||||||
Bresnan Broadband Holdings, LLC | ||||||||||
15,396 | Term Loan, 2.26%, Maturing March 29, 2014 | 15,222,780 | ||||||||
1,485 | Term Loan, 2.31%, Maturing March 29, 2014 | 1,468,294 | ||||||||
Cequel Communications, LLC | ||||||||||
37,947 | Term Loan, 2.29%, Maturing November 5, 2013 | 37,330,533 | ||||||||
2,500 | Term Loan - Second Lien, 4.75%, Maturing May 5, 2014 | 2,510,000 | ||||||||
Charter Communications Operating, Inc. | ||||||||||
64,175 | Term Loan, 2.30%, Maturing March 6, 2014 | 61,010,432 | ||||||||
CSC Holdings, Inc. | ||||||||||
1,473 | Term Loan, 2.00%, Maturing March 29, 2016 | 1,475,441 | ||||||||
14,690 | Term Loan, 2.00%, Maturing March 29, 2016 | 14,660,300 | ||||||||
CW Media Holdings, Inc. | ||||||||||
4,680 | Term Loan, 3.29%, Maturing February 15, 2015 | 4,453,681 | ||||||||
DirectTV Holdings, LLC | ||||||||||
1,766 | Term Loan, 1.77%, Maturing April 13, 2013 | 1,768,782 | ||||||||
Foxco Acquisition Sub., LLC | ||||||||||
9,275 | Term Loan, 7.50%, Maturing July 14, 2015 | 9,240,556 | ||||||||
Insight Midwest Holdings, LLC | ||||||||||
26,316 | Term Loan, 2.27%, Maturing April 6, 2014 | 25,769,372 | ||||||||
Kabel BW GmbH and Co. | ||||||||||
EUR | 1,500 | Term Loan, Maturing June 9, 2013(4) | 1,965,346 | |||||||
EUR | 1,500 | Term Loan, Maturing June 9, 2014(4) | 1,965,346 | |||||||
Kabel Deutschland Gmbh | ||||||||||
EUR | 7,000 | Term Loan, 3.66%, Maturing March 31, 2014 | 9,191,996 | |||||||
MCC Iowa, LLC | ||||||||||
7,616 | Term Loan, 2.01%, Maturing January 31, 2015 | 7,344,118 | ||||||||
7,740 | Term Loan, 2.01%, Maturing January 31, 2015 | 7,463,295 | ||||||||
Mediacom Broadband, LLC | ||||||||||
10,275 | Term Loan, Maturing October 20, 2017(4) | 10,282,706 | ||||||||
Mediacom Illinois, LLC | ||||||||||
20,244 | Term Loan, 2.01%, Maturing January 31, 2015 | 19,467,825 | ||||||||
2,985 | Term Loan, 5.50%, Maturing March 31, 2017 | 3,004,403 | ||||||||
Mediacom, LLC | ||||||||||
6,000 | Term Loan, 4.50%, Maturing October 20, 2017 | 6,005,628 | ||||||||
ProSiebenSat.1 Media AG | ||||||||||
EUR | 8,887 | Term Loan, 2.41%, Maturing June 26, 2014 | 10,615,463 | |||||||
EUR | 2,613 | Term Loan, 2.41%, Maturing July 2, 2014 | 3,121,297 | |||||||
EUR | 2,020 | Term Loan, 3.34%, Maturing March 2, 2015 | 2,165,715 | |||||||
EUR | 739 | Term Loan, 2.54%, Maturing June 26, 2015 | 903,039 | |||||||
EUR | 16,816 | Term Loan, 2.54%, Maturing June 26, 2015 | 20,537,729 | |||||||
EUR | 2,020 | Term Loan, 3.59%, Maturing March 2, 2016 | 2,165,715 |
18
Floating Rate Portfolio as of April 30, 2010
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Cable and Satellite Television (continued) | ||||||||||
UPC Broadband Holding B.V. | ||||||||||
9,793 | Term Loan, 2.18%, Maturing December 31, 2014 | $ | 9,560,408 | |||||||
17,842 | Term Loan, 3.93%, Maturing December 31, 2016 | 17,650,649 | ||||||||
EUR | 21,765 | Term Loan, 4.15%, Maturing December 31, 2016 | 27,663,043 | |||||||
EUR | 10,790 | Term Loan, 4.99%, Maturing December 31, 2017 | 13,859,868 | |||||||
Virgin Media Investment Holding | ||||||||||
GBP | 11,000 | Term Loan, 4.41%, Maturing December 31, 2015 | 16,720,859 | |||||||
YPSO Holding SA | ||||||||||
EUR | 3,172 | Term Loan, 4.16%, Maturing July 28, 2014(2) | 3,587,432 | |||||||
EUR | 5,176 | Term Loan, 4.16%, Maturing July 28, 2014(2) | 5,853,179 | |||||||
EUR | 8,220 | Term Loan, 4.16%, Maturing July 28, 2014(2) | 9,295,856 | |||||||
$ | 397,764,593 | |||||||||
Chemicals and Plastics — 5.2% | ||||||||||
Arizona Chemical, Inc. | ||||||||||
EUR | 2,548 | Term Loan, 2.91%, Maturing February 28, 2013 | $ | 3,291,352 | ||||||
Brenntag Holding GmbH and Co. KG | ||||||||||
10,877 | Term Loan, 4.03%, Maturing December 23, 2013 | 10,904,579 | ||||||||
2,099 | Term Loan, 4.07%, Maturing December 23, 2013 | 2,104,255 | ||||||||
EUR | 3,434 | Term Loan, 4.58%, Maturing December 23, 2013 | 4,568,389 | |||||||
EUR | 230 | Term Loan - Second Lien, 4.94%, Maturing June 23, 2015 | 307,540 | |||||||
EUR | 32 | Term Loan - Second Lien, 6.94%, Maturing June 23, 2015 | 42,913 | |||||||
British Vita UK, Ltd. | ||||||||||
EUR | 961 | Term Loan, 5.76%, Maturing June 30, 2014(2) | 1,248,156 | |||||||
Celanese Holdings, LLC | ||||||||||
11,787 | Term Loan, 2.00%, Maturing April 2, 2014 | 11,558,434 | ||||||||
15,758 | Term Loan, 2.04%, Maturing April 2, 2014 | 15,471,098 | ||||||||
EUR | 970 | Term Loan, 2.38%, Maturing April 2, 2014 | 1,267,291 | |||||||
Chemtura Corp. | ||||||||||
4,200 | DIP Loan, 6.00%, Maturing March 22, 2011 | 4,231,500 | ||||||||
Cognis GmbH | ||||||||||
EUR | 1,249 | Term Loan, 2.65%, Maturing September 15, 2013 | 1,633,552 | |||||||
EUR | 4,276 | Term Loan, 2.65%, Maturing September 15, 2013 | 5,589,461 | |||||||
Columbian Chemicals Acquisition | ||||||||||
8,539 | Term Loan, 6.31%, Maturing March 16, 2013 | 8,240,288 | ||||||||
Ferro Corp. | ||||||||||
13,891 | Term Loan, 6.29%, Maturing June 6, 2012 | 13,856,314 | ||||||||
Hexion Specialty Chemicals, Inc. | ||||||||||
9,600 | Term Loan, 2.35%, Maturing May 5, 2013 | 8,496,000 | ||||||||
1,211 | Term Loan, 4.00%, Maturing May 5, 2015 | 1,168,151 | ||||||||
973 | Term Loan, 4.06%, Maturing May 5, 2015 | 923,875 | ||||||||
3,276 | Term Loan, 4.06%, Maturing May 5, 2015 | 3,162,944 | ||||||||
7,397 | Term Loan, 4.06%, Maturing May 5, 2015 | 7,141,608 | ||||||||
EUR | 1,099 | Term Loan, 4.39%, Maturing May 5, 2015 | 1,339,333 | |||||||
Huish Detergents, Inc. | ||||||||||
2,000 | Term Loan, Maturing April 26, 2014(4) | 1,960,000 | ||||||||
Huntsman International, LLC | ||||||||||
7,500 | Revolving Loan, 3.04%, Maturing August 16, 2010(3) | 6,890,625 | ||||||||
19,956 | Term Loan, 2.06%, Maturing August 16, 2012 | 19,255,020 | ||||||||
2,475 | Term Loan, Maturing June 30, 2016(4) | 2,400,307 | ||||||||
INEOS Group | ||||||||||
EUR | 2,881 | Term Loan, 4.90%, Maturing December 14, 2011 | 3,828,599 | |||||||
EUR | 149 | Term Loan, 5.40%, Maturing December 14, 2011 | 197,591 | |||||||
EUR | 2,882 | Term Loan, 5.40%, Maturing December 14, 2011 | 3,829,947 | |||||||
EUR | 149 | Term Loan, 5.90%, Maturing December 14, 2011 | 197,593 | |||||||
3,405 | Term Loan, 7.00%, Maturing December 14, 2012 | 3,455,637 | ||||||||
17,265 | Term Loan, 9.50%, Maturing December 14, 2013 | 17,270,681 | ||||||||
17,265 | Term Loan, 8.00%, Maturing December 14, 2014 | 17,270,681 | ||||||||
ISP Chemco, Inc. | ||||||||||
8,472 | Term Loan, 2.06%, Maturing June 4, 2014 | 8,267,600 | ||||||||
Kranton Polymers, LLC | ||||||||||
10,956 | Term Loan, 2.31%, Maturing May 12, 2013 | 10,569,992 | ||||||||
Lyondell Chemical Co. | ||||||||||
4,475 | Term Loan, 5.50%, Maturing March 14, 2016 | 4,496,543 | ||||||||
MacDermid, Inc. | ||||||||||
2,952 | Term Loan, 2.27%, Maturing April 12, 2014 | 2,745,094 | ||||||||
Millenium Inorganic Chemicals | ||||||||||
8,799 | Term Loan, 2.54%, Maturing April 30, 2014 | 8,304,102 | ||||||||
Momentive Performance Material | ||||||||||
4,850 | Term Loan, 2.50%, Maturing December 4, 2013 | 4,609,522 | ||||||||
Nalco Co. | ||||||||||
3,027 | Term Loan, 6.50%, Maturing May 6, 2016 | 3,056,767 | ||||||||
3,990 | Term Loan, 2.02%, Maturing May 13, 2016 | 3,976,015 | ||||||||
Rockwood Specialties Group, Inc. | ||||||||||
EUR | 588 | Term Loan, 5.00%, Maturing July 30, 2011 | 786,398 | |||||||
27,626 | Term Loan, 6.00%, Maturing May 15, 2014 | 27,864,658 | ||||||||
Solutia, Inc. | ||||||||||
5,000 | Revolving Loan, 0.79%, Maturing March 12, 2015(3) | 4,650,000 | ||||||||
17,625 | Term Loan, 4.75%, Maturing March 12, 2017 | 17,770,036 | ||||||||
$ | 280,200,441 | |||||||||
Clothing / Textiles — 0.2% | ||||||||||
Hanesbrands, Inc. | ||||||||||
7,831 | Term Loan, 5.25%, Maturing December 10, 2015 | $ | 7,928,478 | |||||||
The William Carter Co. | ||||||||||
3,290 | Term Loan, 1.78%, Maturing July 14, 2012 | 3,286,088 | ||||||||
$ | 11,214,566 | |||||||||
19
Floating Rate Portfolio as of April 30, 2010
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Conglomerates — 2.1% | ||||||||||
Aquilex Holdings, LLC | ||||||||||
2,000 | Term Loan, 6.25%, Maturing March 26, 2016 | $ | 2,015,000 | |||||||
Doncasters (Dunde HoldCo 4 Ltd.) | ||||||||||
3,595 | Term Loan, 4.27%, Maturing July 13, 2015 | 3,205,819 | ||||||||
GBP | 659 | Term Loan, 4.56%, Maturing July 13, 2015 | 902,503 | |||||||
3,595 | Term Loan, 4.77%, Maturing July 13, 2015 | 3,205,819 | ||||||||
GBP | 659 | Term Loan, 5.06%, Maturing July 13, 2015 | 902,503 | |||||||
Gentek Holding, LLC | ||||||||||
2,120 | Term Loan, 7.00%, Maturing October 29, 2014 | 2,134,924 | ||||||||
Jarden Corp. | ||||||||||
2,310 | Term Loan, 2.04%, Maturing January 24, 2012 | 2,302,024 | ||||||||
7,098 | Term Loan, 2.04%, Maturing January 24, 2012 | 7,077,415 | ||||||||
1,004 | Term Loan, 2.79%, Maturing January 24, 2012 | 1,003,988 | ||||||||
Johnson Diversey, Inc. | ||||||||||
5,112 | Term Loan, 5.50%, Maturing November 24, 2015 | 5,156,919 | ||||||||
Manitowoc Company, Inc. (The) | ||||||||||
10,922 | Term Loan, 7.50%, Maturing November 6, 2014 | 10,965,339 | ||||||||
Polymer Group, Inc. | ||||||||||
1,576 | Term Loan, 2.53%, Maturing November 22, 2012 | 1,575,665 | ||||||||
15,628 | Term Loan, 7.00%, Maturing November 22, 2014 | 15,764,754 | ||||||||
RBS Global, Inc. | ||||||||||
5,522 | Term Loan, 2.56%, Maturing July 19, 2013 | 5,333,928 | ||||||||
27,866 | Term Loan, 2.81%, Maturing July 19, 2013 | 27,273,409 | ||||||||
RGIS Holdings, LLC | ||||||||||
790 | Term Loan, 2.79%, Maturing April 30, 2014 | 749,530 | ||||||||
15,801 | Term Loan, 2.79%, Maturing April 30, 2014 | 14,990,609 | ||||||||
US Investigations Services, Inc. | ||||||||||
6,125 | Term Loan, 3.27%, Maturing February 21, 2015 | 5,726,710 | ||||||||
Vertrue, Inc. | ||||||||||
6,353 | Term Loan, 3.30%, Maturing August 16, 2014 | 5,415,645 | ||||||||
$ | 115,702,503 | |||||||||
Containers and Glass Products — 2.7% | ||||||||||
Berry Plastics Corp. | ||||||||||
20,288 | Term Loan, 2.26%, Maturing April 3, 2015 | $ | 19,005,954 | |||||||
Consolidated Container Co. | ||||||||||
5,463 | Term Loan, 2.50%, Maturing March 28, 2014 | 5,176,368 | ||||||||
Crown Americas, Inc. | ||||||||||
1,392 | Term Loan, 2.00%, Maturing November 15, 2012 | 1,378,661 | ||||||||
4,654 | Term Loan, 2.00%, Maturing November 15, 2012 | 4,609,441 | ||||||||
EUR | 4,320 | Term Loan, 2.15%, Maturing November 15, 2012 | 5,608,067 | |||||||
Graham Packaging Holdings Co. | ||||||||||
10,167 | Term Loan, 2.50%, Maturing October 7, 2011 | 10,114,100 | ||||||||
21,045 | Term Loan, 6.75%, Maturing April 5, 2014 | 21,250,418 | ||||||||
Graphic Packaging International, Inc. | ||||||||||
24,543 | Term Loan, 2.30%, Maturing May 16, 2014 | 24,212,733 | ||||||||
6,179 | Term Loan, 3.04%, Maturing May 16, 2014 | 6,160,492 | ||||||||
JSG Acquisitions | ||||||||||
EUR | 1,069 | Term Loan, 3.93%, Maturing December 31, 2014 | 1,420,677 | |||||||
EUR | 1,060 | Term Loan, 4.08%, Maturing December 31, 2014 | 1,408,884 | |||||||
OI European Group B.V. | ||||||||||
EUR | 11,939 | Term Loan, 1.90%, Maturing June 14, 2013 | 15,478,256 | |||||||
Owens-Brockway Glass Container | ||||||||||
4,054 | Term Loan, 1.90%, Maturing June 14, 2013 | 4,021,354 | ||||||||
Reynolds Group Holdings, Inc. | ||||||||||
7,950 | Term Loan, 6.25%, Maturing November 5, 2015 | 8,001,675 | ||||||||
Smurfit-Stone Container Corp. | ||||||||||
7,916 | Revolving Loan, 2.90%, Maturing July 28, 2010 | 7,955,768 | ||||||||
2,632 | Revolving Loan, 3.05%, Maturing July 28, 2010 | 2,645,015 | ||||||||
1,033 | Term Loan, 2.50%, Maturing November 1, 2011 | 1,030,343 | ||||||||
1,813 | Term Loan, 2.50%, Maturing November 1, 2011 | 1,803,503 | ||||||||
3,416 | Term Loan, 2.50%, Maturing November 1, 2011 | 3,407,854 | ||||||||
1,593 | Term Loan, 4.50%, Maturing November 1, 2011 | 1,584,764 | ||||||||
$ | 146,274,327 | |||||||||
Cosmetics / Toiletries — 0.8% | ||||||||||
Alliance Boots Holdings, Ltd. | ||||||||||
GBP | 13,000 | Term Loan, 3.55%, Maturing July 5, 2015 | $ | 18,675,920 | ||||||
American Safety Razor Co. | ||||||||||
3,254 | Term Loan, 6.75%, Maturing July 31, 2013 | 3,020,403 | ||||||||
Bausch & Lomb, Inc. | ||||||||||
2,368 | Term Loan, 3.54%, Maturing April 30, 2015 | 2,322,599 | ||||||||
11,762 | Term Loan, 3.54%, Maturing April 30, 2015 | 11,538,926 | ||||||||
Prestige Brands, Inc. | ||||||||||
5,675 | Term Loan, 4.75%, Maturing March 17, 2016 | 5,731,750 | ||||||||
$ | 41,289,598 | |||||||||
Drugs — 0.5% | ||||||||||
Graceway Pharmaceuticals, LLC | ||||||||||
13,633 | Term Loan, 3.02%, Maturing May 3, 2012 | $ | 11,633,648 | |||||||
Pharmaceutical Holdings Corp. | ||||||||||
1,123 | Term Loan, 3.53%, Maturing January 30, 2012 | 1,106,209 | ||||||||
Warner Chilcott Corp. | ||||||||||
4,448 | Term Loan, 5.50%, Maturing October 30, 2014 | 4,459,346 | ||||||||
2,557 | Term Loan, 5.75%, Maturing April 30, 2015 | 2,564,905 | ||||||||
4,140 | Term Loan, 5.75%, Maturing April 30, 2015 | 4,150,827 | ||||||||
4,258 | Term Loan, 5.75%, Maturing April 30, 2015 | 4,271,031 | ||||||||
$ | 28,185,966 | |||||||||
20
Floating Rate Portfolio as of April 30, 2010
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Ecological Services and Equipment — 0.7% | ||||||||||
BakerCorp., Inc. | ||||||||||
1,995 | Term Loan, 4.78%, Maturing May 8, 2014 | $ | 1,905,589 | |||||||
Big Dumpster Merger Sub, Inc. | ||||||||||
1,614 | Term Loan, 2.53%, Maturing February 5, 2013 | 1,290,890 | ||||||||
Blue Waste B.V. (AVR Acquisition) | ||||||||||
EUR | 2,000 | Term Loan, 2.66%, Maturing April 1, 2015 | 2,526,426 | |||||||
Environmental Systems Products Holdings, Inc. | ||||||||||
382 | Term Loan - Second Lien, 13.50%, Maturing December 12, 2010 | 371,954 | ||||||||
IESI Corp. | ||||||||||
2,000 | Term Loan, 2.02%, Maturing January 20, 2012 | 1,997,500 | ||||||||
Kemble Water Structure, Ltd. | ||||||||||
GBP | 14,400 | Term Loan - Second Lien, 4.88%, Maturing October 13, 2013 | 19,801,919 | |||||||
Sensus Metering Systems, Inc. | ||||||||||
7,354 | Term Loan, 7.00%, Maturing June 3, 2013 | 7,362,847 | ||||||||
Wastequip, Inc. | ||||||||||
679 | Term Loan, 2.53%, Maturing February 5, 2013 | 543,533 | ||||||||
$ | 35,800,658 | |||||||||
Electronics / Electrical — 3.3% | ||||||||||
Aspect Software, Inc. | ||||||||||
9,761 | Term Loan, 3.31%, Maturing July 11, 2011 | $ | 9,723,260 | |||||||
Baldor Electric Co. | ||||||||||
866 | Term Loan, 5.25%, Maturing January 31, 2014 | 872,322 | ||||||||
Christie/Aix, Inc. | ||||||||||
5,500 | Term Loan, Maturing April 22, 2016(4) | 5,513,750 | ||||||||
Fairchild Semiconductor Corp. | ||||||||||
10,751 | Term Loan, 1.81%, Maturing June 26, 2013 | 10,616,148 | ||||||||
FCI International S.A.S. | ||||||||||
552 | Term Loan, 3.67%, Maturing November 1, 2013 | 524,148 | ||||||||
573 | Term Loan, 3.67%, Maturing November 1, 2013 | 544,443 | ||||||||
573 | Term Loan, 3.67%, Maturing November 1, 2013 | 544,444 | ||||||||
750 | Term Loan, 3.67%, Maturing November 1, 2013 | 712,394 | ||||||||
552 | Term Loan, 3.67%, Maturing November 1, 2013 | 524,148 | ||||||||
Freescale Semiconductor, Inc. | ||||||||||
23,967 | Term Loan, 4.50%, Maturing December 1, 2016 | 23,076,910 | ||||||||
Infor Enterprise Solutions Holdings | ||||||||||
19,224 | Term Loan, 6.03%, Maturing December 1, 2013 | 18,671,061 | ||||||||
EUR | 2,902 | Term Loan, 5.37%, Maturing July 28, 2015 | 3,671,306 | |||||||
7,136 | Term Loan, 6.03%, Maturing July 28, 2015 | 6,921,847 | ||||||||
Network Solutions, LLC | ||||||||||
9,650 | Term Loan, 2.55%, Maturing March 7, 2014 | 9,228,129 | ||||||||
Open Solutions, Inc. | ||||||||||
10,080 | Term Loan, 2.45%, Maturing January 23, 2014 | 9,110,178 | ||||||||
Sensata Technologies Finance Co. | ||||||||||
22,876 | Term Loan, 2.08%, Maturing April 27, 2013 | 22,127,480 | ||||||||
Spansion, LLC | ||||||||||
6,900 | Term Loan, 7.75%, Maturing January 8, 2015 | 6,994,875 | ||||||||
Spectrum Brands, Inc. | ||||||||||
1,422 | Term Loan, 8.00%, Maturing March 30, 2013 | 1,421,978 | ||||||||
28,808 | Term Loan, 8.00%, Maturing March 30, 2013 | 28,815,134 | ||||||||
SS&C Technologies, Inc. | ||||||||||
3,012 | Term Loan, 2.29%, Maturing November 23, 2012 | 2,989,222 | ||||||||
VeriFone, Inc. | ||||||||||
1,840 | Term Loan, 3.03%, Maturing October 31, 2013 | 1,812,016 | ||||||||
Vertafore, Inc. | ||||||||||
14,685 | Term Loan, 5.50%, Maturing July 31, 2014 | 14,280,848 | ||||||||
1,961 | Term Loan, 7.50%, Maturing July 31, 2014 | 1,951,058 | ||||||||
$ | 180,647,099 | |||||||||
Equipment Leasing — 0.1% | ||||||||||
AWAS Capital, Inc. | ||||||||||
6,903 | Term Loan, 2.06%, Maturing March 22, 2013 | $ | 6,512,221 | |||||||
Hertz Corp. | ||||||||||
8 | Term Loan, 2.01%, Maturing December 21, 2012 | 7,795 | ||||||||
835 | Term Loan, 2.02%, Maturing December 21, 2012 | 826,011 | ||||||||
$ | 7,346,027 | |||||||||
Farming / Agriculture — 0.6% | ||||||||||
CF Industries, Inc. | ||||||||||
17,125 | Term Loan, 5.75%, Maturing April 16, 2015 | $ | 17,257,719 | |||||||
Wm. Bolthouse Farms, Inc. | ||||||||||
13,500 | Term Loan, 5.50%, Maturing January 25, 2016 | 13,605,475 | ||||||||
$ | 30,863,194 | |||||||||
Financial Intermediaries — 1.9% | ||||||||||
Asset Acceptance Capital Corp. | ||||||||||
2,239 | Term Loan, 3.78%, Maturing June 5, 2013 | $ | 2,160,798 | |||||||
Citco III, Ltd. | ||||||||||
20,290 | Term Loan, 4.43%, Maturing June 30, 2014 | 19,681,169 | ||||||||
E.A. Viner International Co. | ||||||||||
384 | Term Loan, 4.80%, Maturing July 31, 2013 | 368,679 | ||||||||
First Data Corp. | ||||||||||
5,980 | Term Loan, 3.01%, Maturing September 24, 2014 | 5,390,937 | ||||||||
3,487 | Term Loan, 3.03%, Maturing September 24, 2014 | 3,139,816 | ||||||||
3,980 | Term Loan, 3.03%, Maturing September 24, 2014 | 3,582,074 | ||||||||
Grosvenor Capital Management | ||||||||||
5,499 | Term Loan, 2.25%, Maturing December 5, 2013 | 5,059,517 |
21
Floating Rate Portfolio as of April 30, 2010
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Financial Intermediaries (continued) | ||||||||||
Jupiter Asset Management Group | ||||||||||
GBP | 3,644 | Term Loan, 2.71%, Maturing June 30, 2015 | $ | 5,324,060 | ||||||
Lender Processing Services, Inc. | ||||||||||
5,015 | Term Loan, 2.77%, Maturing July 2, 2014 | 5,035,541 | ||||||||
LPL Holdings, Inc. | ||||||||||
32,351 | Term Loan, 2.04%, Maturing December 18, 2014 | 31,562,039 | ||||||||
Nuveen Investments, Inc. | ||||||||||
15,477 | Term Loan, 3.32%, Maturing November 2, 2014 | 14,192,886 | ||||||||
Oxford Acquisition III, Ltd. | ||||||||||
7,203 | Term Loan, 2.31%, Maturing May 24, 2014 | 6,717,057 | ||||||||
RJO Holdings Corp. (RJ O’Brien) | ||||||||||
4,044 | Term Loan, 5.26%, Maturing July 31, 2014(2) | 2,736,260 | ||||||||
$ | 104,950,833 | |||||||||
Food Products — 2.1% | ||||||||||
Acosta, Inc. | ||||||||||
16,825 | Term Loan, 2.53%, Maturing July 28, 2013 | $ | 16,628,931 | |||||||
American Seafoods Group, LLC | ||||||||||
537 | Term Loan, 4.02%, Maturing September 30, 2011 | 488,339 | ||||||||
2,217 | Term Loan, 4.02%, Maturing September 30, 2012 | 2,208,357 | ||||||||
B&G Foods, Inc. | ||||||||||
1,500 | Term Loan, 2.26%, Maturing February 23, 2013 | 1,499,375 | ||||||||
BL Marketing, Ltd. | ||||||||||
GBP | 3,500 | Term Loan, 2.67%, Maturing December 31, 2013 | 5,151,682 | |||||||
GBP | 2,500 | Term Loan - Second Lien, 5.26%, Maturing June 30, 2015 | 3,633,871 | |||||||
Dean Foods Co. | ||||||||||
26,395 | Term Loan, 1.68%, Maturing April 2, 2014 | 25,883,315 | ||||||||
Dole Food Company, Inc. | ||||||||||
2,513 | Term Loan, 7.88%, Maturing April 12, 2013 | 2,543,629 | ||||||||
6,662 | Term Loan, 5.01%, Maturing March 2, 2017 | 6,742,242 | ||||||||
2,682 | Term Loan, 5.04%, Maturing March 2, 2017 | 2,714,541 | ||||||||
Mafco Worldwide Corp. | ||||||||||
1,020 | Term Loan, 2.26%, Maturing December 8, 2011 | 983,933 | ||||||||
Pinnacle Foods Finance, LLC | ||||||||||
4,000 | Revolving Loan, 0.85%, Maturing April 2, 2013(3) | 3,660,000 | ||||||||
35,672 | Term Loan, 3.00%, Maturing April 2, 2014 | 34,814,848 | ||||||||
6,325 | Term Loan, 7.50%, Maturing April 2, 2014 | 6,383,310 | ||||||||
United Biscuits | ||||||||||
GBP | 1,500 | Term Loan - Second Lien, 4.85%, Maturing June 30, 2016 | 2,140,159 | |||||||
$ | 115,476,532 | |||||||||
Food Service — 2.7% | ||||||||||
AFC Enterprises, Inc. | ||||||||||
1,369 | Term Loan, 7.00%, Maturing May 11, 2011 | $ | 1,382,244 | |||||||
Aramark Corp. | ||||||||||
968 | Term Loan, 2.17%, Maturing January 26, 2014 | 909,450 | ||||||||
21,361 | Term Loan, 2.17%, Maturing January 27, 2014 | 21,020,937 | ||||||||
2,104 | Term Loan, 2.17%, Maturing January 27, 2014 | 2,070,148 | ||||||||
38,112 | Term Loan, 3.54%, Maturing July 26, 2016 | 37,942,830 | ||||||||
2,506 | Term Loan, 3.54%, Maturing July 26, 2016 | 2,495,309 | ||||||||
Buffets, Inc. | ||||||||||
1,026 | Term Loan, 7.44%, Maturing November 1, 2013 | 1,000,244 | ||||||||
9,225 | Term Loan, Maturing April 21, 2015(4) | 9,118,341 | ||||||||
77 | Term Loan, 7.39%, Maturing April 22, 2015 | 75,406 | ||||||||
CBRL Group, Inc. | ||||||||||
368 | Term Loan, 1.75%, Maturing April 27, 2013 | 365,777 | ||||||||
3,825 | Term Loan, 1.75%, Maturing April 27, 2013 | 3,803,938 | ||||||||
222 | Term Loan, 2.75%, Maturing April 27, 2016 | 222,272 | ||||||||
2,312 | Term Loan, 2.75%, Maturing April 27, 2016 | 2,311,549 | ||||||||
JRD Holdings, Inc. | ||||||||||
3,459 | Term Loan, 2.51%, Maturing June 26, 2014 | 3,391,080 | ||||||||
Maine Beverage Co., LLC | ||||||||||
1,630 | Term Loan, 2.04%, Maturing June 30, 2010 | 1,540,687 | ||||||||
OSI Restaurant Partners, LLC | ||||||||||
1,783 | Term Loan, 2.54%, Maturing May 9, 2013 | 1,620,079 | ||||||||
19,341 | Term Loan, 2.63%, Maturing May 9, 2014 | 17,570,784 | ||||||||
QCE Finance, LLC | ||||||||||
9,640 | Term Loan, 5.06%, Maturing May 5, 2013 | 8,873,729 | ||||||||
Sagittarius Restaurants, LLC | ||||||||||
8,970 | Term Loan, 9.50%, Maturing March 29, 2013 | 8,992,534 | ||||||||
Selecta | ||||||||||
CHF | 18,405 | Term Loan, 3.22%, Maturing June 28, 2015 | 14,679,636 | |||||||
SSP Financing, Ltd. | ||||||||||
2,834 | Term Loan, 1.00%, Maturing December 17, 2016 | 1,296,661 | ||||||||
5,115 | Term Loan, 1.26%, Maturing December 17, 2016 | 3,874,936 | ||||||||
$ | 144,558,571 | |||||||||
Food / Drug Retailers — 2.8% | ||||||||||
General Nutrition Centers, Inc. | ||||||||||
34,913 | Term Loan, 2.54%, Maturing September 16, 2013 | $ | 34,004,913 | |||||||
Pantry, Inc. (The) | ||||||||||
61 | Term Loan, 2.03%, Maturing May 15, 2014 | 59,153 | ||||||||
6,672 | Term Loan, 2.03%, Maturing May 15, 2014 | 6,427,514 | ||||||||
Rite Aid Corp. | ||||||||||
43,942 | Term Loan, 2.01%, Maturing June 1, 2014 | 40,779,510 | ||||||||
13,881 | Term Loan, 6.00%, Maturing June 4, 2014 | 13,737,548 | ||||||||
14,500 | Term Loan, 9.50%, Maturing June 4, 2014 | 15,164,579 |
22
Floating Rate Portfolio as of April 30, 2010
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Food / Drug Retailers (continued) | ||||||||||
Roundy’s Supermarkets, Inc. | ||||||||||
34,530 | Term Loan, 6.23%, Maturing November 3, 2013 | $ | 34,853,399 | |||||||
2,500 | Term Loan - Second Lien, Maturing April 14, 2016(4) | 2,546,875 | ||||||||
Supervalu, Inc. | ||||||||||
482 | Term Loan, 1.52%, Maturing June 1, 2012 | 475,573 | ||||||||
853 | Term Loan, 3.02%, Maturing October 5, 2015 | 851,040 | ||||||||
$ | 148,900,104 | |||||||||
Forest Products — 1.0% | ||||||||||
Georgia-Pacific Corp. | ||||||||||
5,450 | Term Loan, 2.33%, Maturing December 20, 2012 | $ | 5,425,734 | |||||||
40,058 | Term Loan, 2.27%, Maturing December 24, 2012 | 39,882,934 | ||||||||
10,469 | Term Loan, 3.53%, Maturing December 23, 2014 | 10,505,658 | ||||||||
$ | 55,814,326 | |||||||||
Health Care — 10.7% | ||||||||||
1-800 Contacts, Inc. | ||||||||||
5,957 | Term Loan, 7.70%, Maturing March 4, 2015 | $ | 5,942,381 | |||||||
Alliance Healthcare Services | ||||||||||
8,882 | Term Loan, 5.50%, Maturing June 1, 2016 | 8,888,898 | ||||||||
American Medical Systems | ||||||||||
2,140 | Term Loan, 2.50%, Maturing July 20, 2012 | 2,108,011 | ||||||||
AMR Holdco, Inc. | ||||||||||
5,000 | Term Loan, 3.25%, Maturing April 8, 2015 | 5,026,565 | ||||||||
Ardent Medical Services, Inc. | ||||||||||
7,625 | Term Loan, 6.50%, Maturing September 9, 2015 | 7,546,844 | ||||||||
Aveta, Inc. | ||||||||||
8,900 | Term Loan, 7.50%, Maturing April 14, 2015 | 8,766,500 | ||||||||
Biomet, Inc. | ||||||||||
29,745 | Term Loan, 3.28%, Maturing December 26, 2014 | 29,381,743 | ||||||||
EUR | 2,900 | Term Loan, 3.50%, Maturing December 26, 2014 | 3,788,015 | |||||||
Cardinal Health 409, Inc. | ||||||||||
15,480 | Term Loan, 2.51%, Maturing January 30, 2012 | 14,764,298 | ||||||||
Carestream Health, Inc. | ||||||||||
16,389 | Term Loan, 2.27%, Maturing April 30, 2013 | 15,981,916 | ||||||||
Carl Zeiss Vision Holding GmbH | ||||||||||
EUR | 8,371 | Term Loan, 2.91%, Maturing March 23, 2015 | 9,390,198 | |||||||
Community Health Systems, Inc. | ||||||||||
2,724 | Term Loan, 2.50%, Maturing July 25, 2014 | 2,652,122 | ||||||||
72,117 | Term Loan, 2.50%, Maturing July 25, 2014 | 70,201,611 | ||||||||
Concentra, Inc. | ||||||||||
6,643 | Term Loan, 2.55%, Maturing June 25, 2014 | 6,407,291 | ||||||||
Convatec Cidron | ||||||||||
EUR | 2,000 | Term Loan, 3.90%, Maturing July 30, 2016 | 2,634,790 | |||||||
CRC Health Corp. | ||||||||||
1,838 | Term Loan, 2.54%, Maturing February 6, 2013 | 1,756,579 | ||||||||
3,705 | Term Loan, 2.54%, Maturing February 6, 2013 | 3,540,533 | ||||||||
Dako EQT Project Delphi | ||||||||||
1,568 | Term Loan, 2.41%, Maturing June 12, 2016 | 1,400,689 | ||||||||
EUR | 3,099 | Term Loan, 2.77%, Maturing June 12, 2016 | 3,684,625 | |||||||
DaVita, Inc. | ||||||||||
16,810 | Term Loan, 1.77%, Maturing October 5, 2012 | 16,655,740 | ||||||||
DJO Finance, LLC | ||||||||||
4,459 | Term Loan, 3.27%, Maturing May 15, 2014 | 4,348,951 | ||||||||
Fenwal, Inc. | ||||||||||
507 | Term Loan, 2.50%, Maturing February 28, 2014 | 450,361 | ||||||||
2,961 | Term Loan, 2.50%, Maturing February 28, 2014 | 2,627,671 | ||||||||
Fresenius Medical Care Holdings | ||||||||||
7,838 | Term Loan, 1.66%, Maturing March 31, 2013 | 7,734,954 | ||||||||
Fresenius SE | ||||||||||
364 | Term Loan, 4.50%, Maturing September 10, 2014 | 367,985 | ||||||||
636 | Term Loan, 4.50%, Maturing September 10, 2014 | 644,203 | ||||||||
Hanger Orthopedic Group, Inc. | ||||||||||
3,285 | Term Loan, 2.27%, Maturing May 30, 2013 | 3,245,144 | ||||||||
Harvard Drug Group, LLC | ||||||||||
363 | Term Loan, Maturing April 8, 2016(4) | 363,317 | ||||||||
2,637 | Term Loan, Maturing April 8, 2016(4) | 2,642,308 | ||||||||
HCA, Inc. | ||||||||||
18,668 | Term Loan, 2.54%, Maturing November 18, 2013 | 18,190,472 | ||||||||
44,769 | Term Loan, 3.54%, Maturing March 31, 2017 | 44,535,589 | ||||||||
Health Management Association, Inc. | ||||||||||
42,320 | Term Loan, 2.04%, Maturing February 28, 2014 | 41,061,361 | ||||||||
HealthSouth Corp. | ||||||||||
3,500 | Term Loan, 2.50%, Maturing March 10, 2013 | 3,255,000 | ||||||||
3,584 | Term Loan, 2.51%, Maturing March 10, 2013 | 3,528,398 | ||||||||
2,950 | Term Loan, 4.01%, Maturing September 10, 2015 | 2,952,577 | ||||||||
Iasis Healthcare, LLC | ||||||||||
30 | Term Loan, 2.25%, Maturing March 14, 2014 | 29,005 | ||||||||
110 | Term Loan, 2.27%, Maturing March 14, 2014 | 106,866 | ||||||||
317 | Term Loan, 2.27%, Maturing March 14, 2014 | 308,782 | ||||||||
Ikaria Acquisition, Inc. | ||||||||||
4,390 | Term Loan, 2.52%, Maturing March 28, 2013 | 4,340,789 | ||||||||
IM U.S. Holdings, LLC | ||||||||||
9,260 | Term Loan, 2.27%, Maturing June 26, 2014 | 9,113,879 | ||||||||
IMS Health, Inc. | ||||||||||
EUR | 1,980 | Term Loan, 5.50%, Maturing February 17, 2016 | 2,648,965 | |||||||
8,169 | Term Loan, 5.25%, Maturing February 26, 2016 | 8,232,793 | ||||||||
inVentiv Health, Inc. | ||||||||||
7,373 | Term Loan, 2.05%, Maturing July 6, 2014 | 7,013,245 |
23
Floating Rate Portfolio as of April 30, 2010
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Health Care (continued) | ||||||||||
Lifepoint Hospitals, Inc. | ||||||||||
15,498 | Term Loan, 3.01%, Maturing April 15, 2015 | $ | 15,457,174 | |||||||
MultiPlan Merger Corp. | ||||||||||
5,666 | Term Loan, 3.56%, Maturing April 12, 2013 | 5,581,299 | ||||||||
6,577 | Term Loan, 3.56%, Maturing April 12, 2013 | 6,478,557 | ||||||||
5,350 | Term Loan, 6.00%, Maturing June 30, 2013 | 5,365,050 | ||||||||
Mylan, Inc. | ||||||||||
19,566 | Term Loan, 3.56%, Maturing October 2, 2014 | 19,572,710 | ||||||||
National Mentor Holdings, Inc. | ||||||||||
537 | Term Loan, 2.30%, Maturing June 29, 2013 | 495,926 | ||||||||
8,731 | Term Loan, 2.30%, Maturing June 29, 2013 | 8,061,600 | ||||||||
Nyco Holdings | ||||||||||
9,483 | Term Loan, 2.54%, Maturing December 29, 2014 | 8,917,639 | ||||||||
EUR | 5,961 | Term Loan, 2.89%, Maturing December 29, 2014 | 7,505,797 | |||||||
9,483 | Term Loan, 3.29%, Maturing December 29, 2015 | 8,917,639 | ||||||||
EUR | 5,961 | Term Loan, 3.64%, Maturing December 29, 2015 | 7,505,797 | |||||||
Prime Healthcare Services, Inc. | ||||||||||
17,125 | Term Loan, Maturing April 22, 2015(4) | 16,782,500 | ||||||||
Psychiatric Solutions, Inc. | ||||||||||
942 | Term Loan, 2.09%, Maturing May 31, 2014 | 934,202 | ||||||||
RadNet Management, Inc. | ||||||||||
14,150 | Term Loan, 5.75%, Maturing April 6, 2016 | 14,164,744 | ||||||||
ReAble Therapeutics Finance, LLC | ||||||||||
8,829 | Term Loan, 2.30%, Maturing November 16, 2013 | 8,671,893 | ||||||||
RehabCare Group, Inc. | ||||||||||
5,187 | Term Loan, 6.00%, Maturing November 20, 2015 | 5,219,419 | ||||||||
Select Medical Holdings Corp. | ||||||||||
1,000 | Revolving Loan, 0.50%, Maturing February 24, 2011(3) | 930,000 | ||||||||
3,824 | Term Loan, 4.00%, Maturing August 5, 2014 | 3,761,701 | ||||||||
10,402 | Term Loan, 4.00%, Maturing August 5, 2014 | 10,233,405 | ||||||||
Sunrise Medical Holdings, Inc. | ||||||||||
EUR | 2,488 | Term Loan, 8.00%, Maturing May 13, 2014 | 3,313,005 | |||||||
TZ Merger Sub., Inc. (TriZetto) | ||||||||||
4,818 | Term Loan, 7.50%, Maturing July 24, 2015 | 4,858,490 | ||||||||
Vanguard Health Holding Co., LLC | ||||||||||
9,800 | Term Loan, 5.00%, Maturing January 29, 2016 | 9,851,038 | ||||||||
VWR International, Inc. | ||||||||||
16,346 | Term Loan, 2.77%, Maturing June 28, 2013 | 15,616,999 | ||||||||
$ | 576,458,548 | |||||||||
Home Furnishings — 0.8% | ||||||||||
Dometic Corp. | ||||||||||
914 | Term Loan, 1.00%, Maturing December 31, 2014 | $ | 832,003 | |||||||
2,057 | Term Loan, 1.00%, Maturing December 31, 2014 | 1,738,292 | ||||||||
1,048 | Term Loan, 3.38%, Maturing December 31, 2014(2) | 550,201 | ||||||||
Hunter Fan Co. | ||||||||||
3,580 | Term Loan, 2.76%, Maturing April 16, 2014 | 3,263,521 | ||||||||
Interline Brands, Inc. | ||||||||||
1,376 | Term Loan, 2.01%, Maturing June 23, 2013 | 1,300,150 | ||||||||
6,416 | Term Loan, 2.04%, Maturing June 23, 2013 | 6,063,226 | ||||||||
National Bedding Co., LLC | ||||||||||
25,060 | Term Loan, 2.00%, Maturing August 31, 2011 | 24,417,747 | ||||||||
1,500 | Term Loan - Second Lien, 5.31%, Maturing August 31, 2012 | 1,395,000 | ||||||||
Oreck Corp. | ||||||||||
797 | Term Loan, 3.80%, Maturing March 19, 2016(6) | 797,470 | ||||||||
Sanitec Europe OY | ||||||||||
EUR | 3,470 | Term Loan, 2.50%, Maturing June 25, 2016 | 3,688,734 | |||||||
$ | 44,046,344 | |||||||||
Industrial Equipment — 2.5% | ||||||||||
Baxi Group, Ltd. | ||||||||||
EUR | 3,254 | Revolving Loan, 0.00%, Maturing December 27, 2010(3) | $ | 3,931,291 | ||||||
GBP | 881 | Term Loan, 3.10%, Maturing December 27, 2010 | 1,306,584 | |||||||
EUR | 500 | Term Loan, 3.50%, Maturing June 13, 2011 | 645,516 | |||||||
EUR | 500 | Term Loan, 4.50%, Maturing June 13, 2012 | 645,515 | |||||||
Brand Energy and Infrastructure Services, Inc. | ||||||||||
9,368 | Term Loan, 2.56%, Maturing February 7, 2014 | 9,086,883 | ||||||||
Bucyrus International, Inc. | ||||||||||
10,635 | Term Loan, 4.50%, Maturing February 19, 2016 | 10,720,420 | ||||||||
CEVA Group PLC U.S. | ||||||||||
2,053 | Term Loan, 3.26%, Maturing January 4, 2014 | 1,867,864 | ||||||||
40 | Term Loan, 3.29%, Maturing January 4, 2014 | 36,164 | ||||||||
EUR | 636 | Term Loan, 3.40%, Maturing January 4, 2014 | 770,997 | |||||||
EUR | 1,081 | Term Loan, 3.40%, Maturing January 4, 2014 | 1,309,241 | |||||||
EUR | 1,328 | Term Loan, 3.40%, Maturing January 4, 2014 | 1,609,065 | |||||||
EUR | 1,136 | Term Loan, 3.58%, Maturing January 4, 2014 | 1,376,142 | |||||||
EPD Holdings, (Goodyear Engineering Products) | ||||||||||
2,349 | Term Loan, 2.76%, Maturing July 13, 2014 | 2,109,825 | ||||||||
12,864 | Term Loan, 2.76%, Maturing July 13, 2014 | 11,555,972 | ||||||||
2,000 | Term Loan - Second Lien, 6.01%, Maturing July 13, 2015 | 1,691,666 | ||||||||
Flowserve Corp. | ||||||||||
4,582 | Term Loan, 1.81%, Maturing August 10, 2012 | 4,574,650 | ||||||||
Generac Acquisition Corp. | ||||||||||
8,802 | Term Loan, 2.79%, Maturing November 7, 2013 | 8,325,832 | ||||||||
Gleason Corp. | ||||||||||
3,459 | Term Loan, 2.02%, Maturing June 30, 2013 | 3,406,911 | ||||||||
Itron, Inc. | ||||||||||
633 | Term Loan, 3.78%, Maturing April 18, 2014 | 633,279 |
24
Floating Rate Portfolio as of April 30, 2010
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Industrial Equipment (continued) | ||||||||||
Jason, Inc. | ||||||||||
1,731 | Term Loan, 7.00%, Maturing July 30, 2010 | $ | 1,298,456 | |||||||
John Maneely Co. | ||||||||||
19,044 | Term Loan, 3.55%, Maturing December 8, 2013 | 18,356,719 | ||||||||
KION Group GmbH | ||||||||||
8,787 | Term Loan, 3.99%, Maturing December 23, 2014(2) | 7,284,181 | ||||||||
EUR | 523 | Term Loan, 4.15%, Maturing December 23, 2014(2) | 586,987 | |||||||
8,787 | Term Loan, 2.77%, Maturing December 23, 2015(2) | 7,284,181 | ||||||||
EUR | 483 | Term Loan, 4.40%, Maturing December 23, 2015(2) | 542,888 | |||||||
Polypore, Inc. | ||||||||||
2,000 | Revolving Loan, 0.68%, Maturing July 3, 2013(3) | 1,820,000 | ||||||||
22,741 | Term Loan, 2.53%, Maturing July 3, 2014 | 22,229,129 | ||||||||
EUR | 1,084 | Term Loan, 2.62%, Maturing July 3, 2014 | 1,370,934 | |||||||
Sequa Corp. | ||||||||||
1,990 | Term Loan, 3.55%, Maturing December 3, 2014 | 1,855,170 | ||||||||
TFS Acquisition Corp. | ||||||||||
4,491 | Term Loan, 14.00%, Maturing August 11, 2013(2) | 4,367,163 | ||||||||
$ | 132,599,625 | |||||||||
Insurance — 1.9% | ||||||||||
Alliant Holdings I, Inc. | ||||||||||
20,279 | Term Loan, 3.29%, Maturing August 21, 2014 | $ | 19,442,463 | |||||||
AmWINS Group, Inc. | ||||||||||
6,585 | Term Loan, 2.77%, Maturing June 8, 2013 | 6,178,778 | ||||||||
Applied Systems, Inc. | ||||||||||
11,529 | Term Loan, 2.77%, Maturing September 26, 2013 | 11,068,095 | ||||||||
CCC Information Services Group, Inc. | ||||||||||
7,240 | Term Loan, 2.53%, Maturing February 10, 2013 | 7,117,915 | ||||||||
Conseco, Inc. | ||||||||||
22,278 | Term Loan, 7.50%, Maturing October 10, 2013 | 21,748,947 | ||||||||
Crump Group, Inc. | ||||||||||
3,577 | Term Loan, 3.28%, Maturing August 4, 2014 | 3,386,937 | ||||||||
Hub International Holdings, Inc. | ||||||||||
1,627 | Term Loan, 2.79%, Maturing June 13, 2014 | 1,543,419 | ||||||||
11,590 | Term Loan, 2.79%, Maturing June 13, 2014 | 10,993,456 | ||||||||
3,507 | Term Loan, 6.75%, Maturing June 30, 2014 | 3,513,951 | ||||||||
U.S.I. Holdings Corp. | ||||||||||
18,596 | Term Loan, 3.05%, Maturing May 4, 2014 | 17,363,724 | ||||||||
1,990 | Term Loan, 7.00%, Maturing May 4, 2014 | 1,948,210 | ||||||||
$ | 104,305,895 | |||||||||
Leisure Goods / Activities / Movies — 4.4% | ||||||||||
24 Hour Fitness Worldwide, Inc. | ||||||||||
4,000 | Term Loan, Maturing December 30, 2015(4) | $ | 3,920,000 | |||||||
AMC Entertainment, Inc. | ||||||||||
20,263 | Term Loan, 2.01%, Maturing January 26, 2013 | 19,821,064 | ||||||||
AMF Bowling Worldwide, Inc. | ||||||||||
2,799 | Term Loan, 2.75%, Maturing June 8, 2013 | 2,512,206 | ||||||||
Bombardier Recreational Products | ||||||||||
21,998 | Term Loan, 3.25%, Maturing June 28, 2013 | 19,531,963 | ||||||||
Carmike Cinemas, Inc. | ||||||||||
15,054 | Term Loan, 5.50%, Maturing January 27, 2016 | 15,071,758 | ||||||||
Cedar Fair, L.P. | ||||||||||
2,200 | Term Loan, 2.27%, Maturing August 31, 2011 | 2,186,101 | ||||||||
2,265 | Term Loan, 2.27%, Maturing August 30, 2012 | 2,251,060 | ||||||||
7,408 | Term Loan, 4.27%, Maturing February 17, 2014 | 7,408,168 | ||||||||
3,753 | Term Loan, 4.29%, Maturing February 17, 2014 | 3,725,016 | ||||||||
CFV I, LLC/Hicks Sports Group | ||||||||||
438 | Term Loan, 9.33%, Maturing July 1, 2010(2)(3) | 449,146 | ||||||||
Cinemark, Inc. | ||||||||||
23,975 | Term Loan, 3.54%, Maturing April 29, 2016 | 24,008,052 | ||||||||
Dave & Buster’s, Inc. | ||||||||||
815 | Term Loan, 2.58%, Maturing March 8, 2013 | 809,340 | ||||||||
2,044 | Term Loan, 2.58%, Maturing March 8, 2013 | 2,028,897 | ||||||||
Deluxe Entertainment Services | ||||||||||
271 | Term Loan, 2.54%, Maturing January 28, 2011 | 249,719 | ||||||||
458 | Term Loan, 6.25%, Maturing January 28, 2011 | 421,017 | ||||||||
4,291 | Term Loan, 6.25%, Maturing January 28, 2011 | 3,947,805 | ||||||||
Fender Musical Instruments Corp. | ||||||||||
1,290 | Term Loan, 2.50%, Maturing June 9, 2014 | 1,148,397 | ||||||||
4,499 | Term Loan, 2.55%, Maturing June 9, 2014 | 4,004,467 | ||||||||
Metro-Goldwyn-Mayer Holdings, Inc. | ||||||||||
22,904 | Term Loan, 0.00%, Maturing April 8, 2012(7) | 10,636,079 | ||||||||
National CineMedia, LLC | ||||||||||
14,250 | Term Loan, 2.01%, Maturing February 13, 2015 | 13,925,813 | ||||||||
Odeon | ||||||||||
GBP | 624 | Term Loan, 4.39%, Maturing April 2, 2015 | 921,858 | |||||||
GBP | 624 | Term Loan, 3.52%, Maturing April 2, 2016 | 921,858 | |||||||
Regal Cinemas Corp. | ||||||||||
20,485 | Term Loan, 3.79%, Maturing November 10, 2010 | 20,526,841 | ||||||||
Revolution Studios Distribution Co., LLC | ||||||||||
5,521 | Term Loan, 4.03%, Maturing December 21, 2014 | 5,079,123 | ||||||||
Six Flags Theme Parks, Inc. | ||||||||||
16,650 | Term Loan, Maturing February 17, 2016(4) | 16,483,500 | ||||||||
Southwest Sports Group, LLC | ||||||||||
9,500 | Term Loan, 6.75%, Maturing December 22, 2010 | 8,573,750 | ||||||||
Sram, LLC | ||||||||||
4,000 | Term Loan, Maturing April 30, 2015(4) | 3,960,000 | ||||||||
SW Acquisition Co., Inc. | ||||||||||
14,115 | Term Loan, 5.75%, Maturing May 31, 2016 | 14,229,306 |
25
Floating Rate Portfolio as of April 30, 2010
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Leisure Goods / Activities / Movies (continued) | ||||||||||
Universal City Development Partners, Ltd. | ||||||||||
16,860 | Term Loan, Maturing November 6, 2014(4) | $ | 16,976,029 | |||||||
Zuffa, LLC | ||||||||||
10,093 | Term Loan, 2.31%, Maturing June 20, 2016 | 9,786,587 | ||||||||
$ | 235,514,920 | |||||||||
Lodging and Casinos — 3.4% | ||||||||||
Ameristar Casinos, Inc. | ||||||||||
1,810 | Term Loan, 3.56%, Maturing November 10, 2012 | $ | 1,809,132 | |||||||
Choctaw Resort Development Enterprise | ||||||||||
2,285 | Term Loan, 7.25%, Maturing November 4, 2011 | 2,273,184 | ||||||||
Full Moon Holdco 3, Ltd. | ||||||||||
GBP | 1,500 | Term Loan, 4.35%, Maturing November 20, 2014 | 2,001,307 | |||||||
GBP | 1,500 | Term Loan, 4.85%, Maturing November 20, 2015 | 2,001,307 | |||||||
Gala Electric Casinos, Ltd. | ||||||||||
GBP | 2,000 | Revolving Loan, Maturing October 26, 2012(4) | 2,982,323 | |||||||
GBP | 9,744 | Term Loan, 3.68%, Maturing December 12, 2013 | 14,098,794 | |||||||
GBP | 9,756 | Term Loan, 4.17%, Maturing December 12, 2014 | 14,116,300 | |||||||
GBP | 1,178 | Term Loan - Second Lien, 6.00%, Maturing April 7, 2015 | 1,672,479 | |||||||
Harrah’s Operating Co. | ||||||||||
3,500 | Term Loan, 3.32%, Maturing February 3, 2014 | 3,084,921 | ||||||||
8,945 | Term Loan, 3.32%, Maturing January 28, 2015 | 7,862,052 | ||||||||
7,051 | Term Loan, 3.32%, Maturing January 28, 2015 | 6,219,677 | ||||||||
9,975 | Term Loan, 9.50%, Maturing October 31, 2016 | 10,376,075 | ||||||||
Herbst Gaming, Inc. | ||||||||||
2,319 | Term Loan, 0.00%, Maturing December 2, 2011(7) | 1,467,611 | ||||||||
6,245 | Term Loan, 0.00%, Maturing December 2, 2011(7) | 3,952,438 | ||||||||
Isle of Capri Casinos, Inc. | ||||||||||
4,212 | Term Loan, 5.00%, Maturing November 30, 2013 | 4,125,604 | ||||||||
7,329 | Term Loan, 5.00%, Maturing November 30, 2013 | 7,178,254 | ||||||||
17,710 | Term Loan, 5.00%, Maturing November 30, 2013 | 17,344,973 | ||||||||
LodgeNet Entertainment Corp. | ||||||||||
11,223 | Term Loan, 2.30%, Maturing April 4, 2014 | 10,774,413 | ||||||||
New World Gaming Partners, Ltd. | ||||||||||
9,600 | Term Loan, 2.80%, Maturing June 30, 2014 | 9,279,852 | ||||||||
949 | Term Loan, 4.79%, Maturing June 30, 2014 | 917,749 | ||||||||
Penn National Gaming, Inc. | ||||||||||
20,983 | Term Loan, 2.02%, Maturing October 3, 2012 | 20,804,195 | ||||||||
Scandic Hotels | ||||||||||
EUR | 1,725 | Term Loan, 3.12%, Maturing April 25, 2015 | 1,825,460 | |||||||
EUR | 1,725 | Term Loan, 3.49%, Maturing April 25, 2016 | 1,825,460 | |||||||
Venetian Casino Resort/Las Vegas Sands, Inc. | ||||||||||
8,849 | Term Loan, 2.05%, Maturing May 14, 2014 | 8,381,714 | ||||||||
22,692 | Term Loan, 2.05%, Maturing May 23, 2014 | 21,493,274 | ||||||||
VML US Finance, LLC | ||||||||||
2,773 | Term Loan, 4.80%, Maturing May 25, 2012 | 2,738,739 | ||||||||
3,658 | Term Loan, 4.80%, Maturing May 25, 2013 | 3,607,460 | ||||||||
$ | 184,214,747 | |||||||||
Nonferrous Metals / Minerals — 0.8% | ||||||||||
Compass Minerals Group, Inc. | ||||||||||
4,911 | Term Loan, 1.79%, Maturing December 22, 2012 | $ | 4,886,613 | |||||||
Euramax International, Inc. | ||||||||||
GBP | 473 | Term Loan, 10.00%, Maturing June 29, 2013 | 638,251 | |||||||
744 | Term Loan, 10.00%, Maturing June 29, 2013 | 656,625 | ||||||||
GBP | 488 | Term Loan, 14.00%, Maturing June 29, 2013(2) | 659,414 | |||||||
762 | Term Loan, 14.00%, Maturing June 29, 2013(2) | 672,632 | ||||||||
Noranda Aluminum Acquisition | ||||||||||
8,610 | Term Loan, 2.27%, Maturing May 18, 2014 | 8,481,179 | ||||||||
Novelis, Inc. | ||||||||||
3,440 | Term Loan, 2.28%, Maturing June 28, 2014 | 3,337,453 | ||||||||
8,318 | Term Loan, 2.29%, Maturing June 28, 2014 | 8,070,662 | ||||||||
Oxbow Carbon and Mineral Holdings | ||||||||||
16,845 | Term Loan, 2.29%, Maturing May 8, 2014 | 16,544,858 | ||||||||
Tube City IMS Corp. | ||||||||||
144 | Term Loan, 2.29%, Maturing January 25, 2014 | 134,316 | ||||||||
1,153 | Term Loan, 2.52%, Maturing January 25, 2014 | 1,074,865 | ||||||||
$ | 45,156,868 | |||||||||
Oil and Gas — 2.4% | ||||||||||
Atlas Pipeline Partners, L.P. | ||||||||||
9,788 | Term Loan, 6.75%, Maturing July 27, 2014 | $ | 9,785,271 | |||||||
Citgo Petroleum Corp. | ||||||||||
10,558 | Term Loan, 5.25%, Maturing November 15, 2012 | 10,525,136 | ||||||||
Dresser, Inc. | ||||||||||
18,509 | Term Loan, 2.50%, Maturing May 4, 2014 | 18,055,263 | ||||||||
Dynegy Holdings, Inc. | ||||||||||
1,960 | Term Loan, 4.03%, Maturing April 2, 2013 | 1,929,881 | ||||||||
37,377 | Term Loan, 4.03%, Maturing April 2, 2013 | 36,795,854 | ||||||||
Enterprise GP Holdings, L.P. | ||||||||||
2,352 | Term Loan, 2.53%, Maturing October 31, 2014 | 2,338,770 | ||||||||
Hercules Offshore, Inc. | ||||||||||
4,913 | Term Loan, 6.00%, Maturing July 11, 2013 | 4,782,546 | ||||||||
IFM (US) Colonial Pipeline 2, LLC | ||||||||||
875 | Term Loan, 2.26%, Maturing February 27, 2012 | 862,294 | ||||||||
Precision Drilling Corp. | ||||||||||
3,511 | Term Loan, 4.26%, Maturing December 23, 2013 | 3,457,956 | ||||||||
7,603 | Term Loan, 9.25%, Maturing September 30, 2014 | 7,659,697 |
26
Floating Rate Portfolio as of April 30, 2010
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Oil and Gas (continued) | ||||||||||
SemGroup Corp. | ||||||||||
8,753 | Term Loan, 7.50%, Maturing June 30, 2011 | $ | 8,730,990 | |||||||
7,068 | Term Loan, 7.60%, Maturing November 27, 2013 | 7,068,043 | ||||||||
Sheridan Production Partners I, LLC | ||||||||||
785 | Term Loan, 7.75%, Maturing April 20, 2017 | 785,270 | ||||||||
1,286 | Term Loan, 7.75%, Maturing April 20, 2017 | 1,285,629 | ||||||||
9,704 | Term Loan, 7.75%, Maturing April 20, 2017 | 9,702,264 | ||||||||
Targa Resources, Inc. | ||||||||||
4,585 | Term Loan, 6.00%, Maturing July 5, 2016 | 4,607,515 | ||||||||
$ | 128,372,379 | |||||||||
Publishing — 5.2% | ||||||||||
American Media Operations, Inc. | ||||||||||
17,508 | Term Loan, 10.00%, Maturing January 31, 2013(2) | $ | 17,004,186 | |||||||
Aster Zweite Beteiligungs GmbH | ||||||||||
7,825 | Term Loan, 2.59%, Maturing September 27, 2013 | 7,335,938 | ||||||||
EUR | 708 | Term Loan, 2.91%, Maturing September 27, 2013 | 893,806 | |||||||
Black Press US Partnership | ||||||||||
1,225 | Term Loan, 2.25%, Maturing August 2, 2013 | 1,090,142 | ||||||||
2,017 | Term Loan, 2.25%, Maturing August 2, 2013 | 1,795,529 | ||||||||
GateHouse Media Operating, Inc. | ||||||||||
4,906 | Term Loan, 2.26%, Maturing August 28, 2014 | 2,428,324 | ||||||||
15,631 | Term Loan, 2.28%, Maturing August 28, 2014 | 7,737,352 | ||||||||
9,330 | Term Loan, 2.51%, Maturing August 28, 2014 | 4,618,516 | ||||||||
Getty Images, Inc. | ||||||||||
9,572 | Term Loan, 6.25%, Maturing July 2, 2015 | 9,606,233 | ||||||||
Hanley-Wood, LLC | ||||||||||
7,331 | Term Loan, 2.53%, Maturing March 8, 2014 | 3,867,234 | ||||||||
Lamar Media Corp. | ||||||||||
6,600 | Term Loan, Maturing October 29, 2016(4) | 6,627,502 | ||||||||
Laureate Education, Inc. | ||||||||||
3,286 | Term Loan, 3.57%, Maturing August 17, 2014 | 3,077,425 | ||||||||
21,951 | Term Loan, 3.57%, Maturing August 17, 2014 | 20,557,184 | ||||||||
2,985 | Term Loan, 7.00%, Maturing August 31, 2014 | 2,984,069 | ||||||||
Local Insight Regatta Holdings, Inc. | ||||||||||
1,624 | Term Loan, 7.75%, Maturing April 23, 2015 | 1,437,275 | ||||||||
MediaNews Group, Inc. | ||||||||||
2,746 | Term Loan, 8.50%, Maturing March 19, 2014 | 2,587,845 | ||||||||
Mediannuaire Holding | ||||||||||
EUR | 4,100 | Term Loan, 2.40%, Maturing October 24, 2013 | 5,024,505 | |||||||
EUR | 1,871 | Term Loan, 2.90%, Maturing October 10, 2014 | 1,988,918 | |||||||
EUR | 1,871 | Term Loan, 3.40%, Maturing October 10, 2015 | 1,988,368 | |||||||
Merrill Communications, LLC | ||||||||||
9,854 | Term Loan, 8.50%, Maturing December 24, 2012 | 9,201,396 | ||||||||
Nelson Education, Ltd. | ||||||||||
293 | Term Loan, 2.79%, Maturing July 5, 2014 | 272,025 | ||||||||
Newspaper Holdings, Inc. | ||||||||||
18,303 | Term Loan, 1.88%, Maturing July 24, 2014 | 10,981,778 | ||||||||
Nielsen Finance, LLC | ||||||||||
45,602 | Term Loan, 2.25%, Maturing August 9, 2013 | 44,554,892 | ||||||||
6,865 | Term Loan, 4.00%, Maturing May 1, 2016 | 6,798,382 | ||||||||
Philadelphia Newspapers, LLC | ||||||||||
2,061 | DIP Term Loan, 12.50%, Maturing March 30, 2011 | 2,109,347 | ||||||||
5,003 | Term Loan, 0.00%, Maturing June 29, 2013(7) | 1,413,246 | ||||||||
SGS International, Inc. | ||||||||||
2,157 | Term Loan, 2.88%, Maturing December 30, 2011 | 2,086,645 | ||||||||
966 | Term Loan, 2.89%, Maturing December 30, 2011 | 934,931 | ||||||||
Source Interlink Companies, Inc. | ||||||||||
1,801 | Term Loan, 7.25%, Maturing June 18, 2012 | 1,809,684 | ||||||||
2,273 | Term Loan, 10.75%, Maturing June 18, 2013 | 2,284,091 | ||||||||
1,287 | Term Loan, 15.00%, Maturing June 18, 2013(2) | 643,373 | ||||||||
Source Media, Inc. | ||||||||||
10,235 | Term Loan, 5.30%, Maturing November 8, 2011 | 10,030,126 | ||||||||
Springer Science+Business Media S.A. | ||||||||||
EUR | 5,000 | Term Loan, 6.75%, Maturing June 30, 2015 | 6,687,759 | |||||||
5,000 | Term Loan, 6.75%, Maturing June 19, 2016 | 5,016,665 | ||||||||
Star Tribune Co. (The) | ||||||||||
1,262 | Term Loan, 8.00%, Maturing September 28, 2014(6) | 1,017,354 | ||||||||
841 | Term Loan, 8.00%, Maturing September 29, 2014(6) | 593,246 | ||||||||
TL Acquisitions, Inc. | ||||||||||
8,337 | Term Loan, 2.79%, Maturing July 5, 2014 | 7,476,224 | ||||||||
Trader Media Corp. | ||||||||||
GBP | 12,137 | Term Loan, 2.68%, Maturing March 23, 2015 | 17,316,263 | |||||||
Tribune Co. | ||||||||||
1,667 | DIP Revolving Loan, 1.50%, Maturing June 4, 2010(3) | 1,650,000 | ||||||||
4,791 | Term Loan, 0.00%, Maturing June 4, 2010(7) | 3,152,983 | ||||||||
8,553 | Term Loan, 0.00%, Maturing May 17, 2014(7) | 5,754,991 | ||||||||
16,425 | Term Loan, 0.00%, Maturing May 17, 2014(7) | 10,922,374 | ||||||||
Xsys, Inc. | ||||||||||
7,834 | Term Loan, 2.59%, Maturing September 27, 2013 | 7,344,002 | ||||||||
EUR | 792 | Term Loan, 2.91%, Maturing September 27, 2013 | 998,517 | |||||||
EUR | 2,750 | Term Loan, 2.91%, Maturing September 27, 2013 | 3,469,259 | |||||||
597 | Term Loan, Maturing September 27, 2013(4) | 559,889 | ||||||||
8,001 | Term Loan, 2.59%, Maturing September 27, 2014 | 7,501,331 | ||||||||
EUR | 2,690 | Term Loan, 2.91%, Maturing September 27, 2014 | 3,393,230 | |||||||
639 | Term Loan, Maturing September 27, 2014(4) | 598,643 | ||||||||
EUR | 1,000 | Term Loan - Second Lien, 4.91%, Maturing September 27, 2015 | 1,214,116 | |||||||
$ | 280,437,113 | |||||||||
27
Floating Rate Portfolio as of April 30, 2010
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Radio and Television — 3.0% | ||||||||||
Block Communications, Inc. | ||||||||||
9,388 | Term Loan, 2.29%, Maturing December 22, 2011 | $ | 8,883,690 | |||||||
CMP Susquehanna Corp. | ||||||||||
3,815 | Revolving Loan, 2.49%, Maturing May 5, 2011(3) | 3,118,561 | ||||||||
8,900 | Term Loan, 2.31%, Maturing May 5, 2013 | 7,607,124 | ||||||||
Cumulus Media, Inc. | ||||||||||
13,454 | Term Loan, 4.26%, Maturing June 11, 2014 | 12,402,506 | ||||||||
Discovery Communications, Inc. | ||||||||||
2,480 | Term Loan, 2.29%, Maturing May 14, 2014 | 2,481,812 | ||||||||
Emmis Operating Co. | ||||||||||
6,853 | Term Loan, 4.29%, Maturing November 2, 2013 | 6,321,596 | ||||||||
Entercom Communications Corp. | ||||||||||
3,000 | Term Loan, 0.78%, Maturing June 30, 2012(3) | 2,760,000 | ||||||||
Gray Television, Inc. | ||||||||||
2,726 | Term Loan, 3.80%, Maturing January 19, 2015 | 2,681,960 | ||||||||
HIT Entertainment, Inc. | ||||||||||
1,446 | Term Loan, 5.50%, Maturing March 20, 2012 | 1,381,721 | ||||||||
Local TV Finance, LLC | ||||||||||
1,945 | Term Loan, 2.30%, Maturing May 7, 2013 | 1,794,263 | ||||||||
Mission Broadcasting, Inc. | ||||||||||
3,812 | Term Loan, 5.00%, Maturing September 30, 2016 | 3,831,311 | ||||||||
NEP II, Inc. | ||||||||||
4,378 | Term Loan, 2.35%, Maturing February 16, 2014 | 4,257,378 | ||||||||
Nexstar Broadcasting, Inc. | ||||||||||
5,963 | Term Loan, 5.00%, Maturing September 30, 2016 | 5,992,564 | ||||||||
Raycom TV Broadcasting, LLC | ||||||||||
10,083 | Term Loan, 1.81%, Maturing June 25, 2014 | 9,376,916 | ||||||||
SFX Entertainment | ||||||||||
696 | Term Loan, 3.53%, Maturing June 21, 2013 | 691,050 | ||||||||
Spanish Broadcasting System, Inc. | ||||||||||
8,310 | Term Loan, 2.05%, Maturing June 10, 2012 | 7,728,333 | ||||||||
Tyrol Acquisition 2 SAS | ||||||||||
EUR | 6,300 | Term Loan, 2.41%, Maturing January 19, 2015 | 7,505,769 | |||||||
EUR | 6,300 | Term Loan, 2.66%, Maturing January 19, 2016 | 7,505,769 | |||||||
Univision Communications, Inc. | ||||||||||
52,733 | Term Loan, 2.54%, Maturing September 29, 2014 | 48,171,798 | ||||||||
Weather Channel | ||||||||||
7,653 | Term Loan, 5.00%, Maturing September 14, 2015 | 7,736,134 | ||||||||
Young Broadcasting, Inc. | ||||||||||
973 | Term Loan, 0.00%, Maturing November 3, 2012(7) | 931,169 | ||||||||
8,285 | Term Loan, 0.00%, Maturing November 3, 2012(7) | 7,932,433 | ||||||||
$ | 161,093,857 | |||||||||
Rail Industries — 0.2% | ||||||||||
Kansas City Southern Railway Co. | ||||||||||
7,795 | Term Loan, 2.05%, Maturing April 26, 2013 | $ | 7,707,154 | |||||||
1,945 | Term Loan, 1.79%, Maturing April 28, 2013 | 1,920,688 | ||||||||
$ | 9,627,842 | |||||||||
Retailers (Except Food and Drug) — 2.4% | ||||||||||
American Achievement Corp. | ||||||||||
1,414 | Term Loan, 6.26%, Maturing March 25, 2011 | $ | 1,343,144 | |||||||
Amscan Holdings, Inc. | ||||||||||
4,073 | Term Loan, 2.53%, Maturing May 25, 2013 | 3,920,077 | ||||||||
Cumberland Farms, Inc. | ||||||||||
2,833 | Term Loan, 2.78%, Maturing September 29, 2013 | 2,620,422 | ||||||||
Harbor Freight Tools USA, Inc. | ||||||||||
11,975 | Term Loan, 5.00%, Maturing February 24, 2016 | 12,014,912 | ||||||||
Josten’s Corp. | ||||||||||
8,396 | Term Loan, 2.25%, Maturing October 4, 2011 | 8,348,559 | ||||||||
KKR My Best Friend UK Holdco. | ||||||||||
GBP | 4,000 | Term Loan, 5.60%, Maturing January 24, 2017 | 6,134,739 | |||||||
Mapco Express, Inc. | ||||||||||
2,837 | Term Loan, 6.50%, Maturing April 28, 2011 | 2,765,847 | ||||||||
Matalan Group, Ltd. | ||||||||||
GBP | 2,000 | Term Loan, 5.56%, Maturing March 24, 2016 | 3,067,752 | |||||||
Neiman Marcus Group, Inc. | ||||||||||
14,951 | Term Loan, 2.25%, Maturing April 5, 2013 | 14,357,925 | ||||||||
Orbitz Worldwide, Inc. | ||||||||||
11,796 | Term Loan, 3.28%, Maturing July 25, 2014 | 11,448,146 | ||||||||
Oriental Trading Co., Inc. | ||||||||||
2,000 | Term Loan - Second Lien, 6.26%, Maturing January 31, 2013 | 530,000 | ||||||||
Pep Boys - Manny, Moe, & Jack (The) | ||||||||||
2,359 | Term Loan, 2.25%, Maturing January 27, 2011 | 2,261,764 | ||||||||
Pilot Travel Centers, LLC | ||||||||||
7,000 | Term Loan, Maturing November 24, 2015(4) | 7,062,503 | ||||||||
Rent-A-Center, Inc. | ||||||||||
278 | Term Loan, 2.01%, Maturing November 15, 2012 | 274,095 | ||||||||
7,461 | Term Loan, 3.26%, Maturing May 31, 2015 | 7,442,473 | ||||||||
Rover Acquisition Corp. | ||||||||||
6,920 | Term Loan, 2.53%, Maturing October 26, 2013 | 6,823,668 | ||||||||
Savers, Inc. | ||||||||||
7,775 | Term Loan, 5.75%, Maturing March 11, 2016 | 7,823,594 | ||||||||
Vivarte | ||||||||||
EUR | 89 | Term Loan, 2.40%, Maturing May 29, 2015 | 106,266 | |||||||
EUR | 348 | Term Loan, 2.40%, Maturing May 29, 2015 | 413,256 | |||||||
EUR | 8,179 | Term Loan, 2.40%, Maturing May 29, 2015 | 9,723,701 | |||||||
EUR | 89 | Term Loan, 2.90%, Maturing May 29, 2016 | 106,266 | |||||||
EUR | 348 | Term Loan, 2.90%, Maturing May 29, 2016 | 413,256 |
28
Floating Rate Portfolio as of April 30, 2010
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Retailers (Except Food and Drug) (continued) | ||||||||||
EUR | 8,179 | Term Loan, 2.90%, Maturing May 29, 2016 | $ | 9,723,701 | ||||||
EUR | 1,000 | Term Loan - Second Lien, 3.90%, Maturing November 30, 2016 | 1,008,573 | |||||||
Yankee Candle Company, Inc. (The) | ||||||||||
12,529 | Term Loan, 2.28%, Maturing February 6, 2014 | 12,321,570 | ||||||||
$ | 132,056,209 | |||||||||
Surface Transport — 0.4% | ||||||||||
Oshkosh Truck Corp. | ||||||||||
9,239 | Term Loan, 6.26%, Maturing December 6, 2013 | $ | 9,299,379 | |||||||
Swift Transportation Co., Inc. | ||||||||||
6,000 | Term Loan, 8.05%, Maturing May 10, 2012 | 5,731,878 | ||||||||
4,979 | Term Loan, 6.31%, Maturing May 10, 2014 | 4,858,291 | ||||||||
$ | 19,889,548 | |||||||||
Telecommunications — 3.8% | ||||||||||
Alaska Communications Systems Holdings, Inc. | ||||||||||
348 | Term Loan, 2.04%, Maturing February 1, 2012 | $ | 342,010 | |||||||
3,047 | Term Loan, 2.04%, Maturing February 1, 2012 | 2,991,606 | ||||||||
17,207 | Term Loan, 2.04%, Maturing February 1, 2012 | 16,893,569 | ||||||||
Asurion Corp. | ||||||||||
19,900 | Term Loan, 3.25%, Maturing July 13, 2012 | 19,702,373 | ||||||||
4,000 | Term Loan - Second Lien, 6.75%, Maturing January 13, 2013 | 3,968,000 | ||||||||
BCM Luxembourg, Ltd. | ||||||||||
EUR | 4,951 | Term Loan, 2.28%, Maturing September 30, 2014 | 5,893,910 | |||||||
EUR | 4,951 | Term Loan, 2.53%, Maturing September 30, 2015 | 5,894,458 | |||||||
EUR | 1,000 | Term Loan - Second Lien, 4.66%, Maturing March 31, 2016 | 1,136,540 | |||||||
Cellular South, Inc. | ||||||||||
6,748 | Term Loan, 1.82%, Maturing May 29, 2014 | 6,608,746 | ||||||||
2,959 | Term Loan, 1.83%, Maturing May 29, 2014 | 2,897,863 | ||||||||
Cincinnati Bell, Inc. | ||||||||||
1,200 | Term Loan, 1.76%, Maturing August 31, 2012 | 1,186,008 | ||||||||
CommScope, Inc. | ||||||||||
9,585 | Term Loan, 2.79%, Maturing November 19, 2014 | 9,558,487 | ||||||||
Crown Castle Operating Co. | ||||||||||
4,313 | Term Loan, 1.77%, Maturing March 6, 2014 | 4,237,308 | ||||||||
Intelsat Corp. | ||||||||||
199 | Term Loan, 2.79%, Maturing January 3, 2014 | 195,946 | ||||||||
199 | Term Loan, 2.79%, Maturing January 3, 2014 | 195,946 | ||||||||
199 | Term Loan, 2.79%, Maturing January 3, 2014 | 195,946 | ||||||||
21,523 | Term Loan, 2.79%, Maturing January 3, 2014 | 21,140,944 | ||||||||
21,523 | Term Loan, 2.79%, Maturing January 3, 2014 | 21,140,944 | ||||||||
21,528 | Term Loan, 2.79%, Maturing January 3, 2014 | 21,146,675 | ||||||||
Intelsat Subsidiary Holding Co. | ||||||||||
7,539 | Term Loan, 2.79%, Maturing July 3, 2013 | 7,405,410 | ||||||||
Iowa Telecommunications Services | ||||||||||
3,948 | Term Loan, 2.04%, Maturing November 23, 2011 | 3,937,836 | ||||||||
IPC Systems, Inc. | ||||||||||
4,484 | Term Loan, 2.53%, Maturing May 31, 2014 | 4,090,970 | ||||||||
GBP | 338 | Term Loan, 2.90%, Maturing May 31, 2014 | 468,668 | |||||||
Macquarie UK Broadcast Ventures, Ltd. | ||||||||||
GBP | 6,867 | Term Loan, 2.56%, Maturing December 26, 2014 | 8,967,084 | |||||||
NTelos, Inc. | ||||||||||
5,970 | Term Loan, 5.75%, Maturing August 13, 2015 | 6,011,044 | ||||||||
Palm, Inc. | ||||||||||
6,691 | Term Loan, 3.80%, Maturing April 24, 2014 | 6,624,181 | ||||||||
Telesat Canada, Inc. | ||||||||||
1,183 | Term Loan, 3.28%, Maturing October 31, 2014 | 1,166,711 | ||||||||
13,779 | Term Loan, 3.28%, Maturing October 31, 2014 | 13,583,350 | ||||||||
TowerCo Finance, LLC | ||||||||||
2,469 | Term Loan, 6.00%, Maturing November 24, 2014 | 2,495,557 | ||||||||
Trilogy International Partners | ||||||||||
4,048 | Term Loan, 3.79%, Maturing June 29, 2012 | 3,622,935 | ||||||||
Windstream Corp. | ||||||||||
4,268 | Term Loan, 3.06%, Maturing December 17, 2015 | 4,273,195 | ||||||||
$ | 207,974,220 | |||||||||
Utilities — 3.0% | ||||||||||
AEI Finance Holding, LLC | ||||||||||
2,325 | Revolving Loan, 3.27%, Maturing March 30, 2012 | $ | 2,209,624 | |||||||
15,773 | Term Loan, 3.29%, Maturing March 30, 2014 | 14,990,901 | ||||||||
BRSP, LLC | ||||||||||
4,395 | Term Loan, 7.50%, Maturing June 24, 2014 | 4,406,407 | ||||||||
Calpine Corp. | ||||||||||
52,464 | Term Loan, 3.17%, Maturing March 29, 2014 | 50,680,521 | ||||||||
Covanta Energy Corp. | ||||||||||
1,903 | Term Loan, 1.79%, Maturing February 9, 2014 | 1,877,357 | ||||||||
2,775 | Term Loan, 1.81%, Maturing February 9, 2014 | 2,737,266 | ||||||||
Electricinvest Holding Co. | ||||||||||
GBP | 2,300 | Term Loan, 5.05%, Maturing October 24, 2012 | 2,973,654 | |||||||
EUR | 4,170 | Term Loan - Second Lien, 4.90%, Maturing October 24, 2012 | 4,766,036 | |||||||
Mirant North America, LLC | ||||||||||
3,067 | Term Loan, 2.02%, Maturing January 3, 2013 | 3,028,141 | ||||||||
NRG Energy, Inc. | ||||||||||
17,380 | Term Loan, 2.00%, Maturing February 1, 2013 | 17,070,785 | ||||||||
20,779 | Term Loan, 2.04%, Maturing February 1, 2013 | 20,408,994 |
29
Floating Rate Portfolio as of April 30, 2010
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Borrower/Tranche Description | Value | ||||||||
Utilities (continued) | ||||||||||
NSG Holdings, LLC | ||||||||||
202 | Term Loan, 1.76%, Maturing June 15, 2014 | $ | 196,409 | |||||||
987 | Term Loan, 1.76%, Maturing June 15, 2014 | 957,771 | ||||||||
TXU Texas Competitive Electric Holdings Co., LLC | ||||||||||
6,449 | Term Loan, 3.75%, Maturing October 10, 2014 | 5,306,768 | ||||||||
10,846 | Term Loan, 3.75%, Maturing October 10, 2014 | 8,864,836 | ||||||||
20,559 | Term Loan, 3.75%, Maturing October 10, 2014 | 16,910,101 | ||||||||
Vulcan Energy Corp. | ||||||||||
3,270 | Term Loan, 5.50%, Maturing December 31, 2015 | 3,310,439 | ||||||||
$ | 160,696,010 | |||||||||
Total Senior Floating-Rate Interests | ||||||||||
(identified cost $5,263,160,290) | $ | 5,193,432,227 | ||||||||
Corporate Bonds & Notes — 1.2% | ||||||||||
Principal | ||||||||||
Amount* | ||||||||||
(000’s omitted) | Security | Value | ||||||||
Building and Development — 0.3% | ||||||||||
Grohe Holding GmbH, Variable Rate | ||||||||||
EUR | 13,000 | 3.519%, 1/15/14(8) | $ | 16,356,861 | ||||||
$ | 16,356,861 | |||||||||
Cable and Satellite Television — 0.2% | ||||||||||
Virgin Media Finance PLC, Sr. Notes | ||||||||||
14,000 | 6.50%, 1/15/18(9) | $ | 14,140,000 | |||||||
$ | 14,140,000 | |||||||||
Chemicals and Plastics — 0.1% | ||||||||||
Rhodia SA, Sr. Notes, Variable Rate | ||||||||||
EUR | 2,000 | 3.394%, 10/15/13(8) | $ | 2,662,900 | ||||||
Wellman Holdings, Inc., Sr. Sub. Notes | ||||||||||
1,077 | 5.00%, 1/29/19(6) | 503,920 | ||||||||
$ | 3,166,820 | |||||||||
Ecological Services and Equipment — 0.0% | ||||||||||
Environmental Systems Product Holdings, Inc., Jr. Notes | ||||||||||
175 | 18.00%, 3/31/15(2)(6) | $ | 139,721 | |||||||
$ | 139,721 | |||||||||
Electronics / Electrical — 0.1% | ||||||||||
NXP BV/NXP Funding, LLC, Variable Rate | ||||||||||
6,300 | 3.053%, 10/15/13 | $ | 6,040,125 | |||||||
$ | 6,040,125 | |||||||||
Health Care — 0.1% | ||||||||||
Accellent, Inc., Sr. Notes | ||||||||||
3,000 | 8.375%, 2/1/17(9) | $ | 3,048,750 | |||||||
$ | 3,048,750 | |||||||||
Leisure Goods / Activities / Movies — 0.2% | ||||||||||
MU Finance PLC, Sr. Notes | ||||||||||
10,000 | 8.375%, 2/1/17(9) | $ | 9,850,000 | |||||||
$ | 9,850,000 | |||||||||
Manufacturing — 0.1% | ||||||||||
Reddy Ice Corp., Sr. Notes | ||||||||||
4,000 | 11.25%, 3/15/15(9) | $ | 4,280,000 | |||||||
$ | 4,280,000 | |||||||||
Telecommunications — 0.1% | ||||||||||
Qwest Corp., Sr. Notes, Variable Rate | ||||||||||
5,850 | 3.507%, 6/15/13 | $ | 5,967,000 | |||||||
$ | 5,967,000 | |||||||||
Total Corporate Bonds & Notes | ||||||||||
(identified cost $62,382,355) | $ | 62,989,277 | ||||||||
Asset-Backed Securities — 0.1% | ||||||||||
Principal | ||||||||||
Amount | ||||||||||
(000’s omitted) | Security | Value | ||||||||
$ | 909 | Alzette European CLO SA, Series 2004-1A, Class E2, 7.273%, 12/15/20(2)(10) | $ | 109,107 | ||||||
2,246 | Assemblies of God Financial Real Estate, Series 2004-1A, Class A, 2.453%, 6/15/29(9)(10) | 2,217,477 | ||||||||
884 | Avalon Capital Ltd. 3, Series 1A, Class D, 2.202%, 2/24/19(9)(10) | 585,534 | ||||||||
1,129 | Babson Ltd., Series 2005-1A, Class C1, 2.253%, 4/15/19(9)(10) | 731,372 | ||||||||
1,510 | Bryant Park CDO Ltd., Series 2005-1A, Class C, 2.353%, 1/15/19(2)(9)(10) | 589,883 | ||||||||
1,500 | Carlyle High Yield Partners, Series 2004-6A, Class C, 2.70%, 8/11/16(9)(10) | 765,000 |
30
Floating Rate Portfolio as of April 30, 2010
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Principal | ||||||||||
Amount | ||||||||||
(000’s omitted) | Security | Value | ||||||||
$ | 985 | Centurion CDO 8 Ltd., Series 2005-8A, Class D, 5.752%, 3/8/17(2)(10) | $ | 658,036 | ||||||
2,000 | Morgan Stanley Investment Management Croton, Ltd., Series 2005-1A, Class D, 2.253%, 1/15/18(9)(10) | 1,014,600 | ||||||||
Total Asset-Backed Securities | ||||||||||
(identified cost $11,109,797) | $ | 6,671,009 | ||||||||
Common Stocks — 0.6% | ||||||||||
Shares | Security | Value | ||||||||
Automotive — 0.1% | ||||||||||
88,506 | Dayco Products, LLC(11) | $ | 3,794,695 | |||||||
207,032 | Hayes Lemmerz International, Inc.(6)(11) | 991,683 | ||||||||
$ | 4,786,378 | |||||||||
Building and Development — 0.1% | ||||||||||
23,625 | Lafarge Roofing(6)(11) | $ | 0 | |||||||
234,248 | Sanitec Europe Oy B Units(6)(11) | 711,108 | ||||||||
230,960 | Sanitec Europe Oy E Units(6)(11) | 0 | ||||||||
3,646 | United Subcontractors, Inc.(6)(11) | 236,672 | ||||||||
22,273 | WCI Communities, Inc.(11) | 1,893,171 | ||||||||
$ | 2,840,951 | |||||||||
Chemicals and Plastics — 0.0% | ||||||||||
3,849 | Vita Cayman II, Ltd. | $ | 397,168 | |||||||
1,022 | Wellman Holdings, Inc.(6)(11) | 304,137 | ||||||||
$ | 701,305 | |||||||||
Diversified Manufacturing — 0.0% | ||||||||||
381,639 | MEGA Brands, Inc.(11) | $ | 198,071 | |||||||
$ | 198,071 | |||||||||
Ecological Services and Equipment — 0.0% | ||||||||||
2,484 | Environmental Systems Products Holdings, Inc.(6)(11)(12) | $ | 43,520 | |||||||
$ | 43,520 | |||||||||
Food Service — 0.0% | ||||||||||
193,076 | Buffets, Inc.(11) | $ | 965,380 | |||||||
$ | 965,380 | |||||||||
Home Furnishings — 0.0% | ||||||||||
364 | Dometic Corp.(11) | $ | 0 | |||||||
12,874 | Oreck Corp.(6)(11) | 937,742 | ||||||||
$ | 937,742 | |||||||||
Publishing — 0.4% | ||||||||||
28,605 | Ion Media Networks, Inc.(6)(11) | $ | 8,177,597 | |||||||
162,730 | MediaNews Group, Inc.(11) | 2,603,679 | ||||||||
351,929 | Reader’s Digest Association, Inc. (The)(11) | 10,029,977 | ||||||||
5,725 | Source Interlink Companies, Inc.(6)(11) | 41,392 | ||||||||
30,631 | Star Tribune Media Holdings Co.(6)(11) | 11,333 | ||||||||
53,719 | SuperMedia, Inc.(11) | 2,411,983 | ||||||||
$ | 23,275,961 | |||||||||
Total Common Stocks | ||||||||||
(identified cost $26,711,610) | $ | 33,749,308 | ||||||||
Preferred Stocks — 0.0% | ||||||||||
Shares | Security | Value | ||||||||
Ecological Services and Equipment — 0.0% | ||||||||||
1,138 | Environmental Systems Products Holdings, Inc., Series A(6)(11)(12) | $ | 91,040 | |||||||
$ | 91,040 | |||||||||
Total Preferred Stocks | ||||||||||
(identified cost $19,915) | $ | 91,040 | ||||||||
Closed-End Investment Companies — 0.0% | ||||||||||
Shares | Security | Value | ||||||||
4,000 | Pioneer Floating Rate Trust | $ | 53,480 | |||||||
Total Closed-End Investment Companies | ||||||||||
(identified cost $72,148) | $ | 53,480 | ||||||||
Warrants — 0.0% | ||||||||||
Shares | Security | Value | ||||||||
1,343 | Oreck Corp., 3/19/20(6)(11) | $ | 97,824 | |||||||
Total Warrants | ||||||||||
(identified cost $97,824) | $ | 97,824 | ||||||||
31
Floating Rate Portfolio as of April 30, 2010
PORTFOLIO OF INVESTMENTS (Unaudited) CONT’D
Short-Term Investments — 6.3% | ||||||||||
Interest/ | ||||||||||
Principal | ||||||||||
Amount | ||||||||||
(000’s omitted) | Description | Value | ||||||||
$ | 309,787 | Eaton Vance Cash Reserves Fund, LLC, 0.19%(13) | $ | 309,786,751 | ||||||
28,702 | State Street Bank and Trust Euro Time Deposit, 0.01%, 5/3/10 | 28,702,129 | ||||||||
Total Short-Term Investments | ||||||||||
(identified cost $338,488,880) | $ | 338,488,880 | ||||||||
Total Investments — 104.4% | ||||||||||
(identified cost $5,702,042,819) | $ | 5,635,573,045 | ||||||||
Less Unfunded Loan Commitments — (1.1)% | $ | (58,251,122 | ) | |||||||
Net Investments — 103.3% | ||||||||||
(identified cost $5,643,791,697) | $ | 5,577,321,923 | ||||||||
Other Assets, Less Liabilities — (3.3)% | $ | (177,737,557 | ) | |||||||
Net Assets — 100.0% | $ | 5,399,584,366 | ||||||||
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
DIP - Debtor In Possession
CHF - Swiss Franc
EUR - Euro
GBP - British Pound Sterling
* | In U.S. dollars unless otherwise indicated. | |
(1) | Senior floating-rate interests (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their 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, Senior Loans will have an expected average life of approximately two to four years. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility and includes commitment fees on unfunded loan commitments, if any. Senior Loans typically have rates of interest which are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders. | |
(2) | Represents a payment-in-kind security which may pay all or a portion of interest in additional par. |
(3) | Unfunded or partially unfunded loan commitments. See Note 1G for description. | |
(4) | This Senior Loan will settle after April 30, 2010, at which time the interest rate will be determined. | |
(5) | Defaulted matured security. | |
(6) | Security valued at fair value using methods determined in good faith by or at the direction of the Trustees. | |
(7) | Currently the issuer is in default with respect to interest payments. | |
(8) | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |
(9) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions and remain exempt from registration, normally to qualified institutional buyers. At April 30, 2010, the aggregate value of these securities is $37,222,616 or 0.7% of the Portfolio’s net assets. | |
(10) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2010. | |
(11) | Non-income producing security. | |
(12) | Restricted security (see Note 5). | |
(13) | Affiliated investment company available to Eaton Vance portfolios and funds which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of April 30, 2010. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC and Cash Management Portfolio, an affiliated investment company, for the six months ended April 30, 2010 was $140,982 and $0, respectively. |
32
Floating Rate Portfolio as of April 30, 2010
FINANCIAL STATEMENTS (Unaudited)
Statement of Assets and Liabilities
As of April 30, 2010 | ||||||
Assets | ||||||
Unaffiliated investments, at value (identified cost, $5,334,004,946) | $ | 5,267,535,172 | ||||
Affiliated investment, at value (identified cost, $309,786,751) | 309,786,751 | |||||
Cash | 14,824 | |||||
Foreign currency, at value (identified cost, $23,361,599) | 23,396,920 | |||||
Interest receivable | 17,315,780 | |||||
Receivable for investments sold | 27,400,761 | |||||
Receivable for closed swap contracts | 115,938 | |||||
Prepaid expenses | 213,910 | |||||
Total assets | $ | 5,645,780,056 | ||||
Liabilities | ||||||
Payable for investments purchased | $ | 240,286,489 | ||||
Payable for open forward foreign currency exchange contracts | 3,094,734 | |||||
Payable to affiliates: | ||||||
Investment adviser fee | 2,222,660 | |||||
Trustees’ fees | 4,208 | |||||
Accrued expenses | 587,599 | |||||
Total liabilities | $ | 246,195,690 | ||||
Net Assets applicable to investors’ interest in Portfolio | $ | 5,399,584,366 | ||||
Sources of Net Assets | ||||||
Net proceeds from capital contributions and withdrawals | $ | 5,468,081,374 | ||||
Net unrealized depreciation | (68,497,008 | ) | ||||
Total | $ | 5,399,584,366 | ||||
For the Six Months Ended | ||||||
April 30, 2010 | ||||||
Investment Income | ||||||
Interest (net of foreign taxes, $42,806) | $ | 117,134,280 | ||||
Dividends | 1,800 | |||||
Interest allocated from affiliated investments | 264,004 | |||||
Expenses allocated from affiliated investments | (123,022 | ) | ||||
Total investment income | $ | 117,277,062 | ||||
Expenses | ||||||
Investment adviser fee | $ | 11,956,379 | ||||
Trustees’ fees and expenses | 25,250 | |||||
Custodian fee | 379,002 | |||||
Legal and accounting services | 439,249 | |||||
Interest expense and fees | 239,507 | |||||
Miscellaneous | 114,723 | |||||
Total expenses | $ | 13,154,110 | ||||
Deduct — | ||||||
Reduction of custodian fee | $ | 77 | ||||
Total expense reductions | $ | 77 | ||||
Net expenses | $ | 13,154,033 | ||||
Net investment income | $ | 104,123,029 | ||||
Realized and Unrealized Gain (Loss) | ||||||
Net realized gain (loss) — | ||||||
Investment transactions | $ | (79,899,604 | ) | |||
Investment transactions allocated from affiliated investments | 42,315 | |||||
Foreign currency and forward foreign currency exchange contract transactions | 44,403,237 | |||||
Net realized loss | $ | (35,454,052 | ) | |||
Change in unrealized appreciation (depreciation) — | ||||||
Investments | $ | 309,118,745 | ||||
Foreign currency and forward foreign currency exchange contracts | (3,202,391 | ) | ||||
Net change in unrealized appreciation (depreciation) | $ | 305,916,354 | ||||
Net realized and unrealized gain | $ | 270,462,302 | ||||
Net increase in net assets from operations | $ | 374,585,331 | ||||
33
Floating Rate Portfolio as of April 30, 2010
FINANCIAL STATEMENTS CONT’D
Statements of Changes in Net Assets
Six Months Ended | ||||||||||
Increase (Decrease) | April 30, 2010 | Year Ended | ||||||||
in Net Assets | (Unaudited) | October 31, 2009 | ||||||||
From operations — | ||||||||||
Net investment income | $ | 104,123,029 | $ | 189,451,144 | ||||||
Net realized loss from investment transactions, swap contracts, and foreign currency and forward foreign currency exchange contract transactions | (35,454,052 | ) | (214,393,575 | ) | ||||||
Net change in unrealized appreciation (depreciation) from investments, foreign currency and forward foreign currency exchange contracts | 305,916,354 | 959,820,600 | ||||||||
Net increase in net assets from operations | $ | 374,585,331 | $ | 934,878,169 | ||||||
Capital transactions — | ||||||||||
Contributions | $ | 959,611,120 | $ | 1,462,810,319 | ||||||
Withdrawals | (228,952,153 | ) | (1,159,558,768 | ) | ||||||
Net increase from capital transactions | $ | 730,658,967 | $ | 303,251,551 | ||||||
Net increase in net assets | $ | 1,105,244,298 | $ | 1,238,129,720 | ||||||
Net Assets | ||||||||||
At beginning of period | $ | 4,294,340,068 | $ | 3,056,210,348 | ||||||
At end of period | $ | 5,399,584,366 | $ | 4,294,340,068 | ||||||
34
Floating Rate Portfolio as of April 30, 2010
FINANCIAL STATEMENTS CONT’D
Supplementary Data
Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||
April 30, 2010 | ||||||||||||||||||||||||||
(Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratios (as a percentage of average daily net assets): | ||||||||||||||||||||||||||
Expenses(1) | 0.57 | %(2) | 0.61 | % | 0.70 | % | 0.58 | % | 0.54 | % | 0.54 | % | ||||||||||||||
Net investment income | 4.50 | %(2) | 5.41 | % | 6.50 | % | 6.94 | % | 6.44 | % | 4.68 | % | ||||||||||||||
Portfolio Turnover | 22 | %(3) | 35 | % | 7 | % | 61 | % | 50 | % | 57 | % | ||||||||||||||
Total Return | 8.41 | %(3) | 27.54 | % | (22.24 | )% | 4.62 | % | 6.36 | % | 4.77 | % | ||||||||||||||
Net assets, end of period (000’s omitted) | $ | 5,399,584 | $ | 4,294,340 | $ | 3,056,210 | $ | 6,851,600 | $ | 7,430,493 | $ | 6,506,058 | ||||||||||||||
(1) | Excludes the effect of custody fee credits, if any, of less than 0.005%. | |
(2) | Annualized. | |
(3) | Not annualized. |
35
Floating Rate Portfolio as of April 30, 2010
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1 Significant Accounting Policies
Floating Rate Portfolio (the Portfolio) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a diversified, open-end management investment company. The Portfolio’s investment objective is to provide a high level of current income. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. At April 30, 2010, Eaton Vance Floating-Rate Fund, Eaton Vance Strategic Income Fund, Eaton Vance Floating-Rate & High Income Fund, Eaton Vance Diversified Income Fund, Eaton Vance Low Duration Fund and Eaton Vance Short Term Real Return Fund held an interest of 71.4%, 14.0%, 10.6%, 1.6%, 0.7% and less than 0.1%, respectively, in the Portfolio.
The following is a summary of significant accounting policies of the Portfolio. The policies are in conformity with accounting principles generally accepted in the United States of America.
A Investment Valuation — Interests in senior floating-rate loans (Senior Loans) for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service. Other Senior Loans are valued at fair value by the investment adviser under procedures approved by the Trustees. In fair valuing a Senior Loan, the investment adviser utilizes one or more of the valuation techniques described in (i) through (iii) below to assess the likelihood that the borrower will make a full repayment of the loan underlying such Senior Loan relative to yields on other Senior Loans issued by companies of comparable credit quality. If the investment adviser believes that there is a reasonable likelihood of full repayment, the investment adviser will determine fair value using a matrix pricing approach that considers the yield on the Senior Loan. If the investment adviser believes there is not a reasonable likelihood of full repayment, the investment adviser will determine fair value using analyses that include, but are not limited to: (i) a comparison of the value of the borrower’s outstanding equity and debt to that of comparable public companies; (ii) a discounted cash flow analysis; or (iii) when the investment adviser believes it is likely that a borrower will be liquidated or sold, an analysis of the terms of such liquidation or sale. In certain cases, the investment adviser will use a combination of analytical methods to determine fair value, such as when only a portion of a borrower’s assets are likely to be sold. In conducting its assessment and analyses for purposes of determining fair value of a Senior Loan, the investment adviser will use its discretion and judgment in considering and appraising relevant factors. Fair value determinations are made by the portfolio managers of the Portfolio based on information available to such managers. The portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may not possess the same information about a Senior Loan borrower as the portfolio managers of the Portfolio. At times, the fair value of a Senior Loan determined by the portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may vary from the fair value of the same Senior Loan determined by the portfolio managers of the Portfolio. The fair value of each Senior Loan is periodically reviewed and approved by the investment adviser’s Valuation Committee and by the Trustees based upon procedures approved by the Trustees. Junior Loans are valued in the same manner as Senior Loans.
Debt obligations (including short-term obligations with a remaining maturity of more than sixty days) are generally valued on the basis of valuations furnished by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker/dealer quotations, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. Short-term debt securities purchased with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates market value.
Equity securities (including common shares of closed-end investment companies) listed on a U.S. securities exchange generally are valued at the last sale price on the day of valuation or, if no sales took place on such date, at the mean between the closing bid and asked prices therefore on the exchange where such securities are principally traded. Equity securities listed on the NASDAQ Global or Global Select Market generally are valued at the NASDAQ official closing price. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and asked prices or, in the case of preferred equity securities that are not listed or traded in the over-the-counter market, by a third party pricing service that will use various techniques that consider factors including, but not limited to, prices or yields of securities with similar characteristics, benchmark yields, broker/dealer quotes, quotes of underlying common stock, issuer spreads, as well as industry and economic events. Forward foreign currency exchange contracts are generally valued at the mean of the average bid and average asked prices that are reported by currency dealers to a third party pricing service at the valuation time. Such third party pricing service valuations are supplied for specific settlement periods and the Portfolio’s forward foreign currency exchange contracts are valued at an interpolated rate between the closest preceding and subsequent settlement period reported by the third party pricing service. Credit default swaps are normally valued using valuations
36
Floating Rate Portfolio as of April 30, 2010
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT’D
provided by a third party pricing service. The pricing services employ electronic data processing techniques to determine the present value based on credit spread quotations obtained from broker/dealers and expected default recovery rates determined by the pricing service using proprietary models. Foreign securities and currencies are valued in U.S. dollars, based on foreign currency exchange rate quotations supplied by a third party pricing service. The pricing service uses a proprietary model to determine the exchange rate. Inputs to the model include reported trades and implied bid/ask spreads. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Portfolio in a manner that most fairly reflects the security’s value, or the amount that the Portfolio might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker-dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The Portfolio may invest in Eaton Vance Cash Reserves Fund, LLC (Cash Reserves Fund), an affiliated investment company managed by Eaton Vance Management (EVM). Cash Reserves Fund generally values its investment securities utilizing the amortized cost valuation technique in accordance with Rule 2a-7 under the 1940 Act. This technique involves initially valuing a portfolio security at its cost and thereafter assuming a constant amortization to maturity of any discount or premium. If amortized cost is determined not to approximate fair value, Cash Reserves Fund may value its investment securities in the same manner as debt obligations described above.
B Investment Transactions — Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost.
C Income — Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Fees associated with loan amendments are recognized immediately. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities.
D Federal Taxes — The Portfolio has elected to be treated as a partnership for federal tax purposes. No provision is made by the Portfolio for federal or state taxes on any taxable income of the Portfolio because each investor in the Portfolio is ultimately responsible for the payment of any taxes on its share of taxable income. Since at least one of the Portfolio’s investors is a regulated investment company that invests all or substantially all of its assets in the Portfolio, the Portfolio normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order for its investors to satisfy them. The Portfolio will allocate, at least annually among its investors, each investor’s distributive share of the Portfolio’s net investment income, net realized capital gains and any other items of income, gain, loss, deduction or credit.
As of April 30, 2010, the Portfolio had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. Each of the Portfolio’s federal tax returns filed in the 3-year period ended October 31, 2009 remains subject to examination by the Internal Revenue Service.
E Expense Reduction — State Street Bank and Trust Company (SSBT) serves as custodian of the Portfolio. Pursuant to the custodian agreement, SSBT receives a fee reduced by credits, which are determined based on the average daily cash balance the Portfolio maintains with SSBT. All credit balances, if any, used to reduce the Portfolio’s custodian fees are reported as a reduction of expenses in the Statement of Operations.
F Foreign Currency Translation — Investment valuations, other assets, and liabilities initially expressed in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates in effect on the respective dates of such transactions. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
G Unfunded Loan Commitments — The Portfolio may enter into certain credit agreements all or a portion of which may be unfunded. The Portfolio is obligated to fund
37
Floating Rate Portfolio as of April 30, 2010
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT’D
these commitments at the borrower’s discretion. These commitments are disclosed in the accompanying Portfolio of Investments.
H 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.
I Indemnifications — Under the Portfolio’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 Portfolio. Under Massachusetts law, if certain conditions prevail, interestholders in the Portfolio could be deemed to have personal liability for the obligations of the Portfolio. However, the Portfolio’s Declaration of Trust contains an express disclaimer of liability on the part of Portfolio interestholders and the By-laws provide that the Portfolio shall assume the defense on behalf of any Portfolio interestholder. Moreover, the By-laws also provide for indemnification out of Portfolio property of any interestholder held personally liable solely by reason of being or having been an interestholder for all loss or expense arising from such liability. Additionally, in the normal course of business, the Portfolio enters into agreements with service providers that may contain indemnification clauses. The Portfolio’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet occurred.
J Forward Foreign Currency Exchange Contracts — The Portfolio may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The Portfolio enters into forward contracts for hedging purposes as well as non-hedging purposes. The forward foreign currency exchange contract is adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contract has been closed or offset by another contract with the same broker for the same settlement date and currency. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from movements in the value of a foreign currency relative to the U.S. dollar.
K Credit Default Swaps — When the Portfolio is the buyer of a credit default swap contract, the Portfolio is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation (or basket of debt obligations) from the counterparty to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, the Portfolio pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Portfolio would have spent the stream of payments and received no benefits from the contract. When the Portfolio is the seller of a credit default swap contract, it receives the stream of payments, but is obligated to pay to the buyer of the protection an amount up to the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the Portfolio is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Portfolio could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Portfolio for the same referenced obligation. As the seller, the Portfolio effectively adds leverage to its portfolio because, in addition to its total net assets, the Portfolio is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap contract, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The Portfolio also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. Upfront payments or receipts, if any, are recorded as other assets or other liabilities, respectively, and amortized over the life of the swap contract as realized gains or losses. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, 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.
L Interim Financial Statements — The interim financial statements relating to April 30, 2010 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Portfolio’s management, reflect all
38
Floating Rate Portfolio as of April 30, 2010
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT’D
adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
2 Investment Adviser Fee and Other Transactions with Affiliates
The investment adviser fee is earned by Boston Management and Research (BMR), a subsidiary of EVM, as compensation for investment advisory services rendered to the Portfolio. Pursuant to the investment advisory agreement and subsequent fee reduction agreement between the Portfolio and BMR, the fee is computed at an annual rate 0.575% of the Portfolio’s average daily net assets up to $1 billion, 0.525% from $1 billion up to 2 billion, 0.500% from $2 billion up to $5 billion, 0.480% from $5 billion up to $10 billion and 0.460% of average daily net assets of $10 billion or more, and is payable monthly. The fee reduction cannot be terminated without the consent of the Trustees and shareholders. Prior to its liquidation in February 2010, the portion of the adviser fee payable by Cash Management Portfolio, an affiliated investment company, on the Portfolio’s investment of cash therein was credited against the Portfolio’s investment adviser fee. The Portfolio currently invests its cash in Cash Reserves Fund. EVM does not currently receive a fee for advisory services provided to Cash Reserves Fund. For the six months ended April 30, 2010, the Portfolio’s investment adviser fee totaled $12,039,237 of which $82,858 was allocated from Cash Management Portfolio and $11,956,379 was paid or accrued directly by the Portfolio. For the six months ended April 30, 2010, the Portfolio’s investment adviser fee, including the portion allocated from Cash Management Portfolio, was 0.52% (annualized) of the Portfolio’s average daily net assets.
Except for Trustees of the Portfolio who are not members of EVM’s or BMR’s organizations, officers and Trustees receive remuneration for their services to the Portfolio out of the investment adviser fee. Trustees of the Portfolio who are not affiliated with the investment adviser may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the six months ended April 30, 2010, no significant amounts have been deferred. Certain officers and Trustees of the Portfolio are officers of the above organizations.
3 Purchases and Sales of Investments
Purchases and sales of investments, other than short-term obligations and including maturities and principal repayments on Senior Loans and including maturities and paydowns, aggregated $1,786,601,529 and $988,437,330, respectively, for the six months ended April 30, 2010.
Included in purchases are the cost of securities purchased by the Portfolio from investment companies advised by EVM or its affiliates of $340,094,626. Such transactions were executed in accordance with affiliated transaction procedures approved by the Portfolio’s Trustees.
4 Federal Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) of investments of the Portfolio at April 30, 2010, as determined on a federal income tax basis, were as follows:
Aggregate cost | $ | 5,644,252,318 | ||||
Gross unrealized appreciation | $ | 90,183,579 | ||||
Gross unrealized depreciation | (157,113,974 | ) | ||||
Net unrealized depreciation | $ | (66,930,395 | ) | |||
5 Restricted Securities
At April 30, 2010, the Portfolio owned the following securities (representing less than 0.1% of net assets) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Portfolio has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.
Date of | ||||||||||||||||||
Description | Acquisition | Shares | Cost | Value | ||||||||||||||
Common Stocks | ||||||||||||||||||
Environmental Systems Products Holdings, Inc. | 10/25/07 | 2,484 | $ | 0 | (1) | $ | 43,520 | |||||||||||
Preferred Stocks | ||||||||||||||||||
Environmental Systems Products Holdings, Inc., Series A | 10/25/07 | 1,138 | $ | 19,915 | $ | 91,040 | ||||||||||||
Total Restricted Securities | $ | 19,915 | $ | 134,560 | ||||||||||||||
(1) | Less than $0.50. |
6 Financial Instruments
The Portfolio may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include forward foreign currency exchange 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 Portfolio has in particular classes of
39
Floating Rate Portfolio as of April 30, 2010
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT’D
financial instruments and do 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.
A summary of obligations under these financial instruments at April 30, 2010 is as follows:
Forward Foreign Currency Exchange Contracts | ||||||||||
Sales | ||||||||||
Net Unrealized | ||||||||||
Settlement Date | Deliver | In Exchange For | Depreciation | |||||||
5/28/10 | British Pound Sterling 102,044,740 | United States Dollar 155,345,768 | $ | (773,659 | ) | |||||
5/28/10 | Euro 260,920,932 | United States Dollar 345,258,405 | (2,175,011 | ) | ||||||
5/28/10 | Swiss Franc 15,797,490 | United States Dollar 14,538,326 | (146,064 | ) | ||||||
$ | (3,094,734 | ) | ||||||||
At April 30, 2010, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.
The Portfolio is subject to foreign exchange risk in the normal course of pursuing its investment objective. Because the Portfolio holds foreign currency denominated investments, the value of these investments and related receivables and payables may change due to future changes in foreign currency exchange rates. To hedge against this risk, the Portfolio may enter into forward foreign currency exchange contracts. The Portfolio may also enter into such contracts to hedge currency risk of investments it anticipates purchasing.
The fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is foreign exchange risk at April 30, 2010 was as follows:
Fair Value | ||||||||||
Derivative | Asset Derivative | Liability Derivative | ||||||||
Forward foreign currency exchange contracts | $ | — | $ | (3,094,734 | )(1) |
(1) | Statement of Assets and Liabilities location: Payable for open forward foreign currency exchange contracts; Net unrealized depreciation. |
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is foreign currency risk for the six months ended April 30, 2010 was as follows:
Change in | ||||||||||
Unrealized | ||||||||||
Realized Gain | Appreciation | |||||||||
(Loss) on | (Depreciation) on | |||||||||
Derivatives | Derivatives | |||||||||
Recognized in | Recognized in | |||||||||
Derivative | Income | Income | ||||||||
Forward foreign currency exchange contracts | $ | 43,191,195(1 | ) | $ | (3,899,385 | )(2) |
(1) | Statement of Operations location: Net realized gain (loss) – Foreign currency and forward foreign currency exchange contract transactions. | |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation) – Foreign currency and forward foreign currency exchange contracts. |
The average notional amount of forward foreign currency exchange contracts outstanding during the six months ended April 30, 2010, which is indicative of the volume of this derivative type, was approximately $457,407,000.
7 Line of Credit
The Portfolio participates with other portfolios and funds managed by EVM and its affiliates in a $450 million unsecured line of credit agreement with a group of banks. Borrowings are made by the Portfolio solely to facilitate the handling of unusual and/or unanticipated short-term cash requirements. Interest is charged to the Portfolio based on its borrowings at a prime rate or an amount above either the London Interbank Offered Rate (LIBOR) or the Federal Funds rate. In addition, a fee computed at an annual rate of 0.10% (0.15% prior to March 22, 2010) on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. Because the line of credit is not available exclusively to the Portfolio, it may be unable to borrow some or all of its requested amounts at any particular time. The Portfolio did not have any significant borrowings or allocated fees during the six months ended April 30, 2010.
8 Risks Associated with Foreign Investments
Investing in securities issued by companies whose principal business activities are outside the United States may involve significant risks not present in domestic investments. For example, there is generally less publicly available information about foreign companies, particularly those not subject to the disclosure and reporting requirements of the U.S. securities laws. Certain foreign issuers are generally not bound by uniform accounting, auditing, and financial reporting requirements and standards of practice comparable to those applicable to domestic issuers. Investments in foreign securities also involve the risk of possible adverse changes in investment or exchange control regulations, expropriation or confiscatory taxation, limitation on the removal of funds or other assets of the Portfolio, political or financial instability or diplomatic and other developments which could affect such investments. Foreign securities markets, while growing in
40
Floating Rate Portfolio as of April 30, 2010
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT’D
volume and sophistication, are generally not as developed as those in the United States, and securities of some foreign issuers (particularly those located in developing countries) may be less liquid and more volatile than securities of comparable U.S. companies. In general, there is less overall governmental supervision and regulation of foreign securities markets, broker-dealers and issuers than in the United States.
9 Credit Risk
The Portfolio invests primarily in below investment grade floating-rate loans and floating-rate debt obligations, which are considered speculative because of the credit risk of their issuers. Changes in economic conditions or other circumstances are more likely to reduce the capacity of issuers of these securities to make principal and interest payments. Such companies are more likely to default on their payments of interest and principal owed than issuers of investment grade bonds. An economic downturn generally leads to a higher non-payment rate, and a loan or other debt obligation may lose significant value before a default occurs. Lower rated investments also may be subject to greater price volatility than higher rated investments. Moreover, the specific collateral used to secure a loan may decline in value or become illiquid, which would adversely affect the loan’s value.
10 Fair Value Measurements
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
• | Level 1 – quoted prices in active markets for identical investments | |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) | |
• | Level 3 – significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At April 30, 2010, the inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:
Quoted | ||||||||||||||||
Prices in | ||||||||||||||||
Active | Significant | |||||||||||||||
Markets for | Other | Significant | ||||||||||||||
Identical | Observable | Unobservable | ||||||||||||||
Assets | Inputs | Inputs | ||||||||||||||
Asset Description | (Level 1) | (Level 2) | (Level 3) | Total | ||||||||||||
Senior Floating-Rate Interests (Less unfunded loan commitments) | $ | — | $ | 5,132,773,035 | $ | 2,408,070 | $ | 5,135,181,105 | ||||||||
Corporate Bonds & Notes | — | 62,345,636 | 643,641 | 62,989,277 | ||||||||||||
Asset-Backed Securities | — | 6,671,009 | — | 6,671,009 | ||||||||||||
Common Stocks | 2,610,054 | 19,684,070 | 11,455,184 | 33,749,308 | ||||||||||||
Preferred Stocks | — | — | 91,040 | 91,040 | ||||||||||||
Closed-End Investment Companies | 53,480 | — | — | 53,480 | ||||||||||||
Warrants | — | — | 97,824 | 97,824 | ||||||||||||
Short-Term Investments | — | 338,488,880 | — | 338,488,880 | ||||||||||||
Total Investments | $ | 2,663,534 | $ | 5,559,962,630 | $ | 14,695,759 | $ | 5,577,321,923 | ||||||||
Liability Description | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (3,094,734 | ) | $ | — | $ | (3,094,734 | ) | ||||||
Total | $ | — | $ | (3,094,734 | ) | $ | — | $ | (3,094,734 | ) | ||||||
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Investments | Investments | |||||||||||||||||||||||||
in Senior | in Corporate | Investments | Investments | |||||||||||||||||||||||
Floating-Rate | Bonds & | in Common | in Preferred | Investments | ||||||||||||||||||||||
Interests | Notes | Stocks | Stocks | in Warrants | Total | |||||||||||||||||||||
Balance as of October 31, 2009 | $ | 6,829,221 | $ | 505,328 | $ | 1,053,368 | $ | 91,040 | $ | — | $ | 8,478,957 | ||||||||||||||
Realized gains (losses) | (3,804,564 | ) | — | — | — | — | (3,804,564 | ) | ||||||||||||||||||
Change in net unrealized appreciation (depreciation)* | 1,263,882 | 72,709 | 245,678 | — | — | 1,582,269 | ||||||||||||||||||||
Net purchases (sales) | (1,940,607 | ) | 52,593 | 10,156,138 | — | 97,824 | 8,365,948 | |||||||||||||||||||
Accrued discount (premium) | 60,138 | 13,011 | — | — | — | 73,149 | ||||||||||||||||||||
Net transfers to (from) Level 3 | — | — | — | — | — | — | ||||||||||||||||||||
Balance as of April 30, 2010 | $ | 2,408,070 | $ | 643,641 | $ | 11,455,184 | $ | 91,040 | $ | 97,824 | $ | 14,695,759 | ||||||||||||||
Change in net unrealized appreciation (depreciation) on investments still held as of April 30, 2010* | $ | (29,548 | ) | $ | 72,709 | $ | 245,506 | $ | — | $ | — | $ | 288,667 | |||||||||||||
* | Amount is included in the related amount on investments in the Statement of Operations. |
41
Eaton Vance Floating-Rate Fund
BOARD OF TRUSTEES’ ANNUAL APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended (the “1940 Act”), provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees, including by a vote of a majority of the trustees who are not “interested persons” of the fund (“Independent Trustees”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees (each a “Board”) of the Eaton Vance group of mutual funds (the “Eaton Vance Funds”) held on April 26, 2010, the Board, including a majority of the Independent Trustees, voted to approve continuation of existing advisory and sub-advisory agreements for the Eaton Vance Funds for an additional one-year period. In voting its approval, the Board relied upon the affirmative recommendation of the Contract Review Committee of the Board, which is a committee comprised exclusively of Independent Trustees. Prior to making its recommendation, the Contract Review Committee reviewed information furnished for a series of meetings of the Contract Review Committee held between February and April 2010. Such information included, among other things, the following:
Information about Fees, Performance and Expenses
• | An independent report comparing the advisory and related fees paid by each fund with fees paid by comparable funds; | |
• | An independent report comparing each fund’s total expense ratio and its components to comparable funds; | |
• | An independent report comparing the investment performance of each fund (including yield where relevant) to the investment performance of comparable funds over various time periods; | |
• | Data regarding investment performance in comparison to relevant peer groups of similarly managed funds and appropriate indices; | |
• | For each fund, comparative information concerning the fees charged and the services provided by each adviser in managing other mutual funds and institutional accounts using investment strategies and techniques similar to those used in managing such fund; | |
• | Profitability analyses for each adviser with respect to each fund; |
Information about Portfolio Management
• | Descriptions of the investment management services provided to each fund, including the investment strategies and processes employed, and any changes in portfolio management processes and personnel; | |
• | Information concerning the allocation of brokerage and the benefits received by each adviser as a result of brokerage allocation, including information concerning the acquisition of research through “soft dollar” benefits received in connection with the funds’ brokerage, and the implementation of a soft dollar reimbursement program established with respect to the funds; | |
• | Data relating to portfolio turnover rates of each fund; | |
• | The procedures and processes used to determine the fair value of fund assets and actions taken to monitor and test the effectiveness of such procedures and processes; |
Information about each Adviser
• | Reports detailing the financial results and condition of each adviser; | |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; | |
• | Copies of the Codes of Ethics of each adviser and its affiliates, together with information relating to compliance with and the administration of such codes; | |
• | Copies of or descriptions of each adviser’s policies and procedures relating to proxy voting, the handling of corporate actions and class actions; | |
• | Information concerning the resources devoted to compliance efforts undertaken by each adviser and its affiliates on behalf of the funds (including descriptions of various compliance programs) and their record of compliance with investment policies and restrictions, including policies with respect to market-timing, late trading and selective portfolio disclosure, and with policies on personal securities transactions; | |
• | Descriptions of the business continuity and disaster recovery plans of each adviser and its affiliates; | |
• | A description of Eaton Vance Management’s procedures for overseeing third party advisers and sub-advisers; |
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment management services provided by Eaton Vance Management and its affiliates; | |
• | Information concerning management of the relationship with the custodian, subcustodians and fund accountants by each adviser or the funds’ administrator; and | |
• | The terms of each advisory agreement. |
42
Eaton Vance Floating-Rate Fund
BOARD OF TRUSTEES’ ANNUAL APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT CONT’D
In addition to the information identified above, the Contract Review Committee considered information provided from time to time by each adviser throughout the year at meetings of the Board and its committees. Over the course of the twelve-month period ended April 30, 2010, with respect to one or more Funds, the Board met ten times and the Contract Review Committee, the Audit Committee, the Governance Committee, the Portfolio Management Committee and the Compliance Reports and Regulatory Matters Committee, each of which is a Committee comprised solely of Independent Trustees, met nine, thirteen, three, eight and fifteen times, respectively. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of each adviser relating to the investment performance of each fund and the investment strategies used in pursuing the fund’s investment objective, as well as trading policies and procedures and risk management techniques.
For funds that invest through one or more underlying portfolios, the Board considered similar information about the portfolio(s) when considering the approval of advisory agreements. In addition, in cases where the fund’s investment adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any sub-advisory agreement.
The Contract Review Committee was assisted throughout the contract review process by Goodwin Procter LLP, legal counsel for the Independent Trustees. The members of the Contract Review Committee relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each advisory and sub-advisory agreement and the weight to be given to each such factor. The conclusions reached with respect to each advisory and sub-advisory agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each member of the Contract Review Committee may have placed varying emphasis on particular factors in reaching conclusions with respect to each advisory and sub-advisory agreement.
Results of the Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Contract Review Committee concluded that the continuance of the investment advisory agreement of Floating Rate Portfolio (the “Portfolio”), the portfolio in which Eaton Vance Floating-Rate Fund (the “Fund”) invests, with Boston Management and Research (the “Adviser”), including its fee structure, is in the interests of shareholders and, therefore, the Contract Review Committee recommended to the Board approval of the agreement. The Board accepted the recommendation of the Contract Review Committee as well as the factors considered and conclusions reached by the Contract Review Committee with respect to the agreement. Accordingly, the Board, including a majority of the Independent Trustees, voted to approve continuation of the investment advisory agreement for the Portfolio.
Nature, Extent and Quality of Services
In considering whether to approve the investment advisory agreement of the Portfolio, the Board evaluated the nature, extent and quality of services provided to the Portfolio by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the Portfolio, including the education, experience and number of its investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Portfolio. In particular, the Board evaluated the experience and abilities of such personnel in analyzing factors such as the special considerations relevant to investing in senior floating rate loans. The Board noted the experience of the Adviser’s large group of bank loan investment professionals and other personnel who provide services to the Portfolio, including portfolio managers and analysts. The Board also took into account the resources dedicated to portfolio management and other services, including the compensation methods of the Adviser to recruit and retain investment personnel, and the time and attention devoted to the Portfolio by senior management.
The Board also reviewed the compliance programs of the Adviser and relevant affiliates thereof. Among other matters, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity and the allocation of investment opportunities. The Board also evaluated the responses of the Adviser and its affiliates to requests in recent years from regulatory authorities such as the Securities and Exchange Commission and the Financial Industry Regulatory Authority.
The Board considered shareholder and other administrative services provided or managed by Eaton Vance Management and its affiliates, including transfer agency and accounting services. The Board evaluated the benefits to shareholders of investing in a fund that is a part of a large family of funds, including the ability, in many cases, to exchange an investment among different funds without incurring additional sales charges.
43
Eaton Vance Floating-Rate Fund
BOARD OF TRUSTEES’ ANNUAL APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT CONT’D
After consideration of the foregoing factors, among others, the Board concluded that the nature, extent and quality of services provided by the Adviser, taken as a whole, are appropriate and consistent with the terms of the investment advisory agreement.
Fund Performance
The Board compared the Fund’s investment performance to a relevant universe of similarly managed funds identified by an independent data provider and appropriate benchmark indices. The Board reviewed comparative performance data for the one-, three- and five-year periods ended September 30, 2009 for the Fund. The Board concluded that the performance of the Fund was satisfactory.
Management Fees and Expenses
The Board reviewed contractual investment advisory fee rates, including any administrative fee rates, payable by the Portfolio and by the Fund (referred to collectively as “management fees”). As part of its review, the Board considered the management fees and the Fund’s total expense ratio for the year ended September 30, 2009, as compared to a group of similarly managed funds selected by an independent data provider. The Board also considered factors that had an impact on Fund expense ratios, as identified by management in response to inquiries from the Contract Review Committee, as well as actions being taken to reduce expenses at the fund complex level.
After reviewing the foregoing information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the management fees charged for advisory and related services are reasonable.
Profitability
The Board reviewed the level of profits realized by the Adviser and relevant affiliates thereof in providing investment advisory and administrative services to the Fund, the Portfolio and to all Eaton Vance Funds as a group. The Board considered the level of profits realized without regard to revenue sharing or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered other direct or indirect benefits received by the Adviser and its affiliates in connection with its relationship with the Fund and Portfolio, including the benefits of research services that may be available to the Adviser as a result of securities transactions effected for the Portfolio and other investment advisory clients.
The Board concluded that, in light of the foregoing factors and the nature, extent and quality of the services rendered, the profits realized by the Adviser and its affiliates are reasonable.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Fund and the Portfolio, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and Portfolio increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of any specific fund or group of funds. The Board reviewed data summarizing the increases and decreases in the assets of the Fund and of all Eaton Vance Funds as a group over various time periods, and evaluated the extent to which the total expense ratio of the Fund and the profitability of the Adviser and its affiliates may have been affected by such increases or decreases. Based upon the foregoing, the Board concluded that the benefits from economies of scale are currently being shared equitably by the Adviser and its affiliates and the Fund. The Board also concluded that, assuming reasonably foreseeable increases in the assets of the Portfolio, the structure of the advisory fee, which includes breakpoints at several asset levels, can be expected to cause the Adviser and its affiliates and the Fund to continue to share such benefits equitably.
44
Eaton Vance Floating-Rate Fund
OFFICERS AND TRUSTEES
Eaton Vance Floating-Rate Fund
Officers Thomas E. Faust Jr. President and Trustee William H. Ahern, Jr. Vice President John R. Baur Vice President Maria C. Cappellano Vice President Michael A. Cirami Vice President Cynthia J. Clemson Vice President John H. Croft Vice President Charles B. Gaffney Vice President Christine M. Johnston Vice President Aamer Khan Vice President Thomas H. Luster Vice President Jeffrey A. Rawlins Vice President Duncan W. Richardson Vice President Judith A. Saryan Vice President Susan Schiff Vice President Thomas Seto Vice President David M. Stein Vice President Eric A. Stein Vice President Dan R. Strelow Vice President Mark S. Venezia Vice President Adam A. Weigold Vice President Barbara E. Campbell Treasurer Maureen A. Gemma Secretary and Chief Legal Officer Paul M. O’Neil Chief Compliance Officer | Trustees Ralph F. Verni Chairman Benjamin C. Esty Allen R. Freedman William H. Park Ronald A. Pearlman Helen Frame Peters Heidi L. Steiger Lynn A. Stout |
45
Eaton Vance Floating-Rate Fund
OFFICERS AND TRUSTEES CONT’D
Floating Rate Portfolio
Officers Scott H. Page President Craig P. Russ Vice President Barbara E. Campbell Treasurer Maureen A. Gemma Secretary and Chief Legal Officer Paul M. O’Neil Chief Compliance Officer | Trustees Ralph F. Verni Chairman Benjamin C. Esty Thomas E. Faust Jr. Allen R. Freedman William H. Park Ronald A. Pearlman Helen Frame Peters Heidi L. Steiger Lynn A. Stout |
46
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Investment Adviser of Floating Rate Portfolio
Boston Management and Research
Two International Place
Boston, MA 02110
Eaton Vance Management
Two International Place
Boston, MA 02110
Eaton Vance Distributors, Inc.
Two International Place
Boston, MA 02110
(617) 482-8260
State Street Bank & Trust Company
200 Clarendon Street
Boston, MA 02116
PNC Global Investment Servicing
Attn: Eaton Vance Funds
P.O. Box 9653
Providence, RI 02940-9653
(800) 262-1122
Eaton Vance Floating-Rate Fund
Two International Place
Boston, MA 02110
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing the program is available to investors at www.FINRA.org.
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 1-800-262-1122.
1044-6/10 | FRSRC |
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, an independent trustee, as its audit committee financial expert. Mr. Park is a certified public accountant who is the Vice Chairman of Commercial Industrial Finance Corp (specialty finance company). Previously, he served as President and Chief Executive Officer of Prizm Capital Management, LLC (investment management firm), as Executive Vice President and Chief Financial Officer of United Asset Management Corporation (an institutional
investment management firm) and as a Senior Manager at Price Waterhouse (now PricewaterhouseCoopers) (an independent registered public accounting firm).
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
Not required in this filing.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not required in this filing.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not required in this filing.
Item 10. Submission of Matters to a Vote of Security Holders
No Material Changes.
Item 11. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. 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.
Floating Rate Portfolio | ||||
By: | /s/ Scott H. Page | |||
Scott H. Page | ||||
President | ||||
Date: June 17, 2010
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: June 17, 2010
By: | /s/ Scott H. Page | |||
Scott H. Page | ||||
President | ||||
Date: June 17, 2010