UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
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)
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number)
(Registrant’s Telephone Number)
October 31
Date of Fiscal Year End
Date of Fiscal Year End
April 30, 2012
Date of Reporting Period
Date of Reporting Period
Item 1. Reports to Stockholders
Floating Rate Portfolio
April 30, 2012
Portfolio of Investments (Unaudited)
Senior Floating-Rate Interests — 94.4%(1) | ||||||||||||
Principal | ||||||||||||
Amount* | ||||||||||||
Borrower/Tranche Description | (000’s omitted) | Value | ||||||||||
Aerospace and Defense — 1.7% | ||||||||||||
DAE Aviation Holdings, Inc. | ||||||||||||
Revolving Loan, 5.13%, Maturing July 31, 2013(2) | 20,000 | $ | 19,200,000 | |||||||||
Term Loan, 5.47%, Maturing July 31, 2014 | 20,209 | 20,208,943 | ||||||||||
Term Loan, 5.47%, Maturing July 31, 2014 | 20,523 | 20,523,176 | ||||||||||
Ducommun Incorporated | ||||||||||||
Term Loan, 5.50%, Maturing June 28, 2017 | 7,047 | 7,090,792 | ||||||||||
IAP Worldwide Services, Inc. | ||||||||||||
Term Loan, 9.25%, Maturing December 28, 2012 | 30,334 | 27,376,366 | ||||||||||
Sequa Corporation | ||||||||||||
Term Loan, 3.72%, Maturing December 3, 2014 | 3,989 | 3,956,014 | ||||||||||
Term Loan, 6.25%, Maturing December 3, 2014 | 3,017 | 3,036,297 | ||||||||||
TASC, Inc. | ||||||||||||
Term Loan, 4.50%, Maturing December 18, 2015 | 15,785 | 15,706,544 | ||||||||||
Transdigm, Inc. | ||||||||||||
Term Loan, 4.00%, Maturing February 14, 2017 | 9,776 | 9,804,015 | ||||||||||
Term Loan, 4.00%, Maturing February 14, 2017 | 27,594 | 27,674,694 | ||||||||||
Wesco Aircraft Hardware Corp. | ||||||||||||
Term Loan, 4.25%, Maturing April 7, 2017 | 1,989 | 1,999,376 | ||||||||||
Wyle Services Corporation | ||||||||||||
Term Loan, 5.75%, Maturing March 27, 2017 | 11,224 | 11,209,533 | ||||||||||
$ | 167,785,750 | |||||||||||
Air Transport — 0.3% | ||||||||||||
Evergreen International Aviation, Inc. | ||||||||||||
Term Loan, 11.50%, Maturing June 30, 2015 | 11,306 | $ | 9,666,841 | |||||||||
Orbitz Worldwide Inc. | ||||||||||||
Term Loan, 3.24%, Maturing July 25, 2014 | 18,599 | 18,156,921 | ||||||||||
$ | 27,823,762 | |||||||||||
Automotive — 4.8% | ||||||||||||
Allison Transmission, Inc. | ||||||||||||
Term Loan, 2.74%, Maturing August 7, 2014 | 66,731 | $ | 66,668,550 | |||||||||
Autoparts Holdings Limited | ||||||||||||
Term Loan, 6.50%, Maturing July 28, 2017 | 8,066 | 7,980,036 | ||||||||||
Chrysler Group LLC | ||||||||||||
Term Loan, 6.00%, Maturing May 24, 2017 | 74,793 | 76,298,367 | ||||||||||
Delphi Corporation | ||||||||||||
Term Loan, 3.50%, Maturing March 31, 2017 | 9,555 | 9,596,331 | ||||||||||
Federal-Mogul Corporation | ||||||||||||
Term Loan, 2.18%, Maturing December 29, 2014 | 41,141 | 39,909,154 | ||||||||||
Term Loan, 2.18%, Maturing December 28, 2015 | 23,455 | 22,752,758 | ||||||||||
Financiere Truck Investissement SAS | ||||||||||||
Term Loan, 1.64%, Maturing February 15, 2013(2) | GBP | 2,136 | 3,258,946 | |||||||||
Term Loan, 3.57%, Maturing February 15, 2013 | EUR | 1,455 | 1,810,566 | |||||||||
Ford Motor Co. | ||||||||||||
Term Loan, 0.25%, Maturing November 30, 2015(2) | 4,852 | 4,573,393 | ||||||||||
Goodyear Tire & Rubber Company (The) | ||||||||||||
Term Loan - Second Lien, 4.75%, Maturing April 30, 2019 | 79,325 | 78,308,688 | ||||||||||
HHI Holdings LLC | ||||||||||||
Term Loan, 7.00%, Maturing March 21, 2017 | 13,992 | 14,062,038 | ||||||||||
Metaldyne Company LLC | ||||||||||||
Term Loan, 5.25%, Maturing May 18, 2017 | 23,547 | 23,694,364 | ||||||||||
Remy International, Inc. | ||||||||||||
Term Loan, 6.25%, Maturing December 16, 2016 | 5,303 | 5,331,245 | ||||||||||
SRAM, LLC | ||||||||||||
Term Loan, 4.78%, Maturing June 7, 2018 | 21,433 | 21,740,713 | ||||||||||
Term Loan - Second Lien, 8.50%, Maturing December 7, 2018 | 3,000 | 3,028,089 | ||||||||||
Tomkins LLC | ||||||||||||
Term Loan, 4.25%, Maturing September 29, 2015 | 4,526 | 4,522,674 | ||||||||||
Term Loan, 4.25%, Maturing September 29, 2016 | 29,682 | 29,821,687 | ||||||||||
TriMas Corporation | ||||||||||||
Term Loan, 4.25%, Maturing June 21, 2017 | 13,608 | 13,642,166 | ||||||||||
UCI International, Inc. | ||||||||||||
Term Loan, 5.50%, Maturing July 26, 2017 | 3,419 | 3,436,253 | ||||||||||
Veyance Technologies, Inc. | ||||||||||||
Term Loan, 2.74%, Maturing July 31, 2014 | 4,334 | 4,198,864 | ||||||||||
Term Loan, 2.74%, Maturing July 31, 2014 | 26,799 | 25,961,627 | ||||||||||
Term Loan - Second Lien, 5.50%, Maturing July 31, 2014 | 4,025 | 4,025,000 | ||||||||||
Term Loan - Second Lien, 5.99%, Maturing July 31, 2015 | 2,000 | 1,885,000 | ||||||||||
$ | 466,506,509 | |||||||||||
Beverage and Tobacco — 0.0%(3) | ||||||||||||
Maine Beverage Company | ||||||||||||
Term Loan, 2.22%, Maturing March 31, 2013 | 452 | $ | 441,982 | |||||||||
$ | 441,982 | |||||||||||
Building and Development — 1.3% | ||||||||||||
401 North Wabash Venture LLC | ||||||||||||
Term Loan, 6.80%, Maturing July 27, 2012(4) | 6,735 | $ | 5,859,579 | |||||||||
Armstrong World Industries, Inc. | ||||||||||||
Term Loan, 4.00%, Maturing March 9, 2018 | 23,158 | 23,215,504 | ||||||||||
Forestar Real Estate Group Inc. | ||||||||||||
Revolving Loan, 0.49%, Maturing August 6, 2013(2) | 1,675 | 1,574,712 | ||||||||||
Term Loan, 6.50%, Maturing August 6, 2015 | 13,570 | 13,094,992 | ||||||||||
Goodman Global Inc. | ||||||||||||
Term Loan, 5.75%, Maturing October 28, 2016 | 16,950 | 17,089,259 | ||||||||||
Materis SAS | ||||||||||||
Term Loan, 3.44%, Maturing April 27, 2014 | EUR | 2,114 | 2,401,420 | |||||||||
Term Loan, 3.81%, Maturing April 27, 2015 | EUR | 2,254 | 2,559,789 | |||||||||
NCI Building Systems, Inc. | ||||||||||||
Term Loan, 6.50%, Maturing April 18, 2014 | 3,198 | 3,186,937 | ||||||||||
Panolam Industries International, Inc. | ||||||||||||
Term Loan, 8.25%, Maturing December 31, 2013 | 8,673 | 8,575,161 |
See Notes to Financial Statements.
18
Floating Rate Portfolio
April 30, 2012
Portfolio of Investments (Unaudited) — continued
Principal | ||||||||||||
Amount* | ||||||||||||
Borrower/Tranche Description | (000’s omitted) | Value | ||||||||||
Building and Development (continued) | ||||||||||||
RE/MAX International, Inc. | ||||||||||||
Term Loan, 5.50%, Maturing April 15, 2016 | 12,299 | $ | 12,314,803 | |||||||||
Realogy Corporation | ||||||||||||
Term Loan, 3.24%, Maturing October 10, 2013 | 2,712 | 2,585,300 | ||||||||||
Term Loan, 4.49%, Maturing October 10, 2016 | 359 | 334,204 | ||||||||||
Term Loan, 4.77%, Maturing October 10, 2016 | 4,570 | 4,260,359 | ||||||||||
Summit Materials Companies I, LLC | ||||||||||||
Term Loan, 6.00%, Maturing January 25, 2019 | 7,025 | 7,090,859 | ||||||||||
The Woodlands Land Development Company L.P. | ||||||||||||
Term Loan, 5.00%, Maturing March 7, 2014 | 19,259 | 18,970,370 | ||||||||||
WCI Communities, Inc. | ||||||||||||
Term Loan, 10.00%, Maturing September 2, 2016(4) | 3,882 | 3,785,217 | ||||||||||
$ | 126,898,465 | |||||||||||
Business Equipment and Services — 8.8% | ||||||||||||
ACCO Brands Corporation | ||||||||||||
Term Loan, Maturing March 26, 2019(5) | 5,775 | $ | 5,802,073 | |||||||||
Acosta, Inc. | ||||||||||||
Term Loan, 4.75%, Maturing March 1, 2018 | 28,558 | 28,593,735 | ||||||||||
Advantage Sales & Marketing, Inc. | ||||||||||||
Term Loan, 5.25%, Maturing December 18, 2017 | 40,402 | 40,427,525 | ||||||||||
Affinion Group, Inc. | ||||||||||||
Term Loan, 5.00%, Maturing October 10, 2016 | 41,151 | 39,196,598 | ||||||||||
Allied Security Holdings, LLC | ||||||||||||
Term Loan, 5.25%, Maturing February 3, 2017 | 13,266 | 13,310,276 | ||||||||||
Altegrity, Inc. | ||||||||||||
Term Loan, 7.75%, Maturing February 20, 2015 | 4,732 | 4,756,876 | ||||||||||
Term Loan, 2.99%, Maturing February 21, 2015 | 15,116 | 14,499,120 | ||||||||||
BAR/BRI Review Courses, Inc. | ||||||||||||
Term Loan, 6.00%, Maturing June 16, 2017 | 9,738 | 9,689,652 | ||||||||||
Brand Energy & Infrastructure Services, Inc. | ||||||||||||
Term Loan, 2.50%, Maturing February 7, 2014 | 18,961 | 17,384,838 | ||||||||||
Brickman Group Holdings Inc. | ||||||||||||
Term Loan, 7.25%, Maturing October 14, 2016 | 13,478 | 13,637,860 | ||||||||||
Brock Holdings III, Inc. | ||||||||||||
Term Loan, 6.01%, Maturing March 16, 2017 | 16,433 | 16,417,768 | ||||||||||
Catalina Marketing Corporation | ||||||||||||
Term Loan, 2.99%, Maturing October 1, 2014 | 5,902 | 5,794,853 | ||||||||||
ClientLogic Corporation | ||||||||||||
Term Loan, 7.15%, Maturing January 30, 2017 | EUR | 569 | 708,540 | |||||||||
Term Loan, 7.22%, Maturing January 30, 2017 | 9,682 | 8,714,115 | ||||||||||
DynCorp International LLC | ||||||||||||
Term Loan, 6.25%, Maturing July 7, 2016 | 11,683 | 11,712,019 | ||||||||||
Education Management LLC | ||||||||||||
Term Loan, 8.25%, Maturing March 29, 2018 | 24,600 | 24,753,750 | ||||||||||
EIG Investors Corp. | ||||||||||||
Term Loan, 7.75%, Maturing April 20, 2018 | 14,575 | 14,629,656 | ||||||||||
Expert Global Solutions, Inc. | ||||||||||||
Term Loan, 9.00%, Maturing April 3, 2018 | 23,200 | 22,997,000 | ||||||||||
Genesys Telecom Holdings, U.S., Inc. | ||||||||||||
Term Loan, 6.75%, Maturing January 31, 2019 | 7,400 | 7,513,316 | ||||||||||
Go Daddy Operating Company, LLC | ||||||||||||
Term Loan, 5.50%, Maturing December 17, 2018 | 19,850 | 19,926,753 | ||||||||||
IMS Health Incorporated | ||||||||||||
Term Loan, 4.50%, Maturing August 25, 2017 | 15,038 | 15,119,861 | ||||||||||
KAR Auction Services, Inc. | ||||||||||||
Term Loan, 5.00%, Maturing May 19, 2017 | 33,125 | 33,338,607 | ||||||||||
Kronos, Inc. | ||||||||||||
Term Loan, 5.22%, Maturing June 9, 2017 | 13,705 | 13,739,453 | ||||||||||
Term Loan, 6.25%, Maturing December 28, 2017 | 9,875 | 9,986,347 | ||||||||||
Term Loan, 10.58%, Maturing June 11, 2018 | 3,000 | 3,067,500 | ||||||||||
Language Line, LLC | ||||||||||||
Term Loan, 6.25%, Maturing June 20, 2016 | 20,446 | 20,497,555 | ||||||||||
Lawson Software Inc. | ||||||||||||
Term Loan, 5.75%, Maturing October 18, 2016 | 2,000 | 2,020,000 | ||||||||||
Term Loan, 6.25%, Maturing April 5, 2018 | 60,175 | 61,040,016 | ||||||||||
Meritas LLC | ||||||||||||
Term Loan, 7.50%, Maturing July 28, 2017 | 13,137 | 13,103,937 | ||||||||||
Mitchell International, Inc. | ||||||||||||
Term Loan, 2.50%, Maturing March 28, 2014 | 1,866 | 1,849,451 | ||||||||||
Term Loan - Second Lien, 5.75%, Maturing March 30, 2015 | 1,500 | 1,475,625 | ||||||||||
Monitronics International Inc. | ||||||||||||
Term Loan, 5.50%, Maturing March 16, 2018 | 9,975 | 10,068,516 | ||||||||||
MSCI, Inc. | ||||||||||||
Term Loan, 3.50%, Maturing March 14, 2017 | 10,259 | 10,267,060 | ||||||||||
Oz Management LP | ||||||||||||
Term Loan, Maturing November 15, 2016(5) | 15,724 | 13,679,602 | ||||||||||
Quintiles Transnational Corp. | ||||||||||||
Term Loan, 5.00%, Maturing June 8, 2018 | 54,240 | 54,460,377 | ||||||||||
Sabre, Inc. | ||||||||||||
Term Loan, 2.24%, Maturing September 30, 2014 | 46,377 | 44,734,751 | ||||||||||
Sensus USA Inc. | ||||||||||||
Term Loan, 4.75%, Maturing May 9, 2017 | 11,039 | 11,061,493 | ||||||||||
Softlayer Technologies, Inc. | ||||||||||||
Term Loan, 7.25%, Maturing November 5, 2016 | 9,208 | 9,283,256 | ||||||||||
Sungard Data Systems, Inc. | ||||||||||||
Term Loan, 3.95%, Maturing February 26, 2016 | 49,647 | 49,817,961 | ||||||||||
Term Loan, 3.99%, Maturing February 28, 2017 | 29,027 | 29,163,104 | ||||||||||
SymphonyIRI Group, Inc. | ||||||||||||
Term Loan, 5.00%, Maturing December 1, 2017 | 5,930 | 5,941,307 | ||||||||||
Trans Union, LLC | ||||||||||||
Term Loan, 4.75%, Maturing February 12, 2018 | 30,443 | 30,813,533 | ||||||||||
Travelport LLC | ||||||||||||
Term Loan, 2.97%, Maturing August 23, 2013 | 595 | 592,608 | ||||||||||
Term Loan, 2.97%, Maturing August 23, 2013 | 154 | 153,053 | ||||||||||
Term Loan, 4.97%, Maturing August 21, 2015 | 20,702 | 18,938,853 | ||||||||||
Term Loan, 4.97%, Maturing August 21, 2015 | 25,941 | 23,731,557 |
See Notes to Financial Statements.
19
Floating Rate Portfolio
April 30, 2012
Portfolio of Investments (Unaudited) — continued
Principal | ||||||||||||
Amount* | ||||||||||||
Borrower/Tranche Description | (000’s omitted) | Value | ||||||||||
Business Equipment and Services (continued) | ||||||||||||
Term Loan, 4.97%, Maturing August 21, 2015 | 8,217 | $ | 7,517,400 | |||||||||
Term Loan, 5.18%, Maturing August 21, 2015 | EUR | 1,481 | 1,706,242 | |||||||||
U.S. Security Holdings, Inc. | ||||||||||||
Term Loan, 6.00%, Maturing July 28, 2017 | 1,618 | 1,624,516 | ||||||||||
Term Loan, 6.00%, Maturing July 28, 2017 | 8,266 | 8,300,138 | ||||||||||
West Corporation | ||||||||||||
Term Loan, 4.49%, Maturing July 15, 2016 | 6,528 | 6,567,873 | ||||||||||
Term Loan, 4.60%, Maturing July 15, 2016 | 18,134 | 18,236,175 | ||||||||||
$ | 852,364,050 | |||||||||||
Cable and Satellite Television — 3.7% | ||||||||||||
Atlantic Broadband Finance, LLC | ||||||||||||
Term Loan, 5.25%, Maturing April 3, 2019 | 15,425 | $ | 15,547,120 | |||||||||
BBHI Acquisition LLC | ||||||||||||
Term Loan, 4.50%, Maturing December 14, 2017 | 4,819 | 4,839,107 | ||||||||||
Bragg Communications Incorporated | ||||||||||||
Term Loan, 4.00%, Maturing February 28, 2018 | 4,750 | 4,762,112 | ||||||||||
Cequel Communications, LLC | ||||||||||||
Term Loan, 4.00%, Maturing February 14, 2019 | 56,800 | 56,274,600 | ||||||||||
Charter Communications Operating, LLC | ||||||||||||
Term Loan, 3.72%, Maturing September 6, 2016 | 28,477 | 28,515,671 | ||||||||||
Term Loan, 4.00%, Maturing May 15, 2019 | 11,025 | 11,013,975 | ||||||||||
Crown Media Holdings, Inc. | ||||||||||||
Term Loan, 5.75%, Maturing July 14, 2018 | 9,105 | 9,150,900 | ||||||||||
CSC Holdings, Inc. | ||||||||||||
Term Loan, 3.24%, Maturing March 29, 2016 | 23,226 | 23,156,462 | ||||||||||
Term Loan, 3.49%, Maturing March 29, 2016 | 3,584 | 3,578,563 | ||||||||||
Kabel Deutschland GMBH | ||||||||||||
Term Loan, 4.25%, Maturing February 1, 2019 | 14,825 | 14,880,594 | ||||||||||
Lavena Holdings 4 GmbH | ||||||||||||
Term Loan, 3.68%, Maturing March 6, 2015 | EUR | 2,822 | 3,231,368 | |||||||||
Term Loan, 4.06%, Maturing March 4, 2016 | EUR | 2,822 | 3,231,368 | |||||||||
MCC Iowa LLC | ||||||||||||
Term Loan, 1.95%, Maturing January 30, 2015 | 7,459 | 7,225,867 | ||||||||||
Term Loan, 1.95%, Maturing January 30, 2015 | 7,580 | 7,343,125 | ||||||||||
Mediacom Broadband LLC | ||||||||||||
Term Loan, 4.50%, Maturing October 23, 2017 | 10,095 | 10,107,806 | ||||||||||
Mediacom Illinois, LLC | ||||||||||||
Term Loan, 1.95%, Maturing January 30, 2015 | 18,846 | 18,186,416 | ||||||||||
Mediacom LLC | ||||||||||||
Term Loan, 4.50%, Maturing October 23, 2017 | 10,327 | 10,320,876 | ||||||||||
NDS Finance Limited | ||||||||||||
Term Loan, 4.00%, Maturing March 12, 2018 | 24,058 | 24,087,832 | ||||||||||
P7S1 Broadcasting Holding II B.V. | ||||||||||||
Term Loan, 3.52%, Maturing July 1, 2016 | EUR | 5,546 | 6,945,738 | |||||||||
UPC Broadband Holding B.V. | ||||||||||||
Term Loan, 4.17%, Maturing December 31, 2016 | EUR | 37,765 | 48,896,203 | |||||||||
Term Loan, 4.42%, Maturing December 29, 2017 | EUR | 2,000 | 2,604,380 | |||||||||
UPC Financing Partnership | ||||||||||||
Term Loan, 3.74%, Maturing December 30, 2016 | 5,061 | 5,054,841 | ||||||||||
Term Loan, 3.74%, Maturing December 29, 2017 | 20,793 | 20,689,026 | ||||||||||
Term Loan, 4.75%, Maturing December 29, 2017 | 4,575 | 4,597,875 | ||||||||||
YPSO Holding SA | ||||||||||||
Term Loan, 3.90%, Maturing June 6, 2016(4) | EUR | 3,336 | 3,938,890 | |||||||||
Term Loan, 3.90%, Maturing June 6, 2016(4) | EUR | 5,763 | 6,804,162 | |||||||||
$ | 354,984,877 | |||||||||||
Chemicals and Plastics — 3.8% | ||||||||||||
AZ Chem US Inc. | ||||||||||||
Term Loan, 7.25%, Maturing December 22, 2017 | 14,507 | $ | 14,779,284 | |||||||||
Celanese U.S. Holdings LLC | ||||||||||||
Term Loan, 3.44%, Maturing October 31, 2016 | EUR | 671 | 892,528 | |||||||||
Chemtura Corp. | ||||||||||||
Term Loan, 5.50%, Maturing August 27, 2016 | 8,200 | 8,276,875 | ||||||||||
General Chemical Corporation | ||||||||||||
Term Loan, 5.00%, Maturing October 6, 2015 | 4,229 | 4,249,273 | ||||||||||
Harko C.V. | ||||||||||||
Term Loan, 5.75%, Maturing August 2, 2017 | 7,962 | 8,022,213 | ||||||||||
Term Loan, 6.25%, Maturing August 2, 2017 | EUR | 1,990 | 2,652,274 | |||||||||
Houghton International, Inc. | ||||||||||||
Revolving Loan, 0.50%, Maturing January 30, 2016(2) | 1,280 | 1,235,200 | ||||||||||
Revolving Loan, 2.20%, Maturing January 30, 2016(2) | 320 | 308,800 | ||||||||||
Term Loan, 6.75%, Maturing January 29, 2016 | 14,901 | 14,975,738 | ||||||||||
Huntsman International, LLC | ||||||||||||
Term Loan, 2.55%, Maturing June 30, 2016 | 2,309 | 2,292,870 | ||||||||||
Term Loan, 2.85%, Maturing April 19, 2017 | 14,397 | 14,330,430 | ||||||||||
INEOS Holdings, Ltd. | ||||||||||||
Term Loan, 8.00%, Maturing December 16, 2014 | EUR | 2,233 | 3,117,241 | |||||||||
Ineos US Finance LLC | ||||||||||||
Term Loan, 8.00%, Maturing December 16, 2014 | 2,419 | 2,515,404 | ||||||||||
Momentive Performance Materials GmbH | ||||||||||||
Term Loan, 3.90%, Maturing May 5, 2015 | EUR | 4,935 | 6,238,369 | |||||||||
Momentive Performance Materials Inc. | ||||||||||||
Term Loan, 2.49%, Maturing December 4, 2013 | 4,750 | 4,712,394 | ||||||||||
Term Loan, 3.75%, Maturing May 29, 2015 | 7,700 | 7,353,500 | ||||||||||
Momentive Performance Materials USA Inc. | ||||||||||||
Term Loan, 3.75%, Maturing May 5, 2015 | 21,638 | 20,880,807 | ||||||||||
Momentive Specialty Chemicals Inc. | ||||||||||||
Term Loan, 2.50%, Maturing May 3, 2013 | 12,368 | 12,147,026 | ||||||||||
Term Loan, 4.00%, Maturing May 5, 2015 | 13,288 | 13,237,914 | ||||||||||
Term Loan, 4.25%, Maturing May 5, 2015 | 6,895 | 6,869,558 | ||||||||||
Term Loan, 4.25%, Maturing May 5, 2015 | 7,060 | 6,936,589 | ||||||||||
Term Loan, 4.31%, Maturing May 5, 2015 | 4,105 | 4,043,312 | ||||||||||
Term Loan, 4.54%, Maturing May 5, 2015 | EUR | 1,077 | 1,393,235 |
See Notes to Financial Statements.
20
Floating Rate Portfolio
April 30, 2012
Portfolio of Investments (Unaudited) — continued
Principal | ||||||||||||
Amount* | ||||||||||||
Borrower/Tranche Description | (000’s omitted) | Value | ||||||||||
Chemicals and Plastics (continued) | ||||||||||||
Norit NV | ||||||||||||
Term Loan, 6.75%, Maturing July 7, 2017 | 16,666 | $ | 16,853,745 | |||||||||
Omnova Solutions Inc. | ||||||||||||
Term Loan, 5.75%, Maturing May 31, 2017 | 15,063 | 15,137,905 | ||||||||||
PolyOne Corp. | ||||||||||||
Term Loan, 5.00%, Maturing December 20, 2017 | 10,577 | 10,643,358 | ||||||||||
Solutia, Inc. | ||||||||||||
Revolving Loan, 0.92%, Maturing March 17, 2015(2) | 5,000 | 5,000,000 | ||||||||||
Term Loan, 3.50%, Maturing August 1, 2017 | 14,911 | 14,923,593 | ||||||||||
Sonneborn LLC | ||||||||||||
Term Loan, Maturing March 26, 2018(5) | 6,630 | 6,696,300 | ||||||||||
Styron S.A.R.L, LLC | ||||||||||||
Term Loan, 6.00%, Maturing August 2, 2017 | 42,359 | 39,592,460 | ||||||||||
Taminco Global Chemical Corporation | ||||||||||||
Term Loan, 6.25%, Maturing February 15, 2019 | 4,550 | 4,604,031 | ||||||||||
Tronox Pigments (Netherlands) B.V. | ||||||||||||
Term Loan, 1.00%, Maturing February 8, 2018(2) | 2,946 | 2,951,034 | ||||||||||
Term Loan, 4.25%, Maturing February 8, 2018 | 10,804 | 10,825,762 | ||||||||||
Univar Inc. | ||||||||||||
Term Loan, 5.00%, Maturing June 30, 2017 | 73,474 | 73,697,170 | ||||||||||
$ | 362,386,192 | |||||||||||
Clothing / Textiles — 0.0%(3) | ||||||||||||
Phillips-Van Heusen Corporation | ||||||||||||
Term Loan, 3.75%, Maturing May 6, 2016 | EUR | 609 | $ | 806,606 | ||||||||
Warnaco Inc. | ||||||||||||
Term Loan, 3.75%, Maturing June 15, 2018 | 3,920 | 3,930,176 | ||||||||||
$ | 4,736,782 | |||||||||||
Conglomerates — 1.4% | ||||||||||||
Jason Incorporated | ||||||||||||
Term Loan, 8.25%, Maturing September 21, 2014 | 1,035 | $ | 1,034,841 | |||||||||
Term Loan, 7.75%, Maturing September 22, 2014 | 2,562 | 2,549,602 | ||||||||||
Term Loan, 8.25%, Maturing September 22, 2014 | 415 | 413,607 | ||||||||||
Rexnord Corporation | ||||||||||||
Term Loan, 5.00%, Maturing April 2, 2018 | 38,329 | 38,736,681 | ||||||||||
RGIS Holdings LLC | ||||||||||||
Term Loan, 2.49%, Maturing April 30, 2014 | 923 | 915,617 | ||||||||||
Term Loan, 2.49%, Maturing April 30, 2014 | 19,795 | 19,646,621 | ||||||||||
Spectrum Brands, Inc. | ||||||||||||
Term Loan, 5.00%, Maturing June 17, 2016 | 27,698 | 27,833,356 | ||||||||||
Walter Energy, Inc. | ||||||||||||
Term Loan, 4.00%, Maturing April 2, 2018 | 48,650 | 48,710,550 | ||||||||||
$ | 139,840,875 | |||||||||||
Containers and Glass Products — 2.2% | ||||||||||||
Berry Plastics Corporation | ||||||||||||
Term Loan, 2.24%, Maturing April 3, 2015 | 29,293 | $ | 28,634,257 | |||||||||
BWAY Corporation | ||||||||||||
Term Loan, 4.50%, Maturing February 23, 2018 | 2,796 | 2,806,720 | ||||||||||
Term Loan, 4.50%, Maturing February 23, 2018 | 29,494 | 29,604,893 | ||||||||||
Consolidated Container Company LLC | ||||||||||||
Term Loan, 2.50%, Maturing March 28, 2014 | 13,769 | 13,528,445 | ||||||||||
Hilex Poly Co. LLC | ||||||||||||
Term Loan, 11.25%, Maturing November 16, 2015 | 4,073 | 4,174,483 | ||||||||||
Pelican Products, Inc. | ||||||||||||
Term Loan, 5.00%, Maturing March 7, 2017 | 6,354 | 6,354,452 | ||||||||||
Reynolds Group Holdings Inc. | ||||||||||||
Term Loan, 6.50%, Maturing February 9, 2018 | 67,763 | 68,821,989 | ||||||||||
Term Loan, 6.50%, Maturing August 9, 2018 | 39,347 | 39,962,108 | ||||||||||
Sealed Air Corporation | ||||||||||||
Term Loan, 4.75%, Maturing October 3, 2018 | 4,102 | 4,153,232 | ||||||||||
Term Loan, 5.50%, Maturing October 3, 2018 | EUR | 983 | 1,311,915 | |||||||||
TricorBraun, Inc. | ||||||||||||
Term Loan, 4.50%, Maturing July 31, 2013 | 1,590 | 1,584,226 | ||||||||||
Term Loan, Maturing May 10, 2018(5) | 7,500 | 7,462,500 | ||||||||||
$ | 208,399,220 | |||||||||||
Cosmetics / Toiletries — 0.3% | ||||||||||||
Bausch & Lomb, Inc. | ||||||||||||
Term Loan, 3.49%, Maturing April 24, 2015 | 3,907 | $ | 3,908,760 | |||||||||
Term Loan, 3.67%, Maturing April 24, 2015 | 17,662 | 17,671,874 | ||||||||||
Huish Detergents, Inc. | ||||||||||||
Term Loan, 2.24%, Maturing April 25, 2014 | 1,954 | 1,868,365 | ||||||||||
Prestige Brands, Inc. | ||||||||||||
Term Loan, 5.26%, Maturing January 31, 2019 | 5,387 | 5,429,478 | ||||||||||
$ | 28,878,477 | |||||||||||
Drugs — 0.8% | ||||||||||||
Aptalis Pharma, Inc. | ||||||||||||
Term Loan, 5.50%, Maturing February 10, 2017 | 3,000 | $ | 2,964,999 | |||||||||
Term Loan, 5.50%, Maturing February 10, 2017 | 20,868 | 20,691,857 | ||||||||||
Capsugel Holdings US, Inc. | ||||||||||||
Term Loan, 5.25%, Maturing August 1, 2018 | 13,112 | 13,267,507 | ||||||||||
Endo Pharmaceuticals Holdings Inc. | ||||||||||||
Term Loan, 4.00%, Maturing June 18, 2018 | 3,274 | 3,288,153 | ||||||||||
Warner Chilcott Company, LLC | ||||||||||||
Term Loan, 3.75%, Maturing March 17, 2016 | 316 | 316,060 | ||||||||||
Term Loan, 4.25%, Maturing March 15, 2018 | 8,342 | 8,375,497 | ||||||||||
Warner Chilcott Corporation | ||||||||||||
Term Loan, 4.25%, Maturing March 15, 2018 | 16,683 | 16,750,995 | ||||||||||
WC Luxco S.a.r.l. | ||||||||||||
Term Loan, 4.25%, Maturing March 15, 2018 | 11,470 | 11,516,309 | ||||||||||
$ | 77,171,377 | |||||||||||
See Notes to Financial Statements.
21
Floating Rate Portfolio
April 30, 2012
Portfolio of Investments (Unaudited) — continued
Principal | ||||||||||||
Amount* | ||||||||||||
Borrower/Tranche Description | (000’s omitted) | Value | ||||||||||
Ecological Services and Equipment — 0.0%(3) | ||||||||||||
Big Dumpster Merger Sub, Inc. | ||||||||||||
Term Loan, 6.50%, Maturing February 5, 2013(4) | 680 | $ | 612,911 | |||||||||
Term Loan, 6.50%, Maturing February 5, 2013(4) | 1,616 | 1,455,663 | ||||||||||
Envirotest Systems Holding Corp. | ||||||||||||
Term Loan - Second Lien, 15.50%, Maturing September 12, 2014(6) | 136 | 139,832 | ||||||||||
Safety Kleen (SK Holdings) | ||||||||||||
Term Loan, 5.00%, Maturing February 17, 2017 | 2,493 | 2,502,405 | ||||||||||
$ | 4,710,811 | |||||||||||
Electronics / Electrical — 6.1% | ||||||||||||
Aeroflex Incorporated | ||||||||||||
Term Loan, 4.25%, Maturing May 9, 2018 | 13,399 | $ | 13,373,980 | |||||||||
Aspect Software, Inc. | ||||||||||||
Term Loan, 6.25%, Maturing May 6, 2016 | 25,279 | 25,420,482 | ||||||||||
Attachmate Corporation | ||||||||||||
Term Loan, 6.50%, Maturing April 27, 2017 | 25,445 | 25,444,600 | ||||||||||
Cinedigm Digital Funding I, LLC | ||||||||||||
Term Loan, 5.25%, Maturing April 29, 2016 | 8,022 | 8,006,966 | ||||||||||
CommScope, Inc. | ||||||||||||
Term Loan, 4.25%, Maturing January 12, 2018 | 34,313 | 34,420,318 | ||||||||||
CPI International, Inc. | ||||||||||||
Term Loan, 5.00%, Maturing February 9, 2017 | 10,393 | 10,393,437 | ||||||||||
Dealer Computer Services, Inc. | ||||||||||||
Term Loan, 2.74%, Maturing April 21, 2016 | 2,339 | 2,333,586 | ||||||||||
Term Loan, 3.75%, Maturing April 20, 2018 | 18,321 | 18,343,666 | ||||||||||
DG FastChannel, Inc. | ||||||||||||
Term Loan, 5.75%, Maturing July 26, 2018 | 20,689 | 20,714,875 | ||||||||||
Eagle Parent, Inc. | ||||||||||||
Term Loan, 5.00%, Maturing May 16, 2018 | 33,673 | 33,767,534 | ||||||||||
Edwards (Cayman Islands II) Limited | ||||||||||||
Term Loan, 5.50%, Maturing May 31, 2016 | 8,401 | 8,390,711 | ||||||||||
Term Loan, 5.50%, Maturing May 31, 2016 | 17,736 | 17,713,368 | ||||||||||
FCI International | ||||||||||||
Term Loan, 3.62%, Maturing November 1, 2013 | 434 | 426,202 | ||||||||||
Term Loan, 3.62%, Maturing November 1, 2013 | 434 | 426,202 | ||||||||||
Term Loan, 3.62%, Maturing November 1, 2013 | 451 | 442,705 | ||||||||||
Term Loan, 3.62%, Maturing November 1, 2013 | 451 | 442,705 | ||||||||||
Term Loan, 3.62%, Maturing November 1, 2013 | 796 | 781,543 | ||||||||||
Term Loan, 3.62%, Maturing November 1, 2013 | 1,573 | 1,544,953 | ||||||||||
FCI International S.A.S. | ||||||||||||
Term Loan, 3.62%, Maturing November 1, 2013 | 1,916 | 1,881,842 | ||||||||||
Freescale Semiconductor, Inc. | ||||||||||||
Term Loan, 4.49%, Maturing December 1, 2016 | 42,483 | 41,752,374 | ||||||||||
InfoGroup Inc. | ||||||||||||
Term Loan, 5.75%, Maturing May 25, 2018 | 11,240 | 10,228,094 | ||||||||||
Microsemi Corporation | ||||||||||||
Term Loan, 4.00%, Maturing February 2, 2018 | 20,003 | 20,065,247 | ||||||||||
NeuStar, Inc. | ||||||||||||
Term Loan, 5.00%, Maturing November 8, 2018 | 11,642 | 11,772,467 | ||||||||||
Nxp B.V. | ||||||||||||
Term Loan, 4.50%, Maturing March 3, 2017 | 31,101 | 30,789,694 | ||||||||||
Term Loan, 5.50%, Maturing March 3, 2017 | 17,338 | 17,478,745 | ||||||||||
Term Loan, 5.25%, Maturing March 19, 2019 | 19,400 | 19,460,625 | ||||||||||
Oberthur Technologies | ||||||||||||
Term Loan, Maturing March 30, 2019(5) | 6,700 | 6,574,375 | ||||||||||
Open Solutions, Inc. | ||||||||||||
Term Loan, 2.60%, Maturing January 23, 2014 | 9,873 | 9,545,581 | ||||||||||
Rocket Software, Inc. | ||||||||||||
Term Loan, 7.00%, Maturing February 8, 2018 | 5,262 | 5,288,122 | ||||||||||
Term Loan - Second Lien, 10.25%, Maturing February 8, 2019 | 2,750 | 2,756,875 | ||||||||||
Rovi Solutions Corporation | ||||||||||||
Term Loan, 4.00%, Maturing March 28, 2019 | 9,625 | 9,642,806 | ||||||||||
SafeNet Inc. | ||||||||||||
Term Loan, 2.74%, Maturing April 12, 2014 | 13,339 | 13,171,822 | ||||||||||
Semtech Corp. | ||||||||||||
Term Loan, 4.25%, Maturing March 15, 2017 | 4,825 | 4,837,062 | ||||||||||
Sensata Technologies Finance Company, LLC | ||||||||||||
Term Loan, 4.00%, Maturing May 11, 2018 | 39,693 | 39,781,118 | ||||||||||
Serena Software, Inc. | ||||||||||||
Term Loan, 4.47%, Maturing March 10, 2016 | 10,010 | 9,959,890 | ||||||||||
Term Loan, 5.00%, Maturing March 10, 2016 | 3,975 | 3,955,125 | ||||||||||
Shield Finance Co. S.A.R.L. | ||||||||||||
Term Loan, 7.75%, Maturing June 15, 2016 | 6,716 | 6,707,678 | ||||||||||
SkillSoft Corporation | ||||||||||||
Term Loan, 6.50%, Maturing May 26, 2017 | 3,632 | 3,668,067 | ||||||||||
Term Loan, 6.50%, Maturing May 26, 2017 | 4,914 | 4,962,680 | ||||||||||
Sophia, L.P. | ||||||||||||
Term Loan, 6.25%, Maturing July 19, 2018 | 16,400 | 16,690,411 | ||||||||||
Spansion LLC | ||||||||||||
Term Loan, 4.75%, Maturing February 9, 2015 | 8,927 | 8,966,390 | ||||||||||
Sunquest Information Systems, Inc. | ||||||||||||
Term Loan, 6.25%, Maturing December 16, 2016 | 13,821 | 13,855,114 | ||||||||||
VeriFone Inc. | ||||||||||||
Term Loan, 4.25%, Maturing December 28, 2018 | 10,175 | 10,211,006 | ||||||||||
Vertafore, Inc. | ||||||||||||
Term Loan, 5.25%, Maturing July 29, 2016 | 21,513 | 21,613,713 | ||||||||||
Web.com Group, Inc. | ||||||||||||
Term Loan, 7.00%, Maturing October 27, 2017 | 25,673 | 25,777,443 | ||||||||||
$ | 593,782,199 | |||||||||||
Equipment Leasing — 0.7% | ||||||||||||
BakerCorp International, Inc. | ||||||||||||
Term Loan, 4.75%, Maturing June 1, 2018 | 14,940 | $ | 14,995,636 |
See Notes to Financial Statements.
22
Floating Rate Portfolio
April 30, 2012
Portfolio of Investments (Unaudited) — continued
Principal | ||||||||||||
Amount* | ||||||||||||
Borrower/Tranche Description | (000’s omitted) | Value | ||||||||||
Equipment Leasing (continued) | ||||||||||||
Delos Aircraft Inc. | ||||||||||||
Term Loan, 4.75%, Maturing April 12, 2016 | 15,050 | $ | 15,148,773 | |||||||||
Flying Fortress Inc. | ||||||||||||
Term Loan, 5.00%, Maturing June 30, 2017 | 40,325 | 40,539,247 | ||||||||||
$ | 70,683,656 | |||||||||||
Farming / Agriculture — 0.1% | ||||||||||||
Wm. Bolthouse Farms, Inc. | ||||||||||||
Term Loan, 5.51%, Maturing February 11, 2016 | 11,599 | $ | 11,681,498 | |||||||||
$ | 11,681,498 | |||||||||||
Financial Intermediaries — 3.8% | ||||||||||||
AmWINS Group, Inc. | ||||||||||||
Revolving Loan, 1.98%, Maturing June 8, 2012(2) | 7,500 | $ | 7,306,500 | |||||||||
Term Loan, 4.49%, Maturing June 8, 2013 | 12,408 | 12,400,336 | ||||||||||
Asset Acceptance Capital Corp. | ||||||||||||
Term Loan, 8.75%, Maturing November 8, 2017 | 15,504 | 15,658,788 | ||||||||||
August U.S. Holding Company, Inc. | ||||||||||||
Term Loan, Maturing April 27, 2018(5) | 4,375 | 4,287,500 | ||||||||||
CB Richard Ellis Services, Inc. | ||||||||||||
Term Loan, 3.49%, Maturing March 5, 2018 | 7,975 | 7,957,167 | ||||||||||
Term Loan, 3.74%, Maturing September 4, 2019 | 549 | 548,160 | ||||||||||
Citco III Limited | ||||||||||||
Term Loan, 5.50%, Maturing June 29, 2018 | 25,418 | 25,290,885 | ||||||||||
First Data Corporation | ||||||||||||
Term Loan, 2.99%, Maturing September 24, 2014 | 18,401 | 17,636,033 | ||||||||||
Term Loan, 2.99%, Maturing September 24, 2014 | 19,812 | 18,981,087 | ||||||||||
Term Loan, 2.99%, Maturing September 24, 2014 | 24,983 | 23,944,673 | ||||||||||
Term Loan, 4.24%, Maturing March 23, 2018 | 15,843 | 14,468,144 | ||||||||||
Grosvenor Capital Management Holdings, LLP | ||||||||||||
Term Loan, 4.25%, Maturing December 5, 2016 | 8,676 | 8,502,028 | ||||||||||
Hamilton Lane Advisors, LLC | ||||||||||||
Term Loan, 6.50%, Maturing February 23, 2018 | 8,800 | 8,822,000 | ||||||||||
Harbourvest Partners, LLC | ||||||||||||
Term Loan, 6.25%, Maturing December 16, 2016 | 8,673 | 8,716,454 | ||||||||||
iPayment, Inc. | ||||||||||||
Term Loan, 5.75%, Maturing May 8, 2017 | 20,570 | 20,724,594 | ||||||||||
LPL Holdings, Inc. | ||||||||||||
Term Loan, Maturing March 23, 2017(5) | 9,450 | 9,261,000 | ||||||||||
Term Loan, 4.00%, Maturing March 29, 2019 | 33,450 | 33,544,095 | ||||||||||
Mercury Payment Systems Canada, LLC | ||||||||||||
Term Loan, 5.50%, Maturing July 3, 2017 | 8,808 | 8,852,480 | ||||||||||
MIP Delaware, LLC | ||||||||||||
Term Loan, 5.50%, Maturing July 12, 2018 | 7,793 | 7,880,602 | ||||||||||
Nuveen Investments, Inc. | ||||||||||||
Term Loan, 5.97%, Maturing May 12, 2017 | 43,459 | 43,594,792 | ||||||||||
Term Loan, 5.97%, Maturing May 13, 2017 | 21,731 | 21,798,895 | ||||||||||
Term Loan, 7.25%, Maturing May 13, 2017 | 6,250 | 6,316,406 | ||||||||||
RJO Holdings Corp. | ||||||||||||
Term Loan, 6.24%, Maturing December 10, 2015(6) | 63 | 51,598 | ||||||||||
Term Loan, 6.99%, Maturing December 10, 2015(6) | 1,990 | 1,558,851 | ||||||||||
RPI Finance Trust | ||||||||||||
Term Loan, 4.00%, Maturing May 9, 2018 | 29,579 | 29,714,103 | ||||||||||
Vantiv, LLC | ||||||||||||
Term Loan, 3.75%, Maturing February 27, 2019 | 5,486 | 5,485,714 | ||||||||||
$ | 363,302,885 | |||||||||||
Food Products — 4.3% | ||||||||||||
American Seafoods Group LLC | ||||||||||||
Term Loan, 4.25%, Maturing March 8, 2018 | 10,126 | $ | 9,885,697 | |||||||||
BL Marketing, Ltd. (Weetabix) | ||||||||||||
Term Loan, 4.70%, Maturing December 31, 2015 | GBP | 2,625 | 4,258,335 | |||||||||
Term Loan, 7.65%, Maturing June 30, 2017 | GBP | 2,500 | 3,935,532 | |||||||||
Dean Foods Company | ||||||||||||
Term Loan, 1.74%, Maturing April 2, 2014 | 29,651 | 29,567,985 | ||||||||||
Term Loan, 3.24%, Maturing April 2, 2014 | 1,751 | 1,752,475 | ||||||||||
Del Monte Foods Company | ||||||||||||
Term Loan, 4.50%, Maturing March 8, 2018 | 95,630 | 95,091,944 | ||||||||||
Dole Food Company Inc. | ||||||||||||
Term Loan, 5.04%, Maturing July 6, 2018 | 13,105 | 13,196,861 | ||||||||||
Farley’s & Sathers Candy Company, Inc. | ||||||||||||
Term Loan, 6.50%, Maturing March 30, 2018 | 9,356 | 9,426,105 | ||||||||||
High Liner Foods Incorporated | ||||||||||||
Term Loan, 7.00%, Maturing January 3, 2018 | 9,651 | 9,723,194 | ||||||||||
JBS USA Holdings Inc. | ||||||||||||
Term Loan, 4.25%, Maturing May 25, 2018 | 29,301 | 29,337,858 | ||||||||||
Michael Foods Group, Inc. | ||||||||||||
Term Loan, 4.25%, Maturing February 23, 2018 | 25,700 | 25,790,640 | ||||||||||
NBTY, Inc. | ||||||||||||
Term Loan, 4.25%, Maturing October 2, 2017 | 71,059 | 71,258,501 | ||||||||||
Pierre Foods, Inc. | ||||||||||||
Term Loan, 7.00%, Maturing September 30, 2016 | 20,577 | 20,693,183 | ||||||||||
Pinnacle Foods Finance LLC | ||||||||||||
Revolving Loan, 0.83%, Maturing April 2, 2013(2) | 4,000 | 3,820,000 | ||||||||||
Term Loan, 2.77%, Maturing April 2, 2014 | 37,859 | 37,929,974 | ||||||||||
Term Loan, 4.75%, Maturing October 17, 2018 | 3,375 | 3,395,392 | ||||||||||
Solvest Ltd. | ||||||||||||
Term Loan, 5.03%, Maturing July 6, 2018 | 23,451 | 23,615,473 | ||||||||||
United Biscuits (UK), Ltd. | ||||||||||||
Term Loan - Second Lien, 4.71%, Maturing June 15, 2016 | GBP | 1,500 | 2,273,074 | |||||||||
Windsor Quality Food Co., Ltd. | ||||||||||||
Term Loan, 5.00%, Maturing February 16, 2017 | 21,054 | 20,317,110 | ||||||||||
$ | 415,269,333 | |||||||||||
See Notes to Financial Statements.
23
Floating Rate Portfolio
April 30, 2012
Portfolio of Investments (Unaudited) — continued
Principal | ||||||||||||
Amount* | ||||||||||||
Borrower/Tranche Description | (000’s omitted) | Value | ||||||||||
Food Service — 4.0% | ||||||||||||
Aramark Corporation | ||||||||||||
Term Loan, 3.40%, Maturing July 26, 2016 | 4,574 | $ | 4,569,192 | |||||||||
Term Loan, 3.40%, Maturing July 26, 2016 | 3,254 | 3,249,282 | ||||||||||
Term Loan, 3.49%, Maturing July 26, 2016 | 48,317 | 48,268,342 | ||||||||||
Term Loan, 3.65%, Maturing July 26, 2016 | 19,105 | 19,076,922 | ||||||||||
Term Loan, 3.72%, Maturing July 26, 2016 | 950 | 945,250 | ||||||||||
Buffets, Inc. | ||||||||||||
DIP Term Loan, 10.50%, Maturing June 16, 2016 | 1,693 | 1,684,613 | ||||||||||
DIP Term Loan, 11.25%, Maturing June 16, 2016 | 1,091 | 1,085,563 | ||||||||||
Term Loan, 0.00%, Maturing April 21, 2015(7) | 9,206 | 4,188,928 | ||||||||||
Term Loan, 0.00%, Maturing April 22, 2015(6)(7) | 1,258 | 603,628 | ||||||||||
Burger King Corporation | ||||||||||||
Term Loan, 4.50%, Maturing October 19, 2016 | 62,930 | 63,205,410 | ||||||||||
DineEquity, Inc. | ||||||||||||
Term Loan, 4.25%, Maturing October 19, 2017 | 21,318 | 21,395,959 | ||||||||||
Dunkin’ Brands, Inc. | ||||||||||||
Term Loan, 4.00%, Maturing November 23, 2017 | 50,254 | 50,383,652 | ||||||||||
NPC International, Inc. | ||||||||||||
Term Loan, 5.25%, Maturing December 28, 2018 | 7,875 | 7,934,062 | ||||||||||
OSI Restaurant Partners, LLC | ||||||||||||
Term Loan, 2.60%, Maturing June 14, 2013 | 6,636 | 6,566,392 | ||||||||||
Term Loan, 2.56%, Maturing June 14, 2014 | 70,786 | 70,045,342 | ||||||||||
Sagittarius Restaurants, LLC | ||||||||||||
Term Loan, 7.51%, Maturing May 18, 2015 | 7,213 | 7,257,735 | ||||||||||
Selecta | ||||||||||||
Term Loan, 2.47%, Maturing July 2, 2015 | CHF | 18,405 | 17,083,772 | |||||||||
SSP Financing, Ltd. | ||||||||||||
Term Loan, 2.50%, Maturing December 17, 2016 | 5,115 | 4,322,536 | ||||||||||
U.S. Foodservice, Inc. | ||||||||||||
Term Loan, 2.74%, Maturing July 3, 2014 | 35,975 | 35,442,728 | ||||||||||
Weight Watchers International, Inc. | ||||||||||||
Term Loan, 4.00%, Maturing March 12, 2019 | 15,375 | 15,406,965 | ||||||||||
$ | 382,716,273 | |||||||||||
Food / Drug Retailers — 3.5% | ||||||||||||
Alliance Boots Holdings Limited | ||||||||||||
Term Loan, 3.32%, Maturing July 9, 2015 | EUR | 20,814 | $ | 26,156,314 | ||||||||
Term Loan, 3.58%, Maturing July 9, 2015 | GBP | 29,000 | 43,593,116 | |||||||||
General Nutrition Centers, Inc. | ||||||||||||
Term Loan, 4.25%, Maturing March 2, 2018 | 54,295 | 54,485,033 | ||||||||||
Iceland Foods Group Limited | ||||||||||||
Term Loan, Maturing April 12, 2019(5) | EUR | 11,950 | 15,933,565 | |||||||||
Landry’s, Inc. | ||||||||||||
Term Loan, 6.50%, Maturing April 24, 2018 | 17,050 | 17,073,972 | ||||||||||
Rite Aid Corporation | ||||||||||||
Term Loan, 2.00%, Maturing June 4, 2014 | 68,472 | 67,616,461 | ||||||||||
Term Loan, 4.50%, Maturing March 2, 2018 | 36,561 | 36,378,588 | ||||||||||
Roundy’s Supermarkets, Inc. | ||||||||||||
Term Loan, 5.75%, Maturing February 8, 2019 | 11,850 | 11,971,463 | ||||||||||
Sprouts Farmers Markets Holdings, LLC | ||||||||||||
Term Loan, Maturing April 20, 2018(5) | 9,475 | 9,427,625 | ||||||||||
Supervalu Inc. | ||||||||||||
Term Loan, 4.50%, Maturing April 28, 2018 | 54,680 | 54,877,894 | ||||||||||
$ | 337,514,031 | |||||||||||
Forest Products — 0.0%(3) | ||||||||||||
Xerium Technologies, Inc. | ||||||||||||
Term Loan, 5.50%, Maturing May 22, 2017 | 4,062 | $ | 4,041,411 | |||||||||
$ | 4,041,411 | |||||||||||
Health Care — 12.1% | ||||||||||||
1-800 Contacts, Inc. | ||||||||||||
Term Loan, 7.70%, Maturing March 4, 2015 | 7,571 | $ | 7,646,672 | |||||||||
Alere, Inc. | ||||||||||||
Term Loan, 4.75%, Maturing June 30, 2017 | 5,525 | 5,521,547 | ||||||||||
Term Loan, 4.75%, Maturing June 30, 2017 | 6,883 | 6,884,182 | ||||||||||
Term Loan, 4.75%, Maturing June 30, 2017 | 31,765 | 31,771,982 | ||||||||||
Alliance Healthcare Services, Inc. | ||||||||||||
Term Loan, 7.25%, Maturing June 1, 2016 | 11,841 | 11,367,045 | ||||||||||
Ardent Medical Services, Inc. | ||||||||||||
Term Loan, 6.50%, Maturing September 15, 2015 | 21,432 | 21,512,427 | ||||||||||
Aveta, Inc. | ||||||||||||
Term Loan, 8.50%, Maturing April 4, 2017 | 8,025 | 8,014,969 | ||||||||||
Term Loan, 8.50%, Maturing April 4, 2017 | 8,025 | 8,014,969 | ||||||||||
Biomet Inc. | ||||||||||||
Term Loan, 3.37%, Maturing March 25, 2015 | 57,920 | 57,807,163 | ||||||||||
CareStream Health, Inc. | ||||||||||||
Term Loan, 5.00%, Maturing February 25, 2017 | 21,948 | 21,454,480 | ||||||||||
Catalent Pharma Solutions | ||||||||||||
Term Loan, 4.24%, Maturing September 15, 2016 | 15,162 | 15,190,329 | ||||||||||
Term Loan, 5.25%, Maturing September 15, 2017 | 13,531 | 13,573,535 | ||||||||||
CDRL MS, Inc. | ||||||||||||
Term Loan, 6.75%, Maturing September 30, 2016 | 6,814 | 6,836,772 | ||||||||||
Community Health Systems, Inc. | ||||||||||||
Term Loan, 2.63%, Maturing July 25, 2014 | 72,428 | 71,899,515 | ||||||||||
Term Loan, 3.99%, Maturing January 25, 2017 | 28,446 | 28,159,443 | ||||||||||
ConMed Corporation | ||||||||||||
Term Loan, 1.74%, Maturing April 12, 2013 | 141 | 138,706 | ||||||||||
Convatec Inc. | ||||||||||||
Term Loan, 5.75%, Maturing December 22, 2016 | 13,133 | 13,157,708 | ||||||||||
CRC Health Corporation | ||||||||||||
Term Loan, 4.97%, Maturing November 16, 2015 | 29,501 | 27,178,078 | ||||||||||
Dako EQT Project Delphi | ||||||||||||
Term Loan, 2.80%, Maturing May 31, 2016 | EUR | 3,099 | 3,722,139 | |||||||||
Term Loan, 2.47%, Maturing June 12, 2016 | 1,568 | 1,408,857 |
See Notes to Financial Statements.
24
Floating Rate Portfolio
April 30, 2012
Portfolio of Investments (Unaudited) — continued
Principal | ||||||||||||
Amount* | ||||||||||||
Borrower/Tranche Description | (000’s omitted) | Value | ||||||||||
Health Care (continued) | ||||||||||||
DaVita, Inc. | ||||||||||||
Term Loan, 4.50%, Maturing October 20, 2016 | 10,623 | $ | 10,673,029 | |||||||||
DJO Finance LLC | ||||||||||||
Term Loan, 5.24%, Maturing November 1, 2016 | 13,095 | 13,088,342 | ||||||||||
Term Loan, 6.25%, Maturing September 15, 2017 | 11,050 | 11,102,488 | ||||||||||
Drumm Investors LLC | ||||||||||||
Term Loan, 5.00%, Maturing May 4, 2018 | 28,558 | 27,031,831 | ||||||||||
Emdeon Business Services, LLC | ||||||||||||
Term Loan, 5.00%, Maturing November 2, 2018 | 9,550 | 9,643,113 | ||||||||||
Emergency Medical Services Corporation | ||||||||||||
Term Loan, 5.25%, Maturing May 25, 2018 | 31,302 | 31,446,774 | ||||||||||
Fenwal, Inc. | ||||||||||||
Term Loan, 2.74%, Maturing February 28, 2014 | 477 | 468,084 | ||||||||||
Term Loan, 2.74%, Maturing February 28, 2014 | 2,782 | 2,729,484 | ||||||||||
Grifols Inc. | ||||||||||||
Term Loan, 4.50%, Maturing June 1, 2017 | 44,878 | 45,039,252 | ||||||||||
Hanger Orthopedic Group, Inc. | ||||||||||||
Term Loan, 4.01%, Maturing December 1, 2016 | 19,812 | 19,696,456 | ||||||||||
HCA, Inc. | ||||||||||||
Term Loan, 3.72%, Maturing March 31, 2017 | 54,269 | 53,537,799 | ||||||||||
Term Loan, 3.49%, Maturing May 1, 2018 | 42,850 | 42,207,264 | ||||||||||
Health Management Associates, Inc. | ||||||||||||
Term Loan, 4.50%, Maturing November 16, 2018 | 36,309 | 36,377,261 | ||||||||||
Iasis Healthcare LLC | ||||||||||||
Term Loan, 5.00%, Maturing May 3, 2018 | 12,095 | 12,144,350 | ||||||||||
Immucor, Inc. | ||||||||||||
Term Loan, 7.25%, Maturing August 17, 2018 | 8,458 | 8,563,219 | ||||||||||
inVentiv Health, Inc. | ||||||||||||
Term Loan, 6.50%, Maturing August 4, 2016 | 35,498 | 33,678,298 | ||||||||||
Term Loan, 6.75%, Maturing May 15, 2018 | 15,806 | 15,035,041 | ||||||||||
Kindred Healthcare, Inc. | ||||||||||||
Term Loan, 5.25%, Maturing June 1, 2018 | 14,681 | 14,130,860 | ||||||||||
Kinetic Concepts, Inc. | ||||||||||||
Term Loan, 7.00%, Maturing May 4, 2018 | 53,865 | 55,076,962 | ||||||||||
Lifepoint Hospitals, Inc. | ||||||||||||
Term Loan, 3.24%, Maturing April 15, 2015 | 11,748 | 11,770,366 | ||||||||||
MedAssets, Inc. | ||||||||||||
Term Loan, 5.25%, Maturing November 16, 2016 | 23,318 | 23,531,554 | ||||||||||
Medpace, Inc. | ||||||||||||
Term Loan, 6.50%, Maturing June 16, 2017 | 11,563 | 11,273,559 | ||||||||||
Multiplan, Inc. | ||||||||||||
Term Loan, 4.75%, Maturing August 26, 2017 | 65,475 | 65,426,268 | ||||||||||
Pharmaceutical Product Development, Inc. | ||||||||||||
Term Loan, 6.25%, Maturing December 5, 2018 | 23,366 | 23,641,484 | ||||||||||
Prime Healthcare Services, Inc. | ||||||||||||
Term Loan, 7.50%, Maturing April 28, 2015 | 26,188 | 26,057,477 | ||||||||||
Radnet Management, Inc. | ||||||||||||
Term Loan, 5.75%, Maturing April 6, 2016 | 22,842 | 22,755,844 | ||||||||||
Select Medical Corporation | ||||||||||||
Term Loan, 5.50%, Maturing June 1, 2018 | 38,658 | 37,723,630 | ||||||||||
Sunrise Medical Holdings B.V. | ||||||||||||
Term Loan, 6.75%, Maturing May 13, 2014 | EUR | 2,019 | 2,584,280 | |||||||||
TriZetto Group, Inc. (The) | ||||||||||||
Term Loan, 4.75%, Maturing May 2, 2018 | 22,778 | 22,760,085 | ||||||||||
Universal Health Services, Inc. | ||||||||||||
Term Loan, 3.75%, Maturing November 15, 2016 | 22,379 | 22,434,849 | ||||||||||
Valeant Pharmaceuticals International | ||||||||||||
Term Loan, 3.75%, Maturing February 8, 2019 | 11,825 | 11,820,175 | ||||||||||
Vanguard Health Holding Co II., LLC | ||||||||||||
Term Loan, 5.00%, Maturing January 29, 2016 | 24,633 | 24,825,524 | ||||||||||
VWR Funding, Inc. | ||||||||||||
Term Loan, 2.74%, Maturing June 30, 2014 | 55,731 | 55,533,700 | ||||||||||
$ | 1,165,069,220 | |||||||||||
Home Furnishings — 0.4% | ||||||||||||
Hunter Fan Company | ||||||||||||
Term Loan, 2.74%, Maturing April 16, 2014 | 2,748 | $ | 2,578,250 | |||||||||
National Bedding Company LLC | ||||||||||||
Term Loan, 4.00%, Maturing November 28, 2013 | 26,285 | 26,334,227 | ||||||||||
Term Loan - Second Lien, 5.25%, Maturing February 28, 2014 | 4,500 | 4,483,125 | ||||||||||
Oreck Corporation | ||||||||||||
Term Loan - Second Lien, 3.97%, Maturing March 19, 2016(6) | 797 | 717,723 | ||||||||||
Sofia III S.a.r.l. | ||||||||||||
Term Loan, 2.90%, Maturing June 24, 2016 | EUR | 3,348 | 3,862,736 | |||||||||
$ | 37,976,061 | |||||||||||
Industrial Equipment — 1.5% | ||||||||||||
Colfax Corporation | ||||||||||||
Term Loan, 4.50%, Maturing January 11, 2019 | 18,511 | $ | 18,593,611 | |||||||||
Excelitas Technologies Corp. | ||||||||||||
Term Loan, 4.75%, Maturing November 23, 2016 | 5,910 | 5,850,900 | ||||||||||
Generac Power Systems | ||||||||||||
Term Loan, 3.75%, Maturing February 8, 2019 | 5,475 | 5,475,000 | ||||||||||
Grede LLC | ||||||||||||
Term Loan, 7.00%, Maturing April 3, 2017 | 9,675 | 9,626,625 | ||||||||||
Husky Injection Molding Systems Ltd | ||||||||||||
Term Loan, 6.55%, Maturing June 29, 2018 | 10,444 | 10,548,074 | ||||||||||
Kinetek Acquistions Corporation | ||||||||||||
Term Loan, 2.75%, Maturing November 11, 2013 | 277 | 277,807 | ||||||||||
Term Loan, 2.75%, Maturing November 11, 2013 | 2,732 | 2,739,079 | ||||||||||
Kion Group GMBH | ||||||||||||
Term Loan, 3.49%, Maturing December 23, 2014(4) | 11,849 | 10,922,072 | ||||||||||
Term Loan, 4.15%, Maturing December 23, 2014(4) | EUR | 454 | 559,215 | |||||||||
Term Loan, 3.65%, Maturing December 29, 2014(4) | EUR | 597 | 734,171 |
See Notes to Financial Statements.
25
Floating Rate Portfolio
April 30, 2012
Portfolio of Investments (Unaudited) — continued
Principal | ||||||||||||
Amount* | ||||||||||||
Borrower/Tranche Description | (000’s omitted) | Value | ||||||||||
Industrial Equipment (continued) | ||||||||||||
Term Loan, 3.99%, Maturing December 23, 2015(4) | 11,849 | $ | 10,922,072 | |||||||||
Term Loan, 4.15%, Maturing December 29, 2015(4) | EUR | 428 | 526,164 | |||||||||
Term Loan, 4.15%, Maturing December 29, 2015(4) | EUR | 578 | 711,257 | |||||||||
Manitowoc Company, Inc. (The) | ||||||||||||
Term Loan, 4.25%, Maturing November 13, 2017 | 5,872 | 5,879,590 | ||||||||||
MX USA, Inc. | ||||||||||||
Term Loan, Maturing April 28, 2017(5) | 6,775 | 6,673,375 | ||||||||||
Polypore, Inc. | ||||||||||||
Revolving Loan, 0.50%, Maturing July 3, 2013(2) | 2,000 | 1,860,000 | ||||||||||
Term Loan, 2.24%, Maturing July 3, 2014 | 7,302 | 7,220,298 | ||||||||||
Term Loan, 2.35%, Maturing July 3, 2014 | EUR | 1,062 | 1,377,080 | |||||||||
Schaeffler AG | ||||||||||||
Term Loan, 6.00%, Maturing January 27, 2017 | 13,750 | 13,835,938 | ||||||||||
Tank Intermediate Holding Corp. | ||||||||||||
Term Loan, 4.75%, Maturing April 15, 2016 | 7,811 | 7,821,085 | ||||||||||
Terex Corp. | ||||||||||||
Term Loan, 6.00%, Maturing April 28, 2017 | EUR | 9,950 | 13,211,977 | |||||||||
Unifrax Corporation | ||||||||||||
Term Loan, 7.00%, Maturing November 28, 2018 | 4,539 | 4,598,194 | ||||||||||
$ | 139,963,584 | |||||||||||
Insurance — 2.5% | ||||||||||||
Alliant Holdings I, Inc. | ||||||||||||
Term Loan, 3.47%, Maturing August 21, 2014 | 22,790 | $ | 22,844,075 | |||||||||
Term Loan, 6.75%, Maturing August 21, 2014 | 3,816 | 3,863,507 | ||||||||||
Applied Systems, Inc | ||||||||||||
Term Loan, 5.51%, Maturing December 8, 2016 | 8,279 | 8,284,142 | ||||||||||
Asurion LLC | ||||||||||||
Term Loan, 5.50%, Maturing May 24, 2018 | 86,672 | 86,943,192 | ||||||||||
Term Loan - Second Lien, 9.00%, Maturing May 24, 2019 | 16,000 | 16,298,000 | ||||||||||
CCC Information Services, Inc. | ||||||||||||
Term Loan, 5.50%, Maturing November 11, 2015 | 12,125 | 12,225,521 | ||||||||||
CNO Financial Group, Inc. | ||||||||||||
Term Loan, 6.25%, Maturing September 30, 2016 | 12,075 | 12,173,430 | ||||||||||
Hub International Limited | ||||||||||||
Term Loan, 2.97%, Maturing June 13, 2014 | 3,270 | 3,264,420 | ||||||||||
Term Loan, 2.97%, Maturing June 13, 2014 | 18,808 | 18,743,061 | ||||||||||
Term Loan, 6.75%, Maturing June 13, 2014 | 3,437 | 3,468,350 | ||||||||||
Sedgwick CMS Holdings, Inc. | ||||||||||||
Term Loan, 5.00%, Maturing December 30, 2016 | 5,458 | 5,471,336 | ||||||||||
Towergate Finance, PLC | ||||||||||||
Term Loan, 6.50%, Maturing August 4, 2017 | GBP | 10,250 | 15,359,388 | |||||||||
USI Holdings Corporation | ||||||||||||
Term Loan, 2.74%, Maturing May 5, 2014 | 26,348 | 25,931,279 | ||||||||||
Term Loan, 7.00%, Maturing May 5, 2014 | 3,900 | 3,934,027 | ||||||||||
$ | 238,803,728 | |||||||||||
Leisure Goods / Activities / Movies — 3.7% | ||||||||||||
Alpha D2 Limited | ||||||||||||
Term Loan, Maturing April 28, 2017(5) | 23,550 | $ | 23,314,500 | |||||||||
AMC Entertainment, Inc. | ||||||||||||
Term Loan, 3.49%, Maturing December 15, 2016 | 26,747 | 26,720,636 | ||||||||||
Term Loan, 4.25%, Maturing February 22, 2018 | 11,746 | 11,743,730 | ||||||||||
AMC Networks Inc. | ||||||||||||
Term Loan, 4.00%, Maturing December 31, 2018 | 11,788 | 11,788,194 | ||||||||||
Bombardier Recreational Products, Inc. | ||||||||||||
Term Loan, 4.49%, Maturing June 28, 2016 | 39,837 | 39,870,327 | ||||||||||
Cedar Fair, L.P. | ||||||||||||
Term Loan, 4.00%, Maturing December 15, 2017 | 27,698 | 27,810,803 | ||||||||||
Cinemark USA, Inc. | ||||||||||||
Term Loan, 3.57%, Maturing April 29, 2016 | 8,238 | 8,283,034 | ||||||||||
Clubcorp Club Operations, Inc. | ||||||||||||
Term Loan, 6.00%, Maturing November 30, 2016 | 10,913 | 10,978,671 | ||||||||||
Fender Musical Instruments Corp. | ||||||||||||
Term Loan, 2.49%, Maturing June 9, 2014 | 1,066 | 1,047,492 | ||||||||||
Term Loan, 2.49%, Maturing June 9, 2014 | 3,717 | 3,651,718 | ||||||||||
Kasima, LLC | ||||||||||||
Term Loan, 5.00%, Maturing March 10, 2015 | 15,000 | 15,056,250 | ||||||||||
Term Loan, 5.00%, Maturing March 31, 2017 | 11,907 | 11,952,101 | ||||||||||
Live Nation Entertainment, Inc. | ||||||||||||
Term Loan, 4.50%, Maturing November 7, 2016 | 36,617 | 36,677,880 | ||||||||||
Merlin Entertainment Group Luxembourg 2 S.a.r.l. | ||||||||||||
Term Loan, 4.49%, Maturing July 21, 2017 | 14,545 | 14,488,321 | ||||||||||
Regal Cinemas, Inc. | ||||||||||||
Term Loan, 3.37%, Maturing August 23, 2017 | 9,833 | 9,842,942 | ||||||||||
Revolution Studios Distribution Company, LLC | ||||||||||||
Term Loan, 3.99%, Maturing December 21, 2014 | 4,774 | 3,628,121 | ||||||||||
SeaWorld Parks & Entertainment, Inc. | ||||||||||||
Term Loan, 2.99%, Maturing February 17, 2016 | 6,029 | 6,028,660 | ||||||||||
Term Loan, 4.00%, Maturing August 17, 2017 | 7,525 | 7,547,575 | ||||||||||
Term Loan, 4.00%, Maturing August 17, 2017 | 24,899 | 24,973,259 | ||||||||||
Six Flags Theme Parks, Inc. | ||||||||||||
Term Loan, 4.25%, Maturing December 20, 2018 | 34,800 | 34,884,286 | ||||||||||
Town Sports International Inc. | ||||||||||||
Term Loan, 7.00%, Maturing May 11, 2018 | 11,742 | 11,903,526 | ||||||||||
Zuffa LLC | ||||||||||||
Term Loan, 2.25%, Maturing June 19, 2015 | 10,808 | 10,501,784 | ||||||||||
$ | 352,693,810 | |||||||||||
Lodging and Casinos — 1.7% | ||||||||||||
Affinity Gaming, LLC | ||||||||||||
Term Loan, 10.00%, Maturing December 31, 2015 | 3,526 | $ | 3,609,982 | |||||||||
Ameristar Casinos, Inc. | ||||||||||||
Term Loan, 4.00%, Maturing April 13, 2018 | 10,503 | 10,565,255 |
See Notes to Financial Statements.
26
Floating Rate Portfolio
April 30, 2012
Portfolio of Investments (Unaudited) — continued
Principal | ||||||||||||
Amount* | ||||||||||||
Borrower/Tranche Description | (000’s omitted) | Value | ||||||||||
Lodging and Casinos (continued) | ||||||||||||
Caesars Entertainment Operating Company | ||||||||||||
Term Loan, 9.50%, Maturing October 31, 2016 | 9,775 | $ | 10,073,138 | |||||||||
Term Loan, 5.49%, Maturing January 26, 2018 | 49,603 | 45,466,331 | ||||||||||
Gala Group LTD | ||||||||||||
Term Loan, 5.69%, Maturing May 30, 2018 | GBP | 26,200 | 36,425,458 | |||||||||
Isle of Capri Casinos, Inc. | ||||||||||||
Term Loan, 4.75%, Maturing November 1, 2013 | 6,447 | 6,489,658 | ||||||||||
Las Vegas Sands LLC | ||||||||||||
Term Loan, 1.85%, Maturing May 23, 2014 | 1,338 | 1,334,072 | ||||||||||
Term Loan, 1.85%, Maturing May 23, 2014 | 6,523 | 6,502,886 | ||||||||||
Term Loan, 2.85%, Maturing November 23, 2016 | 4,869 | 4,805,376 | ||||||||||
Term Loan, 2.85%, Maturing November 23, 2016 | 9,539 | 9,410,795 | ||||||||||
LodgeNet Entertainment Corporation | ||||||||||||
Term Loan, 6.50%, Maturing April 4, 2014 | 6,492 | 5,907,995 | ||||||||||
Pinnacle Entertainment, Inc. | ||||||||||||
Term Loan, 4.00%, Maturing March 19, 2019 | 9,303 | 9,327,767 | ||||||||||
Quidnax AB | ||||||||||||
Term Loan, 3.83%, Maturing April 27, 2015 | EUR | 4,725 | 5,649,365 | |||||||||
Term Loan, 4.21%, Maturing June 30, 2016 | EUR | 4,725 | 5,649,365 | |||||||||
$ | 161,217,443 | |||||||||||
Nonferrous Metals / Minerals — 1.1% | ||||||||||||
Fairmount Minerals LTD | ||||||||||||
Term Loan, 5.25%, Maturing March 15, 2017 | 48,510 | $ | 48,685,789 | |||||||||
Noranda Aluminum Acquisition Corporation | ||||||||||||
Term Loan, 5.75%, Maturing February 24, 2019 | 12,050 | 12,170,500 | ||||||||||
Novelis, Inc. | ||||||||||||
Term Loan, 4.00%, Maturing March 10, 2017 | 7,960 | 7,976,222 | ||||||||||
Term Loan, 4.00%, Maturing March 10, 2017 | 15,585 | 15,616,534 | ||||||||||
Oxbow Carbon and Mineral Holdings LLC | ||||||||||||
Term Loan, 3.85%, Maturing May 8, 2016 | 14,976 | 15,069,453 | ||||||||||
Preferred Sands Holding Company, LLC | ||||||||||||
Term Loan, 7.50%, Maturing December 15, 2016 | 8,554 | 8,489,411 | ||||||||||
$ | 108,007,909 | |||||||||||
Oil and Gas — 2.3% | ||||||||||||
Buffalo Gulf Coast Terminals LLC | ||||||||||||
Term Loan, 7.50%, Maturing October 31, 2017 | 6,841 | $ | 6,840,625 | |||||||||
CCS Corporation | ||||||||||||
Term Loan, 6.50%, Maturing October 17, 2014 | 6,509 | 6,562,983 | ||||||||||
Term Loan, 3.24%, Maturing November 14, 2014 | 3,061 | 2,992,193 | ||||||||||
Term Loan, 3.24%, Maturing November 14, 2014 | 12,381 | 12,102,017 | ||||||||||
Citgo Petroleum Corporation | ||||||||||||
Term Loan, 8.00%, Maturing June 24, 2015 | 2,422 | 2,448,850 | ||||||||||
Term Loan, 9.00%, Maturing June 23, 2017 | 22,856 | 23,313,525 | ||||||||||
Crestwood Holdings LLC | ||||||||||||
Term Loan, 9.75%, Maturing March 26, 2018 | 13,225 | 13,472,969 | ||||||||||
Energy Transfer Equity, L.P. | ||||||||||||
Term Loan, 3.75%, Maturing March 21, 2017 | 33,700 | 33,350,969 | ||||||||||
Frac Tech International LLC | ||||||||||||
Term Loan, 6.25%, Maturing May 6, 2016 | 23,024 | 22,237,152 | ||||||||||
Gibson Energy | ||||||||||||
Term Loan, 5.75%, Maturing June 15, 2018 | 27,790 | 28,002,760 | ||||||||||
MEG Energy Corp. | ||||||||||||
Term Loan, 4.00%, Maturing March 16, 2018 | 22,935 | 23,003,233 | ||||||||||
Obsidian Natural Gas Trust | ||||||||||||
Term Loan, 7.00%, Maturing November 2, 2015 | 34,539 | 34,970,868 | ||||||||||
Sheridan Production Partners I, LLC | ||||||||||||
Term Loan, 6.50%, Maturing April 20, 2017 | 764 | 765,942 | ||||||||||
Term Loan, 6.50%, Maturing April 20, 2017 | 1,250 | 1,253,987 | ||||||||||
Term Loan, 6.50%, Maturing April 20, 2017 | 9,437 | 9,463,470 | ||||||||||
$ | 220,781,543 | |||||||||||
Publishing — 3.6% | ||||||||||||
Ascend Learning | ||||||||||||
Term Loan, 7.00%, Maturing December 6, 2016 | 20,138 | $ | 20,255,483 | |||||||||
Aster Zweite Beteiligungs GmbH | ||||||||||||
Term Loan, 5.72%, Maturing December 31, 2014 | 959 | 878,307 | ||||||||||
Term Loan, 5.72%, Maturing December 31, 2014 | 2,491 | 2,281,878 | ||||||||||
Term Loan, 5.72%, Maturing December 31, 2014 | 7,273 | 6,661,722 | ||||||||||
Term Loan, 5.72%, Maturing December 31, 2014 | 9,809 | 8,984,638 | ||||||||||
Term Loan, 5.72%, Maturing December 31, 2014 | 13,060 | 11,963,395 | ||||||||||
Term Loan, 5.97%, Maturing December 31, 2014 | EUR | 719 | 886,012 | |||||||||
Term Loan, 5.97%, Maturing December 31, 2014 | EUR | 1,235 | 1,522,993 | |||||||||
Term Loan, 5.97%, Maturing December 31, 2014 | EUR | 2,435 | 3,001,800 | |||||||||
Term Loan, 6.06%, Maturing December 31, 2013 | 24 | 23,709 | ||||||||||
Term Loan, 6.06%, Maturing December 31, 2013 | 43 | 42,073 | ||||||||||
Black Press US Partnership | ||||||||||||
Term Loan, 2.49%, Maturing August 2, 2013 | 857 | 800,931 | ||||||||||
Term Loan, 2.49%, Maturing August 2, 2013 | 1,411 | 1,319,180 | ||||||||||
Cengage Learning Acquisitions, Inc. | ||||||||||||
Term Loan, 2.49%, Maturing July 3, 2014 | 23,941 | 21,961,930 | ||||||||||
GateHouse Media Operating, Inc. | ||||||||||||
Term Loan, 2.24%, Maturing August 28, 2014 | 4,841 | 1,468,793 | ||||||||||
Term Loan, 2.24%, Maturing August 28, 2014 | 15,423 | 4,680,005 | ||||||||||
Term Loan, 2.49%, Maturing August 28, 2014 | 9,206 | 2,793,550 | ||||||||||
Getty Images, Inc. | ||||||||||||
Term Loan, 4.22%, Maturing November 13, 2015 | 6,550 | 6,590,102 | ||||||||||
Term Loan, 5.25%, Maturing November 7, 2016 | 43,838 | 44,127,634 | ||||||||||
Instant Web, Inc. | ||||||||||||
Term Loan, 3.61%, Maturing August 7, 2014 | 1,640 | 1,484,220 | ||||||||||
Term Loan, 3.61%, Maturing August 7, 2014 | 15,733 | 14,238,042 | ||||||||||
Interactive Data Corp. | ||||||||||||
Term Loan, 4.50%, Maturing February 12, 2018 | 34,219 | 34,364,724 | ||||||||||
Lamar Media Corp. | ||||||||||||
Term Loan, 2.75%, Maturing December 31, 2015 | 2,144 | 2,132,872 |
See Notes to Financial Statements.
27
Floating Rate Portfolio
April 30, 2012
Portfolio of Investments (Unaudited) — continued
Principal | ||||||||||||
Amount* | ||||||||||||
Borrower/Tranche Description | (000’s omitted) | Value | ||||||||||
Publishing (continued) | ||||||||||||
Laureate Education, Inc. | ||||||||||||
Term Loan, 5.25%, Maturing August 15, 2018 | 69,914 | $ | 69,116,415 | |||||||||
Medianews Group | ||||||||||||
Term Loan, 8.50%, Maturing March 19, 2014 | 1,473 | 1,435,945 | ||||||||||
Merrill Communications, LLC | ||||||||||||
Term Loan, 7.75%, Maturing December 24, 2012 | 11,854 | 11,212,131 | ||||||||||
Nelson Education Ltd. | ||||||||||||
Term Loan, 2.97%, Maturing July 3, 2014 | 277 | 246,818 | ||||||||||
Newspaper Holdings Inc. | ||||||||||||
Term Loan, 2.00%, Maturing July 24, 2014 | 17,229 | 14,761,564 | ||||||||||
Nielsen Finance LLC | ||||||||||||
Term Loan, 2.24%, Maturing August 9, 2013 | 5,741 | 5,750,822 | ||||||||||
Term Loan, 3.49%, Maturing May 2, 2016 | 35,405 | 35,471,339 | ||||||||||
Term Loan, 3.99%, Maturing May 2, 2016 | 3,733 | 3,753,004 | ||||||||||
SGS International, Inc. | ||||||||||||
Term Loan, 3.74%, Maturing September 30, 2013 | 883 | 885,259 | ||||||||||
Term Loan, 3.74%, Maturing September 30, 2013 | 1,785 | 1,789,173 | ||||||||||
Source Interlink Companies, Inc. | ||||||||||||
Term Loan, 10.75%, Maturing June 18, 2012 | 1,627 | 1,633,517 | ||||||||||
Term Loan, 10.75%, Maturing June 18, 2013 | 4,002 | 3,861,619 | ||||||||||
Term Loan, 15.00%, Maturing March 18, 2014(4)(6) | 1,735 | 1,036,792 | ||||||||||
Star Tribune Company (The) | ||||||||||||
Term Loan, 8.00%, Maturing September 28, 2014 | 947 | 866,676 | ||||||||||
Term Loan, 8.00%, Maturing September 29, 2014 | 841 | 770,378 | ||||||||||
$ | 345,055,445 | |||||||||||
Radio and Television — 3.0% | ||||||||||||
Clear Channel Communication | ||||||||||||
Term Loan, 3.89%, Maturing January 28, 2016 | 16,634 | $ | 13,425,096 | |||||||||
Cumulus Media, Inc. | ||||||||||||
Term Loan, 5.75%, Maturing September 17, 2018 | 62,187 | 62,866,461 | ||||||||||
Entercom Radio, LLC | ||||||||||||
Term Loan, 6.28%, Maturing November 23, 2018 | 6,570 | 6,643,912 | ||||||||||
Foxco Acquisition Sub, LLC | ||||||||||||
Term Loan, 4.75%, Maturing July 14, 2015 | 18,166 | 18,251,263 | ||||||||||
Gray Television, Inc. | ||||||||||||
Term Loan, 3.75%, Maturing December 31, 2014 | 2,570 | 2,560,961 | ||||||||||
Hubbard Radio, LLC | ||||||||||||
Term Loan, 5.25%, Maturing April 28, 2017 | 5,108 | 5,146,137 | ||||||||||
LIN Television Corp. | ||||||||||||
Term Loan, 5.00%, Maturing December 21, 2018 | 6,958 | 7,001,047 | ||||||||||
Local TV Finance, LLC | ||||||||||||
Term Loan, 4.24%, Maturing May 7, 2015 | 11,608 | 11,605,603 | ||||||||||
Mission Broadcasting, Inc. | ||||||||||||
Term Loan, 5.00%, Maturing September 30, 2016 | 3,746 | 3,754,899 | ||||||||||
Nexstar Broadcasting, Inc. | ||||||||||||
Term Loan, 5.00%, Maturing September 30, 2016 | 10,808 | 10,835,418 | ||||||||||
Radio One, Inc. | ||||||||||||
Term Loan, 7.50%, Maturing March 31, 2016 | 9,856 | 9,757,035 | ||||||||||
Raycom TV Broadcasting, Inc. | ||||||||||||
Term Loan, 4.50%, Maturing May 31, 2017 | 12,580 | 12,517,038 | ||||||||||
Sinclair Television Group Inc. | ||||||||||||
Term Loan, 4.00%, Maturing October 28, 2016 | 8,771 | 8,809,310 | ||||||||||
Tyrol Acquisitions 2 SAS | ||||||||||||
Term Loan, 4.58%, Maturing October 6, 2013 | EUR | 5,000 | 5,731,622 | |||||||||
Term Loan, 4.40%, Maturing January 29, 2016 | EUR | 2,750 | 3,156,335 | |||||||||
Term Loan, 4.40%, Maturing January 29, 2016 | EUR | 2,750 | 3,156,335 | |||||||||
Term Loan, 4.40%, Maturing January 29, 2016 | EUR | 7,800 | 8,952,513 | |||||||||
Term Loan, 4.40%, Maturing January 29, 2016 | EUR | 7,800 | 8,952,513 | |||||||||
Univision Communications Inc. | ||||||||||||
Term Loan, 2.24%, Maturing September 29, 2014 | 7,816 | 7,709,919 | ||||||||||
Term Loan, 4.49%, Maturing March 31, 2017 | 66,036 | 61,764,609 | ||||||||||
Weather Channel | ||||||||||||
Term Loan, 4.25%, Maturing February 13, 2017 | 15,662 | 15,753,622 | ||||||||||
$ | 288,351,648 | |||||||||||
Rail Industries — 0.1% | ||||||||||||
RailAmerica, Inc. | ||||||||||||
Term Loan, 4.00%, Maturing March 1, 2019 | 9,325 | $ | 9,365,797 | |||||||||
$ | 9,365,797 | |||||||||||
Retailers (Except Food and Drug) — 3.8% | ||||||||||||
99 Cents Only Stores | ||||||||||||
Term Loan, 5.25%, Maturing January 11, 2019 | 16,071 | $ | 16,140,013 | |||||||||
AMSCAN Holdings, Inc. | ||||||||||||
Term Loan, 6.75%, Maturing December 4, 2017 | 16,711 | 16,815,366 | ||||||||||
FTD, Inc. | ||||||||||||
Term Loan, 4.75%, Maturing June 11, 2018 | 17,470 | 17,338,925 | ||||||||||
Harbor Freight Tools USA, Inc. | ||||||||||||
Term Loan, 7.25%, Maturing December 22, 2017 | 26,367 | 26,586,333 | ||||||||||
J Crew Group, Inc. | ||||||||||||
Term Loan, 4.75%, Maturing March 7, 2018 | 43,662 | 43,334,866 | ||||||||||
Jo-Ann Stores, Inc. | ||||||||||||
Term Loan, 4.75%, Maturing March 19, 2018 | 27,859 | 27,859,422 | ||||||||||
Michaels Stores, Inc. | ||||||||||||
Term Loan, 5.00%, Maturing July 29, 2016 | 4,629 | 4,663,138 | ||||||||||
Term Loan, 5.00%, Maturing July 29, 2016 | 24,092 | 24,271,040 | ||||||||||
Neiman Marcus Group, Inc. (The) | ||||||||||||
Term Loan, 4.75%, Maturing May 16, 2018 | 41,075 | 41,169,144 | ||||||||||
Petco Animal Supplies, Inc. | ||||||||||||
Term Loan, 4.50%, Maturing November 24, 2017 | 34,692 | 34,782,040 | ||||||||||
Pilot Travel Centers LLC | ||||||||||||
Term Loan, 4.25%, Maturing March 30, 2018 | 14,692 | 14,767,702 | ||||||||||
Savers, Inc. | ||||||||||||
Term Loan, 4.25%, Maturing March 3, 2017 | 16,750 | 16,875,571 | ||||||||||
ServiceMaster Company | ||||||||||||
Term Loan, 2.74%, Maturing July 24, 2014 | 3,245 | 3,217,285 | ||||||||||
Term Loan, 2.80%, Maturing July 24, 2014 | 34,461 | 34,163,849 |
See Notes to Financial Statements.
28
Floating Rate Portfolio
April 30, 2012
Portfolio of Investments (Unaudited) — continued
Principal | ||||||||||||
Amount* | ||||||||||||
Borrower/Tranche Description | (000’s omitted) | Value | ||||||||||
Retailers (Except Food and Drug) (continued) | ||||||||||||
Visant Holding Corp. | ||||||||||||
Term Loan, 5.25%, Maturing December 22, 2016 | 20,266 | $ | 20,022,568 | |||||||||
Vivarte SA | ||||||||||||
Term Loan, 2.94%, Maturing March 9, 2015 | EUR | 86 | 96,308 | |||||||||
Term Loan, 2.94%, Maturing March 9, 2015 | EUR | 336 | 374,496 | |||||||||
Term Loan, 2.94%, Maturing March 9, 2015 | EUR | 9,880 | 11,001,946 | |||||||||
Term Loan, 3.57%, Maturing March 8, 2016 | EUR | 86 | 96,299 | |||||||||
Term Loan, 3.57%, Maturing March 8, 2016 | EUR | 336 | 374,496 | |||||||||
Term Loan, 3.57%, Maturing March 8, 2016 | EUR | 9,880 | 11,001,946 | |||||||||
Term Loan - Second Lien, 4.57%, Maturing September 8, 2016 | EUR | 13 | 10,954 | |||||||||
Term Loan - Second Lien, 4.57%, Maturing September 8, 2016 | EUR | 88 | 76,675 | |||||||||
Term Loan - Second Lien, 4.57%, Maturing September 8, 2016 | EUR | 900 | 788,661 | |||||||||
$ | 365,829,043 | |||||||||||
Steel — 0.3% | ||||||||||||
JMC Steel Group, Inc. | ||||||||||||
Term Loan, 4.75%, Maturing April 3, 2017 | 23,152 | $ | 23,325,770 | |||||||||
SunCoke Energy, Inc. | ||||||||||||
Term Loan, 4.00%, Maturing July 26, 2018 | 7,818 | 7,837,980 | ||||||||||
$ | 31,163,750 | |||||||||||
Surface Transport — 0.9% | ||||||||||||
Hertz Corporation, (The) | ||||||||||||
Term Loan, 3.75%, Maturing March 9, 2018 | 29,150 | $ | 28,475,906 | |||||||||
Term Loan, 3.75%, Maturing March 9, 2018 | 38,035 | 38,038,502 | ||||||||||
Swift Transportation Co. Inc. | ||||||||||||
Term Loan, 3.99%, Maturing December 21, 2016 | 1,313 | 1,319,883 | ||||||||||
Term Loan, 5.00%, Maturing December 21, 2017 | 22,642 | 22,882,356 | ||||||||||
$ | 90,716,647 | |||||||||||
Telecommunications — 3.9% | ||||||||||||
Alaska Communications Systems Holdings, Inc. | ||||||||||||
Term Loan, 5.50%, Maturing October 21, 2016 | 14,047 | $ | 12,979,601 | |||||||||
Cellular South, Inc. | ||||||||||||
Term Loan, 4.50%, Maturing July 27, 2017 | 6,873 | 6,873,063 | ||||||||||
Crown Castle International Corporation | ||||||||||||
Term Loan, 4.00%, Maturing January 31, 2019 | 25,262 | 25,320,901 | ||||||||||
ERC Luxembourg Holdings Limited | ||||||||||||
Term Loan, 3.28%, Maturing September 30, 2014(4) | EUR | 5,387 | 4,512,488 | |||||||||
Term Loan, 3.53%, Maturing September 30, 2015(4) | EUR | 5,389 | 4,514,776 | |||||||||
Intelsat Jackson Holdings S.A. | ||||||||||||
Term Loan, 5.25%, Maturing April 2, 2018 | 97,837 | 98,488,965 | ||||||||||
IPC Systems, Inc. | ||||||||||||
Term Loan, 2.67%, Maturing May 31, 2014 | 4,126 | 4,064,111 | ||||||||||
Term Loan, 3.28%, Maturing May 31, 2014 | GBP | 316 | 504,736 | |||||||||
Macquarie UK Broadcast Limited | ||||||||||||
Term Loan, 2.94%, Maturing July 1, 2014 | GBP | 6,000 | 8,873,204 | |||||||||
Term Loan, 3.19%, Maturing December 1, 2014 | GBP | 14,352 | 21,225,068 | |||||||||
MetroPCS Wireless, Inc. | ||||||||||||
Term Loan, 4.07%, Maturing November 3, 2016 | 1,995 | 1,989,736 | ||||||||||
Term Loan, 4.00%, Maturing March 16, 2018 | 80,079 | 79,478,348 | ||||||||||
Midcontinent Communications | ||||||||||||
Term Loan, 4.00%, Maturing December 30, 2016 | 8,762 | 8,705,101 | ||||||||||
NTELOS Inc. | ||||||||||||
Term Loan, 4.00%, Maturing August 7, 2015 | 4,697 | 4,700,746 | ||||||||||
SBA Finance | ||||||||||||
Term Loan, 3.75%, Maturing June 29, 2018 | 12,555 | 12,562,972 | ||||||||||
Syniverse Technologies, Inc. | ||||||||||||
Term Loan, 5.00%, Maturing April 23, 2019 | 21,950 | 22,032,313 | ||||||||||
Telesat LLC | ||||||||||||
Term Loan, 4.25%, Maturing March 26, 2019 | 47,275 | 47,297,172 | ||||||||||
TowerCo Finance LLC | ||||||||||||
Term Loan, 4.50%, Maturing February 2, 2017 | 9,009 | 9,054,045 | ||||||||||
$ | 373,177,346 | |||||||||||
Utilities — 1.9% | ||||||||||||
AES Corporation | ||||||||||||
Term Loan, 4.25%, Maturing June 1, 2018 | 29,727 | $ | 29,860,317 | |||||||||
BRSP, LLC | ||||||||||||
Term Loan, 7.50%, Maturing June 4, 2014 | 8,497 | 8,582,045 | ||||||||||
Calpine Corporation | ||||||||||||
Term Loan, 4.50%, Maturing April 2, 2018 | 12,704 | 12,733,778 | ||||||||||
Term Loan, 4.50%, Maturing April 2, 2018 | 30,909 | 30,983,643 | ||||||||||
Covanta Energy Corporation | ||||||||||||
Term Loan, 4.00%, Maturing March 23, 2019 | 4,800 | 4,818,000 | ||||||||||
Dynegy Midwest Generation LLC | ||||||||||||
Term Loan, 9.25%, Maturing August 4, 2016 | 9,459 | 9,718,850 | ||||||||||
Dynegy Power, LLC | ||||||||||||
Term Loan, 9.25%, Maturing August 4, 2016 | 12,736 | 13,378,111 | ||||||||||
Equipower Resources Holdings LLC | ||||||||||||
Term Loan, 5.75%, Maturing January 26, 2018 | 5,131 | 4,836,408 | ||||||||||
Invenergy LLC | ||||||||||||
Term Loan, 9.00%, Maturing November 21, 2017 | 8,928 | 9,039,220 | ||||||||||
NRG Energy, Inc. | ||||||||||||
Term Loan, 4.00%, Maturing July 2, 2018 | 34,757 | 34,874,200 | ||||||||||
Texas Competitive Electric Holdings Company, LLC | ||||||||||||
Term Loan, 4.74%, Maturing October 10, 2017 | 45,113 | 24,830,740 | ||||||||||
$ | 183,655,312 | |||||||||||
Total Senior Floating-Rate Interests | ||||||||||||
(identified cost $9,139,768,737) | $ | 9,113,748,701 | ||||||||||
See Notes to Financial Statements.
29
Floating Rate Portfolio
April 30, 2012
Portfolio of Investments (Unaudited) — continued
Corporate Bonds & Notes — 2.0% | ||||||||||||
Principal | ||||||||||||
Amount* | ||||||||||||
Security | (000’s omitted) | Value | ||||||||||
Building and Development — 0.0%(3) | ||||||||||||
Calcipar SA, Sr. Notes | ||||||||||||
6.875%, 5/1/18(8) | 4,000 | $ | 4,120,000 | |||||||||
$ | 4,120,000 | |||||||||||
Chemicals and Plastics — 0.4% | ||||||||||||
Hexion US Finance Corp., Sr. Notes | ||||||||||||
6.625%, 4/15/20(8) | 2,000 | $ | 2,100,000 | |||||||||
Ineos Finance PLC, Sr. Notes | ||||||||||||
7.25%, 2/15/19(8)(9) | EUR | 8,000 | 10,642,551 | |||||||||
8.375%, 2/15/19(8) | 15,250 | 16,393,750 | ||||||||||
7.50%, 5/1/20(8) | 9,525 | 9,525,000 | ||||||||||
Polymer Group, Inc., Sr. Notes | ||||||||||||
7.75%, 2/1/19 | 5,000 | 5,362,500 | ||||||||||
$ | 44,023,801 | |||||||||||
Diversified Manufacturing Operations — 0.1% | ||||||||||||
Matalan Finance PLC, Sr. Notes | ||||||||||||
8.875%, 4/29/16(10) | GBP | 6,500 | $ | 9,124,754 | ||||||||
$ | 9,124,754 | |||||||||||
Ecological Services and Equipment — 0.0%(3) | ||||||||||||
Environmental Systems Product Holdings, Inc., Jr. Notes | ||||||||||||
18.00%, 3/31/15(6) | 149 | $ | 126,454 | |||||||||
$ | 126,454 | |||||||||||
Electronics / Electrical — 0.0%(3) | ||||||||||||
NXP BV/NXP Funding, LLC | ||||||||||||
3.217%, 10/15/13(9) | 75 | $ | 75,281 | |||||||||
$ | 75,281 | |||||||||||
Equipment Leasing — 0.1% | ||||||||||||
International Lease Finance Corp., Sr. Notes | ||||||||||||
6.75%, 9/1/16(8) | 2,325 | $ | 2,522,625 | |||||||||
7.125%, 9/1/18(8) | 2,325 | 2,569,125 | ||||||||||
$ | 5,091,750 | |||||||||||
Financial Intermediaries — 0.2% | ||||||||||||
UPCB Finance II, Ltd., Sr. Notes | ||||||||||||
6.375%, 7/1/20(8) | EUR | 6,500 | $ | 8,431,971 | ||||||||
UPCB Finance III, Ltd., Sr. Notes | ||||||||||||
6.625%, 7/1/20(8) | 9,000 | 9,180,000 | ||||||||||
$ | 17,611,971 | |||||||||||
Health Care — 0.0%(3) | ||||||||||||
Accellent, Inc., Sr. Notes | ||||||||||||
8.375%, 2/1/17 | 3,000 | $ | 3,041,250 | |||||||||
$ | 3,041,250 | |||||||||||
Leisure Goods / Activities / Movies — 0.2% | ||||||||||||
NAI Entertainment Holdings, LLC, Sr. Notes | ||||||||||||
8.25%, 12/15/17(8) | 7,500 | $ | 8,306,250 | |||||||||
National CineMedia, LLC, Sr. Notes | ||||||||||||
6.00%, 4/15/22(8) | 8,250 | 8,435,625 | ||||||||||
$ | 16,741,875 | |||||||||||
Lodging and Casinos — 0.3% | ||||||||||||
Caesars Entertainment Operating Co., Sr. Notes | ||||||||||||
8.50%, 2/15/20(8) | 25,250 | $ | 26,070,625 | |||||||||
$ | 26,070,625 | |||||||||||
Radio and Television — 0.0%(3) | ||||||||||||
Entravision Communications Corp., Sr. Notes | ||||||||||||
8.75%, 8/1/17 | 3,000 | $ | 3,180,000 | |||||||||
$ | 3,180,000 | |||||||||||
Telecommunications — 0.1% | ||||||||||||
Hughes Satellite Systems Corp., Sr. Notes | ||||||||||||
6.50%, 6/15/19 | 8,500 | $ | 9,137,500 | |||||||||
$ | 9,137,500 | |||||||||||
Utilities — 0.6% | ||||||||||||
Calpine Corp., Sr. Notes | ||||||||||||
7.50%, 2/15/21(8) | 28,200 | $ | 30,315,000 | |||||||||
7.875%, 1/15/23(8) | 26,100 | 28,253,250 | ||||||||||
$ | 58,568,250 | |||||||||||
Total Corporate Bonds & Notes | ||||||||||||
(identified cost $187,067,239) | $ | 196,913,511 | ||||||||||
Asset-Backed Securities — 0.1% | ||||||||||||
Principal | ||||||||||||
Amount | ||||||||||||
Security | (000’s omitted) | Value | ||||||||||
Alzette European CLO SA, Series 2004-1A, Class E2, 6.974%, 12/15/20(9) | $ | 540 | $ | 452,987 | ||||||||
Avalon Capital Ltd. 3, Series 1A, Class D, 2.442%, 2/24/19(8)(9) | 884 | 694,611 | ||||||||||
Babson Ltd., Series 2005-1A, Class C1, 2.417%, 4/15/19(8)(9) | 1,129 | 818,199 | ||||||||||
Carlyle High Yield Partners, Series 2004-6A, Class C, 2.917%, 8/11/16(8)(9) | 1,500 | 1,329,186 |
See Notes to Financial Statements.
30
Floating Rate Portfolio
April 30, 2012
Portfolio of Investments (Unaudited) — continued
Principal | ||||||||||||
Amount | ||||||||||||
Security | (000’s omitted) | Value | ||||||||||
Centurion CDO 8 Ltd., Series 2005-8A, Class D, 5.975%, 3/8/17(9) | $ | 985 | $ | 846,621 | ||||||||
Morgan Stanley Investment Management Croton, Ltd., Series 2005-1A, Class D, 2.417%, 1/15/18(8)(9) | 2,000 | 1,405,751 | ||||||||||
Total Asset-Backed Securities | ||||||||||||
(identified cost $7,008,568) | $ | 5,547,355 | ||||||||||
Common Stocks — 0.6% | ||||||||||||
Security | Shares | Value | ||||||||||
Automotive — 0.1% | ||||||||||||
Dayco Products, LLC(11)(12) | 88,506 | $ | 3,119,836 | |||||||||
$ | 3,119,836 | |||||||||||
Building and Development — 0.0%(3) | ||||||||||||
United Subcontractors, Inc.(6)(11)(12) | 3,646 | $ | 260,372 | |||||||||
WCI Communities, Inc.(6)(11)(12) | 22,273 | 1,614,764 | ||||||||||
$ | 1,875,136 | |||||||||||
Chemicals and Plastics — 0.0%(3) | ||||||||||||
Vita Cayman II, Ltd.(11)(12) | 3,849 | $ | 862,952 | |||||||||
$ | 862,952 | |||||||||||
Diversified Manufacturing — 0.0%(3) | ||||||||||||
MEGA Brands, Inc.(12) | 19,081 | $ | 117,631 | |||||||||
$ | 117,631 | |||||||||||
Ecological Services and Equipment — 0.0%(3) | ||||||||||||
Environmental Systems Products Holdings, Inc.(6)(12)(13) | 2,484 | $ | 226,044 | |||||||||
$ | 226,044 | |||||||||||
Financial Intermediaries — 0.0%(3) | ||||||||||||
RTS Investor Corp.(6)(11)(12) | 692 | $ | 55,309 | |||||||||
$ | 55,309 | |||||||||||
Food Service — 0.0% | ||||||||||||
Buffets, Inc.(6)(12) | 193,076 | $ | 0 | |||||||||
$ | 0 | |||||||||||
Home Furnishings — 0.0%(3) | ||||||||||||
Oreck Corp.(6)(11)(12) | 14,217 | $ | 869,370 | |||||||||
Sanitec Europe Oy B Units(6)(11)(12) | 235,094 | 1,555,970 | ||||||||||
Sanitec Europe Oy E Units(6)(11)(12) | 230,960 | 0 | ||||||||||
$ | 2,425,340 | |||||||||||
Leisure Goods / Activities / Movies — 0.1% | ||||||||||||
Metro-Goldwyn-Mayer Holdings, Inc.(11)(12) | 414,634 | $ | 11,324,194 | |||||||||
$ | 11,324,194 | |||||||||||
Lodging and Casinos — 0.0%(3) | ||||||||||||
Affinity Gaming, LLC(6)(11)(12) | 206,125 | $ | 1,216,139 | |||||||||
$ | 1,216,139 | |||||||||||
Publishing — 0.3% | ||||||||||||
Ion Media Networks, Inc.(6)(11)(12) | 28,605 | $ | 22,884,000 | |||||||||
MediaNews Group, Inc.(6)(11)(12) | 162,730 | 3,256,226 | ||||||||||
Source Interlink Companies, Inc.(6)(11)(12) | 5,725 | 0 | ||||||||||
Star Tribune Media Holdings Co.(11)(12) | 30,631 | 850,010 | ||||||||||
SuperMedia, Inc.(11)(12) | 53,719 | 92,397 | ||||||||||
$ | 27,082,633 | |||||||||||
Radio and Television — 0.1% | ||||||||||||
New Young Broadcasting Holding Co., Inc.(11)(12) | 2,310 | $ | 6,958,875 | |||||||||
$ | 6,958,875 | |||||||||||
Total Common Stocks | ||||||||||||
(identified cost $33,340,330) | $ | 55,264,089 | ||||||||||
Preferred Stocks — 0.0%(3) | ||||||||||||
Security | Shares | Value | ||||||||||
Ecological Services and Equipment — 0.0%(3) | ||||||||||||
Environmental Systems Products Holdings, Inc., Series A(6)(12)(13) | 569 | $ | 35,847 | |||||||||
Total Preferred Stocks | ||||||||||||
(identified cost $9,957) | $ | 35,847 | ||||||||||
Warrants — 0.0%(3) | ||||||||||||
Security | Shares | Value | ||||||||||
Radio and Television — 0.0%(3) | ||||||||||||
New Young Broadcasting Holding Co., Inc., Expires 12/24/24(11)(12) | 112 | $ | 337,400 | |||||||||
$ | 337,400 | |||||||||||
See Notes to Financial Statements.
31
Floating Rate Portfolio
April 30, 2012
Portfolio of Investments (Unaudited) — continued
Security | Shares | Value | ||||||||||
Retailers (Except Food and Drug) — 0.0% | ||||||||||||
Oriental Trading Co., Inc., Expires 2/11/16(6)(11)(12) | 10,906 | $ | 0 | |||||||||
Oriental Trading Co., Inc., Expires 2/11/16(6)(11)(12) | 11,964 | 0 | ||||||||||
$ | 0 | |||||||||||
Total Warrants | ||||||||||||
(identified cost $192,476) | $ | 337,400 | ||||||||||
Short-Term Investments — 4.1% | ||||||||||||
Interest/ | ||||||||||||
Principal | ||||||||||||
Amount | ||||||||||||
Description | (000’s omitted) | Value | ||||||||||
Eaton Vance Cash Reserves Fund, LLC, 0.09%(14) | $ | 368,732 | $ | 368,732,268 | ||||||||
State Street Bank and Trust Euro Time Deposit, 0.01%, 5/1/12 | 32,453 | 32,453,308 | ||||||||||
Total Short-Term Investments | ||||||||||||
(identified cost $401,185,576) | $ | 401,185,576 | ||||||||||
Total Investments — 101.2% | ||||||||||||
(identified cost $9,768,572,883) | $ | 9,773,032,479 | ||||||||||
Less Unfunded Loan Commitments — (0.4)% | $ | (33,857,021 | ) | |||||||||
Net Investments — 100.8% | ||||||||||||
(identified cost $9,734,715,862) | $ | 9,739,175,458 | ||||||||||
Other Assets, Less Liabilities — (0.8)% | $ | (81,370,914 | ) | |||||||||
Net Assets — 100.0% | $ | 9,657,804,544 | ||||||||||
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
CHF | - Swiss Franc | |
DIP | - Debtor-In-Possession | |
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) | Unfunded or partially 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 these commitments at the borrower’s discretion. See Note 1G for description. | |
(3) | Amount is less than 0.05%. | |
(4) | Represents a payment-in-kind security which may pay all or a portion of interest in additional par. | |
(5) | This Senior Loan will settle after April 30, 2012, at which time the interest rate will be determined. | |
(6) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 10). | |
(7) | Currently the issuer is in default with respect to interest payments. For a variable rate security, interest rate has been adjusted to reflect non-accrual status. | |
(8) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At April 30, 2012, the aggregate value of these securities is $171,113,519 or 1.8% of the Portfolio’s net assets. | |
(9) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2012. | |
(10) | 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. | |
(11) | Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. | |
(12) | Non-income producing security. | |
(13) | Restricted security (see Note 5). | |
(14) | 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, 2012. |
See Notes to Financial Statements.
32
Floating Rate Portfolio
April 30, 2012
Statement of Assets and Liabilities (Unaudited)
Assets | April 30, 2012 | |||||
Unaffiliated investments, at value (identified cost, $9,365,983,594) | $ | 9,370,443,190 | ||||
Affiliated investment, at value (identified cost, $368,732,268) | 368,732,268 | |||||
Restricted cash* | 5,958,158 | |||||
Foreign currency, at value (identified cost, $23,053,312) | 23,050,769 | |||||
Interest receivable | 41,789,820 | |||||
Interest receivable from affiliated investment | 33,515 | |||||
Receivable for investments sold | 21,897,827 | |||||
Receivable for open forward foreign currency exchange contracts | 1,337,582 | |||||
Receivable for closed swap contracts | 118,906 | |||||
Prepaid expenses | 528,508 | |||||
Total assets | $ | 9,833,890,543 | ||||
Liabilities | ||||||
Payable for investments purchased | $ | 164,983,972 | ||||
Payable for open forward foreign currency exchange contracts | 3,189,238 | |||||
Payable for open swap contracts | 3,261,410 | |||||
Payable to affiliates: | ||||||
Investment adviser fee | 3,957,169 | |||||
Trustees’ fees | 4,208 | |||||
Accrued expenses | 690,002 | |||||
Total liabilities | $ | 176,085,999 | ||||
Net Assets applicable to investors’ interest in Portfolio | $ | 9,657,804,544 | ||||
Sources of Net Assets | ||||||
Investors’ capital | $ | 9,657,561,363 | ||||
Net unrealized appreciation | 243,181 | |||||
Total | $ | 9,657,804,544 | ||||
* | Represents restricted cash on deposit at the custodian as collateral for open financial contracts. |
See Notes to Financial Statements.
33
Floating Rate Portfolio
April 30, 2012
Statement of Operations (Unaudited)
Six Months Ended | ||||||
Investment Income | April 30, 2012 | |||||
Interest and other income (net of foreign taxes, $91,932) | $ | 244,871,003 | ||||
Interest allocated from affiliated investment | 215,474 | |||||
Expenses allocated from affiliated investment | (34,334 | ) | ||||
Total investment income | $ | 245,052,143 | ||||
Expenses | ||||||
Investment adviser fee | $ | 23,872,732 | ||||
Trustees’ fees and expenses | 34,000 | |||||
Custodian fee | 938,827 | |||||
Legal and accounting services | 311,564 | |||||
Interest expense and fees | 540,245 | |||||
Miscellaneous | 190,279 | |||||
Total expenses | $ | 25,887,647 | ||||
Deduct — | ||||||
Reduction of custodian fee | $ | 24 | ||||
Total expense reductions | $ | 24 | ||||
Net expenses | $ | 25,887,623 | ||||
Net investment income | $ | 219,164,520 | ||||
Realized and Unrealized Gain (Loss) | ||||||
Net realized gain (loss) — | ||||||
Investment transactions | $ | 22,532,888 | ||||
Investment transactions allocated from affiliated investment | 4,896 | |||||
Swap contracts | (574,266 | ) | ||||
Foreign currency and forward foreign currency exchange contract transactions | 19,525,049 | |||||
Net realized gain | $ | 41,488,567 | ||||
Change in unrealized appreciation (depreciation) — | ||||||
Investments | $ | 151,176,711 | ||||
Swap contracts | (465,112 | ) | ||||
Foreign currency and forward foreign currency exchange contracts | (6,423,542 | ) | ||||
Net change in unrealized appreciation (depreciation) | $ | 144,288,057 | ||||
Net realized and unrealized gain | $ | 185,776,624 | ||||
Net increase in net assets from operations | $ | 404,941,144 | ||||
See Notes to Financial Statements.
34
Floating Rate Portfolio
April 30, 2012
Statements of Changes in Net Assets
Six Months Ended | ||||||||||
April 30, 2012 | Year Ended | |||||||||
Increase (Decrease) in Net Assets | (Unaudited) | October 31, 2011 | ||||||||
From operations — | ||||||||||
Net investment income | $ | 219,164,520 | $ | 397,412,294 | ||||||
Net realized gain (loss) from investment transactions, swap contracts and foreign currency and forward foreign currency exchange contract transactions | 41,488,567 | (18,065,295 | ) | |||||||
Net change in unrealized appreciation (depreciation) from investments, swap contracts, foreign currency and forward foreign currency exchange contracts | 144,288,057 | (100,433,238 | ) | |||||||
Net increase in net assets from operations | $ | 404,941,144 | $ | 278,913,761 | ||||||
Capital transactions — | ||||||||||
Contributions | $ | 410,015,822 | $ | 4,383,895,129 | ||||||
Withdrawals | (851,486,465 | ) | (1,465,370,574 | ) | ||||||
Net increase (decrease) in net assets from capital transactions | $ | (441,470,643 | ) | $ | 2,918,524,555 | |||||
Net increase (decrease) in net assets | $ | (36,529,499 | ) | $ | 3,197,438,316 | |||||
Net Assets | ||||||||||
At beginning of period | $ | 9,694,334,043 | $ | 6,496,895,727 | ||||||
At end of period | $ | 9,657,804,544 | $ | 9,694,334,043 | ||||||
See Notes to Financial Statements.
35
Floating Rate Portfolio
April 30, 2012
Supplementary Data
Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||
April 30, 2012 | ||||||||||||||||||||||||||
Ratios/Supplemental Data | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||||
Ratios (as a percentage of average daily net assets): | ||||||||||||||||||||||||||
Expenses(1) | 0.54 | %(2) | 0.54 | % | 0.57 | % | 0.61 | % | 0.70 | % | 0.58 | % | ||||||||||||||
Net investment income | 4.60 | %(2) | 4.31 | % | 4.43 | % | 5.41 | % | 6.50 | % | 6.94 | % | ||||||||||||||
Portfolio Turnover | 19 | %(3) | 56 | % | 39 | % | 35 | % | 7 | % | 61 | % | ||||||||||||||
Total Return | 4.28 | %(3) | 4.30 | % | 10.51 | % | 27.54 | % | (22.24 | )% | 4.62 | % | ||||||||||||||
Net assets, end of period (000’s omitted) | $ | 9,657,805 | $ | 9,694,334 | $ | 6,496,896 | $ | 4,294,340 | $ | 3,056,210 | $ | 6,851,600 | ||||||||||||||
(1) | Excludes the effect of custody fee credits, if any, of less than 0.005%. | |
(2) | Annualized. | |
(3) | Not annualized. |
See Notes to Financial Statements.
36
Floating Rate Portfolio
April 30, 2012
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, 2012, Eaton Vance Floating-Rate Fund, Eaton Vance Strategic Income Fund, Eaton Vance Floating-Rate & High Income Fund, Eaton Vance Multi-Strategy Absolute Return Fund, Eaton Vance Low Duration Fund and Eaton Vance Short Term Real Return Fund held an interest of 83.3%, 5.4%, 9.0%, 1.2%, 0.4% and 0.3%, 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 (i.e., subordinated loans and second lien 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 provided 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 obligations 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 or closing 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. Interest rate swaps are normally valued using valuations provided by a third party pricing service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract. Future cash flows are discounted to their present value using swap rates provided by electronic data services or by broker/dealers. 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 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 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.
37
Floating Rate Portfolio
April 30, 2012
Notes to Financial Statements (Unaudited) — continued
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. Withholding taxes on foreign interest have been provided for in accordance with the Portfolio’s understanding of the applicable countries’ tax rules and rates.
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, 2012, the Portfolio had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Portfolio files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
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 these commitments at the borrower’s discretion. These commitments are disclosed in the accompanying Portfolio of Investments. At April 30, 2012, the Portfolio had sufficient cash and/or securities to cover these commitments.
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 forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contracts have 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 Interest Rate Swaps — Pursuant to interest rate swap agreements, the Portfolio either makes floating-rate payments based on a benchmark interest rate in exchange for fixed-rate payments or the Portfolio makes fixed-rate payments in exchange for payments on a floating benchmark interest rate. Payments
38
Floating Rate Portfolio
April 30, 2012
Notes to Financial Statements (Unaudited) — continued
received or made are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. The value of the swap is determined by changes in the relationship between two rates of interest. The Portfolio is exposed to credit loss in the event of non-performance by the swap counterparty. Risk may also arise from movements in interest rates.
L Interim Financial Statements — The interim financial statements relating to April 30, 2012 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 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 of 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. Effective May 1, 2012, pursuant to an additional fee reduction agreement between the Portfolio and BMR, the portion of the fee on net assets of $10 billion and over is computed as follows: annual rate of 0.460% of the Portfolio’s average daily net assets from $10 billion up to $15 billion, 0.4475% from $15 billion up to $20 billion, 0.4375% from $20 billion up to $25 billion and 0.430% of average daily net assets of $25 billion or more. The fee reductions cannot be terminated without the consent of the Trustees and shareholders. The Portfolio 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, 2012, the Portfolio’s investment adviser fee amounted to $23,872,732 or 0.50% (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, 2012, 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, principal repayments on Senior Loans and paydowns, aggregated $1,735,763,625 and $1,766,199,293, respectively, for the six months ended April 30, 2012.
4 Federal Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) of investments of the Portfolio at April 30, 2012, as determined on a federal income tax basis, were as follows:
Aggregate cost | $ | 9,736,200,343 | ||||
Gross unrealized appreciation | $ | 128,838,663 | ||||
Gross unrealized depreciation | (125,863,548 | ) | ||||
Net unrealized appreciation | $ | 2,975,115 | ||||
5 Restricted Securities
At April 30, 2012, 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.
39
Floating Rate Portfolio
April 30, 2012
Notes to Financial Statements (Unaudited) — continued
Date of | ||||||||||||||||||
Description | Acquisition | Shares | Cost | Value | ||||||||||||||
Common Stocks | ||||||||||||||||||
Environmental Systems Products Holdings, Inc. | 10/25/07 | 2,484 | $ | 0 | $ | 226,044 | ||||||||||||
Preferred Stocks | ||||||||||||||||||
Environmental Systems Products Holdings, Inc., Series A | 10/25/07 | 569 | $ | 9,958 | $ | 35,847 | ||||||||||||
Total Restricted Securities | $ | 9,958 | $ | 261,891 | ||||||||||||||
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 swap 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 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, 2012 is as follows:
Forward Foreign Currency Exchange Contracts | ||||||||||||
Purchases | ||||||||||||
Net Unrealized | ||||||||||||
Settlement Date | In Exchange For | Deliver | Counterparty | Appreciation | ||||||||
5/2/12 | Euro 15,750,000 | United States Dollar 20,841,975 | Citibank NA | $ | 6,305 | |||||||
$ | 6,305 | |||||||||||
Sales | ||||||||||||
Net Unrealized | ||||||||||||
Appreciation | ||||||||||||
Settlement Date | Deliver | In Exchange For | Counterparty | (Depreciation) | ||||||||
5/31/12 | British Pound Sterling 6,900,000 | United States Dollar 11,196,395 | JPMorgan Chase Bank | $ | 388 | |||||||
5/31/12 | British Pound Sterling 51,122,696 | United States Dollar 80,876,105 | JPMorgan Chase Bank | (2,076,080 | ) | |||||||
5/31/12 | Euro 43,158,033 | United States Dollar 57,862,406 | Citibank NA | 728,062 | ||||||||
5/31/12 | Euro 15,750,000 | United States Dollar 20,844,117 | Citibank NA | (6,368 | ) | |||||||
6/29/12 | British Pound Sterling 28,528,205 | United States Dollar 45,260,710 | Goldman Sachs International | (1,021,413 | ) | |||||||
6/29/12 | Euro 76,642,937 | United States Dollar 102,046,622 | HSBC Bank USA | 567,543 | ||||||||
6/29/12 | Swiss Franc 15,168,670 | United States Dollar 16,758,739 | Citibank NA | 35,284 | ||||||||
7/31/12 | British Pound Sterling 12,957,082 | United States Dollar 20,969,094 | HSBC Bank USA | (47,662 | ) | |||||||
7/31/12 | Euro 86,222,439 | United States Dollar 114,154,198 | Deutsche Bank | (37,715 | ) | |||||||
$ | (1,857,961 | ) | ||||||||||
40
Floating Rate Portfolio
April 30, 2012
Notes to Financial Statements (Unaudited) — continued
Interest Rate Swaps | ||||||||||||||||||||||
Notional | Portfolio | Net | ||||||||||||||||||||
Amount | Pays/Receives | Floating | Annual | Termination | Unrealized | |||||||||||||||||
Counterparty | (000’s omitted) | Floating Rate | Rate Index | Fixed Rate | Date | Depreciation | ||||||||||||||||
Citibank NA | $ | 60,000 | Receives | 3 Month USD-LIBOR-BBA | 0.98 | % | 6/24/14 | $ | (707,768 | ) | ||||||||||||
Citibank NA | 60,000 | Receives | 3 Month USD-LIBOR-BBA | 1.81 | 6/24/16 | (2,553,642 | ) | |||||||||||||||
$ | (3,261,410 | ) | ||||||||||||||||||||
At April 30, 2012, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.
In the normal course of pursuing its investment objective and its use of derivatives, the Portfolio is subject to the following risks:
Foreign Exchange Risk: 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 enters into forward foreign currency exchange contracts. The Portfolio also enters into such contracts to hedge the currency risk of investments it anticipates purchasing.
Interest Rate Risk: Because the Portfolio holds fixed-rate bonds, the value of these bonds may decrease if interest rates rise. To hedge against this risk, the Portfolio enters into interest rate swap contracts with respect to a portion of the bonds.
The Portfolio enters into swap contracts and forward foreign currency exchange contracts that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Portfolio’s net assets below a certain level over a certain period of time, which would trigger a payment by the Portfolio for those derivatives in a liability position. At April 30, 2012 the fair value of derivatives with credit-related contingent features in a net liability position was $6,450,648. At April 30, 2012, the aggregate fair value of assets pledged as collateral by the Portfolio for such liability was $5,958,158.
The non-exchange traded derivatives in which the Portfolio invests, including swap contracts and forward foreign currency exchange contracts, are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. At April 30, 2012, the maximum amount of loss the Portfolio would incur due to counterparty risk was $1,337,582, representing the fair value of such derivatives in an asset position, with the highest amount from any one counterparty being $769,651. To mitigate this risk, the Portfolio has entered into master netting agreements with substantially all its derivative counterparties, which allows it and a counterparty to aggregate amounts owed by each of them for derivative transactions under the agreement into a single net amount payable by either the Portfolio or the counterparty. At April 30, 2012, the maximum amount of loss the Portfolio would incur due to counterparty risk would be reduced by $817,701 due to master netting agreements. Counterparties may be required to pledge collateral in the form of cash, U.S. Government securities or highly-rated bonds for the benefit of the Portfolio if the net amount due from the counterparty with respect to a derivative contract exceeds a certain threshold. The amount of collateral posted by the counterparties with respect to such contracts would also reduce the amount of any loss incurred.
The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at April 30, 2012 was as follows:
Fair Value | ||||||||||||
Risk | Derivative | Asset Derivative | Liability Derivative | |||||||||
Foreign Exchange | Forward foreign currency exchange contracts | $ | 1,337,582 | (1) | $ | (3,189,238 | )(2) | |||||
$ | 1,337,582 | $ | (3,189,238 | ) | ||||||||
Interest Rate | Swap contracts | $ | — | $ | (3,261,410 | )(2) | ||||||
$ | — | $ | (3,261,410 | ) | ||||||||
(1) | Statement of Assets and Liabilities location: Receivable for open forward foreign currency exchange contracts; Net unrealized appreciation. | |
(2) | Statement of Assets and Liabilities location: Payable for open forward foreign currency exchange contracts and Payable for open swap contracts, respectively; Net unrealized appreciation. |
41
Floating Rate Portfolio
April 30, 2012
Notes to Financial Statements (Unaudited) — continued
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations by risk exposure for the six months ended April 30, 2012 was as follows:
Realized Gain (Loss) | Change in Unrealized | |||||||||||
on Derivatives Recognized | Appreciation (Depreciation) on | |||||||||||
Risk | Derivative | in Income | Derivatives Recognized in Income | |||||||||
Foreign Exchange | Forward foreign currency exchange contracts | $ | 20,345,562 | (1) | $ | (5,789,664 | )(2) | |||||
Interest Rate | Swap contracts | (574,266 | )(1) | (465,112 | )(2) | |||||||
Total | $ | 19,771,296 | $ | (6,254,776 | ) | |||||||
(1) | Statement of Operations location: Net realized gain (loss) – Foreign currency and forward foreign currency exchange contract transactions and Swap contracts, respectively. | |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation) – Foreign currency and forward foreign currency exchange contracts and Swap contracts, respectively. |
The average notional amounts of forward foreign currency exchange contracts and swap contracts outstanding during the six months ended April 30, 2012, which are indicative of the volume of these derivative types, were approximately $487,028,000 and $120,000,000, respectively.
7 Line of Credit
The Portfolio participates with another portfolio and fund managed by EVM and its affiliates in a $800 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 0.08% on the daily unused portion of the line of credit is allocated among the participating portfolios and fund 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, 2012.
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 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) |
42
Floating Rate Portfolio
April 30, 2012
Notes to Financial Statements (Unaudited) — continued
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. 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, 2012, the hierarchy of inputs used in valuing the Portfolio’s investments and open derivative instruments, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Senior Floating-Rate Interests (Less Unfunded Loan Commitments) | $ | — | $ | 9,075,783,256 | $ | 4,108,424 | $ | 9,079,891,680 | ||||||||||
Corporate Bonds & Notes | — | 196,787,057 | 126,454 | 196,913,511 | ||||||||||||||
Asset-Backed Securities | — | 5,547,355 | — | 5,547,355 | ||||||||||||||
Common Stocks | 210,028 | 23,115,867 | 31,938,194 | 55,264,089 | ||||||||||||||
Preferred Stocks | — | — | 35,847 | 35,847 | ||||||||||||||
Warrants | — | 337,400 | 0 | 337,400 | ||||||||||||||
Short-Term Investments | — | 401,185,576 | — | 401,185,576 | ||||||||||||||
Total Investments | $ | 210,028 | $ | 9,702,756,511 | $ | 36,208,919 | $ | 9,739,175,458 | ||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 1,337,582 | $ | — | $ | 1,337,582 | ||||||||||
Total | $ | 210,028 | $ | 9,704,094,093 | $ | 36,208,919 | $ | 9,740,513,040 | ||||||||||
Liability Description | ||||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (3,189,238 | ) | $ | — | $ | (3,189,238 | ) | ||||||||
Interest Rate Swaps | — | (3,261,410 | ) | — | (3,261,410 | ) | ||||||||||||
Total | $ | — | $ | (6,450,648 | ) | $ | — | $ | (6,450,648 | ) | ||||||||
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, 2011 | $ | 6,030,241 | $ | 125,977 | $ | 42,122,603 | $ | 35,028 | $ | 0 | $ | 48,313,849 | ||||||||||||||
Realized gains (losses) | (425,717 | ) | — | 10,125,694 | — | — | 9,699,977 | |||||||||||||||||||
Change in net unrealized | ||||||||||||||||||||||||||
appreciation (depreciation)* | (134,186 | ) | (1,555 | ) | (9,978,723 | ) | 819 | — | (10,113,645 | ) | ||||||||||||||||
Cost of purchases** | 165,534 | — | — | — | — | 165,534 | ||||||||||||||||||||
Proceeds from sales** | (3,699,562 | ) | — | (11,185,291 | ) | — | — | (14,884,853 | ) | |||||||||||||||||
Accrued discount (premium) | 132,809 | 2,032 | — | — | — | 134,841 | ||||||||||||||||||||
Transfers to Level 3*** | 2,039,305 | — | 853,911 | — | — | 2,893,216 | ||||||||||||||||||||
Transfers from Level 3*** | — | — | — | — | — | — | ||||||||||||||||||||
Balance as of April 30, 2012 | $ | 4,108,424 | $ | 126,454 | $ | 31,938,194 | $ | 35,847 | $ | 0 | $ | 36,208,919 | ||||||||||||||
Change in net unrealized appreciation (depreciation) on investments still held as of April 30, 2012 | $ | (606,913 | ) | $ | (1,555 | ) | $ | (152,784 | ) | $ | 819 | $ | — | $ | (760,433 | ) | ||||||||||
* | Amount is included in the related amount on investments in the Statement of Operations. |
** | Cost of purchases may include securities received in corporate actions; proceeds from sales may include securities delivered in corporate actions. |
*** | Transfers are reflected at the value of the securities at the beginning of the period. Transfers from Level 2 to Level 3 were due to a reduction in the availability of significant observable inputs in determining the fair value of these investments. |
At April 30, 2012, the value of investments transferred between Level 1 and Level 2, if any, during the six months then ended was not significant.
43
Eaton Vance
Floating-Rate Fund
April 30, 2012
Board of Trustees’ Contract Approval
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 continuation 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 23, 2012, 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 by each adviser to the Eaton Vance Funds (including information specifically requested by the Board) for a series of meetings of the Contract Review Committee held between February and April 2012, as well as information considered during prior meetings of the committee. 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, where relevant, yield data, Sharpe ratios and information ratios) to the investment performance of comparable funds over various time periods; | |
• | Data regarding investment performance in comparison to benchmark indices and customized peer groups, in each case as approved by the Board with respect to the funds; | |
• | For each fund, comparative information concerning the fees charged and the services provided by each adviser in managing other accounts (including mutual funds, other collective investment 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 and Trading
• | 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 about 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 client commission arrangements and the fund’s policies with respect to “soft dollar” arrangements; | |
• | 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’s processes for monitoring best execution of portfolio transactions, and other policies and practices of each adviser with respect to trading; |
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, including with respect to regulatory and compliance issues, investment management and other matters; |
44
Eaton Vance
Floating-Rate Fund
April 30, 2012
Board of Trustees’ Contract Approval — continued
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. |
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, 2012, 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 ten, nineteen, seven, eight and fourteen times respectively. At such meetings, the Trustees participated in investment and performance reviews with the portfolio managers and other investment professionals of each adviser relating to each fund. The Board and its Committees considered the investment and trading strategies used in pursuing each fund’s investment objective, including, where relevant, the use of derivative instruments, as well as risk management techniques. The Board and its Committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, fund governance and other issues with respect to the funds, and received and participated in reports and presentations provided by Eaton Vance Management and other fund advisers with respect to such matters.
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 continuation 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 considered the experience and abilities of such investment personnel in analyzing 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 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.
45
Eaton Vance
Floating-Rate Fund
April 30, 2012
Board of Trustees’ Contract Approval — continued
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 as well as a customized peer group of similarly managed funds and appropriate benchmark indices. The Board reviewed comparative performance data for the one-, three-, five- and ten-year periods ended September 30, 2011 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 administrative fee rates, payable by the Portfolio and by the Fund (referred to 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, 2011, 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 taken by management in recent years to reduce expenses at the Eaton Vance fund complex level, including the negotiation of reduced fees for transfer agency and custody services. The Board considered the fact that, at the request of the Contract Review Committee, the Adviser had undertaken to permanently reduce fee rates through the implementation of additional fee breakpoints at agreed-upon asset levels, to be effective May 1, 2012.
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, to 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 their relationships with the Fund and the 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 the 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 Fund currently shares in the benefits from economies of scale. The Board also concluded that, assuming reasonably foreseeable increases in the assets of the Fund and the Portfolio, the structure of the advisory fee, which includes breakpoints at several asset levels, will allow the Fund and the Portfolio to continue to benefit from economies of scale in the future.
46
Eaton Vance
Floating-Rate Fund
April 30, 2012
Officers and Trustees
Officers of Eaton Vance Floating-Rate Fund | ||
Duncan W. Richardson President Payson F. Swaffield Vice President Barbara E. Campbell Treasurer | Maureen A. Gemma Vice President, Secretary and Chief Legal Officer Paul M. O’Neil Chief Compliance Officer |
Officers of Floating Rate Portfolio | ||
Scott H. Page President Payson F. Swaffield Vice President Barbara E. Campbell Treasurer | Maureen A. Gemma Vice President, Secretary and Chief Legal Officer Paul M. O’Neil Chief Compliance Officer |
Trustees of Eaton Vance Floating-Rate Fund and Floating Rate Portfolio | ||
Ralph F. Verni Chairman Scott E. Eston Benjamin C. Esty Thomas E. Faust Jr.* Allen R. Freedman | William H. Park Ronald A. Pearlman Helen Frame Peters Lynn A. Stout Harriett Tee Taggart |
* | Interested Trustee |
47
Eaton Vance
Floating-Rate Fund
April 30, 2012
IMPORTANT NOTICES
Privacy. The Eaton Vance organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Eaton Vance fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Eaton Vance may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker/dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Privacy Policy periodically for changes by accessing the link on our homepage: www.eatonvance.com. |
Our pledge of privacy applies to the following entities within the Eaton Vance organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton Vance Investment Counsel, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management’s Real Estate Investment Group and Boston Management and Research. In addition, our Privacy Policy applies only to those Eaton Vance customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Eaton Vance’s Privacy Policy, please call 1-800-262-1122.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Eaton Vance, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Eaton Vance, or your financial advisor, otherwise. If you would prefer that your Eaton Vance documents not be householded, please contact Eaton Vance at 1-800-262-1122, or contact your financial advisor. Your instructions that householding not apply to delivery of your Eaton Vance documents will be effective within 30 days of receipt by Eaton Vance or your financial advisor.
Portfolio Holdings. Each Eaton Vance Fund and its underlying Portfolio(s) (if applicable) will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Eaton Vance website at www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. From time to time, funds are required to vote proxies related to the securities held by the funds. The Eaton Vance Funds or their underlying Portfolios (if applicable) vote proxies according to a set of policies and procedures approved by the Funds’ and Portfolios’ Boards. You may obtain a description of these policies and procedures and information on how the Funds or Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge, upon request, by calling 1-800-262-1122 and by accessing the SEC’s website at www.sec.gov.
48
Investment Adviser of Floating Rate Portfolio
Boston Management and Research
Boston Management and Research
Two International Place
Boston, MA 02110
Administrator of Eaton Vance Floating-Rate Fund
Eaton Vance Management
Eaton Vance Management
Two International Place
Boston, MA 02110
Principal Underwriter*
Eaton Vance Distributors, Inc.
Eaton Vance Distributors, Inc.
Two International Place
Boston, MA 02110
(617) 482-8260
Custodian
State Street Bank and Trust Company
State Street Bank and Trust Company
200 Clarendon Street
Boston, MA 02116
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
BNY Mellon Investment Servicing (US) Inc.
Attn: Eaton Vance Funds
P.O. Box 9653
Providence, RI 02940-9653
(800) 262-1122
Fund Offices
Two International Place
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 this program is available to investors at www.FINRA.org. |
1044-6/12 | FRSRC |
Item 2. Code of Ethics
Not required in this filing.
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 a consultant and private investor. Previously, he served as the Chief Financial Officer of Aveon Group, L.P. (an investment management firm), as the Vice Chairman of Commercial Industrial Finance Corp. (specialty finance company), 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 applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
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 13, 2012
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 13, 2012
By: | /s/ Scott H. Page | |||
Scott H. Page | ||||
President |
Date: June 13, 2012