UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number | 811-09987 | |||||||
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Floating Rate Portfolio | ||||||||
(Exact name of registrant as specified in charter) | ||||||||
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The Eaton Vance Building, 255 State Street, Boston, Massachusetts |
| 02109 | ||||||
(Address of principal executive offices) |
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Maureen A. Gemma The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109 | ||||||||
(Name and address of agent for service) | ||||||||
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Registrant’s telephone number, including area code: | (617) 482-8260 |
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Date of fiscal year end: | October 31 |
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Date of reporting period: | April 30, 2008 |
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Item 1. Reports to Stockholders
Floating Rate Portfolio as of April 30, 2008
PORTFOLIO OF INVESTMENTS (Unaudited)
Senior Floating-Rate Interests — 101.3%(1) | |||||||||||
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Aerospace and Defense — 1.8% | |||||||||||
AWAS Capital, Inc. | |||||||||||
8,605,126 | Term Loan, 4.38%, Maturing March 22, 2013 | $ | 7,411,165 | ||||||||
CACI International, Inc. | |||||||||||
5,048,067 | Term Loan, 4.33%, Maturing May 3, 2011 | 4,972,346 | |||||||||
DAE Aviation Holdings, Inc. | |||||||||||
574,468 | Term Loan, 6.52%, Maturing July 31, 2014 | 565,313 | |||||||||
570,609 | Term Loan, 6.65%, Maturing July 31, 2014 | 561,516 | |||||||||
Evergreen International Aviation | �� | ||||||||||
6,580,112 | Term Loan, 7.75%, Maturing October 31, 2011 | 5,856,300 | |||||||||
Hawker Beechcraft Acquisition | |||||||||||
849,135 | Term Loan, 4.70%, Maturing March 26, 2014 | 811,720 | |||||||||
12,581,206 | Term Loan, 4.70%, Maturing March 26, 2014 | 12,026,853 | |||||||||
Hexcel Corp. | |||||||||||
6,128,722 | Term Loan, 4.54%, Maturing March 1, 2012 | 5,944,860 | |||||||||
IAP Worldwide Services, Inc. | |||||||||||
3,576,908 | Term Loan, 9.00%, Maturing December 30, 2012 | 2,986,718 | |||||||||
Jet Aviation Holding, AG | |||||||||||
2,875,077 | Term Loan, 3.63%, Maturing May 15, 2013 | 2,386,314 | |||||||||
PGS Solutions, Inc. | |||||||||||
1,919,717 | Term Loan, 5.34%, Maturing February 14, 2013 | 1,751,741 | |||||||||
Spirit AeroSystems, Inc. | |||||||||||
3,806,405 | Term Loan, 4.57%, Maturing December 31, 2011 | 3,761,204 | |||||||||
TransDigm, Inc. | |||||||||||
9,650,000 | Term Loan, 4.66%, Maturing June 23, 2013 | 9,227,812 | |||||||||
Vought Aircraft Industries, Inc. | |||||||||||
10,000,000 | Revolving Loan, 0.00%, Maturing December 22, 2009(2) | 8,950,000 | |||||||||
4,000,000 | Term Loan, 4.95%, Maturing December 17, 2011 | 3,738,332 | |||||||||
4,929,680 | Term Loan, 5.12%, Maturing December 17, 2011 | 4,656,492 | |||||||||
$ | 75,608,686 | ||||||||||
Air Transport — 0.5% | |||||||||||
Delta Air Lines, Inc. | |||||||||||
8,514,000 | Term Loan, 4.78%, Maturing April 30, 2012 | $ | 7,408,951 | ||||||||
Northwest Airlines, Inc. | |||||||||||
15,820,000 | DIP Loan, 4.72%, Maturing August 21, 2008 | 13,787,130 | |||||||||
$ | 21,196,081 | ||||||||||
Automotive — 3.7% | |||||||||||
Accuride Corp. | |||||||||||
8,954,274 | Term Loan, 6.24%, Maturing January 31, 2012 | $ | 8,685,646 | ||||||||
Adesa, Inc. | |||||||||||
24,293,838 | Term Loan, 4.95%, Maturing October 18, 2013 | 23,094,330 |
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Automotive (continued) | |||||||||||
Affina Group, Inc. | |||||||||||
1,481,198 | Term Loan, 5.90%, Maturing November 30, 2011 | $ | 1,318,266 | ||||||||
Allison Transmission, Inc. | |||||||||||
8,955,000 | Term Loan, 5.57%, Maturing September 30, 2014 | 8,416,903 | |||||||||
CSA Acquisition Corp. | |||||||||||
2,405,405 | Term Loan, 5.25%, Maturing December 23, 2011 | 2,321,216 | |||||||||
4,726,068 | Term Loan, 5.25%, Maturing December 23, 2011 | 4,560,655 | |||||||||
3,665,625 | Term Loan, 5.25%, Maturing December 23, 2012 | 3,537,328 | |||||||||
Dayco Products, LLC | |||||||||||
8,275,104 | Term Loan, 7.35%, Maturing June 21, 2011 | 6,547,676 | |||||||||
Financiere Truck (Investissement) | |||||||||||
EUR | 1,110,579 | Term Loan, 6.97%, Maturing February 15, 2012 | 1,547,509 | ||||||||
Ford Motor Co. | |||||||||||
10,000,000 | Revolving Loan, 0.00%, Maturing December 15, 2013(2) | 8,312,500 | |||||||||
7,070,264 | Term Loan, 5.80%, Maturing December 15, 2013 | 6,514,584 | |||||||||
Fraikin, Ltd. | |||||||||||
GBP | 1,612,016 | Term Loan, 0.00%, Maturing February 15, 2012(2) | 2,857,447 | ||||||||
GBP | 1,392,962 | Term Loan, 8.13%, Maturing February 15, 2012(2) | 2,469,154 | ||||||||
General Motors Corp. | |||||||||||
13,469,363 | Term Loan, 5.06%, Maturing November 29, 2013 | 12,688,558 | |||||||||
Goodyear Tire & Rubber Co. | |||||||||||
15,275,000 | Term Loan, 4.54%, Maturing April 30, 2010 | 14,511,250 | |||||||||
HLI Operating Co., Inc. | |||||||||||
EUR | 425,455 | Term Loan, 4.26%, Maturing May 30, 2014 | 576,279 | ||||||||
EUR | 7,356,109 | Term Loan, 7.39%, Maturing May 30, 2014 | 9,963,872 | ||||||||
Keystone Automotive Operations, Inc. | |||||||||||
6,946,805 | Term Loan, 6.30%, Maturing January 12, 2012 | 5,592,178 | |||||||||
Locafroid Services S.A.S. | |||||||||||
EUR | 1,666,405 | Term Loan, 6.97%, Maturing February 15, 2012(2) | 2,322,011 | ||||||||
Speedy 1, Ltd. | |||||||||||
EUR | 6,457,254 | Term Loan, 6.64%, Maturing August 31, 2013 | 7,484,681 | ||||||||
Tenneco Automotive, Inc. | |||||||||||
5,050,000 | Term Loan, 4.20%, Maturing March 17, 2014 | 4,595,500 | |||||||||
TriMas Corp. | |||||||||||
893,750 | Term Loan, 5.39%, Maturing August 2, 2011 | 826,719 | |||||||||
8,083,157 | Term Loan, 5.16%, Maturing August 2, 2013 | 7,476,920 | |||||||||
TRW Automotive, Inc. | |||||||||||
6,704,250 | Term Loan, 4.47%, Maturing February 2, 2014 | 6,508,707 | |||||||||
United Components, Inc. | |||||||||||
7,501,299 | Term Loan, 5.05%, Maturing June 30, 2010 | 7,266,883 | |||||||||
$ | 159,996,772 | ||||||||||
Beverage and Tobacco — 0.4% | |||||||||||
Constellation Brands, Inc. | |||||||||||
2,620,000 | Term Loan, 4.91%, Maturing June 5, 2013 | $ | 2,561,519 |
See notes to financial statements
16
Floating Rate Portfolio as of April 30, 2008
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Beverage and Tobacco (continued) | |||||||||||
Culligan International Co. | |||||||||||
17,320,025 | Term Loan, 5.03%, Maturing November 24, 2014 | $ | 12,860,119 | ||||||||
Van Houtte, Inc. | |||||||||||
864,622 | Term Loan, 5.20%, Maturing July 11, 2014 | 818,149 | |||||||||
117,903 | Term Loan, 5.20%, Maturing July 11, 2014 | 111,566 | |||||||||
$ | 16,351,353 | ||||||||||
Brokers, Dealers and Investment Houses — 0.2% | |||||||||||
AmeriTrade Holding Corp. | |||||||||||
10,350,931 | Term Loan, 4.37%, Maturing December 31, 2012 | $ | 10,130,053 | ||||||||
$ | 10,130,053 | ||||||||||
Building and Development — 6.2% | |||||||||||
401 North Wabash Venture, LLC | |||||||||||
8,031,110 | Term Loan, 4.18%, Maturing May 7, 2008(2) | $ | 7,850,410 | ||||||||
AIMCO Properties, L.P. | |||||||||||
10,718,750 | Term Loan, 4.36%, Maturing March 23, 2011 | 9,888,047 | |||||||||
Banning Lewis Ranch Co., LLC | |||||||||||
13,000,000 | Term Loan, 4.43%, Maturing December 3, 2012(2) | 12,090,000 | |||||||||
Beacon Sales Acquisition, Inc. | |||||||||||
4,496,425 | Term Loan, 4.74%, Maturing September 30, 2013 | 3,698,310 | |||||||||
Brickman Group Holdings, Inc. | |||||||||||
4,952,481 | Term Loan, 4.70%, Maturing January 23, 2014 | 4,642,951 | |||||||||
Building Materials Corp. of America | |||||||||||
11,702,614 | Term Loan, 5.69%, Maturing February 22, 2014 | 9,849,704 | |||||||||
Capital Automotive (REIT) | |||||||||||
4,788,753 | Term Loan, 4.46%, Maturing December 16, 2010 | 4,644,344 | |||||||||
Contech Construction Products | |||||||||||
1,888,678 | Term Loan, 4.79%, Maturing January 13, 2013 | 1,640,789 | |||||||||
Epco/Fantome, LLC | |||||||||||
9,890,000 | Term Loan, 5.49%, Maturing November 23, 2010 | 8,594,904 | |||||||||
Financiere Daunou S.A. | |||||||||||
1,664,521 | Term Loan, 4.99%, Maturing May 31, 2015 | 1,230,081 | |||||||||
EUR | 1,067,260 | Term Loan, 6.86%, Maturing May 31, 2015 | 1,239,822 | ||||||||
EUR | 2,613,290 | Term Loan, 6.86%, Maturing May 31, 2015 | 3,035,826 | ||||||||
2,452,266 | Term Loan, 5.24%, Maturing February 28, 2016 | 1,814,677 | |||||||||
EUR | 1,246,799 | Term Loan, 7.11%, Maturing February 28, 2016 | 1,449,136 | ||||||||
EUR | 2,423,776 | Term Loan, 7.11%, Maturing February 28, 2016 | 2,817,119 | ||||||||
Forestar USA Real Estate Group, Inc. | |||||||||||
10,625,000 | Term Loan, 0.00%, Maturing December 1, 2010(2) | 9,987,500 | |||||||||
5,625,000 | Term Loan, 6.72%, Maturing December 1, 2010 | 5,400,000 | |||||||||
General Growth Properties, Inc. | |||||||||||
3,782,895 | Term Loan, 4.00%, Maturing February 24, 2011 | 3,434,555 |
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Building and Development (continued) | |||||||||||
Hearthstone Housing Partners II, LLC | |||||||||||
19,560,000 | Revolving Loan, 4.42%, Maturing December 1, 2009(2) | $ | 17,582,484 | ||||||||
Hovstone Holdings, LLC | |||||||||||
4,260,000 | Term Loan, 7.27%, Maturing February 28, 2009(3) | 3,574,992 | |||||||||
LNR Property Corp. | |||||||||||
9,154,000 | Term Loan, 6.36%, Maturing July 3, 2011 | 7,663,619 | |||||||||
Mueller Water Products, Inc. | |||||||||||
8,901,274 | Term Loan, 4.62%, Maturing May 24, 2014 | 8,311,564 | |||||||||
NCI Building Systems, Inc. | |||||||||||
5,975,136 | Term Loan, 4.33%, Maturing June 18, 2010 | 5,751,069 | |||||||||
Nortek, Inc. | |||||||||||
17,793,840 | Term Loan, 5.30%, Maturing August 27, 2011 | 16,103,425 | |||||||||
November 2005 Land Investors | |||||||||||
611,440 | Term Loan, 6.86%, Maturing May 9, 2011 | 458,580 | |||||||||
Panolam Industries Holdings, Inc. | |||||||||||
2,925,967 | Term Loan, 5.44%, Maturing September 30, 2012 | 2,428,553 | |||||||||
PLY GEM Industries, Inc. | |||||||||||
13,402,942 | Term Loan, 5.45%, Maturing August 15, 2011 | 11,550,468 | |||||||||
409,844 | Term Loan, 5.45%, Maturing August 15, 2011 | 353,198 | |||||||||
Realogy Corp. | |||||||||||
3,747,766 | Term Loan, 6.14%, Maturing September 1, 2014 | 3,216,636 | |||||||||
12,114,157 | Term Loan, 5.72%, Maturing September 1, 2014 | 10,397,351 | |||||||||
Shea Capital I, LLC | |||||||||||
806,937 | Term Loan, 4.87%, Maturing October 27, 2011 | 641,515 | |||||||||
South Edge, LLC | |||||||||||
8,794,643 | Term Loan, 7.25%, Maturing October 31, 2009 | 5,540,625 | |||||||||
Standard Pacific Corp. | |||||||||||
4,680,000 | Term Loan, 4.82%, Maturing May 5, 2013 | 3,681,602 | |||||||||
Stile Acquisition Corp. | |||||||||||
5,406,859 | Term Loan, 4.89%, Maturing April 6, 2013 | 4,899,593 | |||||||||
Stile U.S. Acquisition Corp. | |||||||||||
5,412,765 | Term Loan, 4.89%, Maturing April 6, 2013 | 4,904,945 | |||||||||
Tousa/Kolter, LLC | |||||||||||
7,908,533 | Term Loan, 6.00%, Maturing March 31, 2031 | 4,433,524 | |||||||||
TRU 2005 RE Holding Co. | |||||||||||
19,825,000 | Term Loan, 5.71%, Maturing December 9, 2008 | 18,338,125 | |||||||||
United Subcontractors, Inc. | |||||||||||
5,925,000 | Term Loan, 12.21%, Maturing June 27, 2013(3) | 2,962,500 | |||||||||
WCI Communities, Inc. | |||||||||||
19,775,670 | Term Loan, 7.98%, Maturing December 23, 2010 | 17,320,184 | |||||||||
Wintergames Acquisition ULC | |||||||||||
20,888,624 | Term Loan, 6.14%, Maturing April 24, 2009 | 19,896,414 | |||||||||
$ | 263,319,141 |
See notes to financial statements
17
Floating Rate Portfolio as of April 30, 2008
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Business Equipment and Services — 6.9% | |||||||||||
ACCO Brands Corp. | |||||||||||
5,207,841 | Term Loan, 4.53%, Maturing August 17, 2012 | $ | 4,986,509 | ||||||||
Activant Solutions, Inc. | |||||||||||
5,375,933 | Term Loan, 4.76%, Maturing May 1, 2013 | 4,717,381 | |||||||||
Acxiom Corp. | |||||||||||
10,044,515 | Term Loan, 5.80%, Maturing September 15, 2012 | 9,805,958 | |||||||||
Affiliated Computer Services | |||||||||||
12,860,027 | Term Loan, 4.79%, Maturing March 20, 2013 | 12,429,011 | |||||||||
5,962,750 | Term Loan, 4.89%, Maturing March 20, 2013 | 5,762,902 | |||||||||
Affinion Group, Inc. | |||||||||||
7,104,397 | Term Loan, 5.56%, Maturing October 17, 2012 | 6,713,655 | |||||||||
Allied Security Holdings, LLC | |||||||||||
5,742,766 | Term Loan, 5.87%, Maturing June 30, 2010 | 5,369,486 | |||||||||
Cellnet Group, Inc. | |||||||||||
1,994,413 | Term Loan, 5.25%, Maturing July 22, 2011 | 1,789,986 | |||||||||
DynCorp International, LLC | |||||||||||
7,082,317 | Term Loan, 4.63%, Maturing February 11, 2011 | 6,807,877 | |||||||||
Education Management, LLC | |||||||||||
12,483,305 | Term Loan, 4.50%, Maturing June 1, 2013 | 11,164,756 | |||||||||
Info USA, Inc. | |||||||||||
1,975,000 | Term Loan, 4.70%, Maturing February 14, 2012 | 1,896,000 | |||||||||
4,350,431 | Term Loan, 4.70%, Maturing February 14, 2012 | 4,176,414 | |||||||||
Information Resources, Inc. | |||||||||||
5,657,069 | Term Loan, 4.84%, Maturing May 7, 2014 | 4,794,366 | |||||||||
Intergraph Corp. | |||||||||||
3,349,524 | Term Loan, 5.08%, Maturing May 29, 2014 | 3,168,090 | |||||||||
iPayment, Inc. | |||||||||||
10,804,359 | Term Loan, 4.70%, Maturing May 10, 2013 | 8,967,618 | |||||||||
ista International GmbH | |||||||||||
EUR | 9,635,715 | Term Loan, 6.77%, Maturing May 14, 2015 | 12,670,303 | ||||||||
EUR | 1,914,285 | Term Loan, 6.77%, Maturing May 14, 2015 | 2,517,153 | ||||||||
Kronos, Inc. | |||||||||||
8,841,111 | Term Loan, 4.95%, Maturing June 11, 2014 | 8,056,462 | |||||||||
Language Line, Inc. | |||||||||||
6,968,657 | Term Loan, 5.95%, Maturing June 11, 2011 | 6,463,429 | |||||||||
N.E.W. Holdings I, LLC | |||||||||||
9,531,466 | Term Loan, 5.43%, Maturing May 22, 2014 | 8,185,147 | |||||||||
Protection One, Inc. | |||||||||||
9,270,464 | Term Loan, 5.23%, Maturing March 31, 2012 | 8,018,951 | |||||||||
Quintiles Transnational Corp. | |||||||||||
11,190,363 | Term Loan, 4.70%, Maturing March 31, 2013 | 10,574,893 | |||||||||
Sabre, Inc. | |||||||||||
30,769,734 | Term Loan, 4.88%, Maturing September 30, 2014 | 26,117,750 | |||||||||
Safenet, Inc. | |||||||||||
3,970,000 | Term Loan, 5.46%, Maturing April 12, 2014 | 3,314,950 |
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Business Equipment and Services (continued) | |||||||||||
Serena Software, Inc. | |||||||||||
2,592,464 | Term Loan, 4.68%, Maturing March 10, 2013 | $ | 2,346,180 | ||||||||
Sitel (Client Logic) | |||||||||||
5,201,404 | Term Loan, 5.14%, Maturing January 29, 2014 | 3,771,018 | |||||||||
EUR | 946,407 | Term Loan, 7.23%, Maturing January 29, 2014 | 1,068,259 | ||||||||
Solera Holdings, LLC | |||||||||||
EUR | 3,123,959 | Term Loan, 6.63%, Maturing May 15, 2014 | 4,450,278 | ||||||||
Solera Nederland Holdings | |||||||||||
3,813,013 | Term Loan, 4.88%, Maturing May 15, 2014 | 3,527,037 | |||||||||
SunGard Data Systems, Inc. | |||||||||||
40,659,866 | Term Loan, 4.88%, Maturing February 11, 2013 | 38,613,008 | |||||||||
TDS Investor Corp. | |||||||||||
2,582,721 | Term Loan, 4.95%, Maturing August 23, 2013 | 2,387,080 | |||||||||
10,917,500 | Term Loan, 5.11%, Maturing August 23, 2013 | 10,033,182 | |||||||||
12,871,734 | Term Loan, 5.11%, Maturing August 23, 2013 | 11,896,701 | |||||||||
EUR | 2,105,820 | Term Loan, 6.98%, Maturing August 23, 2013 | 2,926,106 | ||||||||
Transaction Network Services, Inc. | |||||||||||
5,340,138 | Term Loan, 4.72%, Maturing May 4, 2012 | 4,939,627 | |||||||||
Valassis Communications, Inc. | |||||||||||
5,170,335 | Term Loan, 4.45%, Maturing March 2, 2014 | 4,823,494 | |||||||||
1,302,069 | Term Loan, 6.00%, Maturing March 2, 2014 | 1,214,722 | |||||||||
VWR International, Inc. | |||||||||||
7,850,000 | Term Loan, 5.20%, Maturing June 28, 2013 | 7,339,750 | |||||||||
West Corp. | |||||||||||
17,924,169 | Term Loan, 5.28%, Maturing October 24, 2013 | 16,429,240 | |||||||||
$ | 294,234,729 | ||||||||||
Cable and Satellite Television — 7.2% | |||||||||||
Atlantic Broadband Finance, LLC | |||||||||||
10,923,323 | Term Loan, 4.95%, Maturing February 10, 2011 | $ | 10,196,922 | ||||||||
Bresnan Broadband Holdings, LLC | |||||||||||
15,551,500 | Term Loan, 4.98%, Maturing March 29, 2014 | 14,256,838 | |||||||||
1,500,000 | Term Loan, 5.02%, Maturing March 29, 2014 | 1,375,125 | |||||||||
Cequel Communications, LLC | |||||||||||
32,179,689 | Term Loan, 4.76%, Maturing November 5, 2013 | 29,420,280 | |||||||||
Charter Communications Operating, Inc. | |||||||||||
44,358,153 | Term Loan, 4.90%, Maturing April 28, 2013 | 39,293,915 | |||||||||
CSC Holdings, Inc. | |||||||||||
19,006,756 | Term Loan, 4.48%, Maturing March 29, 2013 | 18,353,399 | |||||||||
Insight Midwest Holdings, LLC | |||||||||||
28,316,250 | Term Loan, 4.69%, Maturing April 6, 2014 | 26,996,515 | |||||||||
Kabel BW GmbH & Co. KG | |||||||||||
EUR | 1,627,431 | Term Loan, 6.98%, Maturing June 9, 2012 | 2,261,369 | ||||||||
MCC Iowa, LLC | |||||||||||
1,338,250 | Term Loan, 4.26%, Maturing March 31, 2010 | 1,206,098 |
See notes to financial statements
18
Floating Rate Portfolio as of April 30, 2008
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Cable and Satellite Television (continued) | |||||||||||
Mediacom Broadband Group | |||||||||||
7,900,000 | Term Loan, 4.52%, Maturing January 31, 2015 | $ | 7,208,750 | ||||||||
10,304,218 | Term Loan, 4.52%, Maturing January 31, 2015 | 9,402,599 | |||||||||
Mediacom Illinois, LLC | |||||||||||
1,950,000 | Term Loan, 4.27%, Maturing September 30, 2012 | 1,729,406 | |||||||||
15,396,809 | Term Loan, 4.52%, Maturing January 31, 2015 | 13,924,489 | |||||||||
NTL Investment Holdings, Ltd. | |||||||||||
7,993,878 | Term Loan, 4.94%, Maturing March 30, 2012 | 7,361,027 | |||||||||
GBP | 3,637,947 | Term Loan, 7.66%, Maturing March 30, 2012 | 6,721,492 | ||||||||
GBP | 2,224,230 | Term Loan, 7.66%, Maturing March 30, 2012 | 4,109,500 | ||||||||
GBP | 2,139,186 | Term Loan, 7.68%, Maturing March 30, 2012 | 3,952,371 | ||||||||
GBP | 1,990,985 | Term Loan, 7.68%, Maturing March 30, 2012 | 3,678,554 | ||||||||
GBP | 3,500,000 | Term Loan, 8.27%, Maturing March 30, 2013 | 6,252,596 | ||||||||
ProSiebenSat.1 Media AG | |||||||||||
EUR | 2,998,397 | Term Loan, 6.77%, Maturing March 2, 2015 | 3,357,218 | ||||||||
EUR | 600,197 | Term Loan, 6.25%, Maturing June 26, 2015 | 765,856 | ||||||||
EUR | 12,586,345 | Term Loan, 6.25%, Maturing June 26, 2015 | 16,060,286 | ||||||||
EUR | 2,998,397 | Term Loan, 7.02%, Maturing March 2, 2016 | 3,357,218 | ||||||||
UPC Broadband Holding B.V. | |||||||||||
EUR | 6,617,448 | Term Loan, 6.36%, Maturing October 16, 2011 | 9,385,476 | ||||||||
EUR | 16,675,000 | Term Loan, 6.36%, Maturing October 16, 2011 | 23,660,487 | ||||||||
12,925,000 | Term Loan, 4.46%, Maturing December 31, 2014 | 12,185,858 | |||||||||
YPSO Holding SA | |||||||||||
EUR | 12,899,564 | Term Loan, 6.89%, Maturing July 28, 2014 | 16,557,582 | ||||||||
EUR | 4,978,165 | Term Loan, 6.89%, Maturing July 28, 2014 | 6,389,858 | ||||||||
EUR | 8,122,271 | Term Loan, 6.89%, Maturing July 28, 2014 | 10,425,559 | ||||||||
$ | 309,846,643 | ||||||||||
Chemicals and Plastics — 6.3% | |||||||||||
Arizona Chemical, Inc. | |||||||||||
EUR | 3,015,572 | Term Loan, 6.64%, Maturing February 28, 2013 | $ | 3,697,268 | |||||||
Brenntag Holding GmbH and Co. KG | |||||||||||
1,963,636 | Term Loan, 5.79%, Maturing December 23, 2013 | 1,818,818 | |||||||||
8,036,364 | Term Loan, 5.79%, Maturing December 23, 2013 | 7,443,682 | |||||||||
EUR | 3,511,248 | Term Loan, 6.52%, Maturing December 23, 2013 | 5,081,263 | ||||||||
EUR | 845,455 | Term Loan, 6.79%, Maturing December 23, 2013 | 1,223,490 | ||||||||
EUR | 654,545 | Term Loan, 6.79%, Maturing December 23, 2013 | 947,218 | ||||||||
EUR | 525,062 | Term Loan, 6.77%, Maturing December 23, 2014 | 759,838 | ||||||||
EUR | 963,689 | Term Loan, 6.77%, Maturing December 23, 2014 | 1,394,592 | ||||||||
EUR | 770,053 | Term Loan, 8.74%, Maturing June 23, 2015 | 1,003,077 | ||||||||
EUR | 229,947 | Term Loan, 8.74%, Maturing June 23, 2015 | 299,530 | ||||||||
Celanese Holdings, LLC | |||||||||||
EUR | 992,500 | Term Loan, 6.23%, Maturing April 6, 2011 | 1,471,825 | ||||||||
7,000,000 | Term Loan, 2.70%, Maturing April 2, 2014 | 6,776,875 | |||||||||
16,566,693 | Term Loan, 4.19%, Maturing April 2, 2014 | 16,038,630 |
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Chemicals and Plastics (continued) | |||||||||||
Cognis GmbH | |||||||||||
EUR | 6,426,230 | Term Loan, 6.61%, Maturing September 15, 2013 | $ | 9,025,337 | |||||||
EUR | 1,573,770 | Term Loan, 6.61%, Maturing September 15, 2013 | 2,210,287 | ||||||||
Columbian Chemicals Acquisition | |||||||||||
4,138,137 | Term Loan, 5.20%, Maturing March 16, 2013 | 3,724,323 | |||||||||
Ferro Corp. | |||||||||||
13,733,732 | Term Loan, 4.70%, Maturing June 6, 2012 | 12,703,702 | |||||||||
First Chemical Holding | |||||||||||
EUR | 1,330,000 | Term Loan, 6.59%, Maturing December 18, 2014(2) | 1,821,332 | ||||||||
EUR | 1,330,000 | Term Loan, 7.08%, Maturing December 18, 2015(2) | 1,829,961 | ||||||||
Foamex L.P. | |||||||||||
3,673,125 | Term Loan, 5.97%, Maturing February 12, 2013 | 3,039,511 | |||||||||
Georgia Gulf Corp. | |||||||||||
5,825,764 | Term Loan, 5.25%, Maturing October 3, 2013 | 5,512,629 | |||||||||
Hexion Specialty Chemicals, Inc. | |||||||||||
EUR | 1,121,976 | Term Loan, 6.98%, Maturing May 5, 2012 | 1,580,858 | ||||||||
15,393,428 | Term Loan, 4.94%, Maturing May 5, 2013 | 14,551,608 | |||||||||
3,343,390 | Term Loan, 5.00%, Maturing May 5, 2013 | 3,160,550 | |||||||||
2,519,811 | Term Loan, 5.38%, Maturing May 5, 2013 | 2,382,010 | |||||||||
9,800,000 | Term Loan, 5.40%, Maturing May 5, 2013 | 9,264,067 | |||||||||
Huish Detergents, Inc. | |||||||||||
3,965,025 | Term Loan, 4.70%, Maturing April 26, 2014 | 3,419,834 | |||||||||
Huntsman International, LLC | |||||||||||
7,864,329 | Term Loan, 4.64%, Maturing August 16, 2012 | 7,632,088 | |||||||||
INEOS Group | |||||||||||
EUR | 69,301 | Term Loan, 7.21%, Maturing December 14, 2011 | 95,118 | ||||||||
EUR | 70,369 | Term Loan, 7.71%, Maturing December 14, 2011 | 96,693 | ||||||||
5,414,941 | Term Loan, 4.64%, Maturing December 14, 2012 | 4,950,160 | |||||||||
7,879,348 | Term Loan, 4.88%, Maturing December 14, 2013 | 7,369,657 | |||||||||
7,879,348 | Term Loan, 5.38%, Maturing December 14, 2014 | 7,369,657 | |||||||||
Innophos, Inc. | |||||||||||
6,117,462 | Term Loan, 4.70%, Maturing August 10, 2010 | 5,796,295 | |||||||||
Invista B.V. | |||||||||||
1,724,678 | Term Loan, 4.20%, Maturing April 30, 2010 | 1,664,314 | |||||||||
8,909,179 | Term Loan, 4.20%, Maturing April 29, 2011 | 8,567,663 | |||||||||
5,569,229 | Term Loan, 4.20%, Maturing April 29, 2011 | 5,355,743 | |||||||||
ISP Chemco, Inc. | |||||||||||
9,661,701 | Term Loan, 4.69%, Maturing June 4, 2014 | 9,157,486 | |||||||||
Kleopatra | |||||||||||
8,876,250 | Term Loan, 5.21%, Maturing January 3, 2016 | 6,401,995 | |||||||||
EUR | 5,100,000 | Term Loan, 7.24%, Maturing January 3, 2016 | 5,721,899 | ||||||||
Kranton Polymers, LLC | |||||||||||
9,146,600 | Term Loan, 4.75%, Maturing May 12, 2013 | 7,648,844 | |||||||||
Lucite International Group Holdings | |||||||||||
4,801,500 | Term Loan, 5.15%, Maturing July 7, 2013 | 4,306,345 | |||||||||
1,700,130 | Term Loan, 5.15%, Maturing July 7, 2013 | 1,524,804 |
See notes to financial statements
19
Floating Rate Portfolio as of April 30, 2008
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Chemicals and Plastics (continued) | |||||||||||
MacDermid, Inc. | |||||||||||
3,432,171 | Term Loan, 4.70%, Maturing April 12, 2014 | $ | 3,123,275 | ||||||||
Millenium Inorganic Chemicals | |||||||||||
8,428,875 | Term Loan, 4.95%, Maturing April 30, 2014 | 7,338,389 | |||||||||
Momentive Performance Material | |||||||||||
4,950,000 | Term Loan, 4.60%, Maturing December 4, 2013 | 4,626,483 | |||||||||
1,655,736 | Term Loan, 5.13%, Maturing December 4, 2013 | 1,547,522 | |||||||||
Nalco Co. | |||||||||||
5,905,907 | Term Loan, 5.01%, Maturing November 4, 2010 | 5,830,241 | |||||||||
Propex Fabrics, Inc. | |||||||||||
5,625,007 | Term Loan, 9.24%, Maturing July 31, 2012 | 3,656,254 | |||||||||
Rockwood Specialties Group, Inc. | |||||||||||
EUR | 2,241,799 | Term Loan, 6.60%, Maturing July 30, 2011 | 3,176,133 | ||||||||
22,132,487 | Term Loan, 4.40%, Maturing December 10, 2012 | 21,115,012 | |||||||||
Solo Cup Co. | |||||||||||
2,552,240 | Term Loan, 6.30%, Maturing February 27, 2011 | 2,470,203 | |||||||||
TPG Spring UK, Ltd. | |||||||||||
EUR | 2,271,011 | Term Loan, 7.47%, Maturing June 27, 2013 | 3,118,078 | ||||||||
EUR | 2,271,011 | Term Loan, 10.72%, Maturing June 27, 2013 | 3,122,498 | ||||||||
Wellman, Inc. | |||||||||||
5,250,000 | Term Loan, 6.74%, Maturing February 10, 2009 | 3,727,500 | |||||||||
$ | 268,692,464 | ||||||||||
Clothing / Textiles — 0.5% | |||||||||||
Hanesbrands, Inc. | |||||||||||
7,640,190 | Term Loan, 4.61%, Maturing September 5, 2013 | $ | 7,516,037 | ||||||||
5,000,000 | Term Loan, 6.66%, Maturing March 5, 2014 | 4,968,750 | |||||||||
St. John Knits International, Inc. | |||||||||||
2,518,697 | Term Loan, 5.90%, Maturing March 23, 2012 | 2,317,202 | |||||||||
The William Carter Co. | |||||||||||
2,336,526 | Term Loan, 4.39%, Maturing July 14, 2012 | 2,231,383 | |||||||||
Warnaco, Inc. | |||||||||||
3,220,340 | Term Loan, 4.46%, Maturing January 31, 2013 | 3,027,120 | |||||||||
$ | 20,060,492 | ||||||||||
Conglomerates — 2.4% | |||||||||||
American Greetings Corp. | |||||||||||
5,497,738 | Term Loan, 0.00%, Maturing April 4, 2013(2) | $ | 5,387,783 | ||||||||
Amsted Industries, Inc. | |||||||||||
9,647,652 | Term Loan, 4.75%, Maturing October 15, 2010 | 9,502,937 | |||||||||
6,397,370 | Term Loan, 4.92%, Maturing April 5, 2013 | 6,301,410 | |||||||||
Blount, Inc. | |||||||||||
2,153,071 | Term Loan, 4.46%, Maturing August 9, 2010 | 2,040,035 |
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Conglomerates (continued) | |||||||||||
Doncasters (Dunde HoldCo 4 Ltd.) | |||||||||||
3,931,314 | Term Loan, 5.22%, Maturing July 13, 2015 | $ | 3,430,072 | ||||||||
3,931,314 | Term Loan, 5.72%, Maturing July 13, 2015 | 3,430,072 | |||||||||
EUR | 849,214 | Term Loan, 6.86%, Maturing July 13, 2015 | 1,153,568 | ||||||||
EUR | 849,214 | Term Loan, 7.36%, Maturing July 13, 2015 | 1,153,568 | ||||||||
GBP | 737,276 | Term Loan, 8.04%, Maturing July 13, 2015 | 1,256,999 | ||||||||
GBP | 737,276 | Term Loan, 8.54%, Maturing July 13, 2015 | 1,256,999 | ||||||||
Jarden Corp. | |||||||||||
13,104,523 | Term Loan, 4.45%, Maturing January 24, 2012 | 12,493,892 | |||||||||
4,563,288 | Term Loan, 4.45%, Maturing January 24, 2012 | 4,350,653 | |||||||||
Johnson Diversey, Inc. | |||||||||||
2,023,461 | Term Loan, 5.11%, Maturing December 16, 2010 | 1,924,817 | |||||||||
8,162,435 | Term Loan, 5.11%, Maturing December 16, 2011 | 7,764,516 | |||||||||
Polymer Group, Inc. | |||||||||||
1,000,000 | Revolving Loan, 0.00%, Maturing November 22, 2010(2) | 898,300 | |||||||||
18,966,350 | Term Loan, 4.92%, Maturing November 22, 2012 | 16,880,051 | |||||||||
RBS Global, Inc. | |||||||||||
2,271,250 | Term Loan, 4.98%, Maturing July 19, 2013 | 2,129,297 | |||||||||
6,185,246 | Term Loan, 5.31%, Maturing July 19, 2013 | 5,798,668 | |||||||||
RGIS Holdings, LLC | |||||||||||
762,924 | Term Loan, 5.20%, Maturing April 30, 2014 | 661,360 | |||||||||
15,258,488 | Term Loan, 5.30%, Maturing April 30, 2014 | 13,227,202 | |||||||||
US Investigations Services, Inc. | |||||||||||
1,979,950 | Term Loan, 5.60%, Maturing February 21, 2015 | 1,796,805 | |||||||||
$ | 102,839,004 | ||||||||||
Containers and Glass Products — 3.1% | |||||||||||
Berry Plastics Corp. | |||||||||||
19,688,470 | Term Loan, 5.10%, Maturing April 3, 2015 | $ | 17,922,670 | ||||||||
Consolidated Container Co. | |||||||||||
5,910,050 | Term Loan, 5.15%, Maturing March 28, 2014 | 4,632,002 | |||||||||
Crown Americas, Inc. | |||||||||||
4,751,000 | Term Loan, 4.82%, Maturing November 15, 2012 | 4,572,837 | |||||||||
1,421,000 | Term Loan, 4.82%, Maturing November 15, 2012 | 1,367,712 | |||||||||
EUR | 4,410,000 | Term Loan, 6.09%, Maturing November 15, 2012 | 6,659,951 | ||||||||
Graham Packaging Holdings Co. | |||||||||||
22,475,033 | Term Loan, 5.04%, Maturing October 7, 2011 | 21,352,832 | |||||||||
Graphic Packaging International, Inc. | |||||||||||
30,849,696 | Term Loan, 4.80%, Maturing May 16, 2014 | 29,440,050 | |||||||||
3,500,000 | Term Loan, 5.48%, Maturing May 16, 2014 | 3,384,790 | |||||||||
JSG Acquisitions | |||||||||||
EUR | 1,250,000 | Term Loan, 6.53%, Maturing December 31, 2014 | 1,843,412 | ||||||||
EUR | 1,250,000 | Term Loan, 6.66%, Maturing December 31, 2014 | 1,843,412 | ||||||||
OI European Group B.V. | |||||||||||
EUR | 12,064,500 | Term Loan, 5.86%, Maturing June 14, 2013 | 16,889,252 |
See notes to financial statements
20
Floating Rate Portfolio as of April 30, 2008
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Containers and Glass Products (continued) | |||||||||||
Owens-Brockway Glass Container | |||||||||||
4,096,569 | Term Loan, 4.22%, Maturing June 14, 2013 | $ | 3,936,802 | ||||||||
Pregis Corp. | |||||||||||
2,632,500 | Term Loan, 4.95%, Maturing October 12, 2011 | 2,448,225 | |||||||||
Smurfit-Stone Container Corp. | |||||||||||
2,817,651 | Term Loan, 4.60%, Maturing November 1, 2011 | 2,747,914 | |||||||||
3,792,745 | Term Loan, 4.71%, Maturing November 1, 2011 | 3,698,875 | |||||||||
3,523,439 | Term Loan, 5.01%, Maturing November 1, 2011 | 3,436,234 | |||||||||
8,423,927 | Term Loan, 5.03%, Maturing November 1, 2011 | 8,215,435 | |||||||||
$ | 134,392,405 | ||||||||||
Cosmetics / Toiletries — 0.3% | |||||||||||
American Safety Razor Co. | |||||||||||
3,408,214 | Term Loan, 5.37%, Maturing July 31, 2013 | $ | 3,280,406 | ||||||||
Prestige Brands, Inc. | |||||||||||
9,420,233 | Term Loan, 6.90%, Maturing April 7, 2011 | 9,114,075 | |||||||||
$ | 12,394,481 | ||||||||||
Drugs — 0.9% | |||||||||||
Graceway Pharmaceuticals, LLC | |||||||||||
10,772,291 | Term Loan, 5.56%, Maturing May 3, 2012 | $ | 9,045,363 | ||||||||
Pharmaceutical Holdings Corp. | |||||||||||
3,080,126 | Term Loan, 6.14%, Maturing January 30, 2012 | 2,926,120 | |||||||||
Stiefel Laboratories, Inc. | |||||||||||
2,964,239 | Term Loan, 4.97%, Maturing December 28, 2013 | 2,860,491 | |||||||||
6,477,361 | Term Loan, 4.97%, Maturing December 28, 2013 | 6,250,654 | |||||||||
Warner Chilcott Corp. | |||||||||||
2,402,227 | Term Loan, 4.73%, Maturing January 18, 2012 | 2,313,145 | |||||||||
17,077,017 | Term Loan, 4.84%, Maturing January 18, 2012 | 16,443,750 | |||||||||
$ | 39,839,523 | ||||||||||
Ecological Services and Equipment — 0.4% | |||||||||||
Allied Waste Industries, Inc. | |||||||||||
944,025 | Term Loan, 3.15%, Maturing January 15, 2012 | $ | 913,559 | ||||||||
1,033,458 | Term Loan, 4.38%, Maturing January 15, 2012 | 1,000,105 | |||||||||
Big Dumpster Merger Sub, Inc. | |||||||||||
685,378 | Term Loan, 4.95%, Maturing February 5, 2013 | 579,144 | |||||||||
Blue Waste B.V. (AVR Acquisition) | |||||||||||
EUR | 2,000,000 | Term Loan, 6.87%, Maturing April 1, 2015 | 2,854,965 | ||||||||
Casella Waste Systems, Inc. | |||||||||||
2,974,286 | Term Loan, 4.75%, Maturing April 28, 2010 | 2,877,621 | |||||||||
Environmental Systems Products Holdings, Inc. | |||||||||||
466,049 | Term Loan, 9.69%, Maturing December 12, 2010(3) | 466,049 |
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Ecological Services and Equipment (continued) | |||||||||||
IESI Corp. | |||||||||||
2,267,647 | Term Loan, 6.14%, Maturing January 20, 2012 | $ | 2,159,934 | ||||||||
Sensus Metering Systems, Inc. | |||||||||||
3,000,000 | Revolving Loan, 7.82%, Maturing December 17, 2009(2) | 2,595,000 | |||||||||
5,446,837 | Term Loan, 5.46%, Maturing December 17, 2010 | 4,902,153 | |||||||||
440,702 | Term Loan, 6.88%, Maturing December 17, 2010 | 396,632 | |||||||||
Wastequip, Inc. | |||||||||||
288,580 | Term Loan, 4.95%, Maturing February 5, 2013 | 243,850 | |||||||||
$ | 18,989,012 | ||||||||||
Electronics / Electrical — 3.0% | |||||||||||
Aspect Software, Inc. | |||||||||||
4,807,799 | Term Loan, 5.63%, Maturing July 11, 2011 | $ | 4,507,312 | ||||||||
EnerSys Capital, Inc. | |||||||||||
9,154,909 | Term Loan, 4.72%, Maturing March 17, 2011 | 8,594,171 | |||||||||
Fairchild Semiconductor Corp. | |||||||||||
9,312,805 | Term Loan, 4.20%, Maturing June 26, 2013 | 8,823,883 | |||||||||
FCI International S.A.S. | |||||||||||
764,245 | Term Loan, 6.85%, Maturing November 1, 2013 | 699,284 | |||||||||
735,755 | Term Loan, 6.85%, Maturing November 1, 2013 | 673,216 | |||||||||
735,755 | Term Loan, 6.85%, Maturing November 1, 2013 | 667,698 | |||||||||
764,245 | Term Loan, 6.85%, Maturing November 1, 2013 | 693,552 | |||||||||
1,000,000 | Term Loan, 6.85%, Maturing November 1, 2013 | 907,500 | |||||||||
Freescale Semiconductor, Inc. | |||||||||||
37,593,519 | Term Loan, 4.46%, Maturing December 1, 2013 | 32,663,655 | |||||||||
Infor Enterprise Solutions Holdings | |||||||||||
19,622,163 | Term Loan, 6.45%, Maturing July 28, 2012 | 16,310,923 | |||||||||
7,283,820 | Term Loan, 6.45%, Maturing July 28, 2012 | 6,054,675 | |||||||||
EUR | 2,962,500 | Term Loan, 7.73%, Maturing July 28, 2012 | 3,724,445 | ||||||||
Invensys International Holding | |||||||||||
2,166,667 | Term Loan, 5.13%, Maturing December 15, 2010 | 2,090,833 | |||||||||
EUR | 1,001,757 | Term Loan, 6.48%, Maturing December 15, 2010 | 1,505,049 | ||||||||
2,333,333 | Term Loan, 5.04%, Maturing January 15, 2011 | 2,245,833 | |||||||||
Network Solutions, LLC | |||||||||||
6,068,070 | Term Loan, 5.24%, Maturing March 7, 2014 | 5,066,838 | |||||||||
Open Solutions, Inc. | |||||||||||
10,288,224 | Term Loan, 5.15%, Maturing January 23, 2014 | 8,558,516 | |||||||||
Sensata Technologies Finance Co. | |||||||||||
10,780,498 | Term Loan, 4.66%, Maturing April 27, 2013 | 9,846,185 | |||||||||
SS&C Technologies, Inc. | |||||||||||
3,518,471 | Term Loan, 4.83%, Maturing November 23, 2012 | 3,272,178 | |||||||||
Vertafore, Inc. | |||||||||||
9,954,752 | Term Loan, 5.59%, Maturing January 31, 2012 | 9,208,146 | |||||||||
$ | 126,113,892 |
See notes to financial statements
21
Floating Rate Portfolio as of April 30, 2008
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Equipment Leasing — 0.5% | |||||||||||
Maxim Crane Works, L.P. | |||||||||||
8,436,250 | Term Loan, 4.71%, Maturing June 29, 2014 | $ | 7,508,263 | ||||||||
The Hertz Corp. | |||||||||||
1,655,560 | Term Loan, 4.35%, Maturing December 21, 2012 | 1,590,278 | |||||||||
3,195,454 | Term Loan, 4.22%, Maturing December 21, 2012 | 3,069,451 | |||||||||
United Rentals, Inc. | |||||||||||
2,462,196 | Term Loan, 4.95%, Maturing February 14, 2011 | 2,402,692 | |||||||||
5,748,938 | Term Loan, 5.10%, Maturing February 14, 2011 | 5,610,004 | |||||||||
$ | 20,180,688 | ||||||||||
Farming / Agriculture — 0.3% | |||||||||||
BF Bolthouse HoldCo, LLC | |||||||||||
4,309,977 | Term Loan, 5.00%, Maturing December 16, 2012 | $ | 4,097,172 | ||||||||
Central Garden & Pet Co. | |||||||||||
10,804,365 | Term Loan, 4.31%, Maturing February 28, 2014 | 9,498,841 | |||||||||
$ | 13,596,013 | ||||||||||
Financial Intermediaries — 1.3% | |||||||||||
Asset Acceptence Capital Corp. | |||||||||||
1,486,263 | Term Loan, 5.56%, Maturing June 5, 2013 | $ | 1,374,793 | ||||||||
Citco III, Ltd. | |||||||||||
10,875,000 | Term Loan, 6.72%, Maturing June 30, 2014 | 9,760,313 | |||||||||
E.A. Viner International Co. | |||||||||||
757,350 | Term Loan, 5.70%, Maturing July 31, 2013 | 719,483 | |||||||||
Grosvenor Capital Management | |||||||||||
4,237,245 | Term Loan, 4.86%, Maturing December 5, 2013 | 4,067,755 | |||||||||
INVESTools, Inc. | |||||||||||
2,304,000 | Term Loan, 5.95%, Maturing August 13, 2012 | 2,096,640 | |||||||||
Jupiter Asset Management Group | |||||||||||
GBP | 3,764,439 | Term Loan, 7.84%, Maturing June 30, 2015 | 6,421,186 | ||||||||
LPL Holdings, Inc. | |||||||||||
22,419,972 | Term Loan, 4.70%, Maturing December 18, 2014 | 20,906,624 | |||||||||
Oxford Acquisition III, Ltd. | |||||||||||
11,274,638 | Term Loan, 4.67%, Maturing May 24, 2014 | 9,484,789 | |||||||||
RJO Holdings Corp. (RJ O'Brien) | |||||||||||
4,203,875 | Term Loan, 5.90%, Maturing July 31, 2014 | 2,837,616 | |||||||||
$ | 57,669,199 | ||||||||||
Food Products — 3.0% | |||||||||||
Acosta, Inc. | |||||||||||
15,690,114 | Term Loan, 5.12%, Maturing July 28, 2013 | $ | 14,964,447 | ||||||||
Advantage Sales & Marketing, Inc. | |||||||||||
7,621,197 | Term Loan, 4.70%, Maturing March 29, 2013 | 7,202,032 | |||||||||
3,740,386 | Term Loan, 4.70%, Maturing March 29, 2013 | 3,534,665 |
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Food Products (continued) | |||||||||||
American Seafoods Group, LLC | |||||||||||
3,950,358 | Term Loan, 4.61%, Maturing September 30, 2012 | $ | 3,693,584 | ||||||||
BL Marketing, Ltd. | |||||||||||
GBP | 3,500,000 | Term Loan, 7.70%, Maturing December 31, 2013 | 6,417,805 | ||||||||
GBP | 2,500,000 | Term Loan, 10.09%, Maturing June 30, 2015 | 4,406,724 | ||||||||
Black Lion Beverages III B.V. | |||||||||||
EUR | 3,000,000 | Term Loan, 8.92%, Maturing January 24, 2016 | 4,025,560 | ||||||||
Bumble Bee Seafood, LLC | |||||||||||
3,000,000 | Term Loan, 5.32%, Maturing May 2, 2012 | 2,842,500 | |||||||||
Dean Foods Co. | |||||||||||
23,908,376 | Term Loan, 4.45%, Maturing April 2, 2014 | 22,855,738 | |||||||||
Dole Food Company, Inc. | |||||||||||
1,091,079 | Term Loan, 4.71%, Maturing April 12, 2013 | 1,019,477 | |||||||||
6,493,924 | Term Loan, 4.83%, Maturing April 12, 2013 | 6,067,760 | |||||||||
1,947,677 | Term Loan, 5.01%, Maturing April 12, 2013 | 1,819,861 | |||||||||
Foodvest Limited | |||||||||||
GBP | 437,500 | Term Loan, 7.88%, Maturing March 16, 2014 | 783,091 | ||||||||
GBP | 401,305 | Term Loan, 8.38%, Maturing March 16, 2015 | 718,304 | ||||||||
GBP | 500,000 | Term Loan, 9.88%, Maturing September 16, 2015 | 828,530 | ||||||||
MafCo Worldwide Corp. | |||||||||||
812,696 | Term Loan, 4.70%, Maturing December 8, 2011 | 763,934 | |||||||||
Pinnacle Foods Finance, LLC | |||||||||||
4,000,000 | Revolving Loan, 0.00%, Maturing April 2, 2013(2) | 3,300,000 | |||||||||
28,370,550 | Term Loan, 5.44%, Maturing April 2, 2014 | 26,538,295 | |||||||||
Reddy Ice Group, Inc. | |||||||||||
12,335,000 | Term Loan, 4.46%, Maturing August 9, 2012 | 10,669,775 | |||||||||
Ruby Acquisitions, Ltd. | |||||||||||
GBP | 2,242,782 | Term Loan, 8.58%, Maturing January 5, 2015 | 3,875,595 | ||||||||
$ | 126,327,677 | ||||||||||
Food Service — 1.9% | |||||||||||
AFC Enterprises, Inc. | |||||||||||
2,055,134 | Term Loan, 5.00%, Maturing May 23, 2009 | $ | 1,880,448 | ||||||||
Aramark Corp. | |||||||||||
89,602 | Term Loan, Maturing January 26, 2014(4) | 86,354 | |||||||||
1,410,398 | Term Loan, Maturing January 26, 2014(4) | 1,359,271 | |||||||||
15,656,346 | Term Loan, 4.57%, Maturing January 26, 2014 | 15,031,203 | |||||||||
1,137,583 | Term Loan, 5.20%, Maturing January 26, 2014 | 1,092,204 | |||||||||
Buffets, Inc. | |||||||||||
1,826,350 | Term Loan, 4.73%, Maturing May 1, 2013 | 1,057,000 | |||||||||
11,679,731 | Term Loan, 11.39%, Maturing November 1, 2013 | 6,759,644 | |||||||||
CBRL Group, Inc. | |||||||||||
2,948,324 | Term Loan, 4.62%, Maturing April 27, 2013 | 2,793,537 | |||||||||
6,507,657 | Term Loan, 4.62%, Maturing April 27, 2013 | 6,166,005 |
See notes to financial statements
22
Floating Rate Portfolio as of April 30, 2008
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Food Service (continued) | |||||||||||
JRD Holdings, Inc. | |||||||||||
3,715,625 | Term Loan, 5.20%, Maturing June 26, 2014 | $ | 3,585,578 | ||||||||
Maine Beverage Co., LLC | |||||||||||
2,808,929 | Term Loan, 4.45%, Maturing June 30, 2010 | 2,696,571 | |||||||||
OSI Restaurant Partners, LLC | |||||||||||
648,261 | Term Loan, 2.67%, Maturing May 9, 2013 | 565,878 | |||||||||
7,698,084 | Term Loan, 5.00%, Maturing May 9, 2014 | 6,719,788 | |||||||||
QCE Finance, LLC | |||||||||||
9,031,500 | Term Loan, 4.99%, Maturing May 5, 2013 | 7,680,000 | |||||||||
Sagittarius Restaurants, LLC | |||||||||||
4,782,412 | Term Loan, 9.50%, Maturing March 29, 2013 | 3,682,457 | |||||||||
Selecta | |||||||||||
CHF | 18,404,850 | Term Loan, 5.26%, Maturing June 28, 2015 | 15,461,806 | ||||||||
SSP Financing, Ltd. | |||||||||||
3,954,516 | Term Loan, 5.43%, Maturing June 15, 2014 | 3,143,840 | |||||||||
3,954,516 | Term Loan, 5.93%, Maturing June 15, 2015 | 3,163,613 | |||||||||
$ | 82,925,197 | ||||||||||
Food / Drug Retailers — 1.4% | |||||||||||
General Nutrition Centers, Inc. | |||||||||||
12,652,101 | Term Loan, 4.95%, Maturing September 16, 2013 | $ | 11,252,462 | ||||||||
Pantry, Inc. (The) | |||||||||||
66,047 | Term Loan, 4.14%, Maturing May 15, 2014(2) | 55,975 | |||||||||
7,177,795 | Term Loan, 4.62%, Maturing May 15, 2014 | 6,083,181 | |||||||||
Rite Aid Corp. | |||||||||||
25,000,000 | Term Loan, 4.53%, Maturing June 1, 2014 | 23,523,450 | |||||||||
Roundy's Supermarkets, Inc. | |||||||||||
17,913,704 | Term Loan, 5.47%, Maturing November 3, 2011 | 16,820,968 | |||||||||
$ | 57,736,036 | ||||||||||
Forest Products — 1.2% | |||||||||||
Appleton Papers, Inc. | |||||||||||
10,567,638 | Term Loan, 4.60%, Maturing June 5, 2014 | $ | 9,757,448 | ||||||||
Georgia-Pacific Corp. | |||||||||||
1,680,213 | Term Loan, Maturing December 20, 2012(4) | 1,602,503 | |||||||||
2,054,873 | Term Loan, 4.68%, Maturing December 20, 2012 | 1,986,097 | |||||||||
33,779,289 | Term Loan, 4.73%, Maturing December 20, 2012 | 32,454,499 | |||||||||
Xerium Technologies, Inc. | |||||||||||
9,157,010 | Term Loan, 5.45%, Maturing May 18, 2012 | 7,417,178 | |||||||||
$ | 53,217,725 | ||||||||||
Healthcare — 8.1% | |||||||||||
Accellent, Inc. | |||||||||||
3,171,837 | Term Loan, 5.84%, Maturing November 22, 2012 | $ | 2,755,534 |
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Healthcare (continued) | |||||||||||
Advanced Medical Optics, Inc. | |||||||||||
1,980,000 | Term Loan, 5.44%, Maturing April 2, 2014 | $ | 1,841,400 | ||||||||
Alliance Imaging, Inc. | |||||||||||
4,635,234 | Term Loan, 5.41%, Maturing December 29, 2011 | 4,415,061 | |||||||||
American Medical Systems | |||||||||||
8,927,954 | Term Loan, 5.38%, Maturing July 20, 2012 | 8,459,236 | |||||||||
AMN Healthcare, Inc. | |||||||||||
2,121,817 | Term Loan, 4.45%, Maturing November 2, 2011 | 2,036,945 | |||||||||
AMR HoldCo, Inc. | |||||||||||
5,976,263 | Term Loan, 5.00%, Maturing February 10, 2012 | 5,677,450 | |||||||||
Biomet, Inc. | |||||||||||
8,181,111 | Term Loan, 5.70%, Maturing December 26, 2014 | 8,039,643 | |||||||||
EUR | 7,979,888 | Term Loan, 7.73%, Maturing December 26, 2014 | 11,875,161 | ||||||||
Cardinal Health 409, Inc. | |||||||||||
14,783,275 | Term Loan, 4.95%, Maturing April 10, 2014 | 13,194,073 | |||||||||
Carestream Health, Inc. | |||||||||||
14,096,623 | Term Loan, 5.47%, Maturing April 30, 2013 | 12,017,371 | |||||||||
Carl Zeiss Vision Holding GmbH | |||||||||||
EUR | 6,371,053 | Term Loan, 7.23%, Maturing March 23, 2015 | 8,017,929 | ||||||||
CB Diagnostics AB | |||||||||||
998,084 | Term Loan, 4.99%, Maturing January 16, 2015 | 928,218 | |||||||||
2,315,036 | Term Loan, 5.24%, Maturing January 16, 2016 | 2,152,984 | |||||||||
Community Health Systems, Inc. | |||||||||||
34,716,565 | Term Loan, 5.34%, Maturing July 25, 2014 | 33,307,871 | |||||||||
Concentra, Inc. | |||||||||||
5,955,000 | Term Loan, 4.95%, Maturing June 25, 2014 | 5,352,056 | |||||||||
CRC Health Corp. | |||||||||||
1,851,601 | Term Loan, 4.92%, Maturing February 6, 2013 | 1,694,215 | |||||||||
3,895,798 | Term Loan, 4.92%, Maturing February 6, 2013 | 3,564,655 | |||||||||
Dako Equity Project Delphi | |||||||||||
1,568,302 | Term Loan, 4.81%, Maturing June 12, 2016 | 1,257,778 | |||||||||
EUR | 3,098,534 | Term Loan, 7.11%, Maturing June 12, 2016 | 3,868,934 | ||||||||
DaVita, Inc. | |||||||||||
14,753,556 | Term Loan, 4.23%, Maturing October 5, 2012 | 14,155,034 | |||||||||
Fresenius Medical Care Holdings | |||||||||||
6,715,942 | Term Loan, 4.07%, Maturing March 31, 2013 | 6,507,117 | |||||||||
Gambro Holding AB | |||||||||||
1,292,918 | Term Loan, 5.57%, Maturing June 5, 2014 | 1,187,329 | |||||||||
1,292,918 | Term Loan, 6.07%, Maturing June 5, 2015 | 1,191,640 | |||||||||
Hanger Orthopedic Group, Inc. | |||||||||||
5,377,997 | Term Loan, 4.87%, Maturing May 30, 2013 | 5,088,930 | |||||||||
HCA, Inc. | |||||||||||
43,763,298 | Term Loan, 4.95%, Maturing November 18, 2013 | 41,631,937 | |||||||||
Health Management Association, Inc. | |||||||||||
2,500,000 | Term Loan, Maturing February 28, 2014(4) | 2,271,875 | |||||||||
21,083,449 | Term Loan, 4.45%, Maturing February 28, 2014 | 19,551,235 |
See notes to financial statements
23
Floating Rate Portfolio as of April 30, 2008
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Healthcare (continued) | |||||||||||
HealthSouth Corp. | |||||||||||
7,503,779 | Term Loan, 5.23%, Maturing March 10, 2013 | $ | 7,140,319 | ||||||||
Iasis Healthcare, LLC | |||||||||||
1,075,131 | Term Loan, 4.86%, Maturing March 14, 2014 | 1,030,333 | |||||||||
3,115,084 | Term Loan, 4.88%, Maturing March 14, 2014 | 2,985,287 | |||||||||
286,702 | Term Loan, 4.88%, Maturing March 14, 2014 | 274,756 | |||||||||
Ikaria Acquisition, Inc. | |||||||||||
1,552,672 | Term Loan, 4.95%, Maturing March 28, 2013 | 1,467,275 | |||||||||
IM U.S. Holdings, LLC | |||||||||||
7,629,788 | Term Loan, 4.67%, Maturing June 26, 2014 | 7,082,984 | |||||||||
inVentiv Health, Inc. | |||||||||||
8,024,363 | Term Loan, 4.45%, Maturing July 6, 2014 | 7,452,627 | |||||||||
Leiner Health Products, Inc. | |||||||||||
8,057,750 | Term Loan, 8.75%, Maturing May 27, 2011(10) | 3,658,219 | |||||||||
LifeCare Holdings, Inc. | |||||||||||
8,023,852 | Term Loan, 6.95%, Maturing August 11, 2012 | 6,940,632 | |||||||||
LifePoint Hospitals, Inc. | |||||||||||
11,519,064 | Term Loan, 4.71%, Maturing April 15, 2012 | 11,087,099 | |||||||||
Matria Healthcare, Inc. | |||||||||||
3,122,163 | Term Loan, 4.88%, Maturing January 19, 2012 | 3,044,109 | |||||||||
MultiPlan Merger Corp. | |||||||||||
3,510,235 | Term Loan, 5.38%, Maturing April 12, 2013 | 3,316,076 | |||||||||
3,929,197 | Term Loan, 5.38%, Maturing April 12, 2013 | 3,711,865 | |||||||||
National Mentor Holdings, Inc. | |||||||||||
484,400 | Term Loan, 5.31%, Maturing June 29, 2013 | 416,584 | |||||||||
8,022,702 | Term Loan, 4.70%, Maturing June 29, 2013 | 6,899,524 | |||||||||
Nyco Holdings | |||||||||||
2,859,137 | Term Loan, 4.95%, Maturing December 29, 2014 | 2,383,294 | |||||||||
EUR | 5,346,366 | Term Loan, 6.98%, Maturing December 29, 2014 | 7,065,946 | ||||||||
2,859,137 | Term Loan, 5.70%, Maturing December 29, 2015 | 2,383,294 | |||||||||
EUR | 5,350,000 | Term Loan, 7.73%, Maturing December 29, 2015 | 7,070,749 | ||||||||
Psychiatric Solutions Inc. | |||||||||||
994,453 | Term Loan, 4.56%, Maturing May 31, 2014 | 957,161 | |||||||||
RadNet Management, Inc. | |||||||||||
2,458,847 | Term Loan, 7.26%, Maturing November 15, 2012 | 2,348,199 | |||||||||
ReAble Therapeutics Finance, LLC | |||||||||||
9,230,328 | Term Loan, 4.70%, Maturing November 16, 2013 | 8,716,891 | |||||||||
Renal Advantage, Inc. | |||||||||||
2,172,585 | Term Loan, 5.26%, Maturing October 5, 2012 | 2,036,798 | |||||||||
Select Medical Holding Corp. | |||||||||||
1,000,000 | Revolving Loan, 4.18%, Maturing February 24, 2010(2) | 850,000 | |||||||||
4,643,973 | �� | Term Loan, 5.06%, Maturing February 24, 2012 | 4,253,880 | ||||||||
Sunrise Medical Holdings, Inc. | |||||||||||
5,745,846 | Term Loan, 7.09%, Maturing May 13, 2010 | 4,740,323 |
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Healthcare (continued) | |||||||||||
Vanguard Health Holding Co., LLC | |||||||||||
10,745,426 | Term Loan, 5.13%, Maturing September 23, 2011 | $ | 10,378,287 | ||||||||
Viant Holdings, Inc. | |||||||||||
4,838,437 | Term Loan, 4.95%, Maturing June 25, 2014 | 4,112,672 | |||||||||
$ | 345,846,794 | ||||||||||
Home Furnishings — 1.5% | |||||||||||
Dometic Corp. | |||||||||||
2,790,150 | Term Loan, 5.45%, Maturing December 31, 2014 | $ | 2,308,849 | ||||||||
1,788,692 | Term Loan, 5.95%, Maturing December 31, 2014 | 1,480,142 | |||||||||
421,159 | Term Loan, 5.95%, Maturing December 31, 2014 | 348,509 | |||||||||
Hunter Fan Co. | |||||||||||
3,903,211 | Term Loan, 5.57%, Maturing April 16, 2014 | 3,151,843 | |||||||||
Interline Brands, Inc. | |||||||||||
5,882,406 | Term Loan, 4.61%, Maturing June 23, 2013 | 5,558,873 | |||||||||
3,072,818 | Term Loan, 4.61%, Maturing June 23, 2013 | 2,903,813 | |||||||||
National Bedding Co., LLC | |||||||||||
10,731,056 | Term Loan, 4.74%, Maturing August 31, 2011 | 8,638,500 | |||||||||
1,500,000 | Term Loan, 7.70%, Maturing August 31, 2012 | 1,065,000 | |||||||||
Oreck Corp. | |||||||||||
4,212,647 | Term Loan, 7.66%, Maturing February 2, 2012(3) | 1,963,094 | |||||||||
Sanitec, Ltd. Oy | |||||||||||
EUR | 4,478,261 | Term Loan, 7.54%, Maturing April 7, 2013 | 5,348,678 | ||||||||
EUR | 4,478,261 | Term Loan, 8.04%, Maturing April 7, 2014 | 5,348,678 | ||||||||
Sealy Mattress Co. | |||||||||||
3,000,000 | Revolving Loan, 4.96%, Maturing April 6, 2012(2) | 2,730,000 | |||||||||
6,357,539 | Term Loan, 4.15%, Maturing August 25, 2012 | 5,912,511 | |||||||||
Simmons Co. | |||||||||||
18,290,235 | Term Loan, 5.61%, Maturing December 19, 2011 | 16,461,211 | |||||||||
2,500,000 | Term Loan, 8.20%, Maturing February 15, 2012 | 1,637,500 | |||||||||
$ | 64,857,201 | ||||||||||
Industrial Equipment — 2.2% | |||||||||||
CEVA Group PLC U.S. | |||||||||||
EUR | 649,491 | Term Loan, 7.39%, Maturing January 4, 2014 | $ | 943,779 | |||||||
EUR | 1,102,908 | Term Loan, 7.39%, Maturing January 4, 2014 | 1,602,643 | ||||||||
EUR | 1,355,481 | Term Loan, 7.39%, Maturing January 4, 2014 | 1,969,658 | ||||||||
EUR | 1,135,787 | Term Loan, 7.73%, Maturing January 4, 2014 | 1,650,419 | ||||||||
Colfax Corp. | |||||||||||
1,983,244 | Term Loan, 5.00%, Maturing May 30, 2009 | 1,943,579 | |||||||||
EUR | 3,591,204 | Term Loan, 6.98%, Maturing December 19, 2011 | 5,507,278 | ||||||||
EPD Holdings (Goodyear Engineering Products) | |||||||||||
352,242 | Term Loan, 5.37%, Maturing July 13, 2014 | 291,921 | |||||||||
9,424,516 | Term loan, 5.40%, Maturing July 13, 2014 | 7,810,567 | |||||||||
2,000,000 | Term Loan, 8.65%, Maturing July 13, 2015 | 1,280,000 |
See notes to financial statements
24
Floating Rate Portfolio as of April 30, 2008
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Industrial Equipment (continued) | |||||||||||
Flowserve Corp. | |||||||||||
3,616,499 | Term Loan, 4.25%, Maturing August 10, 2012 | $ | 3,444,715 | ||||||||
FR Brand Acquisition Corp. | |||||||||||
9,062,770 | Term Loan, 5.01%, Maturing February 7, 2014 | 8,043,208 | |||||||||
Generac Acquisition Corp. | |||||||||||
9,785,624 | Term Loan, 5.18%, Maturing November 7, 2013 | 7,936,141 | |||||||||
Gleason Corp. | |||||||||||
1,940,737 | Term Loan, 4.65%, Maturing June 30, 2013 | 1,804,885 | |||||||||
1,518,056 | Term Loan, 4.65%, Maturing June 30, 2013 | 1,411,792 | |||||||||
Heating Finance PLC (Baxi) | |||||||||||
EUR | 3,253,597 | Term Loan, Maturing December 27, 2010(2)(3) | 3,390,356 | ||||||||
GBP | 2,425,022 | Term Loan, 8.22%, Maturing December 27, 2010 | 3,602,158 | ||||||||
Itron, Inc. | |||||||||||
GBP | 790,000 | Term Loan, 8.01%, Maturing April 18, 2014 | 1,388,613 | ||||||||
Jason, Inc. | |||||||||||
1,923,720 | Term Loan, 5.22%, Maturing April 30, 2010 | 1,702,492 | |||||||||
John Maneely Co. | |||||||||||
13,350,760 | Term Loan, 6.03%, Maturing December 8, 2013 | 12,058,593 | |||||||||
KION Group GmbH | |||||||||||
2,250,000 | Term Loan, 6.75%, Maturing December 23, 2014 | 2,098,125 | |||||||||
2,250,000 | Term Loan, 7.25%, Maturing December 23, 2015 | 2,098,125 | |||||||||
Polypore, Inc. | |||||||||||
1,999,803 | Term Loan, 0.00%, Maturing July 3, 2013(2) | 1,739,829 | |||||||||
16,857,538 | Term Loan, 5.11%, Maturing July 3, 2014 | 16,098,948 | |||||||||
EUR | 1,106,137 | Term Loan, 6.64%, Maturing July 3, 2014 | 1,481,045 | ||||||||
TFS Acquisition Corp. | |||||||||||
4,422,551 | Term Loan, 6.20%, Maturing August 11, 2013 | 4,112,972 | |||||||||
$ | 95,411,841 | ||||||||||
Insurance — 1.1% | |||||||||||
Alliant Holdings I, Inc. | |||||||||||
7,338,125 | Term Loan, 5.70%, Maturing August 21, 2014 | $ | 6,897,838 | ||||||||
CCC Information Services Group, Inc. | |||||||||||
4,362,620 | Term Loan, 4.91%, Maturing February 10, 2013 | 4,231,742 | |||||||||
Conseco, Inc. | |||||||||||
23,388,206 | Term Loan, 4.86%, Maturing October 10, 2013 | 17,930,966 | |||||||||
Crump Group, Inc. | |||||||||||
6,898,446 | Term Loan, 5.70%, Maturing August 4, 2014 | 6,346,570 | |||||||||
Hub International Holdings, Inc. | |||||||||||
465,194 | Term Loan, 4.40%, Maturing June 13, 2014(2) | 419,256 | |||||||||
6,505,483 | Term Loan, 5.20%, Maturing June 13, 2014 | 5,863,066 | |||||||||
U.S.I. Holdings Corp. | |||||||||||
7,071,562 | Term Loan, 5.45%, Maturing May 4, 2014 | 6,647,269 | |||||||||
$ | 48,336,707 |
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Leisure Goods / Activities / Movies — 5.6% | |||||||||||
24 Hour Fitness Worldwide, Inc. | |||||||||||
2,967,140 | Term Loan, 5.93%, Maturing June 8, 2012 | $ | 2,655,590 | ||||||||
AMC Entertainment, Inc. | |||||||||||
16,602,585 | Term Loan, 4.64%, Maturing January 26, 2013 | 15,719,095 | |||||||||
AMF Bowling Worldwide, Inc. | |||||||||||
6,004,625 | Term Loan, 5.47%, Maturing June 8, 2013 | 4,803,700 | |||||||||
Bombardier Recreational Products | |||||||||||
13,400,000 | Term Loan, 5.32%, Maturing June 28, 2013 | 11,903,662 | |||||||||
Carmike Cinemas, Inc. | |||||||||||
5,978,516 | Term Loan, 6.49%, Maturing May 19, 2012 | 5,679,591 | |||||||||
3,268,644 | Term Loan, 6.60%, Maturing May 19, 2012 | 3,105,212 | |||||||||
Cedar Fair, L.P. | |||||||||||
4,912,500 | Term Loan, 4.86%, Maturing August 31, 2011 | 4,684,614 | |||||||||
3,978,935 | Term Loan, 4.86%, Maturing August 30, 2012 | 3,794,356 | |||||||||
Cinemark, Inc. | |||||||||||
26,436,214 | Term Loan, 4.66%, Maturing October 5, 2013 | 25,269,293 | |||||||||
Dave & Buster's, Inc. | |||||||||||
815,456 | Term Loan, 4.95%, Maturing March 8, 2013 | 758,374 | |||||||||
2,086,817 | Term Loan, 4.95%, Maturing March 8, 2013 | 1,940,740 | |||||||||
Deluxe Entertainment Services | |||||||||||
271,434 | Term Loan, 4.95%, Maturing January 28, 2011 | 237,505 | |||||||||
516,186 | Term Loan, 4.95%, Maturing January 28, 2011 | 451,663 | |||||||||
5,507,882 | Term Loan, 5.04%, Maturing January 28, 2011 | 4,819,397 | |||||||||
DW Funding, LLC | |||||||||||
4,983,964 | Term Loan, 4.57%, Maturing April 30, 2011 | 4,784,606 | |||||||||
Easton-Bell Sports, Inc. | |||||||||||
7,437,875 | Term Loan, 4.65%, Maturing March 16, 2012 | 6,563,925 | |||||||||
Fender Musical Instruments Corp. | |||||||||||
1,313,317 | Term Loan, 6.97%, Maturing June 9, 2014 | 1,090,053 | |||||||||
4,591,934 | Term Loan, 7.16%, Maturing June 9, 2014 | 3,811,305 | |||||||||
Lions Gate Entertainment, Inc. | |||||||||||
1,000,000 | Revolving Loan, 0.00%, Maturing December 31, 2008(2) | 960,000 | |||||||||
Mega Blocks, Inc. | |||||||||||
1,895,891 | Term Loan, 8.25%, Maturing July 26, 2012 | 1,666,014 | |||||||||
Metro-Goldwyn-Mayer Holdings, Inc. | |||||||||||
50,125,860 | Term Loan, 5.95%, Maturing April 8, 2012 | 40,273,021 | |||||||||
National CineMedia, LLC | |||||||||||
16,250,000 | Term Loan, 4.62%, Maturing February 13, 2015 | 15,147,324 | |||||||||
Odeon | |||||||||||
EUR | 1,064,322 | Term Loan, 6.84%, Maturing April 2, 2015 | 1,497,552 | ||||||||
GBP | 623,547 | Term Loan, 8.16%, Maturing April 2, 2015 | 1,118,672 | ||||||||
EUR | 1,064,322 | Term Loan, 7.21%, Maturing April 2, 2016 | 1,501,695 | ||||||||
GBP | 623,547 | Term Loan, 8.54%, Maturing April 2, 2016 | 1,120,731 | ||||||||
Regal Cinemas Corp. | |||||||||||
25,027,778 | Term Loan, 4.20%, Maturing November 10, 2010 | 23,823,316 |
See notes to financial statements
25
Floating Rate Portfolio as of April 30, 2008
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Leisure Goods / Activities / Movies (continued) | |||||||||||
Revolution Studios Distribution Co., LLC | |||||||||||
6,481,895 | Term Loan, 6.62%, Maturing December 21, 2014 | $ | 5,995,753 | ||||||||
Six Flags Theme Parks, Inc. | |||||||||||
14,462,925 | Term Loan, 5.20%, Maturing April 30, 2015 | 12,921,727 | |||||||||
Southwest Sports Group, LLC | |||||||||||
9,500,000 | Term Loan, 5.44%, Maturing December 22, 2010 | 8,360,000 | |||||||||
Universal City Development Partners, Ltd. | |||||||||||
9,996,088 | Term Loan, 4.63%, Maturing June 9, 2011 | 9,758,681 | |||||||||
WMG Acquisition Corp. | |||||||||||
390,000 | Revolving Loan, 0.00%, Maturing February 28, 2010(2) | 349,050 | |||||||||
13,462,451 | Term Loan, 4.98%, Maturing February 28, 2011 | 12,444,353 | |||||||||
Zuffa, LLC | |||||||||||
2,481,250 | Term Loan, 4.88%, Maturing June 20, 2016 | 1,674,844 | |||||||||
$ | 240,685,414 | ||||||||||
Lodging and Casinos — 3.6% | |||||||||||
Bally Technologies, Inc. | |||||||||||
8,480,980 | Term Loan, 7.36%, Maturing September 5, 2009 | $ | 8,337,864 | ||||||||
Choctaw Resort Development Enterprise | |||||||||||
3,458,296 | Term Loan, 6.47%, Maturing November 4, 2011 | 3,250,798 | |||||||||
Dionysos Leisure Entertainment | |||||||||||
EUR | 1,500,000 | Term Loan, 7.38%, Maturing June 30, 2014 | 2,117,385 | ||||||||
EUR | 1,500,000 | Term Loan, 7.76%, Maturing June 30, 2015 | 2,121,275 | ||||||||
Full Moon Holdco 3 Ltd. | |||||||||||
GBP | 1,500,000 | Term Loan, 8.25%, Maturing November 20, 2014 | 2,740,586 | ||||||||
GBP | 1,500,000 | Term Loan, 8.75%, Maturing November 20, 2015 | 2,740,586 | ||||||||
Gala Electric Casinos, Ltd. | |||||||||||
GBP | 5,000,000 | Term Loan, 6.21%, Maturing December 12, 2012(2) | 9,209,558 | ||||||||
GBP | 6,847,984 | Term Loan, 8.01%, Maturing December 12, 2013 | 12,422,050 | ||||||||
GBP | 5,933,651 | Term Loan, 8.51%, Maturing December 12, 2014 | 10,763,476 | ||||||||
Green Valley Ranch Gaming, LLC | |||||||||||
7,072,743 | Term Loan, 4.93%, Maturing February 16, 2014 | 5,693,558 | |||||||||
Harrah's Operating Co. | |||||||||||
2,000,000 | Term Loan, Maturing January 28, 2015(4) | 1,879,463 | |||||||||
1,000,000 | Term Loan, Maturing January 28, 2015(4) | 943,750 | |||||||||
Herbst Gaming, Inc. | |||||||||||
2,495,403 | Term Loan, 9.85%, Maturing December 2, 2011 | 1,785,773 | |||||||||
6,276,496 | Term Loan, 10.75%, Maturing December 2, 2011 | 4,491,617 | |||||||||
Isle of Capri Casinos, Inc. | |||||||||||
10,033,008 | Term Loan, 4.45%, Maturing November 30, 2013 | 8,879,212 | |||||||||
142,290 | Term Loan, 4.45%, Maturing November 30, 2013 | 125,927 | |||||||||
5,482,103 | Term Loan, 4.45%, Maturing November 30, 2013 | 4,851,661 | |||||||||
LodgeNet Entertainment Corp. | |||||||||||
5,878,075 | Term Loan, 4.70%, Maturing April 4, 2014 | 5,202,096 |
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Lodging and Casinos (continued) | |||||||||||
New World Gaming Partners, Ltd. | |||||||||||
9,746,406 | Term Loan, 5.19%, Maturing June 30, 2014 | $ | 8,308,811 | ||||||||
954,167 | Term Loan, 5.19%, Maturing June 30, 2014 | 813,427 | |||||||||
Penn National Gaming, Inc. | |||||||||||
14,842,318 | Term Loan, 4.93%, Maturing October 3, 2012 | 14,388,796 | |||||||||
Scandic Hotels | |||||||||||
EUR | 1,724,568 | Term Loan, 6.84%, Maturing April 25, 2015 | 2,406,413 | ||||||||
EUR | 1,724,568 | Term Loan, 7.22%, Maturing April 25, 2016 | 2,413,126 | ||||||||
Seminole Tribe of Florida | |||||||||||
1,367,360 | Term Loan, 4.25%, Maturing March 5, 2014 | 1,333,176 | |||||||||
352,718 | Term Loan, 4.48%, Maturing March 5, 2014 | 343,900 | |||||||||
1,392,439 | Term Loan, 4.63%, Maturing March 5, 2014 | 1,357,628 | |||||||||
Venetian Casino Resort/Las Vegas Sands Inc. | |||||||||||
9,006,667 | Term Loan, 0.00%, Maturing May 14, 2014(2) | 8,293,294 | |||||||||
23,158,333 | Term Loan, 4.45%, Maturing May 23, 2014 | 21,324,078 | |||||||||
VML US Finance, LLC | |||||||||||
3,333,333 | Term Loan, 4.95%, Maturing May 25, 2012 | 3,185,627 | |||||||||
2,000,000 | Term Loan, 4.95%, Maturing May 25, 2013 | 1,911,376 | |||||||||
$ | 153,636,287 | ||||||||||
Nonferrous Metals / Minerals — 1.2% | |||||||||||
Compass Minerals Group, Inc. | |||||||||||
1,293,347 | Term Loan, 4.94%, Maturing December 22, 2012 | $ | 1,254,546 | ||||||||
Euramax International, Inc. | |||||||||||
4,408,661 | Term Loan, 8.00%, Maturing June 28, 2012 | 3,698,867 | |||||||||
GBP | 894,902 | Term Loan, 10.68%, Maturing June 29, 2012 | 1,506,538 | ||||||||
Magnum Coal Co. | |||||||||||
1,375,000 | Term Loan, 9.75%, Maturing March 15, 2013 | 1,366,406 | |||||||||
7,975,000 | Term Loan, 9.75%, Maturing March 15, 2013 | 7,925,156 | |||||||||
Murray Energy Corp. | |||||||||||
7,638,912 | Term Loan, 7.91%, Maturing January 28, 2010 | 7,256,966 | |||||||||
Noranda Aluminum Acquisition | |||||||||||
1,955,586 | Term Loan, 5.07%, Maturing May 18, 2014 | 1,857,806 | |||||||||
Novelis, Inc. | |||||||||||
2,024,520 | Term Loan, 4.70%, Maturing June 28, 2014 | 1,928,355 | |||||||||
4,453,943 | Term Loan, 4.70%, Maturing June 28, 2014 | 4,242,381 | |||||||||
Oxbow Carbon and Mineral Holdings | |||||||||||
1,368,080 | Term Loan, 4.86%, Maturing May 8, 2014 | 1,240,962 | |||||||||
15,281,664 | Term Loan, 4.88%, Maturing May 8, 2014 | 13,861,737 | |||||||||
Thompson Creek Metals Co. | |||||||||||
5,855,644 | Term Loan, 7.48%, Maturing October 26, 2012 | 5,797,087 | |||||||||
Tube City IMS Corp. | |||||||||||
162,162 | Term Loan, 4.95%, Maturing January 25, 2014 | 147,568 | |||||||||
1,324,459 | Term Loan, 4.95%, Maturing January 25, 2014 | 1,205,258 | |||||||||
$ | 53,289,633 |
See notes to financial statements
26
Floating Rate Portfolio as of April 30, 2008
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Oil and Gas — 1.6% | |||||||||||
Atlas Pipeline Partners, L.P. | |||||||||||
4,960,000 | Term Loan, 5.62%, Maturing July 20, 2014 | $ | 4,846,332 | ||||||||
Citgo Petroleum Corp. | |||||||||||
4,839,952 | Term Loan, 4.11%, Maturing November 15, 2012 | 4,549,554 | |||||||||
Dresser, Inc. | |||||||||||
6,167,014 | Term Loan, 5.31%, Maturing May 4, 2014 | 5,961,449 | |||||||||
Dynegy Holdings, Inc. | |||||||||||
26,178,793 | Term Loan, 4.36%, Maturing April 2, 2013 | 24,717,152 | |||||||||
1,287,833 | Term Loan, 4.36%, Maturing April 2, 2013 | 1,215,930 | |||||||||
Enterprise GP Holdings, L.P. | |||||||||||
2,400,000 | Term Loan, 4.96%, Maturing October 31, 2014 | 2,361,000 | |||||||||
Hercules Offshore, Inc. | |||||||||||
3,285,100 | Term Loan, 4.45%, Maturing July 6, 2013 | 3,208,449 | |||||||||
Primary Natural Resources, Inc. | |||||||||||
13,181,000 | Term Loan, 5.00%, Maturing July 28, 2010 | 12,503,497 | |||||||||
Targa Resources, Inc. | |||||||||||
4,828,492 | Term Loan, 4.70%, Maturing October 31, 2012 | 4,645,010 | |||||||||
3,761,945 | Term Loan, 6.83%, Maturing October 31, 2012 | 3,618,991 | |||||||||
$ | 67,627,364 | ||||||||||
Publishing — 9.9% | |||||||||||
American Media Operations, Inc. | |||||||||||
20,000,000 | Term Loan, 7.25%, Maturing January 31, 2013 | $ | 18,325,000 | ||||||||
Aster Zweite Beteiligungs GmbH | |||||||||||
6,825,000 | Term Loan, 4.88%, Maturing September 27, 2013 | 5,937,750 | |||||||||
EUR | 708,499 | Term Loan, 6.98%, Maturing September 27, 2013 | 966,282 | ||||||||
Black Press US Partnership | |||||||||||
922,110 | Term Loan, 5.09%, Maturing August 2, 2013 | 843,730 | |||||||||
1,518,769 | Term Loan, 5.09%, Maturing August 2, 2013 | 1,389,673 | |||||||||
CanWest MediaWorks, Ltd. | |||||||||||
7,344,500 | Term Loan, 5.09%, Maturing July 10, 2014 | 7,050,720 | |||||||||
Dex Media West, LLC | |||||||||||
5,028,383 | Term Loan, 4.48%, Maturing March 9, 2010 | 4,912,730 | |||||||||
1,453,875 | Term Loan, 4.56%, Maturing September 9, 2010 | 1,424,191 | |||||||||
GateHouse Media Operating, Inc. | |||||||||||
1,825,000 | Term Loan, 4.75%, Maturing August 28, 2014 | 1,237,578 | |||||||||
13,275,000 | Term Loan, 5.09%, Maturing August 28, 2014 | 9,002,109 | |||||||||
7,750,000 | Term Loan, 5.25%, Maturing August 28, 2014 | 5,328,125 | |||||||||
Hanley-Wood, LLC | |||||||||||
7,462,500 | Term Loan, 4.95%, Maturing March 8, 2014 | 5,643,516 | |||||||||
Idearc, Inc. | |||||||||||
43,189,980 | Term Loan, 4.71%, Maturing November 17, 2014 | 35,739,708 | |||||||||
Josten's Corp. | |||||||||||
2,000,000 | Revolving Loan, 4.58%, Maturing October 4, 2009(2) | 1,920,000 |
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Publishing (continued) | |||||||||||
Local Insight Regatta Holdings, Inc. | |||||||||||
1,250,000 | Term Loan, 7.75%, Maturing April 23, 2015 | $ | 1,153,906 | ||||||||
MediaNews Group, Inc. | |||||||||||
9,989,267 | Term Loan, 4.63%, Maturing August 25, 2010 | 7,891,521 | |||||||||
4,555,877 | Term Loan, 5.13%, Maturing August 2, 2013 | 3,348,570 | |||||||||
Mediannuaire Holding | |||||||||||
EUR | 7,000,000 | Term Loan, 6.11%, Maturing October 24, 2013 | 9,881,543 | ||||||||
EUR | 2,000,000 | Term Loan, 6.61%, Maturing October 10, 2014 | 2,543,196 | ||||||||
EUR | 2,000,000 | Term Loan, 7.11%, Maturing October 10, 2015 | 2,547,867 | ||||||||
Merrill Communications, LLC | |||||||||||
10,327,282 | Term Loan, 4.95%, Maturing February 9, 2009 | 8,984,735 | |||||||||
Nebraska Book Co., Inc. | |||||||||||
9,002,234 | Term Loan, 5.13%, Maturing March 4, 2011 | 8,282,055 | |||||||||
Nelson Education, Ltd. | |||||||||||
298,500 | Term Loan, 5.20%, Maturing July 5, 2014 | 264,173 | |||||||||
Newspaper Holdings, Inc. | |||||||||||
19,650,000 | Term Loan, 4.63%, Maturing July 24, 2014 | 16,211,250 | |||||||||
Nielsen Finance, LLC | |||||||||||
37,191,718 | Term Loan, 5.10%, Maturing August 9, 2013 | 35,270,134 | |||||||||
Philadelphia Newspapers, LLC | |||||||||||
6,012,873 | Term Loan, 6.60%, Maturing June 29, 2013 | 5,141,006 | |||||||||
R.H. Donnelley Corp. | |||||||||||
27,973,373 | Term Loan, 4.41%, Maturing June 30, 2010 | 26,579,068 | |||||||||
6,499,010 | Term Loan, 4.27%, Maturing June 30, 2011 | 6,169,997 | |||||||||
Reader's Digest Association | |||||||||||
8,000,000 | Revolving Loan, 4.90%, Maturing March 2, 2013(2) | 6,760,000 | |||||||||
36,597,769 | Term Loan, 4.94%, Maturing March 2, 2014 | 30,815,321 | |||||||||
Seat Pagine Gialle SpA | |||||||||||
EUR | 6,455,496 | Term Loan, 4.39%, Maturing May 25, 2012 | 9,162,765 | ||||||||
SGS International, Inc. | |||||||||||
985,883 | Term Loan, 5.60%, Maturing December 30, 2011 | 911,942 | |||||||||
1,197,438 | Term Loan, 6.91%, Maturing December 30, 2011 | 1,107,630 | |||||||||
Source Media, Inc. | |||||||||||
10,874,832 | Term Loan, 4.95%, Maturing November 8, 2011 | 9,950,471 | |||||||||
Springer Science+Business Media | |||||||||||
1,712,542 | Term Loan, 6.72%, Maturing May 5, 2010 | 1,507,037 | |||||||||
8,560 | Term Loan, 7.09%, Maturing May 5, 2011 | 7,752 | |||||||||
1,759,273 | Term Loan, 7.47%, Maturing May 5, 2012 | 1,593,241 | |||||||||
1,508,560 | Term Loan, 7.47%, Maturing May 5, 2012 | 1,366,190 | |||||||||
EUR | 15,838 | Term Loan, 7.47%, Maturing May 5, 2012 | 22,403 | ||||||||
The Star Tribune Co. | |||||||||||
8,217,000 | Term Loan, 4.95%, Maturing March 5, 2014 | 4,420,746 | |||||||||
Thomas Nelson, Inc. | |||||||||||
1,965,000 | Term Loan, 5.01%, Maturing June 12, 2012 | 1,621,125 |
See notes to financial statements
27
Floating Rate Portfolio as of April 30, 2008
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Publishing (continued) | |||||||||||
TL Acquisitions, Inc. | |||||||||||
8,009,750 | Term Loan, 5.34%, Maturing July 5, 2014 | $ | 7,445,727 | ||||||||
Trader Media Corp. | |||||||||||
GBP | 17,310,500 | Term Loan, 8.00%, Maturing March 23, 2015 | 28,484,537 | ||||||||
Tribune Co. | |||||||||||
13,100,000 | Term Loan, 5.48%, Maturing May 17, 2009 | 12,494,125 | |||||||||
25,606,500 | Term Loan, 5.54%, Maturing May 17, 2014 | 19,044,834 | |||||||||
World Directories Acquisition | |||||||||||
EUR | 8,776,758 | Term Loan, 6.39%, Maturing May 31, 2014 | 11,814,125 | ||||||||
Xsys US, Inc. | |||||||||||
7,701,575 | Term Loan, 4.88%, Maturing September 27, 2013 | 6,700,370 | |||||||||
EUR | 791,501 | Term Loan, 6.98%, Maturing September 27, 2013 | 1,079,484 | ||||||||
EUR | 2,750,000 | Term Loan, 7.00%, Maturing September 27, 2013 | 3,750,572 | ||||||||
7,866,565 | Term Loan, 4.88%, Maturing September 27, 2014 | 6,857,025 | |||||||||
EUR | 2,750,000 | Term Loan, 6.98%, Maturing September 27, 2014 | 3,750,572 | ||||||||
EUR | 1,000,000 | Term Loan, 9.02%, Maturing September 27, 2015 | 1,292,227 | ||||||||
Yell Group, PLC | |||||||||||
19,025,000 | Term Loan, 4.86%, Maturing February 10, 2013 | 16,928,845 | |||||||||
$ | 422,879,199 | ||||||||||
Radio and Television — 5.3% | |||||||||||
Block Communications, Inc. | |||||||||||
6,945,162 | Term Loan, 4.70%, Maturing December 22, 2011 | $ | 6,597,904 | ||||||||
Citadel Broadcasting Corp. | |||||||||||
32,925,000 | Term Loan, 4.39%, Maturing June 12, 2014 | 28,397,813 | |||||||||
CMP Susquehanna Corp. | |||||||||||
2,000,000 | Term Loan, 4.81%, Maturing May 5, 2011(2) | 1,590,000 | |||||||||
10,227,194 | Term Loan, 4.85%, Maturing May 5, 2013 | 8,011,299 | |||||||||
Cumulus Media, Inc. | |||||||||||
14,341,795 | Term Loan, 4.47%, Maturing June 11, 2014 | 12,360,835 | |||||||||
Discovery Communications, Inc. | |||||||||||
7,505,725 | Term Loan, 4.70%, Maturing April 30, 2014 | 7,287,594 | |||||||||
Emmis Operating Co. | |||||||||||
6,170,631 | Term Loan, 4.67%, Maturing November 2, 2013 | 5,374,619 | |||||||||
Entravision Communications Corp. | |||||||||||
897,560 | Term Loan, 4.20%, Maturing September 29, 2013 | 801,072 | |||||||||
Gray Television, Inc. | |||||||||||
9,784,231 | Term Loan, 4.19%, Maturing January 19, 2015 | 8,536,742 | |||||||||
HIT Entertainment, Inc. | |||||||||||
1,445,882 | Term Loan, 5.07%, Maturing March 20, 2012 | 1,308,523 | |||||||||
Local TV Finance, LLC | |||||||||||
1,985,000 | Term Loan, 5.16%, Maturing May 7, 2013 | 1,717,025 | |||||||||
NEP II, Inc. | |||||||||||
5,340,989 | Term Loan, 4.95%, Maturing February 16, 2014 | 4,849,175 |
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Radio and Television (continued) | |||||||||||
Nexstar Broadcasting, Inc. | |||||||||||
10,930,700 | Term Loan, 4.45%, Maturing October 1, 2012 | $ | 10,056,244 | ||||||||
8,357,024 | Term Loan, 4.65%, Maturing October 1, 2012 | 7,688,462 | |||||||||
NextMedia Operating, Inc. | |||||||||||
431,353 | Term Loan, 6.72%, Maturing November 15, 2012 | 383,904 | |||||||||
967,191 | Term Loan, 6.80%, Maturing November 15, 2012 | 860,800 | |||||||||
PanAmSat Corp. | |||||||||||
6,787,134 | Term Loan, 5.18%, Maturing January 3, 2014 | 6,449,901 | |||||||||
6,785,093 | Term Loan, 5.18%, Maturing January 3, 2014 | 6,447,962 | |||||||||
6,785,093 | Term Loan, 5.18%, Maturing January 3, 2014 | 6,447,962 | |||||||||
Paxson Communications Corp. | |||||||||||
14,925,000 | Term Loan, 5.96%, Maturing January 15, 2012 | 11,940,000 | |||||||||
Raycom TV Broadcasting, LLC | |||||||||||
8,333,373 | Term Loan, 4.44%, Maturing June 25, 2014 | 7,833,370 | |||||||||
Spanish Broadcasting System, Inc. | |||||||||||
11,846,336 | Term Loan, 4.45%, Maturing June 10, 2012 | 10,010,154 | |||||||||
Tyrol Acquisition 2 SAS | |||||||||||
EUR | 6,300,000 | Term Loan, 6.39%, Maturing January 19, 2015 | 8,305,989 | ||||||||
EUR | 6,300,000 | Term Loan, 6.65%, Maturing January 19, 2016 | 8,305,989 | ||||||||
Univision Communications, Inc. | |||||||||||
6,125,000 | Term Loan, 5.36%, Maturing March 29, 2009 | 5,890,210 | |||||||||
45,733,221 | Term Loan, 5.15%, Maturing September 29, 2014 | 38,630,303 | |||||||||
Young Broadcasting, Inc. | |||||||||||
980,000 | Term Loan, 5.25%, Maturing November 3, 2012 | 885,675 | |||||||||
8,348,913 | Term Loan, 5.36%, Maturing November 3, 2012 | 7,545,330 | |||||||||
$ | 224,514,856 | ||||||||||
Rail Industries — 0.3% | |||||||||||
Kansas City Southern Railway Co. | |||||||||||
7,956,817 | Term Loan, 4.99%, Maturing April 26, 2013 | $ | 7,688,274 | ||||||||
1,985,000 | Term Loan, 4.38%, Maturing April 28, 2013 | 1,920,488 | |||||||||
RailAmerica, Inc. | |||||||||||
4,000,000 | Term Loan, 5.32%, Maturing August 14, 2008 | 3,900,000 | |||||||||
$ | 13,508,762 | ||||||||||
Retailers (Except Food and Drug) — 2.1% | |||||||||||
American Achievement Corp. | |||||||||||
4,442,057 | Term Loan, 4.98%, Maturing March 25, 2011 | $ | 4,108,903 | ||||||||
Amscan Holdings, Inc. | |||||||||||
4,430,250 | Term Loan, 5.16%, Maturing May 25, 2013 | 3,787,864 | |||||||||
Claire's Stores, Inc. | |||||||||||
3,027,125 | Term Loan, 5.56%, Maturing May 24, 2014 | 2,420,756 | |||||||||
Cumberland Farms, Inc. | |||||||||||
2,886,339 | Term Loan, 4.86%, Maturing September 29, 2013 | 2,713,158 |
See notes to financial statements
28
Floating Rate Portfolio as of April 30, 2008
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Retailers (Except Food and Drug) (continued) | |||||||||||
FTD, Inc. | |||||||||||
4,107,683 | Term Loan, 4.61%, Maturing July 28, 2013 | $ | 3,943,376 | ||||||||
Harbor Freight Tools USA, Inc. | |||||||||||
8,972,206 | Term Loan, 5.15%, Maturing July 15, 2010 | 7,861,896 | |||||||||
Josten's Corp. | |||||||||||
5,046,422 | Term Loan, 6.72%, Maturing October 4, 2011 | 4,861,384 | |||||||||
Mapco Express, Inc. | |||||||||||
3,320,423 | Term Loan, 5.62%, Maturing April 28, 2011 | 3,137,800 | |||||||||
Neiman Marcus Group, Inc. | |||||||||||
3,055,758 | Term Loan, 4.76%, Maturing April 5, 2013 | 2,925,253 | |||||||||
Orbitz Worldwide, Inc. | |||||||||||
8,706,250 | Term Loan, 5.79%, Maturing July 25, 2014 | 7,487,375 | |||||||||
Oriental Trading Co., Inc. | |||||||||||
2,000,000 | Term Loan, 8.87%, Maturing January 31, 2013 | 1,500,000 | |||||||||
11,460,618 | Term Loan, 5.23%, Maturing July 31, 2013 | 9,283,101 | |||||||||
Rent-A-Center, Inc. | |||||||||||
6,311,968 | Term Loan, 4.92%, Maturing November 15, 2012 | 5,941,140 | |||||||||
Rover Acquisition Corp. | |||||||||||
1,970,025 | Term Loan, 5.03%, Maturing October 26, 2013 | 1,793,708 | |||||||||
Savers, Inc. | |||||||||||
2,790,000 | Term Loan, 5.48%, Maturing August 11, 2012 | 2,622,600 | |||||||||
3,044,373 | Term Loan, 5.49%, Maturing August 11, 2012 | 2,861,711 | |||||||||
The Yankee Candle Company, Inc. | |||||||||||
6,171,985 | Term Loan, 4.61%, Maturing February 6, 2014 | 5,635,023 | |||||||||
Vivarte | |||||||||||
EUR | 5,688,988 | Term Loan, 6.35%, Maturing May 29, 2015 | 7,007,238 | ||||||||
EUR | 247,396 | Term Loan, 6.35%, Maturing May 29, 2015 | 304,722 | ||||||||
EUR | 63,616 | Term Loan, 6.35%, Maturing May 29, 2015 | 78,357 | ||||||||
EUR | 5,688,988 | Term Loan, 6.85%, Maturing May 29, 2016 | 7,011,268 | ||||||||
EUR | 247,396 | Term Loan, 6.85%, Maturing May 29, 2016 | 304,898 | ||||||||
EUR | 63,616 | Term Loan, 6.85%, Maturing May 29, 2016 | 78,402 | ||||||||
$ | 87,669,933 | ||||||||||
Steel — 0.1% | |||||||||||
Algoma Acquisition Corp. | |||||||||||
2,318,925 | Term Loan, 7.33%, Maturing June 20, 2013 | $ | 2,150,803 | ||||||||
$ | 2,150,803 | ||||||||||
Surface Transport — 0.5% | |||||||||||
Delphi Acquisition Holding, Inc. | |||||||||||
1,183,488 | Term Loan, 5.07%, Maturing April 10, 2015 | $ | 1,094,726 | ||||||||
282,788 | Term Loan, 5.07%, Maturing April 10, 2015 | 261,579 | |||||||||
1,466,276 | Term Loan, 5.57%, Maturing April 10, 2016 | 1,356,305 |
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Surface Transport (continued) | |||||||||||
Ozburn-Hessey Holding Co., LLC | |||||||||||
3,900,907 | Term Loan, 6.16%, Maturing August 9, 2012 | $ | 3,549,825 | ||||||||
Swift Transportation Co., Inc. | |||||||||||
6,000,000 | Term Loan, 5.80%, Maturing May 10, 2012 | 4,260,000 | |||||||||
15,927,907 | Term Loan, 6.50%, Maturing May 10, 2014 | 11,869,604 | |||||||||
$ | 22,392,039 | ||||||||||
Telecommunications — 3.1% | |||||||||||
Alaska Communications Systems Holdings, Inc. | |||||||||||
2,612,663 | Term Loan, 4.45%, Maturing February 1, 2012 | $ | 2,479,232 | ||||||||
8,111,697 | Term Loan, 4.45%, Maturing February 1, 2012 | 7,697,425 | |||||||||
Alltell Communication | |||||||||||
7,810,750 | Term Loan, 5.47%, Maturing May 16, 2015 | 7,192,943 | |||||||||
Asurion Corp. | |||||||||||
16,000,000 | Term Loan, 6.10%, Maturing July 13, 2012 | 14,806,672 | |||||||||
2,000,000 | Term Loan, 9.39%, Maturing January 13, 2013 | 1,797,500 | |||||||||
BCM Luxembourg, Ltd. | |||||||||||
EUR | 2,500,000 | Term Loan, 6.61%, Maturing September 30, 2014 | 3,636,619 | ||||||||
EUR | 2,500,000 | Term Loan, 6.86%, Maturing September 30, 2015 | 3,639,915 | ||||||||
Cellular South, Inc. | |||||||||||
2,981,250 | Term Loan, 0.00%, Maturing May 29, 2014(2) | 2,817,281 | |||||||||
6,886,697 | Term Loan, 4.39%, Maturing May 29, 2014 | 6,507,929 | |||||||||
Centennial Cellular Operating Co., LLC | |||||||||||
4,500,000 | Revolving Loan, 0.00%, Maturing February 9, 2010(2) | 4,162,500 | |||||||||
9,147,788 | Term Loan, 4.72%, Maturing February 9, 2011 | 8,941,962 | |||||||||
CommScope, Inc. | |||||||||||
2,500,000 | Term Loan, Maturing November 19, 2014(4) | 2,375,000 | |||||||||
7,848,387 | Term Loan, 5.19%, Maturing November 19, 2014 | 7,520,645 | |||||||||
FairPoint Communications, Inc. | |||||||||||
4,000,000 | Term Loan, 5.63%, Maturing March 31, 2015 | 3,550,832 | |||||||||
Hargray Acquisition Co. | |||||||||||
3,341,657 | Term Loan, 4.95%, Maturing June 29, 2014 | 3,024,200 | |||||||||
Intelsat Subsidiary Holding Co. | |||||||||||
7,695,156 | Term Loan, 5.18%, Maturing July 3, 2013 | 7,371,959 | |||||||||
Iowa Telecommunications Services | |||||||||||
1,998,000 | Term Loan, 4.44%, Maturing November 23, 2011 | 1,950,548 | |||||||||
IPC Systems, Inc. | |||||||||||
9,180,625 | Term Loan, 4.95%, Maturing May 31, 2014 | 7,015,531 | |||||||||
GBP | 3,431,232 | Term Loan, 8.27%, Maturing May 31, 2014 | 5,198,731 | ||||||||
Macquarie UK Broadcast Ventures, Ltd. | |||||||||||
GBP | 7,050,000 | Term Loan, 7.95%, Maturing December 26, 2014 | 12,147,703 | ||||||||
NTelos, Inc. | |||||||||||
5,865,189 | Term Loan, 5.27%, Maturing August 24, 2011 | 5,744,219 |
See notes to financial statements
29
Floating Rate Portfolio as of April 30, 2008
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal Amount* | Borrower/Tranche Description | Value | |||||||||
Telecommunications (continued) | |||||||||||
Palm, Inc. | |||||||||||
5,820,750 | Term Loan, 6.39%, Maturing April 24, 2014 | $ | 4,234,596 | ||||||||
Stratos Global Corp. | |||||||||||
1,404,153 | Term Loan, 5.44%, Maturing February 13, 2012 | 1,334,823 | |||||||||
Telesat Canada, Inc. | |||||||||||
399,513 | Term Loan, 5.89%, Maturing October 22, 2014(2) | 378,258 | |||||||||
4,663,394 | Term Loan, 5.90%, Maturing October 22, 2014 | 4,415,288 | |||||||||
Windstream Corp. | |||||||||||
4,355,127 | Term Loan, 4.22%, Maturing July 17, 2013 | 4,259,471 | |||||||||
$ | 134,201,782 | ||||||||||
Utilities — 1.7% | |||||||||||
AEI Finance Holding, LLC | |||||||||||
1,409,088 | Revolving Loan, 5.70%, Maturing March 30, 2012 | $ | 1,247,043 | ||||||||
8,861,217 | Term Loan, 5.69%, Maturing March 30, 2014 | 7,842,177 | |||||||||
BRSP, LLC | |||||||||||
14,178,029 | Term Loan, 7.91%, Maturing July 13, 2009 | 13,185,567 | |||||||||
Covanta Energy Corp. | |||||||||||
2,909,601 | Term Loan, 4.19%, Maturing February 9, 2014 | 2,784,730 | |||||||||
4,856,051 | Term Loan, 5.08%, Maturing February 9, 2014 | 4,647,643 | |||||||||
Mirant North America, LLC | |||||||||||
892,296 | Term Loan, 4.61%, Maturing January 3, 2013 | 870,308 | |||||||||
NRG Energy, Inc. | |||||||||||
8,553,146 | Term Loan, 4.20%, Maturing June 1, 2014 | 8,224,919 | |||||||||
17,518,446 | Term Loan, 4.20%, Maturing June 1, 2014 | 16,846,176 | |||||||||
NSG Holdings, LLC | |||||||||||
202,483 | Term Loan, 4.35%, Maturing June 15, 2014 | 189,322 | |||||||||
1,528,592 | Term Loan, 4.35%, Maturing June 15, 2014 | 1,429,233 | |||||||||
Pike Electric, Inc. | |||||||||||
2,323,673 | Term Loan, 4.25%, Maturing July 1, 2012 | 2,213,299 | |||||||||
1,766,811 | Term Loan, 4.44%, Maturing December 10, 2012 | 1,682,887 | |||||||||
TXU Texas Competitive Electric Holdings Co., LLC | |||||||||||
4,303,375 | Term Loan, 6.58%, Maturing October 10, 2014 | 4,128,550 | |||||||||
6,293,375 | Term Loan, 6.58%, Maturing October 10, 2014 | 6,033,383 | |||||||||
$ | 71,325,237 | ||||||||||
Total Senior Floating-Rate Interests (identified cost $4,755,548,397) | $ | 4,333,991,118 |
Corporate Bonds & Notes — 0.3% | |||||||||||
Principal Amount (000's omitted) | Security | Value | |||||||||
Electronics / Electrical — 0.1% | |||||||||||
NXP BV/NXP Funding, LLC, Variable Rate | |||||||||||
$ | 6,300 | 5.463%, 10/15/13 | $ | 5,819,625 | |||||||
$ | 5,819,625 | ||||||||||
Radio and Television — 0.1% | |||||||||||
Paxson Communications Corp., Variable Rate | |||||||||||
$ | 3,000 | 5.963%, 1/15/12(5) | $ | 2,441,250 | |||||||
$ | 2,441,250 | ||||||||||
Telecommunications — 0.1% | |||||||||||
Qwest Corp., Sr. Notes, Variable Rate | |||||||||||
$ | 5,850 | 6.05%, 6/15/13 | $ | 5,630,625 | |||||||
$ | 5,630,625 | ||||||||||
Total Corporate Bonds & Notes (identified cost $15,143,870) | $ | 13,891,500 | |||||||||
Common Stocks — 0.0% | |||||||||||
Shares | Security | Value | |||||||||
Automotive — 0.0% | |||||||||||
105,145 | Hayes Lemmerz International(6) | $ | 315,435 | ||||||||
$ | 315,435 | ||||||||||
Commercial Services — 0.0% | |||||||||||
2,484 | Environmental Systems Products Holdings, Inc.(3)(6)(7) | $ | 0 | ||||||||
Total Common Stocks (identified cost $1,051,450) | $ | 315,435 |
See notes to financial statements
30
Floating Rate Portfolio as of April 30, 2008
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Asset Backed Securities — 0.3% | |||||||||||
Principal Amount (000's omitted) | Security | Value | |||||||||
Alzette European CLO SA, Series 2004-1A, Class E2 | |||||||||||
$ | 1,180 | 11.86%, 12/15/20(5)(8) | $ | 1,070,531 | |||||||
Assemblies of God Financial Real Estate, Series 2004-1A, Class A, | |||||||||||
5,459 | 7.019%, 6/15/29(5)(8) | 5,458,540 | |||||||||
Avalon Capital Ltd. 3, Series 1A, Class D, | |||||||||||
1,140 | 5.043%, 2/24/19(5)(8) | 810,438 | |||||||||
Babson Ltd., Series 2005-1A, Class C1, | |||||||||||
1,500 | 4.663%, 4/15/19(5)(8) | 1,006,557 | |||||||||
Bryant Park CDO Ltd., Series 2005-1A, Class C, | |||||||||||
1,500 | 4.763%, 1/15/19(5)(8) | 1,035,656 | |||||||||
Carlyle High Yield Partners, Series 2004-6A, Class C, | |||||||||||
1,500 | 5.546%, 8/11/16(5)(8) | 1,102,839 | |||||||||
Centurion CDO 8 Ltd., Series 2005-8A, Class D, | |||||||||||
1,000 | 8.49%, 3/8/17(8) | 752,670 | |||||||||
Morgan Stanley Investment Management Croton, Ltd., Series 2005-1A, Class D, | |||||||||||
2,000 | 7.31%, 1/15/18(5)(8) | 1,353,814 | |||||||||
Total Asset Backed Securities (identified cost $15,221,020) | $ | 12,591,045 | |||||||||
Preferred Stocks — 0.0% | |||||||||||
Shares | Security | Value | |||||||||
2,484 | Environmental Systems Products Holdings, Series A(3)(6)(7) | $ | 223,535 | ||||||||
350 | Hayes Lemmerz International(6)(7) | 6,454 | |||||||||
Total Preferred Stocks (identified cost $60,970) | $ | 229,989 | |||||||||
Closed-End Investment Companies — 0.0% | |||||||||||
Shares | Security | Value | |||||||||
4,000 | Pioneer Floating Rate Trust | $ | 59,680 | ||||||||
Total Closed-End Investment Companies (identified cost $72,148) | $ | 59,680 |
Short-Term Investments — 0.6% | |||||||||||
Description | Interest (000's omitted) | Value | |||||||||
Investment in Cash Management Portfolio, 2.49%(9) | 23,027 | $ | 23,027,472 | ||||||||
Total Short-Term Investments (identified cost $23,027,472) | $ | 23,027,472 | |||||||||
Total Investments — 102.5% (identified cost $4,810,125,327) | $ | 4,384,106,239 | |||||||||
Less Unfunded Loan Commitments — (2.3)% | $(97,615,914) | ||||||||||
Net Investments — 100.2% (identified cost $4,712,509,413) | $ | 4,286,490,325 | |||||||||
Other Assets, Less Liabilities — (0.2)% | $ | (9,362,221 | ) | ||||||||
Net Assets — 100.0% | $ | 4,277,128,104 |
DIP - Debtor in Possession
REIT - Real Estate Investment Trust
CHF - Swiss Franc
EUR - Euro
GBP - British Pound Sterling
* In U.S. dollars unless otherwise indicated.
(1) Senior floating-rate interests 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, it is anticipated that the senior floating-rate interests 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. 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 Lond on-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. See Note 1G for description.
(3) Security valued at fair value using methods determined in good faith by or at the direction of the Trustees.
(4) This Senior Loan will settle after April 30, 2008, at which time the interest rate will be determined.
See notes to financial statements
31
Floating Rate Portfolio as of April 30, 2008
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
(5) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2008, the aggregate value of the securities is $14,279,625 or 0.3% of the Portfolio's net assets.
(6) Non-income producing security.
(7) Restricted security.
(8) Variable rate mortgage security. The stated interest rate represents the rate in effect at April 30, 2008.
(9) 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, 2008.
(10) Defaulted security. Currently the issuer is in default with respect to interest payments.
See notes to financial statements
32
Floating Rate Portfolio as of April 30, 2008
FINANCIAL STATEMENTS (Unaudited)
Statement of Assets and Liabilities
As of April 30, 2008
Assets | |||||||
Unaffiliated investments, at value (identified cost, $4,689,481,941) | $ | 4,263,462,853 | |||||
Affiliated investment, at value (identified cost, $23,027,472) | 23,027,472 | ||||||
Cash | 9,093,437 | ||||||
Foreign currency, at value (identified cost, $363,602) | 362,546 | ||||||
Receivable for investments sold | 40,811,392 | ||||||
Dividends and interest receivable | 34,906,533 | ||||||
Interest receivable from affiliated investment | 80,347 | ||||||
Receivable for open forward foreign currency contracts | 2,135,652 | ||||||
Receivable for open swap contracts | 622,148 | ||||||
Other assets | 729,617 | ||||||
Total assets | $ | 4,375,231,997 | |||||
Liabilities | |||||||
Demand note payable | $ | 85,000,000 | |||||
Payable for investments purchased | 10,521,253 | ||||||
Payable to affiliate for investment adviser fee | 1,795,566 | ||||||
Payable to affiliate for Trustees' fees | 2,384 | ||||||
Payable for open swap contracts | 416,686 | ||||||
Accrued expenses | 368,004 | ||||||
Total liabilities | $ | 98,103,893 | |||||
Net Assets applicable to investors' interest in Portfolio | $ | 4,277,128,104 | |||||
Sources of Net Assets | |||||||
Net proceeds from capital contributions and withdrawals | $ | 4,699,395,008 | |||||
Net unrealized depreciation (computed on the basis of identified cost) | (422,266,904 | ) | |||||
Total | $ | 4,277,128,104 |
Statement of Operations
For the Six Months Ended
April 30, 2008
Investment Income | |||||||
Interest | $ | 197,905,224 | |||||
Dividends | 5,566 | ||||||
Interest income allocated from affiliated investment | 1,064,922 | ||||||
Expenses allocated from affiliated investment | (126,580 | ) | |||||
Total investment income | $ | 198,849,132 | |||||
Expenses | |||||||
Investment adviser fee | $ | 13,125,415 | |||||
Trustees' fees and expenses | 15,288 | ||||||
Legal and accounting services | 462,573 | ||||||
Custodian fee | 284,372 | ||||||
Interest expense | 5,850,461 | ||||||
Miscellaneous | 109,289 | ||||||
Total expenses | $ | 19,847,398 | |||||
Deduct — Reduction of custodian fee | $ | 34,831 | |||||
Total expense reductions | $ | 34,831 | |||||
Net expenses | $ | 19,812,567 | |||||
Net investment income | $ | 179,036,565 | |||||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) — Investment transactions (identified cost basis) | $ | (79,209,787 | ) | ||||
Swap contracts | 612,202 | ||||||
Foreign currency and forward foreign currency exchange contract transactions | (25,231,875 | ) | |||||
Net realized loss | $ | (103,829,460 | ) | ||||
Change in unrealized appreciation (depreciation) — Investments (identified cost basis) | $ | (328,673,191 | ) | ||||
Swap contracts | (964,233 | ) | |||||
Foreign currency and forward foreign currency exchange contracts | 7,745,997 | ||||||
Net change in unrealized appreciation (depreciation) | $ | (321,891,427 | ) | ||||
Net realized and unrealized loss | $ | (425,720,887 | ) | ||||
Net decrease in net assets from operations | $ | (246,684,322 | ) |
See notes to financial statements
33
Floating Rate Portfolio as of April 30, 2008
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
Increase (Decrease) in Net Assets | Six Months Ended April 30, 2008 (Unaudited) | Year Ended October 31, 2007 | |||||||||
From operations — Net investment income | $ | 179,036,565 | $ | 532,790,844 | |||||||
Net realized loss from investment transactions, swap contracts, and foreign currency and forward foreign currency exchange contract transactions | (103,829,460 | ) | (77,108,718 | ) | |||||||
Net change in unrealized appreciation (depreciation) of investments, swap contracts, and foreign currency and forward foreign currency exchange contracts | (321,891,427 | ) | (134,160,493 | ) | |||||||
Net increase (decrease) in net assets from operations | $ | (246,684,322 | ) | $ | 321,521,633 | ||||||
Capital transactions — Contributions | $ | 697,652,440 | $ | 3,205,618,648 | |||||||
Withdrawals | (3,025,439,557 | ) | (4,106,033,877 | ) | |||||||
Net decrease in net assets from capital transactions | $ | (2,327,787,117 | ) | $ | (900,415,229 | ) | |||||
Net decrease in net assets | $ | (2,574,471,439 | ) | $ | (578,893,596 | ) | |||||
Net Assets | |||||||||||
At beginning of period | $ | 6,851,599,543 | $ | 7,430,493,139 | |||||||
At end of period | $ | 4,277,128,104 | $ | 6,851,599,543 |
See notes to financial statements
34
Floating Rate Portfolio as of April 30, 2008
FINANCIAL STATEMENTS CONT'D
Supplementary Data
Six Months Ended April 30, 2008 | Year Ended October 31, | ||||||||||||||||||||||||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||||
Ratios (As a percentage of average daily net assets): | |||||||||||||||||||||||||||
Expenses before custodian fee reduction(1) | 0.78 | % | 0.58 | % | 0.54 | % | 0.54 | % | 0.56 | % | 0.61 | % | |||||||||||||||
Net investment income | 7.02 | % | 6.94 | % | 6.44 | % | 4.68 | % | 3.27 | % | 4.05 | % | |||||||||||||||
Portfolio Turnover | 3 | % | 61 | % | 50 | % | 57 | % | 67 | % | 64 | % | |||||||||||||||
Total Return | (4.02 | )%(2) | 4.62 | % | 6.36 | % | 4.77 | % | 3.93 | % | 6.91 | % | |||||||||||||||
Net assets, end of period (000's omitted) | $ | 4,277,128 | $ | 6,851,600 | $ | 7,430,493 | $ | 6,506,058 | $ | 5,389,638 | $ | 2,217,874 |
(1) Excludes the effect of custody fee credits, if any, of less than 0.005%.
(2) Not annualized.
See notes to financial statements
35
Floating Rate Portfolio as of April 30, 2008
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1 Significant Accounting Policies
Floating Rate Portfolio (the Portfolio) is a New York 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, 2008, Eaton Vance Floating-Rate Fund, Eaton Vance Floating-Rate & High Income Fund, Eaton Vance Strategic Income Fund, Eaton Vance Diversified Income Fund and Eaton Vance Low Duration Fund held an interest of 65.3%, 18.3%, 10.9%, 3.0% and 0.2%, 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 — The Portfolio's investments are primarily in interests in senior floating-rate loans (Senior Loans) of domestic and foreign issuers. Interests in Senior Loans for which reliable market quotations are readily available are valued on the basis of prices furnished by an independent 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 following valuation techniques: (i) a matrix pricing approach that considers the yield on the Senior Loan relative to yields on other loan interests issued by companies of comparable credit qua lity; (ii) a comparison of the value of the borrower's outstanding equity and debt to that of comparable public companies; (iii) a discounted cash flow analysis; or (iv) 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 portfolios managed by the investment adviser that invest in Senior Loans may not possess the same information about a Senior Loan borrower as the portfoli o managers of the Portfolio. At times, the fair value of a Senior Loan determined by the portfolio managers of other portfolios managed by the investment adviser that invest in Senior Loans may vary from the fair value of the same Senior Loan determined by the portfolio managers of the Portfolio. The fair value of each Senior Loan is periodically reviewed and approved by the investment adviser's Valuation Committee and by the Trustees based upon procedures approved by the Trustees. Junior Loans are valued in the same manner as Senior Loans.
Equity securities listed on a U.S. securities exchange generally are valued at the last sale price on the day of valuation or, if no sales took place on such date, at the mean between the closing bid and asked prices therefore on the exchange where such securities are principally traded. Equity securities listed on the NASDAQ Global or Global Select Market generally are valued at the NASDAQ official closing price. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and asked prices or, in the case of preferred equity securities that are not listed or traded in the over-the-counter market, by an independent pricing service. Credit default swaps are valued by a broker-dealer (usually the counterparty to the agreement). Forward foreign currency exchange contracts are generally valued using prices supplied by a pricing vendor. Sh ort-term debt securities with a remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. If short-term debt securities are acquired with a remaining maturity of more than sixty days, they will be valued by a pricing service. Other fixed income and debt securities, including listed securities and securities for which price quotations are available, will normally be valued on the basis of valuations furnished by a pricing service. Investments for which valuations or market quotations are not readily available are valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Portfolio considering relevant factors, data and information including the market value of freely tradable securities of the same class in the principal market on which such securities are normally traded.
The Portfolio may invest in Cash Management Portfolio (Cash Management), an affiliated investment company managed by Boston Management and Research (BMR), a subsidiary of Eaton Vance Management (EVM). Cash Management values its investment securities utilizing the amortized cost valuation technique permitted by Rule 2a-7 of 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.
36
Floating Rate Portfolio as of April 30, 2008
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
B Investment Transactions — Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost.
C Income — Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Fees associated with loan amendments are recognized immediately. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities.
D Federal Taxes — The Portfolio has elected to be treated as a partnership for federal tax purposes. No provision is made by the Portfolio for federal or state taxes on any taxable income of the Portfolio because each investor in the Portfolio is ultimately responsible for the payment of any taxes on its share of taxable income. Since at least one of the Portfolio's investors is a regulated investment company that invests all or substantially all of its assets in the Portfolio, the Portfolio normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order for its investors to satisfy them. The Portfolio will allocate, at least annually a mong 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.
In June 2006, the Financial Accounting Standards Board (FASB) issued FASB Interpretation No. 48 (FIN 48), "Accounting for Uncertainty in Income Taxes – an interpretation of FASB Statement No. 109". FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, "Accounting for Income Taxes". This interpretation prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken in a tax return. It also provides guidance on de-recognition, classification, interest and penalties, accounting in interim periods, disclosure and transition. FIN 48 is effective on the last business day of the first required financial reporting period for fiscal years beginning after December 15, 2006. Management has concluded that as of April 30, 2008, there are no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. Each of the Portfolio's federal tax returns filed in the 3-year period ended October 31, 2007 remains subject to examination by the Internal Revenue Service.
E Expense Reduction — State Street Bank and Trust Company (SSBT) serves as custodian of the Portfolio. Pursuant to the custodian agreement, SSBT receives a fee reduced by credits, which are determined based on the average daily cash balance the Portfolio maintains with SSBT. All credit balances, if any, used to reduce the Portfolio's custodian fees are reported as a reduction of expenses in the Statement of Operations.
F Foreign Currency Translation — Investment valuations, other assets, and liabilities initially expressed in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates in effect on the respective dates of such transactions. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on invest ments 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.
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. Interestholders in the Portfolio are jointly and severally liable for the liabilities and obligations of the Portfolio in the event that the Portfolio fails to satisfy such liabilities and obligations; provided, however, that, to the extent assets are available in the Portfolio, the Portfolio may, under certain circumstances, indemnify interestholders from and against any claim or liability to which such holder may become subject by reason of
37
Floating Rate Portfolio as of April 30, 2008
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
being or having been an interestholder in the Portfolio. Additionally, in the normal course of business, the Portfolio enters into agreements with service providers that may contain indemnification clauses. The Portfolio's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet occurred.
J Forward Foreign Currency Exchange Contracts — The Portfolio may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The Portfolio enters into forward contracts for hedging purposes as well as non-hedging purposes. The forward foreign currency exchange contract is adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contract has been closed or offset by another contract with the same broker for the same settlement date and currency. Risks may arise upon entering these contracts from the potential inability of counterparties t o meet the terms of their contracts and from movements in the value of a foreign currency relative to the U.S. dollar.
K Credit Default Swaps — The Portfolio may enter into credit default swap contracts to buy or sell protection against default on an individual issuer or a basket of issuers of bonds. When the Portfolio is the buyer of a credit default swap contract, the Portfolio is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation (or basket of debt obligations) from the counterparty to the contract in the event of default by a third party, such as a U.S. or foreign corporate issuer, on the debt obligation. In return, the Portfolio pays the counterparty a periodic stream of payments over the term of the contract provided that no event of default has occurred. If no default occur s, the Portfolio would have spent the stream of payments and received no benefits from the contract. When the Portfolio is the seller of a credit default swap contract, it receives the stream of payments, but is obligated to pay upon default of the referenced debt obligation. As the seller, the Portfolio effectively adds leverage to its portfolio because, in addition to its total net assets, the Portfolio is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap contract, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The Portfolio also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. Up-front payments or receipts, if any, are recorded as ot her assets or other liabilities, respectively, and amortized over the life of the swap contract as realized gains or losses. The Portfolio segregates assets in the form of cash and cash equivalents in an amount equal to the aggregate market value of the credit default swaps of which it is the seller, marked to market on a daily basis. These transactions involve certain risks, including the risk that the seller may be unable to fulfill the transaction.
L Interim Financial Statements — The interim financial statements relating to April 30, 2008 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 BMR as compensation for investment advisory services rendered to the Portfolio. Pursuant to the investment advisory agreement, as amended by a fee reduction agreement between the Portfolio and BMR, the fee is computed at an annual rate 0.575% of the Portfolio's average daily net assets up $1 billion, 0.525% from $1 billion up to $2 billion, 0.500% from $2 billion up to $5 billion, and at reduced rates as daily net assets exceed that level and is payable monthly. The fee reduction cannot be terminated without the consent of the Trustees and Shareholders. The portion of the adviser fee payable by Cash Management on the Portfolio's investment of cash therein is credited against the Portfolio's adviser fee. For the six months ended April 30, 2008, the Portfolio's adviser fee totaled $13,242,547 of which $117,132 was allocated from Cash Management and $13,125,415 was paid or accrued directly by the Portfolio. For the six months ended April 30, 2008, the Portfolio's adviser fee, including the portion allocated from Cash Management, was 0.52% (annualized) of the Portfolio's average daily net assets.
Except for Trustees of the Portfolio who are not members of EVM's or BMR's organizations, officers and Trustees receive remuneration for their services to the Portfolio out of the investment adviser fee. Trustees of the Portfolio who are not affiliated with the investment adviser may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the six
38
Floating Rate Portfolio as of April 30, 2008
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
months ended April 30, 2008, no significant amounts have been deferred. Certain officers and Trustees of the Portfolio are officers of the above organizations.
3 Purchases and Sales of Investments
Purchases and sales of investments, other than short-term obligations and including maturities and principal repayments on Senior Loans, aggregated $157,889,699 and $2,327,989,895, respectively, for the six months ended April 30, 2008.
4 Federal Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) of investments of the Portfolio at April 30, 2008, as determined on a federal income tax basis, were as follows:
Aggregate cost | $ | 4,712,753,964 | |||||
Gross unrealized appreciation | $ | 16,117,342 | |||||
Gross unrealized depreciation | (442,380,981 | ) | |||||
Net unrealized depreciation | $ | (426,263,639 | ) |
5 Restricted Securities
At April 30, 2008, 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 fair value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.
Description | Date of Acquisition | Shares | Cost | Value | |||||||||||||||
Common Stock | |||||||||||||||||||
Environmental Systems Products Holdings, Inc. | 10/25/07 | 2,484 | $ | 0 | (1) | $ | 0 | ||||||||||||
Preferred Stocks | |||||||||||||||||||
Environmental Systems Products Holdings, Series A | 10/25/07 | 2,484 | 43,470 | 223,535 | |||||||||||||||
Hayes Lemmerz International | 6/23/03 | 350 | 17,500 | 6,454 | |||||||||||||||
Total Restricted Securities | $ | 60,970 | $ | 229,989 |
(1) Less than $0.50.
6 Financial Instruments
The Portfolio may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities to assist in managing exposure to various market risks. These financial instruments may include forward foreign currency exchange contracts and credit default swaps and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Portfolio has in particular classes of financial instruments and does not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered.
A summary of obligations under these financial instruments at April 30, 2008 is as follows:
Forward Foreign Currency Exchange Contracts
Sales | |||||||||||||||
Settlement Date | Deliver | In Exchange For | Net Unrealized Appreciation | ||||||||||||
5/30/08 | British Pound Sterling 74,487,329 | United States Dollar 147,863,307 | $613,942 | ||||||||||||
5/30/08 | Euro 254,967,230 | United States Dollar 398,001,296 | 1,439,673 | ||||||||||||
5/30/08 | Swiss Franc 16,104,244 | United States Dollar 15,549,590 | 82,037 | ||||||||||||
$ | 2,135,652 |
Credit Default Swaps | |||||||||||||||||||||||||||
Counterparty | Reference Entity | Buy/ Sell | Notional Amount (000's omitted) | Pay/ Receive Annual Fixed Rate | Termination Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Lehman | Avago | ||||||||||||||||||||||||||
Brothers, Inc. | Technologies, | ||||||||||||||||||||||||||
Inc. | Sell | $5,000 | 2.10% | 12/20/10 | $12,737 | ||||||||||||||||||||||
Lehman Brothers, Inc. | Crown Americas, Inc. | Sell | 10,000 | 2.35 | 12/21/09 | 174,447 | |||||||||||||||||||||
Lehman Brothers, Inc. | CSG Systems, Inc. | Sell | 7,000 | 2.15 | 9/21/09 | 101,487 | |||||||||||||||||||||
Lehman Brothers, Inc. | Inergy, L.P. | Sell | 6,500 | 2.20 | 3/20/10 | 38,692 | |||||||||||||||||||||
Lehman Brothers, Inc. | Inergy, L.P. | Sell | 3,000 | 2.40 | 3/20/10 | 28,383 | |||||||||||||||||||||
Lehman Brothers, Inc. | Owens-Illinois, Inc. | Sell | 5,000 | 1.95 | 9/20/11 | 90,467 |
39
Floating Rate Portfolio as of April 30, 2008
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
Counterparty | Reference Entity | Buy/ Sell | Notional Amount (000's omitted) | Pay/ Receive Annual Fixed Rate | Termination Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Lehman | Pinnacle | ||||||||||||||||||||||||||
Brothers, Inc. | Entertainment, | ||||||||||||||||||||||||||
Inc. | Sell | $ | 3,000 | 2.00 | % | 6/20/10 | $ | (136,498 | ) | ||||||||||||||||||
Lehman Brothers, Inc. | Pinnacle Entertainment, Inc. | Sell | 2,000 | 1.95 | 9/20/10 | (110,636 | ) | ||||||||||||||||||||
Lehman Brothers, Inc. | Rural Cellular Corp. | Sell | 3,000 | 3.25 | 6/20/10 | 175,935 | |||||||||||||||||||||
Lehman Brothers, Inc. | Syniverse Technologies, Inc. | Sell | 3,000 | 1.85 | 3/21/11 | (84,141 | ) | ||||||||||||||||||||
Lehman Brothers, Inc. | Syniverse Technologies, Inc. | Sell | 3,000 | 2.30 | 6/20/11 | (58,058 | ) | ||||||||||||||||||||
Lehman | The Hertz | ||||||||||||||||||||||||||
Brothers, Inc. | Corp. | Sell | 5,000 | 1.80 | 3/20/11 | (27,353 | ) | ||||||||||||||||||||
Total | $ | 205,462 |
At April 30, 2008, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.
7 Line of Credit
The Portfolio participates with other portfolios and funds managed by EVM and its affiliates in a $1 billion ($1.5 billion prior to March 24, 2008) 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 an amount above either the Eurodollar rate or Federal Funds rate. In addition, a fee computed at an annual rate of 0.08% (0.07% prior to March 24, 2008) on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. At April 30, 2008, the Portfolio had a balance outstanding pursuant to this line of credit of $85,000,000. Average borrowings and the average interest rate for the six months ended April 30, 2008 were $277,197,802 and 4.02%, respectively.
8 Risks Associated with Foreign Investments
Investing in securities issued by entities 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 d evelopments 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 Concentration of 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 a 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 Recently Issued Accounting Pronouncements
In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 (FAS 157), "Fair Value Measurements". FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. As of April 30, 2008, management does not believe the adoption of FAS 157 will impact the amounts reported in the financial statements; however, additional disclosures may be required about the inputs used to develop the measurements of fair value and the effect of certain of the measurements on changes in net assets for the period.
40
Floating Rate Portfolio as of April 30, 2008
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
In March 2008, the FASB issued Statement of Financial Accounting Standards No. 161 (FAS 161), "Disclosures about Derivative Instruments and Hedging Activities". FAS 161 requires enhanced disclosures about an entity's derivative and hedging activities, including qualitative disclosures about the objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments, and disclosures about credit-risk related contingent features in derivative instruments. FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. Management is currently evaluating the impact the adoption of FAS 161 will have on the Portfolio's financial statement disclosures.
41
Eaton Vance Floating-Rate Fund
BOARD OF TRUSTEES' ANNUAL APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended (the "1940 Act"), provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuance is approved at least annually by the fund's board of trustees, including by a vote of a majority of the trustees who are not "interested persons" of the fund ("Independent Trustees"), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees (each a "Board") of the Eaton Vance group of mutual funds (the "Eaton Vance Funds") held on April 21, 2008, 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 (formerly the Special Committee), which is a committee comprised exclusively of Independent Trustees. Prior to making its recommendation, the Contract Review Committee reviewed information furnished for a series of meetings of the Contract Review Committee held in February, March and April 2008. 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 to the investment performance of comparable funds over various time periods;
• Data regarding investment performance in comparison to relevant peer groups of funds and appropriate indices;
• Comparative information concerning fees charged by each adviser for managing other mutual funds and institutional accounts using investment strategies and techniques similar to those used in managing the fund;
• Profitability analyses for each adviser with respect to each fund;
Information about Portfolio Management
• Descriptions of the investment management services provided to each fund, including the investment strategies and processes employed, and any changes in portfolio management processes and personnel;
• Information concerning the allocation of brokerage and the benefits received by each adviser as a result of brokerage allocation, including information concerning the acquisition of research through "soft dollar" benefits received in connection with the funds' brokerage, and the implementation of a soft dollar reimbursement program established with respect to the funds;
• Data relating to portfolio turnover rates of each fund;
• The procedures and processes used to determine the fair value of fund assets and actions taken to monitor and test the effectiveness of such procedures and processes;
Information about each Adviser
• Reports detailing the financial results and condition of each adviser;
• Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts;
• Copies of the Codes of Ethics of each adviser and its affiliates, together with information relating to compliance with and the administration of such codes;
• Copies of or descriptions of each adviser's proxy voting policies and procedures;
• 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;
Other Relevant Information
• Information concerning the nature, cost and character of the administrative and other non-investment management services provided by Eaton Vance Management and its affiliates;
• Information concerning management of the relationship with the custodian, subcustodians and fund accountants by each adviser or the funds' administrator; and
• The terms of each advisory agreement.
42
Eaton Vance Floating-Rate Fund
BOARD OF TRUSTEES' ANNUAL APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT CONT'D
In addition to the information identified above, the Contract Review Committee considered information provided from time to time by each adviser throughout the year at meetings of the Board and its committees. Over the course of the twelve-month period ended April 30, 2008, the Board met eleven times and the Contract Review Committee, the Audit Committee and the Governance Committee, each of which is a Committee comprised solely of Independent Trustees, met twelve, seven and five times, respectively. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of each adviser relating to the investment performance of each fund and the investment strategies used in pursuing the fund's investment objective. The Portfolio Management Committee and the Compliance Reports and Regulatory Matters Committee are newly established and did not meet during the twelve- month period ended April 30, 2008.
For funds that invest through one or more underlying portfolios, the Board considered similar information about the portfolio(s) when considering the approval of advisory agreements. In addition, in cases where the fund's investment adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any sub-advisory agreement.
The Contract Review Committee was assisted throughout the contract review process by Goodwin Procter LLP, legal counsel for the Independent Trustees. The members of the Contract Review Committee relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each advisory and sub-advisory agreement and the weight to be given to each such factor. The conclusions reached with respect to each advisory and sub-advisory agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each member of the Contract Review Committee may have placed varying emphasis on particular factors in reaching conclusions with respect to each advisory and sub-advisory agreement.
Results of the Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Contract Review Committee concluded that the continuance of the investment advisory agreement of the Floating Rate Portfolio (the "Portfolio"), the portfolio in which the Eaton Vance Floating-Rate Fund (the "Fund") invests, with Boston Management and Research (the "Adviser"), including the 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 Portfo lio.
Nature, Extent and Quality of Services
In considering whether to approve the investment advisory agreement of the Portfolio, the Board evaluated the nature, extent and quality of services provided to the Portfolio by the Adviser.
The Board considered the Adviser's management capabilities and investment process with respect to the types of investments held by the Portfolio, including the education, experience and number of its investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Portfolio. In particular, the Board evaluated the experience and abilities of such personnel in analyzing factors such as the special considerations relevant to investing in senior floating-rate loans. Specifically, 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 paid to recruit and retain investment personnel, and the time and atte ntion devoted to the Portfolio by senior management.
The Board also reviewed the compliance programs of the Adviser and relevant affiliates thereof. Among other matters, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity and the allocation of investment opportunities. The Board also evaluated the responses of the Adviser and its affiliates to requests from regulatory authorities such as the Securities and Exchange Commission.
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.
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.
43
Eaton Vance Floating-Rate Fund
BOARD OF TRUSTEES' ANNUAL APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT CONT'D
Fund Performance
The Board compared the Fund's investment performance to a relevant universe of similarly managed funds identified by an independent data provider and appropriate benchmark indices. The Board reviewed comparative performance data for the one-, three- and five-year periods ended September 30, 2007 for the Fund. The Board concluded that the performance of the Fund was satisfactory.
Management Fees and Expenses
The Board reviewed contractual investment advisory fee rates, including any administrative fee rates, payable by the Portfolio and the Fund (referred to collectively as "management fees"). As part of its review, the Board considered the management fees and the Fund's total expense ratio for the year ended September 30, 2007, as compared to a group of similarly managed funds selected by an independent data provider.
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 and the Fund's total expense ratio are reasonable.
Profitability
The Board reviewed the level of profits realized by the Adviser and relevant affiliates thereof in providing investment advisory and administrative services to the Fund, the Portfolio and to all Eaton Vance Funds as a group. The Board considered the level of profits realized without regard to revenue sharing or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered other direct or indirect benefits received by the Adviser and its affiliates in connection with its relationship with the Fund.
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, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and Portfolio increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of any specific fund or group of funds. The Board reviewed data summarizing the increases and decreases in the assets of the Fund and of all Eaton Vance Funds as a group over various time periods, and evaluated the extent to which the total expense ratio of the Fund and the profitability of the Adviser and its affiliates may have been affected by such increases or decreases. Based upon the foregoing, the Board concluded that the benefits from economies of scale are currently being shared equitably by the Adviser and its affiliates and the Fund. The Board also concluded that, assuming reasonably foreseeable increases in the assets of the Portfolio, the structure of the advisory fee, which includes breakpoints at several asset levels, can be expected to cause the Adviser and its affiliates and the Fund to continue to share such benefits equitably.
44
Eaton Vance Floating-Rate Fund
OFFICERS AND TRUSTEES
Eaton Vance Floating-Rate Fund
Officers Thomas E. Faust Jr. President and Trustee William H. Ahern, Jr. Vice President John R. Baur Vice President Michael A. Cirami Vice President Cynthia J. Clemson Vice President Charles B. Gaffney Vice President Christine M. Johnston Vice President Aamer Khan Vice President Thomas H. Luster Vice President Michael R. Mach Vice President Robert B. MacIntosh Vice President Duncan W. Richardson Vice President Judith A. Saryan Vice President Susan Schiff Vice President Thomas Seto Vice President David M. Stein Vice President Mark S. Venezia Vice President Adam A. Weigold Vice President Barbara E. Campbell Treasurer Maureen A. Gemma Secretary Paul M. O'Neil Chief Compliance Officer | Trustees Ralph F. Verni Chairman Benjamin C. Esty Allen R. Freedman William H. Park Ronald A. Pearlman Norton H. Reamer Heidi L. Steiger Lynn A. Stout | ||||||
45
Eaton Vance Floating-Rate Fund
OFFICERS AND TRUSTEES CONT'D
Floating Rate Portfolio
Officers Scott H. Page President Craig P. Russ Vice President Barbara E. Campbell Treasurer Maureen A. Gemma Secretary Paul M. O'Neil Chief Compliance Officer | Trustees Ralph F. Verni Chairman Benjamin C. Esty Thomas E. Faust Jr. Allen R. Freedman William H. Park Ronald A. Pearlman Norton H. Reamer Heidi L. Steiger Lynn A. Stout | ||||||
46
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Investment Adviser of Floating Rate Portfolio
Boston Management and Research
The Eaton Vance Building
255 State Street
Boston, MA 02109
Administrator of Eaton Vance Floating-Rate Fund
Eaton Vance Management
The Eaton Vance Building
255 State Street
Boston, MA 02109
Principal Underwriter
Eaton Vance Distributors, Inc.
The Eaton Vance Building
255 State Street
Boston, MA 02109
(617) 482-8260
Custodian
State Street Bank & Trust Company
200 Clarendon Street
Boston, MA 02116
Transfer Agent
PFPC Inc.
Attn: Eaton Vance Funds
P.O. Box 9653
Providence, RI 02940-9653
(800) 262-1122
Eaton Vance Floating-Rate Fund
The Eaton Vance Building
255 State Street
Boston, MA 02109
This report must be preceded or accompanied by a current prospectus. Before investing, investors should consider carefully the Fund's investment objective(s), risks, and charges and expenses. The Fund's current prospectus contains this and other information about the Fund and is available through your financial advisor. Please read the prospectus carefully before you invest or send money. For further information please call 1-800-225-6265.
1044-6/08 FRSRC
Item 2. Code of Ethics
The registrant has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-262-1122.
Item 3. Audit Committee Financial Expert
The registrant’s Board has designated William H. Park and Norton H. Reamer, each an independent trustee, as its audit committee financial experts. Mr. Park is a certified public accountant who is the Vice Chairman of Commercial Industrial Finance Corp (specialty finance company). Previously, he served as President and Chief Executive Officer of Prizm Capital Management, LLC (investment management firm) and as Executive Vice President and Chief Financial Officer of United Asset Management Corporation (“UAM”) (a holding company owning institutional investment management firms). Mr. Reamer is the President, Chief Executive Officer and a Director of Asset Management Finance Corp. (a specialty finance company serving the investment management industry) and is President of Unicorn Corporation (an investment and financial advisory services company). Formerly, Mr. Reamer was Chairman and Chief Operating Officer of Hellman, Jordan Management Co., Inc. (an investment management company) and Advisory Director of Berkshire Capital Corporation (an investment banking firm), Chairman of the Board of UAM and Chairman, President and Director of the UAM Funds (mutual funds).
Item 4. Principal Accountant Fees and Services
Not required in this filing
Item 5. Audit Committee of Listed registrants
Not required in this filing.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not required in this filing.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not required in this filing.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not required in this filing.
Item 10. Submission of Matters to a Vote of Security Holders.
No Material Changes.
Item 11. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits
(a)(1) |
| Registrant’s Code of Ethics – Not applicable (please see Item 2). |
(a)(2)(i) |
| Treasurer’s Section 302 certification. |
(a)(2)(ii) |
| President’s Section 302 certification. |
(b) |
| Combined Section 906 certification. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Floating Rate Portfolio
By: | /s/Scott H. Page |
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| Scott H. Page | |
| President | |
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Date: | June 10, 2008 |
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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. | ||
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By: | /s/Barbara E. Campbell |
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| Barbara E. Campbell | |
| Treasurer | |
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Date: | June 10, 2008 |
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By: | /s/Scott H. Page |
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| Scott H. Page | |
| President | |
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Date: | June 10, 2008 |
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