Semiannual Report May 31, 2007
EATON VANCE
PRIME
RATE
RESERVES
IMPORTANT NOTICES REGARDING PRIVACY,
DELIVERY OF SHAREHOLDER DOCUMENTS,
PORTFOLIO HOLDINGS AND PROXY VOTING
Privacy. The Eaton Vance organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy ("Privacy Policy") with respect to nonpublic personal information about its customers:
· Only such information received from you, through application forms or otherwise, and information about your Eaton Vance fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions.
· None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer's account, Eaton Vance may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker/dealers.
· Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information.
· We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Policy periodically for changes by accessing the link on our homepage: www.eatonvance.com.
Our pledge of privacy applies to the following entities within the Eaton Vance organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton Vance Investment Counsel, Boston Management and Research, and Eaton Vance Distributors, Inc.
In addition, our Privacy Policy only applies to those Eaton Vance customers who are individuals and who have a direct relationship with us. If a customer's account (i.e., fund shares) is held in the name of a third-party financial adviser/
broker-dealer, it is likely that only such adviser's privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures.
For more information about Eaton Vance's Privacy Policy, please call 1-800-262-1122.
Delivery of Shareholder Documents. The Securities and Exchange Commission (the "SEC") permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called "householding" and it helps eliminate duplicate mailings to shareholders.
Eaton Vance, or your financial adviser, may household the mailing of your documents indefinitely unless you instruct Eaton Vance, or your financial adviser, otherwise.
If you would prefer that your Eaton Vance documents not be householded, please contact Eaton Vance at 1-800-262-1122, or contact your financial adviser.
Your instructions that householding not apply to delivery of your Eaton Vance documents will be effective within 30 days of receipt by Eaton Vance or your financial adviser.
Portfolio Holdings. Each Eaton Vance Fund and its underlying Portfolio (if applicable) will file a schedule of its portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Eaton Vance website www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR database on the SEC's website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC's public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. From time to time, funds are required to vote proxies related to the securities held by the funds. The Eaton Vance Funds or their underlying Portfolios (if applicable) vote proxies according to a set of policies and procedures approved by the Funds' and Portfolios' Boards. You may obtain a description of these policies and procedures and information on how the Funds or Portfolios voted proxies relating to portfolio securities during the most recent 12 month period ended June 30, without charge, upon request, by calling 1-800-262-1122. This description is also available on the SEC's website at www.sec.gov.
Eaton Vance Prime Rate Reserves as of May 31, 2007
INVESTMENT UPDATE
Performance for the Past Six Months
· Eaton Vance Prime Rate Reserves (the "Fund") had a total return of 3.81% for the six months ended May 31, 2007.(1) That return was the result of an increase in net asset value per share to $9.44 on May 31, 2007, from $9.39 on November 30, 2006, and the reinvestment of all dividends.
· The Fund distributed $0.303 in income dividends during the six months ended May 31, 2007. Based on its May 2007 monthly dividend payment of $0.051 and a net asset value of $9.44, the Fund had a distribution rate of 6.41%.(2) The Fund's SEC 30-day yield at May 31, 2007, was 6.44%.(3)
· For comparison, the Fund's benchmark - the S&P/ LSTA Leveraged Loan Index - an unmanaged loan market index - had a total return of 3.94% for the six months ended May 31, 2007.(4)
Investment Environment
· Short-term interest rates remained fairly stable during the six months ended May 31, 2007, as the Federal Reserve held the Federal Funds rate - a short-term interest rate benchmark - at 5.25% throughout the period. Floating-rate loans adjust their interest rates to changes in the London Inter-bank Offered Rate (LIBOR), which closely tracks the Federal Funds rate.
· In the six months ended May 31, 2007, despite record new loan issuance, demand exceeded loan supply. The technical imbalance resulted in loans repricing at slightly lower credit spreads. In addition, certain large new issues came to market with fewer financial covenants. However, despite this, management notes that the chief determinants of the loan asset class's long-term performance - seniority and security - remain in place.
The Fund's Investments
· The Fund invests in Senior Debt Portfolio (the "Portfolio"), a separate closed-end, diversified investment company with the same investment objective as the Fund. The Portfolio's investments included 504 borrowers, representing 39 industries at May 31, 2007, with an average loan size of 0.17% of total investments, and no industry constituting more than 8% of total investments. Health care, publishing, business equipment and services, chemicals and plastics, and cable and satellite television were the Portfolio's largest industry weightings.(5)
· The Portfolio had an exposure of 11.8% of total investments to European loans at May 31, 2007. European loan issuance continued to grow and represented further opportunities for diversification. For example, while there may be concerns about a slowing U.S. economy, the Portfolio benefited from loans to companies operating in the relatively robust U.K. and German economies. All of the Portfolio's non-dollar- denominated investments were hedged to help seek protection against foreign currency risk.
(1) Total return at net asset value does not reflect applicable early withdrawal charge (EWC). If EWC was included, return would be lower. Absent a fee waiver by the investment adviser and administrator, the returns would be lower.
(2) The Fund's distribution rate represents actual distributions paid to shareholders and is calculated daily by dividing the last distribution per share (annualized) by the net asset value.
(3) The Fund's SEC yield is calculated by dividing the net investment income per share for the 30-day period by the net asset value at the end of the period and annualizing the result.
(4) It is not possible to invest directly in an Index. The Index's total return reflects changes in the value of the loans constituting the Index and accrual of interest and does not reflect the commissions or expenses that would have been incurred if an investor individually purchased or sold the loans represented in the Index.
(5) Holdings and industry weightings are subject to change due to active management.
The views expressed in this report are those of the portfolio managers and are current only through the end of the period of the report as stated on the cover. These views are subject to change at any time based upon market or other conditions, and the investment adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on many factors, may not be relied on as an indication of trading intent on behalf of any Eaton Vance fund.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than the quoted return.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested.
1
Eaton Vance Prime Rate Reserves as of May 31, 2007
fund performance
Performance(1) As of 5/31/07
Symbol | | EVPRX | |
Average Annual Total Returns (at net asset value) | | | |
Six months | | 3.81 | % |
One year | | 6.64 | |
Five years | | 5.07 | |
Ten years | | 5.02 | |
| | | |
SEC Average Annual Total Returns (including applicable EWC) | | | |
Six months | | 0.81 | % |
One year | | 3.64 | |
Five years | | 5.07 | |
Ten years | | 5.02 | |
(1) Average Annual Total Returns at net asset value do not include the applicable early withdrawal charge (EWC). If the EWC was deducted, returns would be lower. SEC Average Annual Total Returns reflect applicable EWC based on the following schedule: 3% - 1st year; 2.5% - 2nd year; 2% - 3rd year; 1% - 4th year. Absent a fee waiver by the investment adviser and administrator, the returns would be lower.
Total Annual Operating Expenses(2)
Gross Expense Ratio | | 2.07 | % |
Net Expense Ratio | | 1.32 | |
(2) From the Fund's propectus dated 4/1/07. The Net Expense Ratio reflects a contractual advisory fee and administration fee waivers. They will be eliminated or reduced in the event that the distribution fees of the Fund or another fund investing in the Portfolio are eliminated or reduced. The waivers may otherwise only be eliminated or reduced by the independent Trustees. Without these waivers, performance would have been lower.
Top Five Industries(3)
By total investments
Health Care | | 7.2 | % |
Publishing | | 6.9 | |
Business Equipment & Services | | 6.6 | |
Chemicals & Plastics | | 6.6 | |
Cable & Satellite Television | | 6.5 | |
(3) Reflects the Portfolio's investments as of May 31, 2007. Industries are shown as a percentage of the Portfolio's total investments. Portfolio information may not be representative of current or future investments and are subject to change due to active management.
Credit Quality Ratings for Total Loan Investments(4)
By total loan investments
Baa | | 2.3 | % |
Ba | | 52.8 | |
B | | 29.1 | |
Caa | | 0.7 | |
Non-Rated(5) | | 15.1 | |
(4) Credit Quality ratings are those provided by Moody's, a nationally recognized bond rating service. As a percentage of the Portfolio's total loan investments as of May 31, 2007. Fund information may not be representative of the Portfolio's current or future investments and may change due to active management.
(5) Certain loans in which the Portfolio invests are not rated by a rating agency. In management's opinion, such securities are comparable to securities rated by a rating agency in the categories listed above.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than the quoted return.
Top Ten Holdings(2)
By total investments
Charter Communications Operating | | 1.3 | % |
Georgia Pacific Corp. | | 1.1 | |
Sungard Data Systems, Inc. | | 1.0 | |
Community Health Systems, Inc. | | 1.0 | |
Univision Communications, Inc. | | 0.9 | |
Penn National Gaming, Inc. | | 0.8 | |
WMG Acquisition Corp. | | 0.8 | |
Idearc, Inc. | | 0.8 | |
Nielsen Finance LLC | | 0.7 | |
Metro-Goldwyn-Mayer Holdings | | 0.7 | |
(2) Reflects the Portfolio's investments as of May 31, 2007. Holdings are shown as a percentage of the Portfolio's total investments. Portfolio information may not be representative of current or future investments and are subject to change due to active management.
2
Eaton Vance Prime Rate Reserves as of May 31, 2007
FINANCIAL STATEMENTS (Unaudited)
Statement of Assets and Liabilities
As of May 31, 2007
| Assets | |
Investment in Senior Debt Portfolio, at value
(identified cost, $1,195,386,797) | | $ | 1,228,889,903 | | |
| Receivable for Fund shares sold | | | 931,828 | | |
| Total assets | | $ | 1,229,821,731 | | |
| Liabilities | |
| Dividends payable | | $ | 3,107,738 | | |
| Payable for Fund shares redeemed | | | 8,353 | | |
| Payable to affiliate for distribution fees | | | 747,072 | | |
| Payable to affiliate for Trustees' fees | | | 564 | | |
| Accrued expenses | | | 231,695 | | |
| Total liabilities | | $ | 4,095,422 | | |
| Net Assets | | $ | 1,225,726,309 | | |
| Sources of Net Assets | |
| Paid-in capital | | $ | 1,529,252,970 | | |
| Accumulated net realized loss from Portfolio | | | (336,503,915 | ) | |
| Accumulated distributions in excess of net investment income | | | (525,852 | ) | |
| Net unrealized appreciation from Portfolio | | | 33,503,106 | | |
| Total | | $ | 1,225,726,309 | | |
Net Asset Value, Offering Price and
Redemption Price Per Share | |
| ($1,225,726,309 ÷ 129,878,712 common shares issued and outstanding) | | $ | 9.44 | | |
Statement of Operations
For the Six Months Ended
May 31, 2007
| Investment Income | |
| Interest allocated from Portfolio | | $ | 51,700,758 | | |
| Expenses allocated from Portfolio | | | (6,960,120 | ) | |
| Net investment income from Portfolio | | $ | 44,740,638 | | |
| Expenses | |
| Trustees' fees and expenses | | $ | 1,676 | | |
| Distribution fees | | | 4,431,526 | | |
| Transfer and dividend disbursing agent fees | | | 547,052 | | |
| Printing and postage | | | 107,960 | | |
| Registration fees | | | 24,290 | | |
| Legal and accounting services | | | 20,269 | | |
| Custodian fee | | | 16,531 | | |
| Miscellaneous | | | 11,127 | | |
| Total expenses | | $ | 5,160,431 | | |
| Net investment income | | $ | 39,580,207 | | |
Realized and Unrealized
Gain (Loss) from Portfolio | |
Net realized gain (loss) -
Investment transactions | | $ | 4,128,792 | | |
| Swap contracts | | | 81,815 | | |
Foreign currency and forward foreign currency
exchange contract transactions | | | (2,565,478 | ) | |
| Net realized gain | | $ | 1,645,129 | | |
Change in unrealized appreciation (depreciation) -
Investments | | $ | 5,441,040 | | |
| Swap contracts | | | 26,936 | | |
| Foreign currency and forward foreign currency exchange contracts | | | 1,300,375 | | |
| Net change in unrealized appreciation (depreciation) | | $ | 6,768,351 | | |
| Net realized and unrealized gain | | $ | 8,413,480 | | |
| Net increase in net assets from operations | | $ | 47,993,687 | | |
See notes to financial statements
3
Eaton Vance Prime Rate Reserves as of May 31, 2007
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
Increase (Decrease)
in Net Assets | | Six Months Ended
May 31, 2007
(Unaudited) | | Year Ended
November 30, 2006 | |
From operations -
Net investment income | | $ | 39,580,207 | | | $ | 79,925,750 | | |
Net realized gain (loss) from investment
transactions, swaps contracts,
foreign currency, and forward
foreign currency exchange
contract transactions | | | 1,645,129 | | | | (5,986,627 | ) | |
Net change in unrealized appreciation
(depreciation) from investments,
swaps contracts, foreign currency,
and forward foreign currency
exchange contracts | | | 6,768,351 | | | | 7,596,342 | | |
| Net increase in net assets from operations | | $ | 47,993,687 | | | $ | 81,535,465 | | |
Distributions to shareholders -
From net investment income | | $ | (40,892,193 | ) | | $ | (80,790,251 | ) | |
| Total distributions to shareholders | | $ | (40,892,193 | ) | | $ | (80,790,251 | ) | |
Transactions in shares of beneficial interest -
Proceeds from sale of shares | | $ | 23,434,028 | | | $ | 53,849,567 | | |
Net asset value of shares issued to
shareholders in payment of
distributions declared | | | 21,850,380 | | | | 42,998,968 | | |
| Cost of shares redeemed | | | (100,525,811 | ) | | | (252,093,538 | ) | |
Net decrease in net assets from
Fund share transactions | | $ | (55,241,403 | ) | | $ | (155,245,003 | ) | |
| Net decrease in net assets | | $ | (48,139,909 | ) | | $ | (154,499,789 | ) | |
| Net Assets | |
| At beginning of period | | $ | 1,273,866,218 | | | $ | 1,428,366,007 | | |
| At end of period | | $ | 1,225,726,309 | | | $ | 1,273,866,218 | | |
Accumulated undistributed
(distributions in excess of)
net investment income
included in net assets | |
| At end of period | | $ | (525,852 | ) | | $ | 786,134 | | |
See notes to financial statements
4
Eaton Vance Prime Rate Reserves as of May 31, 2007
FINANCIAL STATEMENTS CONT'D
Financial Highlights
| | | Six Months Ended
May 31, 2007 | | Year Ended November 30, | | Period Ended
November 30, | |
| | | (Unaudited)(1) | | 2006(1) | | 2005(1) | | 2004 | | 2003 | | 2002(1)(2) | |
| Net asset value - Beginning of period | | $ | 9.390 | | | $ | 9.390 | | | $ | 9.380 | | | $ | 9.180 | | | $ | 8.840 | | | $ | 9.160 | | |
| Income (loss) from operations | |
| Net investment income | | $ | 0.294 | | | $ | 0.545 | | | $ | 0.393 | | | $ | 0.282 | | | $ | 0.298 | | | $ | 0.332 | | |
| Net realized and unrealized gain (loss) | | | 0.059 | | | | 0.006 | | | | 0.013 | | | | 0.199 | | | | 0.339 | | | | (0.319 | ) | |
| Total income from operations | | $ | 0.353 | | | $ | 0.551 | | | $ | 0.406 | | | $ | 0.481 | | | $ | 0.637 | | | $ | 0.013 | | |
| Less distributions | |
| From net investment income | | $ | (0.303 | ) | | $ | (0.551 | ) | | $ | (0.396 | ) | | $ | (0.281 | ) | | $ | (0.297 | ) | | $ | (0.333 | ) | |
| Total distributions | | $ | (0.303 | ) | | $ | (0.551 | ) | | $ | (0.396 | ) | | $ | (0.281 | ) | | $ | (0.297 | ) | | $ | (0.333 | ) | |
| Net asset value - End of period | | $ | 9.440 | | | $ | 9.390 | | | $ | 9.390 | | | $ | 9.380 | | | $ | 9.180 | | | $ | 8.840 | | |
| Total Return(3) | | | 3.81 | % | | | 6.02 | % | | | 4.41 | % | | | 5.30 | % | | | 7.32 | % | | | 0.13 | % | |
| Ratios/Supplemental Data | |
| Net assets, end of period (000's omitted) | | $ | 1,225,726 | | | $ | 1,273,866 | | | $ | 1,428,366 | | | $ | 1,636,855 | | | $ | 1,840,559 | | | $ | 2,206,150 | | |
| Ratios (As a percentage of average daily net assets): | |
| Expenses before custodian fee reduction(4) | | | 1.39 | %(5) | | | 1.32 | % | | | 1.33 | % | | | 1.31 | % | | | 1.31 | % | | | 1.26 | %(5) | |
| Expenses after custodian fee reduction(4) | | | 1.39 | %(5) | | | 1.32 | % | | | 1.33 | % | | | 1.31 | % | | | 1.31 | % | | | 1.26 | %(5) | |
| Interest expense(4) | | | 0.52 | %(5) | | | 0.01 | % | | | 0.00 | %(6) | | | 0.00 | %(6) | | | 0.01 | % | | | 0.01 | %(5) | |
| Total expenses(4) | | | 1.91 | %(5) | | | 1.33 | % | | | 1.33 | % | | | 1.31 | % | | | 1.32 | % | | | 1.27 | %(5) | |
| Net investment income | | | 6.25 | %(5) | | | 5.79 | % | | | 4.18 | % | | | 3.02 | % | | | 3.34 | % | | | 4.01 | %(5) | |
| Portfolio Turnover of the Portfolio | | | 34 | % | | | 51 | % | | | 65 | % | | | 87 | % | | | 47 | % | | | 42 | % | |
(1) Net investment income was computed using average shares outstanding.
(2) For the eleven-month period ended November 30, 2002.
(3) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. Total return is not computed on an annualized basis.
(4) Includes the Fund's share of the Portfolio's allocated expenses.
(5) Annualized.
(6) Represents less than 0.01%.
See notes to financial statements
5
Eaton Vance Prime Rate Reserves as of May 31, 2007
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1 Significant Accounting Policies
Eaton Vance Prime Rate Reserves (the Fund) is a closed-end management investment company. The Fund is an entity of the type commonly known as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, (the 1940 Act). The Fund invests all of its investable assets in interests in the Senior Debt Portfolio (the Portfolio), a New York Trust, having the same investment objective as the Fund. The value of the Fund's investment in the Portfolio reflects the Fund's proportionate interest in the net assets of the Portfolio (48.3% at May 31, 2007). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including the portfolio of investments, are included elsewhere in this report and should be read in conjunction with the Fund's financial statements.
The following is a summary of significant accounting policies of the Fund. The policies are in conformity with accounting principles generally accepted in the United States of America.
A Investment Valuation - Valuation of securities by the Portfolio is discussed in Note 1A of the Portfolio's Notes to Financial Statements, which are included elsewhere in this report.
B Income - The Fund's net investment income or loss consists of the Fund's pro rata share of the net investment income or loss of the Portfolio, less all actual and accrued expenses of the Fund.
C Federal Taxes - The Fund's policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders, each year, substantially all of its net investment income and all or substantially all of its net realized capital gains. Accordingly, no provision for federal income or excise tax is necessary. At November 30, 2006, the Fund, for federal income tax purposes had a capital loss carryover of $341,476,962 which will reduce the Fund's taxable income arising from future net realized gain on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus will reduce the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. Such capital loss carryover will expire on November 30, 2007 ($5,906,636), November 30, 2008 ($44,323,516), November 30, 2009 ($118,172,997), November 30, 2010 ($85,893,275), November 30, 2011 ($86,475,719) and November 30, 2013 ($704,819).
D 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.
E Indemnifications - Under the Fund'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 Fund, and shareholders are indemnified against personal liability for the obligations of the Fund. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
F Expense Reduction - Investors Bank & Trust Company (IBT) serves as custodian of the Fund. Effective July 2, 2007, the parent company of IBT was acquired by State Street Corporation. Pursuant to the custodian agreement, IBT receives a fee reduced by credits which are determined based on the average daily cash balance the Fund maintains with IBT. All credit balances used to reduce the Fund's custodian fees are reported as a reduction of expenses in the Statement of Operations.
G Other - Investment transactions are accounted for on the date the securities are purchased or sold. Dividends to shareholders are recorded on the ex-dividend date.
H Interim Financial Statements - The interim financial statements relating to May 31, 2007 and for the six months then ended have not been audited by an Independent Registered Public Accounting Firm, but in the opinion of the Fund's management reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
2 Distributions to Shareholders
The net investment income of the Fund is determined daily, and substantially all of the net investment income so determined is declared daily as a dividend to shareholders of record at the time of declaration. Such daily dividends will be paid monthly. Distributions of realized capital gains, if any, are made at least annually. Shareholders may reinvest capital gain distributions in additional shares of the Fund at the net asset value as of the ex-dividend date. Distributions are paid in the form of additional shares or, at
6
Eaton Vance Prime Rate Reserves as of May 31, 2007
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
the election of the shareholder, in cash. The Fund distinguishes between distributions on a tax basis and those on a financial reporting basis. Accounting principles generally accepted in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid-in capital.
3 Shares of Beneficial Interest
The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). The Fund operates as an interval fund, meaning that it continuously accepts new shareholder investments but permits share repurchases (of at least 5% and up to 25% or more of its shares) at net asset value only once a quarter. It is a fundamental policy of the Fund (which may only be changed by shareholder vote) that the Fund will conduct repurchase offers ending on a date (fixed by the Trustees) in the months of February, May, August and November and the repurchase price will be determined no more than 14 days following the repurchase request deadline. Payment for all shares repurchased pursuant to these offers normally will be made no later than 7 days after the repurchase pricing date. Shareholders will be sent notification of each repurchase offer at least 21 days prior to the repurchase request deadline. An early withdrawal charge will be imposed on most shares accepted for repurchase which have been held less than four years (see Note 6). During the six months ended May 31, 2007, the Fund made two repurchase offers as follows:
| | | Repurchase Offer Amount | | Amount Repurchased | |
Repurchase
Request Deadline | | Shares | | Amount | | Shares | | Amount | |
| February 22, 2007 | | | 34,388,675 | | | $ | 324,285,202 | | | | 5,233,744 | | | $ | 49,354,689 | | |
| May 22, 2007 | | | 33,691,574 | | | | 317,711,541 | | | | 5,426,417 | | | | 51,171,122 | | |
| Total | | | 68,080,249 | | | $ | 641,996,743 | | | | 10,660,161 | | | $ | 100,525,811 | | |
All transactions in Fund shares were as follows:
| | | Six Months Ended
May 31, 2007
(Unaudited) | | Year Ended
November 30, 2006 | |
| Sales | | | 2,487,222 | | | | 5,724,241 | | |
Issued to shareholders electing to
receive payments of distributions
in Fund shares | | | 2,318,848 | | | | 4,571,953 | | |
| Redemptions | | | (10,660,161 | ) | | | (26,691,850 | ) | |
| Net decrease | | | (5,854,091 | ) | | | (16,395,656 | ) | |
4 Transactions with Affiliates
Eaton Vance Management (EVM) serves as the administrator of the Fund. EVM has agreed to waive its administration fee as long as the distribution fee (Note 5) is being paid by the Fund. The Portfolio has engaged Boston Management and Research (BMR), a subsidiary of EVM, to render investment advisory services (see Note 2 of the Portfolio's Notes to Financial Statements which are included elsewhere in this report). Except as to Trustees of the Fund and the Portfolio who are not members of EVM's or BMR's organization, officers and Trustees receive remuneration for their services to the Fund out of such investment adviser fee. EVM serves as the sub-transfer agent of the Fund and receives from the transfer agent an aggregate fee based upon the actual expenses incurred by EVM in the performance of those services. For the six months ended May 31, 2007, EVM received $34,251 in sub-transfer agent fees.
Certain officers and Trustees of the Fund and of the Portfolio are officers of the above organizations.
5 Distribution Plan
The Fund has in effect a distribution plan (the Plan) that allows the Fund to pay distribution fees for the sale and distribution of shares. The Plan requires the Fund to pay the Principal Underwriter, Eaton Vance Distributors, Inc. (EVD), a subsidiary of EVM, an amount equal to 0.70% of the Fund's average daily net assets, for providing ongoing distribution services and facilities to the Fund. For the six months ended May 31, 2007 the distribution fees amounted to $4,431,526. Certain officers and Trustees of the Fund are officers or directors of EVD.
6 Early Withdrawal Charge
EVD compensates investment dealers for sales commissions at a rate of 3% of the purchase price of shares purchased through such dealers. EVD also pays additional compensation to each dealer ranging from 0.10% to 0.30% per annum of the value of Fund shares sold by such dealer that are outstanding for specified periods of time. An early withdrawal charge (EWC) to recover distribution costs will be charged to repurchasing shareholders and paid to EVD in connection with most shares held for less than four years which are accepted by the Fund for repurchase. The EWC is imposed at declining rates that begin at 3% in the case of repurchases in the first year after purchase, declining to 2.5%, 2%, 1% and 0% in the second, third and fourth year and thereafter, respectively. The EWC is based on the lower of the net asset value at the time of purchase or at the time of repurchase. Shares acquired through the reinvestment of distributions are exempt from the EWC. Redemptions are made first from
7
Eaton Vance Prime Rate Reserves as of May 31, 2007
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
shares that are not subject to an EWC. The total early withdrawal charges received by EVD for the six months ended May 31, 2007 amounted to approximately $218,000.
7 Investment Transactions
Increases and decreases in the Fund 's investment in the Portfolio for the six months ended May 31, 2007 aggregated $23,246,596 and $124,740,833, respectively.
8 Recently Issued Accounting Pronouncements
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 for the first required fiancial reporting period for fiscal years beginning after December 15, 2006. Management is currently evaluating the impact of applying the various provisions of FIN 48.
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. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.
8
Senior Debt Portfolio as of May 31, 2007
PORTFOLIO OF INVESTMENTS (Unaudited)
| Senior, Floating Rate Interests - 110.9%(1) | | | |
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Aerospace and Defense - 1.7% | | | |
| AWAS Capital, Inc. | | | |
| $ | 7,309,874 | | | Term Loan, 7.13%, Maturing March 22, 2013 | | $ | 7,255,050 | | |
| BE Aerospace, Inc. | | | |
| | 750,000 | | | Term Loan, 7.11%, Maturing August 24, 2012 | | | 753,750 | | |
| Evergreen International Aviation | | | |
| | 2,890,610 | | | Term Loan, 8.82%, Maturing October 31, 2011 | | | 2,908,676 | | |
| Hawker Beechcraft Acquisition | | | |
| | 372,128 | | | Term Loan, 5.25%, Maturing March 26, 2014 | | | 374,354 | | |
| | 4,397,872 | | | Term Loan, 7.32%, Maturing March 26, 2014 | | | 4,424,185 | | |
| Hexcel Corp. | | | |
| | 2,587,949 | | | Term Loan, 7.11%, Maturing March 1, 2012 | | | 2,597,654 | | |
| IAP Worldwide Services, Inc. | | | |
| | 3,160,000 | | | Term Loan, 9.69%, Maturing December 30, 2012 | | | 3,174,318 | | |
| Jet Aviation Holding, AG | | | |
| | 1,447,500 | | | Term Loan, 6.57%, Maturing May 15, 2013 | | | 1,443,881 | | |
| K&F Industries, Inc. | | | |
| | 2,100,781 | | | Term Loan, 7.32%, Maturing November 18, 2012 | | | 2,104,392 | | |
| Spirit AeroSystems, Inc. | | | |
| | 2,722,960 | | | Term Loan, 7.11%, Maturing December 31, 2011 | | | 2,741,255 | | |
| Standard Aero Holdings, Inc. | | | |
| | 2,193,202 | | | Term Loan, 7.58%, Maturing August 24, 2012 | | | 2,197,314 | | |
| TransDigm, Inc. | | | |
| | 5,000,000 | | | Term Loan, 7.35%, Maturing June 23, 2013 | | | 5,035,000 | | |
| Vought Aircraft Industries, Inc. | | | |
| | 2,000,000 | | | Revolving Loan, 0.00%, Maturing December 22, 2009(2) | | | 1,925,000 | | |
| | 1,000,000 | | | Term Loan, 7.81%, Maturing December 17, 2011 | | | 1,007,500 | | |
| | 3,235,012 | | | Term Loan, 7.83%, Maturing December 17, 2011 | | | 3,260,623 | | |
| Wesca Aircraft Hardware Corp. | | | |
| | 1,000,000 | | | Term Loan, 11.10%, Maturing September 29, 2014 | | | 1,023,333 | | |
| Wyle Laboratories, Inc. | | | |
| | 897,089 | | | Term Loan, 8.11%, Maturing January 28, 2011 | | | 903,257 | | |
| | | | | | | $ | 43,129,542 | | |
| Air Transport - 0.7% | | | |
| Airport Development and Investment | | | |
| GBP | 3,500,000 | | | Term Loan, 9.70%, Maturing April 7, 2011 | | $ | 6,970,110 | | |
| Delta Air Lines, Inc. | | | |
| | 4,000,000 | | | Term Loan, 8.61%, Maturing April 30, 2014 | | | 4,056,000 | | |
| Northwest Airlines, Inc. | | | |
| | 6,450,000 | | | DIP Loan, 7.32%, Maturing August 21, 2008 | | | 6,475,465 | | |
| | | | | | | $ | 17,501,575 | | |
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Automotive - 4.8% | | | |
| AA Acquisitions Co., Ltd. | | | |
| GBP | 1,000,000 | | | Term Loan, 7.90%, Maturing June 25, 2012 | | $ | 2,009,380 | | |
| GBP | 1,000,000 | | | Term Loan, 7.94%, Maturing June 25, 2013 | | | 2,016,014 | | |
| Accuride Corp. | | | |
| | 6,053,730 | | | Term Loan, 7.38%, Maturing January 31, 2012 | | | 6,104,811 | | |
| Adesa, Inc. | | | |
| | 10,725,000 | | | Term Loan, 7.57%, Maturing October 18, 2013 | | | 10,808,119 | | |
| Affina Group, Inc. | | | |
| | 3,802,126 | | | Term Loan, 8.36%, Maturing November 30, 2011 | | | 3,833,018 | | |
| CSA Acquisition Corp. | | | |
| | 936,472 | | | Term Loan, 7.88%, Maturing December 23, 2011 | | | 943,203 | | |
| | 1,251,721 | | | Term Loan, 7.88%, Maturing December 23, 2011 | | | 1,260,718 | | |
| Dana Corp. | | | |
| | 7,775,000 | | | Term Loan, 7.88%, Maturing March 30, 2008 | | | 7,808,409 | | |
| Dayco Products, LLC | | | |
| | 5,257,763 | | | Term Loan, 7.85%, Maturing June 21, 2011 | | | 5,303,778 | | |
| Federal-Mogul Corp. | | | |
| | 11,852,057 | | | Revolving Loan, 6.30%, Maturing July 1, 2007(2) | | | 11,855,767 | | |
| | 6,000,000 | | | Term Loan, 7.82%, Maturing July 1, 2007 | | | 5,988,126 | | |
| Financiere Truck (Investissment) | | | |
| EUR | 2,074,881 | | | Term Loan, 5.21%, Maturing February 15, 2012 | | | 2,844,414 | | |
| Ford Motor Co. | | | |
| | 5,012,438 | | | Term Loan, 8.36%, Maturing December 15, 2013 | | | 5,058,336 | | |
| Fraikin, Ltd. | | | |
| GBP | 596,292 | | | Term Loan, 6.94%, Maturing February 15, 2012 | | | 1,201,642 | | |
| GBP | 47,821 | | | Term Loan, 6.94%, Maturing February 15, 2012 | | | 96,369 | | |
| General Motors Corp. | | | |
| | 6,359,063 | | | Term Loan, 7.73%, Maturing November 29, 2013 | | | 6,422,259 | | |
| Goodyear Tire & Rubber Co. | | | |
| | 7,500,000 | | | Revolving Loan, 0.00%, Maturing April 30, 2010(2) | | | 7,490,625 | | |
| | 8,000,000 | | | Term Loan, 7.10%, Maturing April 30, 2010 | | | 8,033,936 | | |
| HLI Operating Co., Inc. | | | |
| EUR | 109,091 | | | Term Loan, 4.15%, Maturing May 30, 2014 | | | 146,798 | | |
| EUR | 1,890,909 | | | Term Loan, 6.87%, Maturing May 30, 2014 | | | 2,544,502 | | |
| Jason, Inc. | | | |
| | 1,500,000 | | | Term Loan, 7.82%, Maturing April 30, 2010 | | | 1,507,500 | | |
| Keystone Automotive Operations, Inc. | | | |
| | 3,192,000 | | | Term Loan, 8.84%, Maturing January 12, 2012 | | | 3,104,220 | | |
| Kwik Fit Group Ltd. | | | |
| GBP | 1,250,000 | | | Term Loan, 8.13%, Maturing August 31, 2013 | | | 2,495,188 | | |
| GBP | 1,250,000 | | | Term Loan, 8.63%, Maturing August 31, 2014 | | | 2,505,387 | | |
| Locafroid Services S.A.S. | | | |
| EUR | 70,714 | | | Term Loan, 5.24%, Maturing February 15, 2012 | | | 96,941 | | |
| R.J. Tower Corp. | | | |
| | 7,000,000 | | | DIP Revolving Loan, 7.99%, Maturing August 2, 2007(2) | | | 6,930,000 | | |
See notes to financial statements
9
Senior Debt Portfolio as of May 31, 2007
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Automotive (continued) | | | |
| Tenneco Automotive, Inc. | | | |
| $ | 3,125,000 | | | Term Loan, 6.82%, Maturing March 17, 2014 | | $ | 3,128,906 | | |
| The Hertz Corp. | | | |
| | 786,111 | | | Term Loan, 5.35%, Maturing December 21, 2012 | | | 792,744 | | |
| | 4,391,217 | | | Term Loan, 7.08%, Maturing December 21, 2012 | | | 4,428,270 | | |
| TriMas Corp. | | | |
| | 375,000 | | | Term Loan, 8.07%, Maturing August 2, 2011 | | | 380,156 | | |
| | 1,616,875 | | | Term Loan, 8.12%, Maturing August 2, 2013 | | | 1,639,107 | | |
| United Components, Inc. | | | |
| | 4,100,483 | | | Term Loan, 7.61%, Maturing June 30, 2010 | | | 4,126,111 | | |
| | | | | | | $ | 122,904,754 | | |
| Beverage and Tobacco - 0.5% | | | |
| Liberator Midco, Ltd. | | | |
| EUR | 875,000 | | | Term Loan, 6.09%, Maturing October 27, 2013 | | $ | 1,196,124 | | |
| EUR | 875,000 | | | Term Loan, 6.46%, Maturing October 27, 2014 | | | 1,201,106 | | |
| Reynolds American, Inc. | | | |
| | 7,242,763 | | | Term Loan, 7.13%, Maturing May 31, 2012 | | | 7,306,781 | | |
| Southern Wine & Spirits of America, Inc. | | | |
| | 2,123,180 | | | Term Loan, 6.85%, Maturing May 31, 2012 | | | 2,132,469 | | |
| | | | | | | $ | 11,836,480 | | |
| Brokers, Dealers and Investment Houses - 0.3% | | | |
| AmeriTrade Holding Corp. | | | |
| $ | 7,097,405 | | | Term Loan, 6.82%, Maturing December 31, 2012 | | $ | 7,131,785 | | |
| | | | | | | $ | 7,131,785 | | |
| Building and Development - 7.1% | | | |
| 401 North Wabash Venture, LLC | | | |
| $ | 5,500,000 | | | Term Loan, 9.07%, Maturing May 7, 2008(2) | | $ | 5,390,000 | | |
| AIMCO Properties, L.P. | | | |
| | 9,000,000 | | | Term Loan, 6.86%, Maturing March 23, 2011 | | | 9,022,500 | | |
| Beacon Sales Acquisition, Inc. | | | |
| | 1,990,000 | | | Term Loan, 7.35%, Maturing September 30, 2013 | | | 1,994,975 | | |
| BioMed Realty, L.P. | | | |
| | 10,965,000 | | | Term Loan, 7.57%, Maturing May 31, 2010 | | | 11,006,119 | | |
| Building Materials Corp. of America | | | |
| | 5,037,375 | | | Term Loan, 8.19%, Maturing February 22, 2014 | | | 5,000,854 | | |
| Capital Automotive REIT | | | |
| | 4,000,130 | | | Term Loan, 7.07%, Maturing December 16, 2010 | | | 4,039,224 | | |
| Empire Hawkeye Partners, L.P. | | | |
| | 6,800,000 | | | Term Loan, 5.73%, Maturing December 1, 2009(2) | | | 6,800,000 | | |
| Epco / Fantome, LLC | | | |
| | 4,896,000 | | | Term Loan, 7.98%, Maturing November 23, 2010 | | | 4,908,240 | | |
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Building and Development (continued) | | | |
| Financiere Daunou S.A. | | | |
| EUR | 1,067,416 | | | Term Loan, Maturing May 31, 2014(8) | | $ | 1,436,368 | | |
| EUR | 1,081,461 | | | Term Loan, Maturing February 28, 2016(8) | | | 1,455,268 | | |
| Formica Corp. | | | |
| $ | 3,366,000 | | | Term Loan, 8.34%, Maturing March 15, 2013 | | | 3,369,157 | | |
| FT-FIN Acquisition, LLC | | | |
| | 4,413,914 | | | Term Loan, 6.83%, Maturing November 17, 2007(2) | | | 4,424,949 | | |
| Hearthstone Housing Partners II, LLC | | | |
| | 12,132,353 | | | Revolving Loan, 5.63%,
Maturing December 1, 2007(2) | | | 12,071,691 | | |
| Hovstone Holdings, LLC | | | |
| | 3,513,376 | | | Term Loan, 6.83%, Maturing February 28, 2009 | | | 3,460,676 | | |
| Lanoga Corp. | | | |
| | 4,843,510 | | | Term Loan, 7.10%, Maturing June 29, 2013 | | | 4,817,781 | | |
| LNR Property Corp. | | | |
| | 7,225,000 | | | Term Loan, 8.11%, Maturing July 3, 2011 | | | 7,274,029 | | |
| Materis | | | |
| EUR | 823,329 | | | Term Loan, 6.38%, Maturing April 27, 2014 | | | 1,125,623 | | |
| EUR | 876,671 | | | Term Loan, 6.76%, Maturing April 27, 2015 | | | 1,203,458 | | |
| NCI Building Systems, Inc. | | | |
| | 2,345,501 | | | Term Loan, 6.82%, Maturing June 18, 2010 | | | 2,353,565 | | |
| Nortek, Inc. | | | |
| | 6,676,213 | | | Term Loan, 7.61%, Maturing August 27, 2011 | | | 6,701,248 | | |
| Panolam Industries Holdings, Inc. | | | |
| | 2,342,083 | | | Term Loan, 8.10%, Maturing September 30, 2012 | | | 2,349,402 | | |
| PLYGEM Industries, Inc. | | | |
| | 6,121,271 | | | Term Loan, 8.10%, Maturing August 15, 2011 | | | 6,122,544 | | |
| | 228,729 | | | Term Loan, 8.10%, Maturing August 15, 2011 | | | 228,777 | | |
| Re/Max International, Inc. | | | |
| | 1,256,667 | | | Term Loan, Maturing January 23, 2008(8) | | | 1,256,667 | | |
| | 1,343,333 | | | Term Loan, Maturing January 23, 2008(8) | | | 1,343,333 | | |
| Realogy Corp. | | | |
| | 2,280,303 | | | Term Loan, 8.32%, Maturing September 1, 2014 | | | 2,284,579 | | |
| | 8,469,697 | | | Term Loan, 8.35%, Maturing September 1, 2014 | | | 8,485,578 | | |
| South Edge, LLC | | | |
| | 4,475,000 | | | Term Loan, 7.38%, Maturing October 31, 2009 | | | 4,459,619 | | |
| Stile Acquisition Corp. | | | |
| | 5,147,516 | | | Term Loan, 7.35%, Maturing April 6, 2013 | | | 5,088,747 | | |
| Stile U.S. Acquisition Corp. | | | |
| | 5,156,286 | | | Term Loan, 7.35%, Maturing April 6, 2013 | | | 5,097,416 | | |
| TE / Tousa Senior, LLC | | | |
| | 1,130,435 | | | Revolving Loan, Maturing August 1, 2008(9) | | | 1,113,478 | | |
| | 750,000 | | | Term Loan, Maturing August 1, 2008(9) | | | 734,375 | | |
| The Woodlands Commercial Property, Inc. | | | |
| | 2,940,000 | | | TermLoan, 7.31%, Maturing August 29, 2009 | | | 2,943,675 | | |
| | 735,000 | | | Term Loan, 7.31%, Maturing August 29, 2009 | | | 735,919 | | |
| Tousa/Kolter, LLC | | | |
| | 4,940,000 | | | Term Loan, 7.60%, Maturing January 7, 2008 | | | 4,946,175 | | |
See notes to financial statements
10
Senior Debt Portfolio as of May 31, 2007
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Building and Development (continued) | | | |
| TRU 2005 RE Holding Co. | | | |
| $ | 13,750,000 | | | Term Loan, 8.32%, Maturing December 9, 2008 | | $ | 13,863,864 | | |
| United Subcontractors, Inc. | | | |
| | 2,675,000 | | | Term Loan, 12.62%, Maturing June 27, 2013 | | | 2,633,760 | | |
| WCI Communities, Inc. | | | |
| | 8,300,000 | | | Term Loan, 7.82%, Maturing December 23, 2010 | | | 8,253,312 | | |
| Wintergames Acquisition ULC | | | |
| | 10,560,614 | | | Term Loan, 7.42%, Maturing October 26, 2007 | | | 10,587,016 | | |
| | | | | | | $ | 180,383,961 | | |
| Business Equipment and Services - 7.6% | | | |
| ACCO Brands Corp. | | | |
| $ | 1,785,400 | | | Term Loan, 7.11%, Maturing August 17, 2012 | | $ | 1,799,628 | | |
| Activant Solutions, Inc. | | | |
| | 2,234,154 | | | Term Loan, 7.38%, Maturing May 1, 2013 | | | 2,233,457 | | |
| Affiliated Computer Services | | | |
| | 2,468,750 | | | Term Loan, 7.32%, Maturing March 20, 2013 | | | 2,482,466 | | |
| | 6,500,875 | | | Term Loan, 7.32%, Maturing March 20, 2013 | | | 6,536,994 | | |
| Affinion Group, Inc. | | | |
| | 7,281,381 | | | Term Loan, 7.86%, Maturing October 17, 2012 | | | 7,351,464 | | |
| Allied Security Holdings, LLC | | | |
| | 3,780,000 | | | Term Loan, 8.35%, Maturing June 30, 2010 | | | 3,822,525 | | |
| Buhrmann US, Inc. | | | |
| | 6,688,582 | | | Term Loan, 7.10%, Maturing December 31, 2010 | | | 6,724,118 | | |
| DynCorp International, LLC | | | |
| | 4,380,600 | | | Term Loan, 7.63%, Maturing February 11, 2011 | | | 4,420,757 | | |
| Education Management, LLC | | | |
| | 5,907,862 | | | Term Loan, 7.13%, Maturing June 1, 2013 | | | 5,934,176 | | |
| Info USA, Inc. | | | |
| | 1,975,050 | | | Term Loan, 7.35%, Maturing February 14, 2012 | | | 1,982,456 | | |
| Intergraph Corp. | | | |
| | 928,571 | | | Term Loan, 7.61%, Maturing May 29, 2014 | | | 936,696 | | |
| | 2,000,000 | | | Term Loan, 11.36%, Maturing November 29, 2014 | | | 2,047,500 | | |
| Iron Mountain, Inc. | | | |
| | 9,425,000 | | | Term Loan, 6.87%, Maturing April 16, 2014 | | | 9,492,747 | | |
| Language Line, Inc. | | | |
| | 7,489,406 | | | Term Loan, 8.60%, Maturing June 11, 2011 | | | 7,567,423 | | |
| Mitchell International, Inc. | | | |
| | 1,000,000 | | | Term Loan, 10.63%, Maturing March 28, 2015 | | | 1,014,167 | | |
| N.E.W. Holdings I, LLC | | | |
| | 3,350,000 | | | Term Loan, 7.85%, Maturing May 22, 2014 | | | 3,350,000 | | |
| Nielsen Finance, LLC | | | |
| | 20,745,750 | | | Term Loan, 7.61%, Maturing August 9, 2013 | | | 20,945,117 | | |
| Protection One, Inc. | | | |
| | 3,218,756 | | | Term Loan, 7.59%, Maturing March 31, 2012 | | | 3,232,838 | | |
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Business Equipment and Services (continued) | | | |
| Quantum Corp. | | | |
| $ | 897,222 | | | Term Loan, 9.34%, Maturing August 22, 2012 | | $ | 898,344 | | |
| Quintiles Transnational Corp. | | | |
| | 5,742,000 | | | Term Loan, 7.35%, Maturing March 31, 2013 | | | 5,756,355 | | |
| RiskMeterics Group Holdings, LLC | | | |
| | 3,625,000 | | | Term Loan, 7.60%, Maturing January 11, 2014 | | | 3,661,250 | | |
| Sabare, Inc. | | | |
| | 11,200,000 | | | Term Loan, 7.61%, Maturing September 30, 2014 | | | 11,224,506 | | |
| Serena Software, Inc. | | | |
| | 1,660,313 | | | Term Loan, 7.59%, Maturing March 10, 2013 | | | 1,672,765 | | |
| Sitel (Client Logic) | | | |
| | 5,086,331 | | | Term Loan, 7.85%, Maturing January 29, 2014 | | | 5,124,478 | | |
| Solera Nederland Holdings | | | |
| | 2,750,000 | | | Term Loan, 7.32%, Maturing May 15, 2014 | | | 2,765,469 | | |
| SunGard Data Systems, Inc. | | | |
| | 30,562,251 | | | Term Loan, 7.36%, Maturing February 11, 2013 | | | 30,848,772 | | |
| TDS Investor Corp. | | | |
| EUR | 1,992,494 | | | Term Loan, 6.66%, Maturing August 23, 2013 | | | 2,697,238 | | |
| | 7,574,669 | | | Term Loan, 7.85%, Maturing August 23, 2013 | | | 7,636,645 | | |
| | 802,998 | | | Term Loan, 7.85%, Maturing August 23, 2013 | | | 809,568 | | |
| Telcordia Technologies, Inc. | | | |
| | 6,987,400 | | | Term Loan, 8.11%, Maturing September 15, 2012 | | | 6,934,995 | | |
| Transaction Network Services, Inc. | | | |
| | 2,225,000 | | | Term Loan, 7.36%, Maturing May 4, 2012 | | | 2,236,125 | | |
| WAM Acquisition, S.A. | | | |
| EUR | 768,581 | | | Term Loan, 6.25%, Maturing May 4, 2014 | | | 1,047,816 | | |
| EUR | 481,419 | | | Term Loan, 6.25%, Maturing May 4, 2014 | | | 656,324 | | |
| EUR | 768,581 | | | Term Loan, 6.50%, Maturing May 4, 2015 | | | 1,051,048 | | |
| EUR | 481,419 | | | Term Loan, 6.50%, Maturing May 4, 2015 | | | 658,348 | | |
| West Corp. | | | |
| | 9,205,500 | | | Term Loan, 7.75%, Maturing October 24, 2013 | | | 9,287,613 | | |
| Williams Scotsman, Inc. | | | |
| | 2,570,000 | | | Term Loan, 6.82%, Maturing June 27, 2010 | | | 2,569,198 | | |
| Worldspan, L.P. | | | |
| | 4,987,500 | | | Term Loan, 8.60%, Maturing December 7, 2013 | | | 5,015,555 | | |
| | | | | | | $ | 194,426,941 | | |
| Cable and Satellite Television - 7.1% | | | |
| Atlantic Broadband Finance, LLC | | | |
| $ | 7,535,457 | | | Term Loan, 7.60%, Maturing February 10, 2011 | | $ | 7,633,184 | | |
| Bragg Communications, Inc. | | | |
| | 3,316,098 | | | Term Loan, 7.11%, Maturing August 31, 2011 | | | 3,326,461 | | |
| Bresnan Broadband Holdings, LLC | | | |
| | 5,000,000 | | | Term Loan, 7.36%, Maturing March 29, 2014 | | | 5,025,390 | | |
| | 1,447,000 | | | Term Loan, 7.38%, Maturing March 29, 2014 | | | 1,454,348 | | |
See notes to financial statements
11
Senior Debt Portfolio as of May 31, 2007
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Cable and Satellite Television (continued) | | | |
| Casema | | | |
| EUR | 658,133 | | | Term Loan, 6.49%, Maturing November 14, 2014 | | $ | 898,427 | | |
| EUR | 341,867 | | | Term Loan, 6.49%, Maturing November 14, 2014 | | | 466,688 | | |
| EUR | 1,000,000 | | | Term Loan, 6.99%, Maturing November 14, 2015 | | | 1,371,433 | | |
| EUR | 1,000,000 | | | Term Loan, 8.24%, Maturing May 14, 2016 | | | 1,379,952 | | |
| Charter Communications Operating, Inc. | | | |
| | 39,394,539 | | | Term Loan, 7.32%, Maturing April 28, 2013 | | | 39,451,976 | | |
| CSC Holdings, Inc. | | | |
| | 9,504,000 | | | Term Loan, 7.07%, Maturing March 29, 2013 | | | 9,532,312 | | |
| DirecTV Holdings, LLC | | | |
| | 3,745,214 | | | Term Loan, 6.82%, Maturing April 13, 2013 | | | 3,762,663 | | |
| Insight Midwest Holdings, LLC | | | |
| | 14,575,000 | | | Term Loan, 7.35%, Maturing April 6, 2014 | | | 14,686,586 | | |
| Kabel Deutschland GmbH | | | |
| EUR | 5,400,000 | | | Term Loan, 5.84%, Maturing March 31, 2012 | | | 7,339,328 | | |
| Kablecom | | | |
| EUR | 1,000,000 | | | Term Loan, 6.49%, Maturing November 14, 2014 | | | 1,365,135 | | |
| EUR | 1,000,000 | | | Term Loan, 6.99%, Maturing November 14, 2015 | | | 1,371,639 | | |
| Mediacom Broadband Group | | | |
| | 1,960,237 | | | Term Loan, 7.10%, Maturing January 31, 2015 | | | 1,963,454 | | |
| Mediacom Illinois, LLC | | | |
| | 3,000,000 | | | Term Loan, 6.86%, Maturing September 30, 2012 | | | 2,986,641 | | |
| | 6,008,691 | | | Term Loan, 7.10%, Maturing January 31, 2015 | | | 6,026,530 | | |
| NTL Investment Holdings, Ltd. | | | |
| | 3,710,370 | | | Term Loan, 7.36%, Maturing March 30, 2012 | | | 3,736,046 | | |
| GBP | 1,562,881 | | | Term Loan, 7.82%, Maturing March 30, 2012 | | | 3,104,416 | | |
| GBP | 1,337,119 | | | Term Loan, 7.82%, Maturing March 30, 2012 | | | 2,655,977 | | |
| GBP | 1,690,449 | | | Term Loan, 7.85%, Maturing March 30, 2012 | | | 3,357,812 | | |
| GBP | 859,551 | | | Term Loan, 7.85%, Maturing March 30, 2012 | | | 1,707,362 | | |
| GBP | 1,000,000 | | | Term Loan, 8.48%, Maturing March 30, 2013 | | | 2,040,535 | | |
| Orion Cable GmbH | | | |
| EUR | 2,950,000 | | | Term Loan, 6.97%, Maturing October 31, 2014 | | | 4,010,730 | | |
| EUR | 2,950,000 | | | Term Loan, 7.22%, Maturing October 31, 2015 | | | 4,026,517 | | |
| Persona Communications Corp. | | | |
| | 1,005,667 | | | Term Loan, 8.10%, Maturing October 12, 2013 | | | 1,014,466 | | |
| | 1,619,333 | | | Term Loan, 8.10%, Maturing October 12, 2013 | | | 1,633,502 | | |
| | 675,000 | | | Term Loan, 11.35%, Maturing April 12, 2014 | | | 688,078 | | |
| PKS Media (Netherlands) B.V. | | | |
| EUR | 2,162,500 | | | Term Loan, 5.59%, Maturing October 5, 2013 | | | 2,911,860 | | |
| EUR | 1,000,000 | | | Term Loan, 6.09%, Maturing October 5, 2013 | | | 1,349,626 | | |
| EUR | 1,000,000 | | | Term Loan, 6.84%, Maturing October 5, 2014 | | | 1,353,977 | | |
| San Juan Cable, LLC | | | |
| | 987,506 | | | Term Loan, 7.35%, Maturing October 31, 2012 | | | 990,438 | | |
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Cable and Satellite Television (continued) | | | |
| UPC Broadband Holding B.V. | | | |
| EUR | 3,512,500 | | | Term Loan, 5.94%, Maturing June 30, 2009 | | $ | 4,756,463 | | |
| EUR | 10,007,156 | | | Term Loan, 5.94%, Maturing October 16, 2011 | | | 13,538,712 | | |
| | 1,635,010 | | | Term Loan, 7.08%, Maturing October 16, 2011 | | | 1,635,010 | | |
| | 3,821,895 | | | Term Loan, 7.08%, Maturing October 16, 2011 | | | 3,830,257 | | |
| Ypso Holding SA | | | |
| EUR | 4,961,371 | | | Term Loan, 6.36%, Maturing July 28, 2014 | | | 6,714,864 | | |
| EUR | 1,914,679 | | | Term Loan, 6.36%, Maturing July 28, 2014 | | | 2,591,382 | | |
| EUR | 3,123,950 | | | Term Loan, 6.36%, Maturing July 28, 2014 | | | 4,228,045 | | |
| | | | | | | $ | 181,918,222 | | |
| Chemicals and Plastics - 7.6% | | | |
| AZ Chem US, Inc. | | | |
| $ | 1,000,000 | | | Term Loan, 7.36%, Maturing February 28, 2013 | | $ | 1,006,875 | | |
| Brenntag Holding GmbH and Co. KG | | | |
| EUR | 2,117,647 | | | Term Loan, 6.63%, Maturing December 23, 2013 | | | 2,896,935 | | |
| | 3,616,364 | | | Term Loan, 7.89%, Maturing December 23, 2013 | | | 3,662,132 | | |
| | 883,636 | | | Term Loan, 7.89%, Maturing December 23, 2013 | | | 891,368 | | |
| EUR | 496,877 | | | Term Loan, 6.88%, Maturing December 23, 2014 | | | 682,055 | | |
| EUR | 385,476 | | | Term Loan, 6.88%, Maturing December 23, 2014 | | | 531,764 | | |
| Celanese Holdings, LLC | | | |
| | 2,500,000 | | | Term Loan, 7.07%, Maturing April 2, 2014 | | | 2,517,057 | | |
| | 12,425,000 | | | Term Loan, 7.10%, Maturing April 2, 2014 | | | 12,509,776 | | |
| Cognis GMBH | | | |
| EUR | 3,125,000 | | | Term Loan, Maturing September 15, 2013(8) | | | 4,259,188 | | |
| Columbian Chemicals Acquisition | | | |
| | 495,000 | | | Term Loan, 7.10%, Maturing March 16, 2013 | | | 495,619 | | |
| Ferro Corp. | | | |
| | 6,422,792 | | | Term Loan, 8.07%, Maturing June 6, 2012 | | | 6,424,802 | | |
| First Chemical Holding | | | |
| EUR | 1,500,000 | | | Term Loan, 6.54%, Maturing December 18, 2014(2) | | | 2,040,283 | | |
| EUR | 1,500,000 | | | Term Loan, 7.05%, Maturing December 18, 2015(2) | | | 2,048,932 | | |
| Georgia Gulf Corp. | | | |
| | 2,818,934 | | | Term Loan, 7.82%, Maturing October 3, 2013 | | | 2,846,117 | | |
| Hexion Specialty Chemicals, Inc. | | | |
| | 13,606,654 | | | Term Loan, 7.88%, Maturing May 5, 2013 | | | 13,732,093 | | |
| | 2,955,752 | | | Term Loan, 7.88%, Maturing May 5, 2013 | | | 2,983,002 | | |
| INEOS Group | | | |
| | 2,655,000 | | | Term Loan, 7.58%, Maturing December 14, 2012 | | | 2,667,723 | | |
| | 1,905,750 | | | Term Loan, 7.58%, Maturing December 14, 2013 | | | 1,925,402 | | |
| | 1,905,750 | | | Term Loan, 8.08%, Maturing December 14, 2014 | | | 1,925,402 | | |
| Innophos, Inc. | | | |
| | 1,176,393 | | | Term Loan, 7.57%, Maturing August 10, 2010 | | | 1,182,520 | | |
See notes to financial statements
12
Senior Debt Portfolio as of May 31, 2007
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Chemicals and Plastics (continued) | | | |
| Invista B.V. | | | |
| $ | 8,912,303 | | | Term Loan, 6.85%, Maturing April 29, 2011 | | $ | 8,934,584 | | |
| | 4,724,181 | | | Term Loan, 6.85%, Maturing April 29, 2011 | | | 4,735,991 | | |
| ISP Chemo, Inc. | | | |
| | 7,103,250 | | | Term Loan, 7.13%, Maturing February 16, 2013 | | | 7,132,423 | | |
| Kranton Polymers, LLC | | | |
| | 5,272,509 | | | Term Loan, 7.38%, Maturing May 12, 2013 | | | 5,320,842 | | |
| Lucite International Group Holdings | | | |
| | 1,800,516 | | | Term Loan, 8.07%, Maturing July 7, 2013 | | | 1,813,458 | | |
| | 635,878 | | | Term Loan, 7.57%, Maturing July 7, 2013(2) | | | 640,449 | | |
| Lyondell Chemical Co. | | | |
| | 11,810,750 | | | Term Loan, 6.86%, Maturing August 16, 2013 | | | 11,844,706 | | |
| Millenium Inorganic Chemicals | | | |
| | 4,400,000 | | | Term Loan, Maturing April 30, 2014(8) | | | 4,437,677 | | |
| Momentive Performance Material | | | |
| | 5,187,000 | | | Term Loan, 7.63%, Maturing December 4, 2013 | | | 5,228,071 | | |
| Mosaic Co. | | | |
| | 5,425,171 | | | Term Loan, 7.13%, Maturing December 21, 2012 | | | 5,463,034 | | |
| Nalco Co. | | | |
| | 14,615,586 | | | Term Loan, 7.10%, Maturing November 4, 2010 | | | 14,725,203 | | |
| PQ Corp. | | | |
| | 3,831,803 | | | Term Loan, 7.35%, Maturing February 10, 2012 | | | 3,844,575 | | |
| Professional Paint, Inc. | | | |
| | 2,307,563 | | | Term Loan, 7.63%, Maturing May 31, 2012 | | | 2,307,562 | | |
| Propex Fabrics, Inc. | | | |
| | 2,683,383 | | | Term Loan, 8.36%, Maturing July 31, 2012 | | | 2,686,737 | | |
| Rockwood Specialties Group, Inc. | | | |
| | 9,098,805 | | | Term Loan, 7.36%, Maturing December 10, 2012 | | | 9,184,680 | | |
| Sigmakalon (BC) Holdco B.V. | | | |
| EUR | 1,880,000 | | | Term Loan, 5.91%, Maturing September 9, 2012 | | | 2,527,563 | | |
| EUR | 92,758 | | | Term Loan, 6.41%, Maturing September 9, 2013 | | | 125,824 | | |
| EUR | 1,204,580 | | | Term Loan, 6.41%, Maturing September 9, 2013 | | | 1,633,984 | | |
| EUR | 2,202,661 | | | Term Loan, 6.41%, Maturing September 9, 2013 | | | 2,987,857 | | |
| EUR | 729,480 | | | Term Loan, 7.16%, Maturing September 9, 2014 | | | 993,555 | | |
| EUR | 178,614 | | | Term Loan, 7.16%, Maturing September 9, 2014 | | | 243,273 | | |
| EUR | 2,135,161 | | | Term Loan, 7.16%, Maturing September 9, 2014 | | | 2,908,097 | | |
| Solo Cup Co. | | | |
| | 9,327,866 | | | Term Loan, 8.85%, Maturing February 27, 2011 | | | 9,494,751 | | |
| | 500,000 | | | Term Loan, 11.57%, Maturing March 31, 2012 | | | 512,500 | | |
| Solutia, Inc. | | | |
| | 4,000,000 | | | DIP Loan, 8.36%, Maturing March 31, 2008 | | | 4,041,252 | | |
| TPG Spring UK, Ltd. | | | |
| EUR | 2,288,006 | | | Term Loan, 6.66%, Maturing June 27, 2013 | | | 3,095,854 | | |
| EUR | 2,288,006 | | | Term Loan, 7.16%, Maturing June 27, 2013 | | | 3,107,400 | | |
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Chemicals and Plastics (continued) | | | |
| Wellman, Inc. | | | |
| $ | 5,400,000 | | | Term Loan, 9.37%, Maturing February 10, 2009 | | $ | 5,467,500 | | |
| | | | | | | $ | 192,668,447 | | |
| Clothing / Textiles - 0.2% | | | |
| St. John Knits International, Inc. | | | |
| $ | 2,104,895 | | | Term Loan, 8.35%, Maturing March 23, 2012 | | $ | 2,120,681 | | |
| The William Carter Co. | | | |
| | 2,233,573 | | | Term Loan, 6.85%, Maturing July 14, 2012 | | | 2,237,413 | | |
| | | | | | | $ | 4,358,094 | | |
| Conglomerates - 3.0% | | | |
| Amsted Industries, Inc. | | | |
| $ | 5,405,961 | | | Term Loan, 7.35%, Maturing October 15, 2010 | | $ | 5,426,233 | | |
| Blount, Inc. | | | |
| | 1,791,824 | | | Term Loan, 7.08%, Maturing August 9, 2010 | | | 1,794,064 | | |
| Brickman Group Holdings, Inc. | | | |
| | 4,525,000 | | | Term Loan, 7.40%, Maturing January 23, 2014 | | | 4,541,969 | | |
| GenTek, Inc. | | | |
| | 1,478,261 | | | Term Loan, 7.36%, Maturing February 25, 2011 | | | 1,484,268 | | |
| Goodman Global Holdings, Inc. | | | |
| | 3,227,121 | | | Term Loan, 7.13%, Maturing December 23, 2011 | | | 3,237,877 | | |
| ISS Holdings A/S | | | |
| EUR | 2,504,202 | | | Term Loan, 6.52%, Maturing December 31, 2013 | | | 3,417,752 | | |
| GBP | 1,704,757 | | | Term Loan, 8.17%, Maturing December 31, 2013 | | | 3,416,018 | | |
| Jarden Corp. | | | |
| | 8,580,591 | | | Term Loan, 7.10%, Maturing January 24, 2012 | | | 8,612,768 | | |
| | 1,307,523 | | | Term Loan, 7.10%, Maturing January 24, 2012 | | | 1,312,698 | | |
| Johnson Diversey, Inc. | | | |
| | 1,055,362 | | | Term Loan, 7.86%, Maturing December 16, 2010 | | | 1,068,773 | | |
| | 5,076,388 | | | Term Loan, 7.86%, Maturing December 16, 2011 | | | 5,140,899 | | |
| Platinum 100, Ltd. | | | |
| GBP | 1,000,000 | | | Term Loan, 8.15%, Maturing January 15, 2013 | | | 1,984,843 | | |
| GBP | 1,000,000 | | | Term Loan, 8.65%, Maturing January 15, 2014 | | | 1,992,710 | | |
| Polymer Group, Inc. | | | |
| | 2,000,000 | | | Revolving Loan, 9.50%,
Maturing November 22, 2010(2) | | | 1,960,000 | | |
| | 8,541,875 | | | Term Loan, 7.59%, Maturing November 22, 2012 | | | 8,568,568 | | |
| RBS Global, Inc. | | | |
| | 1,084,298 | | | Term Loan, 7.58%, Maturing July 19, 2013 | | | 1,093,954 | | |
| Rexnord Corp. | | | |
| | 4,013,934 | | | Term Loan, 7.86%, Maturing July 19, 2013 | | | 4,049,682 | | |
| RGIS Holdings, LLC | | | |
| | 235,714 | | | Term Loan, 0.00%, Maturing April 30, 2014(2) | | | 237,433 | | |
| | 4,714,286 | | | Term Loan, 7.86%, Maturing April 30, 2014 | | | 4,748,662 | | |
See notes to financial statements
13
Senior Debt Portfolio as of May 31, 2007
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Conglomerates (continued) | | | |
| Samsonite Corp. | | | |
| $ | 3,990,000 | | | Term Loan, 7.60%, Maturing December 21, 2013 | | $ | 4,022,419 | | |
| Sensata Technologies Finance Co. | | | |
| | 2,431,625 | | | Term Loan, 7.10%, Maturing April 27, 2013 | | | 2,434,042 | | |
| Terex Corp. | | | |
| | 2,133,875 | | | Term Loan, 7.10%, Maturing July 13, 2013 | | | 2,141,877 | | |
| US Investigations Services, Inc. | | | |
| | 2,447,725 | | | Term Loan, 8.10%, Maturing October 14, 2012 | | | 2,456,140 | | |
| | 1,752,813 | | | Term Loan, 8.10%, Maturing October 14, 2013 | | | 1,758,839 | | |
| | | | | | | $ | 76,902,488 | | |
| Containers and Glass Products - 3.8% | | | |
| Berry Plastics Corp. | | | |
| $ | 6,275,000 | | | Term Loan, 7.35%, Maturing April 3, 2015 | | $ | 6,305,942 | | |
| Bluegrass Container Co. | | | |
| | 1,165,736 | | | Term Loan, 7.59%, Maturing June 30, 2013 | | | 1,179,216 | | |
| | 3,896,014 | | | Term Loan, 7.59%, Maturing June 30, 2013 | | | 3,941,063 | | |
| Consolidated Container Co. | | | |
| | 2,925,000 | | | Term Loan, 7.60%, Maturing March 28, 2014 | | | 2,939,017 | | |
| | 1,500,000 | | | Term Loan, 10.86%, Maturing September 28, 2014 | | | 1,492,812 | | |
| Crown Americas, Inc. | | | |
| EUR | 990,000 | | | Term Loan, 5.81%, Maturing November 15, 2012 | | | 1,332,193 | | |
| | 1,361,250 | | | Term Loan, 7.11%, Maturing November 15, 2012 | | | 1,365,844 | | |
| Graham Packaging Holdings Co. | | | |
| | 14,100,000 | | | Term Loan, 7.63%, Maturing October 7, 2011 | | | 14,236,601 | | |
| Graphic Packaging International | | | |
| | 19,100,000 | | | Term Loan, 7.33%, Maturing May 16, 2014 | | | 19,287,027 | | |
| IPG (US), Inc. | | | |
| | 3,166,410 | | | Term Loan, 8.05%, Maturing July 28, 2011 | | | 3,174,326 | | |
| JSG Acquisitions | | | |
| EUR | 5,500,000 | | | Term Loan, 6.18%, Maturing December 31, 2014 | | | 7,494,743 | | |
| EUR | 5,500,000 | | | Term Loan, 6.64%, Maturing December 31, 2014 | | | 7,527,700 | | |
| OI European Group B.V. | | | |
| EUR | 3,910,000 | | | Term Loan, 5.36%, Maturing June 14, 2013 | | | 5,249,159 | | |
| Owens-Brockway Glass Container | | | |
| | 4,887,500 | | | Term Loan, 6.82%, Maturing June 14, 2013 | | | 4,904,303 | | |
| Pregis Corp. | | | |
| EUR | 2,462,500 | | | Term Loan, 6.42%, Maturing October 12, 2012 | | | 3,330,231 | | |
| Smurfit-Stone Container Corp. | | | |
| | 1,986,462 | | | Term Loan, 5.22%, Maturing November 1, 2011 | | | 2,004,407 | | |
| | 7,108,233 | | | Term Loan, 7.38%, Maturing November 1, 2011 | | | 7,172,448 | | |
| | 4,927,319 | | | Term Loan, 7.38%, Maturing November 1, 2011 | | | 4,971,832 | | |
| | | | | | | $ | 97,908,864 | | |
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Cosmetics / Toiletries - 0.4% | | | |
| American Safety Razor Co. | | | |
| $ | 1,000,000 | | | Term Loan, 11.63%, Maturing July 31, 2014 | | $ | 1,020,000 | | |
| Kik Custom Products, Inc. | | | |
| | 431,707 | | | Term Loan, 7.57%, Maturing May 31, 2014 | | | 434,405 | | |
| | 2,518,293 | | | Term Loan, 7.57%, Maturing May 31, 2014 | | | 2,534,032 | | |
| Prestige Brands, Inc. | | | |
| | 6,055,877 | | | Term Loan, 7.63%, Maturing April 7, 2011 | | | 6,093,726 | | |
| | | | | | | $ | 10,082,163 | | |
| Drugs - 1.1% | | | |
| Chattem, Inc. | | | |
| $ | 1,806,000 | | | Term Loan, 7.11%, Maturing January 2, 2013 | | $ | 1,817,288 | | |
| Graceway Pharmaceuticals, LLC | | | |
| | 5,800,000 | | | Term Loan, 8.07%, Maturing May 3, 2012 | | | 5,805,800 | | |
| Pharmaceutical Holdings Corp. | | | |
| | 2,375,000 | | | Term Loan, 8.57%, Maturing January 30, 2012 | | | 2,380,937 | | |
| Stiefel Laboratories, Inc. | | | |
| | 1,912,942 | | | Term Loan, 7.61%, Maturing December 28, 2013 | | | 1,927,289 | | |
| | 2,500,995 | | | Term Loan, 7.61%, Maturing December 28, 2013 | | | 2,519,753 | | |
| | 1,500,000 | | | Term Loan, 10.36%, Maturing June 28, 2014 | | | 1,535,625 | | |
| Warner Chilcott Corp. | | | |
| | 9,641,666 | | | Term Loan, 7.35%, Maturing January 18, 2012 | | | 9,710,537 | | |
| | 2,647,117 | | | Term Loan, 7.35%, Maturing January 18, 2012 | | | 2,666,025 | | |
| | | | | | | $ | 28,363,254 | | |
| Ecological Services and Equipment - 1.4% | | | |
| Allied Waste Industries, Inc. | | | |
| $ | 3,402,869 | | | Term Loan, 5.33%, Maturing January 15, 2012 | | $ | 3,426,029 | | |
| | 3,133,147 | | | Term Loan, 7.09%, Maturing January 15, 2012 | | | 3,152,309 | | |
| Blue Waste B.V. (AVR Acquisition) | | | |
| EUR | 4,000,000 | | | Term Loan, 6.17%, Maturing April 1, 2015 | | | 5,479,788 | | |
| Duratek, Inc. | | | |
| | 1,827,846 | | | Term Loan, 7.63%, Maturing June 7, 2013 | | | 1,846,124 | | |
| EnergySolutions, LLC | | | |
| | 192,610 | | | Term Loan, 7.57%, Maturing June 7, 2013 | | | 194,536 | | |
| | 3,813,066 | | | Term Loan, 7.63%, Maturing June 7, 2013 | | | 3,851,196 | | |
| Environmental Systems, Inc. | | | |
| | 500,000 | | | Term Loan, 12.49%, Maturing December 12, 2010 | | | 305,625 | | |
| IESI Corp. | | | |
| | 1,000,000 | | | Term Loan, 7.11%, Maturing January 20, 2012 | | | 1,002,813 | | |
| Sensus Metering Systems, Inc. | | | |
| | 362,300 | | | Term Loan, 7.36%, Maturing December 17, 2010 | | | 364,111 | | |
| | 3,344,303 | | | Term Loan, 7.36%, Maturing December 17, 2010 | | | 3,361,025 | | |
See notes to financial statements
14
Senior Debt Portfolio as of May 31, 2007
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Ecological Services and Equipment (continued) | | | |
| Sulo GmbH | | | |
| EUR | 3,750,000 | | | Term Loan, 6.58%, Maturing January 19, 2014 | | $ | 5,074,920 | | |
| EUR | 3,750,000 | | | Term Loan, 7.08%, Maturing January 19, 2015 | | | 5,093,324 | | |
| Waste Services, Inc. | | | |
| | 1,496,250 | | | Term Loan, 7.82%, Maturing March 31, 2011 | | | 1,511,213 | | |
| | | | | | | $ | 34,663,013 | | |
| Electronics / Electrical - 2.6% | | | |
| Advanced Micro Devices, Inc. | | | |
| $ | 5,433,026 | | | Term Loan, 7.34%, Maturing December 31, 2013 | | $ | 5,456,176 | | |
| AMI Semiconductor, Inc. | | | |
| | 1,134,357 | | | Term Loan, 6.82%, Maturing April 1, 2012 | | | 1,132,586 | | |
| Aspect Software, Inc. | | | |
| | 6,119,250 | | | Term Loan, 8.31%, Maturing July 11, 2011 | | | 6,171,839 | | |
| Communications & Power, Inc. | | | |
| | 1,250,000 | | | Term Loan, 7.57%, Maturing July 23, 2010 | | | 1,255,469 | | |
| EnerSys Capital, Inc. | | | |
| | 3,598,481 | | | Term Loan, 7.11%, Maturing March 17, 2011 | | | 3,620,972 | | |
| FCI International S.A.S. | | | |
| | 687,820 | | | Term Loan, 7.74%, Maturing November 1, 2013 | | | 697,584 | | |
| | 662,180 | | | Term Loan, 7.87%, Maturing November 1, 2013 | | | 671,580 | | |
| | 687,820 | | | Term Loan, 8.62%, Maturing November 1, 2013 | | | 694,698 | | |
| | 662,180 | | | Term Loan, 8.62%, Maturing November 1, 2013 | | | 668,802 | | |
| Freescale Semiconductor, Inc. | | | |
| | 12,518,625 | | | Term Loan, 7.11%, Maturing December 1, 2013 | | | 12,545,039 | | |
| Ganymed 347 VV GmbH | | | |
| EUR | 329,460 | | | Term Loan, 6.87%, Maturing April 30, 2013 | | | 447,229 | | |
| EUR | 670,540 | | | Term Loan, 6.87%, Maturing April 30, 2013 | | | 910,230 | | |
| EUR | 329,460 | | | Term Loan, 7.37%, Maturing April 30, 2014 | | | 449,365 | | |
| EUR | 670,540 | | | Term Loan, 7.37%, Maturing April 30, 2014 | | | 914,258 | | |
| Infor Enterprise Solutions Holdings | | | |
| EUR | 1,995,000 | | | Term Loan, 6.91%, Maturing July 28, 2012 | | | 2,723,162 | | |
| EUR | 8,075,136 | | | Term Loan, 9.10%, Maturing July 28, 2012 | | | 8,138,727 | | |
| | 4,213,114 | | | Term Loan, 9.10%, Maturing July 28, 2012 | | | 4,244,713 | | |
| Invensys International Holding | | | |
| | 1,083,333 | | | Term Loan, 7.36%, Maturing December 15, 2010 | | | 1,089,202 | | |
| | 1,166,667 | | | Term Loan, 7.35%, Maturing January 15, 2011 | | | 1,176,632 | | |
| Network Solutions, LLC | | | |
| | 2,600,000 | | | Term Loan, 7.82%, Maturing March 7, 2014 | | | 2,610,291 | | |
| Open Solutions, Inc. | | | |
| | 5,575,000 | | | Term Loan, 7.49%, Maturing January 23, 2014 | | | 5,623,781 | | |
| VeriFone, Inc. | | | |
| | 498,750 | | | Term Loan, 7.11%, Maturing October 31, 2013 | | | 501,244 | | |
| Vertafore, Inc. | | | |
| | 4,950,000 | | | Term Loan, 7.86%, Maturing January 31, 2012 | | | 4,987,125 | | |
| | | | | | | $ | 66,730,704 | | |
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Equipment Leasing - 0.4% | | | |
| Maxim Crane Works, L.P. | | | |
| $ | 3,457,587 | | | Term Loan, 7.33%, Maturing January 28, 2010 | | $ | 3,464,070 | | |
| United Rentals, Inc. | | | |
| | 1,726,985 | | | Term Loan, 5.32%, Maturing February 14, 2011 | | | 1,738,088 | | |
| | 4,206,295 | | | Term Loan, 7.32%, Maturing February 14, 2011 | | | 4,233,338 | | |
| | | | | | | $ | 9,435,496 | | |
| Farming / Agriculture - 0.2% | | | |
| Central Garden & Pet Co. | | | |
| $ | 3,727,313 | | | Term Loan, 6.82%, Maturing February 28, 2014 | | $ | 3,733,720 | | |
| United Agri Products, Inc. | | | |
| | 1,982,506 | | | Term Loan, 7.36%, Maturing June 8, 2012 | | | 1,987,463 | | |
| | | | | | | $ | 5,721,183 | | |
| Financial Intermediaries - 1.1% | | | |
| Coinstar, Inc. | | | |
| $ | 1,723,011 | | | Term Loan, 7.35%, Maturing July 7, 2011 | | $ | 1,732,703 | | |
| E.A. Viner International Co. | | | |
| | 396,250 | | | Term Loan, 7.85%, Maturing July 31, 2013 | | | 400,213 | | |
| Grosvenor Capital Management | | | |
| | 1,546,125 | | | Term Loan, 7.60%, Maturing December 5, 2013 | | | 1,563,519 | | |
| Investools, Inc. | | | |
| | 1,625,000 | | | Term Loan, 8.60%, Maturing August 13, 2012 | | | 1,629,063 | | |
| iPayment, Inc. | | | |
| | 2,945,250 | | | Term Loan, 7.34%, Maturing May 10, 2013 | | | 2,934,205 | | |
| LPL Holdings, Inc. | | | |
| | 11,904,975 | | | Term Loan, 7.85%, Maturing June 30, 2013 | | | 11,934,738 | | |
| Oxford Acquisition III, Ltd. | | | |
| | 3,300,000 | | | Term Loan, Maturing May 24, 2014(8) | | | 3,300,000 | | |
| The Geo Group, Inc. | | | |
| | 899,110 | | | Term Loan, 6.82%, Maturing January 24, 2014 | | | 903,043 | | |
| The Macerich Partnership, L.P. | | | |
| | 4,310,000 | | | Term Loan, 6.88%, Maturing April 25, 2010 | | | 4,318,081 | | |
| | | | | | | $ | 28,715,565 | | |
| Food Products - 3.9% | | | |
| Advantage Sales & Marketing, Inc. | | | |
| $ | 5,158,897 | | | Term Loan, 7.36%, Maturing March 29, 2013 | | $ | 5,172,867 | | |
| American Seafoods Group, LLC | | | |
| | 1,959,425 | | | Term Loan, 7.10%, Maturing September 30, 2012 | | | 1,967,998 | | |
| BF Bolthouse HoldCo, LLC | | | |
| | 2,024,375 | | | Term Loan, 7.63%, Maturing December 16, 2012 | | | 2,036,396 | | |
| | 1,000,000 | | | Term Loan, 10.85%, Maturing December 16, 2013 | | | 1,014,375 | | |
See notes to financial statements
15
Senior Debt Portfolio as of May 31, 2007
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Food Products (continued) | | | |
| BL Marketing, Ltd. | | | |
| GBP | 1,500,000 | | | Term Loan, 8.23%, Maturing December 20, 2013 | | $ | 3,009,957 | | |
| GBP | 1,500,000 | | | Term Loan, 7.74%, Maturing December 31, 2013 | | | 3,009,957 | | |
| GBP | 1,500,000 | | | Term Loan, 8.73%, Maturing December 20, 2014 | | | 3,023,211 | | |
| Black Lion Beverages III B.V. | | | |
| EUR | 1,000,000 | | | Term Loan, 6.48%, Maturing December 31, 2013 | | | 1,367,575 | | |
| EUR | 1,000,000 | | | Term Loan, 6.70%, Maturing December 31, 2014 | | | 1,373,175 | | |
| Charden International B.V. | | | |
| EUR | 750,000 | | | Term Loan, 6.54%, Maturing March 14, 2014 | | | 1,015,545 | | |
| EUR | 750,000 | | | Term Loan, 7.04%, Maturing March 14, 2015 | | | 1,019,751 | | |
| Chiquita Brands, LLC | | | |
| | 3,116,372 | | | Term Loan, 8.38%, Maturing June 28, 2012 | | | 3,157,598 | | |
| Dean Foods Co. | | | |
| | 12,275,000 | | | Term Loan, 6.88%, Maturing April 2, 2014 | | | 12,319,497 | | |
| Del Monte Corp. | | | |
| | 2,094,834 | | | Term Loan, 6.84%, Maturing February 8, 2012 | | | 2,103,064 | | |
| Dole Food Company, Inc. | | | |
| | 525,581 | | | Term Loan, 5.23%, Maturing April 12, 2013 | | | 526,348 | | |
| | 3,902,442 | | | Term Loan, 7.46%, Maturing April 12, 2013 | | | 3,908,132 | | |
| | 1,170,733 | | | Term Loan, 7.54%, Maturing April 12, 2013 | | | 1,172,439 | | |
| Foodvest Limited | | | |
| EUR | 361,667 | | | Term Loan, 6.59%, Maturing March 16, 2014 | | | 493,004 | | |
| GBP | 250,000 | | | Term Loan, 8.33%, Maturing March 16, 2014 | | | 500,604 | | |
| EUR | 331,746 | | | Term Loan, 7.09%, Maturing March 16, 2015 | | | 454,337 | | |
| GBP | 229,317 | | | Term Loan, 8.83%, Maturing March 16, 2015 | | | 461,456 | | |
| Michael Foods, Inc. | | | |
| | 3,472,526 | | | Term Loan, 7.36%, Maturing November 21, 2010 | | | 3,500,740 | | |
| Nash-Finch Co. | | | |
| | 2,735,537 | | | Term Loan, 7.88%, Maturing November 12, 2010 | | | 2,744,086 | | |
| National Dairy Holdings, L.P. | | | |
| | 4,616,213 | | | Term Loan, 7.32%, Maturing March 15, 2012 | | | 4,639,294 | | |
| Nutro Products, Inc. | | | |
| | 1,428,867 | | | Term Loan, 7.35%, Maturing April 26, 2013 | | | 1,429,760 | | |
| Picard Surgeles S.A. | | | |
| EUR | 2,000,000 | | | Term Loan, 6.08%, Maturing June 4, 2014 | | | 2,722,495 | | |
| Pinnacle Foods Finance, LLC | | | |
| | 3,000,000 | | | Revolving Loan, 0.00%, Maturing April 2, 2013(2) | | | 2,910,000 | | |
| | 13,225,000 | | | Term Loan, 8.10%, Maturing April 2, 2014 | | | 13,339,066 | | |
| QCE Finance, LLC | | | |
| | 4,275,231 | | | Term Loan, 7.60%, Maturing May 5, 2013 | | | 4,303,020 | | |
| Reddy Ice Group, Inc. | | | |
| | 7,975,000 | | | Term Loan, 7.11%, Maturing August 9, 2012 | | | 7,999,922 | | |
| Ruby Acquisitions, Ltd. | | | |
| GBP | 1,000,000 | | | Term Loan, 8.35%, Maturing January 5, 2015 | | | 1,978,719 | | |
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Food Products (continued) | | | |
| United Biscuit Holdco, Ltd. | | | |
| EUR | 536,692 | | | Term Loan, 6.39%, Maturing December 14, 2014 | | $ | 734,451 | | |
| GBP | 1,713,045 | | | Term Loan, 8.23%, Maturing December 14, 2014 | | | 3,443,791 | | |
| | | | | | | $ | 98,852,630 | | |
| Food Service - 1.6% | | | |
| AFC Enterprises, Inc. | | | |
| $ | 1,146,050 | | | Term Loan, 7.13%, Maturing May 23, 2009 | | $ | 1,154,646 | | |
| Aramark Corp. | | | |
| GBP | 1,097,250 | | | Term Loan, 7.71%, Maturing January 27, 2014 | | | 2,181,323 | | |
| B&G Foods, Inc. | | | |
| | 1,130,435 | | | Term Loan, 7.36%, Maturing February 23, 2013 | | | 1,136,441 | | |
| Buffets, Inc. | | | |
| | 539,583 | | | Term Loan, 5.26%, Maturing May 1, 2013 | | | 544,530 | | |
| | 4,075,203 | | | Term Loan, 8.11%, Maturing November 1, 2013 | | | 4,112,561 | | |
| Burger King Corp. | | | |
| | 3,257,438 | | | Term Loan, 6.88%, Maturing June 30, 2012 | | | 3,270,331 | | |
| CBRL Group, Inc. | | | |
| | 5,560,222 | | | Term Loan, 6.86%, Maturing April 27, 2013 | | | 5,576,441 | | |
| Denny's, Inc. | | | |
| | 253,333 | | | Term Loan, 7.32%, Maturing March 31, 2012 | | | 255,788 | | |
| | 1,463,854 | | | Term Loan, 7.35%, Maturing March 31, 2012 | | | 1,478,035 | | |
| Maine Beverage Co., LLC | | | |
| | 2,276,786 | | | Term Loan, 7.10%, Maturing June 30, 2010 | | | 2,271,094 | | |
| NPC International, Inc. | | | |
| | 2,083,333 | | | Term Loan, 7.09%, Maturing May 3, 2013 | | | 2,087,892 | | |
| OSI Restaurant Partners, LLC | | | |
| | 197,368 | | | Term Loan, Maturing May 9, 2013(8) | | | 198,923 | | |
| | 2,427,632 | | | Term Loan, Maturing May 9, 2014(8) | | | 2,446,749 | | |
| RMK Acquisition Corp. (Aramark) | | | |
| | 822,906 | | | Term Loan, 5.20%, Maturing January 26, 2014 | | | 829,452 | | |
| | 11,664,150 | | | Term Loan, 7.48%, Maturing January 26, 2014 | | | 11,756,939 | | |
| Sagittarius Restaurants, LLC | | | |
| | 1,262,250 | | | Term Loan, 7.62%, Maturing March 29, 2013 | | | 1,268,167 | | |
| | | | | | | $ | 40,569,312 | | |
| Food / Drug Retailers - 1.2% | | | |
| General Nutrition Centers, Inc. | | | |
| $ | 3,600,000 | | | Term Loan, 7.60%, Maturing September 16, 2013 | | $ | 3,600,900 | | |
| Roundy's Supermarkets, Inc. | | | |
| | 12,205,909 | | | Term Loan, 8.09%, Maturing November 3, 2011 | | | 12,315,762 | | |
| Supervalu, Inc. | | | |
| | 4,628,250 | | | Term Loan, 6.84%, Maturing June 1, 2012 | | | 4,655,733 | | |
See notes to financial statements
16
Senior Debt Portfolio as of May 31, 2007
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Food / Drug Retailers (continued) | | | |
| The Jean Coutu Group (PJC), Inc. | | | |
| $ | 11,198,826 | | | Term Loan, 9.75%, Maturing July 30, 2011 | | $ | 11,221,974 | | |
| | | | | | | $ | 31,794,369 | | |
| Forest Products - 1.8% | | | |
| Appleton Papers, Inc. | | | |
| $ | 5,612,815 | | | Term Loan, 7.59%, Maturing June 11, 2010 | | $ | 5,640,880 | | |
| Buckeye Technologies, Inc. | | | |
| | 1,539,127 | | | Term Loan, 7.34%, Maturing April 15, 2010 | | | 1,541,371 | | |
| Georgia-Pacific Corp. | | | |
| | 11,970,000 | | | Term Loan, 7.09%, Maturing December 20, 2012 | | | 12,052,294 | | |
| | 20,421,450 | | | Term Loan, 7.09%, Maturing December 20, 2012 | | | 20,557,335 | | |
| NewPage Corp. | | | |
| | 2,108,454 | | | Term Loan, 7.63%, Maturing May 2, 2011 | | | 2,129,539 | | |
| Xerium Technologies, Inc. | | | |
| | 2,969,645 | | | Term Loan, 8.10%, Maturing May 18, 2012 | | | 2,971,501 | | |
| | | | | | | $ | 44,892,920 | | |
| Healthcare - 8.3% | | | |
| Accellent, Inc. | | | |
| $ | 2,705,900 | | | Term Loan, 7.86%, Maturing November 22, 2012 | | $ | 2,707,028 | | |
| Alliance Imaging, Inc. | | | |
| | 4,428,777 | | | Term Loan, 7.88%, Maturing December 29, 2011 | | | 4,453,136 | | |
| American Achievement Corp. | | | |
| | 1,320,112 | | | Term Loan, 7.72%, Maturing March 25, 2011 | | | 1,330,838 | | |
| American Medical Systems | | | |
| | 4,752,258 | | | Term Loan, 7.68%, Maturing July 20, 2012 | | | 4,758,198 | | |
| AMN Healthcare, Inc. | | | |
| | 1,280,414 | | | Term Loan, 7.10%, Maturing November 2, 2011 | | | 1,284,415 | | |
| AMR HoldCo, Inc. | | | |
| | 1,808,995 | | | Term Loan, 7.36%, Maturing February 10, 2012 | | | 1,816,345 | | |
| Capio AB | | | |
| EUR | 454,102 | | | Term Loan, 6.30%, Maturing April 24, 2015 | | | 620,864 | | |
| EUR | 545,898 | | | Term Loan, 6.30%, Maturing April 24, 2015 | | | 746,371 | | |
| EUR | 454,102 | | | Term Loan, 6.43%, Maturing April 16, 2016 | | | 623,920 | | |
| EUR | 545,898 | | | Term Loan, 6.43%, Maturing April 24, 2016 | | | 750,044 | | |
| Cardinal Health 409, Inc. | | | |
| | 5,075,000 | | | Term Loan, 7.60%, Maturing April 10, 2014 | | | 5,094,823 | | |
| Carestream Health, Inc. | | | |
| | 5,950,000 | | | Term Loan, 7.34%, Maturing April 30, 2013 | | | 5,975,293 | | |
| Carl Zeiss Vision Holding GMBH | | | |
| | 3,700,889 | | | Term Loan, 7.84%, Maturing March 23, 2015 | | | 3,762,572 | | |
| Community Health Systems, Inc. | | | |
| | 20,188,275 | | | Term Loan, 7.11%, Maturing August 19, 2011 | | | 20,259,257 | | |
| | 9,950,000 | | | Term Loan, 7.10%, Maturing February 29, 2012 | | | 9,984,984 | | |
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Healthcare (continued) | | | |
| Concentra Operating Corp. | | | |
| $ | 3,196,605 | | | Term Loan, 7.33%, Maturing September 30, 2011 | | $ | 3,210,092 | | |
| ConMed Corp. | | | |
| | 2,283,333 | | | Term Loan, 7.08%, Maturing April 13, 2013 | | | 2,284,760 | | |
| CRC Health Corp. | | | |
| | 1,393,000 | | | Term Loan, 7.85%, Maturing February 6, 2013 | | | 1,401,706 | | |
| | 3,529,526 | | | Term Loan, 7.85%, Maturing February 6, 2013 | | | 3,551,586 | | |
| Davita, Inc. | | | |
| | 13,807,224 | | | Term Loan, 6.84%, Maturing October 5, 2012 | | | 13,869,246 | | |
| Emdeon Business Services, LLC | | | |
| | 4,731,440 | | | Term Loan, 7.60%, Maturing November 16, 2013 | | | 4,763,969 | | |
| Encore Medical Finance, LLC | | | |
| | 2,885,518 | | | Term Loan, 7.88%, Maturing November 3, 2013 | | | 2,895,439 | | |
| FHC Health Systems, Inc. | | | |
| | 504,799 | | | Term Loan, 12.11%, Maturing December 18, 2009 | | | 519,943 | | |
| | 353,360 | | | Term Loan, 14.11%, Maturing December 18, 2009 | | | 362,194 | | |
| Gambro Holding AB | | | |
| | 1,500,000 | | | Term Loan, 7.87%, Maturing June 5, 2014 | | | 1,517,813 | | |
| | 1,500,000 | | | Term Loan, 8.37%, Maturing June 5, 2015 | | | 1,524,563 | | |
| HCA, Inc. | | | |
| | 19,750,500 | | | Term Loan, 7.60%, Maturing November 18, 2013 | | | 19,988,889 | | |
| Health Management Association, Inc. | | | |
| | 8,850,000 | | | Term Loan, 7.10%, Maturing February 28, 2014 | | | 8,898,551 | | |
| HealthSouth Corp. | | | |
| | 6,178,463 | | | Term Loan, 7.85%, Maturing March 10, 2013 | | | 6,232,179 | | |
| Iasis Healthcare, LLC | | | |
| | 259,141 | | | Term Loan, 7.32%, Maturing March 14, 2014 | | | 260,437 | | |
| | 2,844,078 | | | Term Loan, 7.36%, Maturing March 14, 2014 | | | 2,858,298 | | |
| | 971,781 | | | Term Loan, 7.36%, Maturing March 14, 2014(2) | | | 976,640 | | |
| Invacare Corp. | | | |
| | 3,591,000 | | | Term Loan, 7.60%, Maturing February 12, 2013 | | | 3,612,323 | | |
| Kinetic Concepts, Inc. | | | |
| | 2,266,269 | | | Term Loan, 6.85%, Maturing October 3, 2009 | | | 2,274,060 | | |
| Leiner Health Products, Inc. | | | |
| | 3,160,625 | | | Term Loan, 8.58%, Maturing May 27, 2011 | | | 3,123,750 | | |
| LifeCare Holdings, Inc. | | | |
| | 3,250,500 | | | Term Loan, 8.35%, Maturing August 11, 2012 | | | 3,167,544 | | |
| LifePoint Hospitals, Inc. | | | |
| | 11,706,298 | | | Term Loan, 6.99%, Maturing April 15, 2012 | | | 11,686,174 | | |
| Magellan Health Services, Inc. | | | |
| | 1,749,249 | | | Term Loan, 5.20%, Maturing August 15, 2008 | | | 1,753,622 | | |
| | 1,093,281 | | | Term Loan, 7.10%, Maturing August 15, 2008 | | | 1,096,014 | | |
| Matria Healthcare, Inc. | | | |
| | 1,397,680 | | | Term Loan, 7.35%, Maturing January 19, 2012 | | | 1,404,233 | | |
| MultiPlan Merger Corp. | | | |
| | 1,765,944 | | | Term Loan, 7.82%, Maturing April 12, 2013 | | | 1,781,121 | | |
| | 1,391,188 | | | Term Loan, 7.82%, Maturing April 12, 2013 | | | 1,403,144 | | |
See notes to financial statements
17
Senior Debt Portfolio as of May 31, 2007
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Healthcare (continued) | | | |
| National Mentor Holdings, Inc. | | | |
| $ | 190,400 | | | Term Loan, 5.32%, Maturing June 29, 2013 | | $ | 191,174 | | |
| | 3,185,528 | | | Term Loan, 7.35%, Maturing June 29, 2013 | | | 3,198,471 | | |
| Nyco Holdings | | | |
| EUR | 3,887,500 | | | Term Loan, 6.41%, Maturing December 29, 2014 | | | 5,247,007 | | |
| EUR | 3,887,500 | | | Term Loan, 6.91%, Maturing December 29, 2015 | | | 5,271,155 | | |
| P&F Capital S.A.R.L. | | | |
| EUR | 313,835 | | | Term Loan, 6.30%, Maturing February 21, 2014 | | | 428,995 | | |
| EUR | 97,573 | | | Term Loan, 6.30%, Maturing February 21, 2014 | | | 133,377 | | |
| EUR | 187,852 | | | Term Loan, 6.30%, Maturing February 21, 2014 | | | 256,783 | | |
| EUR | 150,740 | | | Term Loan, 6.30%, Maturing February 21, 2014 | | | 206,054 | | |
| EUR | 141,892 | | | Term Loan, 6.80%, Maturing February 21, 2015 | | | 194,642 | | |
| EUR | 52,703 | | | Term Loan, 6.80%, Maturing February 21, 2015 | | | 72,296 | | |
| EUR | 109,459 | | | Term Loan, 6.80%, Maturing February 21, 2015 | | | 150,153 | | |
| EUR | 445,946 | | | Term Loan, 6.80%, Maturing February 21, 2015 | | | 611,733 | | |
| RadNet Management, Inc. | | | |
| | 1,645,875 | | | Term Loan, 8.83%, Maturing November 15, 2012 | | | 1,649,990 | | |
| Renal Advantage, Inc. | | | |
| | 1,108,475 | | | Term Loan, 7.85%, Maturing October 5, 2012 | | | 1,119,560 | | |
| Select Medical Holding Corp. | | | |
| | 6,171,855 | | | Term Loan, 7.36%, Maturing February 24, 2012 | | | 6,158,709 | | |
| Sunrise Medical Holdings, Inc. | | | |
| | 2,692,477 | | | Term Loan, 8.88%, Maturing May 13, 2010 | | | 2,665,553 | | |
| Vanguard Health Holding Co., LLC | | | |
| | 6,924,764 | | | Term Loan, 7.60%, Maturing September 23, 2011 | | | 6,979,594 | | |
| Ventiv Health, Inc. | | | |
| | 1,688,571 | | | Term Loan, 6.85%, Maturing October 5, 2011 | | | 1,688,571 | | |
| VWR International, Inc. | | | |
| | 3,895,793 | | | Term Loan, 7.61%, Maturing April 7, 2011 | | | 3,915,271 | | |
| | | | | | | $ | 210,725,466 | | |
| Home Furnishings - 1.4% | | | |
| Interline Brands, Inc. | | | |
| $ | 2,804,891 | | | Term Loan, 7.07%, Maturing June 23, 2013 | | $ | 2,810,150 | | |
| | 1,940,217 | | | Term Loan, 7.07%, Maturing June 23, 2013 | | | 1,943,855 | | |
| Knoll, Inc. | | | |
| | 5,192,634 | | | Term Loan, 7.10%, Maturing October 3, 2012 | | | 5,219,246 | | |
| National Bedding Co., LLC | | | |
| | 1,881,559 | | | Term Loan, 7.35%, Maturing August 31, 2011 | | | 1,888,615 | | |
| Oreck Corp. | | | |
| | 1,266,405 | | | Term Loan, 10.00%, Maturing February 2, 2012 | | | 1,234,745 | | |
| Sanitec, Ltd. Oy | | | |
| EUR | 3,000,000 | | | Term Loan, 6.56%, Maturing April 7, 2013 | | | 4,070,138 | | |
| EUR | 3,000,000 | | | Term Loan, 7.06%, Maturing April 7, 2014 | | | 4,085,276 | | |
| Sealy Mattress Co. | | | |
| | 3,468,750 | | | Term Loan, 6.86%, Maturing August 25, 2012 | | | 3,473,953 | | |
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Home Furnishings (continued) | | | |
| Simmons Co. | | | |
| $ | 9,060,869 | | | Term Loan, 7.41%, Maturing December 19, 2011 | | $ | 9,113,721 | | |
| | 2,000,000 | | | Term Loan, 10.65%, Maturing February 15, 2012 | | | 1,986,666 | | |
| | | | | | | $ | 35,826,365 | | |
| Industrial Equipment - 1.9% | | | |
| Aearo Technologies, Inc. | | | |
| $ | 2,623,500 | | | Term Loan, 7.85%, Maturing March 22, 2013 | | $ | 2,644,270 | | |
| Alliance Laundry Holdings, LLC | | | |
| | 1,587,064 | | | Term Loan, 7.61%, Maturing January 27, 2012 | | | 1,600,951 | | |
| Colfax Corp. | | | |
| | 5,021,805 | | | Term Loan, 7.63%, Maturing May 30, 2009 | | | 5,053,191 | | |
| Flowserve Corp. | | | |
| | 6,889,363 | | | Term Loan, 6.88%, Maturing August 10, 2012 | | | 6,906,159 | | |
| Foamex L.P. | | | |
| | 4,000,000 | | | Term Loan, 7.60%, Maturing February 12, 2013 | | | 3,997,188 | | |
| Generac Acquisition Corp. | | | |
| | 3,786,750 | | | Term Loan, 7.85%, Maturing November 7, 2013 | | | 3,764,435 | | |
| | 2,000,000 | | | Term Loan, 11.35%, Maturing April 7, 2014 | | | 1,925,834 | | |
| Gleason Corp. | | | |
| | 1,793,939 | | | Term Loan, 7.60%, Maturing June 30, 2013 | | | 1,809,077 | | |
| | 1,900,000 | | | Term Loan, 10.84%, Maturing December 31, 2013 | | | 1,921,375 | | |
| John Maneely Co. | | | |
| | 5,991,504 | | | Term Loan, 8.62%, Maturing December 8, 2013 | | | 5,990,102 | | |
| Kion Group GMBH | | | |
| | 750,000 | | | Term Loan, 7.58%, Maturing December 23, 2014 | | | 760,506 | | |
| | 750,000 | | | Term Loan, 7.83%, Maturing December 23, 2015 | | | 764,256 | | |
| PP Acquisition Corp. | | | |
| | 6,617,665 | | | Term Loan, 8.32%, Maturing November 12, 2011 | | | 6,634,209 | | |
| TFS Acquisition Corp. | | | |
| | 1,965,125 | | | Term Loan, 8.85%, Maturing August 11, 2013 | | | 1,979,863 | | |
| TNT Logistics Holdings | | | |
| EUR | 435,446 | | | Term Loan, 6.42%, Maturing January 4, 2014 | | | 592,498 | | |
| EUR | 554,733 | | | Term Loan, 6.48%, Maturing January 4, 2014 | | | 754,808 | | |
| EUR | 265,805 | | | Term Loan, 6.48%, Maturing January 4, 2014 | | | 361,673 | | |
| EUR | 451,367 | | | Term Loan, 6.48%, Maturing January 4, 2014 | | | 614,161 | | |
| | | | | | | $ | 48,074,556 | | |
| Insurance - 0.8% | | | |
| ARG Holding, Inc. | | | |
| $ | 3,629,063 | | | Term Loan, 8.38%, Maturing November 30, 2011 | | $ | 3,660,817 | | |
| CCC Information Services Group | | | |
| | 2,162,667 | | | Term Loan, 7.85%, Maturing February 10, 2013 | | | 2,175,509 | | |
| Conseco, Inc. | | | |
| | 8,084,375 | | | Term Loan, 7.32%, Maturing October 10, 2013 | | | 8,127,327 | | |
See notes to financial statements
18
Senior Debt Portfolio as of May 31, 2007
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Insurance (continued) | | | |
| Hilb, Rogal & Hobbs Co. | | | |
| $ | 2,895,750 | | | Term Loan, 6.85%, Maturing April 26, 2013 | | $ | 2,900,577 | | |
| U.S.I. Holdings Corp. | | | |
| | 2,775,000 | | | Term Loan, 8.11%, Maturing May 4, 2014 | | | 2,802,173 | | |
| | | | | | | $ | 19,666,403 | | |
| Leisure Goods / Activities / Movies - 5.3% | | | |
| 24 Hour Fitness Worldwide, Inc. | | | |
| $ | 5,821,200 | | | Term Loan, 7.85%, Maturing June 8, 2012 | | $ | 5,861,221 | | |
| Alliance Atlantis Communications, Inc. | | | |
| | 2,223,620 | | | Term Loan, 6.82%, Maturing December 31, 2011 | | | 2,224,663 | | |
| AMC Entertainment, Inc. | | | |
| | 6,073,125 | | | Term Loan, 7.07%, Maturing January 26, 2013 | | | 6,114,878 | | |
| AMF Bowling Worldwide, Inc. | | | |
| | 1,843,176 | | | Term Loan, 8.32%, Maturing August 27, 2009 | | | 1,855,848 | | |
| Bombardier Recreational Product | | | |
| | 5,650,633 | | | Term Loan, 7.86%, Maturing June 28, 2013 | | | 5,699,194 | | |
| Carmike Cinemas, Inc. | | | |
| | 2,991,985 | | | Term Loan, 8.59%, Maturing May 19, 2012 | | | 3,024,843 | | |
| | 2,212,823 | | | Term Loan, 8.61%, Maturing May 19, 2012 | | | 2,237,125 | | |
| Cedar Fair, L.P. | | | |
| | 10,977,100 | | | Term Loan, 7.32%, Maturing August 30, 2012 | | | 11,103,348 | | |
| Cinemark, Inc. | | | |
| | 10,596,750 | | | Term Loan, 7.13%, Maturing October 5, 2013 | | | 10,656,367 | | |
| Deluxe Entertainment Services | | | |
| | 96,457 | | | Term Loan, 5.26%, Maturing January 28, 2011 | | | 96,999 | | |
| | 2,160,630 | | | Term Loan, 7.61%, Maturing January 28, 2011 | | | 2,172,783 | | |
| | 192,913 | | | Term Loan, 7.61%, Maturing January 28, 2011 | | | 192,913 | | |
| DW Funding, LLC | | | |
| | 2,900,000 | | | Term Loan, 7.23%, Maturing April 30, 2011 | | | 2,921,750 | | |
| Easton-Bell Sports, Inc. | | | |
| | 1,496,222 | | | Term Loan, 7.07%, Maturing March 16, 2012 | | | 1,499,495 | | |
| Fender Musical Instruments Co. | | | |
| | 282,037 | | | Term Loan, 8.07%, Maturing March 30, 2012 | | | 286,268 | | |
| HEI Acquisition, LLC | | | |
| | 3,000,000 | | | Term Loan, 9.36%, Maturing April 13, 2014 | | | 2,985,000 | | |
| Metro-Goldwyn-Mayer Holdings, Inc. | | | |
| | 20,218,256 | | | Term Loan, 8.60%, Maturing April 8, 2012 | | | 20,304,346 | | |
| National Cinemedia, LLC | | | |
| | 2,700,000 | | | Term Loan, 7.09%, Maturing February 13, 2015 | | | 2,705,303 | | |
| Regal Cinemas Corp. | | | |
| | 12,688,744 | | | Term Loan, 6.85%, Maturing November 10, 2010 | | | 12,740,298 | | |
| Revolution Studios | | | |
| | 5,280,147 | | | Term Loan, 9.07%, Maturing December 21, 2014 | | | 5,319,748 | | |
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Leisure Goods / Activities / Movies (continued) | | | |
| Revolution Studios Distribution Co., LLC | | | |
| $ | 2,825,000 | | | Term Loan, 12.32%, Maturing June 21, 2015 | | $ | 2,853,250 | | |
| Southwest Sports Group, LLC | | | |
| | 3,725,000 | | | Term Loan, 7.88%, Maturing December 22, 2010 | | | 3,726,166 | | |
| Universal City Development Partners, Ltd. | | | |
| | 6,256,073 | | | Term Loan, 7.36%, Maturing June 9, 2011 | | | 6,306,903 | | |
| WMG Acquisition Corp. | | | |
| | 2,850,000 | | | Revolving Loan, 0.00%, Maturing February 28, 2010(2) | | | 2,790,150 | | |
| | 20,257,049 | | | Term Loan, 7.36%, Maturing February 28, 2011 | | | 20,363,399 | | |
| | | | | | | $ | 136,042,258 | | |
| Lodging and Casinos - 4.2% | | | |
| Ameristar Casinos, Inc. | | | |
| $ | 3,579,688 | | | Term Loan, 6.82%, Maturing November 10, 2012 | | $ | 3,583,267 | | |
| Bally Technologies, Inc. | | | |
| | 8,510,033 | | | Term Loan, 8.61%, Maturing September 5, 2009 | | | 8,595,134 | | |
| CCM Merger, Inc. | | | |
| | 2,859,044 | | | Term Loan, 7.35%, Maturing April 25, 2012 | | | 2,880,932 | | |
| Choctaw Resort Development Enterprise | | | |
| | 1,359,026 | | | Term Loan, 7.07%, Maturing November 4, 2011 | | | 1,365,821 | | |
| Dionysos Leisure Entertainment | | | |
| EUR | 1,500,000 | | | Term Loan, 5.17%, Maturing June 30, 2014(2) | | | 2,040,763 | | |
| EUR | 1,500,000 | | | Term Loan, 5.47%, Maturing June 30, 2015(2) | | | 2,050,855 | | |
| Fairmont Hotels and Resorts, Inc. | | | |
| | 1,613,203 | | | Term Loan, 8.57%, Maturing May 12, 2011 | | | 1,627,318 | | |
| Full Moon Holdco 3 Ltd. | | | |
| GBP | 500,000 | | | Term Loan, 7.83%, Maturing November 20, 2014 | | | 993,907 | | |
| GBP | 500,000 | | | Term Loan, 8.33%, Maturing November 20, 2015 | | | 1,000,000 | | |
| Gala Electric Casinos, Ltd. | | | |
| GBP | 4,562,600 | | | Term Loan, 8.11%, Maturing December 12, 2013 | | | 9,128,302 | | |
| GBP | 4,562,600 | | | Term Loan, 8.61%, Maturing December 12, 2014 | | | 9,164,520 | | |
| Green Valley Ranch Gaming, LLC | | | |
| | 1,662,273 | | | Term Loan, 7.36%, Maturing February 16, 2014 | | | 1,674,667 | | |
| Herbst Gaming, Inc. | | | |
| | 2,941,667 | | | Term Loan, 7.23%, Maturing December 2, 2011 | | | 2,955,763 | | |
| | 5,270,125 | | | Term Loan, 7.24%, Maturing December 2, 2011 | | | 5,299,221 | | |
| Isle of Capri Casinos, Inc. | | | |
| | 7,558,214 | | | Term Loan, 7.08%, Maturing February 4, 2012 | | | 7,599,157 | | |
| Lodgenet Entertainment Corp. | | | |
| | 2,750,000 | | | Term Loan, 7.34%, Maturing April 4, 2014 | | | 2,773,634 | | |
| Penn National Gaming, Inc. | | | |
| | 23,180,333 | | | Term Loan, 7.11%, Maturing October 3, 2012 | | | 23,368,673 | | |
| Pinnacle Entertainment, Inc. | | | |
| | 2,350,000 | | | Term Loan, 0.00%, Maturing December 14, 2011(2) | | | 2,353,673 | | |
| | 2,025,000 | | | Term Loan, 7.32%, Maturing December 14, 2011 | | | 2,035,969 | | |
See notes to financial statements
19
Senior Debt Portfolio as of May 31, 2007
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Lodging and Casinos (continued) | | | |
| Seminole Tribe of Florida | | | |
| $ | 1,377,328 | | | Term Loan, 6.88%, Maturing March 5, 2014 | | $ | 1,381,202 | | |
| | 1,364,575 | | | Term Loan, 6.88%, Maturing March 5, 2014 | | | 1,368,413 | | |
| | 408,097 | | | Term Loan, 6.88%, Maturing March 5, 2014(2) | | | 409,245 | | |
| Trump Entertainment Resorts Holdings, L.P. | | | |
| | 2,517,656 | | | Term Loan, 7.86%, Maturing May 20, 2012 | | | 2,535,753 | | |
| | 2,517,656 | | | Term Loan, 7.87%, Maturing May 20, 2012 | | | 2,535,753 | | |
| VML US Finance, LLC | | | |
| | 1,400,000 | | | Term Loan, 7.67%, Maturing May 25, 2012 | | | 1,408,203 | | |
| | 2,800,000 | | | Term Loan, 7.60%, Maturing May 25, 2013 | | | 2,828,955 | | |
| Wimar Opco, LLC | | | |
| | 2,822,791 | | | Term Loan, 7.85%, Maturing January 3, 2012 | | | 2,851,724 | | |
| | | | | | | $ | 105,810,824 | | |
| Nonferrous Metals / Minerals - 2.2% | | | |
| Alpha Natural Resources, LLC | | | |
| $ | 2,888,437 | | | Term Loan, 7.10%, Maturing October 26, 2012 | | $ | 2,898,819 | | |
| Carmeuse Lime, Inc. | | | |
| | 1,992,534 | | | Term Loan, 7.13%, Maturing May 2, 2011 | | | 1,997,515 | | |
| CII Carbon, LLC | | | |
| | 1,793,063 | | | Term Loan, 7.38%, Maturing August 23, 2012 | | | 1,800,907 | | |
| Euramax Europe B.V. | | | |
| EUR | 1,398,198 | | | Term Loan, 7.20%, Maturing June 29, 2012 | | | 1,873,645 | | |
| Euramax International, Inc. | | | |
| | 2,133,382 | | | Term Loan, 8.38%, Maturing June 28, 2012 | | | 2,133,826 | | |
| Freeport-McMoran Copper and Gold | | | |
| | 13,929,920 | | | Term Loan, 7.07%, Maturing March 19, 2014 | | | 13,993,970 | | |
| Magnum Coal Co. | | | |
| | 602,273 | | | Term Loan, 8.57%, Maturing March 15, 2013 | | | 601,520 | | |
| | 5,962,500 | | | Term Loan, 8.57%, Maturing March 15, 2013 | | | 5,955,047 | | |
| Murray Energy Corp. | | | |
| | 1,544,450 | | | Term Loan, 8.36%, Maturing January 28, 2010 | | | 1,563,756 | | |
| Noranda Aluminum Acquisition | | | |
| | 1,550,000 | | | Term Loan, 7.32%, Maturing May 18, 2014 | | | 1,560,656 | | |
| Novelis, Inc. | | | |
| | 4,902,586 | | | Term Loan, 7.59%, Maturing January 6, 2012 | | | 4,917,524 | | |
| | 2,822,783 | | | Term Loan, 7.61%, Maturing January 6, 2012 | | | 2,831,384 | | |
| Oxbow Carbon and Mineral Holdings | | | |
| | 382,550 | | | Term Loan, 0.00%, Maturing May 8, 2014(2) | | | 384,702 | | |
| | 4,367,450 | | | Term Loan, 7.34%, Maturing May 8, 2014 | | | 4,392,017 | | |
| Stillwater Mining Co. | | | |
| | 4,360,322 | | | Term Loan, 7.63%, Maturing June 30, 2007 | | | 4,382,123 | | |
| | 1,320,000 | | | Revolving Loan, 5.32%, Maturing June 30, 2007(2) | | | 1,306,800 | | |
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Nonferrous Metals / Minerals (continued) | | | |
| Thompson Creek Metals Co. | | | |
| $ | 2,943,309 | | | Term Loan, 10.07%, Maturing October 26, 2012 | | $ | 2,980,100 | | |
| | | | | | | $ | 55,574,311 | | |
| Oil and Gas - 2.7% | | | |
| Big West Oil, LLC | | | |
| $ | 1,333,750 | | | Term Loan, 0.00%, Maturing May 1, 2014(2) | | $ | 1,342,086 | | |
| | 1,091,250 | | | Term Loan, 9.50%, Maturing May 1, 2014 | | | 1,098,070 | | |
| Concho Resources, Inc. | | | |
| | 7,125,000 | | | Term Loan, 8.60%, Maturing March 27, 2012 | | | 7,142,813 | | |
| Dresser, Inc. | | | |
| | 4,875,000 | | | Term Loan, 7.86%, Maturing May 4, 2014 | | | 4,921,620 | | |
| Dynegy Holdings, Inc. | | | |
| | 4,382,979 | | | Term Loan, 6.82%, Maturing April 2, 2013 | | | 4,386,814 | | |
| | 767,021 | | | Term Loan, 6.82%, Maturing April 2, 2013 | | | 767,692 | | |
| El Paso Corp. | | | |
| | 4,150,000 | | | Term Loan, 5.23%, Maturing July 31, 2011 | | | 4,175,290 | | |
| Energy Transfer Equity, L.P. | | | |
| | 5,825,000 | | | Term Loan, 7.11%, Maturing February 8, 2012 | | | 5,867,645 | | |
| Key Energy Services, Inc. | | | |
| | 4,112,937 | | | Term Loan, 7.85%, Maturing June 30, 2012 | | | 4,139,931 | | |
| Kinder Morgan, Inc. | | | |
| | 9,000,000 | | | Term Loan, Maturing May 21, 2014(8) | | | 9,000,000 | | |
| Niska Gas Storage | | | |
| | 781,818 | | | Term Loan, 7.07%, Maturing May 13, 2011 | | | 784,261 | | |
| | 711,257 | | | Term Loan, 7.09%, Maturing May 13, 2011 | | | 714,147 | | |
| | 481,798 | | | Term Loan, 7.11%, Maturing May 13, 2011 | | | 483,304 | | |
| | 4,102,537 | | | Term Loan, 7.09%, Maturing May 12, 2013 | | | 4,119,206 | | |
| Petroleum Geo-Services ASA | | | |
| | 931,547 | | | Term Loan, 7.60%, Maturing December 16, 2012 | | | 938,883 | | |
| Primary Natural Resources, Inc. | | | |
| | 1,980,000 | | | Term Loan, 9.32%, Maturing July 28, 2010(3) | | | 1,977,822 | | |
| Targa Resources, Inc. | | | |
| | 1,225,740 | | | Term Loan, 5.23%, Maturing October 31, 2012 | | | 1,235,795 | | |
| | 7,532,549 | | | Term Loan, 7.36%, Maturing October 31, 2012 | | | 7,594,339 | | |
| Volnay Acquisition Co. | | | |
| | 5,087,250 | | | Term Loan, 7.35%, Maturing January 12, 2014 | | | 5,139,181 | | |
| W&T Offshore, Inc. | | | |
| | 1,800,000 | | | Term Loan, 7.60%, Maturing May 26, 2010 | | | 1,814,999 | | |
| | | | | | | $ | 67,643,898 | | |
See notes to financial statements
20
Senior Debt Portfolio as of May 31, 2007
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Publishing - 7.9% | | | |
| American Media Operations, Inc. | | | |
| $ | 12,000,000 | | | Term Loan, 8.59%, Maturing January 31, 2013 | | $ | 12,092,496 | | |
| Black Press US Partnership | | | |
| | 665,526 | | | Term Loan, 7.36%, Maturing August 2, 2013 | | | 670,726 | | |
| | 1,096,161 | | | Term Loan, 7.36%, Maturing August 2, 2013 | | | 1,104,725 | | |
| CBD Media, LLC | | | |
| | 2,431,863 | | | Term Loan, 7.82%, Maturing December 31, 2009 | | | 2,448,582 | | |
| Dex Media East, LLC | | | |
| | 4,505,527 | | | Term Loan, 6.85%, Maturing May 8, 2009 | | | 4,510,645 | | |
| Dex Media West, LLC | | | |
| | 7,467,119 | | | Term Loan, 6.85%, Maturing March 9, 2010 | | | 7,483,458 | | |
| GateHouse Media Operating, Inc. | | | |
| | 2,061,957 | | | Term Loan, 7.35%, Maturing August 28, 2014 | | | 2,061,635 | | |
| | 4,838,043 | | | Term Loan, 7.36%, Maturing August 28, 2014 | | | 4,837,289 | | |
| | 2,225,000 | | | Term Loan, 7.61%, Maturing August 28, 2014 | | | 2,228,244 | | |
| Idearc, Inc. | | | |
| | 22,817,813 | | | Term Loan, 7.35%, Maturing November 17, 2014 | | | 23,011,079 | | |
| Josten's Corp. | | | |
| | 4,200,057 | | | Term Loan, 7.33%, Maturing October 4, 2011 | | | 4,226,745 | | |
| MediaNews Group, Inc. | | | |
| | 3,002,313 | | | Term Loan, 7.09%, Maturing August 2, 2013 | | | 3,007,942 | | |
| Mediannuaire Holding | | | |
| EUR | 500,000 | | | Term Loan, 6.14%, Maturing October 10, 2014 | | | 683,334 | | |
| EUR | 500,000 | | | Term Loan, 6.64%, Maturing October 10, 2015 | | | 686,698 | | |
| Merrill Communications, LLC | | | |
| | 5,681,154 | | | Term Loan, 7.58%, Maturing February 9, 2009 | | | 5,712,224 | | |
| Nebraska Book Co., Inc. | | | |
| | 3,993,257 | | | Term Loan, 7.83%, Maturing March 4, 2011 | | | 4,018,215 | | |
| Newspaper Holdings, Inc. | | | |
| | 7,650,000 | | | Term Loan, 6.88%, Maturing August 24, 2012 | | | 7,621,313 | | |
| Pages Juanes Groupe S.A. | | | |
| EUR | 1,500,000 | | | Term Loan, 5.64%, Maturing October 24, 2013 | | | 2,037,227 | | |
| Penton Media, Inc. | | | |
| | 1,800,000 | | | Term Loan, 7.60%, Maturing February 1, 2013 | | | 1,810,969 | | |
| Philadelphia Newspapers, LLC | | | |
| | 2,199,131 | | | Term Loan, 8.10%, Maturing June 29, 2013 | | | 2,210,127 | | |
| R.H. Donnelley Corp. | | | |
| | 198,368 | | | Term Loan, 6.58%, Maturing December 31, 2009 | | | 198,358 | | |
| | 10,246,116 | | | Term Loan, 6.85%, Maturing June 30, 2010 | | | 10,278,135 | | |
| Reader's Digest Association | | | |
| | 4,750,000 | | | Revolving Loan, 8.18%, Maturing March 2, 2013(2) | | | 4,678,750 | | |
| | 16,400,000 | | | Term Loan, 7.34%, Maturing March 2, 2014 | | | 16,453,808 | | |
| Riverdeep Interactive Learning USA, Inc. | | | |
| | 10,029,797 | | | Term Loan, 8.10%, Maturing December 20, 2013 | | | 10,094,570 | | |
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Publishing (continued) | | | |
| Seat Pagine Gialle Spa | | | |
| EUR | 5,419,677 | | | Term Loan, 6.22%, Maturing May 25, 2012 | | $ | 7,362,271 | | |
| Source Media, Inc. | | | |
| | 2,191,079 | | | Term Loan, 7.60%, Maturing November 8, 2011 | | | 2,214,360 | | |
| SP Newsprint Co. | | | |
| | 4,511,111 | | | Term Loan, 5.32%, Maturing January 9, 2010 | | | 4,528,028 | | |
| Springer Science+Business Media | | | |
| | 972,973 | | | Term Loan, 7.74%, Maturing May 5, 2011 | | | 980,270 | | |
| | 972,973 | | | Term Loan, 8.11%, Maturing May 5, 2012 | | | 985,246 | | |
| | 1,054,054 | | | Term Loan, 8.11%, Maturing May 5, 2012 | | | 1,067,469 | | |
| Sun Media Corp. | | | |
| | 4,739,479 | | | Term Loan, 7.11%, Maturing February 7, 2009 | | | 4,752,812 | | |
| The Star Tribune Co. | | | |
| | 1,650,000 | | | Term Loan, 7.59%, Maturing March 5, 2014 | | | 1,635,219 | | |
| Tribune Co. | | | |
| | 6,600,000 | | | Term Loan, Maturing May 17, 2009(8) | | | 6,647,025 | | |
| | 9,875,000 | | | Term Loan, Maturing May 17, 2014(8) | | | 9,882,051 | | |
| Valassis Communications, Inc. | | | |
| | 1,643,927 | | | Term Loan, 7.10%, Maturing March 2, 2014 | | | 1,642,488 | | |
| Xsys US, Inc. | | | |
| | 3,795,776 | | | Term Loan, 7.57%, Maturing September 27, 2013 | | | 3,844,013 | | |
| | 3,877,093 | | | Term Loan, 7.57%, Maturing September 27, 2014 | | | 3,926,363 | | |
| Xsys, Inc. | | | |
| EUR | 1,546,742 | | | Term Loan, 6.28%, Maturing September 27, 2014 | | | 2,118,151 | | |
| | 1,290,100 | | | Term Loan, 9.61%, Maturing September 27, 2015 | | | 1,316,977 | | |
| YBR Acquisition BV | | | |
| EUR | 750,000 | | | Term Loan, 6.34%, Maturing June 30, 2013 | | | 1,023,219 | | |
| EUR | 2,500,000 | | | Term Loan, 6.34%, Maturing June 30, 2013 | | | 3,410,732 | | |
| EUR | 750,000 | | | Term Loan, 6.84%, Maturing June 30, 2014 | | | 1,027,206 | | |
| EUR | 2,500,000 | | | Term Loan, 6.84%, Maturing June 30, 2014 | | | 3,424,020 | | |
| Yell Group, PLC | | | |
| | 3,850,000 | | | Term Loan, 7.32%, Maturing February 10, 2013 | | | 3,886,968 | | |
| | | | | | | $ | 199,842,182 | | |
| Radio and Television - 4.4% | | | |
| ALM Media Holdings, Inc. | | | |
| $ | 4,128,806 | | | Term Loan, 7.85%, Maturing March 4, 2010 | | $ | 4,141,065 | | |
| Block Communications, Inc. | | | |
| | 1,824,396 | | | Term Loan, 7.35%, Maturing December 22, 2011 | | | 1,827,817 | | |
| Cequel Communications, LLC | | | |
| | 16,250,000 | | | Term Loan, 7.35%, Maturing November 5, 2013 | | | 16,278,438 | | |
| CMP Susquehanna Corp. | | | |
| | 4,209,857 | | | Term Loan, 7.36%, Maturing May 5, 2013 | | | 4,240,555 | | |
| Cumulus Media, Inc. | | | |
| | 1,903,600 | | | Term Loan, 7.40%, Maturing June 7, 2013 | | | 1,912,608 | | |
See notes to financial statements
21
Senior Debt Portfolio as of May 31, 2007
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Radio and Television (continued) | | | |
| Discovery Communications, Inc. | | | |
| $ | 8,050,000 | | | Term Loan, 7.34%, Maturing April 30, 2014 | | $ | 8,127,988 | | |
| Emmis Operating Co. | | | |
| | 2,350,000 | | | Term Loan, 7.35%, Maturing November 2, 2013 | | | 2,369,242 | | |
| Gray Television, Inc. | | | |
| | 3,960,000 | | | Term Loan, 6.85%, Maturing January 19, 2015 | | | 3,959,996 | | |
| Intelsat Bermuda, Ltd. | | | |
| | 3,875,000 | | | Term Loan, 7.86%, Maturing February 1, 2014 | | | 3,895,069 | | |
| Intelsat Subsuduary Holding Co. | | | |
| | 2,735,627 | | | Term Loan, 7.35%, Maturing July 3, 2013 | | | 2,761,273 | | |
| LBI Media, Inc. | | | |
| | 1,980,000 | | | Term Loan, 6.82%, Maturing March 31, 2012 | | | 1,965,150 | | |
| NEP II, Inc. | | | |
| | 2,175,000 | | | Term Loan, 7.60%, Maturing February 16, 2014 | | | 2,190,292 | | |
| Nexstar Broadcasting, Inc. | | | |
| | 4,572,414 | | | Term Loan, 7.10%, Maturing October 1, 2012 | | | 4,569,551 | | |
| | 4,331,937 | | | Term Loan, 7.10%, Maturing October 1, 2012 | | | 4,329,225 | | |
| NextMedia Operating, Inc. | | | |
| | 933,929 | | | Term Loan, 7.32%, Maturing November 15, 2012 | | | 934,746 | | |
| | 415,075 | | | Term Loan, 7.32%, Maturing November 15, 2012 | | | 415,439 | | |
| PanAmSat Corp. | | | |
| | 7,487,375 | | | Term Loan, 7.35%, Maturing January 3, 2014 | | | 7,556,169 | | |
| Paxson Communications Corp. | | | |
| | 8,300,000 | | | Term Loan, 8.61%, Maturing January 15, 2012 | | | 8,497,125 | | |
| Raycom TV Broadcasting, LLC | | | |
| | 9,080,577 | | | Term Loan, 6.88%, Maturing August 28, 2013 | | | 9,080,577 | | |
| SFX Entertainment | | | |
| | 4,641,250 | | | Term Loan, 8.09%, Maturing June 21, 2013 | | | 4,661,555 | | |
| Spanish Broadcasting System | | | |
| | 6,223,000 | | | Term Loan, 7.10%, Maturing June 10, 2012 | | | 6,232,727 | | |
| Tyrol Acquisition 2 SAS | | | |
| EUR | 2,800,000 | | | Term Loan, 6.07%, Maturing January 19, 2015 | | | 3,818,787 | | |
| EUR | 2,800,000 | | | Term Loan, 6.32%, Maturing January 19, 2016 | | | 3,835,189 | | |
| EUR | 1,250,000 | | | Term Loan, 7.32%, Maturing July 19, 2016 | | | 1,721,534 | | |
| Young Broadcasting, Inc. | | | |
| | 3,571,388 | | | Term Loan, 7.88%, Maturing November 3, 2012 | | | 3,596,834 | | |
| | | | | | | $ | 112,918,951 | | |
| Rail Industries - 0.4% | | | |
| Kansas City Southern Railway Co. | | | |
| $ | 6,252,750 | | | Term Loan, 7.07%, Maturing March 30, 2008 | | $ | 6,274,897 | | |
| RailAmerica, Inc. | | | |
| | 5,125,000 | | | Term Loan, 7.61%, Maturing August 14, 2008 | | | 5,141,016 | | |
| | | | | | | $ | 11,415,913 | | |
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Retailers (Except Food and Drug) - 2.9% | | | |
| Amscan Holdings, Inc. | | | |
| $ | 1,600,000 | | | Term Loan, 7.63%, Maturing May 25, 2013 | | $ | 1,608,000 | | |
| Claire's Stores, Inc. | | | |
| | 1,175,000 | | | Term Loan, Maturing May 24, 2014(8) | | | 1,169,125 | | |
| Coinmach Laundry Corp. | | | |
| | 11,541,491 | | | Term Loan, 7.88%, Maturing December 19, 2012 | | | 11,633,465 | | |
| Cumberland Farms, Inc. | | | |
| | 4,228,750 | | | Term Loan, 7.35%, Maturing September 29, 2013 | | | 4,263,109 | | |
| Hanesbrands, Inc. | | | |
| | 4,838,723 | | | Term Loan, 7.11%, Maturing September 5, 2013 | | | 4,871,989 | | |
| | 2,025,000 | | | Term Loan, 9.11%, Maturing March 5, 2014 | | | 2,077,207 | | |
| Harbor Freight Tools USA, Inc. | | | |
| | 7,265,013 | | | Term Loan, 7.57%, Maturing July 15, 2010 | | | 7,331,611 | | |
| Home Interiors & Gifts, Inc. | | | |
| | 2,694,097 | | | Term Loan, 10.35%, Maturing March 31, 2011 | | | 1,990,264 | | |
| Mapco Express, Inc. | | | |
| | 1,925,055 | | | Term Loan, 8.09%, Maturing April 28, 2011 | | | 1,937,087 | | |
| Mauser Werke GMBH & Co. KG | | | |
| | 3,825,000 | | | Term Loan, 8.07%, Maturing December 3, 2011 | | | 3,848,906 | | |
| Neiman Marcus Group, Inc. | | | |
| | 2,818,987 | | | Term Loan, 7.35%, Maturing April 5, 2013 | | | 2,844,423 | | |
| Oriental Trading Co., Inc. | | | |
| | 1,000,000 | | | Term Loan, 11.36%, Maturing January 31, 2013 | | | 1,024,363 | | |
| | 5,860,737 | | | Term Loan, 7.61%, Maturing July 31, 2013 | | | 5,869,898 | | |
| Pamida Holdings Company, Inc. | | | |
| | 1,363,000 | | | Revolving Loan, 0.00%, Maturing December 28, 2010(2) | | | 1,356,185 | | |
| Pantry, Inc. (The) | | | |
| | 788,889 | | | Term Loan, 0.00%, Maturing May 15, 2014(2) | | | 788,889 | | |
| | 2,761,111 | | | Term Loan, 7.07%, Maturing May 15, 2014 | | | 2,761,111 | | |
| Rent-A-Center, Inc. | | | |
| | 4,167,571 | | | Term Loan, 7.11%, Maturing November 15, 2012 | | | 4,181,899 | | |
| Savers, Inc. | | | |
| | 1,045,508 | | | Term Loan, 8.11%, Maturing August 11, 2012 | | | 1,055,963 | | |
| | 1,187,740 | | | Term Loan, 8.11%, Maturing August 11, 2012 | | | 1,199,617 | | |
| Shopko Stores, Inc. | | | |
| | 3,633,000 | | | Revolving Loan, 6.82%, Maturing December 28, 2010(2) | | | 3,621,647 | | |
| Stewert Enterprises, Inc. | | | |
| | 855,702 | | | Term Loan, 7.13%, Maturing November 19, 2011 | | | 858,911 | | |
| The Yankee Candle Company, Inc. | | | |
| | 2,525,000 | | | Term Loan, 7.35%, Maturing February 6, 2014 | | | 2,541,306 | | |
| Vivarte | | | |
| EUR | 2,000,000 | | | Term Loan, Maturing May 29, 2015(8) | | | 2,691,300 | | |
| EUR | 2,000,000 | | | Term Loan, Maturing May 29, 2016(8) | | | 2,691,300 | | |
| | | | | | | $ | 74,217,575 | | |
See notes to financial statements
22
Senior Debt Portfolio as of May 31, 2007
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Steel - 0.1% | | | |
| Gibraltar Industries, Inc. | | | |
| $ | 1,527,538 | | | Term Loan, 7.13%, Maturing December 8, 2010 | | $ | 1,526,583 | | |
| | | | | | | $ | 1,526,583 | | |
| Surface Transport - 1.1% | | | |
| Horizon Lines, LLC | | | |
| $ | 1,105,406 | | | Term Loan, 7.60%, Maturing July 7, 2011 | | $ | 1,114,043 | | |
| Oshkosh Truck Corp. | | | |
| | 5,610,938 | | | Term Loan, 7.10%, Maturing December 6, 2013 | | | 5,639,867 | | |
| Ozburn-Hessey Holding Co., LLC | | | |
| | 1,307,360 | | | Term Loan, 8.63%, Maturing August 9, 2012 | | | 1,310,629 | | |
| Sirva Worldwide, Inc. | | | |
| | 4,676,217 | | | Term Loan, 11.60%, Maturing December 1, 2010 | | | 4,568,080 | | |
| Swift Transportation Co., Inc. | | | |
| | 10,550,000 | | | Term Loan, 8.38%, Maturing May 10, 2014 | | | 10,541,433 | | |
| Vanguard Car Rental USA | | | |
| | 4,468,144 | | | Term Loan, 8.35%, Maturing June 14, 2013 | | | 4,510,033 | | |
| | | | | | | $ | 27,684,085 | | |
| Telecommunications - 4.6% | | | |
| Alaska Communications Systems Holdings, Inc. | | | |
| $ | 6,600,000 | | | Term Loan, 7.10%, Maturing February 1, 2012 | | $ | 6,629,462 | | |
| American Cellular Corp. | | | |
| | 3,850,000 | | | Term Loan, 7.32%, Maturing March 15, 2014 | | | 3,875,988 | | |
| Asurion Corp. | | | |
| | 2,295,333 | | | Term Loan, 8.32%, Maturing July 13, 2012 | | | 2,312,548 | | |
| BCM Luxembourg, Ltd. | | | |
| EUR | 1,500,000 | | | Term Loan, 5.90%, Maturing September 30, 2014 | | | 2,023,836 | | |
| EUR | 1,500,000 | | | Term Loan, 6.15%, Maturing September 30, 2015 | | | 2,042,247 | | |
| Centennial Cellular Operating Co., LLC | | | |
| | 9,175,000 | | | Term Loan, 7.35%, Maturing February 9, 2011 | | | 9,256,235 | | |
| Cincinnati Bell, Inc. | | | |
| | 1,357,250 | | | Term Loan, 6.82%, Maturing August 31, 2012 | | | 1,360,855 | | |
| Consolidated Communications, Inc. | | | |
| | 9,887,497 | | | Term Loan, 7.09%, Maturing July 27, 2015 | | | 9,933,850 | | |
| Crown Castle Operating Co. | | | |
| | 2,375,000 | | | Term Loan, 6.89%, Maturing January 9, 2014 | | | 2,382,885 | | |
| FairPoint Communications, Inc. | | | |
| | 8,075,000 | | | Term Loan, 7.13%, Maturing February 8, 2012 | | | 8,105,281 | | |
| Hawaiian Telcom Communications, Inc. | | | |
| | 2,646,267 | | | Term Loan, 7.60%, Maturing October 31, 2012 | | | 2,660,117 | | |
| Iowa Telecommunications Services | | | |
| | 3,234,000 | | | Term Loan, 7.10%, Maturing November 23, 2011 | | | 3,255,225 | | |
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Telecommunications (continued) | | | |
| IPC Systems, Inc. | | | |
| $ | 3,600,000 | | | Term Loan, Maturing May 31, 2014(8) | | $ | 3,600,000 | | |
| NTelos, Inc. | | | |
| | 5,255,633 | | | Term Loan, 7.57%, Maturing August 24, 2011 | | | 5,287,824 | | |
| Stratos Global Corp. | | | |
| | 3,390,750 | | | Term Loan, 8.10%, Maturing February 13, 2012 | | | 3,410,528 | | |
| Syniverse Holdings, Inc. | | | |
| | 1,624,112 | | | Term Loan, 7.10%, Maturing February 15, 2012 | | | 1,627,158 | | |
| Triton PCS, Inc. | | | |
| | 6,442,124 | | | Term Loan, 8.57%, Maturing November 18, 2009 | | | 6,497,153 | | |
| Univision Communications, Inc. | | | |
| | 2,600,000 | | | Term Loan, 7.82%, Maturing March 29, 2009 | | | 2,604,225 | | |
| | 1,519,128 | | | Term Loan, 0.00%, Maturing September 29, 2014(2) | | | 1,518,909 | | |
| | 23,630,872 | | | Term Loan, 7.61%, Maturing September 29, 2014 | | | 23,627,470 | | |
| Windstream Corp. | | | |
| | 9,543,971 | | | Term Loan, 6.86%, Maturing July 17, 2013 | | | 9,614,701 | | |
| Winstar Communications, Inc. | | | |
| | 3,852,804 | | | DIP Loan, 0.00%, Maturing June 30, 2007(9) | | | 5,914,054 | | |
| | | | | | | $ | 117,540,551 | | |
| Utilities - 2.6% | | | |
| AEI Finance Holding, LLC | | | |
| $ | 951,381 | | | Revolving Loan, 8.25%, Maturing March 30, 2012 | | $ | 957,922 | | |
| | 7,248,619 | | | Term Loan, 8.35%, Maturing March 30, 2014 | | | 7,298,453 | | |
| Astoria Generating Co. | | | |
| | 1,484,434 | | | Term Loan, 7.34%, Maturing February 23, 2013 | | | 1,494,825 | | |
| BRSP, LLC | | | |
| | 5,551,938 | | | Term Loan, 8.38%, Maturing July 13, 2009 | | | 5,579,697 | | |
| Calpine Corp. | | | |
| | 2,800,000 | | | DIP Loan, 7.59%, Maturing March 30, 2009 | | | 2,816,638 | | |
| Cellnet Group, Inc. | | | |
| | 1,249,633 | | | Term Loan, 7.34%, Maturing July 22, 2011 | | | 1,257,965 | | |
| Cogentrix Delaware Holdings, Inc. | | | |
| | 1,851,129 | | | Term Loan, 6.85%, Maturing April 14, 2012 | | | 1,856,914 | | |
| Covanta Energy Corp. | | | |
| | 1,995,876 | | | Term Loan, 5.24%, Maturing February 9, 2014 | | | 2,000,243 | | |
| | 4,054,124 | | | Term Loan, 6.88%, Maturing February 9, 2014 | | | 4,062,994 | | |
| Electricinvest Holding Co. | | | |
| EUR | 595,770 | | | Term Loan, 7.73%, Maturing October 24, 2012 | | | 810,049 | | |
| GBP | 600,000 | | | Term Loan, 9.43%, Maturing October 24, 2012 | | | 1,198,834 | | |
| Kemble Water Structure Ltd. | | | |
| GBP | 4,500,000 | | | Term Loan, 9.43%, Maturing October 13, 2013 | | | 8,995,699 | | |
| Mach General, LLC | | | |
| | 93,750 | | | Term Loan, 7.35%, Maturing February 22, 2013 | | | 93,853 | | |
| | 903,984 | | | Term Loan, 7.36%, Maturing February 22, 2014 | | | 904,662 | | |
See notes to financial statements
23
Senior Debt Portfolio as of May 31, 2007
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Principal
Amount | | Borrower/Tranche Description | | Value | |
| Utilities (continued) | | | |
| Mirant North America, LLC. | | | |
| $ | 2,840,269 | | | Term Loan, 7.07%, Maturing January 3, 2013 | | $ | 2,849,679 | | |
| NRG Energy, Inc. | | | |
| | 4,071,685 | | | Term Loan, 7.35%, Maturing February 1, 2013 | | | 4,083,020 | | |
| | 13,986,843 | | | Term Loan, 7.35%, Maturing February 1, 2013 | | | 14,025,167 | | |
| Pike Electric, Inc. | | | |
| | 2,603,750 | | | Term Loan, 6.88%, Maturing July 1, 2012 | | | 2,605,919 | | |
| Vulcan Energy Corp. | | | |
| | 4,072,323 | | | Term Loan, 6.86%, Maturing July 23, 2010 | | | 4,081,233 | | |
| | | | | | | $ | 66,973,766 | | |
| | | Total Senior, Floating Rate Interests
(identified cost, $2,789,044,351) | | $ | 2,822,375,449 | | |
| Corporate Bonds & Notes - 1.3% | | | |
Principal
Amount
(000's omitted) | | Security | | Value | |
| Building and Development - 0.5% | | | |
| Assemblies of God Financial Real Estate, Series 2004-1A, Class A, Variable Rate | | | |
| $ | 4,319 | | | 7.51%, 6/15/29(4) | | $ | 4,318,696 | | |
| Grohe Holding GMBH, Variable Rate | | | |
| EUR | 6,500 | | | 6.843%, 1/15/14 | | | 8,917,653 | | |
| | | | | | | $ | 13,236,349 | | |
| Cable and Satellite Television - 0.4% | | | |
| Iesy Hessen & ISH NRW, Variable Rate | | | |
| EUR | 7,000 | | | 6.88%, 4/15/13 | | $ | 9,655,039 | | |
| | | | | | | $ | 9,655,039 | | |
| Electronic / Electric - 0.1% | | | |
| NXP BV/ NXP Funding, LLC, Variable Rate | | | |
| $ | 2,300 | | | 8.106%, 10/15/13(4) | | $ | 2,380,500 | | |
| | | | | | | $ | 2,380,500 | | |
| Financial Intermediaries - 0.2% | | | |
| Carlyle High Yield Partners, Series 2004-6A, Class C, Variable Rate | | | |
| $ | 1,000 | | | 7.81%, 8/11/16(3)(4) | | $ | 1,003,350 | | |
| Sonata Securities S.A., Series 2006-5, Variable Rate | | | |
| | 950 | | | 8.863%, 6/27/07 | | | 959,125 | | |
| Sonata Securities S.A., Series 2006-6, Variable Rate | | | |
| | 2,646 | | | 8.863%, 6/27/07 | | | 2,670,984 | | |
| | | | | | | $ | 4,633,459 | | |
Principal
Amount
(000's omitted) | | Security | | Value | |
| Telecommunications - 0.1% | | | |
| Qwest Corp., Sr. Notes, Variable Rate | | | |
| $ | 3,150 | | | 8.605%, 6/15/13 | | $ | 3,465,000 | | |
| | | | | | | $ | 3,465,000 | | |
| | | Total Corporate Bonds & Notes
(identified cost, $31,354,253) | | $ | 33,370,347 | | |
| Common Stocks - 0.9% | | | |
| Shares | | Security | | Value | |
| | 31,622 | | | Citation Corp.(3)(5)(6) | | $ | 0 | | |
| | 33,278 | | | Environmental Systems Products Holdings, Inc.(3)(5)(6) | | | 0 | | |
| | 1,782 | | | Gentek, Inc.(5) | | | 62,833 | | |
| | 133,410 | | | Hayes Lemmerz International(5) | | | 764,439 | | |
| | 441,740 | | | Maxim Crane Works Holdings(5) | | | 22,749,631 | | |
| | 12,592 | | | RoTech Medical Corp.(3)(5)(6) | | | 31,984 | | |
| | 20,048 | | | Safelite Realty Corp.(3)(5)(6) | | | 320,167 | | |
| | | Total Common Stocks
(identified cost, $9,361,647) | | $ | 23,929,054 | | |
| Preferred Stocks - 0.0% | | | |
| Shares | | Security | | Value | |
| | 2,496 | | | Citation Corp. (PIK)(3)(5)(6) | | $ | 0 | | |
| | 445 | | | Hayes Lemmerz International(3)(5)(6) | | | 11,015 | | |
| | 218 | | | Key Plastics, LLC, Series A(3)(5)(6) | | | 0 | | |
| | | Total Preferred Stocks
(identified cost, $2,237,250) | | $ | 11,015 | | |
| Warrants - 0.0% | | | |
| Shares/Rights | | Security | | Value | |
| | 1,930 | | | Gentek, Inc., Class B(5)(6) | | $ | 91,115 | | |
| | 940 | | | Gentek, Inc., Class C(5)(6) | | | 46,765 | | |
| | | Total Warrants
(identified cost, $0) | | $ | 137,880 | | |
See notes to financial statements
24
Senior Debt Portfolio as of May 31, 2007
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
| Short-Term Investments - 2.3% | |
| Description | | Interest
(000's omitted) | | Value | |
Investment in Cash Management Portfolio,
4.73%, 6/1/07(7) | | $ | 57,156 | | | $ | 57,155,684 | | |
Total Short-Term Investments
(identified cost, $57,155,684) | | | | $ | 57,155,684 | | |
Total Investments - 115.4%
(identified cost, $2,889,153,185) | | | | $ | 2,936,979,429 | | |
Less Unfunded Loan
Commitments - (2.2)% | | | | $ | (54,912,174 | ) | |
Net Investments - 100.3%
(identified cost $2,834,241,011) | | | | $ | 2,882,067,255 | | |
| Other Assets, Less Liabilities - (13.2)% | | | | $ | (336,463,413 | ) | |
| Net Assets - 100.0% | | | | $ | 2,545,603,842 | | |
EUR - Euro
GBP - British Pound
PIK - Payment in Kind
REIT - Real Estate Investment Trust
(1) Senior floating-rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, it is anticipated that the senior floating-rate interests will have an expected average life of approximately two to three years. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility. Senior Loans typically have rates of interest which are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London-Interbank Offered Rate ("LIBOR"), and secondarily the prime rate offered by one or more major United States banks (the "Prime Rate") and the certificate of deposit ("CD") rate or other base lending rates used by commercial lenders.
(2) Unfunded loan commitments. See Note 1E for description.
(3) Security valued at fair value using methods determined in good faith by or at the direction of the Trustees.
(4) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At May 31, 2007, the aggregate value of the securities is $7,702,546 or 0.3% of the net assets.
(5) Non-income producing security.
(6) Restricted security.
(7) 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 May 31, 2007.
(8) This Senior Loan will settle after May 31, 2007, at which time the interest rate will be determined.
(9) Defaulted security. Currently the issuer is in default with respect to interest payments.
See notes to financial statements
25
Senior Debt Portfolio as of May 31, 2007
FINANCIAL STATEMENTS (Unaudited)
Statement of Assets and Liabilities
As of May 31, 2007
| Assets | |
Unaffiliated Investments, at value
(identified cost, $2,777,085,327) | | $ | 2,824,911,571 | | |
| Affiliated Investment, at value (identified cost, $57,155,684) | | | 57,155,684 | | |
| Cash | | | 15,050,911 | | |
| Foreign currency, at value (identified cost, $11,556,208) | | | 11,572,558 | | |
| Receivable for investments sold | | | 21,828,367 | | |
| Interest receivable | | | 26,843,856 | | |
| Interest receivable from affiliated investment | | | 262,384 | | |
| Receivable for open swap contracts | | | 519,987 | | |
| Receivable for open forward foreign currency contracts | | | 95,152 | | |
| Prepaid expenses | | | 258,257 | | |
| Total assets | | $ | 2,958,498,727 | | |
| Liabilities | |
| Demand note payable | | $ | 320,000,000 | | |
| Payable for investments purchased | | | 89,589,917 | | |
| Payable to affiliate for investment advisory fees | | | 1,086,504 | | |
| Payable to affiliate for Trustees' fees | | | 5,066 | | |
| Accrued expenses | | | 2,213,398 | | |
| Total liabilities | | $ | 412,894,885 | | |
Net Assets applicable to investors'
interest in Portfolio | | $ | 2,545,603,842 | | |
| Sources of Net Assets | |
| Net proceeds from capital contributions and withdrawals | | $ | 2,496,826,511 | | |
| Net unrealized appreciation (computed on the basis of identified cost) | | | 48,777,331 | | |
| Total | | $ | 2,545,603,842 | | |
Statement of Operations
For the Six Months Ended
May 31, 2007
| Investment Income | |
| Interest | | $ | 103,580,372 | | |
| Interest income allocated from affiliated investment | | | 1,353,753 | | |
| Expenses allocated from affiliated investment | | | (129,478 | ) | |
| Total investment income | | $ | 104,804,647 | | |
| Expenses | |
| Investment adviser fee | | $ | 6,288,061 | | |
| Trustees' fees and expenses | | | 15,142 | | |
| Interest expense | | | 6,765,775 | | |
| Custodian fee | | | 456,288 | | |
| Legal and accounting services | | | 400,697 | | |
| Miscellaneous | | | 105,244 | | |
| Total expenses | | $ | 14,031,207 | | |
Deduct -
Reduction of custodian fee | | $ | 49,146 | | |
| Total expense reductions | | $ | 49,146 | | |
| Net expenses | | $ | 13,982,061 | | |
| Net investment income | | $ | 90,822,586 | | |
| Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) -
Investment transactions | | $ | 8,369,084 | | |
| Swap contracts | | | 166,075 | | |
Foreign currency and forward foreign currency exchange
contract transactions | | | (5,153,305 | ) | |
| Net realized gain | | $ | 3,381,854 | | |
Change in unrealized appreciation (depreciation) -
Investments | | $ | 10,966,012 | | |
| Swap contracts | | | 55,585 | | |
| Foreign currency and forward foreign currency exchange contracts | | | 2,673,506 | | |
| Net change in unrealized appreciation (depreciation) | | $ | 13,695,103 | | |
| Net realized and unrealized gain | | $ | 17,076,957 | | |
| Net increase in net assets from operations | | $ | 107,899,543 | | |
See notes to financial statements
26
Senior Debt Portfolio as of May 31, 2007
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
Increase (Decrease)
in Net Assets | | Six Months Ended
May 31, 2007
(Unaudited) | | Year Ended
November 30,
2006 | |
From operations -
Net investment income | | $ | 90,822,586 | | | $ | 189,359,728 | | |
Net realized gain (loss) from investment
transactions, swaps contracts, and
foreign currency and forward foreign
currency exchange contract transactions | | | 3,381,854 | | | | (12,277,527 | ) | |
Net change in unrealized appreciation
(depreciation) from investments,
swaps contracts, and foreign currency
and forward foreign currency
exchange contracts | | | 13,695,103 | | | | 13,528,611 | | |
| Net increase in net assets from operations | | $ | 107,899,543 | | | $ | 190,610,812 | | |
Capital transactions -
Contributions | | $ | 109,671,433 | | | $ | (794,697,437 | ) | |
| Withdrawals | | | (317,765,504 | ) | | | 195,494,844 | | |
Net decrease in net assets from
capital transactions | | $ | (208,094,071 | ) | | $ | (599,202,593 | ) | |
| Net decrease in net assets | | $ | (100,194,528 | ) | | | (408,591,781 | ) | |
| Net Assets | |
| At beginning of period | | $ | 2,645,798,370 | | | $ | 3,054,390,151 | | |
| At end of period | | $ | 2,545,603,842 | | | $ | 2,645,798,370 | | |
See notes to financial statements
27
Senior Debt Portfolio as of May 31, 2007
FINANCIAL STATEMENTS CONT'D
Supplementary Data
| | | Six Months Ended
May 31, 2007 | | Year Ended November 30, | | Period Ended
November 30, | |
| | | (Unaudited) | | 2006 | | 2005 | | 2004 | | 2003 | | 2002(1) | |
| Ratios/Supplemental Data | |
| Ratios (As a percentage of average daily net assets): | |
| Expenses before custodian fee reduction | | | 0.57 | %(2) | | | 0.51 | % | | | 0.50 | % | | | 0.51 | % | | | 0.50 | % | | | 0.47 | %(2) | |
| Expenses after custodian fee reduction | | | 0.57 | %(2) | | | 0.51 | % | | | 0.50 | % | | | 0.51 | % | | | 0.50 | % | | | 0.47 | %(2) | |
| Interest expense | | | 0.52 | %(2) | | | 0.01 | % | | | 0.00 | %(3) | | | 0.00 | %(3) | | | 0.01 | % | | | 0.01 | %(2) | |
| Total expenses | | | 1.09 | %(2) | | | 0.52 | % | | | 0.50 | % | | | 0.51 | % | | | 0.51 | % | | | 0.48 | %(2) | |
| Net investment income | | | 7.04 | %(2) | | | 6.57 | % | | | 5.00 | % | | | 3.82 | % | | | 4.14 | % | | | 4.77 | %(2) | |
| Portfolio Turnover | | | 34 | % | | | 51 | % | | | 65 | % | | | 87 | % | | | 47 | % | | | 42 | % | |
| Total Return | | | 4.48 | % | | | 6.88 | % | | | 5.27 | % | | | 6.15 | % | | | 8.19 | % | | | 0.85 | % | |
| Net assets, end of period (000's omitted) | | $ | 2,545,604 | | | $ | 2,645,798 | | | $ | 3,054,390 | | | $ | 3,340,152 | | | $ | 3,384,305 | | | $ | 4,084,930 | | |
(1) For the eleven-month period ended November 30, 2002.
(2) Annualized.
(3) Rounds to less than 0.01%.
See notes to financial statements
28
Senior Debt Portfolio as of May 31, 2007
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1 Significant Accounting Policies
Senior Debt Portfolio (the Portfolio) is registered under the Investment Company Act of 1940, as amended, (the 1940 Act) as a closed-end investment company which was organized as a trust under the laws of the State of New York on May 1, 1992. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. At May 31, 2007, the Eaton Vance Prime Rate Reserves, Eaton Vance Advisers Senior Floating-Rate Fund, EV Classic Senior Floating-Rate Fund, Eaton Vance Medallion Senior Floating-Rate Fund, and Eaton Vance Institutional Senior Floating-Rate Fund (collectively, the Funds) held approximately 48.3%, 2.3%, 39.6%, 7.6% and 2.2% interests in the Portfolio, respectively.
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 valuation policies are as follows: Certain Senior Loans are deemed to be liquid because reliable market quotations are readily available for them. Liquid Senior Loans are valued on the basis of prices furnished by a pricing service. Other Senior Loans are valued at fair value by the Portfolio's investment adviser, Boston Management and Research (BMR), under procedures approved by the Trustees. In connection with determining the fair value of a Senior Loan, the investment adviser makes an assessment of the likelihood that the borrower will make a full repayment of the Senior Loan. The primary factors considered by the investment adviser when making this assessment are (i) the creditworthiness of the borrower, (ii) the value of the collateral backing the Senior Loan, and (iii) the priority of the Senior Loan versus other creditors of the borrower. If, based on its assessment, the investment adviser believes there is a reasonable likelihood that the borrower will make a full repayment of the Senior Loan, the investment adviser will determine the fair value of the Senior Loan using 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 quality. If, based on its assessment, the investment adviser believes there is not a reasonable likelihood that the borrower will make a full repayment of the Senior Loan, the investment adviser will determine the fair value of the Senior Loan using analyses that include, but are not limited to (i) a comparison of the value of the borrower's outstanding equity and debt to that of comparable public companies; (ii) a discounted cash flow analysis; or (iii) when the investment adviser believes it is likely that a borrower will be liquidated or sold, an analysis of the terms of such liquidation or sale. In certain cases, the investment adviser will use a combination of analytical methods to determine fair value, such as when only a portion of a borrower's assets is 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 such factors, data and information and the relative weight to be given thereto as it deems relevant, including without limitation, some or all of the following: (i) the fundamental characteristics of and fundamental analytical data relating to the Senior Loan, including the cost, size, current interest rate, maturity and base lending rate of the Senior Loan, the terms and conditions of the Senior Loan and any related agreements, and the position of the Senior Loan in the borrower's debt structure; (ii) the nature, adequacy and value of the collateral securing the Senior Loan, including the Portfolio's rights, remedies and interests with respect to the collateral; (iii) the creditworthiness of the borrower, based on an evaluation of, among other things, its financial condition, financial statements and information about the borrower's business, cash flows, capital structure and future prospects; (iv) information relating to the market for the Senior Loan, including price quotations for and trading in the Senior Loan and interests in similar Senior Loans and the market environment and investor attitudes towards the Senior Loan and interests in similar Senior Loans; (v) the experience, reputation, stability and financial condition of the agent and any intermediate participants in the Senior Loan; and (vi) general economic and market conditions affecting the fair value of the Senior Loan. Fair value determinations are made by the portfolio managers of a Portfolio based on information available to such managers. The portfolio managers of other funds and portfolios managed by Eaton Vance that invest in Senior Loans may not possess the same information about a Senior Loan borrower as the portfolio managers of Senior Debt Portfolio. At times, the fair value of a Senior Loan determined by the portfolio managers of other funds and portfolios managed by Eaton Vance that invest in Senior Loans may vary from the fair value of the same Senior Loan determined by the portfolio managers of Senior Debt Portfolio. The fair value of each Senior Loan is periodically reviewed and approved by the investment adviser's Valuation Committee and by the Portfolio's Trustees based upon procedures approved by the Trustees. Junior Loans are valued in the same manner as Senior Loans.
Debt obligations (other than short-term obligations maturing in sixty days or less), including listed securities and securities for which price quotations are available and
29
Senior Debt Portfolio as of May 31, 2007
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
forward contracts, will normally be valued on the basis of market valuations furnished by dealers or pricing services. Financial futures contracts listed on commodity exchanges and exchange-traded options thereon are valued at closing settlement prices. Over-the-counter options are valued at the mean between the bid and asked prices provided by dealers. Foreign exchange rates for foreign exchange forward contracts and for the transactions on non-U.S. dollars-denominated investments into U.S. dollars are obtained from a pricing service. Credit default swaps are valued by the broker-dealer (usually the counterparty to the agreement). Marketable securities listed on the NASDAQ Global or Global Select Market System are valued at the NASDAQ official closing price. The value of interest rate swaps will be based upon a dealer quotation. Short-term obligations and money market securities maturing in sixty days or less are valued at amortized cost which approximates 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. Investments for which reliable market quotations are unavailable, and investments for which the price of the security is not believed to represent its fair market value, are valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Portfolio. Occasionally, events affecting the value of foreign securities may occur between the time trading is completed abroad and the close of the Exchange which will not be reflected in the computation of the Portfolio's net asset value (unless the Portfolio deems that such event would materially affect its net asset value in which case an adjustment would be made and reflected in such computation). The Portfolio may rely on an independent fair valuation service in making any such adjustments to the value of a foreign equity security.
The Portfolio may invest in Cash Management Portfolio (Cash Management) an affiliated investment company managed by BMR, a wholly-owned 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.
B 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.
C Federal Taxes - The Portfolio has elected to be treated as a partnership for federal tax purposes. No provision is made by the Portfolio for federal or state taxes on any taxable income of the Portfolio because each investor in the Portfolio is ultimately responsible for the payment of any taxes on its share of taxable income. Since at least one of the Portfolio's investors is a regulated investment company that invests all or substantially all of its assets in the Portfolio, the Portfolio normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order for its investors to satisfy them. The Portfolio will allocate, at least annually among its investors, each investor's distributive share of the Portfolio's net investment income, net realized capital gains, and any other items of income, gain, loss, deduction or credit.
D Interest Rate Swaps - The Portfolio may enter into interest rate swap agreements for risk management purposes and not as a speculative investment. Pursuant to these agreements the Portfolio receives quarterly payments at a rate equal to a predetermined three-month London Interbank Offering Rate (LIBOR). In exchange, the Portfolio makes semi-annual payments at a predetermined fixed rate of interest. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains and losses. The value of the swap is determined by changes in the relationship between two rates of interest. The Portfolio is exposed to credit loss in the event of non-performance by the swap counterparty. The Portfolio does not anticipate non-performance by the counterparty. Risk may also arise from the unanticipated movements in value of interest rates.
E 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.
F Credit Default Swaps - The Portfolio may enter into credit default swap contracts for risk management purposes, including diversification. When the Portfolio is a 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 from the counterparty to the contract in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the debt obligation. In return, the Portfolio would pay the counterparty a periodic stream of payments over the term of the contract provided that no event of default has occurred. If no default occurs, the Portfolio would have spent the stream of payments and received no benefit 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 obligations. As the seller, the Portfolio would effectively add leverage to its portfolio because, in
30
Senior Debt Portfolio as of May 31, 2007
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
addition to its total net assets, the Portfolio would be subject to investment exposure on the notional amount of the swap. The Portfolio will segregate assets in the form of cash and cash equivalents in an amount equal to the aggregate market value of the credit default swap of which it is the seller, marked to market on a daily basis. These transactions involve certain risks, including the risk that the seller may be unable to fulfill the transaction.
G Foreign Currency Translation - Investment valuations, other assets, and liabilities initially expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
H 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. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from movements in the value of a foreign currency relative to the U.S. dollar. The Portfolio will enter into forward contracts for hedging purposes as well as non-hedging purposes. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized until such time as the contracts have been closed.
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 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 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.
K Expense Reduction - Investors Bank & Trust Company (IBT) serves as custodian to the Portfolio. Effective July 2, 2007, the parent company of IBT was acquired by State Street Corporation. Pursuant to the custodian agreement, IBT receives a fee reduced by credits which are determined based on the average daily cash balance the Portfolio maintains with IBT. All credit balances, used to reduce the Portfolio's custodian fees are reported as a reduction of expenses in the Statement of Operations.
L Other - Investment transactions are accounted for on the date the securities are purchased or sold. Realized gains and losses on securities sold are determined on the basis of identified cost.
M Interim Financial Statements - The interim financial statements relating to May 31, 2007 and for the six months then ended have not been audited by an Independent Registered Public Accounting Firm, but in the opinion of the Fund's management reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
2 Investment Advisory Fee and Other Transactions with Affiliates
The investment advisory fee is paid to BMR as compensation for investment advisory services rendered to the Portfolio. The fee is computed at a monthly rate of 19/240 of 1% (0.95% annually) of the Portfolio's average daily gross assets. The Trustees of the Portfolio have accepted a contractual waiver of a portion of BMR's compensation so that the aggregate advisory fees paid by the Portfolio under the advisory agreement during any fiscal year will not exceed, on an annual basis, 0.50% of average daily gross assets of the Portfolio up to and including $1 billion and at reduced rates as daily gross assets exceed that level. The portion of the advisory fees payable by Cash Management on the Portfolio's investment
31
Senior Debt Portfolio as of May 31, 2007
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
of cash therein is credited against the Portfolio's advisory fees. For the six months ended May 31, 2007, the Portfolio's advisory fee totaled $6,413,424 of which $125,363 was allocated from Cash Management and $6,288,061 was paid or accrued by the Portfolio. For the six months ended May 31, 2007, the Portfolio's advisory fee, including the portion allocated from Cash Management, was 0.48% of the Portfolio's average daily gross assets. Except as to Trustees of the Portfolio who are not members of BMR's organization, officers and Trustees receive remuneration for their services to the Portfolio out of such investment adviser fee.
Certain officers and Trustees of the Portfolio are officers of BMR. Trustees of the Portfolio that are not affiliated with the Investment Adviser may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the six months ended May 31, 2007, no significant amounts have been deferred.
3 Investments
The Portfolio invests primarily in Senior Loans. The ability of the issuers of the Senior Loans to meet their obligations may be affected by economic developments in a specific industry. The cost of purchases and the proceeds from principal repayments and sales of Senior Loans for the six months ended May 31, 2007 aggregated $1,080,735,581, $792,454,732, and $132,779,609 respectively.
4 Short-Term Debt and Credit Agreements
The Portfolio participated with other portfolios managed by BMR in a $500 million unsecured line of credit agreement with a group of banks to permit the Portfolio to invest in accordance with its investment practices. Under this agreement, interest was charged under the credit agreement at the bank's base rate or at an amount above LIBOR. Interest expense includes a commitment fee of $10,726 which was computed at the annual rate of 0.09% of the credit agreement. Under this agreement, the average daily loan balance for the period was $123,051,948 and the average interest rate was 5.72%. The line of credit agreement was terminated effective February 16, 2007.
Effective February 16, 2007, the Portfolio has entered into a revolving credit agreement that will allow the Portfolio to borrow $1 billion to support the issuance of commercial paper and to permit the Portfolio to invest in accordance with its investment practices. Interest is charged under the revolving credit agreement at the bank's base rate or at an amount above either the bank's adjusted certificate of deposit rate or federal funds effective rate. Interest expense includes commercial paper program fees of approximately $249,000 and a commitment fee of approximately $300,000 which is computed at the annual rate of 0.10% on the unused portion of the revolving credit agreement. As of May 31, 2007, the Portfolio had commercial paper outstanding of $320,000,000, at an interest rate of 5.27% and is reflected in the demand note payable on the Statement of Assets and Liabilities. Maximum and average borrowings for the period from February 16, 2007 to May 31, 2007 were $320,000,000 and $296,238,095, respectively, and the average interest rate was 5.27%.
5 Financial Instruments
The Portfolio may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities and to assist in managing exposure to various market risks. These financial instruments include written options, financial futures contracts, forward foreign currency exchange contracts, interest rate swaps 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 May 31, 2007 is as follows:
Forward Foreign Currency Exchange Contracts
| Purchases | |
Settlement
Date | | Deliver | | In Exchange For | | Net Unrealized
Appreciation | |
| 5/31/07 | | Euro
112,500 | | United States Dollar
151,386 | | $ | 0 | | |
| 6/29/07 | | Euro
4,441,227 | | United States Dollar
5,968,137 | | | 13,573 | | |
| | | | | | | $ | 13,573 | | |
| Sales | |
Settlement
Date | | Deliver | | In Exchange For | | Net Unrealized
Appreciation
(Depreciation) | |
| 6/29/07 | | British Pound
43,298,413 | | United States Dollar
85,817,454 | | $ | 183,877 | | |
| 5/31/07 | | Euro
2,441,227 | | United States Dollar
3,278,567 | | | (6,469 | ) | |
| 6/29/07 | | Euro
191,259,355 | | United States Dollar
257,503,698 | | | (95,829 | ) | |
| | | | | | | $ | 81,579 | | |
32
Senior Debt Portfolio as of May 31, 2007
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
The Portfolio had the following swap agreements outstanding at May 31, 2007:
Credit Default Swaps
Notional
Amount | | Expiration
Date | | Description | | Net Unrealized
Appreciation | |
2,000,000 USD
| | 3/20/2011
| | Agreement with Lehman Brothers dated 3/2/2005 whereby the Portfolio will receive 1.85% per year times the notional amount.
The Portfolio makes a payment of the notional amount only upon a default event on the reference entity, a Revolving Credit
Agreement issued by Syniverse Technologies, Inc. | | $ | 48,266 | | |
3,000,000 USD
| | 3/20/2010
| | Agreement with Lehman Brothers dated 3/15/2005 whereby the Portfolio will receive 2.20% per year times the notional amount.
The Portfolio makes a payment of the notional amount only upon a default event on the reference entity, a Revolving Credit
Agreement issued by Inergy, L.P. | | | 91,286 | | |
2,000,000 USD
| | 6/20/2010
| | Agreement with Lehman Brothers dated 5/18/2005 whereby the Portfolio will receive 3.25% per year times the notional amount.
The Portfolio makes a payment of the notional amount only upon a default event on the reference entity, a Revolving Credit
Agreement issued by Rural Cellular Corp. | | | 142,879 | | |
3,000,000 USD
| | 9/21/2009
| | Agreement with Lehman Brothers dated 7/8/2005 whereby the Portfolio will receive 2.15% per year times the notional amount.
The Portfolio makes a payment of the notional amount only upon a default event on the reference entity, a Revolving Credit
Agreement issued by CSG Systems, Inc. | | | 55,938 | | |
4,000,000 USD
| | 3/20/2012
| | Agreement with Lehman Brothers dated 2/8/2006 whereby the Portfolio will receive 2.40% per year times the notional amount.
The Portfolio makes a payment of the notional amount only upon a default event on the reference entity, a Revolving Credit
Agreement issued by Avago Technologies, Inc. | | | 181,618 | | |
At May 31, 2007 the Portfolio had sufficient cash and/or securities segregated to cover potential obligations under these contracts.
6 Federal Income Tax Basis of
Unrealized Appreciation (Depreciation)
The cost and unrealized appreciation (depreciation) in the value of the investments owned at May 31, 2007, as determined on a federal income tax basis, were as follows:
| Aggregate cost | | $ | 2,834,250,056 | | |
| Gross unrealized appreciation | | $ | 53,808,606 | | |
| Gross unrealized depreciation | | | (5,991,407 | ) | |
| Net unrealized appreciation | | $ | 47,817,199 | | |
The unrealized appreciation on foreign currency, swaps and forward contracts at May 31, 2007 on a federal income tax basis was $951,087.
7 Restricted Securities
At May 31, 2007, the Portfolio owned the following securities (representing 0.02% 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/Face | | Cost | | Value | |
| Common Stocks | |
| Citation Corp. | | 5/24/05 | | | 31,622 | | | $ | 0 | | | $ | 0 | | |
Environmental Systems
Products Holdings, Inc. | | 10/24/00 | | | 33,278 | | | | 0 | | | | 0 | | |
| RoTech Medical Corp. | | 6/12/02 | | | 12,592 | | | | 332,429 | | | | 31,984 | | |
| Safelite Realty Corp. | | 9/29/00 -
11/10/00 | | |
20,048 | | | |
0 | | | |
320,167 | | |
| | | $ | 332,429 | | | $ | 352,151 | | |
| Preferred Stocks | |
| Citation Corp. (PIK) | | 5/24/05 | | | 2,496 | | | $ | 1,996,800 | | | $ | 0 | | |
Hayes Lemmerz
International | | 6/04/03 | | | 445 | | | | 22,250 | | | | 11,015 | | |
| Key Plastics, LLC, Series A | | 4/26/01 | | | 218 | | | | 218,200 | | | | 0 | | |
| | | $ | 2,237,250 | | | $ | 11,015 | | |
| Warrants | |
| Gentek, Inc., Class B | | 11/11/03 | | | 1,930 | | | $ | 0 | | | $ | 91,115 | | |
| Gentek, Inc., Class C | | 11/11/03 | | | 940 | | | | 0 | | | | 46,765 | | |
| | | $ | - | | | $ | 137,880 | | |
| | | | Total Restricted Securities | | | $ | 2,569,679 | | | $ | 501,046 | | |
33
Senior Debt Portfolio as of May 31, 2007
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
8 Risks Associated with Foreign Investments
Investing in securities issued by companies whose principal business activities are outside the United States may involve significant risks not present in domestic investments. For example, there is generally less publicly available information about foreign companies, particularly those not subject to the disclosure and reporting requirements of the U.S. securities laws. 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 Fund, political or financial instability or diplomatic and other developments which could affect such investments. Foreign stock 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 Recently Issued Accounting Pronouncements
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 for the first required financial reporting period for fiscal years beginning after December 15, 2006. Management is currently evaluating the impact of applying the various provisions of FIN 48.
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. Management is currently evaluating the impact the adoption of FAS 157 will have on the Portfolio's financial statement disclosures.
34
Eaton Vance Prime Rate Reserves
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 23, 2007, 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 Special Committee of the Board, which is a committee comprised exclusively of Independent Trustees. Prior to making its recommendation, the Special Committee reviewed information furnished for a series of meetings of the Special Committee held in February, March and April 2007. 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;
· 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.
In addition to the information identified above, the Special 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, 2007, the
35
Eaton Vance Prime Rate Reserves
BOARD OF TRUSTEES' ANNUAL APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT CONT'D
Board met ten times and the Special Committee, the Audit Committee and the Governance Committee, each of which is a Committee comprised solely of Independent Trustees, met twelve, fourteen and eight 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.
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 Special Committee was assisted throughout the contract review process by Goodwin Procter LLP, legal counsel for the Independent Trustees. The members of the Special 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 Special 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 Special Committee concluded that the continuance of the investment advisory agreement of the Senior Debt Portfolio (the "Portfolio"), the portfolio in which the Eaton Vance Prime Rate Reserves (the "Fund") invests, with Boston Management and Research (the "Adviser"), including the fee structure, is in the interests of shareholders and, therefore, the Special Committee recommended to the Board approval of the agreement. The Board accepted the recommendation of the Special Committee as well as the factors considered and conclusions reached by the Special Committee with respect to the agreement. Accordingly, the Board, including a majority of the Independent Trustees, voted to approve continuation of the investment advisory agreement for the Portfolio.
Nature, Extent and Quality of Services
In considering whether to approve the investment advisory agreement of the Portfolio, the Board evaluated the nature, extent and quality of services provided to the Portfolio by the Adviser.
The Board considered the Adviser's management capabilities and investment process with respect to the types of investments held by the Portfolio, including the education, experience and number of its investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Portfolio. In particular, the Board evaluated the abilities and experience of such investment personnel in analyzing special considerations relevant to investing in senior floating rate loans. The Board noted the experience of the Adviser's 30 bank loan investment professionals and other personnel who provide services to the Portfolio, including five portfolio managers and 17 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 attention devoted to the Portfolio by senior management.
The Board reviewed the compliance programs of the Adviser and relevant affiliates thereof. Among other matters, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity and the allocation of investment opportunities. The Board also evaluated the responses of the Adviser and its affiliates to requests from regulatory authorities such as the Securities and Exchange Commission and the National Association of Securities Dealers.
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.
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-, five- and ten- year
36
Eaton Vance Prime Rate Reserves
BOARD OF TRUSTEES' ANNUAL APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT CONT'D
periods ended September 30, 2006 for the Fund. The Board noted that the Fund's performance relative to its peers is affected by management's focus on reducing volatility. 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 one-year period ended September 30, 2006, 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 and the Portfolio.
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.
37
Eaton Vance Prime Rate Reserves
INVESTMENT MANAGEMENT
Eaton Vance Prime Rate Reserves
Officers
Scott H. Page
President
Payson F. Swaffield
Vice President
Dan A. Maalouly
Treasurer
Alan R. Dynner
Secretary
Paul M. O'Neil
Chief Compliance Officer | | Trustees
Samuel L. Hayes, III
Chairman
Benjamin C. Esty
Thomas E. Faust Jr.
Allen R. Freedman
James B. Hawkes
William H. Park
Ronald A. Pearlman
Norton H. Reamer
Heidi L. Steiger
Lynn A. Stout
Ralph F. Verni | |
|
Senior Debt Portfolio
Officers
Scott H. Page
President and
Co-Portfolio Manager
Payson F. Swaffield
Vice President and
Co-Portfolio Manager
Dan A. Maalouly
Treasurer
Alan R. Dynner
Secretary
Paul M. O'Neil
Chief Compliance Officer | | Trustees
Samuel L. Hayes, III
Chairman
Benjamin C. Esty
Thomas E. Faust Jr.
Allen R. Freedman
James B. Hawkes
William H. Park
Ronald A. Pearlman
Norton H. Reamer
Heidi L. Steiger
Lynn A. Stout
Ralph F. Verni | |
|
38
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Investment Adviser of Senior Debt Portfolio
Boston Management and Research
The Eaton Vance Building
255 State Street
Boston, MA 02109
Administrator of Eaton Vance Prime Rate Reserves
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 Co.
225 Franklin Street
Boston, MA 02110
Transfer Agent
PFPC Inc.
Attn: Eaton Vance Funds
P.O. Box 9653
Providence, RI 02940-9653
(800) 262-1122
Eaton Vance Prime Rate Reserves
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.
165-7/07 PRSRC
