FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-04015
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Eaton Vance Mutual Funds Trust
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(Exact Name of Registrant as Specified in Charter)
The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
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(Address of principal Executive Offices)
Alan R. Dynner
The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
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(Name and Address of Agent for Services)
(617) 482-8260
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(Registrant's Telephone Number)
October 31, 2003
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Date of Fiscal Year End
April 30, 2003
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Date of Reporting Period
ITEM 1. REPORTS TO STOCKHOLDERS
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EATON VANCE(R)
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MANAGED INVESTMENTS
[Graphic Omitted]
SEMIANNUAL REPORT APRIL 30, 2003
EATON VANCE
FLOATING-RATE
FUND
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IMPORTANT NOTICE REGARDING DELIVERY
OF SHAREHOLDER DOCUMENTS
The Securities and Exchange Commission (SEC) permits mutual 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.
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Eaton Vance Floating-Rate Fund as of April 30, 2003
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INVESTMENT UPDATE
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Investment Environment
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THE LOAN MARKET
o The loan market has been characterized by improving fundamentals in recent
months, as companies have focused increasingly on developing their core
businesses, paring debt and improving their balance sheets following the
recent market excesses. The estimated default rate is well below levels of a
year ago.
o The technicals of the loan market have also improved significantly, with
rising loan issuance met by commensurately strong investor demand for the
asset class. With short-term interest rates at a 42-year low, the loan
market has benefited from investors' perception that loans represent a
lower-duration vehicle with lower interest rate risk than bonds.
The Fund
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PERFORMANCE FOR THE PAST SIX MONTHS
o The Fund's Class B shares distributed $0.154 in income dividends during the
six months ended April 30, 2003. Based on the Fund's most recent
distribution and a $9.66 net asset value on April 30, 2003, the Fund had a
distribution rate of 3.44%.(1) The Class B SEC 30-day yield at April 30 was
3.26%.2
o The Fund's Class C shares distributed $0.154 in income dividends during the
six months ended April 30, 2003. Based on the Fund's most recent
distribution and a $9.66 net asset value on April 30, 2003, the Fund had a
distribution rate of 3.45%.(1) The Class C SEC 30-day yield at April 30 was
3.26%.2
o The Fund's Institutional Class shares distributed $0.20(2) in income
dividends during six months ended April 30, 2003. Based on the Fund's most
recent distribution and a $9.67 net asset value on April 30, 2003, the Fund
had a distribution rate of 4.41%.1 The Institutional Class SEC 30-day yield
at April 30 was 4.26%.2
o The Fund's Advisers Class shares distributed $0.190 in income dividends
during the six months ended April 30, 2003. Based on the Fund's most recent
distribution and a $9.67 net asset value on April 30, 2003, the Fund had a
distribution rate of 4.25%.(1) The Advisers Class SEC 30-day yield at April
30 was 4.02%.2
The Portfolio's Investments
o The Portfolio's investments included 255 borrowers, representing 48
industries at April 30. The Portfolio's average loan size was 0.37% of net
assets. No industry constituted more than 7% of the Portfolio, and the
largest sector weightings remained in publishing and printing, cable
television, real estate and broadcast media.
o The publishing and printing sector included newspapers and magazines, which
are likely to see increased advertising revenues when the economy gains
momentum. The segment also included publishers of "yellow page" phone
directories. These companies have acquired directories divested by the Bell
operating companies, and are thus able to provide an effective, low-cost
form of advertising.
o Cable remained a major investment for the Portfolio. While subscriber growth
rates have slowed from previous years, the sector has responded to positive
news about operating metrics. Improvement in the data/broadband business
appears to have boosted investor confidence in the sector.
o The real estate sector has proved resilient in a difficult credit
environment. The Portfolio's real estate holdings were well-diversified - by
segment and by geography - and included owner-managers of properties such as
residential communities, retail malls and shopping centers, office space and
mixed-use properties.
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The views expressed in this report are those of the portfolio managers and are
current only through the end of the period of the report as stated on the cover.
These views are subject to change at any time based upon market or other
conditions, and Eaton Vance disclaims any responsibility to update such views.
These views may not be relied on as investment advice and, because investment
decisions for an Eaton Vance fund are based on many factors, may not be relied
on as an indication of trading intent on behalf of any Eaton Vance fund.
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FUND INFORMATION
AS OF APRIL 30, 2003
PERFORMANCE(3) INSTITUTIONAL ADVISERS
CLASS B CLASS C CLASS CLASS
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Average Annual Total Returns (at net asset value)
One Year 1.24% 1.24% 2.26% 2.02%
Life of Fund+ 2.54 2.56 3.62 3.31
SEC Average Annual Total Returns (including applicable CDSC)
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One year -3.65% 0.26% 2.26% 2.02%
Life of Fund+ 0.85 2.56 3.62 3.31
+ Inception Dates - Class B: 2/5/01; Class C: 2/1/01; Institutional Class:
1/30/01; Advisers Class: 2/7/01
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Mutual 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. Yield will
vary.
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FIVE LARGEST INDUSTRY WEIGHTINGS(4)
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PUBLISHING & PRINTING 6.3%
CABLE TELEVISION 5.9%
BROADCAST MEDIA 5.4%
HEALTH CARE PROVIDERS/SERVICES 4.9%
REAL ESTATE 4.8%
(1) 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. (2) The Fund's SEC yield is
calculated by dividing the net investment income per share for the 30-day
period by the offering price at the end of the period and annualizing the
result. 3 Returns are historical and are calculated by determining the
percentage change in net asset value with all distributions reinvested.
Class B SEC average annual total returns reflect applicable CDSC as follows:
1st and 2nd year - 5%; 3rd year - 4%; 4th year - 3%; 5th year - 2%; 6th year
- 1%. Life of Fund SEC return for Class C reflects a 1% CDSC. Advisers Class
and Institutional Class shares redeemed within 3 months of purchase,
including exchanges, are subject to a 1% redemption fee, which is not
reflected in this return. 4 Five Largest Industry Weightings account for
27.3% of the Portfolio's loan investments, determined by dividing the total
market value of the holdings by the total net assets of the Portfolio.
Holdings are as of 4/30/03 and are subject to change.
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that shares, when repurchased, may be
worth more or less than their original cost.
Eaton Vance Floating-Rate Fund as of April 30, 2003
FINANCIAL STATEMENTS (UNAUDITED)
STATEMENT OF ASSETS AND LIABILITIES
As of April 30, 2003
Assets
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Investment in Floating Rate Portfolio, at value
(identified cost, $849,509,381) $834,896,381
Receivable for Fund shares sold 10,742,944
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Total assets $845,639,325
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Liabilities
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Payable for Fund shares redeemed $ 2,987,734
Dividends payable 1,220,381
Payable to affiliate for distribution and service fees 142,206
Payable to affiliate for Trustees' fees 17,336
Accrued expenses 199,869
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Total liabilities $ 4,567,526
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Net Assets $841,071,799
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Sources of Net Assets
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Paid-in capital $870,043,572
Accumulated net realized loss from Portfolio (computed
on the basis of identified cost) (14,596,813)
Accumulated undistributed net investment income 238,040
Net unrealized depreciation from Portfolio (computed
on the basis of identified cost) (14,613,000)
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Total $841,071,799
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Advisers Shares
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Net Assets $ 90,512,149
Shares Outstanding 9,363,268
Net Asset Value, Offering Price and Redemption Price Per Share
(net assets / shares of beneficial interest outstanding) $ 9.67
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Class B Shares
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Net Assets $202,854,710
Shares Outstanding 20,993,999
Net Asset Value, Offering Price and Redemption Price Per Share
(net assets / shares of beneficial interest outstanding) $ 9.66
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Class C Shares
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Net Assets $503,479,373
Shares Outstanding 52,099,891
Net Asset Value, Offering Price and Redemption Price Per Share
(net assets / shares of beneficial interest outstanding) $ 9.66
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Institutional Shares
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Net Assets $ 44,225,567
Shares Outstanding 4,572,417
Net Asset Value, Offering Price and Redemption Price Per Share
(net assets / shares of beneficial interest outstanding) $ 9.67
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See notes to financial statements
Eaton Vance Floating-Rate Fund as of April 30, 2003
FINANCIAL STATEMENTS (UNAUDITED)
STATEMENT OF OPERATIONS
For the Six Months Ended April 30, 2003
Investment Income
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Interest allocated from Portfolio $ 20,784,739
Expenses allocated from Portfolio (2,525,246)
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Net investment income from Portfolio $ 18,259,493
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Expenses
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Administration fee $ 608,785
Trustees' fees and expenses 6,020
Distribution and service fees
Advisers 94,773
Class B 1,003,912
Class C 2,508,535
Transfer and dividend disbursing agent fees 247,450
Printing and postage 27,177
Custodian fee 22,170
Legal and accounting services 9,431
Registration fees 9,197
Miscellaneous 10,905
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Total expenses $ 4,548,355
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Net investment income $ 13,711,138
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Realized and Unrealized
Gain (Loss) from Portfolio
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Net realized gain (loss) --
Investment transactions (identified cost basis) $ (5,540,116)
Interest rate swap contracts (843,187)
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Net realized loss $ (6,383,303)
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Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 14,550,837
Interest rate swap contracts 817,910
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Net change in unrealized appreciation $ 15,368,747
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Net realized and unrealized gain $ 8,985,444
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Net increase in net assets from operations $ 22,696,582
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See notes to financial statements
Eaton Vance Floating-Rate Fund as of April 30, 2003
FINANCIAL STATEMENTS (CONT'D)
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
INCREASE (DECREASE) APRIL 30, 2003 YEAR ENDED
IN NET ASSETS (UNAUDITED) OCTOBER 31, 2002
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From operations --
Net investment income $ 13,711,138 $ 30,711,543
Net realized loss (6,383,303) (8,214,611)
Net change in unrealized appreciation (depreciation) 15,368,747 (15,737,226)
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Net increase in net assets from operations $ 22,696,582 $ 6,759,706
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Distributions to shareholders --
From net investment income
Advisers $ (1,512,530) $ (2,733,536)
Class B (3,239,734) (7,201,287)
Class C (8,100,657) (19,437,320)
Institutional (705,613) (1,326,251)
From net realized gain
Advisers -- (10,724)
Class B -- (40,217)
Class C -- (107,935)
Institutional -- (4,874)
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Total distributions to shareholders $ (13,558,534) $ (30,862,144)
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Transactions in shares of beneficial interest --
Proceeds from sale of shares
Advisers $ 40,146,405 $ 61,477,092
Class B 26,402,623 82,988,134
Class C 70,992,888 252,238,917
Institutional 14,303,748 21,495,743
Net asset value of shares issued to shareholders in
payment of distributions declared
Advisers 1,162,926 1,964,901
Class B 1,519,511 4,149,559
Class C 4,886,973 12,141,597
Institutional 418,131 777,419
Cost of shares redeemed
Advisers (22,335,703) (45,130,507)
Class B (30,997,671) (73,966,871)
Class C (99,377,191) (254,174,812)
Institutional (2,538,561) (10,523,594)
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Net increase in net assets from Fund share transactions $ 4,584,079 $ 53,437,578
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Net increase in net assets $ 13,722,127 $ 29,335,140
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Net Assets
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At beginning of period $ 827,349,672 $ 798,014,532
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At end of period $ 841,071,799 $ 827,349,672
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Accumulated undistributed net investment income included in net assets
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At end of period $ 238,040 $ 85,436
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See notes to financial statements
Eaton Vance Floating-Rate Fund as of April 30, 2003
FINANCIAL STATEMENTS (CONT'D)
FINANCIAL HIGHLIGHTS
ADVISERS
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SIX MONTHS ENDED YEAR ENDED OCTOBER 31,
APRIL 30, 2003 ----------------------------------
(UNAUDITED) 2002(1) 2001(2)
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Net asset value -- Beginning of period $ 9.560 $ 9.820 $ 10.000
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Income (loss) from operations
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Net investment income $ 0.191 $ 0.413 $ 0.441
Net realized and unrealized gain (loss) 0.109 (0.256) (0.181)
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Total income from operations $ 0.300 $ 0.157 $ 0.260
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Less distributions
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From net investment income $ (0.190) $ (0.415) $ (0.440)
From net realized gain -- (0.002) --
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Total distributions $ (0.190) $ (0.417) $ (0.440)
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Net asset value -- End of period $ 9.670 $ 9.560 $ 9.820
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Total Return(3) 3.17% 1.56% 2.62%
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Ratios/Supplemental Data+
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Net assets, end of period (000's omitted) $ 90,512 $ 70,694 $ 54,425
Ratios (As a percentage of average daily net assets):
Net expenses(4) 1.10%(5) 1.13% 1.14%(5)
Net investment income 4.01%(5) 4.22% 5.37%(5)
Portfolio Turnover of the Portfolio 32% 76% 52%
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+ The operating expenses of the Fund and the Portfolio may reflect a reduction of the investment adviser
fee/administration fee, and an allocation of expenses to the Investment Adviser/Administrator. Had such actions
not been taken, the ratios and net investment income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses(4) 1.23%(5)
Net investment income 5.28%(5)
Net investment income per share $ 0.434
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(1) Net investment income per share was computed using average shares outstanding.
(2) For the period from the start of business, February 7, 2001, to October 31, 2001.
(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.
See notes to financial statements
Eaton Vance Floating-Rate Fund as of April 30, 2003
FINANCIAL STATEMENTS (CONT'D)
FINANCIAL HIGHLIGHTS
Class B
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SIX MONTHS ENDED YEAR ENDED OCTOBER 31,
APRIL 30, 2003 ----------------------------------
(UNAUDITED) 2002(1) 2001(2)
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Net asset value -- Beginning of period $ 9.560 $ 9.810 $ 10.000
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Income (loss) from operations
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Net investment income $ 0.156 $ 0.339 $ 0.398
Net realized and unrealized gain (loss) 0.098 (0.246) (0.191)
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Total income from operations $ 0.254 $ 0.093 $ 0.207
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Less distributions
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From net investment income $ (0.154) $ (0.341) $ (0.397)
From net realized gain -- (0.002) --
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Total distributions $ (0.154) $ (0.343) $ (0.397)
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Net asset value -- End of period $ 9.660 $ 9.560 $ 9.810
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Total Return(3) 2.67% 0.91% 2.08%
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Ratios/Supplemental Data+
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Net assets, end of period (000's omitted) $ 202,855 $ 203,683 $ 196,237
Ratios (As a percentage of average daily net assets):
Net expenses(4) 1.85%(5) 1.89% 1.84%(5)
Net investment income 3.27%(5) 3.47% 4.86%(5)
Portfolio Turnover of the Portfolio 32% 76% 52%
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+ The operating expenses of the Fund and the Portfolio may reflect a reduction of the investment adviser
fee/administration fee, a reduction in the distribution fees, and an allocation of expenses to the Investment
Adviser/ Administrator. Had such actions not been taken, the ratios and net investment income per share would
have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses(4) 1.97%(5)
Net investment income 4.73%(5)
Net investment income per share $ 0.387
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(1) Net investment income per share was computed using average shares outstanding.
(2) For the period from the start of business, February 5, 2001, to October 31, 2001.
(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.
See notes to financial statements
Eaton Vance Floating-Rate Fund as of April 30, 2003
FINANCIAL STATEMENTS (CONT'D)
FINANCIAL HIGHLIGHTS
Class C
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SIX MONTHS ENDED YEAR ENDED OCTOBER 31,
APRIL 30, 2003 ----------------------------------
(UNAUDITED) 2002(1) 2001(2)
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Net asset value -- Beginning of period $ 9.560 $ 9.820 $ 10.000
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Income (loss) from operations
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Net investment income $ 0.156 $ 0.339 $ 0.405
Net realized and unrealized gain (loss) 0.098 (0.256) (0.181)
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Total income from operations $ 0.254 $ 0.083 $ 0.224
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Less distributions
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From net investment income $ (0.154) $ (0.341) $ (0.404)
From net realized gain -- (0.002) --
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Total distributions $ (0.154) $ (0.343) $ (0.404)
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Net asset value -- End of period $ 9.660 $ 9.560 $ 9.820
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Total Return(3) 2.67% 0.80% 2.25%
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Ratios/Supplemental Data+
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Net assets, end of period (000's omitted) $503,479 $521,312 $526,520
Ratios (As a percentage of average daily net assets):
Net expenses(4) 1.85%(5) 1.89% 1.87%(5)
Net investment income 3.27%(5) 3.46% 4.77%(5)
Portfolio Turnover of the Portfolio 32% 76% 52%
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+ The operating expenses of the Fund and the Portfolio may reflect a reduction of the investment adviser
fee/administration fee, a reduction in the distribution fees, and an allocation of expenses to the Investment
Adviser/ Administrator. Had such actions not been taken, the ratios and net investment income per share would
have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses(4) 1.97%(5)
Net investment income 4.67%(5)
Net investment income per share $ 0.397
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(1) Net investment income per share was computed using average shares outstanding.
(2) For the period from the start of business, February 1, 2001, to October 31, 2001.
(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.
See notes to financial statements
Eaton Vance Floating-Rate Fund as of April 30, 2003
FINANCIAL STATEMENTS (CONT'D)
FINANCIAL HIGHLIGHTS
Institutional
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SIX MONTHS ENDED YEAR ENDED OCTOBER 31,
APRIL 30, 2003 ----------------------------------
(UNAUDITED) 2002(1) 2001(2)
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Net asset value -- Beginning of period $ 9.560 $ 9.820 $ 10.000
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Income (loss) from operations
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Net investment income $ 0.203 $ 0.437 $ 0.480
Net realized and unrealized gain (loss) 0.109 (0.255) (0.181)
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Total income from operations $ 0.312 $ 0.182 $ 0.299
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Less distributions
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From net investment income $ (0.202) $ (0.440) $ (0.479)
From net realized gain -- (0.002) --
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Total distributions $ (0.202) $ (0.442) $ (0.479)
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Net asset value -- End of period $ 9.670 $ 9.560 $ 9.820
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Total Return(3) 3.28% 1.82% 3.02%
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Ratios/Supplemental Data+
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Net assets, end of period (000's omitted) $ 44,226 $ 31,661 $ 20,833
Ratios (As a percentage of average daily net assets):
Net expenses(4) 0.85%(5) 0.89% 0.87%(5)
Net investment income 4.26%(5) 4.46% 5.98%(5)
Portfolio Turnover of the Portfolio 32% 76% 52%
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+ The operating expenses of the Fund and the Portfolio may reflect a reduction of the investment adviser
fee/administration fee, and an allocation of expenses to the Investment Adviser/Administrator. Had such actions
not been taken, the ratios and net investment income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses(4) 0.96%(5)
Net investment income 5.89%(5)
Net investment income per share $ 0.473
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(1) Net investment income per share was computed using average shares outstanding.
(2) For the period from the start of business, January 30, 2001, to October 31, 2001.
(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.
See notes to financial statements
Eaton Vance Floating-Rate Fund as of April 30, 2003
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
FINANCIAL HIGHLIGHTS
1 Significant Accounting Policies
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Eaton Vance Floating-Rate Fund (the Fund) is a non-diversified series of
Eaton Vance Mutual Funds Trust (the Trust). The Trust 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, as an open-end
management investment company. The Fund offers four classes of shares. The
Advisers and Institutional Classes of shares are generally sold at net asset
value per share and assess a redemption fee of 1% for shares redeemed or
exchanged within three months of purchase. Class B and Class C shares are
sold at net asset value and are generally subject to a contingent deferred
sales charge (see Note 6). Each class represents a pro rata interest in the
Fund, but votes separately on class-specific matters and (as noted below) is
subject to different expenses. Realized and unrealized gains and losses are
allocated daily to each class of shares based on the relative net assets of
each class to the total net assets of the Fund. Net investment income, other
than class specific expenses, is allocated daily to each class of shares
based upon the ratio of the value of each class' paid shares to the total
value of all paid shares. Each class of shares differs in its distribution
plan and certain other class specific expenses. The Fund invests all of its
investable assets in interests in Floating Rate 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 (approximately 64.0% at April
30, 2003). 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 consistently
followed by the Fund in the preparation of its financial statements. 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 consists of the Fund's pro rata
share of the net investment income of the Portfolio, less all actual and
accrued expenses of the Fund determined in accordance with accounting
principles generally accepted in the United States of America.
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 all of its taxable income, including
any net realized gain on investments. Accordingly, no provision for federal
income or excise tax is necessary. At October 31, 2002, the Fund, for
federal income tax purposes, had a capital loss carryover of $8,217,006,
which will reduce the Fund's taxable income arising from future net realized
gains on investments, if any, to the extent permitted by Internal Revenue
Code, and thus will reduce the amount of the 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
October 31, 2010.
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 Expenses -- The majority of expenses of the Trust are directly
identifiable to an individual fund. Expenses which are not readily
identifiable to a specific fund are allocated taking into consideration,
among other things, the nature and type of expense and the relative size of
the funds.
F Interim Financial Statements -- The interim financial statements relating
to April 30, 2003 and for the six months then ended have not been audited by
independent certified public accountants, 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
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The net income of the Fund is determined daily and substantially all of the
net income so determined is declared as a dividend to shareholders of record
at the time of declaration. Distributions are paid monthly. Distributions of
allocated 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 the election of the
shareholder, in cash. The Fund distinguishes between distributions on a tax
basis and 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 Trust's Declaration of Trust permits the Trustees to issue an unlimited
number of full and fractional shares of beneficial interest (without par
value). Transactions in Fund shares were as follows:
SIX MONTHS ENDED
APRIL 30, 2003 YEAR ENDED
ADVISERS (UNAUDITED) OCTOBER 31, 2002
- ---------------------------------------------------------------------------------------------------
Sales 4,171,385 6,265,841
Issued to shareholders electing to
receive payments of distributions in Fund
shares 120,785 201,084
Redemptions (2,323,491) (4,615,533)
- ---------------------------------------------------------------------------------------------------
Net increase 1,968,679 1,851,392
- ---------------------------------------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2003 YEAR ENDED
CLASS B (UNAUDITED) OCTOBER 31, 2002
- ---------------------------------------------------------------------------------------------------
Sales 2,745,633 8,464,987
Issued to shareholders electing to
receive payments of distributions in Fund
shares 158,070 424,293
Redemptions (3,225,317) (7,567,880)
- ---------------------------------------------------------------------------------------------------
Net increase (decrease) (321,614) 1,321,400
- ---------------------------------------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2003 YEAR ENDED
CLASS C (UNAUDITED) OCTOBER 31, 2002
- ---------------------------------------------------------------------------------------------------
Sales 7,382,498 25,678,971
Issued to shareholders electing to
receive payments of distributions in Fund
shares 507,961 1,241,132
Redemptions (10,339,417) (26,014,170)
- ---------------------------------------------------------------------------------------------------
Net increase (decrease) (2,448,958) 905,933
- ---------------------------------------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2003 YEAR ENDED
INSTITUTIONAL (UNAUDITED) OCTOBER 31, 2002
- ---------------------------------------------------------------------------------------------------
Sales 1,482,389 2,186,151
Issued to shareholders electing to
receive payments of distributions in Fund
shares 43,408 79,461
Redemptions (263,967) (1,075,959)
- ---------------------------------------------------------------------------------------------------
Net increase 1,261,830 1,189,653
- ---------------------------------------------------------------------------------------------------
Redemptions or exchanges of Advisers or Institutional Class shares made
within three months of purchase are subject to a redemption fee equal to
1.00% of the amount redeemed. For the six months ended April 30, 2003 the
fund did not receive any redemption fees on Advisers and Institutional Class
shares.
4 Transactions with Affiliates
- --------------------------------------------------------------------------------
The fund is authorized to pay Eaton Vance Management, (EVM), a fee as
compensation for administrative services necessary to conduct the Fund's
business. The fee is computed at the annual rate of 0.15% (annually) of the
Fund's average daily net assets. For the six months ended April 30, 2003,
the fee amounted to $608,785. 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. Effective August 1, 2002 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 April 30, 2003, no significant
amounts have been earned. Certain officers and Trustees of the Fund and of
the Portfolio are officers of the above organizations.
5 Distribution and Service Plans
- --------------------------------------------------------------------------------
The Fund has in effect distribution plans for Class B shares (Class B Plan)
and Class C shares (Class C Plan) pursuant to Rule 12b-1 under the
Investment Company Act of 1940 and a service plan for the Advisers shares
(Advisers Plan) (collectively, the Plans). The Class B and Class C Plans
require the Fund to pay Eaton Vance Distributors, Inc. (EVD), amounts equal
to 1/365 of 0.75% (annualized) of the Fund's average daily net assets
attributable to Class B and Class C shares, for providing ongoing
distribution services and facilities to the Fund. The Fund will
automatically discontinue payments to EVD during any period in which there
are no outstanding Uncovered Distribution Charges, which are equivalent to
the sum of (i) 6.25% of the aggregate amount received by the Fund for Class
B and Class C shares sold, respectively, plus (ii) interest calculated by
applying the rate of 1% over the prevailing prime rate to the outstanding
balance of Uncovered Distribution Charges of EVD of each respective class,
reduced by the aggregate amount of contingent deferred sales charges (see
Note 6) and daily amounts theretofore paid to EVD by each respective class.
For the six months ended April 30, 2003, the Fund paid or accrued $752,934
and $1,881,401, respectively, to or payable to EVD representing 0.75% of
average daily net assets of Class B and Class C shares, respectively. At
April 30, 2003, the amount of Uncovered Distribution Charges of EVD
calculated under the Plan was approximately $9,856,000 and $35,480,000 for
Class B and Class C shares, respectively.
The Plans authorize the Fund to make payments of service fees to EVD,
investment dealers and other persons in amounts equal to 0.25% of the Fund's
average daily net assets attributable to the Advisers Class, Class B, and
Class C shares for each fiscal year. Service fee payments will be made for
personal services and/or the maintenance of shareholder accounts. Service
fees are separate and distinct from the sales commissions and distribution
fees payable by the Fund to EVD, and, as such are not subject to automatic
discontinuance when there are no outstanding Uncovered Distribution Charges
of EVD. Service fee payments for the six months ended April 30, 2003
amounted to $94,773, $250,978, and $627,134 for Advisers Class, Class B, and
Class C shares, respectively.
6 Contingent Deferred Sales Charge
- --------------------------------------------------------------------------------
A contingent deferred sales charge (CDSC) generally is imposed on
redemptions of Class B shares made within six years of purchase and on
redemptions of Class C shares made within one year of purchase. Generally,
the CDSC is based on the lower of the net asset value at the date of
redemption or date of purchase. No charge is levied on shares acquired by
reinvestment of dividends or capital gains distributions. The Class B CDSC
is imposed at declining rates that begin at 5% in the case of redemptions in
the first and second years of redemption after purchase, declining one
percentage point each subsequent year. Class C shares will be subject to a
1% CDSC if redeemed within one year of purchase. No CDSC is levied on shares
which have been sold to EVM or its affiliates or to their respective
employees or clients and may be waived under certain other limited
conditions. CDSC charges are paid to EVD to reduce the amount of Uncovered
Distribution Charges calculated under the Fund's Distribution Plans. The
Fund has been informed that EVD received approximately $547,000 and $80,000
of CDSC paid by shareholders of Class B and Class C shares, respectively,
for the six months ended April 30, 2003.
7 Investment Transactions
- --------------------------------------------------------------------------------
Increases and decreases in the Fund's investment in the Floating Rate
Portfolio for the six months ended April 30, 2003, aggregated $143,277,038
and $166,567,430, respectively.
Floating Rate Portfolio as of April 30, 2003
PORTFOLIO OF INVESTMENTS (UNAUDITED)
Senior Floating Rate Interests -- 91.2%(1)
Principal
Amount Borrower/Tranche Description Value
- ------------------------------------------------------------------------------
Advertising -- 0.8%
- ------------------------------------------------------------------------------
Lamar Media Corp.
$ 10,500,000 Term Loan, Maturing June 30, 2010 $ 10,507,875
- ------------------------------------------------------------------------------
$ 10,507,875
- ------------------------------------------------------------------------------
Aerospace and Defense -- 1.1%
- ------------------------------------------------------------------------------
Alliant Techsystems, Inc.
$ 7,256,337 Term Loan, Maturing April 20, 2009 $ 7,276,292
Transdigm Holding Company
914,578 Term Loan, Maturing May 15, 2006 921,295
2,395,036 Term Loan, Maturing May 15, 2007 2,412,625
United Defense Industries, Inc.
4,132,341 Term Loan, Maturing June 30, 2009 4,140,828
- ------------------------------------------------------------------------------
$ 14,751,040
- ------------------------------------------------------------------------------
Air Freight & Couriers -- 0.2%
- ------------------------------------------------------------------------------
Evergreen International Aviation, Inc.
$ 3,100,072 Term Loan, Maturing June 1, 2003 $ 2,790,065
- ------------------------------------------------------------------------------
$ 2,790,065
- ------------------------------------------------------------------------------
Auto Components -- 4.7%
- ------------------------------------------------------------------------------
Accuride Corporation
$ 1,936,244 Term Loan, Maturing January 21, 2005 $ 1,824,910
819,524 Term Loan, Maturing January 21, 2006 773,768
1,136,165 Term Loan, Maturing January 21, 2007 1,077,936
American Axle & Manufacturing, Inc.
4,680,679 Term Loan, Maturing April 30, 2006 4,675,151
Collins & Aikman
4,496,027 Term Loan, Maturing December 31, 2004 4,466,052
Dura Operating Corp.
2,781,494 Term Loan, Maturing March 31, 2007 2,775,119
Exide Corporation
6,000,000 DIP Loan, Maturing February 15, 2004 5,910,000
1,828,953 Revolving Loan, Maturing March 18, 2005(2) 1,017,355
4,075,155 Term Loan, Maturing March 18, 2005(2) 2,258,566
Federal-Mogul Corporation
3,306,091 Revolving Loan, Maturing February 24, 2004 3,289,561
2,000,000 Term Loan, Maturing February 24, 2004 1,566,876
2,500,000 Term Loan, Maturing February 24, 2005 1,953,125
3,000,000 Term Loan, Maturing February 24, 2006 2,343,750
2,896,682 Term Loan, Maturing February 24, 2007 2,882,198
Hayes Lemmerz International, Inc.
2,359,948 Revolving Loan, Maturing June 16, 2005(2) 1,984,716
100,187 Term Loan, Maturing June 16, 2005(2) 84,257
2,493,750 Term Loan, Maturing June 16, 2006(2) 2,089,556
J.L. French Automotive Castings, Inc.
2,119,741 Term Loan, Maturing November 30, 2006 1,938,901
Metaldyne, Inc.
6,491,875 Term Loan, Maturing December 31, 2009 6,069,903
The Goodyear Tire & Rubber Company
4,000,000 Term Loan, Maturing March 31, 2006 3,860,000
TRW Automotive Holdings Corp.
8,500,000 Term Loan, Maturing February 28, 2011 8,472,112
- ------------------------------------------------------------------------------
$ 61,313,812
- ------------------------------------------------------------------------------
Broadcast Media -- 5.4%
- ------------------------------------------------------------------------------
Block Communications
$ 5,194,509 Term Loan, Maturing November 30, 2009 $ 5,213,988
CanWest Media, Inc.
6,659,104 Term Loan, Maturing May 15, 2008 6,673,674
4,160,293 Term Loan, Maturing May 15, 2009 4,169,525
Citadel Communications Corp.
924,444 Term Loan, Maturing March 31, 2006 924,444
6,656,000 Term Loan, Maturing December 31, 2008 6,675,968
Discovery Communications, Inc.
1,015,315 Revolving Loan, Maturing December 31, 2004 959,473
2,000,000 Term Loan, Maturing December 31, 2005 1,930,000
Emmis Communication Corporation
4,413,497 Term Loan, Maturing August 31, 2009 4,424,138
Entercom Radio, LLC
4,187,500 Term Loan, Maturing September 30, 2007 4,105,061
Gray Television, Inc.
2,325,000 Term Loan, Maturing December 31, 2010 2,338,806
Lin Television Corp.
3,075,429 Term Loan, Maturing December 31, 2007 3,079,273
2,774,571 Term Loan, Maturing December 31, 2008 2,778,040
Nexstar Finance, LLC
1,367,568 Term Loan, Maturing December 31, 2010 1,370,560
3,232,432 Term Loan, Maturing December 31, 2011 3,242,198
Paxson Communications Corporation
3,930,000 Term Loan, Maturing June 30, 2006 3,900,525
Radio One, Inc.
4,400,000 Term Loan, Maturing June 30, 2007 4,290,000
Sinclair Broadcast Group, Inc.
1,150,000 Term Loan, Maturing December 31, 2009 1,151,283
7,000,000 Term Loan, Maturing December 31, 2010 7,001,561
Susquehanna Media Co.
1,760,000 Term Loan, Maturing June 30, 2007 1,736,900
4,177,750 Term Loan, Maturing June 30, 2008 4,193,417
- ------------------------------------------------------------------------------
$ 70,158,833
- ------------------------------------------------------------------------------
Cable Television -- 5.9%
- ------------------------------------------------------------------------------
Adelphia
$ 1,500,000 DIP Loan, Maturing June 25, 2004 $ 1,505,625
Bresnan Communications, LLC
3,000,000 Term Loan, Maturing September 30, 2010 2,947,500
Century Cable Holdings, LLC
2,600,000 Term Loan, Maturing June 30, 2009 2,104,606
6,800,000 Term Loan, Maturing December 31, 2009 5,482,500
Charter Communications Operating, LLC.
7,364,680 Term Loan, Maturing March 18, 2008 6,681,606
2,970,000 Term Loan, Maturing September 18, 2008 2,678,364
Charter Communications VI
2,493,750 Term Loan, Maturing March 18, 2008 2,112,563
Charter Communications VIII
2,962,500 Term Loan, Maturing February 2, 2008 2,681,593
Classic Cable, Inc.
631,613 Term Loan, Maturing January 16, 2008 571,610
1,426,819 Term Loan, Maturing January 16, 2009 1,291,271
CSG Systems Intl, Inc.
1,000,000 Term Loan, Maturing December 31, 2007 966,250
3,612,500 Term Loan, Maturing December 31, 2006 3,504,125
DirectTV Holdings, LLC
10,850,000 Term Loan, Maturing March 6, 2010 10,904,250
Falcon Holding Group, L.P.
1,940,299 Revolving Loan, Maturing December 31, 2005 1,649,254
2,961,340 Term Loan, Maturing December 31, 2007 2,657,803
Frontiervision Operating Partners, L.P.
4,139,394 Revolving Loan, Maturing March 31, 2005 3,784,097
Hilton Head Communications
15,436,250 Term Loan, Maturing May 15, 2007 11,978,530
Insight Midwest Holdings, LLC
2,000,000 Term Loan, Maturing December 31, 2009 1,984,028
Mediacom Southeast
1,616,667 Revolving Loan, Maturing March 31, 2008 1,592,417
1,983,756 Term Loan, Maturing September 30, 2008 1,934,162
Videotron LTEE
7,224,171 Term Loan, Maturing December 1, 2009 7,157,947
- ------------------------------------------------------------------------------
$ 76,170,101
- ------------------------------------------------------------------------------
Casinos & Gaming -- 4.6%
- ------------------------------------------------------------------------------
Alliance Gaming Corporation
$ 6,930,000 Term Loan, Maturing November 30, 2006 $ 6,966,091
Ameristar Casinos, Inc.
3,891,483 Term Loan, Maturing December 31, 2006 3,907,536
Argosy Gaming Company
6,636,184 Term Loan, Maturing June 30, 2008 6,674,893
Aztar Corporation
1,710,025 Term Loan, Maturing June 30, 2005 1,708,957
Boyd Gaming Corporation
6,933,788 Term Loan, Maturing June 24, 2008 6,952,856
Isle of Capri Casinos
7,425,000 Term Loan, Maturing April 25, 2008 7,448,203
Mandalay Resort Group
9,990,471 Term Loan, Maturing August 18, 2006 9,896,810
Marina District Finance Company
4,317,288 Term Loan, Maturing December 31, 2007 4,293,003
Mohegan Tribal Gaming Authority
2,500,000 Term Loan, Maturing March 31, 2008 2,493,750
Park Place Entertainment Corporation
4,141,240 Revolving Loan, Maturing December 31, 2003 4,065,319
Scientific Games Corporation
2,992,500 Term Loan, Maturing December 31, 2008 2,999,514
Venetian Casino Resort, LLC/Las Vegas Sands, Inc.
2,478,763 Term Loan, Maturing June 4, 2008 2,496,838
- ------------------------------------------------------------------------------
$ 59,903,770
- ------------------------------------------------------------------------------
Chemicals -- 4.1%
- ------------------------------------------------------------------------------
Arteva B.V. (Kosa)
$ 4,779,636 Term Loan, Maturing December 31, 2006 $ 4,728,853
CP Kelco U.S., Inc.
4,534,045 Term Loan, Maturing March 31, 2008 4,381,021
1,518,502 Term Loan, Maturing September 30, 2008 1,467,252
Foamex L.P.
184,759 Term Loan, Maturing June 30, 2006 166,745
1,877,884 Term Loan, Maturing June 30, 2007 1,694,791
GEO Specialty Chemicals, Inc.
2,298,214 Term Loan, Maturing December 31, 2007 2,125,848
Georgia Gulf Corporation
3,795,486 Term Loan, Maturing May 12, 2009 3,814,463
Huntsman Int'l
4,561,600 Term Loan, Maturing June 30, 2007 4,534,518
4,561,654 Term Loan, Maturing June 30, 2008 4,535,994
Huntsman LLC
371,695 Term Loan, Maturing March 31, 2007 351,871
178,305 Term Loan, Maturing March 31, 2008 168,796
IMC Global, Inc.
4,392,242 Term Loan, Maturing November 17, 2006 4,408,713
Messer Griesham GmbH
3,974,064 Term Loan, Maturing April 30, 2009 4,000,146
7,023,874 Term Loan, Maturing April 30, 2010 7,069,972
Millenium Chemicals inc.
1,749,239 Term Loan, Maturing June 30, 2006 1,754,887
NOVEON
3,570,625 Term Loan, Maturing September 30, 2008 3,583,058
Polymer Group, Inc.
5,329,478 Term Loan, Maturing December 31, 2006 4,695,270
- ------------------------------------------------------------------------------
$ 53,482,198
- ------------------------------------------------------------------------------
Coal -- 0.4%
- ------------------------------------------------------------------------------
Arch Western Resources, LLC.
$ 3,000,000 Term Loan, Maturing April 30, 2008 $ 3,007,500
Peabody Energy Corporation
2,500,000 Term Loan, Maturing March 21, 2010 2,515,625
- ------------------------------------------------------------------------------
$ 5,523,125
- ------------------------------------------------------------------------------
Commercial Services -- 3.3%
- ------------------------------------------------------------------------------
Advanstar Communications Inc.
$ 6,606,571 Term Loan, Maturing November 17, 2007 $ 6,317,534
Anthony Crane Rental, L.P.
4,419,643 Term Loan, Maturing July 20, 2006 2,452,902
Coinmach Laundry Corporation
9,800,000 Term Loan, Maturing July 25, 2009 9,829,400
Corrections Corporation of America
8,415,008 Term Loan, Maturing May 31, 2008 8,426,579
Environmental Systems Products Hldgs, Inc.
2,847,822 Term Loan, Maturing December 31, 2004 2,776,627
2,500,000 Term Loan, Maturing December 31, 2005 2,212,500
Gate Gourmet Borrower LLC
4,300,000 Term Loan, Maturing December 31, 2008 3,977,500
Panavision International, L.P.
720,450 Term Loan, Maturing March 31, 2004 648,405
2,088,427 Revolving Loan, Maturing May 31, 2004 1,879,584
1,976,091 Term Loan, Maturing March 31, 2005 1,785,068
Volume Services, Inc.
2,420,003 Term Loan, Maturing December 31, 2003 2,401,853
- ------------------------------------------------------------------------------
$ 42,707,952
- ------------------------------------------------------------------------------
Communications Equipment -- 1.0%
- ------------------------------------------------------------------------------
Amphenol Corporation
$ 532,386 Term Loan, Maturing May 19, 2004 $ 523,734
11,901,210 Term Loan, Maturing May 19, 2005 11,872,694
Superior Telecom, Inc.
706,559 Term Loan, Maturing November 27, 2005(2) 219,033
2,590,698 Term Loan, Maturing November 27, 2006(2) 803,116
- ------------------------------------------------------------------------------
$ 13,418,577
- ------------------------------------------------------------------------------
Construction Materials -- 0.5%
- ------------------------------------------------------------------------------
Formica Corporation
$ 4,665,128 Revolving Loan, Maturing May 1, 2004 $ 4,093,649
1,245,346 Term Loan, Maturing May 1, 2004 1,092,791
NCI Building Systems, Inc.
1,456,329 Term Loan, Maturing July 31, 2008 1,461,183
- ------------------------------------------------------------------------------
$ 6,647,623
- ------------------------------------------------------------------------------
Containers & Packaging - Metal & Glass -- 1.0%
- ------------------------------------------------------------------------------
Silgan Holdings Inc.
$ 12,342,289 Term Loan, Maturing December 31, 2008 $ 12,337,143
- ------------------------------------------------------------------------------
$ 12,337,143
- ------------------------------------------------------------------------------
Containers & Packaging - Paper -- 2.8%
- ------------------------------------------------------------------------------
Blue Ridge Paper Products, Inc.
$ 3,227,801 Revolving Loan, Maturing March 31, 2005 $ 3,066,411
622,793 Term Loan, Maturing March 31, 2005 591,653
Graphic Packaging Corporation
1,461,263 Term Loan, Maturing February 28, 2009 1,468,569
Greif Bros. Corporation
2,543,593 Term Loan, Maturing August 31, 2008 2,546,137
Jefferson Smurfit Corporation
1,127,273 Revolving Loan, Maturing March 31, 2005 1,091,106
4,613,636 Term Loan, Maturing March 31, 2005 4,521,364
3,763,306 Term Loan, Maturing March 31, 2007 3,738,656
Port Townsend Paper Corporation
475,373 Term Loan, Maturing March 16, 2007 434,966
980,000 Term Loan, Maturing March 16, 2008 896,700
Printpack Holdings, Inc.
5,095,882 Term Loan, Maturing April 30, 2009 5,113,931
Riverwood International Corporation
566,667 Revolving Loan, Maturing December 31, 2005 563,479
5,000,000 Term Loan, Maturing December 31, 2006 4,991,405
Stone Container Corporation
6,887,942 Term Loan, Maturing June 30, 2009 6,840,587
1,167,046 Term Loan, Maturing June 30, 2010 1,159,265
- ------------------------------------------------------------------------------
$ 37,024,229
- ------------------------------------------------------------------------------
Containers & Packaging - Plastics -- 1.2%
- ------------------------------------------------------------------------------
Berry Plastics Corporation
$ 3,858,686 Term Loan, Maturing June 30, 2010 $ 3,877,497
Consolidated Container Holdings LLC
996,022 Term Loan, Maturing June 30, 2007 871,519
Crown Cork & Seal Company, Inc.
6,075,000 Term Loan, Maturing September 15, 2008 6,065,888
Tekni-Plex, Inc.
1,326,234 Revolving Loan, Maturing June 21, 2006 1,202,894
1,189,286 Term Loan, Maturing June 21, 2006 1,153,607
1,979,644 Term Loan, Maturing June 30, 2008 1,949,949
- ------------------------------------------------------------------------------
$ 15,121,354
- ------------------------------------------------------------------------------
Educational Services -- 0.5%
- ------------------------------------------------------------------------------
Jostens, Inc.
$ 3,489,394 Term Loan, Maturing December 31, 2009 $ 3,496,662
Kindercare Learning Centers, Inc.
2,776,033 Revolving Loan, Maturing February 13, 2005 2,664,992
- ------------------------------------------------------------------------------
$ 6,161,654
- ------------------------------------------------------------------------------
Electronic Equipment & Instruments -- 0.1%
- ------------------------------------------------------------------------------
Knowles Electronics, Inc.
$ 1,857,855 Term Loan, Maturing June 29, 2007 $ 1,672,069
- ------------------------------------------------------------------------------
$ 1,672,069
- ------------------------------------------------------------------------------
Entertainment -- 2.7%
- ------------------------------------------------------------------------------
AMF Bowling Worldwide, Inc.
$ 2,148,437 Term Loan, Maturing February 28, 2008 $ 2,147,542
Amfac Resorts, Inc.
4,142,994 Term Loan, Maturing September 30, 2003 4,132,636
4,142,994 Term Loan, Maturing September 30, 2004 4,132,636
Blockbuster Entertainment Corp.
411,429 Revolving Loan, Maturing July 1, 2004 404,957
5,290,278 Term Loan, Maturing July 1, 2004 5,248,241
Hollywood Entertainment Corporation
2,618,750 Term Loan, Maturing March 31, 2008 2,628,026
Metro-Goldwyn-Mayer Studios Inc.
11,000,000 Term Loan, Maturing June 11, 2008 10,987,966
Six Flags Theme Parks Inc.
1,666,667 Revolving Loan, Maturing June 30, 2008 1,616,667
4,000,000 Term Loan, Maturing June 30, 2009 3,956,668
- ------------------------------------------------------------------------------
$ 35,255,339
- ------------------------------------------------------------------------------
Environmental Services -- 0.3%
- ------------------------------------------------------------------------------
Casella Waste Systems, Inc.
$ 3,000,000 Term Loan, Maturing January 24, 2010 $ 3,016,407
Stericycle, Inc.
1,299,352 Term Loan, Maturing November 10, 2006 1,305,037
- ------------------------------------------------------------------------------
$ 4,321,444
- ------------------------------------------------------------------------------
Food, Beverages & Tobacco -- 3.8%
- ------------------------------------------------------------------------------
American Seafood Holdings Inc.
$ 1,481,246 Term Loan, Maturing September 30, 2007 $ 1,474,765
2,797,304 Term Loan, Maturing March 31, 2009 2,810,417
Aurora Foods, Inc.
2,801,071 Revolving Loan, Maturing September 30, 2005 2,477,198
994,924 Term Loan, Maturing September 30, 2006 931,746
745,005 Term Loan, Maturing March 31, 2007 696,207
Cott Corporation
841,250 Term Loan, Maturing December 31, 2006 845,456
Dean Foods Company
5,546,875 Term Loan, Maturing July 15, 2007 5,528,964
2,272,663 Term Loan, Maturing July 15, 2008 2,274,729
Del Monte Corporation
6,501,267 Term Loan, Maturing December 20, 2010 6,569,531
Dr. Pepper/Seven Up Bottling Group, Inc.
2,003,783 Term Loan, Maturing October 7, 2007 1,983,432
Eagle Family Foods, Inc.
3,153,412 Term Loan, Maturing December 31, 2005 2,974,717
Interstate Brands Corporations
7,614,375 Term Loan, Maturing July 19, 2007 7,554,412
992,500 Term Loan, Maturing July 19, 2008 980,404
Michael Foods, Inc.
3,778,664 Term Loan, Maturing March 30, 2008 3,801,495
Nutra Sweet
85,579 Term Loan, Maturing June 30, 2007 85,329
986,000 Term Loan, Maturing June 30, 2008 781,405
Southern Wine & Spirits of America, Inc.
6,954,981 Term Loan, Maturing June 28, 2008 6,981,062
- ------------------------------------------------------------------------------
$ 48,751,269
- ------------------------------------------------------------------------------
Health Care - Equipment & Supplies -- 1.3%
- ------------------------------------------------------------------------------
Advance Medical Optics, Inc.
$ 1,496,250 Term Loan, Maturing June 30, 2008 $ 1,501,394
Conmed Corporation
4,226,888 Term Loan, Maturing December 31, 2007 4,233,934
Fisher Scientific International, LLC
5,250,000 Term Loan, Maturing March 31, 2010 5,277,563
Leiner Health Products Inc.
793,891 Term Loan, Maturing March 31, 2004 735,342
Sybron Dental Management
4,370,680 Term Loan, Maturing June 6, 2009 4,388,709
- ------------------------------------------------------------------------------
$ 16,136,942
- ------------------------------------------------------------------------------
Health Care - Providers & Services -- 4.9%
- ------------------------------------------------------------------------------
Alliance Imaging, Inc.
$ 8,951,049 Term Loan, Maturing June 10, 2008 $ 8,593,007
Amerisource Bergen Corporation
11,700,000 Term Loan, Maturing March 31, 2005 11,561,062
Caremark RX, Inc.
3,682,663 Term Loan, Maturing March 31, 2006 3,684,965
Community Health Systems, Inc.
11,442,500 Term Loan, Maturing July 5, 2010 11,413,001
Concentra Managed Care, Inc.
1,947,162 Term Loan, Maturing December 31, 2005 1,915,520
972,022 Term Loan, Maturing December 31, 2006 956,226
DaVita, Inc
4,426,612 Term Loan, Maturing March 31, 2009 4,437,679
Express Scripts, Inc.
2,000,000 Term Loan, Maturing March 31, 2008 2,001,250
Fresenius Medical Care Holdings, Inc.
8,000,000 Term Loan, Maturing February 21, 2010 8,019,168
Magellan Health Services, Inc.
1,735,350 Term Loan, Maturing February 12, 2005 1,625,445
1,735,350 Term Loan, Maturing February 12, 2006 1,625,445
Team Health
2,618,835 Term Loan, Maturing October 31, 2007 2,545,180
1,903,796 Term Loan, Maturing October 31, 2008 1,859,771
Triad Hospitals Holdings, Inc.
3,920,984 Term Loan, Maturing March 31, 2008 3,945,714
- ------------------------------------------------------------------------------
$ 64,183,433
- ------------------------------------------------------------------------------
Hotels -- 1.1%
- ------------------------------------------------------------------------------
Extended Stay America
$ 6,909,347 Term Loan, Maturing December 31, 2007 $ 6,784,730
KSL Recreation Group, Inc.
2,325,773 Term Loan, Maturing April 30, 2005 2,309,300
2,325,773 Term Loan, Maturing April 30, 2006 2,313,419
Wyndham International, Inc.
4,076,774 Term Loan, Maturing June 30, 2006 3,027,005
- ------------------------------------------------------------------------------
$ 14,434,454
- ------------------------------------------------------------------------------
Household Furnish & Appliances -- 0.6%
- ------------------------------------------------------------------------------
Goodman Manufacturing Company, L.P.
$ 337,521 Term Loan, Maturing September 30, 2003 $ 336,888
603,192 Term Loan, Maturing April 9, 2004 602,061
1,142,187 Term Loan, Maturing July 31, 2005 1,144,328
Sealy Mattress Company
1,834,147 Term Loan, Maturing December 15, 2004 1,819,932
1,518,753 Term Loan, Maturing December 15, 2005 1,506,983
1,831,193 Term Loan, Maturing December 15, 2006 1,817,002
Simmons Company
697,081 Term Loan, Maturing October 30, 2005 699,550
439,273 Term Loan, Maturing October 30, 2006 441,140
- ------------------------------------------------------------------------------
$ 8,367,884
- ------------------------------------------------------------------------------
Household Products -- 1.6%
- ------------------------------------------------------------------------------
Church & Dwight Co. Inc.
$ 7,362,617 Term Loan, Maturing September 30, 2007 $ 7,406,660
Rayovac Corporation
4,363,766 Term Loan, Maturing September 30, 2009 4,369,221
The Scotts Company
4,305,381 Term Loan, Maturing December 31, 2007 4,325,026
United Industries Corporation
4,062,627 Term Loan, Maturing January 20, 2006 4,070,244
Werner Holding Co.
561,808 Term Loan, Maturing November 30, 2004 559,818
375,349 Term Loan, Maturing November 30, 2005 374,176
- ------------------------------------------------------------------------------
$ 21,105,145
- ------------------------------------------------------------------------------
Insurance -- 1.0%
- ------------------------------------------------------------------------------
Hilb, Rogal and Hamilton Company
$ 5,712,484 Term Loan, Maturing June 30, 2007 $ 5,733,906
White Mountains Insurance Group, LTD.
3,163,867 Term Loan, Maturing March 31, 2006 3,128,273
Willis Corroon Corporation
3,504,546 Term Loan, Maturing February 5, 2005 3,381,886
414,407 Term Loan, Maturing February 19, 2007 411,817
- ------------------------------------------------------------------------------
$ 12,655,882
- ------------------------------------------------------------------------------
Leisure -- 0.9%
- ------------------------------------------------------------------------------
New England Sports Ventures, LLC
$ 12,000,000 Term Loan, Maturing February 28, 2005 $ 12,000,000
- ------------------------------------------------------------------------------
$ 12,000,000
- ------------------------------------------------------------------------------
Machinery -- 2.1%
- ------------------------------------------------------------------------------
Flowserve Corporation
$ 2,313,910 Term Loan, Maturing June 30, 2007 $ 2,295,834
5,853,693 Term Loan, Maturing June 30, 2009 5,855,321
Rexnord Corporation
3,062,500 Term Loan, Maturing November 30, 2009 3,087,383
Terex Corporation
2,975,013 Term Loan, Maturing June 30, 2009 2,878,325
The Manitowoc Company
6,582,750 Term Loan, Maturing June 30, 2007 6,597,561
Thermadyne MFG LLC
3,975,083 Term Loan, Maturing May 22, 2005 3,304,288
3,975,083 Term Loan, Maturing May 22, 2006 3,304,288
- ------------------------------------------------------------------------------
$ 27,323,000
- ------------------------------------------------------------------------------
Manufacturing -- 4.5%
- ------------------------------------------------------------------------------
Advanced Glassfiber Yarns LLC
$ 2,972,806 Term Loan, Maturing September 30, 2005(2) $ 1,322,899
Citation Corporation
996,252 Term Loan, Maturing December 1, 2007 819,417
Dayton Superior Corporation
603,882 Term Loan, Maturing September 29, 2005 546,514
2,467,243 Term Loan, Maturing May 31, 2008 2,232,854
Dresser, Inc.
505,571 Term Loan, Maturing March 31, 2007 505,030
Ingram Industries, Inc.
4,198,549 Term Loan, Maturing June 30, 2008 4,172,308
JohnsonDiversey, Inc.
1,868,833 Term Loan, Maturing November 30, 2008 1,873,894
5,472,500 Term Loan, Maturing November 30, 2009 5,504,137
Motor Coach Industries
2,415,025 Term Loan, Maturing June 15, 2006 1,827,370
Mueller Group, Inc.
5,964,975 Term Loan, Maturing May 31, 2008 5,951,661
National Waterworks Holdings, Inc.
3,960,000 Term Loan, Maturing November 22, 2009 3,989,700
Owens Corning
4,691,244 Revolving Loan, Maturing November 15, 2003(2) 3,107,949
Polypore Incorporated
4,103,084 Term Loan, Maturing December 31, 2006 4,113,342
1,485,000 Term Loan, Maturing December 31, 2007 1,492,425
SPX Corporation
3,750,313 Term Loan, Maturing September 30, 2009 3,748,437
6,250,521 Term Loan, Maturing March 31, 2010 6,247,396
Synthetic Industries, Inc.
2,462,430 Term Loan, Maturing December 30, 2007 1,822,198
Trimas Corporation
4,530,883 Term Loan, Maturing December 31, 2009 4,544,249
Walter Industries, Inc.
5,000,000 Term Loan, Maturing April 17, 2010 4,960,940
- ------------------------------------------------------------------------------
$ 58,782,720
- ------------------------------------------------------------------------------
Metals & Mining -- 0.6%
- ------------------------------------------------------------------------------
Compass Minerals Group, Inc.
$ 1,805,119 Term Loan, Maturing November 28, 2009 $ 1,817,754
Neenah Foundry Company
1,794,859 Term Loan, Maturing September 30, 2005 1,696,141
Steel Dynamics, Inc.
1,000,000 Term Loan, Maturing March 26, 2008 1,003,125
Stillwater Mining Company
1,264,110 Term Loan, Maturing June 30, 2006 1,175,623
2,397,485 Term Loan, Maturing June 30, 2007 2,229,661
- ------------------------------------------------------------------------------
$ 7,922,304
- ------------------------------------------------------------------------------
Miscellaneous -- 0.1%
- ------------------------------------------------------------------------------
Weight Watchers International, Inc.
$ 1,145,064 Term Loan, Maturing December 31, 2007 $ 1,149,358
678,556 Term Loan, Maturing December 31, 2008 681,101
- ------------------------------------------------------------------------------
$ 1,830,459
- ------------------------------------------------------------------------------
Office Equipment & Supplies -- 0.8%
- ------------------------------------------------------------------------------
Iron Mountain Incorporated
$ 7,984,000 Term Loan, Maturing February 15, 2008 $ 8,007,521
Xerox Corporation
2,831,291 Term Loan, Maturing April 30, 2005 2,821,781
- ------------------------------------------------------------------------------
$ 10,829,302
- ------------------------------------------------------------------------------
Oil & Gas -- 1.3%
- ------------------------------------------------------------------------------
Citgo Petroleum Company
$ 2,000,000 Term Loan, Maturing February 27, 2006 $ 2,015,000
El Paso Corporation
5,000,000 Term Loan, Maturing March 11, 2005 4,975,000
The Premcor Refining Group, Inc.
10,000,000 Term Loan, Maturing February 11, 2006 10,012,500
- ------------------------------------------------------------------------------
$ 17,002,500
- ------------------------------------------------------------------------------
Paper & Forest Products -- 0.2%
- ------------------------------------------------------------------------------
Appleton Papers, Inc.
$ 895,097 Term Loan, Maturing November 8, 2006 $ 898,453
Bear Island Paper Company, LLC
1,178,130 Term Loan, Maturing December 31, 2005 1,160,458
- ------------------------------------------------------------------------------
$ 2,058,911
- ------------------------------------------------------------------------------
Personal Products -- 1.6%
- ------------------------------------------------------------------------------
Armkel, LLC
$ 5,425,798 Term Loan, Maturing March 31, 2009 $ 5,463,101
Mary Kay Cosmetics, Inc.
6,093,084 Term Loan, Maturing September 30, 2007 6,124,817
Playtex Products, Inc.
8,945,000 Term Loan, Maturing May 31, 2009 8,927,298
- ------------------------------------------------------------------------------
$ 20,515,216
- ------------------------------------------------------------------------------
Publishing & Printing -- 6.3%
- ------------------------------------------------------------------------------
American Media Operations Inc.
$ 1,496,183 Term Loan, Maturing April 1, 2007 $ 1,499,690
5,319,883 Term Loan, Maturing April 1, 2008 5,333,183
Bell Actimedia, Inc.
3,990,000 Term Loan, Maturing November 29, 2009 4,021,174
2,432,774 Term Loan, Maturing November 29, 2010 2,455,278
Dex Media, Inc.
4,555,488 Term Loan, Maturing November 8, 2009 4,617,720
Hollinger International Publishing, Inc.
4,643,333 Term Loan, Maturing September 30, 2009 4,678,158
Journal Register Company
8,410,294 Term Loan, Maturing September 30, 2006 8,347,217
Liberty Group Operating, Inc.
3,641,157 Term Loan, Maturing April 30, 2007 3,636,606
Merrill Corporation
3,479,168 Term Loan, Maturing November 15, 2006 3,157,345
Moore Holdings U.S.A. Inc.
4,600,000 Term Loan, Maturing March 15, 2010 4,622,282
Morris Communications Corporation
8,000,000 Term Loan, Maturing September 30, 2009 8,010,000
R.H. Donnelley Inc.
1,908,522 Term Loan, Maturing December 31, 2008 1,911,623
2,493,750 Term Loan, Maturing June 30, 2010 2,515,658
Sun Media Corporation
4,139,685 Term Loan, Maturing February 7, 2009 4,146,155
The McClatchy Company
8,911,656 Term Loan, Maturing September 10, 2007 8,925,585
The Reader's Digest Association, Inc.
5,955,000 Term Loan, Maturing May 20, 2008 5,852,651
Transwestern Publishing Company LLC
7,903,754 Term Loan, Maturing June 27, 2008 7,923,513
- ------------------------------------------------------------------------------
$ 81,653,838
- ------------------------------------------------------------------------------
Real Estate -- 4.8%
- ------------------------------------------------------------------------------
125 West 55th Street
$ 5,403,968 Term Loan, Maturing June 9, 2004 $ 5,403,968
AGBRI Octagon
3,464,532 Term Loan, Maturing May 31, 2004 3,438,548
AIMCO Properties, L.P.
3,351,683 Term Loan, Maturing February 28, 2004 3,360,062
AP-Knight LP
3,216,377 Term Loan, Maturing December 31, 2004 3,212,356
Crescent Real Estate Equities, L.P.
6,375,000 Term Loan, Maturing May 31, 2005 6,335,156
Fairfield Resorts, Inc.
1,666,667 Revolving Loan, Maturing March 21, 2006 1,658,333
3,750,000 Term Loan, Maturing March 21, 2006 3,731,250
Lennar Corporation
2,491,667 Term Loan, Maturing May 2, 2007 2,497,273
Macerich Partnership, L.P.
3,686,400 Term Loan, Maturing July 15, 2005 3,691,008
Newkirk Master, L.P.
4,549,100 Term Loan, Maturing December 31, 2004 4,577,532
OLY Hightop Parent
1,919,762 Term Loan, Maturing March 31, 2006 1,924,561
Shelbourne Properties, L.P.
1,909,091 Term Loan, Maturing February 19, 2006 1,906,705
The Woodlands Commercial Properties Co., L.P.
2,850,000 Term Loan, Maturing November 26, 2005 2,842,875
Trizec Properties, Inc.
8,000,000 Term Loan, Maturing May 29, 2005 7,980,000
Westfield America Limited Partnership
5,747,682 Term Loan, Maturing May 3, 2005 5,733,312
Wilmorite Holdings, L.P.
4,600,000 Term Loan, Maturing March 31, 2006 4,588,500
- ------------------------------------------------------------------------------
$ 62,881,439
- ------------------------------------------------------------------------------
Restaurants -- 1.1%
- ------------------------------------------------------------------------------
AFC Enterprises Inc.
$ 3,389,694 Term Loan, Maturing May 23, 2009 $ 3,371,332
Buffets, Inc.
6,637,842 Term Loan, Maturing June 30, 2009 6,526,659
Jack in the Box, Inc.
1,995,000 Term Loan, Maturing July 22, 2007 2,001,234
O'Charley's Inc.
2,200,000 Term Loan, Maturing January 27, 2009 2,206,875
- ------------------------------------------------------------------------------
$ 14,106,100
- ------------------------------------------------------------------------------
Retail - Food & Drug -- 4.5%
- ------------------------------------------------------------------------------
Domino's Inc.
$ 7,451,231 Term Loan, Maturing June 30, 2008 $ 7,469,859
Duane Reade Inc.
3,019,850 Term Loan, Maturing February 15, 2007 3,027,400
Fleming Companies, Inc.
1,594,252 Revolving Loan, Maturing June 18, 2008 1,364,082
3,364,968 Term Loan, Maturing June 18, 2008 2,794,327
Giant Eagle, Inc.
7,471,250 Term Loan, Maturing August 6, 2009 7,483,705
Rite Aid Corporation
16,601,011 Term Loan, Maturing June 27, 2005 16,518,006
684,282 Term Loan, Maturing June 27, 2006 682,215
Roundy's, Inc.
8,441,237 Term Loan, Maturing June 6, 2009 8,439,921
SDM Corporation
8,254,644 Term Loan, Maturing February 4, 2009 8,275,281
The Pantry, Inc.
3,000,000 Term Loan, Maturing March 31, 2007 2,964,375
- ------------------------------------------------------------------------------
$ 59,019,171
- ------------------------------------------------------------------------------
Retail - Multiline -- 0.4%
- ------------------------------------------------------------------------------
Kmart Corporation
$ 5,500,000 DIP Loan, Maturing April 22, 2004 $ 5,449,582
- ------------------------------------------------------------------------------
$ 5,449,582
- ------------------------------------------------------------------------------
Retail - Specialty -- 2.5%
- ------------------------------------------------------------------------------
Advance Stores Company, Inc.
$ 1,386,105 Term Loan, Maturing November 30, 2006 $ 1,381,774
5,990,641 Term Loan, Maturing November 30, 2007 6,003,371
2,000,000 Term Loan, Maturing November 30, 2008 2,004,166
Charming Shoppes, Inc.
117,377 Revolving Loan, Maturing August 31, 2004 117,377
CSK Auto, Inc.
9,000,000 Term Loan, Maturing December 21, 2004 9,039,375
Jo-Ann Stores, Inc.
3,000,000 Term Loan, Maturing April 30, 2005 2,985,000
Oriental Trading Company
989,796 Term Loan, Maturing June 30, 2009 990,415
Petco Animal Supplies Inc.
2,976,744 Term Loan, Maturing October 2, 2008 2,987,288
Travelcenters of America, Inc.
7,342,936 Term Loan, Maturing November 30, 2008 7,377,360
- ------------------------------------------------------------------------------
$ 32,886,126
- ------------------------------------------------------------------------------
Road & Rail -- 0.3%
- ------------------------------------------------------------------------------
Kansas City Southern Industries, Inc.
$ 915,575 Term Loan, Maturing June 12, 2008 $ 917,006
RailAmerica Transportation Corp.
3,000,000 Term Loan, Maturing May 31, 2009 2,991,750
- ------------------------------------------------------------------------------
$ 3,908,756
- ------------------------------------------------------------------------------
Shipping Lines -- 0.1%
- ------------------------------------------------------------------------------
American Commercial Lines
$ 896,844 Term Loan, Maturing June 30, 2006 $ 670,839
679,449 Term Loan, Maturing July 30, 2006 508,228
- ------------------------------------------------------------------------------
$ 1,179,067
- ------------------------------------------------------------------------------
Telecommunications - Wireline -- 1.0%
- ------------------------------------------------------------------------------
Alec Holdings, Inc.
$ 1,297,368 Term Loan, Maturing November 30, 2006 $ 1,276,827
1,167,632 Term Loan, Maturing November 30, 2007 1,149,144
Broadwing Inc.
1,078,832 Term Loan, Maturing December 31, 2004 1,063,548
674,193 Revolving Loan, Maturing December 31, 2005 637,112
4,620,485 Term Loan, Maturing December 31, 2005 4,466,193
Fairpoint Communications, Inc.
4,909,794 Term Loan, Maturing March 31, 2007 4,928,206
- ------------------------------------------------------------------------------
$ 13,521,030
- ------------------------------------------------------------------------------
Telecommunications - Wireless -- 1.1%
- ------------------------------------------------------------------------------
American Tower, L.P.
1,644,349 Term Loan, Maturing December 31, 2006 1,570,764
2,911,679 Term Loan, Maturing December 31, 2007 2,841,202
Cricket Communications, Inc.
1,500,000 Term Loan, Maturing June 30, 2007(2) 466,875
Nextel Communications, Inc.
4,486,250 Term Loan, Maturing March 31, 2009 4,349,720
Spectrasite Communications, Inc.
3,602,318 Term Loan, Maturing December 31, 2007 3,422,203
Western Wireless
292,500 Term Loan, Maturing September 30, 2007 251,642
728,175 Term Loan, Maturing September 30, 2008 607,298
Winstar Communications, Inc.
225,401 DIP Loan, Maturing June 30, 2003(2) 45,080
- ------------------------------------------------------------------------------
$ 13,554,784
- ------------------------------------------------------------------------------
Textiles & Apparel -- 0.2%
- ------------------------------------------------------------------------------
St. John Knits International, Inc.
$ 3,065,386 Term Loan, Maturing July 31, 2007 $ 3,071,612
- ------------------------------------------------------------------------------
$ 3,071,612
- ------------------------------------------------------------------------------
Theaters -- 0.9%
- ------------------------------------------------------------------------------
Cinemark USA, Inc.
$ 5,250,000 Term Loan, Maturing March 31, 2008 $ 5,268,050
Loews Cineplex Entertainment Corporation
1,000,000 Revolving Loan, Maturing March 31, 2007 995,000
4,950,000 Term Loan, Maturing May 31, 2008 4,925,250
Regal Cinemas Inc.
504,808 Term Loan, Maturing May 27, 2007 506,701
- ------------------------------------------------------------------------------
$ 11,695,001
- ------------------------------------------------------------------------------
Utility -- 1.0%
- ------------------------------------------------------------------------
International Transmission Company
$ 2,400,000 Term Loan, Maturing March 18, 2009 $ 2,417,251
ITC Holding Corp.
1,600,000 Term Loan, Maturing March 18, 2009 1,607,230
Michigan Electric Transmission Company, LLC
4,466,250 Term Loan, Maturing June 30, 2007 4,478,345
Pacific Energy Group, LLC
4,000,000 Term Loan, Maturing July 26, 2009 4,020,000
- ------------------------------------------------------------------------------
$ 12,522,826
- ------------------------------------------------------------------------------
Total Senior Floating Rate Interests
(identified cost $1,212,831,429) $ 1,188,616,956
- ------------------------------------------------------------------------------
Common Stocks and Warrants -- 0.0%
Shares/
Rights Security Value
- ------------------------------------------------------------------------------
7,860 Exide Corporation(2) $ --
- ------------------------------------------------------------------------------
Total Common Stocks and Warrants
(identified cost $0) $ --
- ------------------------------------------------------------------------------
Commercial Paper -- 7.0%
Principal
Amount
(000's
omitted) Security Value
- ------------------------------------------------------------------------------
$ 20,000 Barton Capital Corp., 1.25%, 5/8/03 $ 19,995,139
20,000 Corporate Asset Funding, 1.25%, 5/9/03 19,994,444
7,951 Cortez Capital Corp., 1.25%, 5/28/03 7,943,546
26,743 General Electric Capital, 1.36%, 5/1/03 26,743,000
16,457 Quincy Capital Corp., 1.265%, 5/6/03 16,454,108
- ------------------------------------------------------------------------------
Total Commercial Paper
(amortized cost, $91,130,237) $ 91,130,237
- ------------------------------------------------------------------------------
Total Investments -- 98.2%
(identified cost, $1,303,961,666) $ 1,279,747,193
- ------------------------------------------------------------------------------
Other Assets, Less Liabilities -- 1.8% $ 24,116,103
- ------------------------------------------------------------------------------
Net Assets -- 100.0% $ 1,303,863,296
- ------------------------------------------------------------------------------
(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 four years.
(2) Non-income producing security.
Note: At April 30, 2003, the Portfolio had unfunded commitments amounting to
$49,322,616 under various revolving credit agreements.
See notes to financial statements
Floating Rate Portfolio as of April 30, 2003
FINANCIAL STATEMENTS (Unaudited)
Statement of Assets and Liabilities
As of April 30, 2003
Assets
- ------------------------------------------------------------------------------
Investments, at value
(identified cost, $1,303,961,666) $1,279,747,193
Cash 21,763,637
Interest receivable 2,364,133
Prepaid expenses 160,066
- ------------------------------------------------------------------------------
Total assets $1,304,035,029
- ------------------------------------------------------------------------------
Liabilities
- ------------------------------------------------------------------------------
Payable to affiliate for Trustees' fees $ 2,764
Accrued expenses 168,969
- ------------------------------------------------------------------------------
Total liabilities $ 171,733
- ------------------------------------------------------------------------------
Net assets applicable to investors' interest in Portfolio $1,303,863,296
- ------------------------------------------------------------------------------
Sources of Net Assets
- ------------------------------------------------------------------------------
Net proceeds from capital contributions and withdrawals $1,328,077,769
Net unrealized depreciation (computed on the basis of
identified cost) (24,214,473)
- ------------------------------------------------------------------------------
Total $1,303,863,296
- ------------------------------------------------------------------------------
See notes to financial statements
Floating Rate Portfolio as of April 30, 2003
FINANCIAL STATEMENTS (Unaudited)
Statement of Operations
For the Six Months Ended April 30, 2003
Investment Income
- -----------------------------------------------------------------------------
Interest $ 32,820,346
- -----------------------------------------------------------------------------
Total investment income $ 32,820,346
- -----------------------------------------------------------------------------
Expenses
- -----------------------------------------------------------------------------
Investment adviser fee $ 3,621,691
Trustees' fees and expenses 13,685
Custodian fee 138,358
Legal and accounting services 87,591
Miscellaneous 126,818
- -----------------------------------------------------------------------------
Total expenses $ 3,988,143
- -----------------------------------------------------------------------------
Net investment income $ 28,832,203
- -----------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
- -----------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $ (8,793,076)
Interest rate swap contracts (1,345,598)
- -----------------------------------------------------------------------------
Net realized loss $ (10,138,674)
- -----------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 22,966,525
Interest rate swap contracts 1,376,803
- -----------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) $ 24,343,328
- -----------------------------------------------------------------------------
Net realized and unrealized gain $ 14,204,654
- -----------------------------------------------------------------------------
Net increase in net assets from operations $ 43,036,857
- -----------------------------------------------------------------------------
See notes to financial statements
Floating Rate Portfolio as of April 30, 2003
FINANCIAL STATEMENTS (CONT'D)
Statements of Changes in Net Assets
Increase Six Months Ended
(Decrease) April 30, 2003 Year Ended
in Net Assets (Unaudited) October 31, 2002
- ---------------------------------------------------------------------------------------------
From operations --
Net investment income $ 28,832,203 $ 67,349,097
Net realized loss (10,138,674) (14,790,884)
Net change in unrealized appreciation
(depreciation) 24,343,328 (23,057,472)
- ----------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 43,036,857 $ 29,500,741
- ----------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 162,983,330 $ 489,824,603
Withdrawals (228,285,112) (580,925,153)
- ----------------------------------------------------------------------------------------------
Net decrease in net assets from capital
transactions $ (65,301,782) $ (91,100,550)
- ----------------------------------------------------------------------------------------------
Net decrease in net assets $ (22,264,925) $ (61,599,809)
- ----------------------------------------------------------------------------------------------
Net Assets
- ---------------------------------------------------------------------------------------------
At beginning of period $1,326,128,221 $1,387,728,030
- ----------------------------------------------------------------------------------------------
At end of period $1,303,863,296 $1,326,128,221
- ----------------------------------------------------------------------------------------------
See notes to financial statements
Floating Rate Portfolio as of April 30, 2003
FINANCIAL STATEMENTS (CONT'D)
Supplementary Data
Six Months Ended Year Ended October 31,
April 30, 2003 -----------------------------------------------------------------
Ratios/Supplemental Data+ (Unaudited) 2002 2001 2000(1)
- -------------------------------------------------------------------------------------------------------------------------------
Ratios (As a percentage of average daily net assets):
Net expenses 0.62%(3) 0.62% 0.57% 0.04%(3)
Net investment income 4.49%(3) 4.72% 6.45% 8.49%(3)
Portfolio Turnover 32% 76% 52% 3%
- -------------------------------------------------------------------------------------------------------------------------------
Total Return(2) 3.31% 2.19% -- --
- -------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000's
omitted) $1,303,863 $1,326,128 $1,387,728 $145,896
- -------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Portfolio may reflect a reduction of the investment adviser fee and an allocation of expenses to
the Investment Adviser. Had such actions not been taken, the ratios would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses 0.61% 0.79%(3)
Net investment income 6.41% 7.74%(3)
- -------------------------------------------------------------------------------------------------------------------------------
(1) For the period from start of business, September 5, 2000, to October 31, 2000.
(2) Total return is required to be disclosed for the fiscal years beginning after December 15, 2000.
(3) Annualized.
See notes to financial statements
Floating Rate Portfolio as of April 30, 2003
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1 Significant Accounting Policies
- --------------------------------------------------------------------------------
Floating Rate Portfolio (the Portfolio) is registered under the Investment
Company Act of 1940 as a non-diversified open-end management investment
company. The Portfolio, which was organized as a trust under the laws of the
State of New York on June 19, 2000, seeks to provide a high level of current
income by investing primarily in senior floating rate loans. The Declaration
of Trust permits the Trustees to issue interests in the Portfolio. At April
30, 2003, the Eaton Vance Floating-Rate Fund, Eaton Vance Floating-Rate High
Income Fund and Eaton Vance Medallion Floating-Rate Income Fund held an
approximate 64.0%, 30.2% and 2.5% interest 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 investments are in interests in
senior floating rate loans (Senior Loans). The Portfolio's investment
adviser, Boston Management and Research (BMR) a wholly-owned subsidiary of
Eaton Vance Management (EVM), has characterized certain Senior Loans as
liquid based on a predetermined acceptable number and range of market
quotations available. Such loans are valued on the basis of market
valuations furnished by a pricing service. Other Senior Loans are valued at
fair value by BMR under procedures established by the Trustees as permitted
by Section 2(a)(41) of the Investment Company Act of 1940. Such procedures
include the consideration of relevant factors, data and information relating
to fair value, including (i) the characteristics of and fundamental
analytical data relating to the Senior Loan, including the cost, size,
current interest rate, period until next interest rate reset, maturity and
base lending rate of the Senior Loan, the terms and conditions of the Senior
Loan and any related agreements, and the position of the Senior Loan in the
Borrower's debt structure; (ii) the nature, adequacy and value of the
collateral, including the Portfolio's rights, remedies and interests with
respect to the collateral; (iii) the creditworthiness of the Borrower, based
on an evaluation of its financial condition, financial statements and
information about the Borrower's business, cash flows, capital structure and
future prospects; (iv) information relating to the market for the Senior
Loan including price quotations for and trading in the Senior Loan, and
interests in similar Senior Loans and the market environment and investor
attitudes towards the Senior Loan and interests in similar Senior Loans; (v)
the experience, reputation, stability and financial condition of the Agent
and any intermediate participant in the Senior Loan; and (vi) general
economic and market conditions affecting the fair value of the Senior Loan.
Fair valued securities are marked daily as well. Non-Loan Portfolio holdings
(other than short-term obligations, but including listed issues) may be
valued on the basis of prices furnished by one or more pricing services
which determine prices for normal, institutional-size trading units of such
securities using market information, transactions for comparable securities
and various relationships between securities which are generally recognized
by institutional traders. In certain circumstances, portfolio securities
will be valued at the last sale price on the exchange that is the primary
market for such securities, or the average of the last quoted bid price and
asked price for those securities for which the over-the-counter market is
the primary market or for listed securities in which there were no sales
during the day. Marketable securities listed in the NASDAQ National Market
System are valued at the NASDAQ official closing price. The value of
interest rate swaps will be based upon a dealer quotation. Short-term
obligations which mature in sixty days or less are valued at amortized cost,
if their original term to maturity when acquired by the Portfolio was 60
days or less or are valued at amortized cost using their value on the 61st
day prior to maturity, if their original term to maturity when acquired by
the Portfolio was more then 60 days, unless in each case this is determined
not to represent fair value. Repurchase agreements are valued at cost plus
accrued interest. Other portfolio securities for which there are no
quotations or valuations are valued at fair value as determined in good
faith by or on behalf of the Trustees.
B Income -- Interest income from Senior Loans is recorded on the accrual
basis at the then-current interest rate, while all other interest income is
determined on the basis of interest accrued, adjusted for amortization of
premium or discount when required. Facility fees received are recognized as
income over the expected term of the loan.
C Income 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.
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 use interest rate swaps 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 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 Expense Reduction -- Investors Bank & Trust (IBT) serves as custodian of
the Portfolio. 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 significant credit balances
used to reduce the Portfolio's custodian fees are reported as a reduction of
total expenses in the Statements of Operations.
F 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.
G Other -- Investment transactions are accounted for on a trade date basis.
H Interim Financial Statements -- The interim financial statements relating
to April 30, 2003 and for the six months then ended have not been audited by
independent certified public accountants, but in the opinion of the
Portfolio's management reflect all adjustments, consisting only of normal
recurring adjustments, necessary for the fair presentation of the financial
statements.
2 Investment Adviser Fee and Other Transactions with Affiliates
- --------------------------------------------------------------------------------
The investment adviser fee is earned by BMR, as compensation for management
and investment advisory services rendered to the Portfolio. The fee is
equivalent to 0.575% of the Portfolio's average daily net assets up to $1
billion and at reduced rates as daily net assets exceed that level. For the
six months ended April 30, 2003, the fee was equivalent to 0.564%
(annualized) of the Portfolio's average net assets for such period and
amounted to $3,621,691.
Except as to Trustees of the Portfolio who are not members of EVM's or BMR's
organization, officers and Trustees receive remuneration for their services
to the Portfolio out of such investment adviser fee. Trustees of the
Portfolio that are not affiliated with the Investment Adviser may elect to
defer receipt of all or a portion of their annual fees in accordance with
the terms of the Trustees Deferred Compensation Plan. For the six months
ended April 30, 2003, no significant amounts have been deferred. Certain
officers and Trustees of the Portfolio are officers of the above
organizations.
3 Investments
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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
April 30, 2003 aggregated $358,305,851, $217,730,210 and $152,431,623,
respectively.
4 Line of Credit
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The Portfolio participates 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.
Interest is charged under the credit agreement at the bank's base rate or at
an amount above LIBOR. In addition, a fee computed at the annual rate of
0.10% of the daily unused portion of the line of credit is allocated among
the participating portfolios at the end of each quarter. As of April 30,
2003, the Portfolio had no borrowings outstanding. The Portfolio did not
have any significant borrowings or allocated fees during the six months
ended April 30, 2003.
5 Federal Income Tax Unrealized Appreciation (Depreciation)
- --------------------------------------------------------------------------------
The cost and unrealized appreciation/depreciation in the value of the
investments owned at April 30, 2003, as computed on a federal income tax
basis, were as follows:
Aggregate cost $1,303,961,666
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Gross unrealized appreciation $ 2,976,754
Gross unrealized depreciation (27,191,227)
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Net unrealized depreciation $ (24,214,473)
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6 Financial Instruments
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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 and interest rate 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.
The Portfolio did not have any open obligations under these financial
instruments at April 30, 2003.
INVESTMENT MANAGEMENT
EATON VANCE FLOATING-RATE FUND
Officers Trustees
THOMAS E. FAUST JR. JESSICA M. BIBLIOWICZ
President
DONALD R. DWIGHT
WILLIAM H. AHERN, JR.
Vice President
JAMES B. HAWKES
THOMAS J. FETTER
Vice President SAMUEL L. HAYES, III
MICHAEL R. MACH WILLIAM H. PARK
Vice President
NORTON H. REAMER
ROBERT B. MACINTOSH
Vice President
LYNN A. STOUT
DUNCAN W. RICHARDSON
Vice President
WALTER A. ROW III
Vice President
JUDITH A. SARYAN
Vice President
SUSAN M. SCHIFF
Vice President
JAMES L. O'CONNOR
Treasurer
ALAN R. DYNNER
Secretary
FLOATING RATE PORTFOLIO
Officers Trustees
PAYSON F. SWAFFIELD JESSICA M. BIBLIOWICZ
President
DONALD R. DWIGHT
SCOTT H. PAGE
Vice President and
Portfolio Manager JAMES B. HAWKES
BARBARA E. CAMPBELL SAMUEL L. HAYES, III
Treasurer
WILLIAM H. PARK
ALAN R. DYNNER
Secretary
NORTON H. REAMER
LYNN A. STOUT
INVESTMENT ADVISER OF FLOATING RATE PORTFOLIO
BOSTON MANAGEMENT AND RESEARCH
The Eaton Vance Building
255 State Street
Boston, MA 02109
ADMINISTRATOR OF EATON VANCE FLOATING-RATE FUND
EATON VANCE MANAGEMENT
The Eaton Vance Building
255 State Street
Boston, MA 02109
PRINCIPAL UNDERWRITER
EATON VANCE DISTRIBUTORS, INC.
The Eaton Vance Building
255 State Street
Boston, MA 02109
(617) 482-8260
CUSTODIAN
INVESTORS BANK & TRUST COMPANY
200 Clarendon Street
Boston, MA 02116
TRANSFER AGENT
PFPC INC.
Attn: Eaton Vance Funds
P.O. Box 9653
Providence, RI 02940-9653
(800) 262-1122
- --------------------------------------------------------------------------------
EATON VANCE FUNDS
EATON VANCE MANAGEMENT
BOSTON MANAGEMENT AND RESEARCH
EATON VANCE DISTRIBUTORS, INC.
----------------
PRIVACY NOTICE
----------------
The Eaton Vance organization is committed to ensuring your financial privacy.
This notice is being sent to comply with privacy regulations of the Securities
and Exchange Commission. Each of the above financial institutions has in effect
the following policy with respect to nonpublic personal information about its
customers:
o Only such information received from you, through application forms or
otherwise, and information about your Eaton Vance fund transactions will be
collected.
o 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).
o Policies and procedures (including physical, electronic and procedural
safeguards) are in place that are designed to protect the confidentiality of
such information.
For more information about Eaton Vance's privacy policies,
call:1-800-262-1122
- --------------------------------------------------------------------------------
EATON VANCE FLOATING-RATE FUND
THE EATON VANCE BUILDING
255 STATE STREET
BOSTON, MA 02109
- --------------------------------------------------------------------------------
This report must be preceded or accompanied by a current prospectus which
contains more complete information on the Fund, including its sales charges and
expenses. Please read the prospectus carefully before you invest or send money.
- --------------------------------------------------------------------------------
1044-6/03 FRSRC
ITEM 2. CODE OF ETHICS
Not Required in Filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
Not Required in Filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not Required in Filing.
ITEMS 5-6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES
Not Required in Filing.
ITEM 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES
(a) It is the conclusion of the registrant's principal executive officer and
principal financial officer that the effectiveness of the registrant's current
disclosure controls and procedures (such disclosure controls and procedures
having been evaluated within 90 days of the date of this filing) provide
reasonable assurance that the information required to be disclosed by the
registrant has been recorded, processed, summarized and reported within the time
period specified in the Commission's rules and forms and that the information
required to be disclosed by the registrant has been accumulated and communicated
to the registrant's principal executive officer and principal financial officer
in order to allow timely decisions regarding required disclosure.
(b) There have been no significant changes in the registrant's internal controls
or in other factors that could significantly affect these controls subsequent to
the date of their evaluation, including any corrective actions with regard to
significant deficiencies and material weaknesses.
ITEM 10. EXHIBITS
(a) and (b) Exhibit is attached to Filing.
(c) Exhibit is attached to Filing.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
By: /s/ THOMAS E. FAUST JR.
-----------------------
Thomas E. Faust Jr.
President
Date: June 18, 2003
-------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ JAMES L. O'CONNOR
-----------------------
James L. O'Connor
Treasurer
Date: June 18, 2003
-------------
By: /s/ THOMAS E. FAUST JR.
-----------------------
Thomas E. Faust Jr.
President
Date: June 18, 2003
-------------