Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-09013
EATON VANCE SENIOR INCOME TRUST
(Exact Name of Registrant as Specified in Charter)
The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
(Address of Principal Executive Offices)
Alan R. Dynner
The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant's Telephone Number)
JUNE 30, 2003
Date of Fiscal Year End
JUNE 30, 2003
Date of Reporting Period
ITEM 1. REPORTS TO STOCKHOLDERS
[logo]
EATON VANCE(R)
===================
Managed Investments
[Photo of Pillars and Steps]
Annual Report June 30, 2003
[Photo of Statue with Buildings] EATON VANCE
SENIOR
INCOME
TRUST
[Photo of Large Hall]
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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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From time to time mutual funds are required to vote proxies related to the
securities held by the funds. The Eaton Vance Funds or their underlying
Portfolios vote proxies according to a set of policies and procedures approved
by the Funds' and Portfolios' Boards. You may obtain a description of these
policies and procedures without charge, upon request, by calling
1-800-262-1122. This description is also available on the Securities and
Exchange Commission's website at http://www.sec.gov.
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EATON VANCE SENIOR INCOME TRUST AS OF JUNE 30, 2003
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LETTER TO SHAREHOLDERS
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[Photo of James B. Hawkes]
James B. Hawkes
President
As a tentative economy resulted in dramatically lower interest rates, Eaton
Vance Senior Income Trust again provided an attractive yield in a portfolio of
senior floating-rate loans. Based on the Trust's June monthly dividend of
$0.044 per share and a closing share price of $8.920, the Trust's market yield
was 5.92% at June 30, 2003.(1)
SHORT-TERM INTEREST RATES CONTINUED TO DECLINE FURTHER IN THE FIRST SIX MONTHS
OF 2003...
The fiscal year ended June 30, 2003 was characterized by modest steps toward
economic recovery and an improvement in credit conditions. First quarter 2003
GDP expanded at a sluggish 1.4%, followed by a 2.4% growth rate in the second
quarter. The Federal Reserve maintained an accommodative monetary posture
throughout the fiscal year and, by June 30, had lowered the Federal Funds rate
to 1.0%. However, while many anecdotal measures reiterated the slowness of the
recovery, an upturn in corporate earnings suggested a distinct turn for the
better.
FLOATING-RATE LOANS PERFORMED WELL IN AN UNCERTAIN PERIOD...
In light of the difficult economic and geopolitical environment, the loan
market performed relatively well during the year. Especially encouraging, loan
prices rose in response to the improved business outlook, a trend reflected in
the Trust. And while the Trust's dividend reflected the downward trend in
interest rates, it nonetheless continued to represent a competitive yield
relative to other income producing vehicles. And the Trust's floating-rate
loans - typically senior and secured - provided a measure of protection in the
course of an uncertain year. In short, the loan market performed well within
expectations.
A STRONGER ECONOMY COULD MEAN NEW INCOME OPPORTUNITIES IN SENIOR FLOATING-RATE
LOANS ...
A rebound in equity prices has contributed to a rise in consumer confidence.
Meanwhile, the falling dollar has given a boost to export-sensitive companies
and corporate profits have edged higher, helped, in part, by cost cuts.
Finally, the tax cuts enacted in the spring are expected to boost consumer
spending as the year progresses. Clearly, the pieces are in place for a
recovery, although the pace of the recovery remains unknown. As conditions
improve, we expect that a stronger economy will provide fresh income
opportunities in senior floating- rate loans. In the pages that follow,
portfolio managers John Redding, Scott Page and Payson Swaffield discuss the
events that impacted the loan market and the Trust during the past year.
Sincerely,
/s/ James B. Hawkes
James B. Hawkes
President
August 6, 2003
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Trust Information as of June 30, 2003
Performance(2)
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Average Annual Total Return (by share price, NYSE)
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One Year 23.03%
Life of Fund (10/30/98) 5.87
Average Annual Total Return (at net asset value)
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One Year 8.04%
Life of Fund (10/30/98) 4.84
Ten Largest Holdings(3)
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Rite Aid Corp. 2.0%
Charter Communications Operating, LLC 1.9
Iron Mountain Incorporated 1.6
Metro Goldwyn Mayer, Inc. 1.6
Silgan Holdings, Inc. 1.5
Lamar Media Corp. 1.5
TRW Automotive Holdings Corp. 1.3
DirecTV Holdings LLC 1.3
Adelphia Communications 1.3
New England Sports Ventures, LLC 1.3
(1) The Trust's market yield is calculated by dividing the most recent dividend
per share by the share market price at the end of the period and
annualizing the result. (2) Returns are historical and are calculated by
determining the percentage change in share price or net asset value with
all distributions reinvested. (3) Ten Largest Holdings account for 15.3% of
the Trust's investments, determined by dividing the total market value of
the holdings by the total net assets of the Trust. Holdings are subject to
change.
Past performance is no guarantee of future results. Investment return
and principal value will fluctuate so that shares, when sold, may be worth more
or less than their original cost.
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Shares of the Trust 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 change.
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EATON VANCE SENIOR INCOME TRUST AS OF JUNE 30, 2003
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MANAGEMENT DISCUSSION
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[photo of John P. Redding}
John P. Redding
An interview with John P. Redding, Scott H. Page and Payson F. Swaffield,
portfolio managers of Eaton Vance Senior Income Trust.
Q: John, this has been a very eventful year, marked by the war in Iraq, a
tentative economic recovery, waning investor confidence and record low
interest rates. How has the loan market responded in this climate?
A: MR. REDDING: This has been a pivotal year in the loan market. Even as
interest rates have continued to trend lower, the underlying fundamentals
of the loan market have improved dramatically from last year, when the
market suffered from the recession, a variety of corporate governance
issues and the lingering aftermath of September 11. Credit conditions
improved significantly in the first half of 2003. The economy has showed
more vigor and companies are posting stronger earnings relative to last
year's results. And, with "official hostilities" having ended in Iraq,
consumer confidence appears to have been partially restored.
The technical conditions within the loan market have also improved, as
rising loan issuance has been met by stronger investor demand. Moreover,
the loan market has benefited from its reputation as a very low-duration
vehicle. While interest rates remain low, the improved business climate has
helped loan values recover significantly, contributing to returns in recent
months.
[photo of Scott H. Page]
Scott H. Page
Q: Scott, why was the recovery in loan values a significant development?
A: MR. PAGE: It's noteworthy for several reasons. Loan values understandably
declined during 2002, as the economic downturn impacted some companies'
cash flows. However, while that was a fairly predictable part of the cycle,
the loan market held up very well in the face of events that provided a
major shock to other asset classes. It's also worth noting that the rise in
loan values in the first half of 2003 suggests an upturn in the credit
cycle. Finally, it helps confirm a trend that we have pointed out for some
time: namely, the maturation of the loan market. Loan prices have responded
to a gradual pick-up in economic activity, a move that further validates
investors' confidence in the asset class.
Five Largest Sector Weightings(1)
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Cable Television 11.1%
Casinos & Gaming 9.8%
Publishing & Printing 9.3%
Commercial Services 9.0%
Manufacturing 7.6%
Trust Overview(1)
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Total net assets $306.4 million
Number of borrowers 261
Industries represented 47
Collateral coverage ratio 1.5 to 1
Weighted days-to-interest rate reset 54 days
Average maturity 5.7 Yrs.
Average size per borrowing $1.84 million
(1) Five Largest Sector Weightings account for 46.8% of the Trust's total
investments, determined by dividing the total market value of the holdings
by the total investments of the Trust. Five Largest Sector Weightings and
Trust Overview are as of 6/30/03 and are subject to change. Five Largest
Sector Weightings and Trust Overview information refers only to the senior
floating- rate loan portion of the Trust.
EATON VANCE SENIOR INCOME TRUST AS OF JUNE 30, 2003
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MANAGEMENT DISCUSSION CONT'D
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[photo of Payson F. Swaffield]
Payson F. Swaffield
Q: Payson, how would you evaluate the Trust's performance during the fiscal
year?
A: MR. SWAFFIELD: The Trust performed very well in this climate. Share price
rose 14.9% alone and reflected the improvement in credit conditions and the
overall loan market, with much of that improvement occurring in the first
half of 2003. Not surprisingly, the Trust's monthly dividends declined
somewhat during the year in response to the continued decline in short-term
interest rates. However - even with the reduced dividends - the Trust had a
market yield of 5.92% at June 30, 2003. That yield remains very competitive
and well above most other income-producing investment vehicles.(1)
On a net asset value basis, the Trust had a total return of 8.04%.(2) That
return outperformed the 6.86% return of the benchmark CSFB Leveraged Loan
Index.(3) The Trust benefited from its broad diversification across the
improving economy. The Trust maintained an exposure to companies with
defensive properties as well as more cyclical companies that will benefit
from an upturn in overall economic activity.
Q: What were the main drivers of performance during the fiscal year?
A: MR. REDDING: The cable sector, the Trust's largest sector weighting, fared
relatively well during the fiscal year. Cable has been attractive during
the economic slowdown because, unlike the many industries that experience
revenue shortfalls in a recession, cable companies have enjoyed fairly
stable revenues. Put simply, customers tend to be very diligent about
paying their cable bills. Cable operators have also created additional
revenue sources by offering new services. At a time when subscriber growth
rates have slowed somewhat, cable providers have been able to offer
additional services, such as high-speed Internet and interactive functions.
This has enabled companies to package services, adding revenue while
providing a clear advantage for their customers.
The Trust sharply pared its exposure to investment in Adelphia, a troubled
cable provider. Irregularities and governance issues caused the company's
loans to be valued lower, resulting in a slight loss to the Trust.
In a related area, the Trust had investments in satellite broadcasters.
Using a competing technology, satellite broadcasters target a similar
market as cable and offer a broad range of options, including Internet,
interactive and high definition television.
Q: Casinos and gaming was another major sector weighting for the Trust. How
has that area fared?
A: MR. PAGE: The casino and gaming segment has held up relatively well during
the economic slowdown. The Trust's investments included companies with
exposure to the traditional Las Vegas destination resorts, as well as
companies with properties in newer gaming jurisdictions. This latter
strategy has served the industry well in the past year, as many families,
concerned about geopolitical uncertainties, have opted for vacations closer
to home. That has partially offset a slowdown in convention business. In
addition, the "drive-to" casinos have not been as affected by the falloff
in airline traffic. The Trust's investments have emphasized
well-capitalized companies, for whom revenues held up well in a weak
economy and whose free cash flow has remained relatively strong.
(1) The Trust's market yield is calculated by dividing the most recent dividend
per share by the share market price at the end of the period and
annualizing the result. (2) Returns are historical and are calculated by
determining the percentage change in market value or net asset value with
all distributions reinvested. (3) The CSFB Leveraged Loan Index is an
unmanaged representative index of tradable, senior, secured, U.S.
dollar-denominated leveraged loans. It is not possible to invest directly
in an Index.
EATON VANCE SENIOR INCOME TRUST AS OF JUNE 30, 2003
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MANAGEMENT DISCUSSION CONT'D
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Q: Did any cyclical sectors contribute to performance?
A: MR. SWAFFIELD: Yes. Publishing and printing was a significant investment
for the Trust. This category includes a number of areas that could benefit
from a stronger economy. Publishers of newspapers and trade magazines
typically enjoy stronger advertising revenues in an economic recovery, as
companies expand their marketing and ad budgets. In addition, newspaper
companies may benefit from the approach of another presidential election
year, which has historically boosted advertising linage. The Trust also has
investments in printers that serve the financial and legal professions.
The Trust's publishing investments also included publishers of "white and
yellow page" directories. The increase in the number of local phone
carriers during the 1990s was accompanied by a rise in the number of
independent phone directories, a fairly costly venture for the phone
companies. The past year has seen a trend toward divestiture of these
directories, and their purchases by financial sponsors and/or publishers
with more cost-effective production and marketing capabilities.
Q: Were there any areas where the Trust has reduced its exposure?
A: MR. REDDING: Yes. The Trust limited its exposure to the telecom sector. The
Trust avoided the companies that were most adversely affected by the
industry's woes and thus limited its losses in that troubled area. The
difficulties of some companies - together with corporate governance issues
- have depressed valuations somewhat within the sector, even among healthy
companies, a trend that had a modestly adverse impact on the Fund.
Competition within the industry remains fierce and, while the long-term
demand for data, voice and video service appears promising, the shakeout
within the industry is likely to continue for a while longer.
Looking at the broader market, we believe that a stronger economy should
lead to further improvement in credit conditions. In addition, if interest
rates rise over time, the income returns of floating-rate returns will
improve. That would help preserve purchasing power and make floating-rate
loans a fairly effective hedge against a return of inflation.
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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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EATON VANCE SENIOR INCOME TRUST AS OF JUNE 30, 2003
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PORTFOLIO OF INVESTMENTS
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Senior, Floating Rate
Interests -- 153.2%(1)
Principal
Amount Borrower/Tranche Description Value
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Advertising -- 1.5%
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Lamar Media Corp.
$4,500,000 Term loan, maturing June 30, 2010 $ 4,510,314
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$ 4,510,314
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Aerospace & Defense -- 2.1%
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Alliant Techsystems, Inc.
$3,043,369 Term loan, maturing April 20, 2009 $ 3,057,064
Transdigm Holding Company
463,654 Term loan, maturing May 15, 2006 466,407
1,216,299 Term loan, maturing May 15, 2007 1,223,522
United Defense Industries, Inc.
1,652,936 Term loan, maturing June 30, 2009 1,657,955
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$ 6,404,948
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Auto Components -- 7.4%
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Accuride Corporation
$1,920,000 Term loan, maturing January 21, 2007 $ 1,920,000
American Axle & Manufacturing, Inc.
1,872,521 Term loan, maturing April 30, 2006 1,872,260
Collins & Aikman
739,478 Term loan, maturing December 31, 2004 728,386
1,460,640 Term loan, maturing December 31, 2005 1,453,519
Dura Operating Corp.
994,975 Term loan, maturing March 31, 2007 999,173
Exide Corporation
2,000,000 DIP loan, maturing February 15, 2004 1,970,000
253,920 Revolving loan, maturing March 18, 2005(4) 152,034
58,470 Term loan, maturing March 18, 2005(4) 34,351
508,349 Term loan, maturing March 18, 2006(4) 298,655
Federal Mogul Corp DIP (First Lien)
484,968 Term loan, maturing November 30, 2003 484,665
Federal-Mogul Corporation
750,000 Term loan, maturing February 24, 2004 589,219
1,500,000 Term loan, maturing February 24, 2005 1,179,750
763,183 Term loan, maturing February 24, 2006 761,275
HLI Operating Company, Inc.
2,250,000 Term loan, maturing June 3, 2009 2,261,250
J.L. French Automotive Castings, Inc.
442,643 Term loan, maturing November 30, 2006 417,191
Metaldyne, Inc.
1,496,250 Term loan, maturing December 31, 2009 1,410,216
Stanadyne Automotive Corporation
1,099,916 Term loan, maturing December 10, 2004 1,077,468
The Goodyear Tire & Rubber Company
1,000,000 Term loan, maturing March 31, 2006 980,000
TRW Automotive Holdings Corp.
4,000,000 Term loan, maturing February 28, 2011 4,036,668
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$ 22,626,080
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Broadcast Media -- 7.5%
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Block Communications
$ 942,387 Term loan, maturing November 30, 2009 $ 949,455
CanWest Media, Inc.
2,104,843 Term loan, maturing May 15, 2008 2,120,236
1,315,006 Term loan, maturing May 15, 2009 1,324,623
Citadel Communications Corp.
1,479,111 Term loan, maturing December 31, 2008 1,485,028
Cumulus Media, Inc.
1,995,000 Term loan, maturing March 28, 2010 2,008,404
Discovery Communications, Inc.
776,191 Revolving loan, maturing December 31, 2004 733,498
1,000,000 Term loan, maturing December 31, 2005 965,000
Emmis Communication Corporation
1,500,000 Term loan, maturing August 31, 2009 1,506,680
Gray Television, Inc.
1,000,000 Term loan, maturing December 31, 2010 1,005,208
Lin Television Corp.
1,500,000 Term loan, maturing December 31, 2007 1,503,438
Nexstar Finance, LLC
1,050,000 Term loan, maturing December 31, 2010 1,053,687
Paxson Communications Corporation
2,940,000 Term loan, maturing June 30, 2006 2,933,876
Sinclair Broadcast Group, Inc.
3,250,000 Term loan, maturing December 31, 2009 3,266,975
Susquehanna Media Co.
1,680,000 Term loan, maturing June 30, 2007 1,657,950
493,750 Term loan, maturing June 30, 2008 496,219
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$ 23,010,277
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Cable Television -- 11.1%
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Adelphia Communications
$4,000,000 DIP loan, maturing June 25, 2004 $ 4,000,000
Bresnan Communications, LLC
1,000,000 Term loan, maturing September 30, 2010 999,583
Century Cable Holdings, LLC
4,000,000 Term loan, maturing December 31, 2009 3,373,500
Charter Communications Operating, LLC.
6,270,625 Term loan, maturing March 18, 2008 5,886,549
Charter Communications VIII
2,955,000 Term loan, maturing February 2, 2008 2,777,171
Classic Cable, Inc.
219,402 Term loan, maturing January 16, 2008 204,044
493,604 Term loan, maturing January 16, 2009 459,052
CSG Systems Intl, Inc.
786,785 Term loan, maturing December 31, 2006 765,149
613,454 Term loan, maturing December 31, 2007 605,978
DirectTV Holdings, LLC
4,000,000 Term loan, maturing March 6, 2010 4,032,252
Hilton Head Communications (AKA UCA Corp.)
2,493,750 Term loan, maturing May 15, 2007 2,051,109
Insight Midwest Holdings, LLC
2,000,000 Term loan, maturing December 31, 2009 2,002,500
MCC Iowa, LLC
850,000 Term loan, maturing September 30, 2010 855,254
Mediacom Southeast
808,333 Revolving loan, maturing March 31, 2008 805,302
1,485,000 Term loan, maturing September 30, 2008 1,472,006
Olympus Cable Holdings, LLC
1,000,000 Term loan, maturing September 30, 2010 892,750
RCN Corporation
620,000 Term loan, maturing June 30, 2007 534,750
Videotron LTEE
2,403,860 Term loan, maturing December 1, 2009 2,386,833
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$ 34,103,782
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Casinos & Gaming -- 9.8%
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Alliance Gaming Corporation
$2,962,500 Term loan, maturing November 30, 2006 $ 2,977,929
Ameristar Casinos, Inc.
1,488,514 Term loan, maturing December 31, 2006 1,496,142
Argosy Gaming Company
2,915,253 Term loan, maturing June 30, 2008 2,931,651
Aztar Corporation
2,436,548 Term loan, maturing June 30, 2005 2,435,025
Boyd Gaming Corporation
2,472,519 Term loan, maturing June 24, 2008 2,480,554
Isle of Capri Casinos
3,708,087 Term loan, maturing April 25, 2008 3,723,298
Mandalay Resort Group
3,498,412 Term loan, maturing August 18, 2006 3,481,647
Marina District Finance Company
1,405,763 Term loan, maturing December 31, 2007 1,412,353
MGM Mirage
872,500 Revolving loan, maturing April 10, 2005 856,414
Park Place Entertainment Corporation
1,889,764 Revolving loan, maturing December 31, 2003 1,855,905
Penn National Gaming, Inc.
1,500,000 Term loan, maturing December 31, 2009 1,503,563
Pinnacle Entertainment, Inc.
1,500,000 Term loan, maturing May 15, 2008 1,511,250
Scientific Games Corporation
1,243,750 Term loan, maturing December 31, 2008 1,247,792
Venetian Casino Resort, LLC/Las Vegas Sands, Inc.
1,000,000 Term loan, maturing June 4, 2007 992,188
988,759 Term loan, maturing June 4, 2008 997,823
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$ 29,903,534
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Chemicals -- 6.8%
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Arteva B.V. (Kosa)
$1,791,056 Term loan, maturing December 31, 2006 $ 1,784,340
Avecia Investments Limited
462,340 Term loan, maturing June 30, 2007 455,405
276,165 Term loan, maturing June 30, 2008 272,023
CP Kelco U.S., Inc.
1,115,262 Term loan, maturing March 31, 2008 1,115,262
372,413 Term loan, maturing September 30, 2008 372,413
Equistar Chemicals, L.P.
923,895 Term loan, maturing August 31, 2007 928,934
Georgia Gulf Corporation
1,007,835 Term loan, maturing May 12, 2009 1,012,874
Huntsman Int'l
650,369 Term loan, maturing June 3, 2006 643,052
1,154,381 Term loan, maturing June 30, 2007 1,159,432
1,154,381 Term loan, maturing June 30, 2008 1,159,672
Huntsman LLC (FKA Huntsman Company LLC)
1,627,126 Term loan, maturing March 31, 2007 1,506,253
796,156 Term loan, maturing March 31, 2008 737,013
IMC Global, Inc.
2,937,513 Term loan, maturing November 17, 2006 2,950,364
Messer Griesham GmbH
2,446,830 Term loan, maturing April 30, 2009 2,466,965
412,894 Term loan, maturing April 30, 2010 416,292
Millenium Chemicals Inc.
380,000 Term loan, maturing June 30, 2006 381,306
NOVEON
1,477,500 Term loan, maturing September 30, 2008 1,480,666
Polymer Group, Inc.
2,094,948 Term loan, maturing December 31, 2006 2,042,575
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$ 20,884,841
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Coal -- 0.2%
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Peabody Energy Corporation
$ 748,125 Term loan, maturing March 21, 2010 $ 754,515
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$ 754,515
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Commercial Services -- 9.0%
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Advanstar Communications Inc.
$3,348,571 Term loan, maturing November 17, 2007 $ 3,256,486
American Marketing Industries, Inc.
172,881 Term loan, maturing November 30, 2003(4) 10,076
886,534 Term loan, maturing November 30, 2004(4) 51,672
409,439 Term loan, maturing November 30, 2005(4) 23,865
Anthony Crane Rental, L.P.
1,274,976 Term loan, maturing July 20, 2006 707,612
Coinmach Laundry Corporation
3,820,508 Term loan, maturing July 25, 2009 3,837,222
Corrections Corporation of America
3,472,829 Term loan, maturing May 31, 2008 3,495,402
Environmental Systems Products Hldgs., Inc.
648,992 Term loan, maturing December 31, 2004 639,257
1,345,790 Term loan, maturing December 31, 2004 1,265,043
Gate Gourmet Borrower LLC
2,000,000 Term loan, maturing December 31, 2008 1,880,000
Identity Now Holdings, LLC
452,315 Term loan, maturing November 30, 2006 452,315
Interline Brands, Inc.
1,500,000 Term loan, maturing November 30, 2009 1,505,625
Iron Mountain Incorporated
4,985,000 Term loan, maturing February 15, 2008 5,013,933
Metokote Corporation
520,543 Term loan, maturing November 2, 2005 512,409
MSX International, Inc.
711,007 Term loan, maturing December 31, 2006 639,907
Panavision International, L.P.
2,577,069 Term loan, maturing March 31, 2005 2,379,493
Volume Services, Inc.
1,896,089 Term loan, maturing June 30, 2003 1,881,868
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$ 27,552,185
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Communications Equipment -- 0.9%
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Amphenol Corporation
$2,315,000 Term loan, maturing May 6, 2010 $ 2,331,976
Superior Telecom, Inc.
236,876 Term loan, maturing November 27, 2005(4) 81,722
1,467,576 Term loan, maturing November 27, 2006(4) 506,314
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$ 2,920,012
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Construction Materials -- 0.6%
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Formica Corporation
$ 344,505 Revolving loan, maturing May 1, 2004 $ 302,303
116,457 Term loan, maturing May 1, 2004 102,191
799,878 Term loan, maturing April 30, 2006 725,890
Panolam Industries, Inc.
801,948 Term loan, maturing December 31, 2006 781,900
Tapco International Corporation
1,523 Term loan, maturing June 23, 2007 1,526
916 Term loan, maturing June 23, 2008 917
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$ 1,914,727
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Containers & Packaging - Metal & Glass -- 2.0%
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Owens-Illinois Inc.
$1,500,000 Term loan, maturing April 1, 2008 $ 1,505,625
Silgan Holdings Inc.
4,632,222 Term loan, maturing December 31, 2008 4,653,452
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$ 6,159,077
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Containers & Packaging - Paper -- 6.2%
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Blue Ridge Paper Products, Inc.
$ 669,484 Revolving loan, maturing March 31, 2005 $ 636,010
134,057 Term loan, maturing March 31, 2005 127,354
867,879 Term loan, maturing March 31, 2006 846,182
Graphic Packaging Corporation
975,100 Term loan, maturing February 28, 2009 978,148
Greif Bros. Corporation
997,487 Term loan, maturing August 31, 2008 999,233
Impaxx, Inc.
827,897 Term loan, maturing December 31, 2005 529,854
Jefferson Smurfit Corporation
2,745,454 Term loan, maturing March 31, 2007 2,736,051
Port Townsend Paper Corporation
977,500 Term loan, maturing March 16, 2007 909,075
Printpack Holdings, Inc.
3,464,943 Term loan, maturing April 30, 2009 3,477,937
Riverwood International Corporation
3,996,269 Term loan, maturing December 31, 2006 3,991,585
Stone Container Corporation
3,246,396 Term loan, maturing June 30, 2009 3,253,499
550,047 Term loan, maturing June 30, 2009 552,041
-------------------------------------------------------------------------------
$ 19,036,969
-------------------------------------------------------------------------------
Containers & Packaging - Plastics -- 2.2%
-------------------------------------------------------------------------------
Berry Plastics Corporation
$1,983,722 Term loan, maturing June 30, 2010 $ 1,994,632
Consolidated Container Holdings LLC
496,879 Term loan, maturing June 30, 2007 465,410
Crown Cork & Seal Company, Inc.
3,250,000 Term loan, maturing September 15, 2008 3,271,330
Tekni-Plex, Inc.
967,569 Term loan, maturing June 30, 2008 954,265
-------------------------------------------------------------------------------
$ 6,685,637
-------------------------------------------------------------------------------
Educational Services -- 1.4%
-------------------------------------------------------------------------------
Jostens, Inc.
$1,623,462 Term loan, maturing December 31, 2009 $ 1,626,844
Kindercare Learning Centers, Inc.
1,042,439 Term loan, maturing February 13, 2006 1,021,590
Knowledge Learning Corporation
800,000 Term loan, maturing May 15, 2010 793,000
Weekly Reader Corporation
960,326 Term loan, maturing September 30, 2007 941,119
-------------------------------------------------------------------------------
$ 4,382,553
-------------------------------------------------------------------------------
Electronic Equipment & Instruments -- 0.2%
-------------------------------------------------------------------------------
Knowles Electronics, Inc.
$ 632,671 Term loan, maturing June 29, 2007 $ 612,109
-------------------------------------------------------------------------------
$ 612,109
-------------------------------------------------------------------------------
Entertainment -- 4.0%
-------------------------------------------------------------------------------
AMF Bowling Worldwide, Inc.
$ 968,750 Term loan, maturing February 28, 2008 $ 969,961
Amfac Resorts, Inc.
1,148,816 Term loan, maturing September 30, 2003 1,145,944
1,148,816 Term loan, maturing September 30, 2004 1,145,944
Blockbuster Entertainment Corp.
385,714 Revolving loan, maturing July 1, 2004 382,195
Hollywood Entertainment Corporation
925,000 Term loan, maturing March 31, 2008 928,854
Metro-Goldwyn-Mayer Studios Inc.
5,000,000 Term loan, maturing June 11, 2008 5,007,030
Six Flags Theme Parks Inc.
357,500 Revolving loan, maturing June 30, 2008 346,775
2,500,000 Term loan, maturing June 30, 2009 2,497,135
-------------------------------------------------------------------------------
$ 12,423,838
-------------------------------------------------------------------------------
Environmental Services -- 2.0%
-------------------------------------------------------------------------------
Allied Waste Industries, Inc.
$ 500,000 Term loan, maturing January 15, 2010 $ 503,813
3,000,000 Term loan, maturing July 15, 2010 3,025,626
Casella Waste Systems, Inc.
1,650,000 Term loan, maturing January 24, 2010 1,661,344
International Technology Corporation
470,000 Term loan, maturing June 11, 2004(4) 39,950
Stericycle, Inc.
971,219 Term loan, maturing November 10, 2006 976,480
-------------------------------------------------------------------------------
$ 6,207,213
-------------------------------------------------------------------------------
Food, Beverages & Tobacco -- 6.9%
-------------------------------------------------------------------------------
American Seafood Holdings Inc.
$ 473,938 Term loan, maturing September 30, 2007 $ 471,766
778,864 Term loan, maturing March 31, 2009 780,811
Aurora Foods, Inc.
2,469,382 Term loan, maturing September 30, 2006 2,252,675
247,780 Term loan, maturing March 31, 2007 225,975
Cott Corporation
417,487 Term loan, maturing December 31, 2006 419,053
Dean Foods Company
1,700,000 Term loan, maturing July 15, 2007 1,701,063
1,980,000 Term loan, maturing July 15, 2008 1,990,912
Del Monte Corporation
2,321,881 Term loan, maturing December 20, 2010 2,346,551
Dr. Pepper/Seven Up Bottling Group, Inc.
1,499,672 Term loan, maturing October 7, 2007 1,495,219
Eagle Family Foods, Inc.
233,333 Revolving loan, maturing December 31, 2004 208,250
300,130 Term loan, maturing December 31, 2005 280,246
Interstate Brands Corporation
2,942,456 Term loan, maturing July 19, 2007 2,948,341
495,000 Term loan, maturing July 19, 2008 494,381
Michael Foods, Inc.
1,579,732 Term loan, maturing March 30, 2008 1,588,125
Nutra Sweet
1,456,500 Term loan, maturing June 30, 2008 1,332,698
Southern Wine & Spirits of America, Inc.
2,477,487 Term loan, maturing June 28, 2008 2,486,778
-------------------------------------------------------------------------------
$ 21,022,844
-------------------------------------------------------------------------------
Health Care - Equipment & Supplies -- 2.9%
-------------------------------------------------------------------------------
Amerisource Bergen Corporation
$3,400,000 Term loan, maturing March 31, 2005 $ 3,400,000
Conmed Corporation
2,487,500 Term loan, maturing December 31, 2007 2,491,647
Fisher Scientific International, LLC
897,750 Term loan, maturing March 31, 2010 903,137
Leiner Health Products Inc.
261,381 Term loan, maturing March 31, 2004 249,618
Sybron Dental Management
1,761,232 Term loan, maturing June 6, 2009 1,768,497
-------------------------------------------------------------------------------
$ 8,812,899
-------------------------------------------------------------------------------
Health Care - Providers & Services -- 5.4%
-------------------------------------------------------------------------------
Alliance Imaging, Inc.
$1,806,425 Term loan, maturing June 10, 2008 $ 1,752,684
Caremark RX, Inc.
994,962 Term loan, maturing March 31, 2006 996,828
Community Health Systems, Inc.
3,473,750 Term loan, maturing July 5, 2010 3,466,695
Cross Country Healthcare, Inc.
1,000,000 Term loan, maturing June 5, 2009 1,007,500
DaVita, Inc.
2,962,500 Term loan, maturing March 31, 2009 2,970,318
Fresenius Medical Care Holdings, Inc.
2,443,875 Term loan, maturing February 21, 2010 2,458,895
Magellan Health Services, Inc.
276,396 Term loan, maturing February 12, 2005 267,182
276,396 Term loan, maturing February 12, 2006 267,182
Team Health
1,427,847 Term loan, maturing October 31, 2008 1,407,322
Triad Hospitals Holdings, Inc.
1,929,362 Term loan, maturing March 31, 2008 1,942,846
-------------------------------------------------------------------------------
$ 16,537,452
-------------------------------------------------------------------------------
Hotels -- 1.7%
-------------------------------------------------------------------------------
Extended Stay America
$2,362,343 Term loan, maturing December 31, 2007 $ 2,369,093
Vail Resorts, Inc.
500,000 Term loan, maturing December 10, 2008 503,907
Wyndham International, Inc.
2,534,210 Term loan, maturing June 30, 2006 2,220,601
-------------------------------------------------------------------------------
$ 5,093,601
-------------------------------------------------------------------------------
Household Furnish & Appliances -- 1.2%
-------------------------------------------------------------------------------
Goodman Manufacturing Company, L.P.
$ 263,688 Term loan, maturing September 30, 2003 $ 263,029
471,244 Term loan, maturing April 9, 2004 470,066
Sealy Mattress Company
808,107 Term loan, maturing December 15, 2004 805,682
382,445 Term loan, maturing December 15, 2005 381,298
488,920 Term loan, maturing December 15, 2006 487,453
Simmons Company
430,083 Term loan, maturing October 30, 2005 431,786
682,336 Term loan, maturing October 30, 2006 685,577
-------------------------------------------------------------------------------
$ 3,524,891
-------------------------------------------------------------------------------
Household Products -- 4.1%
-------------------------------------------------------------------------------
Church & Dwight Co. Inc.
$2,298,526 Term loan, maturing September 30, 2007 $ 2,313,917
Rayovac Corporation
2,934,259 Term loan, maturing September 30, 2009 2,940,371
Samsonite Corporation
1,928,934 Term loan, maturing June 24, 2006 1,774,619
The Imperial Decor Home Group, Inc.
250,119 Medium term note, maturing April 4, 2006(4) 125,060
The Scotts Company
3,241,469 Term loan, maturing December 31, 2007 3,260,717
United Industries Corporation
1,274,099 Term loan, maturing January 20, 2006 1,276,488
Werner Holding Co.
1,000,000 Term loan, maturing June 11, 2009 1,013,333
-------------------------------------------------------------------------------
$ 12,704,505
-------------------------------------------------------------------------------
Insurance -- 1.6%
-------------------------------------------------------------------------------
Hilb, Rogal and Hamilton Company
$3,369,722 Term loan, maturing June 30, 2007 $ 3,384,464
Willis Corroon Corporation
1,627,658 Term loan, maturing February 19, 2007 1,616,468
-------------------------------------------------------------------------------
$ 5,000,932
-------------------------------------------------------------------------------
Leisure -- 1.8%
-------------------------------------------------------------------------------
New England Sports Ventures, LLC
$4,000,000 Term loan, maturing February 28, 2005 $ 4,000,000
Universal City Development Partners, L.P.
1,472,344 Term loan, maturing June 30, 2007 1,435,535
-------------------------------------------------------------------------------
$ 5,435,535
-------------------------------------------------------------------------------
Leisure Equipment & Products -- 0.3%
-------------------------------------------------------------------------------
Bell Sports, Inc.
$ 938,936 Term loan, maturing March 30, 2007 $ 816,874
-------------------------------------------------------------------------------
$ 816,874
-------------------------------------------------------------------------------
Machinery -- 2.3%
-------------------------------------------------------------------------------
Colfax Corporation
$ 625,000 Term loan, maturing May 30, 2009 $ 623,438
Flowserve Corporation
2,602,364 Term loan, maturing June 30, 2009 2,615,375
Rexnord Corporation
1,458,333 Term loan, maturing November 30, 2009 1,472,309
The Manitowoc Company
2,450,000 Term loan, maturing June 30, 2007 2,461,025
-------------------------------------------------------------------------------
$ 7,172,147
-------------------------------------------------------------------------------
Manufacturing -- 7.6%
-------------------------------------------------------------------------------
Advanced Glassfiber Yarns LLC
$1,015,859 Term loan, maturing September 30, 2005(4) $ 452,057
AMSCAN Holdings, Inc.
992,500 Term loan, maturing June 15, 2007 992,500
Citation Corporation
948,087 Term loan, maturing December 1, 2007 794,023
Gentek, Inc.
1,735,549 Term loan, maturing April 30, 2007 1,077,776
Ingram Industries, Inc.
418,797 Term loan, maturing June 30, 2008 414,609
JohnsonDiversey, Inc.
297,796 Term loan, maturing November 30, 2008 298,789
1,485,000 Term loan, maturing November 30, 2009 1,499,718
Motor Coach Industries
476,445 Term loan, maturing June 15, 2006 401,405
Mueller Group, Inc.
2,475,000 Term loan, maturing May 31, 2008 2,472,570
National Waterworks Holdings, Inc.
2,450,000 Term loan, maturing November 22, 2009 2,476,031
Neenah Foundry Company
1,813,782 Term loan, maturing September 30, 2005 1,795,644
Polypore Incorporated
1,665,872 Term loan, maturing December 31, 2006 1,670,037
SPX Corporation
1,193,281 Term loan, maturing September 30, 2009 1,195,850
1,988,802 Term loan, maturing March 31, 2010 1,993,084
Synthetic Industries, Inc.
981,250 Term loan, maturing December 30, 2007 841,422
Trimas Corporation
2,484,518 Term loan, maturing December 31, 2009 2,487,189
Walter Industries, Inc.
2,437,500 Term loan, maturing April 17, 2010 2,437,500
-------------------------------------------------------------------------------
$ 23,300,204
-------------------------------------------------------------------------------
Metals & Mining -- 1.0%
-------------------------------------------------------------------------------
Compass Minerals Group, Inc.
$1,125,275 Term loan, maturing November 28, 2009 $ 1,133,831
Handy & Harman
867,477 Term loan, maturing July 30, 2006 845,790
Stillwater Mining Company
956,495 Term loan, maturing June 30, 2007 958,886
-------------------------------------------------------------------------------
$ 2,938,507
-------------------------------------------------------------------------------
Miscellaneous -- 0.6%
-------------------------------------------------------------------------------
Weight Watchers International, Inc.
$1,347,350 Term loan, maturing December 31, 2007 $ 1,359,139
459,386 Term loan, maturing December 31, 2008 463,405
-------------------------------------------------------------------------------
$ 1,822,544
-------------------------------------------------------------------------------
Oil & Gas -- 2.1%
-------------------------------------------------------------------------------
Citgo Petroleum Company
$ 971,676 Term loan, maturing February 27, 2006 $ 998,397
The Premcor Refining Group, Inc.
3,000,000 Term loan, maturing February 11, 2006 3,026,250
Williams Production RMT Company
2,500,000 Term loan, maturing May 30, 2007 2,518,750
-------------------------------------------------------------------------------
$ 6,543,397
-------------------------------------------------------------------------------
Paper & Forest Products -- 0.4%
-------------------------------------------------------------------------------
Bear Island Paper Company, LLC
$1,233,457 Term loan, maturing December 31, 2005 $ 1,227,290
-------------------------------------------------------------------------------
$ 1,227,290
-------------------------------------------------------------------------------
Personal Products -- 2.3%
-------------------------------------------------------------------------------
Armkel, LLC
$1,810,375 Term loan, maturing March 31, 2009 $ 1,822,680
Mary Kay Cosmetics, Inc.
1,317,866 Term loan, maturing September 30, 2007 1,324,456
Playtex Products, Inc.
3,962,487 Term loan, maturing May 31, 2009 3,945,152
-------------------------------------------------------------------------------
$ 7,092,288
-------------------------------------------------------------------------------
Publishing & Printing -- 9.3%
-------------------------------------------------------------------------------
American Media Operations Inc.
$ 257,052 Term loan, maturing April 1, 2006 $ 256,490
2,149,014 Term loan, maturing April 1, 2008 2,157,745
Bell Actimedia, Inc.
995,000 Term loan, maturing November 29, 2009 1,013,034
Dex Media, Inc.
2,276,423 Term loan, maturing November 8, 2009 2,310,977
Hollinger International Publishing, Inc.
496,250 Term loan, maturing September 30, 2009 503,073
Journal Register Company
2,553,462 Term loan, maturing September 30, 2006 2,534,311
Liberty Group Operating, Inc.
1,442,564 Term loan, maturing April 30, 2007 1,440,761
Merrill Corporation
211,970 Term loan, maturing November 15, 2006 198,545
950,498 Term loan, maturing November 15, 2007 890,300
Moore Holdings U.S.A. Inc.
1,500,000 Term loan, maturing March 15, 2010 1,513,359
Morris Communications Corporation
3,000,000 Term loan, maturing September 30, 2009 3,016,407
QwestDex, Inc.
750,000 Term loan, maturing August 30, 2004 762,188
R.H. Donnelley Inc.
1,362,483 Term loan, maturing December 31, 2008 1,372,021
1,990,000 Term loan, maturing June 30, 2010 2,027,313
Sun Media Corporation
2,647,473 Term loan, maturing February 7, 2009 2,654,505
The Reader's Digest Association, Inc.
2,009,462 Term loan, maturing May 20, 2008 1,994,032
The Sheridan Group, Inc.
870,023 Term loan, maturing January 30, 2005 843,923
Transwestern Publishing Company LLC
2,848,350 Term loan, maturing June 27, 2008 2,862,148
-------------------------------------------------------------------------------
$ 28,351,132
-------------------------------------------------------------------------------
Real Estate -- 6.5%
-------------------------------------------------------------------------------
AGBRI Octagon
$1,725,267 Term loan, maturing May 31, 2004 $ 1,712,328
AIMCO Properties, L.P.
1,423,351 Term loan, maturing February 28, 2004 1,425,130
2,500,000 Term loan, maturing May 30, 2008 2,504,688
American Skiing Company Resort Properties, Inc.
720,000 Term loan, maturing June 30, 2003(4) 655,200
AP-Knight LP
2,010,236 Term loan, maturing December 31, 2004 2,007,723
Concordia Properties, LLC
1,000,000 Term loan, maturing January 31, 2006 1,000,000
Crescent Real Estate Equities, L.P.
1,000,000 Term loan, maturing May 31, 2005 1,002,500
Fairfield Resorts, Inc.
1,200,000 Term loan, maturing March 21, 2006 1,194,000
Lennar Corporation
745,000 Term loan, maturing May 2, 2007 746,397
Macerich Partnership, L.P.
1,968,000 Term loan, maturing July 15, 2005 1,975,380
Newkirk Master, L.P.
894,020 Term loan, maturing December 31, 2004 899,608
OLY Hightop Parent
1,535,810 Term loan, maturing March 31, 2006 1,539,649
Shelbourne Properties, L.P.
285,959 Term loan, maturing February 19, 2006 285,602
The Woodlands Commercial Properties Co., L.P.
1,900,000 Term loan, maturing November 26, 2005 1,914,250
Trizec Properties, Inc.
1,000,000 Term loan, maturing May 29, 2005 997,500
-------------------------------------------------------------------------------
$ 19,859,955
-------------------------------------------------------------------------------
Restaurants -- 2.0%
-------------------------------------------------------------------------------
AFC Enterprises Inc.
$1,978,337 Term loan, maturing May 23, 2009 $ 1,975,039
Buffets, Inc.
1,753,086 Term loan, maturing June 30, 2009 1,735,994
Jack in the Box, Inc.
748,125 Term loan, maturing July 22, 2007 754,671
O'Charley's Inc.
1,706,250 Term loan, maturing January 27, 2009 1,711,582
-------------------------------------------------------------------------------
$ 6,177,286
-------------------------------------------------------------------------------
Retail - Food & Drug -- 6.3%
-------------------------------------------------------------------------------
Duane Reade Inc.
$2,077,420 Term loan, maturing February 15, 2007 $ 2,082,613
Fleming Companies, Inc.
2,247,066 Term loan, maturing June 18, 2008 1,980,789
Giant Eagle, Inc.
2,978,122 Term loan, maturing August 6, 2009 2,985,567
Rite Aid Corporation
6,000,000 Term loan, maturing April 30, 2008 6,087,000
Roundy's, Inc.
2,475,000 Term loan, maturing June 6, 2009 2,480,608
SDM Corporation
2,862,539 Term loan, maturing February 4, 2009 2,870,439
The Pantry, Inc.
742,589 Term loan, maturing March 31, 2007 744,445
-------------------------------------------------------------------------------
$ 19,231,461
-------------------------------------------------------------------------------
Retail - Multiline -- 1.3%
-------------------------------------------------------------------------------
Kmart Corporation
$3,000,000 Term loan, maturing May 6, 2006 $ 3,007,500
Rent-A-Center, Inc.
1,000,000 Term loan, maturing May 28, 2009 1,007,500
-------------------------------------------------------------------------------
$ 4,015,000
-------------------------------------------------------------------------------
Retail - Specialty -- 3.7%
-------------------------------------------------------------------------------
Advance Stores Company, Inc.
$ 722,693 Term loan, maturing November 30, 2006 $ 720,435
2,816,479 Term loan, maturing November 30, 2007 2,830,914
CSK Auto, Inc.
1,400,000 Term loan, maturing June 20, 2009 1,414,000
Jo-Ann Stores, Inc.
2,500,000 Term loan, maturing April 30, 2005 2,487,500
Oriental Trading Company
452,381 Term loan, maturing June 30, 2009 452,664
Travelcenters of America, Inc.
3,327,077 Term loan, maturing November 30, 2008 3,342,674
-------------------------------------------------------------------------------
$ 11,248,187
-------------------------------------------------------------------------------
Road & Rail -- 0.7%
-------------------------------------------------------------------------------
Kansas City Southern Industries, Inc.
$1,045,548 Term loan, maturing June 12, 2008 $ 1,047,836
RailAmerica Australia Finance Pty. LTD.
158,400 Term loan, maturing May 31, 2009 158,578
RailAmerica Canada Corp.
132,000 Term loan, maturing May 31, 2009 132,148
RailAmerica Transportation Corp.
699,600 Term loan, maturing May 31, 2009 700,387
-------------------------------------------------------------------------------
$ 2,038,949
-------------------------------------------------------------------------------
Telecommunications - Wireline -- 1.3%
-------------------------------------------------------------------------------
Alec Holdings, Inc.
$ 454,984 Term loan, maturing November 30, 2006 $ 453,847
464,784 Term loan, maturing November 30, 2007 463,622
Broadwing Inc. (FKA Cinci Bell)
1,996,668 Term loan, maturing December 31, 2005 1,992,389
Qwest Corporation
1,000,000 Term loan, maturing June 4, 2007 1,012,000
-------------------------------------------------------------------------------
$ 3,921,858
-------------------------------------------------------------------------------
Telecommunications - Wireless -- 0.9%
-------------------------------------------------------------------------------
American Tower, L.P.
$ 403,707 Term loan, maturing December 31, 2006 $ 398,636
207,456 Term loan, maturing December 31, 2007 208,045
Cricket Communications, Inc.
300,000 Term loan, maturing June 30, 2007(4) 117,000
Nextel Communications, Inc.
498,744 Term loan, maturing June 30, 2008 497,689
498,744 Term loan, maturing December 30, 2008 497,689
Spectrasite Communications, Inc.
917,111 Term loan, maturing December 31, 2007 923,130
Winstar Communications, Inc.
300,534 DIP loan, maturing June 30, 2003(4) 75,134
-------------------------------------------------------------------------------
$ 2,717,323
-------------------------------------------------------------------------------
Textiles & Apparel -- 0.2%
-------------------------------------------------------------------------------
St. John Knits International, Inc.
$ 747,221 Term loan, maturing July 31, 2007 $ 748,622
-------------------------------------------------------------------------------
$ 748,622
-------------------------------------------------------------------------------
Theaters -- 2.7%
-------------------------------------------------------------------------------
Cinemark USA, Inc.
$2,793,000 Term loan, maturing March 31, 2008 $ 2,814,822
Hollywood Theater Holdings, Inc.
880,093 Term loan, maturing March 31, 2006 825,087
Loews Cineplex Entertainment Corporation
482,615 Term loan, maturing September 30, 2006 480,051
300,000 Revolving loan, maturing March 31, 2007 299,250
912,273 Term loan, maturing May 31, 2008 907,711
538,636 Term loan, maturing May 31, 2008 536,616
Regal Cinemas Inc.
1,897,436 Term loan, maturing May 27, 2007 1,911,667
500,000 Term loan, maturing June 30, 2009 504,375
-------------------------------------------------------------------------------
$ 8,279,579
-------------------------------------------------------------------------------
Utility -- 1.2%
-------------------------------------------------------------------------------
International Transmission Company
$1,047,375 Term loan, maturing March 18, 2009 $ 1,056,757
ITC Holding Corp.
698,250 Term loan, maturing March 18, 2009 701,305
Michigan Electric Transmission Company, LLC
1,980,000 Term loan, maturing June 30, 2007 1,986,393
-------------------------------------------------------------------------------
$ 3,744,455
-------------------------------------------------------------------------------
Total Senior, Floating Rate Interests
(identified cost, $476,539,224) $ 469,472,328
-------------------------------------------------------------------------------
Corporate Bonds & Notes -- 12.0%
Principal
Amount
(000's Omitted) Security Value
-------------------------------------------------------------------------------
Aerospace and Defense -- 0.0%
-------------------------------------------------------------------------------
K&F Industries, Sr. Sub. Notes
$ 55 9.625%, 12/15/10 $ 61,325
-------------------------------------------------------------------------------
$ 61,325
-------------------------------------------------------------------------------
Airlines -- 0.8%
-------------------------------------------------------------------------------
American Airlines
$ 895 7.80%, 10/1/06 $ 619,473
20 7.858%, 10/1/11 19,667
Continental Airlines
200 7.434%, 9/15/04 176,589
40 7.08%, 11/1/04 35,861
357 7.033%, 6/15/11 283,221
Delta Air Lines
110 6.65%, 3/15/04 105,600
Dunlop Stand Aero Holdings, Sr. Notes
845 11.875%, 5/15/09 912,600
Northwest Airlines, Inc.
30 8.52%, 4/7/04 28,200
360 8.875%, 6/1/06 286,200
-------------------------------------------------------------------------------
$ 2,467,411
-------------------------------------------------------------------------------
Apparel -- 0.2%
-------------------------------------------------------------------------------
GFSI, Inc., Sr. Sub. Notes
$ 45 9.625%, 3/1/07 $ 38,475
Phillips Van-Heusen, Sr. Notes
100 8.125%, 5/1/13(2) 103,125
Tropical Sportswear International
175 11.00%, 6/15/08 181,125
William Carter, Series B
160 10.875%, 8/15/11 181,600
-------------------------------------------------------------------------------
$ 504,325
-------------------------------------------------------------------------------
Auto and Parts -- 0.4%
-------------------------------------------------------------------------------
CSK Auto, Inc.
$ 420 12.00%, 6/15/06 $ 468,300
Dana Corp.
175 10.125%, 3/15/10 193,812
Dura Operating Corp.
75 8.625%, 4/15/12 77,250
Key Plastics, Jr. Secured Sub. Notes
44 4.009%, 4/26/07(3)(4) 44,009
Key Plastics, Sr. Secured Sub. Notes
118 7.009%, 4/26/07(3)(4) 118,465
Rexnord Corp., Sr. Sub. Notes
65 10.125%, 12/15/12(2) 71,825
TRW, Automotive, Inc., Sr. Sub. Notes
100 11.00%, 2/15/13(2) 109,500
United Components, Inc., Sr. Sub. Notes
65 9.375%, 6/15/13(2) 67,762
-------------------------------------------------------------------------------
$ 1,150,923
-------------------------------------------------------------------------------
Broadcasting and Cable -- 0.9%
-------------------------------------------------------------------------------
Adelphia Communications Corp., Sr. Notes
$ 205 9.25%, 10/1/49(4) $ 125,050
Avalon Cable, LLC, Sr. Disc. Notes
165 11.875%, 12/1/08 158,606
Charter Communication Holdings, Sr. Disc. Notes
200 13.50%, 1/15/11 105,000
45 9.92%, 4/1/11 29,812
Charter Communication Holdings, Sr. Notes
30 10.00%, 4/1/09 23,100
45 10.75%, 10/1/09 35,100
Corus Entertainment, Inc., Sr. Sub. Notes
165 8.75%, 3/1/12 178,200
CSC Holdings, Inc., Sr. Notes
20 7.875%, 12/15/07 20,550
CSC Holdings, Inc., Sr. Sub. Notes
95 10.50%, 5/15/16 104,025
DirecTV Holdings, Sr. Notes
60 8.375%, 3/15/13(2) 67,200
Echostar DBS Corp., Sr. Notes
10 9.125%, 1/15/09 11,225
Insight Communications, Sr. Disc. Notes
125 12.25%, 2/15/11 104,375
Mediacom Broadband LLC
50 11.00%, 7/15/13 55,875
Muzak LLC/Muzak Finance, Sr. Notes
25 10.00%, 2/15/09(2) 26,312
Nexstar Finance Holding LLC, Inc., Sr. Disc. Notes
180 0.00%, 4/1/13(2) 120,825
Nextmedia Operating, Inc.
65 10.75%, 7/1/11 73,125
Paxson Communications
205 12.25%, 1/15/09 172,200
Pegasus Communications
1,000 9.75%, 12/1/06 915,000
Pegasus Sattelite, Sr. Notes
530 12.375%, 8/1/06 498,200
-------------------------------------------------------------------------------
$ 2,823,780
-------------------------------------------------------------------------------
Building Materials -- 0.0%
-------------------------------------------------------------------------------
Ryland Group, Sr. Notes
$ 80 9.75%, 9/1/10 $ 92,400
-------------------------------------------------------------------------------
$ 92,400
-------------------------------------------------------------------------------
Business Services - Miscellaneous -- 0.3%
-------------------------------------------------------------------------------
Coinmach Corp., Sr. Notes
$ 360 9.00%, 2/1/10 $ 387,000
JSG Funding PLC, Sr. Notes
250 9.625%, 10/1/12 277,500
R.H. Donnelley Finance Corp., Sr. Notes
30 8.875%, 12/15/10(2) 33,300
R.H. Donnelley Finance Corp., Sr. Sub. Notes
190 10.875%, 12/15/12(2) 222,300
Trico Marine Services, Sr. Notes
45 8.875%, 5/15/12 38,925
Universal City Development, Sr. Notes
15 11.75%, 4/1/10(2) 16,537
-------------------------------------------------------------------------------
$ 975,562
-------------------------------------------------------------------------------
Chemicals -- 0.7%
-------------------------------------------------------------------------------
Avecia Group, PLC
$ 750 11.00%, 7/1/09 $ 682,500
Equistar Chemical, Sr. Notes
110 10.625%, 5/1/11(2) 113,300
Hercules, Inc.
30 11.125%, 11/15/07 35,100
HMP Equity Holdings Corp.
170 0.00%, 5/15/08(2) 86,700
Huntsman Co., LLC, Sr. Notes
80 9.875%, 3/1/09(2) 83,600
IMC Global, Inc.
75 7.625%, 11/1/05 79,875
Lyondell Chemical Co.
40 9.50%, 12/15/08 38,200
75 9.50%, 12/15/08(2) 71,625
170 11.125%, 7/15/12 175,100
Methanex Corp., Sr. Notes
120 8.75%, 8/15/12 135,000
OM Group, Inc.
155 9.25%, 12/15/11 151,900
Resolution Performance, Sr. Notes
130 9.50%, 4/15/10 135,850
Resolution Performance, Sr. Sub. Notes
160 13.50%, 11/15/10 160,800
United Industries Corp., Sr. Sub. Notes
85 9.875%, 4/1/09(2) 90,100
-------------------------------------------------------------------------------
$ 2,039,650
-------------------------------------------------------------------------------
Consumer Products -- 0.2%
-------------------------------------------------------------------------------
Fedders North America
$ 170 9.375%, 8/15/07 $ 141,950
Hockey Co.
375 11.25%, 4/15/09 414,375
-------------------------------------------------------------------------------
$ 556,325
-------------------------------------------------------------------------------
Containers and Packaging -- 0.4%
-------------------------------------------------------------------------------
BWAY Corp., Sr. Sub. Notes
$ 85 10.00%, 10/15/10(2) $ 86,700
Crown Euro Holdings SA
65 9.50%, 3/1/11(2) 70,525
340 10.875%, 3/1/13(2) 372,300
Graham Packaging Co.
35 8.75%, 1/15/08 35,000
Graphic Packaging Corp.
80 8.625%, 2/15/12 82,000
Owens-Brockway Glass Containers, Sr. Notes
185 8.25%, 5/15/13(2) 194,250
Riverwood International Corp.
95 10.875%, 4/1/08 97,850
Smurfit-Stone Container
170 8.25%, 10/1/12 183,175
Stone Container Corp., Sr. Notes
175 8.375%, 7/1/12 188,562
-------------------------------------------------------------------------------
$ 1,310,362
-------------------------------------------------------------------------------
Drugs -- 0.0%
-------------------------------------------------------------------------------
Alaris Medical Systems, Series B
$ 90 11.625%, 12/1/06 $ 109,800
-------------------------------------------------------------------------------
$ 109,800
-------------------------------------------------------------------------------
Electronic Components -- 0.1%
-------------------------------------------------------------------------------
Hexcel Corp.
$ 35 9.875%, 10/1/08(2) $ 38,675
Sanmina-Sci Corp.
165 10.375%, 1/15/10(2) 184,800
-------------------------------------------------------------------------------
$ 223,475
-------------------------------------------------------------------------------
Electronic Components - Semiconductors -- 0.0%
-------------------------------------------------------------------------------
Chippac International Ltd.
$ 90 12.75%, 8/1/09 $ 101,700
-------------------------------------------------------------------------------
$ 101,700
-------------------------------------------------------------------------------
Energy Services -- 0.0%
-------------------------------------------------------------------------------
Hornbeck Leevac Marine Service, Sr. Notes
$ 80 10.625%, 8/1/08 $ 88,600
-------------------------------------------------------------------------------
$ 88,600
-------------------------------------------------------------------------------
Entertainment -- 0.4%
-------------------------------------------------------------------------------
Hollywood Entertainment
$ 195 9.625%, 3/15/11 $ 214,256
Premier Parks, Inc.
190 9.75%, 6/15/07 189,050
Royal Caribbean Cruises, Sr. Notes
30 7.25%, 8/15/06 30,750
245 8.00%, 5/15/10 256,025
345 8.75%, 2/2/11 367,425
Six Flags, Inc., Sr. Notes
30 9.50%, 2/1/09 29,700
240 8.875%, 2/1/10 231,600
-------------------------------------------------------------------------------
$ 1,318,806
-------------------------------------------------------------------------------
Environmental Services -- 0.1%
-------------------------------------------------------------------------------
Allied Waste
$ 140 9.25%, 9/1/12(2) $ 155,050
Allied Waste Industries, Inc.
140 10.00%, 8/1/09 149,450
-------------------------------------------------------------------------------
$ 304,500
-------------------------------------------------------------------------------
Foods -- 0.5%
-------------------------------------------------------------------------------
American Seafood Group LLC
$ 400 10.125%, 4/15/10 $ 456,000
B&G Foods, Inc.
75 9.625%, 8/1/07 77,625
Burns Philip Capital Ltd.
180 9.75%, 7/15/12(2) 176,400
Doane Pet Care Co.
250 10.75%, 3/1/10 273,750
Dole Foods Co., Sr. Notes
330 8.875%, 3/15/11(2) 351,450
Luigino's, Inc., Sr. Sub. Notes
130 10.00%, 2/1/06 135,850
New World Pasta Company
165 9.25%, 2/15/09 52,800
-------------------------------------------------------------------------------
$ 1,523,875
-------------------------------------------------------------------------------
Furniture and Appliances -- 0.1%
-------------------------------------------------------------------------------
Fedders North America
$ 515 9.375%, 8/15/07 $ 430,025
-------------------------------------------------------------------------------
$ 430,025
-------------------------------------------------------------------------------
Gaming -- 0.5%
-------------------------------------------------------------------------------
Chukchansi EDA, Sr. Notes
$ 230 14.50%, 6/15/09(2) $ 254,725
Penn National Gaming, Inc., Sr. Sub. Notes
620 11.125%, 3/1/08 689,750
Waterford Gaming LLC, Sr. Notes
455 8.625%, 9/15/12(2) 480,025
-------------------------------------------------------------------------------
$ 1,424,500
-------------------------------------------------------------------------------
Health Services -- 0.1%
-------------------------------------------------------------------------------
Iasis Healthcare Corp., Sr. Sub. Notes
$ 110 8.50%, 10/15/09 $ 111,650
Pacificare Health System
225 10.75%, 6/1/09 259,312
Rotech Healthcare, Inc.
15 9.50%, 4/1/12 15,487
Select Medical Corp., Sr. Sub. Notes
60 9.50%, 6/15/09 65,475
-------------------------------------------------------------------------------
$ 451,924
-------------------------------------------------------------------------------
Instruments - Controls -- 0.3%
-------------------------------------------------------------------------------
Wesco Distribution, Inc.
$ 1,000 9.125%, 6/1/08 $ 937,500
-------------------------------------------------------------------------------
$ 937,500
-------------------------------------------------------------------------------
Lodging -- 0.1%
-------------------------------------------------------------------------------
Extended Stay America, Inc., Sr. Sub. Notes
$ 65 9.875%, 6/15/11 $ 70,200
HMH Properties, Inc.
35 7.875%, 8/1/08 35,700
Host Marriott L.P.
30 9.50%, 1/15/07 32,400
90 9.25%, 10/1/07 97,200
-------------------------------------------------------------------------------
$ 235,500
-------------------------------------------------------------------------------
Lodging and Gaming -- 1.0%
-------------------------------------------------------------------------------
Ameristar Casinos, Inc.
$ 150 10.75%, 2/15/09 $ 170,812
Hard Rock Hotel, Inc.
20 8.875%, 6/1/13 21,000
Hollywood Casino Shreveport, 1st Mtg. Notes
205 13.00%, 8/1/06 140,425
John Q Hamons Hotels/Finance, Series B
65 8.875%, 5/15/12 68,575
Majestic Star Casino, LLC
925 10.875%, 7/1/06 972,406
Mandalay Resort Group, Sr. Sub. Notes
60 10.25%, 8/1/07 68,100
MGM Grand, Inc.
500 9.75%, 6/1/07 570,000
MTR Gaming Group
110 9.75%, 4/1/10(2) 113,850
Kerzner International, Sr. Sub. Notes
265 8.875%, 8/15/11 288,188
Venetian Casino/Las Vegas Sands
645 11.00%, 6/15/10 730,463
-------------------------------------------------------------------------------
$ 3,143,819
-------------------------------------------------------------------------------
Machinery -- 0.1%
-------------------------------------------------------------------------------
Flowserve Corp.
$ 5 12.25%, 8/15/10 $ 5,850
Manitowoc Co., Inc. (The)
45 10.50%, 8/1/12 50,175
Terex Corp.
130 10.375%, 4/1/11 144,300
150 9.25%, 7/15/11 162,000
-------------------------------------------------------------------------------
$ 362,325
-------------------------------------------------------------------------------
Manufacturing -- 0.3%
-------------------------------------------------------------------------------
Dresser, Inc.
$ 110 9.375%, 4/15/11 $ 113,850
Fastentech, Inc, Sr. Notes
15 11.50%, 5/1/11(2) 15,150
Foamex L.P./Capital Corp.
210 10.75%, 4/1/09 169,050
Grey Wolf, Inc., Sr. Notes
50 8.875%, 7/1/07 51,750
Oxford Industries, Inc., Sr. Notes
90 8.875%, 6/1/11(2) 94,950
Tekni-Plex, Inc., Sr. Sub. Notes
80 12.75%, 6/15/10(2) 78,400
Transdigm Inc.
345 10.375%, 12/1/08 375,681
-------------------------------------------------------------------------------
$ 898,831
-------------------------------------------------------------------------------
Medical Products -- 0.1%
-------------------------------------------------------------------------------
Advanced Medical Optics, Sr. Sub. Notes
$ 105 9.25%, 7/15/10 $ 114,450
Hanger Orthopedic Group
75 10.375%, 2/15/09 83,250
Medquest, Inc.
205 11.875%, 8/15/12 214,225
-------------------------------------------------------------------------------
$ 411,925
-------------------------------------------------------------------------------
Medical Services -- 0.1%
-------------------------------------------------------------------------------
Magellan Health Services, Sr. Notes
$ 170 9.375%, 11/15/07(2) $ 170,850
-------------------------------------------------------------------------------
$ 170,850
-------------------------------------------------------------------------------
Oil and Gas - Equipment and Services -- 0.8%
-------------------------------------------------------------------------------
Dynegy Holdings, Inc., Sr. Notes
$ 160 8.125%, 3/15/05 $ 156,400
35 7.45%, 7/15/06 33,513
170 6.875%, 4/1/11 143,650
Port Arthur Finance Corp.
362 12.50%, 1/15/09 425,644
Premcor Refining Group, Sr. Notes
210 9.50%, 2/1/13 233,100
SESI, LLC
585 8.875%, 5/15/11 631,800
Southern Natural Gas
150 8.00%, 3/1/32 162,938
Southern Natural Gas, Sr. Notes
50 8.875%, 3/15/10(2) 54,750
Transmontaigne, Inc., Sr. Sub. Notes
225 9.125%, 6/1/10(2) 238,219
Williams Cos., Inc. (The)
225 7.875%, 1/15/06 222,750
Williams Cos., Inc., (The) Sr. Notes
175 8.625%, 6/1/10 183,750
-------------------------------------------------------------------------------
$ 2,486,514
-------------------------------------------------------------------------------
Oil and Gas - Exploration and Production -- 0.9%
-------------------------------------------------------------------------------
ANR Pipeline Co., Sr. Notes
$ 70 8.875%, 3/15/10(2) $ 76,825
Clark R&M, Inc., Sr. Sub. Notes
15 8.875%, 11/15/07 15,375
Comstock Resources, Inc.
480 11.25%, 5/1/07 525,600
El Paso Corp., Sr. Notes
270 7.00%, 5/15/11 247,050
El Paso Energy Partners
120 8.50%, 6/1/11 129,000
Grey Wolf, Inc., Series C
40 8.875%, 7/1/07 41,300
Gulfterra Energy Partners
125 10.625%, 12/1/12 145,000
Gulfterra Energy Partners, Sr. Sub. Notes
125 8.50%, 6/1/10(2) 134,375
Northwest Pipeline Corp.
70 8.125%, 3/1/10 75,600
Plains E&P Co.
115 8.75%, 7/1/12 123,625
Western Natural Gas
1,000 10.00%, 6/15/09 1,095,000
-------------------------------------------------------------------------------
$ 2,608,750
-------------------------------------------------------------------------------
Paper and Forest Products -- 0.2%
-------------------------------------------------------------------------------
Georgia-Pacific Corp., Debs.
$ 150 9.50%, 12/1/11 $ 165,938
Georgia-Pacific Corp., Sr. Notes
180 9.375%, 2/1/13(2) 199,350
Longview Fibre Co., Sr. Sub. Notes
225 10.00%, 1/15/09 250,875
-------------------------------------------------------------------------------
$ 616,163
-------------------------------------------------------------------------------
Printing and Business Products -- 0.1%
-------------------------------------------------------------------------------
Xerox Capital Trust
$ 330 8.00%, 2/1/27 $ 280,500
-------------------------------------------------------------------------------
$ 280,500
-------------------------------------------------------------------------------
Publishing -- 0.2%
-------------------------------------------------------------------------------
American Media Operations, Inc., Series B
$ 15 10.25%, 5/1/09 $ 16,275
Canwest Media, Inc., Sr. Sub. Notes
120 10.625%, 5/15/11 137,400
CBD Media/CBD Finance, Sr. Sub. Notes
30 8.625%, 6/1/11(2) 31,050
Dex Media East LLC
80 9.875%, 11/15/09 89,600
Liberty Group Operating
110 9.375%, 2/1/08 111,650
Vertis, Inc., Sr. Notes
170 10.875%, 6/15/09 170,850
-------------------------------------------------------------------------------
$ 556,825
-------------------------------------------------------------------------------
Retail - Apparel -- 0.0%
-------------------------------------------------------------------------------
Mothers Work, Inc.
$ 50 11.25%, 8/1/10 $ 54,250
-------------------------------------------------------------------------------
$ 54,250
-------------------------------------------------------------------------------
Retail - General -- 0.4%
-------------------------------------------------------------------------------
Kindercare Learning Centers, Inc., Sr. Sub. Notes
$ 1,000 9.50%, 2/15/09 $ 1,012,500
Shopko Stores, Sr. Notes
95 9.25%, 3/15/22 87,875
-------------------------------------------------------------------------------
$ 1,100,375
-------------------------------------------------------------------------------
Semiconductor Equipment and Products -- 0.2%
-------------------------------------------------------------------------------
AMI Semiconductor, Inc., Sr. Sub. Notes
$ 185 10.75%, 2/1/13(2) $ 209,975
Amkor Technologies, Inc.
30 5.75%, 6/1/06 27,525
30 5.00%, 3/15/07 25,238
Amkor Technologies, Inc., Sr. Notes
165 9.25%, 2/15/08 172,425
115 7.75%, 5/15/13 109,825
Amkor Technologies, Inc., Sr. Sub. Notes
65 10.50%, 5/1/09 65,975
On Semiconductor Corp.
35 Variable Rate, 5/15/08 35,525
SCG Holding & Semiconductor Corp.
20 12.00%, 8/1/09 17,300
-------------------------------------------------------------------------------
$ 663,788
-------------------------------------------------------------------------------
Steel -- 0.1%
-------------------------------------------------------------------------------
AK Steel Corp.
$ 55 7.875%, 2/15/09 $ 47,025
25 7.75%, 6/15/12 20,875
United States Steel LLC, Sr. Notes
90 10.75%, 8/1/08 94,950
-------------------------------------------------------------------------------
$ 162,850
-------------------------------------------------------------------------------
Telecommunication Equipment -- 0.0%
-------------------------------------------------------------------------------
Nortel Networks Ltd.
$ 130 4.25%, 9/1/08 $ 110,175
-------------------------------------------------------------------------------
$ 110,175
-------------------------------------------------------------------------------
Transportation -- 0.1%
-------------------------------------------------------------------------------
Petroleum Helicopters, Series B
$ 155 9.375%, 5/1/09 $ 174,569
-------------------------------------------------------------------------------
$ 174,569
-------------------------------------------------------------------------------
Utilities -- 0.2%
-------------------------------------------------------------------------------
AES Corp.
$ 29 10.00%, 7/15/05(2) $ 30,233
AES Corp., Sr. Sub. Debs.
80 8.875%, 11/1/27 66,000
AES Corp., Sr. Sub. Notes
50 8.50%, 11/1/07 47,750
National Waterworks, Inc.
115 10.50%, 12/1/12 127,794
Orion Power Holdings, Inc., Sr. Notes
380 12.00%, 5/1/10 442,700
-------------------------------------------------------------------------------
$ 714,477
-------------------------------------------------------------------------------
Utility - Electric Power Generation -- 0.2%
-------------------------------------------------------------------------------
Calpine Canada Corp.
$ 240 8.50%, 5/1/08 $ 188,400
Calpine Corp., Sr. Notes
45 8.25%, 8/15/05 42,075
155 8.50%, 2/15/11 117,025
Sierra Pacific Resources
260 8.75%, 5/15/05 271,050
-------------------------------------------------------------------------------
$ 618,550
-------------------------------------------------------------------------------
Wireless Communication Services -- 0.6%
-------------------------------------------------------------------------------
American Tower
$ 210 0.00%, 8/1/08 $ 136,500
American Tower Corp., Sr. Notes
390 9.375%, 2/1/09 393,900
Centennial Cell/Communication, Sr. Notes
85 10.125%, 6/15/13(2) 84,575
Crown Castle International Corp., Sr. Notes
150 9.50%, 8/1/11 156,000
Insight Midwest/Insight Capital, Sr. Notes
120 10.50%, 11/1/10 132,300
Nextel Communications, Inc., Sr. Disc. Notes
20 10.65%, 9/15/07 20,750
40 9.95%, 2/15/08 42,000
Nextel Communications, Inc., Sr. Notes
270 12.00%, 11/1/08 291,600
Nextel Partners, Inc., Sr. Notes
175 12.50%, 11/15/09 197,750
75 11.00%, 3/15/10 81,375
115 11.00%, 3/15/10 124,775
130 8.125%, 7/1/11(2) 130,325
Triton PCS, Inc., Sr. Notes
55 8.50%, 6/1/13(2) 59,400
Ubiquitel Operating Co.
23 14.00%, 5/15/10(2)(4) 11,615
-------------------------------------------------------------------------------
$ 1,862,865
-------------------------------------------------------------------------------
Wireline Communication Services -- 0.2%
-------------------------------------------------------------------------------
Qwest Services Corp.
$ 483 13.50%, 12/15/10(2) $ 548,205
-------------------------------------------------------------------------------
$ 548,205
-------------------------------------------------------------------------------
Total Corporate Bonds & Notes
(identified cost, $35,241,111) $ 36,678,874
-------------------------------------------------------------------------------
Common Stocks and Warrants -- 2.6%
Shares/
Rights Security Value
-------------------------------------------------------------------------------
210 American Tower Corp., Warrants(3)(4) $ 21,630
32,537 Carlyle-Key Partners(3)(4) 32,537
2,535 CSC Holdings, Inc. Preferred, Series M(3)(4) 260,471
2,992 Enviromental Systems Products Common(3)(4) 0
544 Enviromental Systems Products Preferred(4) 138,823
10,443 Hayes Lemmerz International Common(4) 122,183
35 Hayes Lemmerz International Preferred, Series A(3)(4) 1,750
10 Identity Now Holdings(3)(4) 0
90,043 IHDG Realty, Inc.(3)(4) 0
90,043 Imperial Home Decor Group(3)(4) 0
9 Kac Mezz Holdings, Class A, Warrants(3)(4) 0
8 Kac Mezz Holdings, Class B, Warrants(3)(4) 0
15 Key Plastics Holdings, Inc.(3)(4) 15,231
8 Knowledge Universe, Inc., Common(3)(4) 8,000
925,000 Van Kampen Senior Income Trust 7,279,750
1,790 Williams Cos., Inc. (The) Preferred(2)(3)(4) 97,107
-------------------------------------------------------------------------------
Total Common Stocks and Warrants
(identified cost, $7,598,917) $ 7,977,482
-------------------------------------------------------------------------------
Short-Term Investments -- 4.4%
Principal Maturity
Amount Date Borrower Rate Amount
-------------------------------------------------------------------------------
$13,465,000 07/01/03 Investors Bank & Trust Time
Deposit 1.37% $ 13,465,000
-------------------------------------------------------------------------------
Total Short-Term Investments
(at amortized cost, $13,465,000) $ 13,465,000
-------------------------------------------------------------------------------
Total Investments -- 172.2%
(identified cost, $532,844,252) $ 527,593,684
-------------------------------------------------------------------------------
Other Assets, Less Liabilities -- (72.2%) $(221,155,233)
-------------------------------------------------------------------------------
Net Assets -- 100% $ 306,438,451
-------------------------------------------------------------------------------
EUR = Euro Dollar
(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) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(3) Priced by adviser.
(4) Non-income producing security.
Note: At June 30, 2003, the Trust had unfunded commitments amounting to
$9,630,471 under various revolving credit agreements.
See Notes to financial statements.
EATON VANCE SENIOR INCOME TRUST AS OF JUNE 30, 2003
-------------------------------------------------------------------------------
FINANCIAL STATEMENTS
-------------------------------------------------------------------------------
Statement of Assets and Liabilities
As of June 30, 2003
Assets
-------------------------------------------------------------------------------
Investments, at value
(identified cost, $532,844,252) $527,593,684
Cash 4,492,411
Receivable for investments sold 248,117
Dividends and interest receivable 2,609,690
Prepaid expenses 64,864
-------------------------------------------------------------------------------
Total assets $535,008,766
-------------------------------------------------------------------------------
Liabilities
-------------------------------------------------------------------------------
Demand note payable $118,000,000
Miscellaneous liabilities 265,656
Payable to affiliate for Trustees' fees 4,490
Accrued expenses:
Interest 161,985
Operating expense 120,452
-------------------------------------------------------------------------------
Total liabilities $118,552,583
-------------------------------------------------------------------------------
Auction Preferred Shares (4,400 shares outstanding) at
liquidation value plus cumulative unpaid dividends $110,017,732
-------------------------------------------------------------------------------
Net assets applicable to common shares $306,438,451
-------------------------------------------------------------------------------
Sources of Net Assets
-------------------------------------------------------------------------------
Common Shares, $0.01 par value; unlimited number of shares
authorized, 36,043,878 shares issued and outstanding $ 360,439
Additional paid-in capital 357,677,254
Accumulated net realized loss (computed on the basis of
identified cost) (48,050,539)
Accumulated undistributed net investment income 1,701,865
Net unrealized depreciation (computed on the basis of
identified cost) (5,250,568)
-------------------------------------------------------------------------------
Net assets applicable to common shares $306,438,451
-------------------------------------------------------------------------------
Net Asset Value Per Common Share
-------------------------------------------------------------------------------
($306,438,451 / 36,043,878 common shares
issued and outstanding) $ 8.50
-------------------------------------------------------------------------------
See Notes to financial statements.
EATON VANCE SENIOR INCOME TRUST AS OF JUNE 30, 2003
Statement of Operations
For the Year Ended
June 30, 2003
Investment Income
-------------------------------------------------------------------------------
Interest $ 28,627,814
Dividends 427,206
Miscellaneous 86,561
-------------------------------------------------------------------------------
Total investment income $ 29,141,581
-------------------------------------------------------------------------------
Expenses
-------------------------------------------------------------------------------
Investment adviser fee $ 4,379,968
Administration fee 1,288,226
Trustees' fees and expenses 12,560
Preferred shares remarketing agent fee 273,491
Legal and accounting services 180,497
Custodian fee 156,165
Printing and postage 86,463
Transfer and dividend disbursing agent fees 74,567
Stock exchange listing fees 71,552
Interest 2,118,815
Miscellaneous 37,446
Total expenses $ 8,679,750
-------------------------------------------------------------------------------
Net investment income $ 20,461,831
-------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
-------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $ (7,499,972)
-------------------------------------------------------------------------------
Net realized loss $ (7,499,972)
-------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 10,329,958
-------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) $ 10,329,958
-------------------------------------------------------------------------------
Net realized and unrealized gain $ 2,829,986
-------------------------------------------------------------------------------
Distributions to preferred shareholders $ (1,607,603)
-------------------------------------------------------------------------------
Net increase in net assets from operations $ 21,684,214
-------------------------------------------------------------------------------
See Notes to financial statements.
EATON VANCE SENIOR INCOME TRUST AS OF JUNE 30, 2003
------------------------------------------------------------------------------------------------
FINANCIAL STATEMENTS CONT'D
------------------------------------------------------------------------------------------------
Statements of Changes in Net Assets
Increase (Decrease) Year Ended Year Ended
in Net Assets June 30, 2003 June 30, 2002
------------------------------------------------------------------------------------------------
From operations --
Net investment income $ 20,461,831 $ 24,704,131
Net realized loss (7,499,972) (20,444,427)
Net change in unrealized appreciation
(depreciation) 10,329,958 5,582,366
Distributions to preferred shareholders (1,607,603) (2,726,001)
------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 21,684,214 $ 7,116,069
------------------------------------------------------------------------------------------------
Distributions to common shareholders --
From net investment income $(18,804,935) $(22,675,640)
------------------------------------------------------------------------------------------------
Total distributions to common shareholders $(18,804,935) $(22,675,640)
------------------------------------------------------------------------------------------------
Capital share transactions --
Reinvestment of distributions to shareholders $ 800,067 $ 721,050
------------------------------------------------------------------------------------------------
Net increase in net assets from
capital share transactions $ 800,067 $ 721,050
------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets $ 3,679,346 $(14,838,521)
------------------------------------------------------------------------------------------------
Net Assets Applicable To Common Shares
------------------------------------------------------------------------------------------------
At beginning of year $302,759,105 $317,597,626
------------------------------------------------------------------------------------------------
At end of year $306,438,451 $302,759,105
------------------------------------------------------------------------------------------------
Accumulated Undistributed
Net Investment Income
Included in Net Assets Applicable to Common Shares
------------------------------------------------------------------------------------------------
At end of year $ 1,701,865 $ 1,647,268
------------------------------------------------------------------------------------------------
See Notes to financial statements.
Statement of Cash Flows
Year Ended
Increase (Decrease) in Cash June 30, 2003
-------------------------------------------------------------------------------
Cash Flows From (Used For) Operating Activities --
Purchases of loan interests and corporate bonds $(299,013,938)
Proceeds from sales and principal repayments 282,442,778
Interest and dividends received 28,270,943
Miscellaneous income received 86,561
Interest paid (2,109,628)
Prepaid expenses 23,263
Operating expenses paid (6,665,478)
Net increase in short-term investments (3,658,176)
-------------------------------------------------------------------------------
Net cash used for operating activities $ (623,675)
-------------------------------------------------------------------------------
Cash Flows From (Used For) Financing Activities --
Cash distributions paid (excluding reinvestments of $800,067) $ (19,618,404)
Net increase in amounts due under commercial paper program 13,000,000
Net cash used for financing activities $ (6,618,404)
-------------------------------------------------------------------------------
Net decrease in cash $ (7,242,079)
-------------------------------------------------------------------------------
Cash at beginning of period $ 11,734,490
-------------------------------------------------------------------------------
Cash at end of period $ 4,492,411
-------------------------------------------------------------------------------
Reconciliation of Net Increase in Net Assets
From Operations to Net Cash
Used for Operating Activities
-------------------------------------------------------------------------------
Net increase in net assets from operations $ 21,684,214
Distributions to preferred shareholders 1,607,603
Decrease in receivable for investments sold 649,041
Decrease in dividends and interest receivable 200,868
Decrease in prepaid expenses 23,263
Decrease in miscellaneous liability (9,839)
Decrease in payable to affiliate (6,171)
Decrease in accrued expenses (89,186)
Decrease payable for investments purchased (187,850)
Net increase in investments (24,495,618)
-------------------------------------------------------------------------------
Net cash used for operating activities $ (623,675)
-------------------------------------------------------------------------------
See Notes to financial statements.
EATON VANCE SENIOR INCOME TRUST AS OF JUNE 30, 2003
-----------------------------------------------------------------------------------------------------------------------------------
FINANCIAL STATEMENTS CONT'D
-----------------------------------------------------------------------------------------------------------------------------------
Financial Highlights
Year Ended June 30,
--------------------------------------------------------------------------
2002(1) 1999(1)
2003(1) (2) 2001(1) 2000 (3)
-----------------------------------------------------------------------------------------------------------------------------------
Net asset value -- Beginning of year $8.420 $8.860 $9.810 $10.090 $10.000
-----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from operations
-----------------------------------------------------------------------------------------------------------------------------------
Net investment income $0.569 $0.687 $0.872 $0.868 $0.539
Net realized and unrealized gain (loss) 0.079 (0.420) (0.908) (0.271) 0.036
Distributions to preferred shareholders (0.045) (0.076) -- -- --
-----------------------------------------------------------------------------------------------------------------------------------
Total income (loss) from operations $0.603 $0.191 $(0.036) $0.597 $0.575
-----------------------------------------------------------------------------------------------------------------------------------
Less distributions to common shareholders
-----------------------------------------------------------------------------------------------------------------------------------
From net investment income $(0.523) $(0.631) $(0.882) $(0.877) $(0.465)
-----------------------------------------------------------------------------------------------------------------------------------
Total distributions to common shareholders $(0.523) $(0.631) $(0.882) $(0.877) $(0.465)
-----------------------------------------------------------------------------------------------------------------------------------
Offering costs charged to paid-in capital $-- $-- $(0.001) $-- $(0.020)
-----------------------------------------------------------------------------------------------------------------------------------
Preferred Shares underwriting discounts $-- $-- $(0.031) $-- $--
-----------------------------------------------------------------------------------------------------------------------------------
Net asset value -- End of year (Common Shares) $8.500 $8.420 $8.860 $9.810 $10.090
-----------------------------------------------------------------------------------------------------------------------------------
Market value -- End of year (Common Shares) $8.920 $7.760 $8.940 $ 9.313 $10.000
-----------------------------------------------------------------------------------------------------------------------------------
Total Return(4) 23.03% (6.18)% 5.65% 2.00% 4.93%
-----------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data+++
-----------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to common shares, end of year
(000's omitted) $306,438 $302,759 $317,597 $349,803 $359,705
Ratios (As a percentage of average net assets
attributable to common shares):
Net expenses(5) 2.22% 2.28% 1.89% 1.84% 1.65%(6)
Interest expense 0.72% 0.85% 2.50% 2.41% 2.02%(6)
Total expenses(5) 2.94% 3.13% 4.39% 4.25% 3.67%(6)
Net investment income(5) 6.92% 8.01% 9.37% 8.73% 8.17%(6)
Portfolio Turnover 56% 69% 37% 63% 27%
-----------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Trust may reflect a reduction of the investment adviser fee and the administation fee. 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 net assets attributable to common shares):
Expenses 1.97%(6)
Interest expense 2.02%(6)
Net investment income 7.85%(6)
Net investment income per share $0.518
++ The ratios reported above are based on net assets attributable solely to common shares. The ratios based on net assets,
including amounts related to preferred shares since the initial offering of preferred shares, are as follows:
Ratios (As a percentage of average total net assets):
Net expenses(5) 1.62% 1.68% 1.88%
Interest expense 0.52% 0.63% 2.50%
Total expenses(5) 2.14% 2.31% 4.38%
Net investment income(5) 5.05% 5.90% 9.33%
-----------------------------------------------------------------------------------------------------------------------------------
Senior Securities:
Total preferred shares outstanding 4,400 4,400 4,400
Asset coverage per preferred shares(7) $94,649 $93,814 $97,192
Involuntary liquidation preference per preferred
share(8) $25,000 $25,000 $25,000
Approximate market value per preferred share(8) $25,000 $25,000 $25,000
(1) Net investment income per share was computed using average shares outstanding.
(2) The Trust has adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies and began using
the interest method to amortize premiums on fixed-income securities. The effect of this change for the year ended June 30, 2002
was to increase net investment income per share by $0.001, increase net realized and unrealized losses per share by $0.001, and
increase the ratio of net investment income to average net assets attributable to common shares by less than 0.01%. Per share
data and ratios for the periods prior to July 1, 2001 have not been restated to reflect this change in presentation.
(3) For the period from the start of business, October 30, 1998, to June 30, 1999.
(4) Returns are historical and are calculated by determing the percentage change in market value with all distributions reinvested.
Total return is not computed on an annualized basis.
(5) Ratios do not reflect the effect of dividend payments to preferred shareholders. Ratios to average net assets attributable to
common shares reflect the Trust's leveraged capital structure.
(6) Annualized.
(7) Calculated by subtracting the Trust's total liabilities (not including the preferred shares) from the Trust's total assets, and
dividing this by the number of preferred shares outstanding.
(8) Plus accumulated and unpaid dividends.
See Notes to financial statements.
EATON VANCE SENIOR INCOME TRUST AS OF JUNE 30, 2003
-------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
-------------------------------------------------------------------------------
1 Significant Accounting Policies
-----------------------------------------------------------------------------
Eaton Vance Senior Income Trust (the Trust) is an entity commonly known as a
Massachusetts business trust and is registered under the Investment Company
Act of 1940 as a non-diversified closed-end management investment company.
The Trust's investment objective is to provide a high level of current
income consistent with the preservation of capital, by investing primarily
in senior, floating rate loans. The following is a summary of significant
accounting policies consistently followed by the Trust in the preparation of
its financial statements. The policies are in conformity with accounting
principles generally accepted in the United States of America.
Certain prior year amounts have been reclassified for presentation purposes.
A Investment Valuation -- The Trust's investments are primarily in interests
in senior floating rate loans (Senior Loans). Certain Senior Loans are
deemed liquid because reliable market quotations are readily available for
them. Liquid loans are valued on the basis of prices furnished by a pricing
service. Other Senior Loans are valued at fair value by the Trust's
investment adviser, Eaton Vance Management (EVM), 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 loan in the borrower's debt structure; (ii) the nature,
adequacy and value of the collateral, including the Trust's rights, remedies
and interests with respect to the collateral; (iii) the creditworthiness of
the Borrower, based on evaluations 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 loans and the market environment and
investor attitudes towards the Senior Loan and interests in similar loans;
(v) the experience, reputation, stability and financial condition of the
agent and any intermediate participant in the loan; and (vi) general
economic and market conditions affecting the fair value of the Senior Loan.
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 sales 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 60 days or less are valued at amortized cost, if their original
term to maturity when acquired by the Trust 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 Trust 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. Facility fees received are recognized as income over
the expected term of the loan. Dividend income is recorded on the ex-
dividend date for dividends received in cash and/or securities.
C Federal Taxes -- The Trust'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 June 30, 2003, the Trust, for federal
income tax purposes, had a capital loss carryover of
$43,194,563, which will expire on June 30, 2009
($1,925,241), June 30, 2010 ($27,557,475) and June 30, 2011 ($13,711,847).
These amounts will reduce the Trust's taxable income arising from future net
realized gain on investments, if any, to the extent permitted by the
Internal Revenue Code and thus will reduce the amount of the distributions
to shareholders which would otherwise be necessary to relieve the Trust of
any liability for federal income or excise tax.
Additionally, at June 30, 2003, the Trust had net capital losses of
$3,925,798 attributable to security transactions incurred after October 31,
2002. These are treated as arising on the first day of the Trust's next
taxable year.
D Expense Reduction -- Investors Bank & Trust Company (IBT) serves as
custodian of the Trust. Pursuant to the custodian agreement, IBT receives a
fee reduced by credits which are determined based on the average daily cash
balances the Trust maintains with IBT. All significant credit balances used
to reduce the Trust's custodian fees are reported as a reduction of expenses
on the Statement of Operations.
E Use of Estimates -- The preparation of 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.
F Other -- Investment transactions are accounted for on the date the
investments are purchased or sold. Gains and losses on securities sold are
determined on the basis of identified cost.
2 Auction Preferred Shares (APS)
------------------------------------------------------------------------------
The Trust issued 2,200 shares of Auction Preferred Shares Series A and 2,200
shares of Auction Preferred Shares Series B on June 27, 2001 in a public
offering. The underwriting discount and other offering costs were recorded
as a reduction to paid in capital. Dividends on the APS, which accrue daily,
are paid cumulative at a rate which was established at the offering of the
APS and have been reset every 7 days thereafter by an auction. Dividend
rates at June 30, 2003 were 1.18% and 1.13% for Series A and Series B
Shares, respectively. Series A and Series B are identical in all respects
except for the dates of reset for the dividend rates.
The APS are redeemable at the option of the Trust, at a redemption price
equal to $25,000 per share, plus accumulated and unpaid dividends on any
dividend payment date. The APS are also subject to mandatory redemption at a
redemption price equal to $25,000 per share, plus accumulated and unpaid
dividends, if the Trust is in default on its asset maintenance requirements
with respect to the APS. If the dividends on the APS shall remain unpaid in
an amount equal to two full years' dividends, the holders of the APS as a
class have the right to elect a majority of the Board of Trustees. In
general, the holders of the APS and the common shares have equal voting
rights of one vote per share, except that the holders of the APS, as a
separate class, have the right to elect at least two members of the Board of
Trustees. The APS have a liquidation preference of $25,000 per share, plus
accumulated and unpaid dividends. The Trust is required to maintain certain
asset coverage with respect to the APS as defined in the Trust's By-Laws.
The Trust pays annual fees equivalent to 0.25% of the preferred shares'
liquidation value for the remarketing efforts associated with the preferred
auctions.
3 Distributions to Shareholders
------------------------------------------------------------------------------
The Trust intends to make monthly distributions to common shareholders of
net investment income, after payment of any dividends on any outstanding
preferred shares. Distributions are recorded on the ex-dividend date.
Distributions to preferred shareholders are recorded daily and are payable
at the end of each dividend period. Each dividend payment period for the
Auction Preferred Shares is generally seven days. The applicable dividend
rate for the Auction Preferred Shares on June 30, 2003 was 1.18% and 1.13%,
for Series A and Series B Shares, respectively. For the year ended June 30,
2003, the Trust paid dividends to Auction Preferred shareholders amounting
to $809,204 and $803,352 for Series A and Series B Shares, respectively,
representing an average APS dividend rate for such period of 1.45% and
1.44%, respectively.
4 Common Shares of Beneficial Interest
------------------------------------------------------------------------------
The Agreement and Declaration of Trust permits the Trustees to issue an
unlimited number of full and fractional $0.01 par value common shares of
beneficial interest. Transactions in common shares were as follows:
Year Ended June 30,
------------------------
2003 2002
--------------------------------------------------------------
Issued to shareholders electing to
receive payments of
distributions in Fund common
shares 95,799 81,797
--------------------------------------------------------------
Net increase 95,799 81,797
--------------------------------------------------------------
5 Investment Adviser Fee and Other Transactions with Affiliates
------------------------------------------------------------------------------
The investment adviser fee, computed at a monthly rate of 17/240 of 1%
(0.85% annually) of the Trust's average weekly gross assets, was earned by
EVM as compensation for management and investment advisory services rendered
to the Trust. For the year ended June 30, 2003, the fee was equivalent to
0.85% of the Trust's average weekly gross assets and amounted to $4,379,968.
Except for Trustees of the Trust who are not members of EVM's organization,
officers and Trustees receive remuneration for their services to the Trust
out of such investment adviser fee. EVM also serves as the administrator of
the Trust. An administration fee, computed at the monthly rate of 1/48
of 1% (0.25% annually) of the average weekly gross assets of the Trust, is
paid to EVM for managing and administering business affairs of the Trust.
For the year ended June 30, 2003, the fee was equivalent to 0.25% of the
Trust's average weekly gross assets for such period and amounted to
$1,288,226.
Certain officers and Trustees of the Trust are officers of the above
organization.
6 Investment Transactions
------------------------------------------------------------------------------
The Trust invests primarily in Senior Loans. The ability of the issuers of
the Senior Loans held by the Trust 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 and
corporate bonds aggregated $298,813,679 and $281,787,458, respectively, for
the year ended June 30, 2003.
7 Short-Term Debt and Credit Agreements
------------------------------------------------------------------------------
The Trust has entered into a revolving credit agreement that will allow the
Trust to borrow $120 million to support the issuance of commercial paper and
to permit the Trust to invest in accordance with its investment practices.
Interest is charged under the revolving credit agreement at the bank's base
rate or at an amount above either the bank's adjusted certificate of deposit
rate or federal funds effective rate. Interest expense includes commercial
paper program fees of approximately $310,000 and a commitment fee of
approximately $183,000 which is computed at the annual rate of 0.15% on the
unused portion of the revolving credit agreement. There were no significant
borrowings under this agreement during the period. As of June 30, 2003, the
Trust had commercial paper outstanding of $118,000,000, at an interest rate
of 1.16%. Maximum and average borrowings for the year ended June 30, 2003
were $118,000,000 and $108,035,616, respectively, and the average interest
rate was 1.50%.
8 Federal Income Tax Basis of Unrealized Appreciation (Depreciation)
------------------------------------------------------------------------------
The cost and unrealized appreciation (depreciation) in value of the
investment securities at June 30, 2003, as computed on a federal income tax
basis, were as follows:
Aggregate cost$533,774,430
---------------------------------------------------------------------------
Gross unrealized appreciation $ 4,743,064
Gross unrealized depreciation (10,923,810)
---------------------------------------------------------------------------
Net unrealized depreciation $ (6,180,746)
---------------------------------------------------------------------------
9 Subsequent Event
------------------------------------------------------------------------------
At their June 2003 Board meeting, the Trustees of the Trust appointed two new
Trustees, William H. Park and Ronald A. Pearlman, to replace Jack L. Treynor
and Donald R. Dwight, respectively, as Trustees of the Trust, such
appointments being effective upon Mr. Treynor's and Mr. Dwight's retirement.
As of July 1, 2003, both Mr. Treynor and Mr. Dwight had retired from the
Trust's Board of Trustees. In addition, as of June 2003, the Trust's Audit
Committee membership has changed and now consists of the following
independent Trustees: Norton H. Reamer (chairman), Samuel L. Hayes, III,
William H. Park, and Lynn A. Stout.
EATON VANCE SENIOR INCOME TRUST AS OF JUNE 30, 2003
--------------------------------------------------------------------------------
INDEPENDENT AUDITORS' REPORT
--------------------------------------------------------------------------------
To the Trustees and Shareholders
of Eaton Vance Senior Income Trust
--------------------------------------------------------------------------------
We have audited the accompanying statement of assets and liabilities,
including the portfolio of investments, of Eaton Vance Senior Income Trust
(the Trust) as of June 30, 2003, and the related statements of operations and
cash flows for the year then ended, the statements of changes in net assets
for each of the years in the two-year period ended June 30, 2003, and the
financial highlights for each of the years in the four year period then ended
June 30, 2003 and for the period from October 30, 1998 to June 30, 1999. These
financial statements and financial highlights are the responsibility of the
Trust's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States of America. Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. Our procedures included confirmation of securities and Senior
Loans owned at June 30, 2003 by correspondence with the custodian, brokers and
selling or agent banks; where replies were not received from brokers and
selling or agent banks, we performed other auditing procedures. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. An audit also includes assessing the
accounting principles used and significant estimates made by management, as
well as evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights, referred
to above, present fairly, in all material respects, the financial position of
Eaton Vance Senior Income Trust at June 30, 2003, and the results of its
operations, the changes in its net assets, its cash flows and its financial
highlights for the respective stated periods in conformity with accounting
principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
August 8, 2003
EATON VANCE SENIOR INCOME TRUST
--------------------------------------------------------------------------------
DIDIVEND REINVESTMENT PLAN
--------------------------------------------------------------------------------
The Trust offers a dividend reinvestment plan (the Plan) pursuant to which
shareholders automatically have dividends and capital gains distributions
reinvested in common shares (the Shares) of the Trust unless they elect
otherwise through their investment dealer. On the distribution payment date, if
the net asset value per Share is equal to or less than the market price per
Share plus estimated brokerage commissions then new Shares will be issued. The
number of Shares shall be determined by the greater of the net asset value per
Share or 95% of the market price. Otherwise, Shares generally will be purchased
on the open market by the Plan Agent. Distributions subject to income tax (if
any) are taxable whether or not shares are reinvested.
If your shares are in the name of a brokerage firm, bank, or other nominee, you
can ask the firm or nominee to participate in the Plan on your behalf. If the
nominee does not offer the Plan, you will need to request that your shares be
re-registered in your name with the Trust's transfer agent, PFPC Inc. or you
will not be able to participate.
The Plan Agent's service fee for handling distributions will be paid by the
Trust. Each participant will be charged their pro rata share of brokerage
commissions on all open-market purchases.
Plan participants may withdraw from the Plan at any time by writing to the Plan
Agent at the address noted on the following page. If you withdraw, you will
receive shares in your name for all Shares credited to your account under the
Plan. If a participant elects by written notice to the Plan Agent to have the
Plan Agent sell part or all of his or her Shares and remit the proceeds, the
Plan Agent is authorized to deduct a $5.00 fee plus brokerage commissions from
the proceeds.
If you wish to participate in the Plan and your shares are held in your own
name, you may complete the form on the following page and deliver it to the
Plan Agent.
Any inquires regarding the Plan can be directed to the Plan Agent, PFPC Inc.
at 1-800-331-1710.
EATON VANCE SENIOR INCOME TRUST
--------------------------------------------------------------------------------
APPLICATION FOR PARTICIPATION IN DIVIDEND REINVESTMENT PLAN
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
This form is for shareholders who hold their common shares in their own names.
If your common shares are held in the name of a brokerage firm, bank, or other
nominee, you should contact your nominee to see if it will participate in the
Plan on your behalf. If you wish to participate in the Plan, but your brokerage
firm, bank, or nominee is unable to participate on your behalf, you should
request that your common shares be re-registered in your own name which will
enable your participation in the Plan.
-------------------------------------------------------------------------------
The following authorization and appointment is given with the understanding
that I may terminate it at any time by terminating my participation in the Plan
as provided in the terms and cond itions of the Plan.
----------------------------------------
Please print exact name on account:
----------------------------------------
Shareholder signature Date
----------------------------------------
Shareholder signature Date
Please sign exactly as your common
shares are registered. All persons
whose names appear on the share
certificate must sign.
YOU SHOULD NOT RETURN THIS FORM IF YOU WISH TO RECEIVE YOUR DIVIDENDS AND
DISTRIBUTIONS IN CASH. THIS IS NOT A PROXY.
The authorization form, when signed, should be mailed to the following
address:
Eaton Vance Senior Income Trust
c/o PFPC Inc.
P.O. Box 43027
Providence, RI 02940-3027
800-331-1710
--------------------------------------------------------------------------------
NUMBER OF EMPLOYEES
The Trust is organized as a Massachusetts business trust and is registered
under the Investment Company Act of 1940, as amended, as a closed-end,
nondiversified, management investment company and has no employees.
NUMBER OF SHAREHOLDERS
As of June 30, 2003, our records indicate that there were 294 registered
shareholders for and approximately 17,289 shareholders owning the Trust shares
in street name, such as through brokers, banks, and financial intermediaries.
If you are a street name shareholder and wish to receive our reports directly,
which contain important information about the Trust, please write or call:
Eaton Vance Distributors, Inc.
The Eaton Vance Building
255 State Street
Boston, MA 02109
1-800-225-6265
NEW YORK STOCK EXHANGE SYMBOL
The New York Stock Exchange Symbol is EVF
EATON VANCE SENIOR INCOME TRUST
-----------------------------------------------------------------------------------------------------------------------------------
MANAGEMENT AND ORGANIZATION
-----------------------------------------------------------------------------------------------------------------------------------
FUND MANAGEMENT. The Trustees of Eaton Vance Senior Income Trust (the Trust) are responsible for the overall management and
supervision of the Trust's affairs. The Trustees and officers of the Trust are listed below. Except as indicated, each individual
has held the office shown or other offices in the same company for the last five years. The business address of each Trustee and
officer is The Eaton Vance Building, 255 State Street, Boston, Massachusetts, 02109. As used below, "EVC" means Eaton Vance
Corporation, "EV" means Eaton Vance, Inc., "EVM" means Eaton Vance Management, "BMR" means Boston Management and Research, and
"EVD" means Eaton Vance Distributors, Inc. EVC and EV are the corporate parent and trustee, respectively, of EVM and BMR. EVD is
the Trust's principal underwriter and a wholly-owned subsidiary of EVM.
Number of
Portfolios in
Position(s) Term of Office Fund Complex Other
with and Length of Principal Occupation(s) Overseen By Directorships
Name, Address and Age the Trust Service During Past Five Years Trustee(1) Held
--------------------------------------------------------------------------------------------------------------------------
Interested Trustee(s)
Jessica M. Bibliowicz Trustee Until 2004. President and Chief Executive 195 None
11/28/59 3 years. Officer of National Financial
Trustee since Partners (financial services
1999. company) (since April 1999).
President and Chief Operating
Officer of John A. Levin &
Co. (registered investment
advisor) (July 1997 to April
1999) and a Director of
Baker, Fentress & Company,
which owns John A. Levin &
Co. (July 1997 to April
1999). Ms. Bibliowicz is an
interested person because of
her affiliation with a
brokerage firm.
James B. Hawkes Trustee and Until 2005. Chairman, President and Chief 195 Director of EVC
11/19/41 President 3 years. Executive Officer of BMR,
Trustee since EVC, EVM and EV; Director of
1998. EV; Vice President and
Director of EVD. Trustee and/
or officer of 195 registered
investment companies in the
Eaton Vance Fund Complex. Mr.
Hawkes is an interested
person because of his
positions with BMR, EVM, EVC
and EV, which are affiliates
of the Trust.
Noninterested Trustee(s)
Samuel L. Hayes, III Trustee Until 2003. Jacob H. Schiff Professor of 195 Director of
2/23/35 3 years. Investment Banking Emeritus, Tiffany & Co.
Trustee since Harvard University Graduate (specialty
1998. School of Business retailer) and
Administration. Director of
Telect, Inc.
(telecommunication
services company)
William H. Park Trustee Until 2004. President and Chief Executive 192 None
9/19/47 Trustee since Officer, Prizm Capital
2003. Management, LLC (investment
management firm) (since
2002). Executive Vice
President and Chief Financial
Officer, United Asset
Management Corporation (a
holding company owning
institutional investment
management firms)
(1982-2001).
Ronald A. Pearlman Trustee Until 2005. Professor of Law, Georgetown 192 None
7/10/40 Trustee since University Law Center (since
2003. 1999). Tax Partner, Covington
& Burling, Washington, DC
(1991-2000).
Norton H. Reamer Trustee Until 2003. President, Unicorn 195 None
9/21/35 3 years. Corporation (an investment
Trustee since and financial advisory
1998. services company) (since
September 2000). Chairman,
Hellman, Jordan Management
Co., Inc. (an investment
management company) (since
November 2000). Advisory
Director of Berkshire Capital
Corporation (investment
banking firm) (since June
2002). Formerly, Chairman of
the Board, United Asset
Management Corporation (a
holding company owning
institutional investment
management firms) and
Chairman, President and
Director, UAM Funds (mutual
funds).
Lynn A. Stout Trustee Until 2004. Professor of Law, University 195 None
9/14/57 3 years. of California at Los Angeles
Trustee since School of Law (since July
1999. 2001). Formerly, Professor of
Law, Georgetown University
Law Center.
EATON VANCE SENIOR INCOME TRUST
-----------------------------------------------------------------------------------------------------------------------------------
MANAGEMENT AND ORGANIZATION CONT'D
-----------------------------------------------------------------------------------------------------------------------------------
Position(s) Term of Office
with and Length of
Name and Date of Birth the Trust Service Principal Occupation(s) During Past Five Years
-----------------------------------------------------------------------------------------------------------------------------------
Principal Officers who are not Trustees
Scott H. Page Vice Since 1998 Vice President of EVM and BMR. Officer of 14 registered investment
11/30/59 President companies managed by EVM or BMR.
John P. Redding Vice Since 2001 Vice President of EVM and BMR. Officer of 1 registered investment
3/21/63 President company managed by EVM or BMR.
Payson F. Swaffield Vice Since 1998 Vice President of EVM and BMR. Officer of 14 registered investment
8/13/56 President companies managed by EVM or BMR.
Michael W. Weilheimer Vice Since 1998 Vice President of EVM and BMR. Officer of 11 registered investment
2/11/61 President companies managed by EVM or BMR.
Alan R. Dynner Secretary Since 1998 Vice President, Secretary and Chief Legal Officer of BMR, EVM, EVD, EV
10/10/40 and EVC. Officer of 195 registered investment companies managed by EVM
or BMR.
James L. O'Connor Treasurer Since 1998 Vice President of BMR, EVM and EVD. Officer of 117 registered
4/1/45 investment companies managed by EVM or BMR.
(1) Includes both master and feeder funds in a master-feeder structure.
INVESTMENT ADVISER AND ADMINISTRATOR OF EATON VANCE SENIOR INCOME TRUST
EATON VANCE MANAGEMENT
The Eaton Vance Building
255 State Street
Boston, MA 02109
CUSTODIAN
INVESTORS BANK & TRUST COMPANY
200 Clarendon Street
Boston, MA 02116
TRANSFER AGENT
PFPC INC.
P.O. Box 43027
Providence, RI 02940-3027
1-800-331-1710
INDEPENDENT AUDITORS
DELOITTE & TOUCHE LLP
200 Berkeley Street
Boston, MA 02116-5022
-------------------------------------------------------------------------------
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 SENIOR INCOME TRUST
THE EATON VANCE BUILDING
255 STATE STREET
BOSTON, MA 02109
171-8/03 SITSRC
ITEM 2. CODE OF ETHICS
The registrant has adopted a code of ethics applicable to its Principal
Executive Officer, Principal Financial Officer and Principal Accounting
Officer. The registrant undertakes to provide a copy of such code of ethics to
any person upon request, without charge, by calling 1-800-262-1122.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
The registrant's Board has designated William H. Park, Samuel L. Hayes, III and
Norton H. Reamer, each an independent trustee, as its audit committee financial
experts. Mr. Park is a certified public accountant who is the President and
Chief Executive Officer of Prizm Capital Management, LLC (a fixed income
investment management firm). Previously, he served as Executive Vice President
and Chief Financial Officer of United Asset Management Corporation ("UAM") (a
holding company owning institutional investment management firms). Mr. Hayes is
the Jacob H. Schiff Professor of Investment Banking Emeritus of the Harvard
University Graduate School of Business Administration. Mr. Reamer is the
President of Unicorn Capital (an investment and financial advisory services
company), Chairman of Hellman, Jordan Management Co., Inc. (an investment
management company) and Advisory Director of Berkshire Capital Corporation (an
investment banking firm). Previously, Mr. Reamer was Chairman of the Board of
UAM and Chairman, President and Director of the UAM Funds (mutual funds).
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
Not required in this filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not required in this filing.
ITEM 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES
The registrant's Board has adopted a proxy voting policy and procedure (the
"Fund Policy"), pursuant to which the Trustees have delegated proxy voting
responsibility to the registrant's investment adviser and adopted the
investment adviser's proxy voting policies and procedures (the "Policies")
which are described below. The Trustees will review the registrant's proxy
voting records from time to time and will annually consider approving the
Policies for the upcoming year. In the event that a conflict of interest arises
between the registrant's shareholders and the investment adviser, the
administrator, or any of their affiliates or any affiliate of the registrant,
the investment adviser will generally refrain from voting the proxies related
to the companies giving rise to such conflict until it consults with the
Board's Special Committee except as contemplated under the Fund Policy. The
Special Committee will instruct the investment adviser on the appropriate
course of action.
The Policies are designed to promote accountability of a company's management
to its shareholders and to align the interests of management with those
shareholders. The investment adviser will generally support company management
on proposals relating to environmental and social policy issues and on matters
regarding the state of organization of the company. On all other matters, the
investment adviser will take management's proposals under advisement but will
consider each matter in light of the guidelines set forth in the Policies.
Except in the instance of routine matters related to corporate administration
which are not expected to have a significant economic impact on the company or
its shareholders (on which the investment adviser will routinely vote with
management), the investment adviser will review each matter on a case-by-case
basis and reserves the right to deviate from the Policies guidelines when it
believes the situation warrants such a deviation. The Policy includes voting
guidelines for matters relating to, among other things, the election of
directors, approval of independent auditors, executive compensation, corporate
structure and anti-takeover defenses. The investment adviser may abstain from
voting from time to time where it determines that the costs associated with
voting a proxy outweighs the benefits derived from exercising the right to
vote.
In addition, the investment adviser will monitor situations that may result in
a conflict of interest between the registrant's shareholders and the investment
adviser, the administrator, or any of their affiliates or any affiliate of the
registrant by maintaining a list of significant existing and prospective
corporate clients. The investment adviser's personnel responsible for reviewing
and voting proxies on behalf of the registrant will report any proxy received
or expected to be received from a company included on that list to the
investment adviser's general counsel or chief equity investment officer. The
general counsel or chief equity investment officer will determine if a conflict
exists. If a conflict does exist, the proxy will either be voted strictly in
accordance with the Policy or the investment adviser will seek instruction on
how to vote from the Board.
Effective August 31, 2004, information on how the registrant voted proxies
relating to portfolio securities during the 12 month period ended June 30, 2004
will be available (1) without charge, upon request, by calling 1-800-262-1122,
and (2) on the Securities and Exchange Commission's website at
http://www.sec.gov.
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)(1) Registrant's Code of Ethics - Not applicable (please see Item 2).
(a)(2)(i) Treasurer's Section 302 certification. (a)(2)(ii) President's Section
302 certification.
(b) Combined Section 906 certification.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to
be signed on its behalf by the undersigned, thereunto duly authorized.
EATON VANCE SENIOR INCOME TRUST
By: /s/ JAMES B. HAWKES
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JAMES B. HAWKES
President
Date: AUGUST 18, 2003
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ JAMES L. O'CONNOR
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JAMES L. O'CONNOR
Treasurer
Date: AUGUST 18, 2003
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By: /s/ JAMES B. HAWKES
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JAMES B. HAWKES
President
Date: AUGUST 18, 2003
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