<PAGE>
CYPRESSTREE
- --------------------------------------------------------------------------------
Senior
Floating Rate
- --------------------------------------------------------------------------------
[ARTWORK APPEARS HERE]
Fund
Semi-Annual Report
June 30, 1999
[LOGO OF CYPRESS TREE
APPEARS HERE]
------------
Unaudited Financial Statements INVESTMENTS
<PAGE>
CYPRESSTREE SENIOR FLOATING RATE FUND, INC.
President's Message
- --------------------------------------------------------------------------------
August 6,1999
Dear Shareholder:
During the first six months of 1999, the fixed-income markets were volatile, as
investors became concerned that the strong economy might generate a pickup in
inflation. Even though inflation remained at a moderate level, interest rates
rose throughout the period. The yield on the bellwether 30-year Treasury Bond
reached 6-1/8% up from 5% at the beginning of the year. As interest rates rose,
prices of fixed-income investments declined. By the end of June interest rates
were at their highest levels and Treasury prices at their lowest levels since
1997. After weeks of speculation, the Federal Reserve Board took a "preemptive
strike" against inflation and raised short-term interest rates 1/4% on June 30.
We are pleased to report that in this environment the performance of senior
loans outpaced that of Treasury securities and corporate bonds, both of which
produced negative returns over the six-month period. As of June 30, 1999, the
Senior Floating Rate Fund's 30-day SEC yield was 6.23%. In comparison, LIBOR
(London InterBank Offered Rate), the benchmark, was 5.37%. The Fund's total
return for the January through June 1999 period was 3.19%, based on a change in
net asset value from $9.93 to $9.97. Without the Advisor's subsidization of a
portion of the operating expenses, the stated yield would have been 4.19% and
the total return would have been lower.
The rebound in the senior loan market, which began late in 1998, continued
during the first six months of 1999. Capital flows into the market were strong,
pushing bid levels higher for better-rated investments. However, lower quality
investments continued to lag the market. While new issue volume was slow at the
beginning of the year, it picked up significantly in the second quarter. The
Fund took advantage of the more plentiful supply and added several new
investments to the portfolio, including Packaging Corporation of America, a
leading paper and packaging company, Dade Behring, the number one supplier of
blood testing equipment and services, and RCN Corp., a leading
telecommunications company. The Fund's investments were diversified among a
number of industries and economic sectors. Telecommunications, broadcasting,
food and tobacco, automobile, health, education and childcare are just some of
the areas in which the Fund took additional positions.
Our outlook for the second half of 1999 is positive. While there is weakness in
some market sectors, most notably health care and cyclicals, the fundamentals in
these areas remain solid. The senior loan market continues to be strong, with
large, liquid, well-structured, well-rated investments generating the strongest
performance. Smaller, less liquid, aggressively structured investments are
lagging. This is mainly a holdover from the fourth quarter of 1998. Going
forward, however, we believe that senior loans should remain attractive relative
to other asset classes, as investors seek more defensive investments.
At CypressTree Funds we are committed to being available whenever you need us.
If you have any questions about your investment recent market activity or
investing in general, please call our dedicated shareholder services team at 1-
800-860-5575, 9 AM to 6 PM eastern time. We also encourage you to visit our web
site at www.cypresstreeinvestments.com where you can obtain additional
information.
Sincerely,
/s/ Bradford K. Gallagher
Bradford K. Gallagher
President, CypressTree Funds
<PAGE>
CYPRESSTREE SENIOR FLOATING RATE FUND, INC.
Portfolio Of Investments -- June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Maturity
Industry Description Type Date Par Value
- -------- ----------- ---- ---- --- -----
LOANS - 55.4%
Automobile -- 7.2%
<S> <C> <C> <C> <C> <C>
American Axle & Manufacturing BTL -- B 06/30/06 $500,000 $500,647
Collins & Aikman Corp BTL -- B 01/13102 246,000 246,307
Dura Automotive Systems Inc BTL -- B 03/31/06 500,000 502,088
Environmental Systems Products Hldgs Inc BTL -- B 09/30/05 248,750 250,149
Federal Mogul Corp BTL -- B 02/24/05 500,000 501,209
J.L. French Automotive Castings Inc BTL -- B 10/21/06 394,737 396,340
-------
2,396,740
Beverage, Food & Tobacco -- 1.5%
B&G Foods Inc BTL -- B 03/31/06 500,000 503.750
Broadcasting -- 3.0%
Capstar Radio Broadcasting Partners BTL -- B 05/31/05 247,500 247,831
Emmis Communications Corp BTL -- B 02/28/07 250,000 250,625
Muzak LLC BTL -- B 12/31/06 250,000 250,833
Telemundo Group Inc BTL -- B 02/28/06 250,000 248,437
-------
997,726
Buildings & Real Estate -- 1.3%
Atrium Companies Inc BTL -- B 06/30/05 75,586 75,350
Atrium Companies Inc BTL -- C 06/30/06 108,303 107,964
Prison Realty Corp BTL -- B 01/01/03 249,375 249,765
-------
433,079
Cargo Transport -- 0.7%
American Commercial Lines LLC BTL -- B 06/30/06 105,299 105,652
American Commercial lines LLC BTL -- C 06/30/07 143,558 143,979
-------
249,631
Chemicals, Plastics and Rubber -- 1.2%
Hexcel Corp BTL -- B 09/14/05 144,481 144,662
Huntsman Packaging Corp BTL -- B 09/30/06 247,500 246,262
-------
390,924
Containers. Packaging and Glass -- 4.0%
Graham Packaging Co BTL -- C2 03/31/07 248,750 248,999
Jefferson Smurfit BTL -- B 03/31/06 248,750 249,608
Packaging Corporation of America BTL -- B 04/12/07 410,362 413,761
Packaging Corporation of America BTL -- C 04/12/08 410,382 413.845
-------
1,326,231
Diversified/Conglomerate Manufacturing -- 5.2%
CII Carbon LLC Hybrid TL 06/25/08 247,500 246,469
Dade Behring Inc. BTL -- B 06/30/06 375.000 376,875
Dade Behring Inc. BTL -- C 06/30/07 375,000 376,875
GenTek Inc BTL -- B 04/30/07 250,000 250,625
Goodman Manufacturing Co LP BTL -- B 07/31/05 250,000 249,570
SPX Corp BTL -- B 09/30/08 248,125 249,779
-------
1,750,193
Electronics -- 0.7%
Dynamic Details, Inc BTL -- B 04/22/05 249,500 246,771
Finance-- 1.5%
Bridge Information Systems Inc BTL -- B 05/29/05 500,000 501,094
Healthcare, Education & Childcare -- 1.5%
Alliance Imaging, Inc. BTL -- C 12/31/04 248,750 247,506
Stryker Corporation BTL -- B 12/04/05 165,747 166,485
Stryker Corporation BTL -- C 12/04/06 83,003 83,372
-------
497,363
</TABLE>
The accompanying notes are an integral part of the financial statements.
2
<PAGE>
CYPRESSTREE SENIOR FLOATING RATE FUND, INC.
Portfolio Of Investments -- June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Maturity
Industry Description Type Date Par Value
- -------- ----------- ---- ---- --- -----
<S> <C> <C> <C> <C> <C>
Hotels, Motels, Inns & Gaming -- 4.5%
Felcor Lodging Trust BTL -- B 03/31/04 $500,000 $501,562
Starwood Hotels & Resorts Trust Bridge 02/23/03 500,000 500,637
Wyndham International Inc. BTL -- B 08/30/08 500,000 500,000
-------
1,502,199
Insurance -- 1.5%
Willis Corroon Group plc BTL -- B 11/19/06 261,154 261,970
Willis Corroon Group plc BTL -- C 11/19/07 111,923 112,623
Willis Corroon Group plc BTL -- D 05/19/08 111,923 112,623
-------
487,216
Leisure and Amusement -- 6.3%
American Media Inc BTL -- B 04/01/07 500,000 502,187
Premier Parks Inc BTL -- B 10/31/01 498,992 498,992
R.H. Donnelley Corp BTL -- B 12/05/05 186,970 186,678
R.H. Donnelley Corp BTL -- C 12/05/06 310,517 310,032
Regal Cinemas Inc BTL -- B 05/27/06 247,930 247,662
Regal Cinemas Inc BTL -- C 05/27/07 131,029 130,887
United Artists Theatre Co BTL -- B 04/21/06 99,500 96,670
United Artists Theatre Co BTL -- C 04/21/07 149,250 145,006
-------
2,118,114
Machinery -- 1.9%
Thermadyne Manufacturing LLC BTL -- B 05/22/05 310,156 310,350
Thermadyne Manufacturing LLC BTL -- C 05/22/06 310,156 310,350
-------
620,700
Mining & Metals -- 2.2%
Ispat Inland Inc Hybrid 07/16/05 124,685 123,945
Ispat Inland Inc Hybrid 2 07/16/06 124,685 123,945
Neenah Corp BTL -- B 09/30/05 249,564 250,188
Peabody Holding Company Inc BTL -- B 08/30/06 250,000 250,417
-------
748,495
Oil & Gas -- 0.9%
Travel Centers of America BTL -- B 03/27/05 249,211 250,535
Personal & Nondurable Consumer Products -- 2.2%
Amscan Holdings Inc Hybrid 12/31/04 247,487 232,019
Sealy Corp BTL -- B 12/15/04 94,337 94,504
Sealy Corp BTL -- C 12/15/05 67,959 68,079
Sealy Corp BTL -- D 12/15/06 86,849 87,003
United Industries Corp BTL -- B 01/20/06 249,375 250,545
-------
732,150
Personal, Food & Misc Services -- 2.2%
Alliance Laundry Systems LLC BTL -- B 06/30/05 750,000 750,468
Printing, Publishing -- 1.5%
Benedek Broadcasting Corporation BTL -- B 11/20/07 500,000 500,000
Telecommunications -- 4.5%
Charter Communications Operating LLC BTL -- B 03/17/08 500,000 501,594
Dobson Communications Corp BTL -- B 03/23/07 250,000 251,252
Dobson Communications Corp BTL -- C 12/23/07 250,000 251,567
RCN Corp BTL -- B 06/30/07 500,000 502,373
-------
1,506,786
TOTAL LOANS (Cost $16,495,632) $18,510,165
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE>
CYPRESSTREE SENIOR FLOATING RATE FUND, INC.
Portfolio Of Investments -- June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Maturity
Industry Description Type Date Par Value
- -------- ----------- ---- ---- --- -----
<S> <C> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS -- 43.5%
American Express Co.. 5.25% 07/06/99 $5,000,000 $5,001,460
Ford Motor Credit Co., 4.7443% 07/01/99 5,000,000 5,004,613
SSGA Money Market Fund 4,512,686 4,536,926
---------
TOTAL SHORT-TERM INVESTMENTS (Cost $14,542,999) $14,542,999
-----------
INVESTMENTS -- 98.9% (Cost $33,038,631*) $33,053,164
-----------
OTHER ASSETS AND LIABILITIES NET - (1.1%) 372,142
-------
NET ASSETS -- 100.0% $33,425,306
===========
</TABLE>
* The cost for Federal Income Tax purposes is the same.
The accompanying notes are an integral part of the financial statements.
4
<PAGE>
CYPRESSTREE SENIOR FLOATING RATE FUND, INC.
Statement Of Assets And Liabilities -- June 30, 1999
- --------------------------------------------------------------------------------
ASSETS:
- -------
Investments in loans and securities, at value. (Identified cost,
$33,038,631.) (See accompanying Portfolio of Investments)......... $33,053,164
Cash.............................................................. 101,520
Receivables:
Investments sold............................................... 10,763
Fund shares sold............................................... 80,333
Interest on bank loans......................................... 158,921
From investment adviser........................................ 76,680
Facility fees.................................................. 1,250
Unamortized organization costs.................................... 187,500
------------
Total assets........................................ 33,670,131
------------
LIABILITIES:
- ------------
Payables:
Fund shares redeemed........................................... 71,913
Dividends...................................................... 139,422
Accrued expenses............................................... 253
Deferred facility fee............................................. 33,227
------------
Total liabilities................................... 244,825
------------
NET ASSETS........................................................ $33,425,306
------------
NET ASSETS CONSIST OF:
- ----------------------
Accumulated net realized gains (losses)........................ ($9,786)
Unrealized appreciation (depreciation) on investments.......... 14,533
Capital shares at par value of $.01 (Note 3)................... 33,516
Additional paid-in capital..................................... 33,387,043
------------
Net assets.......................................... $33,425,306
------------
Net Asset Value, Offering and Redemption Price per Share.......... $9.97
------------
($33,425,306 + 3,351,566 shares outstanding)
The accompanying notes are an integral part of the financial statements.
5
<PAGE>
CYPRESSTREE SENIOR FLOATING RATE FUND, INC.
Statement of Operations
- --------------------------------------------------------------------------------
For the Six Months
ended
June 30, 1999
---------------------
INVESTMENT INCOME:
- ------------------
Interest................................................ $565,364
Facility and other fee income........................... 12,102
------------
Total income................................. 577,466
------------
EXPENSES:
- ---------
Investment adviser fee (Note 5)......................... 69,463
Custody fee............................................. 15,937
Transfer agent fee...................................... 7,140
Audit and legal fees.................................... 9,412
Accounting and administration fees (Note 5)............. 32,224
Directors fees and expenses............................. 15,234
Amortization of organization expenses................... 25,000
Registration and filing fees............................ 21,324
Miscellaneous........................................... 10,589
------------
Expenses before reimbursement by investment adviser..... 206,323
Reimbursement of expenses by investment adviser (Note 6) (178,367)
------------
Net expenses................................. 27,956
------------
Net investment income........................ 549,510
------------
REALIZED AND UNREALIZED GAIN/(LOSS):
- ------------------------------------
Net realized (loss) on investment transactions.......... 7,302
Unrealized (depreciation) on investments................ 49,851
------------
Net realized and unrealized loss..................... 57,153
------------
Net increase in net assets resulting from operations....... $606,663
============
The accompanying notes are an integral part of the financial statements.
6
<PAGE>
CYPRESSTREE SENIOR FLOATING RATE FUND, INC.
Statements Of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For The Period
Six Months From April 6, 1998*
ended through
June 30, 1999 December 31. 1998
------------------- ----------------------
<S> <C> <C>
Increase/(Decrease) in Net Assets from:
OPERATIONS:
- -----------
Net investment income............................................ $549,510 $258,482
Net realized gain (loss) on investment transactions.............. 7,302 (17,088)
Change in unrealized appreciation on investments................. 49,851 (35,318)
------------------- ----------------------
Net increase in net assets resulting from operations................ 606,663 206,076
DISTRIBUTIONS FROM:
- -------------------
Net investment income............................................ (549,510) (258,482)
Increase in net assets from capital share transactions (Note 3)..... 25,839,846 7,480,713
------------------- ----------------------
Increase in net assets.............................................. 25,896,999 7,428,307
Net assets at beginning of period................................... 7,528,307 100,000
------------------- ----------------------
Net assets at end of period......................................... $33,425,306 $7,528,307
=================== ======================
</TABLE>
* Commencement of operations
The accompanying notes are an integral part of the financial statements.
7
<PAGE>
CYPRESSTREE SENIOR FLOATING RATE FUND, INC.
Statement Of Cash Flows
- --------------------------------------------------------------------------------
For the Period
ended
June 30, 1999
--------------
Increase/(Decrease) in Cash
- ---------------------------
Cash Flows From (Used for) Operating Activities:
Purchase of loans............................................. (13,623,744)
Interest and facility fees received........................... 512,614
Purchase of short-term securities, net........................ (13,603,202)
Proceeds from loans sold...................................... 2,127,311
Operating expenses paid....................................... (291,873)
------------
Net Cash used for operating activities........................... (24,878,894)
============
Cash Flows From (Used for) Financing Activities:
Proceeds from shares sold..................................... 27,494,050
Payments for shares redeemed.................................. (2,454,480)
Cash dividends paid (not including reinvested dividends of
$319,742)................................................... (90,381)
------------
Net Cash from financing activities............................... 24,949,189
============
Net increase In Cash............................................. 70,295
Cash at beginning of period................................... 31,225
------------
Cash at end of period......................................... 101,520
============
Reconciliation of Net Increase in Net Assets from Operations to
- ---------------------------------------------------------------
Net Cash used for Operating Activities
- --------------------------------------
Net increase in net assets from operations.................... 606,663
Increase in interest and facility fees receivable............. (79,189)
Increase in receivable for investments sold................... (8,138)
Increase in deferred facility fees............................ 14,337
Decrease in unamortized organization costs.................... 25,000
Decrease in net accrued expenses.............................. (288,917)
Net increase in investments................................... (25,148,650)
------------
Net cash used for operating activities........................... (24,878,894)
============
The accompanying notes are an integral part of the financial statements.
8
<PAGE>
CYPRESSTREE SENIOR FLOATING RATE FUND, INC.
Financial Highlights (For a Share Outstanding Throughout the Period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Period from
Months 4/6/98*
ended through
6/30/99 12/31/98
-------- --------
<S> <C> <C>
Net Asset Value, Beginning of Period $9.93 $10.00
- ------------------------------------------------------------------------------------------------------
Investment Operations:
Net investment income 0.34 0.53
Net realized and unrealized gain on investments 0.04 (0.07)
--------------------------
Total from investment operations 0.38 0.46
--------------------------
Distributions
Dividends from net investment income (0.34) (0.53)
- ------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $9,97 $9.93
- ------------------------------------------------------------------------------------------------------
Total Return 3.19% 4.81%+
Ratios/Supplemental Data
- ------------------------------------------------------------------------------------------------------
Net assets, end of period (000's) $33,039 $7,528
- ------------------------------------------------------------------------------------------------------
Ratio of total expenses to average net assets 0.34%# 0.00%#
- ------------------------------------------------------------------------------------------------------
Ratio of net investment income to average net assets 6.63%# 7.50%#
- ------------------------------------------------------------------------------------------------------
Portfolio turnover rate 18%+ 20%+
- ------------------------------------------------------------------------------------------------------
Expense ratio before expense reimbursement by adviser 2.49%# 3.76%#
- ------------------------------------------------------------------------------------------------------
</TABLE>
* Commencement of Operations
+ Not annualized
# Annualized
The accompanying notes are an integral part of the financial statements.
9
<PAGE>
CYPRESSTREE SENIOR FLOATING RATE FUND, INC.
Notes to Financial Statements
- --------------------------------------------------------------------------------
1. ORGANIZATION OF THE FUND. The CypressTree Senior Floating Rate Fund (the
"Fund") is a non-diversified closed-end, management investment company. The Fund
is organized as a Maryland Corporation and is registered under the Investment
Company Act of 1940, as amended. The Fund's investment objective is to provide
as high a level of current income as is consistent with the preservation of
capital by investing primarily in senior secured floating rate loans and other
institutionally traded senior secured floating rate debt obligations.
CypressTree Asset Management Corporation, Inc. ("CAM"), a wholly-owned
subsidiary of CypressTree Investments, Inc., ("CypressTree") serves as
investment adviser and principal underwriter for the Fund. CypressTree
Investment Management Company, Inc. (CIMCO) serves as the Fund's subadviser.
CypressTree Funds Distributors, Inc. ("CFD"), also a wholly-owned subsidiary of
CypressTree, serves as distributor for the Fund.
2. SIGNIFICANT ACCOUNTING POLICIES. The policies described below are followed
when preparing the Fund's financial statements. These policies are in accordance
with generally accepted accounting principles ("GAAP").
Security Valuation. The Fund's investments in loan interests ("Loans") are
valued in accordance with guidelines established by the Board of Directors.
Under the Fund's current guidelines, Loans for which an active secondary market
exists to a reliable degree in CIMCO's opinion and for which CIMCO can obtain at
least two quotations from banks or dealers in Loans will be valued by
calculating the mean of the last available bid and asked prices in the market
for such Loans, and then using the mean of those two means. If only one quote
for a particular Loan is available, the Loan will be valued on the basis of the
mean of the last available bid and asked prices in the market. Loans for which
an active secondary market does not exist to a reliable degree in CIMCO's
opinion will be valued at fair value, which is intended to approximate market
value. In valuing a Loan at fair value, CIMCO will consider, among other
factors, (a) the creditworthiness of the Borrower and any Intermediate
Participants, (b) the terms of the Loan, (c) recent prices in the market for
similar Loans, if any, and (d) recent prices in the market for instruments of
similar quality, rate, period until next interest rate reset and maturity. Other
portfolio securities may be valued on the basis of prices furnished by one or
more pricing services that 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, other
portfolio securities are valued at the last sale price on the exchange that is
the primary market for such securities, or the last quoted bid 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. Obligations
purchased with remaining maturities of 60 days or less are valued at amortized
cost unless this method is determined not to produce fair valuation. Repurchase
agreements and investments in money market funds are valued at cost plus accrued
interest. Securities for which there exist no price quotations or valuations and
all other assets are valued at fair value as determined in good faith by or on
behalf of the Board of Directors of the Fund.
Federal Income Taxes. It is the Fund's policy to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code, as amended,
and to distribute all of its taxable income and any net realized gain on
investments to its shareholders each year. Accordingly, no federal Income tax
provision is required.
Distributions of Income and Gains. Distributions of net investment income are
declared as a dividend to shareholders of record as of the dose of business each
day and are paid monthly. The Fund distributes realized net capital gains, if
any, at least annually, after offset by any capital loss carryovers. The Fund
has a capital loss carryover of $17,088 which expires in 2005.
Repurchase Agreements. The Fund may enter into repurchase agreements. When the
Fund enters into a repurchase agreement through its custodian, it receives
delivery of the underlying securities, the amount of which at the time of
purchase and each subsequent business day is required to be maintained at such a
level that the market value is at least equal to 102% of the resale price, and
the Fund will take constructive receipt of all securities underlying the
repurchase agreements until such agreements expire. If the seller defaults, the
Fund would suffer a loss to the extent that proceeds from the sale of underlying
securities were less than the repurchase price.
Deferred Organization Expenses -- Costs incurred by the Fund in connection with
its organization are being amortized on a straight-line basis over 5 years.
10
<PAGE>
CYPRESSTREE SENIOR FLOATING RATE FUND, INC.
Notes to Financial Statements
- --------------------------------------------------------------------------------
Note 2, continued
Capital Accounts. The Fund reports the accumulated undistributed net investment
Income (loss) and accumulated undistributed net realized gain (loss) accounts on
a basis approximating amounts available for future tax distributions (or to
offset future taxable realized gains when a capital loss carryforward is
available). Accordingly, the Fund may periodically make reclassifications among
certain capital accounts without impacting net asset value.
Estimates -- Preparing the financial statements in conformity with generally
accepted accounting principles requires management to make certain estimates and
assumptions that affect the amounts reported for the reporting period and as of
the end of the reporting period. Actual results could differ from those
estimates.
Income -- 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 stated life of the loan. Other income, including
amendment fees, commitment fees, letter of credit fees, etc., are recorded as
income when received or contractually due to the Fund.
Gains/Losses -- Gains or losses realized on the sale of portfolio assets are
recognized on the trade date using the specific identification method.
3. CAPITAL SHARES. The Fund has 1,000,000,000 of $.01 par value shares
authorized that may be issued. Share activity for the period ended June 30, 1999
was as follows:
Shares Capital
--------- -----------
Sold........................... 2,760,845 $27,508,856
Reinvestment of distributions.. 32,089 319,742
Redeemed....................... (199,556) (1,988,752)
--------- -----------
Net increase/(decrease)..... 2,593,378 $25,839,846
========= ===========
Share activity for the period ended December 31, 1998 was as follows:
Shares Capital
--------- -----------
Sold............................ 955,779 $9,541,901
Reinvestment of distributions... 17,493 174,217
Redeemed........................ (225,085) (2,235,405)
--------- -----------
Net increase/(decrease)..... 748,187 $7,480,713
========= ===========
In order to provide shareholders with liquidity and the ability to receive net
asset value on a disposition of shares, the Fund will make monthly offers to
repurchase a percentage (usually 10%) of outstanding shares at net asset value.
Shareholders will be sent a Notification of Repurchase Offer seven to fourteen
days before each monthly repurchase offer. During the period ended June 30,
1999, the Fund made six Repurchase Offers, and actually redeemed the amounts
shown in the table below. In no case was a monthly Repurchase Offer
oversubscribed.
Amount Tendered
-------------------------
Shares Capital
---------- -----------
January
February 35,282 $350,943
March 49,600 494,508
April 56,439 562,695
May 18,041 400,736
June 40,194 179,870
11
<PAGE>
CYPRESSTREE SENIOR FLOATING RATE F FUND INC.
Notes to Financial Statements
- --------------------------------------------------------------------------------
4. PURCHASES AND SALES OF SECURITIES. During the period ended June 30, 1999, the
Fund's cost of purchases of Loans and proceeds from Loan sales were $13,623,743
and $2,127,311, respectively. Unrealized appreciation and depreciation in the
value of those investments at June 30, 1999 for federal income tax purposes were
as follows:
Gross unrealized appreciation $ 48,553
Gross unrealized depreciation (34,020)
-----------
Net unrealized appreciation $14,553
===========
5. INVESTMENT ADVISORY AGREEMENT. -- The Fund maintains an Investment Advisory
Agreement with CAM ("Adviser"), who is responsible for managing the corporate
and business affairs of the Fund, and selects, contracts with and compensates
the subadviser to manage the Fund's assets. As compensation for its services the
Adviser receives from the Fund an annual fee equal to the following percentage
of average daily gross assets: 0.85% for the first $1 billion of average daily
gross assets: 0.80% for average daily gross assets between $1 billion and $2
billion; and 0.75% for average daily gross assets of more than $2 billion. For
purposes of computing the advisory fee, average daily gross assets are
determined by deducting from total assets of the Fund all liabilities except the
principal amount of any indebtedness from money borrowed, including debt
securities issued by the Fund.
CAM has retained CIMCO to serve as the Fund's subadviser to manage the
investment and reinvestment of the Fund's assets. As compensation for its
services as subadviser. CIMCO receives from CAM an annual fee paid monthly equal
to the following percentage of average daily gross assets: 0.45% for the first
$1 billion of average daily gross assets; 0.40% for average daily gross assets
between $1 billion and $2 billion; and 0.35% for average daily gross assets of
more than $2 billion. Average daily gross assets are computed as described
above. The fee paid to CIMCO is not an additional charge to the Fund or its
shareholders.
CAM, the Fund's Administrator under an Administration Agreement, is responsible
for managing the Fund's business affairs, subject to supervision by the Fund's
Board of Directors. For its services, CAM receives an annual fee equal to 0.40%
of average daily gross assets of the Fund. Average daily gross assets are
computed as described above.
6. EXPENSE REIMBURSEMENT -- Pursuant to the Investment Advisory Agreement the
Adviser will reduce the advisory fee or if necessary reimburse each portfolio of
the Fund (excluding taxes, portfolio brokerage commissions, interest, certain
litigation and indemnification expenses, extraordinary expenses and all of the
Fund's distribution fees) for expenses incurred in excess of 1.25% (expense
limitation). For the period ended June 30, 1999, the Adviser waived fees of
$69,463, and reimbursed expenses of $108,904.
7. DIRECTOR COMPENSATION. The Fund pays each Director who is not an employee or
a director of the Adviser or its affiliates a fee of $750 plus travel expenses
for each Board of Directors meeting attended, $250 for each telephone meeting
attended, and an annual retainer of $3,000.
8. LINE OF CREDIT. The Fund has an agreement with Fleet National Bank that
provides a $20,000,000 Line of Credit to the Fund that may be used for cash
overdraft protection. The Fund pays a commitment fee of $20,000 annually, and
interest is charged on any borrowed amounts at the currently effective Federal
Funds Rate plus .55%. This Line of Credit was not used during the period ended
June 30, 1999.
12
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Directors
Bradford K. Gallagher, Chairman
William F. Achtmeyer
William F. Devin
Kenneth J. Lavery
Arthur S. Loring
Officers
Bradford K. Gallagher, President
Joseph T. Grause, Jr.,
Executive Vice President
John I. Fitzgerald, Secretary
Distributor
CypressTree Funds Distributors, Inc.
286 Congress Street
Boston, MA 02210
CypressTree Funds Shareholder Services
286 Congress Street
Boston, MA 02210
800-860-5575
Adviser
CypressTree Asset Management Corporation, Inc.
125 High Street
Boston, MA 02110
Transfer and Dividend Agent
State Street Bank and Trust Company
P.O. Box 8505
Boston, MA 02266-8505
Independent Accountants
Deloitte & Touche LLP
200 Berkeley Street
Boston, MA 02116
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0799-10053
