<PAGE>
[logo] Investing
for the
EATON VANCE 21st
=========== Century
ANNUAL REPORT DECEMBER 31, 1999
[Graphic Omitted]
EATON VANCE
ADVISERS
SENIOR
FLOATING-RATE
FUND
Global Management-Global Distribution
<PAGE>
Eaton Vance Advisers Senior Floating-Rate Fund as of December 31, 1999
LETTER TO SHAREHOLDERS
[Photo of James B. Hawkes]
James B. Hawkes
President
Eaton Vance Advisers Senior Floating-Rate Fund had a total return of 5.93%
during the year ended December 31, 1999. That return was the result of
shareholder distributions of $0.664 per share from net investment income and a
decline in net asset value from $9.99 on December 31, 1998 to $9.90 on December
31, 1999. Based on the Fund's closing net asset value per share of $9.90 on
December 31, 1999, the Fund's distribution rate was 7.30%.(1) The Fund's SEC
30-day yield at December 31 was 7.44%.(2)
The Fund provided a yield advantage over alternative short-term investments
while maintaining a relatively stable net asset value.
The Fund outperformed other
fixed-income investments in a rising
interest rate environment...
The past year was very challenging for most fixed-income investors. A continuing
strong economy led to sharply higher interest rates and negative total returns
for most interest rate-sensitive investments. Interestingly, amid increased
global competition, inflation has remained fairly subdued. The Consumer Price
Index, a measure of inflation at the consumer level, posted an increase of just
2.7% in 1999. Nonetheless, despite the tame inflation figures, the Federal
Reserve tightened credit throughout 1999 in an effort to forestall any potential
inflation in the future. Performing as expected, Eaton Vance Advisers Senior
Floating-Rate Fund benefited from the interest rate increases and maintained its
yield advantage over other short-term investments. The Fund's distribution rate
was higher than the returns from money market mutual funds, 3-month certificates
of deposit, and bank money market accounts, which offered rates of 5.26%, 4.06%,
and 3.23%, respectively, at December 31. Of course, unlike bank certificates of
deposit, the Fund is not insured and does not offer a fixed rate of return; and
unlike money market accounts, the Fund does not offer daily liquidity and its
principal value and return can fluctuate with changing market conditions.
Eaton Vance Advisers Senior
Floating-Rate Fund continues its
mandate for conservative investors...
In 1999, we saw another year of robust but volatile performance in the equity
markets - and sharp declines in the bond markets. Aware of the market's tendency
to revert to historical trends, risk-conscious investors may be seeking a refuge
from such volatility. As we enter 2000, the Fund continues its conservative
mandate of seeking opportunity and high current income from a portfolio of
senior floating-rate loans. In the pages that follow, co-portfolio managers
Scott Page and Payson Swaffield review the events of the past year and offer
their insights on the period ahead.
Sincerely,
/s/ James B. Hawkes
James B. Hawkes
President
February 9, 2000
- --------------------------------------------------------------------------------
Fund Information
as of December 31, 1999
Performance(3)
- ------------------------------------------------------------------------------
Average Annual Total Returns (at net asset value)
- ------------------------------------------------------------------------------
One Year 5.93%
Life of Fund (3/20/98) 6.36
- --------------------------------------------------------------------------------
Ten Largest Holdings(4)
- --------------------------------------------------------------------------------
Charter Communications Operating, LLC 2.1%
Allied Waste Industries, Inc. 1.1
Lyondell Petroleum Co. 0.9
Falcon Holding Group, L.P. 0.8
UCA Corp. 0.8
Revlon Consumer Products 0.8
Nextel Communications, Inc. 0.8
Safety-Kleen Services, Inc. 0.8
Blockbuster Entertainment Corp. 0.7
Insight Kentucky Partners 1, L.P. 0.7
Total 9.5%
(1) The Fund's distribution rate represents actual distributions paid to
shareholders and is calculated daily by dividing the last distribution per
share (annualized) by the offering price. (2) The Fund's SEC yield is
calculated by dividing the net investment income per share for the 30-day
period by the offering price and annualizing the result. (3) Returns are
historical and are calculated by determining the percentage change in net
asset value with all distributions reinvested. (4) Ten largest holdings
account for 9.5% of the Portfolio's investments, determined by dividing the
total market value of the holdings by the total net assets of the Portfolio.
Holdings are subject to change.
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth
more or less than their original cost.
<PAGE>
Eaton Vance Advisers Senior Floating-Rate Fund as of December 31, 1999
MANAGEMENT DISCUSSION
An interview with Scott H. Page and Payson F. Swaffield, co-portfolio managers
of Senior Debt Portfolio.
[Photo of Scott H. Page]
Scott H. Page
[Photo of Payson F. Swaffield]
Payson F. Swaffield
Q: Scott, 1999 was a very difficult year in the fixed-income markets. How would
you evaluate the Fund's performance?
A: MR. PAGE: In a year when most fixed-income vehicles posted negative returns,
the Fund generated a strongly positive return, while again maintaining a
fairly stable net asset value. Because fixed- income investments are
vulnerable to rising interest rates, three rate increases by the Federal
Reserve and continuing concerns over the possibility of higher inflation
created a very difficult climate during the year. However, the Portfolio's
senior, floating-rate loans were once again well-served by the interest rate
reset feature. As a result, the Portfolio responded favorably to the rise in
rates, in sharp contrast to other fixed-income vehicles.
Q: Speaking of other fixed-income investments, how did bonds fare in 1999?
A: MR. SWAFFIELD: The bond market was especially hard-hit. Interestingly,
30-year Treasury bonds, which were so popular in 1998, were the worst
performing bond asset class in 1999. Investors saw signs that the global
economy - whose uncertain outlook triggered a flight to quality in 1998 - was
beginning to stabilize. With the global picture improving and continuing
strong growth in the U.S., concerns arose about a pick-up in world-wide
inflation. The result was a sharp market decline and a continuation of two
years of extraordinary volatility in the bond markets.
Q: Were there any notable developments in the Portfolio in the past year?
A: MR. PAGE: Yes. We've made a change with respect to loan valuation. The
Portfolio has adopted valuation procedures under which a portion of the
Portfolio's loans will be priced at market value, based on information about
actual loan market transactions. Because a real market exists for certain
loans, they are deemed liquid and can therefore be "marked-to-market."
Initially, this new valuation procedure will affect around 10% of the
Portfolio. That percentage may rise over time as we identify additional loans
that can be priced at market value. The remainder of the Portfolio will
continue to be priced at fair value, using a methodology we've utilized since
1989. We believe that this dual-pricing approach reflects the current reality
in the loan market.
- --------------------------------------------------------------------------------
Five Largest Sector Weightings(1)
------------------------------------------------------
By total net assets
Cable Television 6.5%
Telecommunications-Wireless 5.0%
Commercial Services 4.8%
Auto Components 4.1%
Publishing & Printing 4.1%
Portfolio Overview(1)
------------------------------------------------------
Total net assets $9.39 billion
Number of borrowers 365
Industries represented 56
Days-to-interest rate reset 57 days
Average maturity 5.8 years
Average size per borrowing $22.3 million
As % of total net assets 0.28%
(1) Five largest sector weightings account for 24.5% of the Portfolio's
investments, determined by dividing the total market value of the holdings
by the total net assets of the Portfolio. Sector weightings and Portfolio
Overview are as of 12/31/99 and are subject to change.
- --------------------------------------------------------------------------------
Mutual fund shares are not insured by the FDIC and are not deposits or other
obligations of, or guaranteed by, any depository institution. Shares are subject
to investment risks, including possible loss of principal invested.
- --------------------------------------------------------------------------------
Q: Do you view this change as positive for the Fund?
A: MR. PAGE: Absolutely. This is a very positive development for the market and
the Fund. We've long been advocates of improved liquidity and view this move
as another step in that direction. It also reflects the impressive growth of
the loan market. In 1999, issuance again reached record levels, while trading
volumes also grew. In addition, the market continued to attract an increasing
number of institutional investors, which should further improve liquidity.
That trend is good for issuers and investors alike.
Q: Let's turn to the Portfolio's investments. Where have you focused in recent
months?
A: MR. SWAFFIELD: We've continued to focus on companies with good fundamentals,
a strong asset base and good cash flow. The Portfolio's largest sector
weighting was in cable television companies. Cable operators continue to
enjoy good subscriber growth while generating strong, dependable cash flows.
In addition, the companies' broadband capabilities are increasingly valuable
as potential conduits for Internet and other interactive services.
Charter Communications is the nation's fourth largest cable operator and the
Portfolio's largest cable investment. Under the leadership of Paul Allen, a
co-founder of Microsoft, Charter has pursued an aggressive acquisition
strategy in recent years and now has over six million cable subscribers.
Unlike many cable operators that focus primarily on urban areas, Charter has
emphasized suburban communities, which the company believes will be prime
candidates for the interactive services it is developing.
Q: Does the telecom sector remain a significant area for the Portfolio?
A: MR. PAGE: Yes. The wireless communications sector continues to witness
explosive growth. As competition has increased, cellular pricing has
become more affordable, which has, in turn, sharply increased customer
usage.
Western Wireless Corp. is the leading provider of rural communications in
the western U.S. The company operates wireless cellular and paging systems
in 19 western states under the Cellular One brand name. With its strong
management and a large contiguous market, Western is thought to be a merger
candidate in an industry that has seen increasing consolidation in recent
years.
Q: Were there any other areas that you found compelling?
A: MR. SWAFFIELD: Broadcast media companies were prominent in the Portfolio.
Emmis Broad-casting owns radio and television outlets in New York, Los
Angeles, Chicago and other cities. The company derives around 60% of its
revenues from its radio stations. The radio industry has benefited from a
continuing strong economy and rising advertising expenditures, and has
been characterized by frequent mergers, as companies seek to improve
their economies of scale and increase their audience.
According to McCann-Erickson, one of the nation's leading advertising
agencies, this year should see an increase of 8.3% in ad spending, boosted by
the presidential election campaign, the 2000 Summer Olympics and continued
growth of Internet marketing. Emmis revenues have reflected that trend. In
its most recent reporting period, the company reported a 27% jump in
revenues.
- --------------------------------------------------------------------------------
Eaton Vance Advisers Senior Floating-Rate Fund outperformed a wide range of
bond categories in 1999
Eaton Vance Advisers Senior Floating-Rate Fund 5.93%
3-month CDs 5.11%
High Current Yield 4.53%
Short Investment Grade 2.81%
Short U.S. Government 2.50%
Intermediate Investment Grade -1.31%
International Income -4.57%
General Municipal Bonds -4.63%
Source: Lipper Inc., TowersData; CDs offer a fixed rate of return when held to
maturity and are generally insured up to certain limits by federal and state
agencies. The remainder of the categories are Lipper classifications, described
as follows: High Current Yield funds aim at high current yield from fixed-income
securities with no quality or maturity restrictions, and tend to invest in
lower-grade securities; Short Investment Grade funds invest at least 65% of
their assets in investment grade issues with average maturities of one to five
years; Short U.S. Government funds invest at least 65% of their assets in
securities issued or guaranteed by the U.S. government or its agencies, with
average maturities of one to five years; Intermediate Investment Grade funds
invest at least 65% of their assets in investment grade issues with average
maturities of five years; International Income funds invest in debt securities
of issuers located in at least three countries, excluding the United States,
except in periods of market weakness. General Municipal Bond funds invest at
least 65% of their assets in municipal debt issues in the top four ratings.
- --------------------------------------------------------------------------------
Q: Were there any areas of the Portfolio that underperformed in 1999?
A: MR. PAGE: The nursing home sector was a disappointment in 1999. Long-term
care facilities have been increasingly pressured by changes in reimbursement
rules. Provisions of the Balanced Budget Act of 1997 mandated a change in
nursing home Medicare reimbursement from a cost basis to a prospective
payment system basis. The result has been a significant revenue shortfall for
long-term health care companies and a clouded outlook for the sector.
The effect on the Portfolio was limited because of the Portfolio's broad
industry diversification - 56 separate industries at December 31. As we had
only a small exposure to nursing homes, the overall impact of the industry's
difficulties on the Portfolio was minimal. That being said, the bulk of the
year's NAV volatility can be attributed to our investments in this sector.
Q: What is your outlook for the loan market in the coming year?
A: MR. SWAFFIELD: With the economy continuing its relentless growth, the Federal
Reserve has indicated that it will keep a close watch for any signs of
inflation. That is good news for the Portfolio. Because the Portfolio's
floating-rate loans have interest rate resets, they are able to adjust
quickly to a change in the prevailing interest rate climate. As we suggested
earlier, that gives floating-rate loans a potential, major advantage over
other fixed-income investments in a rising rate environment.
Moreover, we expect that the coming year will bring further growth in loan
issuance and institutional demand. That suggests additional opportunities for
investors and continued seasoning of the loan market. We believe that Eaton
Vance Advisers Senior Floating-Rate Fund is well-positioned to pursue these
opportunities in the coming year.
- --------------------------------------------------------------------------------
Comparison of Change in Value of a $10,000 Investment in Eaton Vance Advisers
Senior Floating-Rate Fund vs. the Donaldson Lufkin and Jenrette Loan Index and
the Merrill Lynch 1-3 Year Corporate Bond Index*
March 31, 1998 - December 31, 1999
Date Fund/NAV DLJ Index Merrill Index
3/31/98 $10,000 $10,000 $10,000
4/30/98 $10,081 $10,082 $10,052
5/31/98 $10,139 $10,159 $10,113
6/30/98 $10,198 $10,224 $10,167
7/31/98 $10,268 $10,282 $10,219
8/31/98 $10,329 $10,299 $10,304
9/30/98 $10,378 $10,258 $10,441
10/31/98 $10,437 $10,185 $10,462
11/30/98 $10,493 $10,261 $10,497
12/31/98 $10,541 $10,359 $10,546
1/31/99 $10,600 $10,405 $10,600
2/28/99 $10,641 $10,378 $10,570
3/31/99 $10,699 $10,444 $10,668
4/30/99 $10,755 $10,530 $10,713
5/31/99 $10,814 $10,672 $10,701
6/30/99 $10,861 $10,763 $10,732
7/31/99 $10,922 $10,834 $10,758
8/31/99 $10,985 $10,778 $10,770
9/30/99 $11,036 $10,760 $10,859
10/31/99 $11,089 $10,746 $10,896
11/30/99 $11,132 $10,814 $10,926
12/31/99 $11,167 $10,887 $10,957
- --------------------------------------------------------------------------------
Performance**
Average Annual Total Returns (at net asset value)
- --------------------------------------------------
One Year 5.93%
Life of Fund (3/20/98) 6.36
* Sources: TowersData, Bethesda, MD. Donaldson, Lufkin & Jenrette; Bloomberg.
Investment operations commenced 3/20/98. Index information is only available
at month-end; therefore, the line comparison begins at the next month-end
following the commencement of the Fund's investment operations.
The chart compares the Fund's total return with that of the Donaldson, Lufkin
& Jenrette (DLJ) Leveraged Loan Index - a representative index of tradable,
senior, secured, U.S. dollar-denominated leveraged loans. We have also
included a comparison with the Merrill Lynch 1-3 Year Corporate Bond Index,
an index of investment-grade corporate issues with 1-3 year maturities, to
show how the Fund has fared relative to short-term bonds. Returns are
calculated by determining the percentage change in net asset value (NAV) with
all distributions reinvested. The lines on the chart represent the total
returns of $10,000 hypothetical investments in the Fund and the Indices. The
Indices' total returns do not reflect commissions or expenses that would have
been incurred if an investor individually purchased or sold the securities
represented in the Indices. It is not possible to invest directly in an
Index.
** Returns are calculated by determining the percentage change in net asset
value (NAV) with all distributions reinvested.
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth
more or less than their original cost.
<PAGE>
Eaton Vance Advisers Senior Floating-Rate Fund as of December 31, 1999
FINANCIAL STATEMENTS
Statement of Assets and Liabilities
As of December 31, 1999
Assets
- -------------------------------------------------------------------------------
Investment in Senior Debt Portfolio, at value
(identified cost, $223,831,239) $222,436,708
Receivable for Fund shares sold 1,674,211
Receivable from the Administrator 174,536
Deferred organization expenses 3,691
- -------------------------------------------------------------------------------
Total assets $224,289,146
- -------------------------------------------------------------------------------
Liabilities
- --------------------------------------------------------------------------------
Dividends payable $ 745,289
Payable to affiliate for Trustees' fees 552
Accrued expenses 57,931
- -------------------------------------------------------------------------------
Total liabilities $ 803,772
- -------------------------------------------------------------------------------
Net Assets for 22,574,080 shares of
beneficial interest outstanding $223,485,374
- -------------------------------------------------------------------------------
Sources of Net Assets
- -------------------------------------------------------------------------------
Paid-in capital $225,177,587
Accumulated net realized loss from Portfolio (computed on the
basis of identified cost) (313,266)
Accumulated undistributed net investment income 15,584
Net unrealized depreciation from Portfolio
(computed on the basis of identified cost) (1,394,531)
- -------------------------------------------------------------------------------
Total $223,485,374
- -------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share
- --------------------------------------------------------------------------------
($223,486,374 / 22,574,080 shares
of beneficial interest outstanding) $ 9.90
- -------------------------------------------------------------------------------
<PAGE>
Statement of Operations
For the Year Ended
December 31, 1999
Investment Income
- -------------------------------------------------------------------------------
Interest allocated from Portfolio $ 11,145,415
Facility fee income allocated from Portfolio 143,295
Miscellaneous income allocated from Portfolio 4,741
Expenses allocated from Portfolio (749,992)
- -------------------------------------------------------------------------------
Net investment income from Portfolio $ 10,543,460
- -------------------------------------------------------------------------------
Expenses
- -------------------------------------------------------------------------------
Administration fee $ 443,859
Trustees fees and expenses 1,926
Service fees 288,822
Registration fees 209,449
Transfer and dividend disbursing agent fees 79,455
Printing and postage 71,130
Custodian fee 13,789
Legal and accounting services 6,896
Amortization of organization expenses 1,599
Miscellaneous 8,586
- -------------------------------------------------------------------------------
Total expenses $ 1,125,511
- -------------------------------------------------------------------------------
Deduct --
Allocation of expenses to the Administrator $ 174,536
- -------------------------------------------------------------------------------
Total expense reductions $ 174,536
- -------------------------------------------------------------------------------
Net expenses $ 950,975
- -------------------------------------------------------------------------------
Net investment income $ 9,592,485
- -------------------------------------------------------------------------------
Realized and Unrealized
Gain (Loss) from Portfolio
- -------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $ (313,266)
- -------------------------------------------------------------------------------
Net realized loss $ (313,266)
- -------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ (1,351,406)
- -------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) $ (1,351,406)
- -------------------------------------------------------------------------------
Net realized and unrealized loss $ (1,664,672)
- -------------------------------------------------------------------------------
Net increase in net assets from operations $ 7,927,813
- -------------------------------------------------------------------------------
See notes to financial statements
<PAGE>
Eaton Vance Advisers Senior Floating-Rate Fund as of December 31, 1999
FINANCIAL STATEMENTS CONT'D
<TABLE>
<CAPTION>
Statement of Changes in Net Assets
Increase (Decrease) Year Ended Period Ended
in Net Assets December 31, 1999 December 31, 1998(1)
- -------------------------------------------------------------------------------------------------
<S> <C> <C>
From operations --
Net investment income $ 9,592,485 $ 1,270,352
Net realized gain (loss) (313,266) 1,446
Net change in unrealized appreciation (depreciation) (1,351,406) (43,125)
- -------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 7,927,813 $ 1,228,673
- -------------------------------------------------------------------------------------------------
Distributions to shareholders --
From net investment income $ (9,560,041) $ (1,270,352)
In excess of net investment income -- (18,306)
- -------------------------------------------------------------------------------------------------
Total distributions to shareholders $ (9,560,041) $ (1,288,658)
- -------------------------------------------------------------------------------------------------
Transactions in shares of beneficial interest --
Proceeds from sale of shares $226,653,739 $ 68,306,599
Net asset value of shares issued to shareholders in
payment of distributions declared 4,108,998 693,838
Cost of shares repurchased (62,917,726) (11,667,861)
- -------------------------------------------------------------------------------------------------
Net increase in net assets from Fund share transactions $167,845,011 $ 57,332,576
- -------------------------------------------------------------------------------------------------
Net increase in net assets $166,212,783 $ 57,272,591
- -------------------------------------------------------------------------------------------------
Net Assets
- -------------------------------------------------------------------------------------------------
At beginning of year $ 57,272,591 $ --
- -------------------------------------------------------------------------------------------------
At end of year $223,485,374 $ 57,272,591
- -------------------------------------------------------------------------------------------------
Accumulated undistributed
(distributions in excess of)
net investment income
included in net assets
- -------------------------------------------------------------------------------------------------
At end of year $ 15,584 $ (18,306)
- -------------------------------------------------------------------------------------------------
(1) For the period from the start of business, March 20, 1998, to December 31, 1998.
</TABLE>
<PAGE>
Statement of Cash Flows
Year Ended
December 31, 1999
Increase (Decrease) in Cash
- -------------------------------------------------------------------------------
Cash Flows From (Used For) Operating Activities --
Purchase of interests in Senior Debt Portfolio $(226,296,723)
Withdrawal of interests in Senior Debt Portfolio 69,176,416
Operating expenses paid (1,122,751)
- -------------------------------------------------------------------------------
Net cash used for operating activities $(158,243,058)
- -------------------------------------------------------------------------------
Cash Flows From (Used For) Financing Activities --
Proceeds from shares sold $ 226,242,796
Payments for shares repurchased (63,169,726)
Cash distributions paid (excluding reinvestments of
distributions of $4,108,998) (4,830,012)
- -------------------------------------------------------------------------------
Net cash from financing activities $ 158,243,058
- -------------------------------------------------------------------------------
Net increase in cash $ --
- -------------------------------------------------------------------------------
Cash at Beginning of Year $ --
- -------------------------------------------------------------------------------
Cash at End of Year $ --
- -------------------------------------------------------------------------------
Reconciliation of Net Increase in Net Assets
From Operations to Net Cash Used For
Operating Activities
- --------------------------------------------------------------------------------
Net increase in net assets from operations $ 7,927,813
Increase in receivable from administrator (141,492)
Decrease in prepaid expenses 119,126
Decrease in deferred organization expenses 3,065
Increase in payable to affiliate 552
Decrease in accrued expenses (153,027)
Net increase in investments (165,999,095)
- -------------------------------------------------------------------------------
Net cash used for operating activities $(158,243,058)
- -------------------------------------------------------------------------------
See notes to financial statements
<PAGE>
Eaton Vance Advisers Senior Floating-Rate Fund as of December 31, 1999
FINANCIAL STATEMENTS CONT'D
Financial Highlights
Year Ended December 31,
-----------------------
1999 1998(1)(2)
- -------------------------------------------------------------------------------
Net asset value -- Beginning of year $ 9.990 $ 10.000
- -------------------------------------------------------------------------------
Income (loss) from operations
- -------------------------------------------------------------------------------
Net investment income $ 0.668 $ 0.531
Net realized and unrealized loss (0.094) (0.002)
- -------------------------------------------------------------------------------
Total income from operations $ 0.574 $ 0.529
- -------------------------------------------------------------------------------
Less distributions
- -------------------------------------------------------------------------------
From net investment income $ (0.664) $ (0.531)
In excess of net investment income -- (0.008)
- -------------------------------------------------------------------------------
Total distributions $ (0.664) $ (0.539)
- -------------------------------------------------------------------------------
Net asset value -- End of year $ 9.900 $ 9.990
- -------------------------------------------------------------------------------
Total Return(3) 5.93% 5.41%
- -------------------------------------------------------------------------------
Ratios/Supplemental Data+
- -------------------------------------------------------------------------------
Net assets, end of year (000's omitted) $223,485 $ 57,273
Ratio (As a percentage of average daily net assets):
Net operating expenses(4) 1.19% 1.40%(5)
Net interest expense(4) 0.01% 0.01%(5)
Net investment income 6.75% 6.60%(5)
Portfolio Turnover of the Portfolio 64% 56%
- -------------------------------------------------------------------------------
+ The operating expenses of the Fund reflect an allocation of expenses to the
Administrator. Had such action not been taken, the ratios and net investment
income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Operating expenses(4) 1.31% 1.57%(5)
Interest expense(4) 0.01% 0.01%(5)
Net investment income 6.62% 6.43%(5)
Net investment income per share $ 0.655 $ 0.517
- -------------------------------------------------------------------------------
(1) Net investment income per share was computed using average shares
outstanding.
(2) For the period from the start of business, March 20, 1998, to December 31,
1998.
(3) Total return is calculated assuming a purchase at the net asset value on the
first day and a sale at the net asset value on the last day of each period
reported. Dividends and distributions, if any, are assumed reinvested at the
net asset value on the reinvestment date. Total return is not computed on an
annualized basis.
(4) Includes the Fund's share of the Portfolio's allocated expenses.
(5) Annualized.
<PAGE>
Eaton Vance Advisers Senior Floating-Rate Fund as of December 31, 1999
NOTES TO FINANCIAL STATEMENTS
1 Significant Accounting Policies
- -------------------------------------------------------------------------------
Eaton Vance Advisers Senior Floating-Rate Fund (the Fund) was formed under a
Declaration of Trust dated February 19, 1998. The Fund is an entity of the
type commonly known as a Massachusetts business trust and is registered under
the Investment Company Act of 1940, as amended, as a non-diversified
closed-end management investment company. The Fund invests all of its
investable assets in interests in the Senior Debt Portfolio (the Portfolio), a
New York Trust, having the same investment objective as the Fund. The value of
the Fund's investment in the Portfolio reflects the Fund's proportionate
interest in the net assets of the Portfolio (2.4% at December 31, 1999). The
performance of the Fund is directly affected by the performance of the
Portfolio. The financial statements of the Portfolio, including the portfolio
of investments, are included elsewhere in this report and should be read in
conjunction with the Fund's financial statements. The following is a summary
of significant accounting policies consistently followed by the Fund in the
preparation of its financial statements. The policies are in conformity with
generally accepted accounting principles.
A Investment Valuation -- Valuation of securities by the Portfolio is
discussed in Note 1A of the Portfolio's Notes to Financial Statements which
are included elsewhere in this report.
B Income -- The Fund's net investment income consists of the Fund's pro rata
share of the net investment income of the Portfolio, less all actual and
accrued expenses of the Fund determined in accordance with generally
accepted accounting principles.
C Federal Taxes -- The Fund's policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders each year all of its taxable income, including
any net realized gain on investments. Accordingly, no provision for federal
income or excise tax is necessary. At December 31, 1999, the Fund, for
federal income tax purposes had a capital loss carryover of $313,266 which
will expire on December 31, 2007. This amount will reduce 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 Fund of any liability for federal income or excise tax.
D Deferred Organization Expenses -- Costs incurred by the Fund in connection
with its organization are being amortized on the straight-line basis over five
years.
E Use of Estimates -- The preparation of the financial statements in
conformity with generally accepted accounting principles 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 Expense Reduction -- Investors Bank & Trust Company (IBT) serves as
custodian of the Fund and the Portfolio. Pursuant to the respective
custodian agreements, IBT receives a fee reduced by credits which are
determined based on the average daily cash balances the Fund or the
Portfolio maintains with IBT. All significant credit balances used to reduce
the Fund's custodian fees are reported as a reduction of expenses on the
Statement of Operations.
2 Distributions to Shareholders
- --------------------------------------------------------------------------------
The net investment income of the Fund is determined daily, and substantially
all of the net investment income so determined is declared daily as a dividend
to shareholders of record at the time of declaration. Such daily dividends
will be paid monthly. Distributions of realized capital gains, if any, are
made at least annually. Shareholders may reinvest capital gain distributions
in additional shares of the Fund at the net asset value as of the ex-dividend
date. Distributions are paid in the form of additional shares or, at the
election of the shareholder, in cash. The Fund distinguishes between
distributions on a tax basis and a financial reporting basis. Generally
accepted accounting principles require that only distributions in excess of
tax basis earnings and profits be reported in the financial statements as a
return of capital. Differences in the recognition or classification of income
between the financial statements and tax earnings and profits which result in
over-distributions for financial statement purposes only are classified as
distributions in excess of net investment income or accumulated net realized
gains. Permanent differences between book and tax accounting relating to
distributions are reclassified to paid-in capital.
3 Shares of Beneficial Interest
- --------------------------------------------------------------------------------
The Declaration of Trust permits the Trustees to issue an unlimited number
of full and fractional shares of beneficial interest (without par value).
The Fund operates as an interval fund, meaning that it continuously accepts
new shareholder investments but permits share repurchases (of at least 5%
and up to 25% of its shares) at net asset value only once a quarter. It is a
fundamental policy of the Fund (which may only be changed be shareholder
vote) that the Fund will conduct repurchase offers ending on a date (fixed
by the Trustees) in the months of January, April, July and October and the
repurchase price will be determined no more than 14 days following the
repurchase request deadline. Payment for all shares repurchased pursuant to
these offers normally will be made not later than 7 days after the
repurchase pricing date. Shareholders will be sent notification of each
repurchase offer at least 21 days prior to the repurchase request deadline.
During the year ended December 31, 1999, the Fund made four repurchase
offers as follows:
Repurchase Amount
Offer Amount Repurchased
Repurchase ----------------------------- -------------------------
Request Deadline Shares Amount Shares Amount
-----------------------------------------------------------------------------
January 25, 1999 1,728,141 $ 17,246,844 929,229 $ 9,282,996
April 27, 1999 2,630,125 26,248,647 461,847 4,609,232
July 22, 1999 4,205,938 41,975,262 2,140,175 21,337,579
October 22, 1999 5,237,490 52,270,150 2,780,046 27,687,919
-----------------------------------------------------------------------------
Total 13,801,694 $137,740,903 6,311,297 $62,917,726
-----------------------------------------------------------------------------
All transactions in Fund shares were as follows:
Year Ended December 31,
-----------------------------
1999 1998(1)
-----------------------------------------------------------------------------
Sales 22,739,563 6,830,309
Issued to shareholders electing to
receive payments of distributions
in Fund shares 412,735 69,385
Repurchases (6,311,297) (1,166,616)
-----------------------------------------------------------------------------
Net increase 16,841,001 5,733,079
-----------------------------------------------------------------------------
(1) For the period from the start of business, March 20, 1998, to December
31, 1998.
4 Transactions with Affiliates
- --------------------------------------------------------------------------------
The Fund is authorized to pay Eaton Vance Management, (EVM), a fee as
compensation for administrative services necessary to conduct the Fund's
business. The fee is computed at the annual rate of 0.35% of the average
daily gross assets of the Portfolio attributable to the Fund. Prior to May
1, 1999, the amount of administration fees paid by the Fund to EVM was equal
to 0.15% of the average daily gross assets of the portfolio attributable to
the Fund. For the year ended December 31, 1999, the fee amounted to
$443,859. To enhance the net income of the Fund, $174,536 of the Fund's
expenses were allocated to EVM for the year ending December 31, 1999. The
Portfolio has engaged Boston Management and Research (BMR), a subsidiary of
EVM, to render investment advisory services. See Note 2 of the Portfolio's
Notes to Financial Statements which are included elsewhere in this report.
Except as to Trustees of the Fund and the Portfolio who are not members of
EVM's or BMR's organization, officers and Trustees receive remuneration for
their services to the Fund out of such investment adviser fee.
Certain officers and Trustees of the Fund and of the Portfolio are officers
of the above organizations.
5 Service Plan
- --------------------------------------------------------------------------------
Effective May 1, 1999, the Fund pays service fees pursuant to a Service Plan
(the Plan) designed to meet the service fee requirements of the sales charge
rule of the National Association of Securities Dealers, Inc. as if such rule
were applicable. The Plan provides that the Fund may make service fee
payments to the Principal Underwriter, Eaton Vance Distributors, Inc. (EVD),
a subsidiary of EVM, investment dealers or other persons in amounts not
exceeding 0.25% of the Fund's average daily net assets for any fiscal year.
The Fund paid or accrued service fees to or payable to EVD for the period
from May 1, 1999 to December 31, 1999 in the amount of $288,822. Service fee
payments are made for personal services and/or the maintenance of
shareholder accounts. Certain officers and Trustees of the Fund are officers
or directors of EVD.
6 Investment Transactions
- --------------------------------------------------------------------------------
Increases and decreases in the Fund's investment in the Portfolio for the
year ended December 31, 1999 aggregated $226,296,723 and $69,176,416,
respectively.
<PAGE>
Eaton Vance Advisers Senior Floating-Rate Fund as of December 31, 1999
INDEPENDENT AUDITORS' REPORT
To the Trustees and Shareholders of Eaton Vance
Advisers Senior Floating-Rate Fund:
- -------------------------------------------------------------------------------
We have audited the accompanying statement of assets and liabilities of Eaton
Vance Advisers Senior Floating-Rate Fund (the Fund) as of December 31, 1999,
the related statements of operations and cash flows for the year then ended,
the statements of changes in net assets and the financial highlights for the
year ended December 31, 1999 and for the period from the start of business,
March 20, 1998, to December 31, 1998. These financial statements and financial
highlights are the responsibility of the Fund'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 generally accepted auditing
standards. 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. 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 present
fairly, in all material respects, the financial position of the Fund at
December 31, 1999, the results of its operations, its cash flows, the changes
in its net assets and its financial highlights for the respective stated
periods in conformity with generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 11, 2000
<PAGE>
Senior Debt Portfolio as of December 31, 1999
PORTFOLIO OF INVESTMENTS
(Expressed in United States Dollars)
Senior, Floating Rate Loan
Interests -- 86.0%(1)
Principal
Amount Borrower/Tranche Description Value
- -------------------------------------------------------------------------------
Advertising -- 0.3%
- -------------------------------------------------------------------------------
Dimac Corporation
$ 5,714,286 Term loan, maturing June 30, 2006 $ 5,714,286
4,285,714 Term loan, maturing December 31, 2006 4,285,714
Lamar Media Corp.
15,000,000 Term loan, maturing March 1, 2006 15,000,000
Outdoor Systems, Inc.
75,000 Term loan, maturing June 30, 2004 75,000
- -------------------------------------------------------------------------------
$ 25,075,000
- -------------------------------------------------------------------------------
Aerospace & Defense -- 1.5%
- -------------------------------------------------------------------------------
Aerostructures Corporation
$ 22,392,701 Term loan, maturing December 31, 2003 $ 22,392,701
Aircraft Braking Systems Corp.
27,299,934 Term loan, maturing September 30, 2005 27,299,934
Dyncorp
23,250,000 Term loan, maturing December 9, 2006 23,250,000
EG&G Technical Services, Inc.
13,879,281 Term loan, maturing August 20, 2007 13,879,281
Fairchild Holdings Corporation
17,381,616 Term loan, maturing April 30, 2006 17,381,616
Hexcel Corporation
24,828,122 Term loan, maturing August 25, 2005 24,828,122
United Defense Industries, Inc.
7,472,066 Term loan, maturing October 6, 2005 7,472,066
7,214,411 Term loan, maturing October 6, 2006 7,214,411
- -------------------------------------------------------------------------------
$ 143,718,131
- -------------------------------------------------------------------------------
Air Freight & Couriers -- 0.4%
- -------------------------------------------------------------------------------
Evergreen International Aviation, Inc.
$ 18,001,181 Term loan, maturing April 30, 2002 $ 18,001,181
6,805,902 Term loan, maturing May 31, 2003 6,805,902
Piedmont
6,389,831 Term loan, maturing July 23, 2006 6,389,831
6,389,831 Term loan, maturing July 23, 2007 6,389,831
- -------------------------------------------------------------------------------
$ 37,586,745
- -------------------------------------------------------------------------------
Airlines -- 0.2%
- -------------------------------------------------------------------------------
Continental Airlines, Inc.
$ 14,294,061 Term loan, maturing December 31, 2006 $ 14,294,061
- -------------------------------------------------------------------------------
$ 14,294,061
- -------------------------------------------------------------------------------
Auto Components -- 4.1%
- -------------------------------------------------------------------------------
AAS Holdings, LLC
$ 9,814,035 Term loan, maturing October 30, 2004 $ 9,814,035
Accuride Corporation
23,037,500 Term loan, maturing January 21, 2006 23,037,500
5,635,000 Term loan, maturing January 21, 2007 5,635,000
American Axle & Manufacturing, Inc.
24,000,000 Term loan, maturing April 30, 2006 24,000,000
American Bumper & MFG. Co.
5,000,000 Term loan, maturing May 31, 2006 5,000,000
Cambridge Industries, Inc.
25,480,000 Term loan, maturing June 30, 2005 25,480,000
Car Components Technologies, Inc.
437,500 Revolving loan, maturing February 17, 2005 437,500
5,893,910 Term loan, maturing February 17, 2005 5,893,910
Collins & Aikman
21,709,675 Term loan, maturing June 30, 2005 21,709,675
13,250,000 Term loan, maturing June 30, 2006 13,250,000
Dura Operating Corp.
24,000,000 Term loan, maturing March 31, 2006 24,000,000
Exide Corporation
34,485,440 Term loan, maturing March 18, 2005 34,485,440
Federal-Mogul Corporation
51,000,000 Term loan, maturing February 24, 2005 51,000,000
Insilco Corporation
6,194,121 Term loan, maturing November 24, 2005 6,194,121
J.L. French Automotive Castings, Inc.
11,842,105 Term loan, maturing November 30, 2006 11,842,105
Key Plastics, LLC.
24,821,206 Term loan, maturing March 26, 2005 24,821,206
Keystone Automotive Operations, Inc.
11,815,771 Term loan, maturing March 31, 2006 11,815,771
Lund Industries, Incorporated
4,411,479 Term loan, maturing December 31, 2004 4,411,479
2,753,026 Term loan, maturing December 31, 2005 2,753,026
Oshkosh Truck Corporation
2,810,578 Term loan, maturing March 31, 2005 2,810,578
2,810,578 Term loan, maturing March 31, 2006 2,810,578
Safelite Glass Corp.
1,812,399 Term loan, maturing December 17, 2004 1,585,849
1,812,399 Term loan, maturing December 17, 2005 1,585,849
Stanadyne Automotive Corporation
7,849,350 Term loan, maturing December 10, 2004 7,849,350
Tenneco Automotive
16,250,000 Term loan, maturing December 31, 2007 16,310,938
16,250,000 Term loan, maturing December 31, 2008 16,310,938
Venture Holdings Trust
33,830,000 Term loan, maturing April 1, 2005 33,830,000
- -------------------------------------------------------------------------------
$ 388,674,848
- -------------------------------------------------------------------------------
Auto Rental -- 0.3%
- -------------------------------------------------------------------------------
Avis Rent A Car, Inc.
$ 14,500,000 Term loan, maturing June 30, 2006 $ 14,563,510
14,500,000 Term loan, maturing June 30, 2007 14,500,000
- -------------------------------------------------------------------------------
$ 29,063,510
- -------------------------------------------------------------------------------
Broadcast Media -- 3.6%
- -------------------------------------------------------------------------------
Bahakel Communications
$ 14,749,495 Term loan, maturing December 31, 2005 $ 14,749,495
Benedek Broadcasting Corporation
33,000,000 Term loan, maturing November 20, 2007 33,000,000
Black Entertainment Television
25,948,000 Term loan, maturing June 30, 2006 25,948,000
Chancellor Radio Broadcasting Company
311,607 Term loan, maturing June 30, 2005 311,607
Comcorp Broadcasting, Inc.
3,750,000 Term loan, maturing June 30, 2007 3,750,000
Corus Entertainment
19,250,000 Term loan, maturing August 31, 2007 19,250,000
Cumulus Media, Inc.
5,550,000 Term loan, maturing September 30, 2007 5,550,000
3,700,000 Term loan, maturing February 28, 2008 3,700,000
Discovery Communications, Inc.
30,000,000 Term loan, maturing May 13, 2004 30,000,000
Emmis Broadcasting Corporation
40,000,000 Term loan, maturing February 28, 2007 40,000,000
Gray Communications Systems
12,750,000 Term loan, maturing December 31, 2005 12,750,000
Lin Television Corp.
44,700,147 Term loan, maturing March 31, 2007 44,700,147
Sinclair Broadcast Group, Inc.
40,229,885 Term loan, maturing December 31, 2004 40,229,885
2,089,654 Revolving loan, maturing August 15, 2005 2,089,654
Spartan Communications, Inc.
12,343,750 Term loan, maturing June 30, 2005 12,343,750
Susquehanna Media Co.
20,000,000 Term loan, maturing June 30, 2008 20,000,000
TLMD Aquisition Co.
29,000,000 Term loan, maturing March 31, 2007 29,000,000
White Knight Broadcasting, Inc.
3,750,000 Term loan, maturing June 30, 2007 3,750,000
- -------------------------------------------------------------------------------
$ 341,122,538
- -------------------------------------------------------------------------------
Cable Television -- 6.5%
- -------------------------------------------------------------------------------
Benchmark Genesis, LLC
$ 8,000,000 Term loan, maturing September 30, 2007 $ 8,000,000
Bresnan Telecommunications Co., LLC
29,550,000 Term loan, maturing January 29, 2008 29,550,000
CC Michigan/CC New England, LLC
17,000,000 Term loan, maturing June 30, 2008 17,000,000
Charter Communications Operating, LLC
189,750,000 Term loan, maturing March 18, 2008 189,750,000
Charter Communications VI
10,000,000 Term loan, maturing June 30, 2008 10,000,000
Chelsea Communications, Inc.
21,644,924 Term loan, maturing December 31, 2004 21,644,924
Classic Cable, Inc.
12,000,000 Term loan, maturing October 31, 2007 12,000,000
8,500,000 Term loan, maturing October 31, 2008 8,500,000
Falcon Holding Group, L.P.
14,349,057 Term loan, maturing June 29, 2007 14,349,057
61,599,591 Term loan, maturing December 31, 2007 61,599,591
Frontiervision Operating Partners, L.P.
54,403,462 Term loan, maturing March 31, 2006 54,403,462
Insight Kentucky Partners I, L.P.
67,750,000 Term loan, maturing April 30, 2008 67,750,000
Mediacom USA, LLC
8,500,000 Revolving loan, maturing September 30, 2008 8,500,000
RCN Corporation
28,000,000 Term loan, maturing June 30, 2007 28,000,000
UCA Corp.
75,000,000 Term loan, maturing May 15, 2007 75,000,000
- -------------------------------------------------------------------------------
$ 606,047,034
- -------------------------------------------------------------------------------
Casinos & Gaming -- 1.0%
- -------------------------------------------------------------------------------
Alliance Gaming Corporation
$ 13,460,130 Term loan, maturing January 31, 2005 $ 13,460,130
5,623,528 Term loan, maturing July 31, 2005 5,623,528
Aztar Corporation
18,905,000 Term loan, maturing June 30, 2005 18,905,000
Boyd Gaming Corporation
3,000,874 Term loan, maturing June 15, 2003 3,000,874
23,937,500 Term loan, maturing June 15, 2005 23,937,500
Horseshoe Gaming Holding Corp.
18,952,500 Revolving loan, maturing September 30, 2006 18,952,500
Mikohn Gaming Corporation
10,000,000 Term loan, maturing April 1, 2004 10,000,000
- -------------------------------------------------------------------------------
$ 93,879,532
- -------------------------------------------------------------------------------
Chemicals -- 3.8%
- -------------------------------------------------------------------------------
AOC, LLC
$ 21,615,322 Term loan, maturing September 30, 2006 $ 21,615,322
Arteva B.V. (Kosa)
4,978,629 Term loan, maturing December 31, 2005 4,978,629
22,612,402 Term loan, maturing December 31, 2006 22,612,402
Foamex L.P.
4,511,111 Revolving loan, maturing June 30, 2003 4,511,111
36,907 Term loan, maturing June 30, 2003 36,907
7,805,428 Term loan, maturing June 30, 2005 7,805,428
7,095,843 Term loan, maturing June 30, 2006 7,095,843
6,877,500 Term loan, maturing December 31, 2006 6,877,500
Georgia Gulf Corporation
22,000,000 Term loan, maturing December 31, 2006 22,000,000
Huntsman Corporation
1,307,993 Term loan, maturing September 30, 2003 1,307,993
14,482,577 Term loan, maturing December 31, 2004 14,482,577
6,113,660 Term loan, maturing December 31, 2005 6,113,660
Huntsman ICI Chemicals LLC
31,375,000 Term loan, maturing June 30, 2007 31,531,875
31,375,000 Term loan, maturing June 30, 2008 31,531,875
Lyondell Petrochemical Company
23,807,304 Term loan, maturing June 30, 2003 23,844,681
57,540,125 Term loan, maturing June 30, 2007 58,834,778
Polymer Group, Inc.
41,370,434 Term loan, maturing December 20, 2005 41,370,434
Sterling Pulp Chemicals (Sask) Ltd.
6,278,381 Term loan, maturing June 30, 2005 6,278,381
Sybron Chemicals Inc.
18,913,816 Term loan, maturing July 31, 2004 18,913,816
The Zeneca Specialties Business
2,965,969 Term loan, maturing June 30, 2007 2,965,969
9,886,563 Term loan, maturing June 30, 2008 9,886,563
Vinings Industries, Inc.
8,059,620 Term loan, maturing March 31, 2005 8,059,620
- -------------------------------------------------------------------------------
$ 352,655,364
- -------------------------------------------------------------------------------
Coal -- 1.1%
- -------------------------------------------------------------------------------
Arch Western Resources, LLC
$ 50,000,000 Term loan, maturing May 31, 2003 $ 50,000,000
P&L Coal Holdings Corporation
47,230,769 Term loan, maturing June 30, 2006 47,230,769
Quaker Coal Company
9,836,515 Term loan, maturing June 30, 2006 9,344,689
- -------------------------------------------------------------------------------
$ 106,575,458
- -------------------------------------------------------------------------------
Commercial Services -- 4.8%
- -------------------------------------------------------------------------------
Advanstar Communications Inc.
$ 18,648,273 Term loan, maturing April 30, 2005 $ 18,648,273
8,133,003 Term loan, maturing June 30, 2007 8,133,003
American Floral Services, Inc.
4,666,667 Term loan, maturing June 30, 2004 4,666,667
American Marketing Industries, Inc.
795,000 Term loan, maturing August 31, 2001 795,000
5,386,194 Term loan, maturing November 30, 2002 5,386,194
6,418,500 Term loan, maturing November 30, 2003 6,418,500
6,579,274 Term loan, maturing November 30, 2004 6,579,274
5,403,750 Term loan, maturing November 16, 2005 5,403,750
Anthony Crane Rental, L.P.
18,914,975 Term loan, maturing July 20, 2006 18,914,975
Brickman Holdings Corp
7,614,573 Term loan, maturing January 14, 2006 7,614,573
Building One Services Corporation
9,925,000 Term loan, maturing April 30, 2004 9,925,000
Caterair International Corporation
39,428,519 Term loan, maturing March 1, 2007 39,428,519
Environmental Systems Products Hldgs, Inc.
962,222 Revolving loan, maturing September 30, 2004 962,222
3,461,111 Term loan, maturing September 30, 2004 3,461,111
17,820,000 Term loan, maturing September 30, 2005 17,820,000
Erickson Air-Crane Co.
8,724,628 Term loan, maturing December 31, 2004 8,724,628
Metokote Corporation
9,500,000 Term loan, maturing November 2, 2005 9,500,000
MSX International, Inc.
23,000,000 Term loan, maturing December 31, 2006 23,000,000
Nationsrent, Inc.
29,250,000 Term loan, maturing September 30, 2006 29,250,000
Omni Services, Inc.
26,373,806 Term loan, maturing October 30, 2005 26,373,806
PSI Acquisition Corporation
15,895,951 Term loan, maturing September 30, 2003 15,895,951
Safety-Kleen Services, Inc.
1,759,043 Revolving loan, maturing April 3, 2004 1,759,043
1,907,364 Term loan, maturing April 3, 2004 1,907,364
34,091,958 Term loan, maturing April 3, 2005 34,091,958
34,091,958 Term loan, maturing April 3, 2006 34,091,958
SC International Services, Inc.
22,179,857 Term loan, maturing March 1, 2007 22,179,857
Tartan Textile Services, Inc.
10,900,000 Term loan, maturing April 30, 2005 10,900,000
United Rentals, Inc.
18,313,750 Term loan, maturing June 30, 2005 18,313,750
30,938,750 Term loan, maturing June 30, 2006 30,938,750
5,000,000 Term loan, maturing June 30, 2007 5,000,000
Volume Services, Inc.
23,439,426 Term loan, maturing December 31, 2002 23,439,426
- -------------------------------------------------------------------------------
$ 449,523,552
- -------------------------------------------------------------------------------
Communications Equipment -- 2.0%
- -------------------------------------------------------------------------------
Amphenol Corporation
$ 37,198,701 Term loan, maturing May 19, 2006 $ 37,198,701
Communications & Power Industries, Inc.
988,763 Term loan, maturing August 11, 2000 988,763
7,937,809 Term loan, maturing August 12, 2002 7,937,809
Communications Instruments
11,940,000 Term loan, maturing March 15, 2004 11,940,000
Dynatech Corporation
10,384,789 Term loan, maturing March 31, 2005 10,384,789
10,384,789 Term loan, maturing March 31, 2006 10,384,789
10,384,789 Term loan, maturing March 31, 2007 10,384,789
General Cable Corporation
24,603,906 Term loan, maturing May 31, 2007 24,603,906
Mitel Corporation
8,623,128 Term loan, maturing December 12, 2003 8,623,128
Superior Telecom, Inc.
373,793 Revolving loan, maturing November 27, 2005 373,793
28,861,717 Term loan, maturing November 27, 2005 28,861,717
Telex Communications, Inc.
4,745,333 Term loan, maturing November 6, 2004 4,745,333
TriPoint Global Communications, Inc. (Prodelin)
8,454,383 Term loan, maturing May 31, 2006 8,454,383
Viasystems, Inc.
3,890,909 Term loan, maturing June 30, 2004 3,890,909
5,914,286 Term loan, maturing March 31, 2004 5,914,286
16,387,973 Term loan, maturing June 30, 2005 16,387,973
- -------------------------------------------------------------------------------
$ 191,075,065
- -------------------------------------------------------------------------------
Computer Software & Services -- 0.9%
- -------------------------------------------------------------------------------
Bridge Information Systems America
$ 8,250,000 Term loan, maturing May 29, 2004 $ 8,250,000
8,932,556 Term loan, maturing May 29, 2005 8,932,556
Computer Associates International, Inc.
40,000,000 Term loan, maturing June 24, 2003 40,000,000
Decisionone Corporation*
5,694,000 Revolving loan, maturing August 7, 2003 2,505,360
155,262 Term loan, maturing August 7, 2003 68,315
2,374,991 Term loan, maturing August 7, 2005 1,044,996
Paul G. Allen
25,000,000 Term loan, maturing June 10, 2003 25,000,000
- -------------------------------------------------------------------------------
$ 85,801,227
- -------------------------------------------------------------------------------
Computers & Peripherals -- 0.3%
- -------------------------------------------------------------------------------
Genicom Corporation*
$ 13,881,709 Term loan, maturing September 5, 2004 $ 8,329,026
Titan Corporation
21,890,000 Term loan, maturing June 9, 2005 21,890,000
- -------------------------------------------------------------------------------
$ 30,219,026
- -------------------------------------------------------------------------------
Construction & Engineering -- 0.3%
- -------------------------------------------------------------------------------
International Technology Corporation
$ 9,803,123 Term loan, maturing June 11, 2006 $ 9,803,123
URS Corporation
8,478,750 Term loan, maturing June 9, 2006 8,478,750
8,478,750 Term loan, maturing June 9, 2007 8,478,750
- -------------------------------------------------------------------------------
$ 26,760,623
- -------------------------------------------------------------------------------
Construction Materials -- 0.7%
- -------------------------------------------------------------------------------
Dal-Tile Group, Inc
$ 4,198,513 Revolving loan, maturing December 31, 2002 $ 4,198,513
9,664,097 Term loan, maturing December 31, 2002 9,664,097
National Gypsum Company
83,439 Term loan, maturing September 20, 2003 83,439
Reliant Building Products, Inc.
11,519,231 Term loan, maturing March 31, 2004 11,058,462
Tapco International Corporation
5,340,774 Term loan, maturing June 23, 2006 5,340,774
4,738,125 Term loan, maturing June 23, 2007 4,738,125
3,241,875 Term loan, maturing June 23, 2008 3,241,875
Truseal Technologies, Inc.
7,189,319 Term loan, maturing July 1, 2004 7,189,319
Trussway Industries, Inc.
14,000,000 Term loan, maturing December 31, 2006 14,000,000
U.S. Aggregates, Inc.
7,733,929 Term loan, maturing March 31, 2006 7,733,929
- -------------------------------------------------------------------------------
$ 67,248,533
- -------------------------------------------------------------------------------
Containers & Packaging - Metal & Glass -- 1.0%
- -------------------------------------------------------------------------------
Ball Corporation
$ 24,725,000 Term loan, maturing March 10, 2006 $ 24,725,000
Consolidated Container Holdings LLC
26,865,000 Term loan, maturing June 30, 2007 26,865,000
Graham Packaging Company
10,157,928 Term loan, maturing January 31, 2006 10,157,928
10,910,207 Term loan, maturing January 31, 2007 10,910,207
5,946,219 Term loan, maturing January 31, 2007 5,946,219
Silgan Holdings Inc.
19,723,569 Term loan, maturing June 30, 2005 19,723,569
- -------------------------------------------------------------------------------
$ 98,327,923
- -------------------------------------------------------------------------------
Containers & Packaging - Paper -- 2.5%
- -------------------------------------------------------------------------------
ACX Technologies, Inc.
$ 10,000,000 Term loan, maturing April 30, 2000 $ 10,000,000
22,343,750 Term loan, maturing August 3, 2000 22,343,750
Blue Ridge Paper Products, Inc.
10,348,316 Term loan, maturing March 31, 2006 10,348,316
Gaylord Container Corporation
12,850,000 Term loan, maturing June 19, 2004 12,850,000
Impaxx, Inc.
2,466,667 Term loan, maturing December 31, 2005 2,466,667
5,500,000 Term loan, maturing December 31, 2005 5,500,000
Jefferson Smurfit Corporation
17,187,500 Term loan, maturing March 31, 2005 17,058,594
9,008,333 Term loan, maturing March 24, 2006 9,053,375
Packaging Corporation Of America
3,219,008 Term loan, maturing March 31, 2006 3,219,008
16,339,800 Term loan, maturing March 31, 2007 16,339,800
16,339,800 Term loan, maturing March 31, 2008 16,339,800
Packaging Dynamics, LLC
16,862,583 Term loan, maturing November 20, 2008 16,862,583
RIC Holding, Inc.
9,351,047 Revolving loan, maturing February 28, 2003 8,977,005
27,066,802 Term loan, maturing February 28, 2003 27,066,802
10,301,897 Term loan, maturing February 28, 2004 10,347,019
4,081,479 Term loan, maturing August 28, 2004 4,099,356
Stone Container Corporation
664,395 Revolving loan, maturing October 1, 2003 657,751
31,625,381 Term loan, maturing October 1, 2003 31,743,976
Stronghaven, Inc.
9,146,375 Term loan, maturing May 15, 2004 8,780,520
2,376,779 Term loan, maturing May 15, 2004 2,281,708
- -------------------------------------------------------------------------------
$ 236,336,030
- -------------------------------------------------------------------------------
Containers & Packaging - Plastics -- 1.3%
- -------------------------------------------------------------------------------
Huntsman Packaging Corp.
$ 25,764,596 Term loan, maturing June 30, 2006 $ 25,764,596
Impac Group, Inc.
14,812,500 Term loan, maturing June 30, 2005 14,812,500
IPC, Inc.
39,599,844 Term loan, maturing September 30, 2004 39,599,844
LLS Corp.
9,500,000 Term loan, maturing July 31, 2006 9,500,000
Mediapak Holdings, LLC
7,462,324 Term loan, maturing December 31, 2005 7,462,324
7,462,324 Term loan, maturing December 31, 2006 7,462,324
Tekni-Plex, Inc.
17,822,026 Term loan, maturing March 31, 2006 17,822,026
- -------------------------------------------------------------------------------
$ 122,423,614
- -------------------------------------------------------------------------------
Educational Services -- 0.4%
- -------------------------------------------------------------------------------
Kindercare Learning Centers, Inc.
$ 8,301,621 Term loan, maturing February 13, 2006 $ 8,301,621
La Petite Academy, Inc.
4,843,750 Term loan, maturing May 11, 2005 4,843,750
Language Line, LLC
12,967,500 Term loan, maturing March 31, 2006 12,967,500
Weekly Reader Corporation
14,713,125 Term loan, maturing September 30, 2007 14,713,125
- -------------------------------------------------------------------------------
$ 40,825,996
- -------------------------------------------------------------------------------
Electronic Equipment & Instruments -- 0.8%
- -------------------------------------------------------------------------------
Gentek, Inc.
$ 21,890,000 Term loan, maturing April 30, 2007 $ 21,890,000
Juno Lighting, Inc.
16,704,000 Term loan, maturing November 30, 2006 16,704,000
Knowles Electronics, Inc.
13,500,000 Term loan, maturing June 29, 2007 13,500,000
Packard Bioscience Company
16,752,268 Term loan, maturing March 31, 2002 16,752,268
Stoneridge
8,947,406 Term loan, maturing December 31, 2005 8,947,406
- -------------------------------------------------------------------------------
$ 77,793,674
- -------------------------------------------------------------------------------
Entertainment -- 3.6%
- -------------------------------------------------------------------------------
AMF Bowling Worldwide, Inc.
$ 7,757,014 Term loan, maturing March 31, 2002 $ 7,757,014
6,560,623 Term loan, maturing March 31, 2003 6,560,623
5,949,543 Term loan, maturing March 31, 2004 5,949,543
Amfac Resorts, Inc.
4,900,000 Term loan, maturing September 30, 2003 4,900,000
4,900,000 Term loan, maturing September 30, 2004 4,900,000
Blockbuster Entertainment Corp.
245,714 Revolving loan, maturing July 1, 2004 245,714
69,615,385 Term loan, maturing July 1, 2004 69,615,385
Fitness Holdings Worldwide, Inc.
4,500,000 Term loan, maturing November 2, 2006 4,500,000
4,500,000 Term loan, maturing November 2, 2007 4,500,000
Interval International Corp.
11,698,751 Term loan, maturing December 16, 2005 11,698,751
11,698,750 Term loan, maturing December 16, 2006 11,698,750
KSL Recreation Group, Inc.
2,301,608 Revolving loan, maturing April 30, 2005 2,301,608
12,952,019 Term loan, maturing April 30, 2005 12,952,019
12,952,019 Term loan, maturing April 30, 2006 12,952,019
Metro-Goldwyn-Mayer Studios Inc.
70,000 Revolving loan, maturing December 31, 2005 70,000
2,000,000 Term loan, maturing December 31, 2005 2,000,000
20,000,000 Term loan, maturing March 31, 2004 20,000,000
Minnesota Vikings Holdings, Inc.
8,000,000 Term loan, maturing February 12, 2004 8,000,000
Panavision, Inc.
22,885,000 Term loan, maturing March 31, 2005 22,885,000
Pebble Beach Company
21,721,972 Term loan, maturing July 30, 2006 21,721,972
PEI Holdings, Inc.
12,800,000 Term loan, maturing December 31, 2005 12,800,000
SFX Entertainment, Inc
47,000,000 Term loan, maturing June 30, 2006 47,000,000
Six Flags Theme Parks Inc.
42,750,000 Term loan, maturing September 30, 2005 42,750,000
- -------------------------------------------------------------------------------
$ 337,758,398
- -------------------------------------------------------------------------------
Environmental Services -- 1.2%
- -------------------------------------------------------------------------------
Allied Waste Industries, Inc.
$ 49,022,727 Term loan, maturing July 30, 2006 $ 47,797,159
59,477,273 Term loan, maturing July 30, 2007 57,990,341
Philips Environmental Services*
6,334,755 Term loan, maturing August 12, 2002 3,167,378
Stericycle, Inc.
5,250,000 Term loan, maturing November 10, 2006 5,250,000
- -------------------------------------------------------------------------------
$ 114,204,878
- -------------------------------------------------------------------------------
Financials -- 0.2%
- -------------------------------------------------------------------------------
Altamira Management Ltd.
$ 10,749,282 Term loan, maturing September 30, 2004 $ 10,749,282
TRG Holding Corporation
6,225,000 Term loan, maturing January 7, 2003 6,225,000
- -------------------------------------------------------------------------------
$ 16,974,282
- -------------------------------------------------------------------------------
Food, Beverages & Tobacco -- 3.6%
- -------------------------------------------------------------------------------
Aurora Foods, Inc.
$ 2,000,000 Term loan, maturing September 30, 2005 $ 2,000,000
44,903,378 Term loan, maturing September 30, 2006 44,903,378
B&G Foods, Inc.
9,750,000 Term loan, maturing March 31, 2006 9,750,000
Del Monte Corporation
3,966,459 Term loan, maturing March 31, 2003 3,966,459
32,999,621 Term loan, maturing March 31, 2005 32,999,621
Domino's Inc.
12,957,310 Term loan, maturing December 21, 2006 12,989,703
12,970,815 Term loan, maturing December 21, 2007 13,003,242
Eagle Family Foods, Inc
8,349,317 Term loan, maturing August 31, 2005 8,349,317
12,403,571 Term loan, maturing December 31, 2005 12,403,571
Fleming Companies, Inc.
1,926,824 Revolving loan, maturing July 25, 2004 1,926,824
23,645,797 Term loan, maturing July 25, 2004 23,645,797
International Home Foods, Inc.
516,787 Revolving loan, maturing March 31, 2003 516,787
1,694,855 Term loan, maturing March 31, 2003 1,694,855
13,979,432 Term loan, maturing September 30, 2005 13,979,432
24,367,117 Term loan, maturing September 30, 2006 24,367,117
New World Pasta
8,866,333 Term loan, maturing January 28, 2006 8,866,333
Pabst Brewing Company
8,340,317 Term loan, maturing April 30, 2004 8,340,317
Purina Mills, Inc.
22,892,764 Term loan, maturing March 12, 2007 22,205,981
Southern Foods Group, L.P.
8,204,014 Term loan, maturing February 28, 2006 8,204,014
Specialty Foods Corporation
10,717,944 Revolving loan, maturing January 31, 2000 10,717,944
18,338,905 Term loan, maturing January 31, 2000 18,338,905
Specialty Foods Master Trust
16,000,000 Term loan, maturing December 15, 2001 16,000,000
Triarc Companies, Inc.
10,675,145 Term loan, maturing March 1, 2006 10,721,902
26,047,355 Term loan, maturing March 31, 2006 26,161,442
- -------------------------------------------------------------------------------
$ 336,052,941
- -------------------------------------------------------------------------------
Funeral Service -- 0.4%
- -------------------------------------------------------------------------------
Cornerstone Family Services, Inc.
$ 9,974,874 Term loan, maturing March 31, 2007 $ 9,974,874
Prime Succession, Inc.
15,466,667 Term loan, maturing August 1, 2003 15,466,667
Rose Hills Company
9,535,132 Term loan, maturing December 1, 2003 9,535,132
- -------------------------------------------------------------------------------
$ 34,976,673
- -------------------------------------------------------------------------------
Health Care - Equipment & Supplies -- 3.0%
- -------------------------------------------------------------------------------
Charles River Laboratories, Inc.
$ 17,705,625 Term loan, maturing October 13, 2007 $ 17,705,625
Circon Corporation
10,000,000 Term loan, maturing October 31, 2006 10,000,000
Conmed Corporation
17,411,161 Term loan, maturing December 30, 2004 17,411,161
2,250,000 Term loan, maturing December 31, 2005 2,250,000
Dade Behring Holdings, Inc.
8,457,500 Term loan, maturing June 30, 2005 8,478,644
8,457,500 Term loan, maturing June 30, 2006 8,478,644
Fisher Scientific International Inc
21,342,707 Term loan, maturing January 21, 2007 21,342,707
Hanger Orthopedic Group, Inc
20,500,000 Term loan, maturing December 31, 2006 20,500,000
Imed Corporation
6,408,000 Term loan, maturing November 30, 2002 6,408,000
6,229,031 Term loan, maturing November 30, 2003 6,229,031
6,229,031 Term loan, maturing November 30, 2004 6,229,031
9,742,700 Term loan, maturing May 31, 2005 9,742,700
Kinetic Concepts, Inc.
2,481,013 Term loan, maturing December 31, 2004 2,481,013
2,481,013 Term loan, maturing December 31, 2005 2,481,013
Leiner Health Products Inc.
11,204,293 Term loan, maturing December 30, 2004 11,204,293
6,843,775 Term loan, maturing December 30, 2005 6,843,775
Maxxim Medical, Inc.
5,000,000 Term loan, maturing October 31, 2007 5,000,000
5,000,000 Term loan, maturing October 31, 2008 5,000,000
Nutramax Products, Inc.*
11,905,985 Term loan, maturing September 19, 2005 10,120,087
Quest Diagnostics, Inc.
10,660,000 Term loan, maturing August 16, 2005 10,660,000
9,840,000 Term loan, maturing August 16, 2006 9,840,000
Stryker Corporation
20,755,896 Term loan, maturing December 10, 2005 20,807,786
29,316,061 Term loan, maturing December 10, 2006 29,389,351
Sybron International Corporation
20,600,000 Term loan, maturing July 31, 2004 20,600,000
WGL Acquisition Corp.
13,894,113 Term loan, maturing July 10, 2004 13,894,113
- -------------------------------------------------------------------------------
$ 283,096,974
- -------------------------------------------------------------------------------
Health Care - Providers & Services -- 2.9%
- -------------------------------------------------------------------------------
Community Health Systems, Inc.
$ 13,245,518 Term loan, maturing December 31, 2003 $ 13,245,518
13,245,518 Term loan, maturing December 31, 2004 13,245,518
16,616,082 Term loan, maturing December 31, 2005 16,616,082
Concentra Managed Care, Inc.
9,950,000 Term loan, maturing December 31, 2005 9,950,000
4,975,000 Term loan, maturing December 31, 2006 4,975,000
Extendicare Health Services, Inc.
15,666,630 Term loan, maturing December 31, 2004 14,883,299
FHC Health Systems, Inc.
9,108,781 Term loan, maturing April 30, 2005 9,108,781
9,108,781 Term loan, maturing April 30, 2006 9,108,781
Genesis Health Ventures, Inc.
6,154,974 Term loan, maturing September 30, 2004 4,800,880
6,128,747 Term loan, maturing June 1, 2005 4,780,423
Integrated Health Services, Inc.*
32,422,500 Term loan, maturing September 15, 2003 15,643,856
19,650,000 Term loan, maturing December 31, 2005 9,481,125
Magellan Health Services, Inc.
14,943,278 Term loan, maturing February 12, 2005 14,943,278
14,943,278 Term loan, maturing February 12, 2006 14,943,278
Mariner Post-Acute Network (f/k/a Paragon)*
16,766,560 Term loan, maturing March 31, 2005 8,383,280
16,766,560 Term loan, maturing March 31, 2006 8,383,280
Mediq/PRN Life Support Services, Inc.
15,920,000 Term loan, maturing May 29, 2006 15,920,000
National Medical Care, Inc.
27,695,000 Term loan, maturing September 30, 2003 27,695,000
Sun Healthcare Group, Inc.*
2,611,093 Revolving loan, maturing October 9, 2005 1,631,933
4,246,214 Term loan, maturing October 9, 2004 2,653,883
7,150,075 Term loan, maturing October 9, 2005 4,468,796
Team Health
3,826,667 Term loan, maturing March 12, 2006 3,826,667
The Multicare Companies Inc.
6,312,359 Term loan, maturing September 30, 2004 4,923,640
2,093,384 Term loan, maturing June 1, 2005 1,632,840
Total Renal Care Holdings, Inc.
42,140,000 Term loan, maturing March 31, 2008 38,768,800
- -------------------------------------------------------------------------------
$ 274,013,938
- -------------------------------------------------------------------------------
Hotels -- 1.7%
- -------------------------------------------------------------------------------
Allegro Resorts Corporation
$ 19,600,000 Term loan, maturing February 11, 2005 $ 19,600,000
Extended Stay America
2,340,000 Revolving loan, maturing December 31, 2002 2,340,000
6,500,000 Term loan, maturing December 31, 2002 6,500,000
9,900,000 Term loan, maturing December 31, 2003 9,900,000
Starwood Hotels & Resorts
78,000,000 Term loan, maturing February 23, 2003 78,000,000
Wyndham International, Inc.
13,000,000 Term loan, maturing June 30, 2004 12,870,000
34,000,000 Term loan, maturing June 30, 2006 34,000,000
- -------------------------------------------------------------------------------
$ 163,210,000
- -------------------------------------------------------------------------------
Household Furnishings & Appliances -- 2.2%
- -------------------------------------------------------------------------------
Furniture Brands International, Inc.
$ 41,725,000 Term loan, maturing June 27, 2007 $ 41,725,000
Goodman Manufacturing Company, L.P.
7,875,521 Term loan, maturing September 30, 2003 7,875,521
47,007,588 Term loan, maturing July 31, 2005 47,007,588
Home Interiors & Gifts, Inc.
34,642,862 Term loan, maturing June 30, 2006 34,642,862
Sealy Mattress Company
18,404,349 Term loan, maturing December 15, 2004 18,404,349
13,260,645 Term loan, maturing December 15, 2005 13,260,645
16,947,460 Term loan, maturing December 15, 2006 16,947,460
Simmons Company
6,639,305 Term loan, maturing October 30, 2005 6,639,305
10,828,425 Term loan, maturing October 30, 2006 10,828,425
The Boyds Collection, Ltd.
5,000,000 Term loan, maturing April 21, 2005 5,000,000
3,541,667 Term loan, maturing April 21, 2006 3,541,667
- -------------------------------------------------------------------------------
$ 205,872,822
- -------------------------------------------------------------------------------
Household Products -- 1.4%
- -------------------------------------------------------------------------------
BMK, Inc.
$ 5,380,848 Term loan, maturing June 30, 2004 $ 5,380,848
Corning Consumer Products Company
7,920,000 Term loan, maturing October 9, 2006 7,920,000
Desa International, Inc.
7,200,000 Term loan, maturing November 30, 2004 7,200,000
Diamond Brands Operating Corp.
1,791,136 Term loan, maturing March 31, 2005 1,791,136
11,277,546 Term loan, maturing March 31, 2006 11,277,546
Polaroid Corporation
16,785,714 Revolving loan, maturing December 31, 2001 16,785,714
Samsonite Corporation
5,524,670 Term loan, maturing June 24, 2005 5,524,670
Shop Vac Corporation
13,000,000 Term loan, maturing June 30, 2007 13,000,000
The Imperial Decor Home Group, Inc.
10,692,889 Term loan, maturing March 12, 2005 9,088,956
6,225,637 Term loan, maturing March 12, 2006 5,291,791
The Scotts Company
8,610,068 Term loan, maturing June 30, 2006 8,610,068
8,291,411 Term loan, maturing June 30, 2007 8,291,411
United Industries Corporation
21,715,025 Term loan, maturing January 20, 2006 21,715,025
Werner Holding Co.
8,039,597 Term loan, maturing November 30, 2004 8,039,597
4,851,000 Term loan, maturing November 30, 2005 4,851,000
- -------------------------------------------------------------------------------
$ 134,767,762
- -------------------------------------------------------------------------------
Insurance -- 0.6%
- -------------------------------------------------------------------------------
Acordia, Inc.
$ 22,613,377 Term loan, maturing December 31, 2004 $ 22,613,377
Willis Corroon Corporation
11,155,000 Term loan, maturing February 19, 2007 11,155,000
12,837,500 Term loan, maturing February 19, 2008 12,837,500
12,837,500 Term loan, maturing August 19, 2008 12,837,500
- -------------------------------------------------------------------------------
$ 59,443,377
- -------------------------------------------------------------------------------
Leisure Equipment & Products -- 0.2%
- -------------------------------------------------------------------------------
AMSCAN Holdings, Inc.
$ 8,285,454 Term loan, maturing December 31, 2004 $ 8,285,454
Hedstrom Corporation
5,324,234 Term loan, maturing June 30, 2003 5,324,234
2,025,597 Term loan, maturing June 30, 2005 2,025,597
- -------------------------------------------------------------------------------
$ 15,635,285
- -------------------------------------------------------------------------------
Machinery -- 0.9%
- -------------------------------------------------------------------------------
Chart Industries, Inc.
$ 19,950,000 Term loan, maturing March 31, 2006 $ 19,950,000
Citation Corporation
13,500,000 Term loan, maturing December 1, 2007 13,500,000
Numatics, Incorporated
1,777,117 Term loan, maturing March 19, 2004 1,777,117
3,377,068 Term loan, maturing September 19, 2005 3,377,068
Terex Corporation
12,242,718 Term loan, maturing March 31, 2005 12,242,718
15,000,000 Revolving loan, maturing March 31, 2007 15,000,000
Thermadyne MFG LLC
2,962,500 Term loan, maturing May 22, 2004 2,962,500
8,857,575 Term loan, maturing May 22, 2005 8,857,575
8,857,575 Term loan, maturing May 22, 2006 8,857,575
- -------------------------------------------------------------------------------
$ 86,524,553
- -------------------------------------------------------------------------------
Manufacturing -- 2.4%
- -------------------------------------------------------------------------------
Advanced Glassfiber Yarns LLC
$ 21,534,344 Term loan, maturing September 30, 2005 $ 21,534,344
Dayton Superior Corporation
19,000,000 Term loan, maturing September 29, 2005 19,000,000
International Wire Group, Inc.
40,101,188 Term loan, maturing September 30, 2002 40,101,188
Matthew Warren, Inc.
7,685,388 Term loan, maturing May 31, 2005 7,685,388
2,826,403 Term loan, maturing May 31, 2006 2,826,403
Morris Material Handling, Inc.
6,538,970 Term loan, maturing March 31, 2003 6,538,970
Mueller Group, Inc.
12,678,769 Term loan, maturing August 17, 2006 12,678,769
12,678,769 Term loan, maturing August 17, 2007 12,678,769
Neenah Foundry Company
29,603,418 Term loan, maturing September 30, 2005 29,603,418
Polypore Incorporated
3,000,000 Term loan, maturing December 31, 2006 3,000,000
SPX Corporation
36,781,250 Term loan, maturing September 30, 2006 36,781,250
1,388,889 Term loan, maturing January 21, 2007 1,388,889
Synthetic Industries, Inc.
12,000,000 Term loan, maturing December 30, 2007 12,000,000
Tokheim Corporation
18,457,292 Term loan, maturing September 30, 2004 18,457,292
- -------------------------------------------------------------------------------
$ 224,274,680
- -------------------------------------------------------------------------------
Metals & Mining -- 1.1%
- -------------------------------------------------------------------------------
C II Carbon, LLC
$ 9,308,805 Term loan, maturing June 30, 2008 $ 9,308,805
Handy & Harman
6,930,000 Term loan, maturing July 30, 2006 6,930,000
Ispat Inland, LP
9,825,126 Term loan, maturing July 15, 2005 9,751,438
9,825,126 Term loan, maturing July 16, 2006 9,751,438
U.S. Silica Company
8,000,000 Term loan, maturing September 30, 2007 8,000,000
Ucar Global Enterprises, Inc.
14,807,843 Term loan, maturing December 31, 2002 14,807,843
45,279,987 Term loan, maturing December 31, 2003 45,279,987
- -------------------------------------------------------------------------------
$ 103,829,511
- -------------------------------------------------------------------------------
Miscellaneous -- 0.5%
- -------------------------------------------------------------------------------
Alliance Laundry Holdings LLC.
$ 17,500,000 Term loan, maturing September 30, 2005 $ 17,500,000
Coinmach Laundry Corporation
33,963,172 Term loan, maturing June 30, 2005 33,963,172
- -------------------------------------------------------------------------------
$ 51,463,172
- -------------------------------------------------------------------------------
Office Equipment & Supplies -- 1.0%
- -------------------------------------------------------------------------------
Buhrmann, Inc.
$ 46,000,000 Term loan, maturing December 31, 2007 $ 46,000,000
Identity Group, Inc.
6,982,500 Term loan, maturing April 30, 2007 6,982,500
Neopost (F.M.E. Corporation)
14,735,295 Term loan, maturing June 24, 2006 14,735,295
U.S. Office Products
26,440,703 Term loan, maturing June 9, 2006 26,440,703
- -------------------------------------------------------------------------------
$ 94,158,498
- -------------------------------------------------------------------------------
Oil & Gas -- 0.3%
- -------------------------------------------------------------------------------
Firefly Trust (Enron)
15,000,000 Term loan, maturing March 31, 2004 $ 15,000,000
Transmontaigne Inc.
14,000,000 Term loan, maturing June 30, 2006 14,000,000
- -------------------------------------------------------------------------------
$ 29,000,000
- -------------------------------------------------------------------------------
Paper & Forest Products -- 0.5%
- -------------------------------------------------------------------------------
Alabama River & Newsprint
$ 20,163,627 Term loan, maturing December 31, 2002 $ 18,669,885
Bear Island Paper Company, LLC
9,076,491 Term loan, maturing December 31, 2005 9,076,491
Pacifica Papers, Inc.
17,910,000 Term loan, maturing March 5, 2006 17,910,000
- -------------------------------------------------------------------------------
$ 45,656,376
- -------------------------------------------------------------------------------
Personal Products -- 1.7%
- -------------------------------------------------------------------------------
AM Cosmetics, Inc.*
$ 1,758,549 Revolving loan, maturing May 30, 2004 $ 1,758,549
1,831,215 Term loan, maturing May 30, 2004 1,831,215
3,662,430 Term loan, maturing May 30, 2006 3,662,430
3,662,430 Subordinated debt, maturing May 30, 2007 2,820,071
American Safety Razor Company
6,975,000 Term loan, maturing April 30, 2007 6,975,000
Mary Kay Inc.
18,145,606 Term loan, maturing March 6, 2004 18,145,606
Playtex Products, Inc.
50,949,000 Term loan, maturing June 15, 2003 50,949,000
Revlon Consumer Products Corporation
73,380,000 Term loan, maturing May 29, 2002 73,380,000
- -------------------------------------------------------------------------------
$ 159,521,871
- -------------------------------------------------------------------------------
Pharmaceuticals & Biotechnology -- 0.3%
- -------------------------------------------------------------------------------
Express Scripts, Inc.
$ 5,000,000 Term loan, maturing March 31, 2006 $ 5,000,000
King Pharmaceuticals, Inc.
15,345,000 Term loan, maturing December 31, 2005 15,345,000
Shire Pharmaceuticals
5,000,000 Term loan, maturing December 31, 2005 5,000,000
- -------------------------------------------------------------------------------
$ 25,345,000
- -------------------------------------------------------------------------------
Publishing & Printing -- 4.1%
- -------------------------------------------------------------------------------
21ST Century Newspapers, Inc.
$ 9,333,750 Term loan, maturing September 15, 2005 $ 9,333,750
American Media Operations Inc.
10,000,000 Term loan, maturing April 1, 2006 10,000,000
25,000,000 Term loan, maturing April 1, 2007 25,000,000
Cygnus Publishing, Inc.
12,661,630 Term loan, maturing June 5, 2005 12,661,630
Entertainment Publications, Inc.
14,000,000 Term loan, maturing December 31, 2005 14,000,000
HIF Corp.
37,000,000 Term loan, maturing December 31, 2004 37,000,000
Journal Register Company
42,000,000 Term loan, maturing September 30, 2006 42,000,000
Merrill Corporation
8,500,000 Term loan, maturing November 15, 2007 8,500,000
Morris Communications Corporation
27,410,152 Term loan, maturing June 30, 2005 27,410,152
Primedia Inc.
3,240,000 Revolving loan, maturing June 30, 2004 3,240,000
51,500,000 Term loan, maturing June 30, 2004 51,500,000
R.H. Donnelley Inc.
11,112,854 Term loan, maturing December 5, 2005 11,112,854
12,773,396 Term loan, maturing December 5, 2006 12,773,396
Rand McNally & Company
987,500 Term loan, maturing April 30, 2005 987,500
4,443,750 Term loan, maturing April 30, 2006 4,443,750
Reiman Publications
5,500,000 Term loan, maturing November 30, 2005 5,500,000
The McClatchy Company
35,860,606 Term loan, maturing September 10, 2007 35,860,606
The Sheridan Group, Inc.
7,895,302 Term loan, maturing January 30, 2005 7,895,302
Von Hoffman Press, Inc.
9,821,023 Term loan, maturing May 30, 2004 9,821,023
25,232,603 Term loan, maturing May 30, 2005 25,232,603
Ziff-Davis Publishing Company
7,685,759 Revolving loan, maturing March 31, 2005 7,685,759
26,205,000 Term loan, maturing March 31, 2006 26,205,000
- -------------------------------------------------------------------------------
$ 388,163,325
- -------------------------------------------------------------------------------
REIT's -- 0.4%
- -------------------------------------------------------------------------------
Meditrust Corporation
$ 7,827,753 Revolving loan, maturing July 15, 2001 $ 7,827,753
15,050,000 Term loan, maturing July 15, 2001 15,050,000
Prison Realty Corporation
14,850,000 Term loan, maturing January 1, 2003 14,850,000
- -------------------------------------------------------------------------------
$ 37,727,753
- -------------------------------------------------------------------------------
Restaurants -- 1.1%
- -------------------------------------------------------------------------------
AFC Enterprises Inc.
$ 11,148,812 Term loan, maturing June 30, 2004 $ 11,148,812
Applebee's International, Inc.
12,599,224 Term loan, maturing March 31, 2006 12,599,224
Coco's Carrow's and Jojo's Restaurants
7,500,000 Term loan, maturing April 30, 2003 7,500,000
Friendly Ice Cream Corporation
1,258,616 Term loan, maturing November 15, 2004 1,258,616
6,293,071 Term loan, maturing November 15, 2005 6,293,071
Shoney's Inc.
2,226,212 Term loan, maturing April 30, 2002 2,226,212
10,398,722 Term loan, maturing April 30, 2002 10,398,722
Tricon Global Restaurants, Inc.
53,279,832 Term loan, maturing October 2, 2002 53,279,832
- -------------------------------------------------------------------------------
$ 104,704,489
- -------------------------------------------------------------------------------
Retail - Food & Drug -- 0.6%
- -------------------------------------------------------------------------------
Duane Reade Inc.
$ 11,298,750 Term loan, maturing February 15, 2005 $ 11,312,873
6,295,075 Term loan, maturing February 15, 2006 6,295,075
Fred Meyer, Inc.
6,548,473 Term loan, maturing March 11, 2003 6,548,473
Pathmark Stores, Inc.
32,028,825 Term loan, maturing December 15, 2001 32,028,825
- -------------------------------------------------------------------------------
$ 56,185,246
- -------------------------------------------------------------------------------
Retail - Multiline -- 0.5%
- -------------------------------------------------------------------------------
Service Merchandise
$ 29,850,000 DIP loan, maturing April 30, 2003 $ 29,850,000
Tuesday Morning Corporation
16,479,213 Term loan, maturing December 31, 2004 16,479,213
- -------------------------------------------------------------------------------
$ 46,329,213
- -------------------------------------------------------------------------------
Retail - Specialty -- 1.3%
- -------------------------------------------------------------------------------
Advanced Stores Company, Inc.
$ 6,000,000 Term loan, maturing April 15, 2005 $ 6,000,000
30,884,000 Term loan, maturing April 15, 2006 30,884,000
Central Tractor Farm & Country, Inc.
3,432,500 Term loan, maturing April 30, 2006 3,432,500
CSK Auto, Inc.
31,912,000 Term loan, maturing October 31, 2003 31,912,000
14,940,000 Term loan, maturing October 31, 2004 14,940,000
Nebraska Book Company
7,327,221 Term loan, maturing March 31, 2006 7,327,221
Petco Animal Supplies Inc.
4,975,000 Term loan, maturing April 29, 2006 4,975,000
Petro Shopping Centers, L.P.
11,500,000 Term loan, maturing July 31, 2006 11,500,000
Travelcenters of America, Inc.
11,905,363 Term loan, maturing March 27, 2005 11,905,363
- -------------------------------------------------------------------------------
$ 122,876,084
- -------------------------------------------------------------------------------
Road & Rail -- 0.7%
- -------------------------------------------------------------------------------
I & M Rail Link, LLC
$ 8,264,000 Term loan, maturing March 31, 2004 $ 8,264,000
MTL
15,231,564 Term loan, maturing August 28, 2005 15,231,564
13,198,483 Term loan, maturing February 28, 2006 13,198,483
Transportation Manufacturing Operations, Inc.
20,397,500 Term loan, maturing June 15, 2006 20,397,500
Transportation Technologies Industries, Inc.
(Johnstown)
4,378,000 Term loan, maturing April 30, 2007 4,378,000
- -------------------------------------------------------------------------------
$ 61,469,547
- -------------------------------------------------------------------------------
Semiconductor Equipment & Products -- 0.9%
- -------------------------------------------------------------------------------
Fairchild Semiconductor Corporation
$ 29,591,364 Term loan, maturing December 15, 2004 $ 29,591,364
Intersil Corporation
18,500,000 Term loan, maturing June 30, 2005 18,500,000
Semiconductor Components Industries, LLC
18,175,926 Term loan, maturing August 4, 2006 18,175,926
19,574,074 Term loan, maturing August 4, 2007 19,574,074
- -------------------------------------------------------------------------------
$ 85,841,364
- -------------------------------------------------------------------------------
Shipping Lines -- 0.3%
- -------------------------------------------------------------------------------
American Commercial Lines
$ 11,300,045 Term loan, maturing July 30, 2006 $ 11,300,045
17,471,105 Term loan, maturing June 30, 2007 17,471,105
- -------------------------------------------------------------------------------
$ 28,771,150
- -------------------------------------------------------------------------------
Telecommunications - Wireline -- 0.7%
- -------------------------------------------------------------------------------
Alec Holdings, Inc.
$ 10,473,684 Term loan, maturing November 30, 2006 $ 10,473,684
8,526,316 Term loan, maturing November 30, 2007 8,526,316
Davel Communications
3,960,000 Term loan, maturing June 23, 2005 3,960,000
Globenet Communication Holdings Ltd.
14,000,000 Term loan, maturing September 30, 2005 14,000,000
Level 3 Communications, Inc.
13,500,000 Term loan, maturing July 15, 2008 13,500,000
MJD Communications
4,516,855 Term loan, maturing March 31, 2006 4,516,855
4,414,958 Term loan, maturing March 31, 2007 4,414,958
NSC Communications Corporation
10,958,824 Term loan, maturing October 1, 2003 10,958,824
- -------------------------------------------------------------------------------
$ 70,350,637
- -------------------------------------------------------------------------------
Telecommunications - Wireless -- 5.0%
- -------------------------------------------------------------------------------
American Cellular Wireless LLC.
$ 11,250,000 Term loan, maturing June 25, 2006 $ 11,250,000
24,065,016 Term loan, maturing June 25, 2007 24,065,016
24,125,633 Term loan, maturing December 25, 2007 24,125,633
Cellular, Inc Financial Corporation
378,857 Revolving loan, maturing September 30, 2005 378,857
2,214,643 Term loan, maturing September 30, 2005 2,214,643
5,146,827 Term loan, maturing September 30, 2006 5,146,827
9,169,594 Term loan, maturing March 31, 2007 9,169,594
25,681,286 Term loan, maturing September 30, 2007 25,681,286
Centennial Cellular Corp.
2,000,000 Term loan, maturing November 30, 2005 2,000,000
25,917,500 Term loan, maturing November 30, 2006 26,176,675
25,917,500 Term loan, maturing November 30, 2007 26,176,675
Microcell Connexions
17,000,000 Term loan, maturing December 30, 2005 17,000,000
11,203,150 Term loan, maturing March 1, 2006 11,203,150
Nextel Communications, Inc.
36,250,000 Term loan, maturing June 30, 2008 36,680,650
36,250,000 Term loan, maturing December 30, 2008 36,680,650
Spectrasite Communications, Inc.
18,000,000 Term loan, maturing June 30, 2006 18,000,000
Sygnet Operating Company (Dobson)
14,090,323 Term loan, maturing March 31, 2007 14,125,548
12,430,000 Term loan, maturing December 23, 2007 12,461,075
Telecorp PCS
30,000,000 Term loan, maturing January 17, 2007 30,000,000
Teligent, Inc.
15,000,000 Term loan, maturing June 30, 2006 15,000,000
Tritel Holding Corp.
30,000,000 Term loan, maturing December 31, 2007 30,000,000
Triton Cellular Partners, L.P.
7,250,000 Term loan, maturing February 1, 2008 7,250,000
Western PCS Holding Corporation
416,667 Term loan, maturing June 30, 2006 416,667
38,000,000 Term loan, maturing June 30, 2007 38,000,000
Western Wireless
35,000,000 Term loan, maturing March 31, 2002 35,000,000
15,500,000 Term loan, maturing March 31, 2004 15,500,000
- -------------------------------------------------------------------------------
$ 473,702,946
- -------------------------------------------------------------------------------
Textiles & Apparel -- 1.8%
- -------------------------------------------------------------------------------
CAF Holdings, Inc.
$ 3,129,412 Term loan, maturing June 30, 2002 $ 3,129,412
Cluett American Corp
14,850,000 Term loan, maturing May 18, 2005 14,850,000
Collins & Aikman Floorcovering
11,000,000 Term loan, maturing June 3, 2004 11,000,000
Galey & Lord, Inc.
12,476,607 Term loan, maturing April 2, 2005 11,228,946
8,850,734 Term loan, maturing April 1, 2006 7,965,660
GFSI, Inc.
12,809,170 Term loan, maturing March 31, 2004 12,809,170
Globe Manufacturing Corp
12,100,000 Term loan, maturing July 31, 2006 12,100,000
Joan Fabrics Corporation
5,571,287 Term loan, maturing June 30, 2003 5,571,287
11,218,943 Term loan, maturing June 30, 2005 11,218,943
5,658,606 Term loan, maturing June 30, 2006 5,658,606
Pillowtex Corporation
34,881,539 Term loan, maturing December 31, 2004 34,881,539
Renfro Corporation
4,600,000 Term loan, maturing November 15, 2003 4,600,000
The William Carter Company
18,842,639 Term loan, maturing October 31, 2003 18,842,639
Walls Industries, Inc.
4,787,234 Term loan, maturing February 28, 2005 4,787,234
6,702,127 Term loan, maturing February 28, 2006 6,702,127
- -------------------------------------------------------------------------------
$ 165,345,563
- -------------------------------------------------------------------------------
Theaters -- 0.8%
- -------------------------------------------------------------------------------
Carmike Cinemas, Inc.
$ 11,790,625 Term loan, maturing February 25, 2005 $ 11,790,625
Edwards Megaplex Holdings, LLC
11,500,000 Term loan, maturing August 25, 2006 11,500,000
Hollywood Theater Holdings, Inc.
8,932,500 Term loan, maturing March 31, 2006 8,932,500
Regal Cinemas Inc.
24,750,000 Term loan, maturing May 27, 2005 24,750,000
14,306,206 Term loan, maturing May 27, 2006 14,306,206
3,661,347 Term loan, maturing May 27, 2007 3,661,347
- -------------------------------------------------------------------------------
$ 74,940,678
- -------------------------------------------------------------------------------
Total Senior, Floating-Rate Loan Interests
(identified cost, $8,149,750,321) $8,077,216,477
- -------------------------------------------------------------------------------
Common Stocks and Warrants -- 0.1%
Shares/Warrants Security Value
- -------------------------------------------------------------------------------
806,708 AFC Enterprises Common Stock* $ 6,251,987
375,714 Tokheim Common Stock Warrants* 0
608 Classic Cable Common Stock Warrants* 0
34,364 PSI Acquisition Warrants* 0
52,190 AM Cosmetics Common Stock* 0
583 AM Cosmetics (Series E) Preferred Stock* 0
- -------------------------------------------------------------------------------
Total Common Stocks and Warrants
(identified cost, $0) $ 6,251,987
- -------------------------------------------------------------------------------
Short-Term Investments -- 11.6%
Principal Maturity
Amount Date Security Rate Value
- -------------------------------------------------------------------------------
$150,000,000 01/11/00 American Express Credit
Corporation 6.50% $149,729,167
30,000,000 01/19/00 Bellsouth Telecommunications 5.91% 29,911,350
100,000,000 01/27/00 CIT Group Holdings, Inc. 5.99% 99,567,389
50,000,000 01/20/00 Corporate Asset Funding 6.03% 49,840,875
50,000,000 01/25/00 Corporate Asset Funding 6.10% 49,796,667
35,000,000 01/25/00 Corporate Asset Funding 6.60% 34,846,000
50,000,000 01/26/00 Corporate Asset Funding 6.10% 49,788,195
50,000,000 01/14/00 Corporate Receivables Corporation 6.60% 49,880,833
50,000,000 01/18/00 Corporate Receivables Corporation 6.05% 49,857,153
30,000,000 01/19/00 Corporate Receivables
Corporation 144A 6.05% 29,909,250
50,000,000 01/21/00 Corporate Receivables Corporation 6.03% 49,832,500
51,153,000 01/19/00 Delaware Funding Corporation 6.05% 50,998,262
75,000,000 01/20/00 Delaware Funding Corporation 6.07% 74,759,729
19,886,000 01/24/00 Delaware Funding Corporation 6.07% 19,808,881
50,459,000 01/25/00 Delaware Funding Corporation 6.02% 50,256,491
86,076,000 02/03/00 General Electric Capital
Corporation 5.85% 85,614,417
15,000,000 01/05/00 Panasonic Finance 5.45% 14,990,917
150,000,000 02/07/00 Prudential Funding Corporation 5.99% 149,076,542
- -------------------------------------------------------------------------------
Total Short-term Investments,
at amortized cost $1,088,464,618 $1,088,464,618
- -------------------------------------------------------------------------------
Total Investments -- 97.7%
(identified cost, $9,238,214,939 $9,171,933,082
- -------------------------------------------------------------------------------
Other Assets, Less Liabilities -- 2.3% $ 214,918,241
- -------------------------------------------------------------------------------
Total Net Assets -- 100% $9,386,851,323
- -------------------------------------------------------------------------------
* Non-income producing security.
(1) Senior floating rate loan 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 secured floating rate
interests will have an expected average life of approximately three years.
Note: At December 31, 1999, the Portfolio had unfunded commitments amounting
to $126,663,503 under various revolving credit agreements.
<PAGE>
Senior Debt Portfolio as of December 31, 1999
FINANCIAL STATEMENTS
Statement of Assets and Liabilities
As of December 31, 1999
(Expressed in United States Dollars)
Assets
- -------------------------------------------------------------------------------
Investments, at value
(identified cost, $9,238,214,939) $9,171,933,082
Cash 177,368,368
Interest receivable 56,241,037
Miscellaneous receivable 101,715
Deferred organization expenses 19,203
Prepaid expenses 1,052,163
- -------------------------------------------------------------------------------
Total assets $9,406,715,568
- -------------------------------------------------------------------------------
Liabilities
- ------------------------------------------------------------------------------
Deferred facility fee income $ 19,491,851
Payable to affiliate for Trustees' fees 32,200
Accrued expenses 340,194
- -------------------------------------------------------------------------------
Total liabilities $ 19,864,245
- -------------------------------------------------------------------------------
Net assets applicable to investors' interest in Portfolio $9,386,851,323
- -------------------------------------------------------------------------------
Sources of Net Assets
- -------------------------------------------------------------------------------
Net proceeds from capital contributions and withdrawals $9,453,133,180
Net unrealized depreciation (computed on the basis of
identified cost) (66,281,857)
- -------------------------------------------------------------------------------
Total $9,386,851,323
- -------------------------------------------------------------------------------
See notes to financial statements
<PAGE>
Statement of Operations
For the Year Ended December 31, 1999
(Expressed in United States Dollars)
Investment Income
- -------------------------------------------------------------------------------
Interest $ 647,083,412
Facility fees earned 8,314,144
Miscellaneous 266,811
- -------------------------------------------------------------------------------
Total investment income $ 655,664,367
- -------------------------------------------------------------------------------
Expenses
- -------------------------------------------------------------------------------
Investment adviser fee $ 71,817,294
Trustees fees and expenses 55,702
Custodian fee 1,169,268
Legal and accounting services 735,055
Interest 429,680
Amortization of organization expenses 6,205
Miscellaneous 175,070
- -------------------------------------------------------------------------------
Total expenses $ 74,388,274
- -------------------------------------------------------------------------------
Deduct --
Reduction of investment adviser fee $ 26,759,494
- -------------------------------------------------------------------------------
Net expenses $ 47,628,780
- -------------------------------------------------------------------------------
Net investment income $ 608,035,587
- -------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
- -------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $ (20,731,038)
- -------------------------------------------------------------------------------
Net realized loss $ (20,731,038)
- -------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ (62,738,620)
- -------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) $ (62,738,620)
- -------------------------------------------------------------------------------
Net realized and unrealized loss $ (83,469,658)
- -------------------------------------------------------------------------------
Net increase in net assets from operations $ 524,565,929
- -------------------------------------------------------------------------------
See notes to financial statements
<PAGE>
<TABLE>
Senior Debt Portfolio as of December 31, 1999
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
(Expressed in United States Dollars)
<CAPTION>
Increase (Decrease) Year Ended Year Ended
in Net Assets December 31, 1999 December 31, 1998
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
From operations --
Net investment income $ 608,035,587 $ 360,840,178
Net realized gain (loss) (20,731,038) 936,231
Net change in unrealized appreciation
(depreciation) (62,738,620) (6,219,087)
- -----------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 524,565,929 $ 355,557,322
- -----------------------------------------------------------------------------------------------
Capital transactions --
Contributions $4,388,066,031 $3,159,636,461
Withdrawals (1,956,114,319) (1,119,932,026)
- -----------------------------------------------------------------------------------------------
Net increase in net assets from capital
transactions $2,431,951,712 $2,039,704,435
- -----------------------------------------------------------------------------------------------
Net increase in net assets $2,956,517,641 $2,395,261,757
- -----------------------------------------------------------------------------------------------
Net Assets
- -----------------------------------------------------------------------------------------------
At beginning of year $6,430,333,682 $4,035,071,925
- -----------------------------------------------------------------------------------------------
At end of year $9,386,851,323 $6,430,333,682
- -----------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
Senior Debt Portfolio as of December 31, 1999
FINANCIAL STATEMENTS CONT'D
Statement of Cash Flows
(Expressed in United States Dollars)
Year Ended
Increase (Decrease) in Cash December 31, 1999
- -------------------------------------------------------------------------------
Cash flows from (used for) operating activities --
Purchases of loan interests $(6,893,590,030)
Proceeds from sales and principal repayments 4,723,146,301
Interest received 635,115,611
Facility fees received 17,179,104
Miscellaneous income received 266,811
Interest paid (412,603)
Operating expenses paid (47,161,069)
Net increase in short-term investments (724,429,128)
- -------------------------------------------------------------------------------
Net cash used for operating activities $(2,289,885,003)
- -------------------------------------------------------------------------------
Cash flows from (used for) financing activities --
Proceeds from capital contributions $ 4,388,066,031
Payments for capital withdrawals (1,956,114,319)
- -------------------------------------------------------------------------------
Net cash from financing activities $ 2,431,951,712
- -------------------------------------------------------------------------------
Net increase in cash $ 142,066,709
- -------------------------------------------------------------------------------
Cash at beginning of year $ 35,301,659
- -------------------------------------------------------------------------------
Cash at end of year $ 177,368,368
- -------------------------------------------------------------------------------
Reconciliation of Net Increase in Net Assets
From Operations to Net Cash Used For
Operating Activities
- -------------------------------------------------------------------------------
Net increase in net assets from operations $ 524,565,929
Decrease in receivable for investments sold 6,389,759
Increase in interest receivable (11,546,747)
Decrease in prepaid expenses 80,004
Decrease in deferred organizational expenses 6,205
Increase in payable to affiliate 10,300
Increase in deferred facility fee income 9,015,017
Decrease in accrued expenses (47,606)
Net increase in investments (2,818,357,864)
- -------------------------------------------------------------------------------
See notes to financial statements
<PAGE>
<TABLE>
Senior Debt Portfolio as of December 31, 1999
FINANCIAL STATEMENTS CONT'D
Supplementary Data (Expressed in United States Dollars)
<CAPTION>
Year Ended December 31,
------------------------------------------------------------------------------------
1999 1998 1997 1996 1995(1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Ratios to average daily net assets
- -----------------------------------------------------------------------------------------------------------------------------------
Operating expenses 0.56% 0.93% 0.94% 0.98% 1.01%(2)
Interest expense 0.01% 0.01% 0.02% 0.04% 0.13%(2)
Net investment income 7.32% 7.12% 7.12% 7.17% 7.95%(2)
Portfolio turnover 64% 56% 81% 75% 39%
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (000's omitted) $9,386,851 $6,430,334 $4,035,072 $3,010,074 $1,621,339
- -----------------------------------------------------------------------------------------------------------------------------------
(1) For the period from the start of business, February 22, 1995, to December 31, 1995.
(2) Annualized.
See notes to financial statements
</TABLE>
<PAGE>
Senior Debt Portfolio as of December 31, 1999
NOTES TO FINANCIAL STATEMENTS
(Expressed in United States Dollars)
1 Significant Accounting Policies
------------------------------------------------------------------------------
Senior Debt Portfolio (the Portfolio) is registered under the Investment
Company Act of 1940 as a non-diversified, closed-end investment company
which was organized as a trust under the laws of the State of New York on
May 1, 1992. The Declaration of Trust permits the Trustees to issue
interests in the Portfolio. The following is a summary of significant
accounting policies of the Portfolio. The policies are in conformity with
accounting principles generally accepted in the United States of America.
A Investment Valuation -- The Portfolio's investments are in interests in
senior floating-rate loans (Senior Loans). Certain Senior Loans are deemed
to be liquid because reliable market quotations are readily available for
them. Boston Management and Research (BMR) values liquid Senior Loans at
their market value, so that they are marked to market daily. Other Senior
Loans are valued at fair value by the Portfolio's investment adviser, BMR,
under procedures established by the Trustees as permitted by Section 2(a)
(41) of the Investment Company Act of 1940. Such procedures include the
consideration of relevant factors, data and information relating to fair
value, including (i) the characteristics of and fundamental analytical data
relating to the Senior Loan, including the cost, size, current interest
rate, period until next interest rate reset, maturity and base lending rate
of the Senior Loan, the terms and conditions of the Senior Loan and any
related agreements, and the position of the Senior Loan in the Borrower's
debt structure; (ii) the nature, adequacy and value of the collateral,
including the Portfolio's rights, remedies and interests with respect to the
collateral; (iii) the creditworthiness of the Borrower, based on an
evaluation of its financial condition, financial statements and information
about the Borrower's business, cash flows, capital structure and future
prospects; (iv) information relating to the market for the Senior Loan
including price quotations for and trading in the Senior Loan, and interests
in similar Senior Loans and the market environment and investor attitudes
towards the Senior Loan and interests in similar Senior Loans; (v) the
reputation and financial condition of the agent and any intermediate
participant in the Senior Loan; and (vi) general economic and market
conditions affecting the fair value of the Senior Loan. Other portfolio
securities (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 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. The
value of interest rate swaps will be determined in accordance with a
discounted present value formula and then confirmed by obtaining a bank
quotation. Short-term obligations which mature in sixty days or less are
valued at amortized cost, if their original term to maturity when acquired
by the Portfolio was 60 days or less or are valued at amortized cost using
their value on the 61st day prior to maturity, if their original term to
maturity when acquired by the Portfolio was more then 60 days, unless in
each case this is determined not to represent fair value. Repurchase
agreements are valued at cost plus accrued interest. Other portfolio
securities for which there are no quotations or valuations are valued at
fair value as determined in good faith by or on behalf of the Trustees.
B Income -- Interest income from Senior Loans is recorded on the accrual
basis at the then-current interest rate, while all other interest income is
determined on the basis of interest accrued, adjusted for amortization of
premium or discount when required for federal income tax purposes. Facility
fees received are recognized as income over the expected term of the loan.
C Income Taxes -- The Portfolio is treated as a partnership for federal tax
purposes. No provision is made by the Portfolio for federal or state taxes
on any taxable income of the Portfolio because each investor in the
Portfolio is ultimately responsible for the payment of any taxes. Since at
least one of the Portfolio's investors is a regulated investment company
that invests all or substantially all of its assets in the Portfolio, the
Portfolio normally must satisfy the applicable source of income and
diversification requirements (under the Internal Revenue Code) in order for
its investors to satisfy them. The Portfolio will allocate at least annually
among its investors each investor's distributive share of the Portfolio's
net investment income, net realized capital gains, and any other items of
income, gain, loss, deduction or credit. Withholding taxes on foreign
dividends and capital gains have been provided for in accordance with the
Portfolio's understanding of the applicable countries' tax rules and rates.
D Deferred Organization Expenses -- Costs incurred by the Portfolio in
connection with its organization are being amortized on the straight-line
basis over five years.
E Other -- Investment transactions are accounted for on a trade date basis.
F Use of Estimates -- The preparation of the financial statements in
conformity with accounting principles generally accepted in the United
States of America requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities at the date of the
financial statements and the reported amounts of revenue and expense during
the reporting period. Actual results could differ from those estimates.
2 Investment Adviser Fee and Other Transactions with Affiliates
------------------------------------------------------------------------------
The investment advisory fee is paid to Boston Management and Research (BMR)
as compensation for investment advisory services rendered to the Portfolio.
The fee is computed at a monthly rate of 19/240 of 1% (0.95% annually) of
the Portfolio's average daily gross assets up to and including $1 billion
and at reduced rates as daily gross assets exceed that level. Effective May
1, 1999, the Trustees of the Portfolio voted to accept a waiver of BMR's
compensation so that the aggregate advisory fees paid by the Portfolio under
the advisory agreement during any fiscal year will not exceed on an annual
basis 0.50% of average daily gross assets of the Portfolio up to and
including $1 billion and at reduced rates as daily gross assets exceed that
level. For the year ended December 31, 1999, the effective annual rate,
based on average daily gross assets, was 0.54% and amounted to $45,057,800.
Except as to Trustees of the Portfolio who are not members of BMR's
organization, officers and Trustees receive remuneration for their services
to the Portfolio out of such investment adviser fee.
Certain officers and Trustees of the Portfolio are officers of BMR. Trustees
of the Portfolio that are not affiliated with the Investment Adviser may
elect to defer receipt of all or a percentage of their annual fees in
accordance with the terms of the Trustees Deferred Compensation Plan. For
the year ended December 31, 1999, no significant amounts have been deferred.
During the year ended December 31, 1999 the Fund engaged in purchase and
sale transactions with other funds that also utilize BMR, or an affilite of
BMR, as an investment adviser. These purchase and sale transactions complied
with Rule 17a-7 under the Investment Company Act of 1940 and amounted to
$65,305,644 and $29,481,553, respectively.
3 Investments
------------------------------------------------------------------------------
The Portfolio invests primarily in Senior Loans. The ability of the issuers
of the Senior Loans to meet their obligations may be affected by economic
developments in a specific industry. The cost of purchases and the proceeds
from principal repayments and sales of Senior Loans for the year ended
December 31, 1999 aggregated $6,893,590,029 and $4,716,756,542,
respectively.
4 Short-Term Debt and Credit Agreements
------------------------------------------------------------------------------
The Portfolio has a $400 million unsecured line of credit with a group of
banks to permit the Portfolio to invest in accordance with its investment
practices. Interest is charged under the credit agreement at the bank's base
rate or at an amount above LIBOR. Interest expense includes a commitment fee
of approximately $429,680 which is computed at the annual rate of 0.10% of
the credit agreement. There were no significant borrowings under this
agreement during the year ended December 31, 1999. As of December 31, 1999,
the Portfolio had no borrowings outstanding.
5 Federal Income Tax Basis of Investments
------------------------------------------------------------------------------
The cost and unrealized appreciation/depreciation in the value of the
investments owned at December 31, 1999, as computed on a federal income tax
basis, were as follows:
Aggregate cost $9,238,214,939
---------------------------------------------------------------------------
Gross unrealized appreciation $ 10,164,488
Gross unrealized depreciation (76,446,345)
---------------------------------------------------------------------------
Net unrealized depreciation $ (66,281,857)
---------------------------------------------------------------------------
<PAGE>
Senior Debt Portfolio as of December 31, 1999
INDEPENDENT AUDITORS' REPORT
To the Trustees and Investors
of Senior Debt Portfolio:
- --------------------------------------------------------------------------------
We have audited the accompanying statement of assets and liabilities,
including the portfolio of investments, of Senior Debt Portfolio (the
Portfolio) as of December 31, 1999, the related statements of operations and
cash flows for the year then ended, the statements of changes in net assets
for the years ended December 31, 1999 and 1998, and the supplementary data for
each of the years in the four-year period ended December 31, 1999 and for the
period from the start of business, February 22, 1995, to December 31, 1995
(all expressed in U.S. Dollars). These financial statements and supplementary
data are the responsibility of the Portfolio's management. Our responsibility
is to express an opinion on these financial statements and supplementary data
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 supplementary data are free of material misstatement.
An audit includes examining, on a test basis, evidence supporting the amounts
and disclosures in the financial statements. Our procedures included
confirmation of securities and Senior Loans owned at December 31, 1999 by
correspondence with the custodian and selling or agent banks; where replies
were not received from selling or agent banks, we performed other auditing
procedures. 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 supplementary data present
fairly, in all material respects, the financial position of Senior Debt
Portfolio as of December 31, 1999, and the results of its operations, its cash
flows, the changes in net assets and its supplemental data for the respective
stated periods in conformity with accounting principles generally accepted in
the United States of America.
As discussed in Note 1A, the financial statements include Senior Loans and
certain other securities held by the Portfolio valued at $7,187,047,556
(76.56% of net assets of the Portfolio), which values are fair values
determined by the Portfolio's investment adviser in the absence of actual
market values. Determination of fair value involves subjective judgment, as
the actual market value of a particular Senior Loan or security can be
established only by negotiations between the parties in a sale transaction. We
have reviewed the procedures established by the Trustees and used by the
Portfolio's investment adviser in determining the fair values of such Senior
Loans and securities and have inspected underlying documentation, and in the
circumstances, we believe that the procedures are reasonable and the
documentation appropriate.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 11, 2000
<PAGE>
Eaton Vance Advisers Senior Floating-Rate Fund as of December 31, 1999
INVESTMENT MANAGEMENT
Eaton Vance Advisers Senior Floating-Rate Fund
Officers Trustees
JAMES B. HAWKES JESSICA M. BIBLIOWICZ
President and Trustee President and Chief Executive Officer,
National Financial Partners
SCOTT H. PAGE
Vice President DONALD R. DWIGHT
President, Dwight Partners, Inc.
PAYSON F. SWAFFIELD
Vice President SAMUEL L. HAYES, III
Jacob H. Schiff Professor of Investment
JAMES L. O'CONNOR Banking, Emeritus, Harvard University
Treasurer Graduate School of Business Administration
ALAN R. DYNNER NORTON H. REAMER
Secretary Chairman and Chief Executive Officer,
United Asset Management Corporation
LYNN A. STOUT
Professor of Law, Georgetown
University Law Center
JACK L. TREYNOR
Investment Adviser and Consultant
Senior Debt Portfolio
Officers Trustees
JAMES B. HAWKES JESSICA M. BIBLIOWICZ
President and Trustee President and Chief Executive Officer,
National Financial Partners
SCOTT H. PAGE
Vice President and DONALD R. DWIGHT
Co-Portfolio Manager President, Dwight Partners, Inc.
PAYSON F. SWAFFIELD SAMUEL L. HAYES, III
Vice President and Jacob H. Schiff Professor of Investment
Co-Portfolio Manager Banking, Emeritus, Harvard University
Graduate School of Business Administration
JAMES L. O'CONNOR
Treasurer NORTON H. REAMER
Chairman and Chief Executive Officer,
ALAN R. DYNNER United Asset Management Corporation
Secretary
LYNN A. STOUT
Professor of Law, Georgetown
University Law Center
JACK L. TREYNOR
Investment Adviser and Consultant
<PAGE>
This Page Intentionally Left Blank
<PAGE>
This Page Intentionally Left Blank
<PAGE>
This Page Intentionally Left Blank
<PAGE>
INVESTMENT ADVISER OF SENIOR DEBT PORTFOLIO
BOSTON MANAGEMENT AND RESEARCH
The Eaton Vance Building
255 State Street
Boston, MA 02109
ADMINISTRATOR OF EATON VANCE ADVISERS SENIOR FLOATING-RATE FUND
EATON VANCE MANAGEMENT
The Eaton Vance Building
255 State Street
Boston, MA 02109
PRINCIPAL UNDERWRITER
EATON VANCE DISTRIBUTORS, INC.
The Eaton Vance Building
255 State Street
Boston, MA 02109
(617) 482-8260
CUSTODIAN
INVESTORS BANK & TRUST COMPANY
200 Clarendon Street
Boston, MA 02116
TRANSFER AGENT
PFPC GLOBAL FUND SERVICES
Attention: Eaton Vance Funds
P.O. Box 5123
Westborough, MA 01581-5123
BANKING COUNSELS
MAYER, BROWN & PLATT
787 Seventh Avenue
New York, NY 10019
NIXON & PEABODY
101 Federal Street, 12th Floor
Boston, MA 02110
INDEPENDENT AUDITORS
DELOITTE & TOUCHE LLP
200 Berkeley Street
Boston, MA 02116-5022
EATON VANCE ADVISERS SENIOR FLOATING-RATE FUND
THE EATON VANCE BUILDING
255 STATE STREET
BOSTON, MA 02109
- --------------------------------------------------------------------------------
This report must be preceded or accompanied by a current prospectus which
contains more complete information on the Fund, including its sales charges and
expenses. Please read the prospectus carefully before you invest or send money.
- --------------------------------------------------------------------------------
166-12/99
A-SFRSRC-12/99
