<PAGE>
<TABLE>
Floating Rate Portfolio as of October 31, 2000
PORTFOLIO OF INVESTMENTS
SENIOR, SECURED, FLOATING RATE
INTERESTS -- 69.1%(1)
<CAPTION>
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
-------------------------------------------------------------------------------------------
Advertising -- 0.8%
-------------------------------------------------------------------------------------------
LAMAR MEDIA CORP.
<S> <C> <C>
$ 1,220,000 Term loan, maturing 3/1/06 $ 1,224,575
-------------------------------------------------------------------------------------------
$ 1,224,575
-------------------------------------------------------------------------------------------
Aerospace & Defense -- 0.8%
-------------------------------------------------------------------------------------------
UNITED DEFENSE INDUSTRIES, INC.
$ 610,000 Term loan, maturing 10/6/05 $ 606,950
610,000 Term loan, maturing 10/6/06 606,950
-------------------------------------------------------------------------------------------
$ 1,213,900
-------------------------------------------------------------------------------------------
Auto Components -- 0.8%
-------------------------------------------------------------------------------------------
AMERICAN AXLE & MANUFACTURING, INC.
$ 1,230,000 Term loan, maturing 4/30/06 $ 1,225,772
-------------------------------------------------------------------------------------------
$ 1,225,772
-------------------------------------------------------------------------------------------
Broadcast Media -- 4.2%
-------------------------------------------------------------------------------------------
BLACK ENTERTAINMENT TELEVISION
$ 1,227,520 Term loan, maturing 6/30/06 $ 1,212,688
DISCOVERY COMMUNICATIONS, INC.
1,000,000 Term loan, maturing 5/13/04 982,500
ENTRAVISION COMMUNICATIONS CORP.
1,200,000 Term loan, maturing 12/31/08 1,211,813
LIN TELEVISION CORP.
1,500,000 Term loan, maturing 3/31/07 1,496,562
SUSQUEHANNA MEDIA CO.
1,230,000 Term loan, maturing 6/30/08 1,231,922
-------------------------------------------------------------------------------------------
$ 6,135,485
-------------------------------------------------------------------------------------------
Cable Television -- 6.1%
-------------------------------------------------------------------------------------------
CENTURY CABLE HOLDINGS, LLC
$ 1,500,000 Term loan, maturing 12/31/09 $ 1,496,016
CHARTER COMMUNICATIONS OPERATING, LLC.
3,000,000 Term loan, maturing 3/18/08 2,992,233
CHELSEA COMMUNICATIONS, INC.
1,000,000 Term loan, maturing 12/31/04 997,500
FALCON HOLDING GROUP, L.P.
1,000,000 Term loan, maturing 12/31/07 994,792
FRONTIERVISION OPERATING PARTNERS, L.P.
1,220,000 Term loan, maturing 3/31/06 1,216,950
INSIGHT KENTUCKY PARTNERS I, L.P.
1,220,000 Term loan, maturing 4/30/08 1,213,646
-------------------------------------------------------------------------------------------
$ 8,911,137
-------------------------------------------------------------------------------------------
Casinos & Gaming -- 1.7%
-------------------------------------------------------------------------------------------
BOYD GAMING CORPORATION
$ 1,230,000 Term loan, maturing 6/15/05 $ 1,232,813
ISLE OF CAPRI CASINOS
649,036 Term loan, maturing 3/2/06 653,549
567,906 Term loan, maturing 3/2/07 571,855
-------------------------------------------------------------------------------------------
$ 2,458,217
-------------------------------------------------------------------------------------------
Chemicals -- 3.4%
-------------------------------------------------------------------------------------------
ARTEVA B.V. (KOSA)
$ 1,230,000 Term loan, maturing 12/31/06 $ 1,236,791
HUNTSMAN CORPORATION
1,220,000 Term loan, maturing 12/31/04 1,203,225
HUNTSMAN ICI CHEMICALS LLC
610,000 Term loan, maturing 6/30/07 615,234
610,000 Term loan, maturing 6/30/08 612,496
LYONDELL PETROCHEMICAL COMPANY
1,230,000 Term loan, maturing 6/30/07 1,271,800
-------------------------------------------------------------------------------------------
$ 4,939,546
-------------------------------------------------------------------------------------------
Commercial Services -- 0.8%
-------------------------------------------------------------------------------------------
VOLUME SERVICES, INC.
$ 1,230,000 Term loan, maturing 12/31/02 $ 1,233,844
-------------------------------------------------------------------------------------------
$ 1,233,844
-------------------------------------------------------------------------------------------
Communications Equipment -- 0.8%
-------------------------------------------------------------------------------------------
AMPHENOL CORPORATION
$ 1,230,000 Term loan, maturing 5/19/06 $ 1,225,217
-------------------------------------------------------------------------------------------
$ 1,225,217
-------------------------------------------------------------------------------------------
Computer Software & Services -- 0.8%
-------------------------------------------------------------------------------------------
PAUL G. ALLEN
$ 1,230,000 Term loan, maturing 6/10/03 $ 1,221,160
-------------------------------------------------------------------------------------------
$ 1,221,160
-------------------------------------------------------------------------------------------
Containers & Packaging - Metal & Glass -- 1.7%
-------------------------------------------------------------------------------------------
BALL CORPORATION
$ 1,230,000 Term loan, maturing 3/10/06 $ 1,231,986
SILGAN HOLDINGS INC.
1,230,000 Term loan, maturing 6/30/05 1,209,244
-------------------------------------------------------------------------------------------
$ 2,441,230
-------------------------------------------------------------------------------------------
Containers & Packaging - Paper -- 3.7%
-------------------------------------------------------------------------------------------
JEFFERSON SMURFIT CORPORATION
$ 1,500,000 Term loan, maturing 3/31/05 $ 1,495,500
1,500,000 Term loan, maturing 3/24/06 1,503,647
RIC HOLDING, INC.
610,000 Term loan, maturing 2/28/04 612,357
610,000 Term loan, maturing 8/28/04 612,357
STONE CONTAINER CORPORATION
410,000 Term loan, maturing 10/1/04 411,153
410,000 Term loan, maturing 12/31/06 410,366
410,000 Term loan, maturing 12/31/06 410,366
-------------------------------------------------------------------------------------------
$ 5,455,746
-------------------------------------------------------------------------------------------
Educational Services -- 0.8%
-------------------------------------------------------------------------------------------
JOSTENS, INC.
$ 1,220,000 Term loan, maturing 5/31/08 $ 1,226,016
-------------------------------------------------------------------------------------------
$ 1,226,016
-------------------------------------------------------------------------------------------
Electronic Equipment & Instruments -- 0.8%
-------------------------------------------------------------------------------------------
GENTEK, INC.
$ 1,220,000 Term loan, maturing 4/30/07 $ 1,221,144
-------------------------------------------------------------------------------------------
$ 1,221,144
-------------------------------------------------------------------------------------------
Entertainment -- 1.7%
-------------------------------------------------------------------------------------------
DREAMWORKS FILM TRUST
$ 1,220,000 Term loan, maturing 12/31/06 $ 1,228,769
METRO-GOLDWYN-MAYER STUDIOS INC.
1,230,000 Term loan, maturing 3/31/04 1,220,314
-------------------------------------------------------------------------------------------
$ 2,449,083
-------------------------------------------------------------------------------------------
Food, Beverages & Tobacco -- 2.5%
-------------------------------------------------------------------------------------------
DEL MONTE CORPORATION
$ 1,220,000 Term loan, maturing 3/25/05 $ 1,223,559
FLEMING COMPANIES, INC.
1,220,000 Term loan, maturing 7/25/04 1,162,638
SWEETENERS HOLDINGS, INC.
1,230,000 Term loan, maturing 6/30/07 1,230,769
-------------------------------------------------------------------------------------------
$ 3,616,966
-------------------------------------------------------------------------------------------
Health Care - Equipment & Supplies -- 1.5%
-------------------------------------------------------------------------------------------
FISHER SCIENTIFIC INTERNATIONAL INC
$ 610,000 Term loan, maturing 1/21/06 $ 611,634
610,000 Term loan, maturing 1/21/07 611,634
STRYKER CORPORATION
1,010,116 Term loan, maturing 12/10/06 1,015,483
-------------------------------------------------------------------------------------------
$ 2,238,751
-------------------------------------------------------------------------------------------
Health Care - Providers & Services -- 0.8%
-------------------------------------------------------------------------------------------
COMMUNITY HEALTH SYSTEMS, INC.
$ 410,000 Term loan, maturing 12/31/03 $ 406,626
410,000 Term loan, maturing 12/31/04 406,541
410,000 Term loan, maturing 12/31/05 407,395
-------------------------------------------------------------------------------------------
$ 1,220,562
-------------------------------------------------------------------------------------------
Hotels -- 2.6%
-------------------------------------------------------------------------------------------
STARWOOD HOTELS & RESORTS
$ 2,500,000 Term loan, maturing 2/23/03 $ 2,505,730
Wyndham International, Inc.
1,230,000 Term loan, maturing 6/30/04 1,229,146
-------------------------------------------------------------------------------------------
$ 3,734,876
-------------------------------------------------------------------------------------------
Household Furnish & Appliances -- 1.7%
-------------------------------------------------------------------------------------------
SEALY MATTRESS COMPANY
$ 410,000 Term loan, maturing 12/15/04 $ 410,555
410,000 Term loan, maturing 12/15/05 410,769
410,000 Term loan, maturing 12/15/06 410,555
SIMMONS COMPANY
610,000 Term loan, maturing 10/30/05 611,754
610,000 Term loan, maturing 10/30/06 611,754
-------------------------------------------------------------------------------------------
$ 2,455,387
-------------------------------------------------------------------------------------------
Household Products -- 0.8%
-------------------------------------------------------------------------------------------
THE SCOTTS COMPANY
$ 1,230,000 Term loan, maturing 6/30/06 $ 1,236,689
-------------------------------------------------------------------------------------------
$ 1,236,689
-------------------------------------------------------------------------------------------
Insurance -- 1.5%
-------------------------------------------------------------------------------------------
ACORDIA, INC.
$ 1,000,000 Term loan, maturing 12/31/04 $ 999,647
WILLIS CORROON CORPORATION
610,000 Term loan, maturing 2/19/08 610,254
610,000 Term loan, maturing 8/19/08 610,254
-------------------------------------------------------------------------------------------
$ 2,220,155
-------------------------------------------------------------------------------------------
Machinery -- 0.8%
-------------------------------------------------------------------------------------------
FLOWSERVE CORPORATION
$ 1,220,000 Term loan, maturing 6/30/08 $ 1,225,084
-------------------------------------------------------------------------------------------
$ 1,225,084
-------------------------------------------------------------------------------------------
Manufacturing -- 1.3%
-------------------------------------------------------------------------------------------
DAYTON SUPERIOR CORPORATION
$ 610,000 Term loan, maturing 9/29/05 $ 612,288
SPX CORPORATION
1,230,000 Term loan, maturing 12/31/06 1,234,613
-------------------------------------------------------------------------------------------
$ 1,846,901
-------------------------------------------------------------------------------------------
Office Equipment & Supplies -- 0.8%
-------------------------------------------------------------------------------------------
IRON MOUNTAIN, INC.
$ 1,220,000 Term loan, maturing 2/28/06 $ 1,230,675
-------------------------------------------------------------------------------------------
$ 1,230,675
-------------------------------------------------------------------------------------------
Paper & Forest Products -- 0.8%
-------------------------------------------------------------------------------------------
PACIFICA PAPERS, INC.
$ 1,230,000 Term loan, maturing 3/5/06 $ 1,236,535
-------------------------------------------------------------------------------------------
$ 1,236,535
-------------------------------------------------------------------------------------------
Pharmaceuticals & Biotechnology -- 0.8%
-------------------------------------------------------------------------------------------
BERGEN BRUNSWIG CORPORATION
$ 1,230,000 Term loan, maturing 10/19/01 $ 1,231,154
-------------------------------------------------------------------------------------------
$ 1,231,154
-------------------------------------------------------------------------------------------
Publishing & Printing -- 5.4%
-------------------------------------------------------------------------------------------
AMERICAN MEDIA OPERATIONS INC.
$ 1,230,000 Term loan, maturing 4/1/07 $ 1,233,998
HIF CORP.
1,720,000 Term loan, maturing 12/31/04 1,724,300
JOURNAL REGISTER COMPANY
1,218,778 Term loan, maturing 9/30/06 1,208,113
PRIMEDIA INC.
1,230,000 Term loan, maturing 6/30/04 1,227,694
REIMAN PUBLICATIONS
1,230,000 Term loan, maturing 11/30/05 1,237,432
THE MCCLATCHY COMPANY
1,230,000 Term loan, maturing 9/10/07 1,225,810
-------------------------------------------------------------------------------------------
$ 7,857,347
-------------------------------------------------------------------------------------------
Real Estate -- 2.5%
-------------------------------------------------------------------------------------------
AMERICAN TOWER, L.P.
$ 1,230,000 Term loan, maturing 12/31/07 $ 1,237,623
CROWN CASTLE OPERATING COMPANY
1,220,000 Term loan, maturing 3/31/08 1,224,957
LENNAR CORPORATION
1,216,950 Term loan, maturing 5/2/07 1,220,500
-------------------------------------------------------------------------------------------
$ 3,683,080
-------------------------------------------------------------------------------------------
REIT's -- 0.8%
-------------------------------------------------------------------------------------------
CRESCENT REAL ESTATE FUNDING VIII
$ 1,230,000 Term loan, maturing 5/30/08 $ 1,223,850
-------------------------------------------------------------------------------------------
$ 1,223,850
-------------------------------------------------------------------------------------------
Restaurants -- 0.8%
-------------------------------------------------------------------------------------------
AFC ENTERPRISES INC
$ 1,230,000 Term loan, maturing 6/30/04 $ 1,225,388
-------------------------------------------------------------------------------------------
$ 1,225,388
-------------------------------------------------------------------------------------------
Retail - Food & Drug -- 1.7%
-------------------------------------------------------------------------------------------
PATHMARK STORES, INC.
$ 1,230,000 Term loan, maturing 7/15/07 $ 1,223,542
SHOPPERS ACQUISITION CORPORATION
610,000 Term loan, maturing 3/30/08 612,070
610,000 Term loan, maturing 3/30/09 612,070
-------------------------------------------------------------------------------------------
$ 2,447,682
-------------------------------------------------------------------------------------------
Semiconductor Equipment & Products -- 0.8%
-------------------------------------------------------------------------------------------
SEMICONDUCTOR COMPONENTS INDUSTRIES, LLC
$ 610,000 Term loan, maturing 8/4/06 $ 615,083
610,000 Term loan, maturing 8/4/07 615,083
-------------------------------------------------------------------------------------------
$ 1,230,166
-------------------------------------------------------------------------------------------
Telecommunications - Wireline -- 0.8%
-------------------------------------------------------------------------------------------
CINCINNATI BELL, INC.
$ 1,230,000 Term loan, maturing 12/31/05 $ 1,233,417
-------------------------------------------------------------------------------------------
$ 1,233,417
-------------------------------------------------------------------------------------------
Telecommunications-Wireless -- 9.6%
-------------------------------------------------------------------------------------------
AMERICAN CELLULAR CORPORATION
$ 610,000 Term loan, maturing 3/31/07 $ 610,648
610,000 Term loan, maturing 3/31/08 610,648
CENTENNIAL CELLULAR CORP.
610,000 Term loan, maturing 11/30/07 611,620
610,000 Term loan, maturing 11/30/06 611,748
DOBSON OPERATING COMPANY
1,220,000 Term loan, maturing 12/31/07 1,220,889
MICROCELL CONNEXIONS
1,230,000 Term loan, maturing 3/1/06 1,227,310
NEXTEL COMMUNICATIONS, INC.
3,000,000 Term loan, maturing 3/31/09 2,994,546
RURAL CELLULAR CORPORATION
610,000 Term loan, maturing 4/6/08 610,191
610,000 Term loan, maturing 4/6/09 610,191
TELECORP PCS
1,220,000 Term loan, maturing 1/17/07 1,218,729
VOICESTREAM VENDOR FACILITY
2,500,000 Term loan, maturing 6/30/09 2,486,720
WESTERN WIRELESS
1,230,000 Term loan, maturing 9/30/08 1,234,173
-------------------------------------------------------------------------------------------
$ 14,047,413
-------------------------------------------------------------------------------------------
Utilities -- 1.2%
-------------------------------------------------------------------------------------------
WESTERN RESOURCES INC.
$ 1,730,000 Term loan, maturing 3/17/03 $ 1,742,975
-------------------------------------------------------------------------------------------
$ 1,742,975
-------------------------------------------------------------------------------------------
Total Senior, Secured, Floating Rate Interests
(identified cost, $100,936,009) $100,767,125
-------------------------------------------------------------------------------------------
COMMERCIAL PAPER - 29.0%
PRINCIPAL
AMOUNT SECURITY VALUE
-------------------------------------------------------------------------------------------
$ 6,355,000 American Express, 6.5%, 11/9/00 $ 6,345,820
6,301,000 CIT Group Holdings, 6.64%, 11/1/00 6,301,000
6,355,000 Delaware Funding Corp., 6.51%, 11/16/00 6,337,762
6,000,000 Ford Motor Credit Corp., 6.5%, 11/10/00 5,990,250
6,302,000 General Electric Capital, 6.65%, 11/1/00 6,302,000
6,000,000 General Motors Acceptance Corp., 6.5%, 11/7/00 5,993,500
5,055,000 Prudential Funding Corp., 6.5%, 11/3/00 5,053,175
-------------------------------------------------------------------------------------------
Total Commercial Paper
(amortized cost, $42,323,507) $ 42,323,507
-------------------------------------------------------------------------------------------
Total Investments
(identified cost, $143,259,516) $143,090,632
-------------------------------------------------------------------------------------------
Other Assets, Less Liabilities -- 1.9% $ 2,805,448
-------------------------------------------------------------------------------------------
Total Net Assets -- 100.0% $145,896,080
-------------------------------------------------------------------------------------------
</TABLE>
(1) Senior secured floating rate interests often require prepayments from
excess cash flows or permit the borrower to repay at its election. The
degree to which borrowers repay, whether as a contractual requirement or at
the 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.
<PAGE>
Floating Rate Portfolio as of October 31, 2000
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
AS OF OCTOBER 31, 2000
Assets
-------------------------------------------------------------------------------
Investments, at value
(identified cost, $143,259,516) $143,090,632
Cash 2,041,328
Receivable for investments sold 222,364
Interest receivable 546,360
Receivable from the Investment Adviser 27,282
-------------------------------------------------------------------------------
Total assets $145,927,966
-------------------------------------------------------------------------------
Liabilities
--------------------------------------------------------------------------------
Accrued expenses $ 31,886
-------------------------------------------------------------------------------
Total liabilities $ 31,886
-------------------------------------------------------------------------------
Net Assets applicable to investors' interest in Portfolio $145,896,080
-------------------------------------------------------------------------------
Sources of Net Assets
-------------------------------------------------------------------------------
Net proceeds from capital contributions and withdrawals $146,064,964
Net unrealized depreciation (computed on the
basis on identified cost) (168,884)
-------------------------------------------------------------------------------
Total $145,896,080
-------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED
OCTOBER 31, 2000(1)
Investment Income
-------------------------------------------------------------------------------
Interest $ 994,205
Miscellaneous 3,718
-------------------------------------------------------------------------------
Total investment income $ 997,923
-------------------------------------------------------------------------------
Expenses
--------------------------------------------------------------------------------
Investment adviser fee $ 64,976
Legal and accounting services 22,000
Miscellaneous 5,650
-------------------------------------------------------------------------------
Total expenses $ 92,626
-------------------------------------------------------------------------------
Deduct --
Reduction of investment adviser fee $ 60,740
Allocation of expenses to the Investment Adviser 27,282
-------------------------------------------------------------------------------
Total expense reductions $ 88,022
-------------------------------------------------------------------------------
Net expenses $ 4,604
-------------------------------------------------------------------------------
Net investment income $ 993,319
-------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
-------------------------------------------------------------------------------
Net realized (loss) --
Investments transactions (identified cost basis) $ (5,550)
-------------------------------------------------------------------------------
Net realized loss $ (5,550)
-------------------------------------------------------------------------------
Change in unrealized (depreciation) --
Investments (identified cost basis) $ (168,884)
-------------------------------------------------------------------------------
Net change in unrealized (depreciation) $ (168,884)
-------------------------------------------------------------------------------
Net realized and unrealized loss $ (174,434)
-------------------------------------------------------------------------------
Net increase in net assets from operations $ 818,885
-------------------------------------------------------------------------------
(1) For the period from the start of business, September 5, 2000, to October
31, 2000.
<PAGE>
Floating Rate Portfolio as of October 31, 2000
FINANCIAL STATEMENTS CONT'D
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) PERIOD ENDED
IN NET ASSETS OCTOBER 31, 2000(1)
-------------------------------------------------------------------------------
From operations --
Net investment income $ 993,319
Net realized loss (5,550)
Net change in unrealized (depreciation) (168,884)
-------------------------------------------------------------------------------
Net increase in net assets from operations $ 818,885
-------------------------------------------------------------------------------
Capital transactions --
Contributions $ 145,938,800
Withdrawals (861,605)
-------------------------------------------------------------------------------
Net increase in net assets from
capital transactions $ 145,077,195
-------------------------------------------------------------------------------
Net increase in net assets $ 145,896,080
-------------------------------------------------------------------------------
Net Assets
-------------------------------------------------------------------------------
At beginning of period $ --
-------------------------------------------------------------------------------
At end of period $ 145,896,080
-------------------------------------------------------------------------------
(1) For the period from the start of business, September 5, 2000, to October
31, 2000.
<PAGE>
Floating Rate Portfolio as of October 31, 2000
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
<S> <C>
PERIOD ENDED
Ratios/Supplementary Data+ OCTOBER 31, 2000(1)
----------------------------------------------------------------------------------------
Ratios (As a percentage of average daily net assets):
Net expenses 0.04%(2)
Net investment income 8.49%(2)
Portfolio Turnover 3%
--------------------------------------------------------------------------------------
Net assets, end of period (000's omitted) $145,896
--------------------------------------------------------------------------------------
+ The operating expenses of the Portfolio reflect a reduction of the
investment adviser fee and a allocation of expenses to the
Investment Adviser. Had such actions not been taken, the ratios
would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses 0.79%(2)
Net investment income 7.74%(2)
--------------------------------------------------------------------------------------
</TABLE>
(1) For the period from the start of business, September 5, 2000, to
October 31, 2000.
(2) Annualized.
<PAGE>
Floating Rate Portfolio as of October 31, 2000
NOTES TO FINANCIAL STATEMENTS
1 Significant Accounting Policies
--------------------------------------------------------------------------------
The Floating Rate Portfolio (the Portfolio) is registered under the
Investment Company Act of 1940 as a non-diversified open-end management
investment company. The Portfolio, which was organized as a trust under the
laws of the State of New York on June 19, 2000, seeks to provide a high
level of current income by investing primarily in senior secured floating
rate loans. 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 generally
accepted accounting principles.
A Investment Valuation -- The Portfolio's investments are in interests in
senior secured floating rate loans (Senior Loans). The Portfolio's
investment adviser, Boston Management and Research (BMR), a wholly-owned
subsidiary of Eaton Vance Management (EVM), has characterized certain Senior
Loans as liquid based on a predetermined acceptable number and range of
market quotations available. Such loans are valued on the basis of market
valuations furnished by a pricing service. Other Senior Loans are valued at
fair value by BMR under procedures established by the Trustees as permitted
by Section 2(a)(41) of the Investment Company Act of 1940. Such procedures
include the consideration of relevant factors, data and information relating
to fair value, including (i) the characteristics of and fundamental
analytical data relating to the Senior Loan, including the cost, size,
current interest rate, period until next interest rate reset, maturity and
base lending rate of the Senior Loan, the terms and conditions of the Senior
Loan and any related agreements, and the position of the Senior Loan in the
Borrower's debt structure; (ii) the nature, adequacy and value of the
collateral, including the Portfolio's rights, remedies and interests with
respect to the collateral; (iii) the creditworthiness of the Borrower, based
on an evaluation of its financial condition, financial statements and
information about the Borrower's business, cash flows, capital structure and
future prospects; (iv) information relating to the market for the Senior
Loan including price quotations for and trading in the Senior Loan, and
interests in similar Senior Loans and the market environment and investor
attitudes towards the Senior Loan and interests in similar Senior Loans; (v)
the 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. Fair valued
securities are marked daily as well. 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.
D Expense Reduction -- Investors Bank & Trust Company (IBT) serves as
custodian of the Portfolio. Pursuant to the custodian agreement, IBT
receives a fee reduced by credits which are determined based on the average
daily cash balance the Portfolio maintains with IBT. All significant credits
used to reduce the Portfolio's custodian fees are reported separately as a
reduction of total expenses in the Statement of Operations.
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 revenue and expense during the reporting period. Actual results
could differ from those estimates.
F Other -- Investment transactions are accounted for on a trade date basis.
2 Investment Adviser Fee and Other Transactions with Affiliates
--------------------------------------------------------------------------------
The investment adviser fee is earned by BMR as compensation for management
and investment advisory services rendered to the Portfolio. The fee is
equivalent to 0.575% annually of the Portfolio's average daily net assets up
to $1 billion and at reduced rates as daily net assets exceed that level.
For the period from the start of business, September 5, 2000 to October 31,
2000, the fee was equivalent to 0.575% (annualized) of the Portfolio's
average net assets for such period and amounted to $64,976. To enhance the
net income of the Portfolio the Adviser made a reduction of the investment
adviser fee of $60,740. In addition, the investment adviser was allocated
$27,282 of the Portfolio's operating expenses.
Except as to Trustees of the Portfolio who are not members of EVM's or BMR's
organization, officers and Trustees receive remuneration for their services
to the Portfolio out of such investment adviser fee. Trustees of the
Portfolio that are not affiliated with the Investment Adviser may elect to
defer receipt of all or a portion of their annual fees in accordance with
the terms of the Trustees Deferred Compensation Plan. For the period from
the start of business, September 5, 2000 to October 31, 2000, no significant
amounts have been deferred. Certain officers and Trustees of the Portfolio
are officers of the above organizations.
During the period ended October 31, 2000 the Portfolio engaged in purchase
transactions with other funds that also utilize BMR, or an affiliate of BMR,
as an investment adviser. These purchase transactions complied with Rule
17a-7 under the Investment Company Act of 1940 and amounted to 97,540,000.
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 period from the
start of business, September 5, 2000 to October 31, 2000 aggregated
$102,405,878 and $1,462,000 respectively.
4 Line of Credit
--------------------------------------------------------------------------------
The Portfolio participates with another portfolio managed by BMR in a $600
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. In addition, a fee computed at the annual rate of 0.10% of the
daily unused portion of the line of credit is allocated among the
participating portfolios at the end of each quarter. As of October 31, 2000,
the Portfolio had no borrowings outstanding. The Portfolio did not have any
significant borrowings or allocated fees during the period from the start of
business, September 5, 2000 to October 31, 2000.
5 Federal Income Tax Basis of Investments
--------------------------------------------------------------------------------
The cost and unrealized appreciation/depreciation in the value of the
investments owned at October 31, 2000, as computed on a federal income tax
basis, were as follows:
AGGREGATE COST $143,259,516
---------------------------------------------------------------------------
GROSS UNREALIZED APPRECIATION $ 29,830
GROSS UNREALIZED DEPRECIATION (198,714)
---------------------------------------------------------------------------
NET UNREALIZED DEPRECIATION $ (168,884)
---------------------------------------------------------------------------
<PAGE>
Floating Rate Portfolio as of October 31, 2000
INDEPENDENT AUDITORS' REPORT
To the Trustees and Investors of
Floating Rate Portfolio:
--------------------------------------------------------------------------------
We have audited the accompanying statement of assets and liabilities,
including the portfolio of investments, of Floating Rate Portfolio (the
Portfolio) as of October 31, 2000, and the related statements of operations,
the changes in net assets, and the supplementary data for the period from the
start of business, September 5, 2000 to October 31, 2000. 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 audit.
We conducted our audit 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 October 31, 2000 by
correspondence with the custodian and selling or agent banks; where replies
were not received from selling or agent banks, we performed other audit
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 audit provides 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 the Floating Rate
Portfolio at October 31, 2000, the results of its operations, the changes in
its net assets and the supplementary data for the period from the start of
business, September 5, 2000 to October 31, 2000 in conformity with accounting
principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
December 15, 2000
<PAGE>
FLOATING RATE PORTFOLIO
OFFICERS TRUSTEES
JAMES B. HAWKES JESSICA M. BIBLIOWICZ
President and Trustee President and Chief Executive
Officer, National Financial
SCOTT H. PAGE Partners
Vice President and Co-Portfolio
Manager DONALD R. DWIGHT
President, Dwight Partners, Inc.
PAYSON F. SWAFFIELD
Vice President and Co-Portfolio SAMUEL L. HAYES,III
Manager Jacob H. Schiff Professor of
Investment Banking Emeritus,
JAMES L. O'CONNOR Harvard University Graduate School
Treasurer of Business Administration
ALAN R. DYNNER NORTON H. REAMER
Secretary Chairman and Chief Operating
Officer Hellman, Jordan Management
Co., Inc. President,
Jordan Simmons Capital LLC and
Unicorn Corporation
LYNN A. STOUT
Professor of Law, Georgetown
University Law Center
JACK L. TREYNOR
Investment Adviser and Consultant
