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[LOGO] Investing
EATON VANCE for the [Graphic Omitted]
- ------------ 21st
Mutual Funds Century(R)
ANNUAL REPORT DECEMBER 31, 1998
EATON VANCE PRIME RATE RESERVES
EATON VANCE
GLOBAL MANAGEMENT-GLOBAL DISTRIBUTION
<PAGE>
EATON VANCE PRIME RATE RESERVES AS OF DECEMBER 31, 1998
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LETTER TO SHAREHOLDERS
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[Photo of James B. Hawkes]
James B. Hawkes
President
Eaton Vance Prime Rate Reserves had a total return of 6.9% for the year ended
December 31, 1998.1 That return was the result of shareholder distributions of
$0.68 per share from net investment income and a decline in net asset value from
$9.99 on December 31, 1997 to $9.98 on December 31, 1998. Based on the Fund's
closing net asset value per share of $9.98 on December 31, 1998, the Fund had a
distribution rate of 6.54%.2 The Fund's 30-day SEC yield at December 31 was
6.59%.(3)
The Fund provided a yield advantage over alternative short-term investments
while maintaining a relatively stable net asset value.
The Fund again outshone other short-term investment vehicles...
Despite economic weakness in Asia, a near meltdown in Russia, and concerns over
emerging markets, the U.S. economy grew 3.9% in 1998, matching its performance
of the previous year. Domestic inflation - the arch-enemy of fixed-income
investors - remained in the 1.6% range. On the heels of significant global stock
market volatility in August and to avert a possible liquidity crisis, the
Federal Reserve lowered short-term rates by .75%. While the rate lowerings
proved effective and Treasury bonds rallied, the yields on short-term
fixed-income vehicles declined. Despite this, Eaton Vance Prime Rate Reserves
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 4.66%, 3.62%, and 3.01%, 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 Prime Rate Reserves receives Five-Star Overall
Morningstar Rating(TM) ...
In a challenging market environment for fixed-income investors, Eaton Vance
Prime Rate Reserves received high marks for its long-term performance. The
Fund's risk-adjusted performance through December 31, 1998 earned it a Five-Star
Overall Morningstar Rating(TM) among 1,488 taxable bond funds(4) - Morningstar
is a nationally recognized monitor of mutual fund performance. In the following
pages, co-portfolio managers Scott Page and Payson Swaffield review the past
year and look ahead to 1999.
Sincerely,
/s/ James B. Hawkes
James B. Hawkes
President
February 9, 1999
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Fund Information
as of December 31, 1998
Performance(5)
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Average Annual Total Returns (at net asset value)
One year 6.9%
Five years 7.0
Life of Fund (8/4/89) 7.2
SEC Average Annual Total Returns (including applicable EWC)
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One year 3.9%
Five years 7.0
Life of Fund (8/4/89) 7.2
Ten Largest Holdings(6)
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Jefferson Smurfit Corp. 1.5%
Federal-Mogul Corp. 1.4
Starwood Hotels and Resorts 1.1
Chancellor Radio Broadcasting, Inc. 1.1
Marcus Cable Operating Co. 1.0
Capstar Radio Broadcasting Company 1.0
National Gypsum Company. 1.0
Falcon Holding Group L.P. 1.0
Revlon Consumer Products Company 1.0
Meditrust Corp. 0.9
(1) This return does not include the applicable early withdrawal charge (EWC).
(2) 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. (3) The Fund's SEC yield is
calculated by dividing the net investment income per share for the 30-day
period by the offering price at the end of the period and annualizing the
result. (4) Morningstar ratings reflect historical risk-adjusted performance
through 12/31/98 and are subject to change every month. Past performance is
no guarantee of future results. Funds are assigned ratings from 1 star
(lowest) to 5 stars (highest). Ratings are calculated from the Funds' 3- and
5-year average annual returns (with fee adjustment) in excess of 90-day
Treasury bill returns, and a risk factor that reflects fund performance
below 90-day Treasury bill returns. The top 10% of the funds in a category
receive 5 stars. For the 3-year period, the Fund was rated 5 stars (1488
funds); for the 5-year period, 5 stars (987 funds). (5) Returns are
calculated by determining the percentage change in net asset value with all
distributions reinvested. SEC returns reflect applicable EWC based on the
following schedule: 3%-1st year; 2.5%-2nd year; 2%-3rd year; 1%-4th year.
(6) Ten largest holdings account for 11.0% 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 PRIME RATE RESERVES AS OF DECEMBER 31, 1998
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MANAGEMENT DISCUSSION
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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, 1998 WAS A YEAR OF EXTRAORDINARY VOLATILITY IN THE WORLD'S FINANCIAL
MARKETS. HOW WOULD YOU EVALUATE THE FUND'S PERFORMANCE?
A: MR. PAGE: The Fund's relative stability proved a tremendous asset in 1998.
That performance was especially noteworthy in light of the volatility of
other fixed- income markets, which gyrated significantly during the year. Of
those markets, only the Treasury market was able to sustain a rally
throughout the year, and that was largely due to concerns about weakness in
the emerging markets. With 100% of its holdings dollar-denominated and no
exposure to emerging market borrowers, the Fund's portfolio of senior,
floating-rate loans performed in line with expectations.
It's also worth noting that the Fund outperformed a wide range of asset
classes in 1998, ranging from high-yield bonds to other short-term
investments. Most importantly, 1998 provided a true litmus test for the
Fund's relative stability. The Fund's net asset value fluctuated by only
0.02% during the year.
Q: DID THE LOAN MARKET CONTINUE TO GROW IN 1998?
A: MR. SWAFFIELD: Yes. The market continued to develop in 1998 in terms of
size, depth and quality. The supply of new loans into the market surpassed
$250 billion in 1998, exceeding the pace set in the previous year. In
addition, the number of participants in the loan market continued to expand.
At the end of 1998, there were more than 70 mutual funds and other
institutional investment vehicles purchasing senior loans, up from 14 just
five years ago.
Finally, even in this uncertain economic climate, loan quality has held
steady. That's an important consideration. In part, that reflects the
improved structure of new loans, as borrowers have tended to have better
interest coverage than in past cycles. For example, in 1988, companies with
highly leveraged loans had an average debt multiple of 7.1 times cash flow.
By 1998, that multiple had fallen to 4.6.
FIVE LARGEST SECTOR WEIGHTINGS(1)
- ------------------------------------------------
By total net assets
CABLE TELEVISION 6.3%
HEALTH CARE 5.9%
BROADCASTING/MEDIA 5.8%
COMMERCIAL SERVICES 4.8%
MANUFACTURING 3.7%
PORTFOLIO OVERVIEW(1)
- ------------------------------------------------
Total net assets $6.4 billion
Number of borrowers 304
Industries represented 62
Collateral coverage ratio 1.5 to 1
Days-to-interest rate reset 64 days
Average maturity 7.6 Yrs.
Average size per borrowing $21.2 million
(1) Five largest sector weightings account for 26.5% 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 12/31/98 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: WHY ARE THOSE FACTORS GOOD FOR THE LOAN MARKET?
A: MR. PAGE: Together, they represent the increasing maturation of the market.
In the 1980s, deals done with little or no equity component put enormous
pressure on the balance sheets of borrowers, leaving them with very little
margin for error in the event of a downturn in business.
In sharp contrast, equity plays a larger role in today's transactions.
According to a study by Donaldson, Lufkin and Jenrette, equity components
comprised 37.1% of leveraged buyouts in 1998, up from just 9.7% in 1988.
That means that borrowers typically have improved interest-coverage ratios.
In addition, the fact that loans are both senior and secured means that, 1)
the loans are backed by collateral: the borrower's assets and/or common
stock; and, 2) lenders have a first call on the collateral in the event of a
default. These features contribute to the comfort level of lenders and thus,
to a relatively stable senior loan market.
Q: DID YOU MAKE ANY ADJUSTMENTS TO THE PORTFOLIO IN THE PAST YEAR?
A: MR. SWAFFIELD: A few. Our changes consisted mainly of further diversifying
the Portfolio, with a modest shift toward less cyclical sectors. The economy
has given many mixed signals in recent months. While the weakness in the
Asian economies has contributed to weaker demand for some cyclical sectors,
the broader economy generally remains on track. In fact, the service sector
remains very strong.
As a measure of its broadened diversification, the Portfolio was composed of
304 borrowers at December 31, up from 213 a year ago. The ten largest
holdings represented a record low 11% of the Portfolio and the average
holding was just 0.33%. We had investments in 62 different industries versus
53 at the end of 1997. We maintained our largest weightings in cable
television, broadcasting and health care. These industries have tended to be
fairly recession-resistant.
Q: COULD WE DISCUSS BRIEFLY SOME OF THE INVESTMENTS IN THE PORTFOLIO?
A: MR. PAGE: Certainly. Broadcast, cable and media loans played a significant
role. The broadcasting and communications sectors have witnessed increasing
merger activity in the past few years. Following its recent transactions,
Chancellor Radio Broadcasting Company is now the nation's largest radio
broadcaster. The company owns and operates 465 stations in 105 different
markets and reaches a weekly audience of more than 65 million listeners.
Chancellor is, therefore, able to provide a powerful media outlet for
potential advertisers.
Elsewhere, the auto sector has been characterized by a growing global
consolidation, as evidenced by last year's Daimler-Chrysler merger. There
are now signs of a similar trend among auto parts suppliers. One of the
nation's largest is Federal-Mogul Corp. The company enjoyed excellent
results in the past year due to sharply higher revenues, aggressive cost
cuts, and the successful integration of its Cooper Automotive acquisition.
The continuing decline in interest rates in recent years has precipitated a
major building boom in residential housing. That has, in turn, boosted the
prospects of high-quality building products companies. National Gypsum Co.,
one of the Portfolio's largest holdings, is a world-wide leader in the
manufacture of building supplies and has enjoyed a surge in demand for its
wallboard, plaster, and joint compound products.
Q: THE FEDERAL RESERVE LOWERED SHORT-TERM INTEREST RATES THREE TIMES IN 1998.
DID THAT HAVE ANY EFFECT ON THE LOAN MARKET?
A: MR. SWAFFIELD: Yes. Interest rates have trended lower in recent months and,
without question, that trend was reflected in the loan market. Going
forward, the interest rate scenario bears watching.
Some long-term bond investors reaped excellent returns in 1998 as long-term
interest rates reached 24-year lows. However, it is now apparent that the
economy was not weakened as much as anticipated by the Asian slowdown. As
the Federal Reserve has demonstrated in recent years, it will not hesitate
to raise rates if it detects the return of inflation. Therefore, the risk
profile of bonds has been raised significantly. A price decline in such a
scenario could more than offset interest income.
On the other hand, returns for senior floating-rate loans would actually
increase in a rising rate scenario. Their reset feature means that their
underlying interest rates are adjusted to reflect changes in prevailing
interest rates. That feature makes floating-rate loans unique among
fixed-income producing asset classes, being one of the very few investments
that may benefit from rising interest rates.
Q: WHAT IS YOUR OUTLOOK FOR THE LOAN MARKET IN THE COMING YEAR?
A: MR. PAGE: Naturally, it's impossible to pinpoint with any certainty the
direction of the economy. But, at present, the economy continues to generate
fairly good growth, which is certainly positive for loan quality. Moreover,
the loan market continues to expand as more companies utilize the senior,
secured, floating-rate market as an alternative to the unsecured,
subordinated, high-yield bond market. That is likely to result in more
varied opportunities for investors.
As we have emphasized in past reports, many investors are looking for higher
returns than traditional short-term vehicles provide, but are uncomfortable
with the interest rate risk entailed in the longer durations of bonds. We
believe that the floating-rate loan universe provides excellent
opportunities for those investors. Eaton Vance Prime Rate Reserves will
continue to pursue opportunities in this loan growing market in the coming
year.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN EATON VANCE PRIME RATE
RESERVES VS. THE FEDERAL RESERVE 90-DAY COMMERCIAL PAPER INDEX AND THE
DONALDSON, LUFKIN & JENRETTE LEVERAGED LOAN INDEX*
Eaton Vance Prime Rate Reserves vs.
Federal Reserve 90-Day Commercial Paper Index
Eaton Vance Federal Donaldson, Lufkin
Prime Rate Reserve & Jenrette
Date Reserves Index Leveraged Loan Index
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8/31/89 $10,000 $10,000
9/30/89 $10,061 $10,070
10/31/89 $10,142 $10,139
11/30/89 $10,216 $10,207
12/31/89 $10,295 $10,275
1/31/90 $10,377 $10,342
2/28/90 $10,452 $10,409
3/31/90 $10,535 $10,478
4/30/90 $10,617 $10,548
5/31/90 $10,703 $10,618
6/30/90 $10,788 $10,688
7/31/90 $10,876 $10,756
8/31/90 $10,964 $10,825
9/30/90 $11,051 $10,894
10/31/90 $11,140 $10,964
11/30/90 $11,217 $11,034
12/31/90 $11,284 $11,103
1/31/91 $11,359 $11,166
2/28/91 $11,433 $11,225
3/31/91 $11,514 $11,283
4/30/91 $11,592 $11,339
5/31/91 $11,668 $11,393
6/30/91 $11,739 $11,450
7/31/91 $11,813 $11,506
8/31/91 $11,886 $11,560
9/30/91 $11,956 $11,612
10/31/91 $12,026 $11,662
11/30/91 $12,092 $11,710
12/31/91 $12,159 $11,754 $12,159
1/31/92 $12,207 $11,793 $12,217
2/28/92 $12,263 $11,833 $12,318
3/31/92 $12,322 $11,874 $12,492
4/30/92 $12,379 $11,913 $12,575
5/31/92 $12,437 $11,951 $12,697
6/30/92 $12,499 $11,990 $12,762
7/31/92 $12,555 $12,023 $12,838
8/31/92 $12,623 $12,057 $12,831
9/30/92 $12,712 $12,089 $12,883
10/31/92 $12,752 $12,122 $12,882
11/30/92 $12,829 $12,158 $12,938
12/31/92 $12,910 $12,195 $12,990
1/31/93 $12,967 $12,227 $13,088
2/28/93 $12,976 $12,259 $13,408
3/31/93 $13,004 $12,291 $13,605
4/30/93 $13,096 $12,323 $13,424
5/31/93 $13,176 $12,355 $13,646
6/30/93 $13,245 $12,388 $13,795
7/31/93 $13,288 $12,420 $13,971
8/31/93 $13,371 $12,453 $14,038
9/30/93 $13,441 $12,485 $14,045
10/31/93 $13,475 $12,518 $14,000
11/30/93 $13,535 $12,553 $14,245
12/31/93 $13,600 $12,588 $14,506
1/31/94 $13,657 $12,621 $14,747
2/28/94 $13,710 $12,657 $14,950
3/31/94 $13,728 $12,697 $14,895
4/30/94 $13,772 $12,739 $14,892
5/31/94 $13,838 $12,787 $15,047
6/30/94 $13,917 $12,834 $15,133
7/31/94 $13,986 $12,884 $15,323
8/31/94 $14,004 $12,935 $15,471
9/30/94 $14,078 $12,988 $15,576
10/31/94 $14,176 $13,046 $15,640
11/30/94 $14,261 $13,108 $15,710
12/31/94 $14,426 $13,174 $15,744
1/31/95 $14,524 $13,244 $15,880
2/28/95 $14,645 $13,312 $16,036
3/31/95 $14,745 $13,382 $16,154
4/30/95 $14,824 $13,451 $16,279
5/31/95 $14,921 $13,520 $16,453
6/30/95 $15,016 $13,588 $16,596
7/31/95 $15,113 $13,655 $16,717
8/31/95 $15,207 $13,721 $16,828
9/30/95 $15,300 $13,789 $16,945
10/31/95 $15,399 $13,857 $17,050
11/30/95 $15,492 $13,924 $17,127
12/31/95 $15,590 $13,989 $17,244
1/31/96 $15,686 $14,052 $17,354
2/28/96 $15,771 $14,115 $17,475
3/31/96 $15,847 $14,182 $17,608
4/30/96 $15,921 $14,250 $17,719
5/31/96 $16,014 $14,318 $17,833
6/30/96 $16,102 $14,386 $17,979
7/31/96 $16,195 $14,452 $18,123
8/31/96 $16,287 $14,520 $18,224
9/30/96 $16,375 $14,588 $18,321
10/31/96 $16,470 $14,657 $18,422
11/30/96 $16,561 $14,728 $18,545
12/31/96 $16,656 $14,797 $18,612
1/31/97 $16,750 $14,864 $18,738
2/28/97 $16,834 $14,930 $18,892
3/31/97 $16,928 $15,001 $19,075
4/30/97 $17,019 $15,073 $19,178
5/31/97 $17,117 $15,144 $19,312
6/30/97 $17,214 $15,216 $19,475
7/31/97 $17,315 $15,287 $19,634
8/31/97 $17,415 $15,358 $19,770
9/30/97 $17,512 $15,431 $19,908
10/31/97 $17,614 $15,503 $19,990
11/30/97 $17,713 $15,579 $20,082
12/31/97 $17,818 $15,652 $20,190
1/31/98 $17,923 $15,724 $20,315
2/28/98 $18,014 $15,798 $20,437
3/31/98 $18,117 $15,871 $20,584
4/30/98 $18,222 $15,945 $20,753
5/31/98 $18,326 $16,019 $20,911
6/30/98 $18,431 $16,094 $21,045
7/31/98 $18,558 $16,169 $21,165
8/31/98 $18,667 $16,244 $21,201
9/30/98 $18,755 $16,316 $21,116
10/31/98 $18,862 $16,389 $20,968
11/30/98 $18,964 $16,462 $20,821
12/31/98 $19,050 $16,531 $20,612
Performance+
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Average Annual Total Returns (at net asset value)
One year 6.9%
Five years 7.0
Life of Fund (8/4/89) 7.2
SEC Average Annual Total Returns (including EWC)
- -------------------------------------------------
One year 3.9%
Five years 7.0
Life of Fund (8/4/89) 7.2
* Source: Towers Data Systems, Bethesda, MD. Investment operations commenced
8/4/89. 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 Federal Reserve
90-Day Commercial Paper Index, an unmanaged index of corporate commercial
paper rated A1 and P1 by Moody's and Standard & Poor's, respectively, two
major ratings agencies. Commercial paper represents short-term obligations
of corporate borrowers, which are usually backed by bank lines of credit.
With this report, we are establishing the Donaldson, Lufkin & Jenrette (DLJ)
Leveraged Loan Index - a representative index of tradable, senior, secured,
U.S. dollar-denominated leveraged loans - as the Fund's principal benchmark
in the belief that it more accurately reflects the Fund's investment
universe. 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 Federal Reserve Index. Because the DLJ Index commenced in January
1992, the line comparison assumes $12,159 hypothetical investments in the
Fund and the DLJ Index at December 31, 1991. 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. SEC returns reflect
applicable EWC based on following schedule: 3%-1st year; 2.5%-2nd year;
2%-3rd year; 1%-4th year.
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 PRIME RATE RESERVES as of December 31, 1998
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FINANCIAL STATEMENTS
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STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 1998
ASSETS
- ----------------------------------------------------------------------------
Investment in Senior Debt Portfolio, at value
(identified cost, $2,838,217,316) $2,836,648,869
Receivable for Trust shares sold 12,509,115
Prepaid expenses 294,115
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Total assets $2,849,452,099
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LIABILITIES
- ----------------------------------------------------------------------------
Dividends payable $ 8,810,905
Payable for Trust shares redeemed 123,039
Payable to affiliate for Trustees' fees 2,500
Other accrued expenses 526,539
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Total liabilities $ 9,462,983
- ----------------------------------------------------------------------------
Net Assets for 284,485,961 shares of
beneficial interest outstanding $2,839,989,116
- ----------------------------------------------------------------------------
SOURCES OF NET ASSETS
- ----------------------------------------------------------------------------
Paid-in capital $2,849,162,204
Accumulated net realized loss from Portfolio
(computed on the basis of identified cost) (7,783,023)
Accumulated undistributed net investment income 178,382
Net unrealized depreciation from Portfolio
(computed on the basis of identified cost) (1,568,447)
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Total $2,839,989,116
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NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
- ----------------------------------------------------------------------------
($2,839,989,116 / 284,485,961 shares of
beneficial interest outstanding) $ 9.98
- ----------------------------------------------------------------------------
See notes to financial statements
<PAGE>
EATON VANCE PRIME RATE RESERVES as of December 31, 1998
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS CONT'D
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED
DECEMBER 31, 1998
INVESTMENT INCOME
- -------------------------------------------------------------------------
Interest allocated from Portfolio $181,574,819
Facility fee income allocated from Portfolio 1,774,699
Expenses allocated from Portfolio (21,348,961)
- -------------------------------------------------------------------------
Net investment income from Portfolio $162,000,557
- -------------------------------------------------------------------------
EXPENSES
- -------------------------------------------------------------------------
Administration fee $ 5,673,343
Trustees fees and expenses 4,400
Transfer and dividend disbursing agent fees 1,810,424
Registration fees 366,376
Printing and postage 217,688
Legal and accounting services 48,449
Custodian fee 28,394
Miscellaneous 106,698
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Total expenses $ 8,255,772
- -------------------------------------------------------------------------
Net investment income $153,744,785
- -------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) FROM PORTFOLIO
- -------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 426,139
- -------------------------------------------------------------------------
Net realized gain $ 426,139
- -------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments $ (2,674,739)
- -------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) $ (2,674,739)
- -------------------------------------------------------------------------
Net realized and unrealized loss $ (2,248,600)
- -------------------------------------------------------------------------
Net increase in net assets from operations $151,496,185
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See notes to financial statements
<PAGE>
EATON VANCE PRIME RATE RESERVES as of December 31, 1998
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS CONT'D
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
INCREASE (DECREASE) YEAR ENDED YEAR ENDED
IN NET ASSETS DECEMBER 31, 1998 DECEMBER 31, 1997
- ---------------------------------------------------------------------------------------------
<S> <C> <C>
From operations --
Net investment income $ 153,744,785 $ 118,744,726
Net realized gain (loss) 426,139 (6,324,158)
Net change in unrealized appreciation
(depreciation) (2,674,739) 6,040,288
- ---------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 151,496,185 $ 118,460,856
- ---------------------------------------------------------------------------------------------
Distributions to shareholders --
From net investment income $ (153,805,139) $ (118,670,204)
- ---------------------------------------------------------------------------------------------
Total distributions to shareholders $ (153,805,139) $ (118,670,204)
- ---------------------------------------------------------------------------------------------
Transactions in shares of beneficial interest --
Proceeds from sale of shares $1,132,247,002 $ 480,125,038
Net asset value of shares issued to
shareholders in payment of distributions
declared 81,726,517 63,396,014
Cost of shares redeemed (280,941,551) (245,780,846)
- ---------------------------------------------------------------------------------------------
Net increase in net assets from Fund share
transactions $ 933,031,968 $ 297,740,206
- ---------------------------------------------------------------------------------------------
Net increase in net assets $ 930,723,014 $ 297,530,858
- ---------------------------------------------------------------------------------------------
NET ASSETS
- ---------------------------------------------------------------------------------------------
At beginning of year $1,909,266,102 $1,611,735,244
- ---------------------------------------------------------------------------------------------
At end of year $2,839,989,116 $1,909,266,102
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ACCUMULATED UNDISTRIBUTED
NET INVESTMENT INCOME
INCLUDED IN NET ASSETS
- ---------------------------------------------------------------------------------------------
At end of year $ 178,382 $ 238,736
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</TABLE>
See notes to financial statements
<PAGE>
EATON VANCE PRIME RATE RESERVES as of December 31, 1998
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS CONT'D
- --------------------------------------------------------------------------------
STATEMENT OF CASH FLOWS
FOR THE YEAR ENDED
DECEMBER 31, 1998
INCREASE (DECREASE) IN CASH
- -------------------------------------------------------------------------
Cash Flows From (Used For) Operating Activities --
Purchase of interests in Senior Debt Portfolio $(1,154,320,751)
Withdrawal of interests in Senior Debt Portfolio 389,208,444
Operating expenses paid (7,950,308)
- -------------------------------------------------------------------------
Net cash used for operating activities $ (773,062,615)
- -------------------------------------------------------------------------
Cash Flows From (Used For) Financing Activities --
Proceeds from shares sold $ 1,123,850,276
Payments for shares redeemed (280,837,788)
Cash distributions paid (excluding reinvestments of
distributions of $81,726,517) (69,949,873)
- -------------------------------------------------------------------------
Net cash from financing activities $ 773,062,615
- -------------------------------------------------------------------------
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 $ 151,496,185
Increase in prepaid expenses (32,548)
Increase in payable to affiliate 1,657
Increase in accrued expenses 336,355
Net decrease in investments (924,864,264)
- -------------------------------------------------------------------------
Net cash used for operating activities $ (773,062,615)
- -------------------------------------------------------------------------
See notes to financial statements
<PAGE>
EATON VANCE PRIME RATE RESERVES as of December 31, 1998
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS CONT'D
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
--------------------------------------------------------------------------------------------------
1998 1997 1996 1995 1994
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value --
beginning of year $ 9.9900 $ 9.9900 $ 10.0100 $ 10.0200 $10.0300
- -----------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS
- -----------------------------------------------------------------------------------------------------------------------------
Net investment income $ 0.6794 $ 0.6756 $ 0.6837 $ 0.7694 $ 0.5966
Net realized and
unrealized gain (loss) (0.0094) --(1) (0.0208) 0.0112 (0.0059)
- -----------------------------------------------------------------------------------------------------------------------------
Total income from
operations $ 0.6700 $ 0.6756 $ 0.6629 $ 0.7806 $ 0.5907
- -----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
- -----------------------------------------------------------------------------------------------------------------------------
From net investment
income $ (0.6800) $ (0.6756) $ (0.6829) $ (0.7695) $(0.5966)
In excess of net
investment income -- -- -- -- (0.0041)
From net realized gain -- -- -- (0.0211) --
- -----------------------------------------------------------------------------------------------------------------------------
Total distributions $ (0.6800) $ (0.6756) $ (0.6829) $ (0.7906) $(0.6007)
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value -- end
of year $ 9.9800 $ 9.9900 $ 9.99000 $ 10.0100 $10.0200
- -----------------------------------------------------------------------------------------------------------------------------
Total Return(2) 6.92% 6.98% 6.84% 8.10% 6.10%
- -----------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------
Net assets, end of
year (000's omitted) $2,839,989 $1,909,266 $1,611,735 $1,092,186 $611,588
Ratios (As a percentage
of average daily net
assets);
Operating expenses(3) 1.29% 1.31% 1.35% 1.45% 1.63%
Interest expense(3) 0.01% 0.01% 0.04% 0.16% 0.21%
Net investment
income 6.76% 6.76% 6.81% 7.57% 5.95%
Portfolio Turnover(4) -- -- -- 5% 60%
LEVERAGE ANALYSIS
- --------------------------------------------------------------------------------------------------------------------------------
BORROWINGS FROM ISSUANCE AMOUNT OF DEBT AVERAGE DAILY BALANCE AVERAGE DAILY BALANCE AVERAGE AMOUNT OF
OF COMMERCIAL PAPER -- OUTSTANDING AT OF DEBT OUTSTANDING OF SHARES OUTSTANDING DEBT PER SHARE
YEAR ENDED END OF YEAR DURING YEAR DURING YEAR DURING YEAR
- --------------------------------------------------------------------------------------------------------------------------------
December 31, 1994 $20,403,169 $10,236,000 63,465,000 $0.1613
December 31, 1995(5) -- 9,688,000 62,118,000 0.1560
- --------------------------------------------------------------------------------------------------------------------------------
(1) Represents less then $0.0001 per share.
(2) 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.
(3) Includes the Fund's share of the Portfolio's allocated expenses for the period the Fund was investing in the Portfolio.
(4) Portfolio Turnover represents the rate of portfolio activity for the period while the Fund was making investments
directly in securities. The portfolio turnover for the period since the Fund transferred all of its investable assets to
the Portfolio is shown in the Portfolio's financial statements which are included elsewhere in this report.
(5) The Leverage Analysis is for the period from January 1, 1995 to February 21, 1995, when the Trust transferred the
Commercial Paper program to the Portfolio.
See notes to financial statements
</TABLE>
<PAGE>
EATON VANCE PRIME RATE RESERVES AS OF DECEMBER 31, 1998
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1 SIGNIFICANT ACCOUNTING POLICIES
- --------------------------------------------------------------------------------
Eaton Vance Prime Rate Reserves (the Trust) is a non-diversified closed-end
management investment company. The Trust is an entity of the type commonly
known as a Massachusetts business trust and is registered under the Investment
Company Act of 1940, as amended. The Trust 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 Trust. The value of the
Trust's investment in the Portfolio reflects the Trust's proportionate
interest in the net assets of the Portfolio (44.1%) at December 31, 1998. The
performance of the Trust 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 Trust's financial statements. The following is a summary
of significant accounting policies consistently followed by the Trust in the
preparation of its financial statements. The policies are in conformity with
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 Trust's net investment income consists of the Trust's pro rata
share of the net investment income of the Portfolio, less all actual and
accrued expenses of the Trust determined in accordance with generally accepted
accounting principles.
C FEDERAL TAXES -- The Trust's policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders each year all of its taxable income, including any
net realized gain on investments. Accordingly, no provision for federal income
or excise tax is necessary. At December 31, 1998, the Trust, for federal
income tax purposes had a capital loss carryover of $7,779,908 which will
expire on December 31, 2004 ($989,321) and December 31, 2005 ($6,790,587).
These amounts 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 Trust of any liability for federal
income or excise tax.
D OTHER -- Investment transactions are accounted for on a trade date basis.
E USE OF ESTIMATES -- The preparation of 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. Pursuant to the respective custodian agreements, IBT
receives a fee reduced by credits which are determined based on the average
daily cash balances the Trust or the Portfolio maintain with IBT. All
significant credit balances used to reduce the Fund's custodian fee are
reported as a reduction of expenses on the statement of operations.
2 DISTRIBUTIONS TO SHAREHOLDERS
- --------------------------------------------------------------------------------
The net investment income of the Trust 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 Trust 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 Trust 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
Trust operates as an interval fund, meaning that it continuously accepts new
shareholder investments but permits share repurchases at net asset value only
once a quarter. The price will be established at the close of business on the
last day the repurchase offer is open. An early withdrawal charge will be
imposed on most shares accepted for repurchase which have been held less than
four years (see Note 5). The Trustees approved repurchase offers for the
periods from February 2, 1998 to February 23, 1998, May 1, 1998 to May 22,
1998, August 3, 1998 to August 24, 1998, November 2, 1998 to November 23,
1998, and February 1, 1999 to February 22, 1999. Transactions in Trust shares
were as follows:
YEAR ENDED DECEMBER 31,
------------------------------
1998 1997
----------------------------------------------------------------------------
Sales 113,321,814 48,046,520
Issued to shareholders electing to receive
payments of distributions in Trust shares 8,179,727 6,345,720
Redemptions (28,116,540) (24,587,904)
----------------------------------------------------------------------------
NET INCREASE 93,385,001 29,804,336
----------------------------------------------------------------------------
4 TRANSACTIONS WITH AFFILIATES
- --------------------------------------------------------------------------------
Eaton Vance Management (EVM) serves as the administrator of the Trust. An
administration fee, computed at the monthly rate of 1/48 of 1% (0.25% per
annum) of the average daily gross assets of the Portfolio attributable to the
Trust, is paid to EVM for managing and administering business affairs of the
Trust. 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 Trust and the Portfolio who are not
members of EVM's or BMR's organization, officers and Trustees receive
remuneration for their services to the Trust out of such investment adviser
fee.
Certain of the officers and Trustees of the Trust and the Portfolio are
officers and directors/trustees of the above organizations.
5 EARLY WITHDRAWAL CHARGE
- --------------------------------------------------------------------------------
Eaton Vance Distributors, Inc. (EVD), a subsidiary of EVM, serves as the
Trust's principal underwriter. EVD compensates authorized dealers for sales
commissions at a rate of 3% of the purchase price of shares purchased through
such dealers. EVD also pays additional compensation to each dealer ranging
from 0.10% to 0.30% per annum of the value of Trust shares sold by such dealer
that are outstanding for specified periods of time. An early withdrawal charge
to recover distribution costs will be charged to redeeming shareholders and
paid to EVD in connection with most shares held for less than four years which
are accepted by the Trust for repurchase. The early withdrawal charge is
imposed at declining rates that begin at 3% in the case of redemptions in the
first year after purchase, declining to 2.5%, 2%, 1% and 0% in the second,
third and fourth year and thereafter, respectively. The early withdrawal
charge will be imposed on those shares redeemed, the value of which exceeds
the aggregate value at the time the tender is accepted of: (a) all shares in
the account purchased more than four years prior to such acceptance, (b) all
shares in the account acquired through reinvestment of distribution and (c)
the increase, if any, in value of all other shares in the account (namely
those purchased within the four years preceding the acceptance) over the
purchase price of such shares. In determining whether an early withdrawal
charge is payable, it is assumed that the redemption is made from the earliest
purchase of shares. The total early withdrawal charges received by EVD for the
year ended December 31, 1998 amounted to approximately $2,787,000.
6 INVESTMENT TRANSACTIONS
- --------------------------------------------------------------------------------
Increases and decreases in the Trust's investment in the Portfolio for the
year ended December 31, 1998 aggregated $1,154,320,751 and $389,208,444,
respectively.
<PAGE>
EATON VANCE PRIME RATE RESERVES AS OF DECEMBER 31, 1998
- --------------------------------------------------------------------------------
INDEPENDENT AUDITORS' REPORT
- --------------------------------------------------------------------------------
TO THE TRUSTEES AND SHAREHOLDERS
OF EATON VANCE PRIME RATE RESERVES:
- --------------------------------------------------------------------------------
We have audited the accompanying statement of assets and liabilities of Eaton
Vance Prime Rate Reserves (the Trust) as of December 31, 1998, 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, 1998 and 1997 and the
financial highlights for each of the years in the five-year period ended
December 31, 1998. These financial statements and financial highlights are the
responsibility of the Trust's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with 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 Trust at
December 31, 1998, and 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 12, 1999
<PAGE>
SENIOR DEBT PORTFOLIO AS OF DECEMBER 31, 1998
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- -------------------------------------------------------------------------------
(Expressed in United States Dollars)
Senior, Secured, Floating Rate Interests -- 93.06%(1)
PRINCIPAL
AMOUNT BORROWER VALUE
- -------------------------------------------------------------------------------
Aerospace/Defense -- 1.86%
- -------------------------------------------------------------------------------
Aerostructures Corporation
$12,017,949 Term loan, maturing December 31, 2003 $ 12,017,949
Fairchild Holdings Corporation
33,333 Revolving loan, maturing June 18, 2004 33,333
18,483,333 Term loan, maturing June 18, 2004 18,483,333
Hexcel Corporation
14,000,000 Term loan, maturing August 25, 2005 14,000,000
K&F Industries, Inc.
19,248,381 Term loan, maturing September 30, 2005 19,248,381
SWM Holdings, Inc.
4,112,956 Term loan, maturing May 27, 2005 4,112,956
4,827,859 Term loan, maturing May 27, 2006 4,827,859
Tri-Star, Inc.
14,749,495 Term loan, maturing September 30, 2003 14,749,495
United Defense Industries, Inc.
16,336,740 Term loan, maturing October 6, 2005 16,336,740
15,773,405 Term loan, maturing October 6, 2006 15,773,405
- -------------------------------------------------------------------------------
$ 119,583,451
- -------------------------------------------------------------------------------
Airlines -- 0.27%
- -------------------------------------------------------------------------------
Continental Airlines, Inc.
$17,256,924 Term loan, maturing December 31, 2006 $ 17,256,924
- -------------------------------------------------------------------------------
$ 17,256,924
- -------------------------------------------------------------------------------
Auto parts - Aftermarket -- 3.26%
- -------------------------------------------------------------------------------
AAS Holdings, LLC
$ 3,987,351 Term loan, maturing October 30, 2004 $ 3,987,351
CSK Auto, Inc.
20,880,000 Term loan, maturing October 31, 2003 20,880,000
Exide Corporation
37,758,954 Term loan, maturing March 18, 2005 37,758,954
Federal-Mogul Corporation
64,757,698 Term loan, maturing December 31, 2005 64,757,698
26,000,000 Term loan, maturing December 31, 2006 26,000,000
Keystone Automotive Operations, Inc.
12,382,813 Term loan, maturing March 31, 2006 12,382,813
Lund Industries, Incorporated
4,481,254 Term loan, maturing December 31, 2004 4,481,254
2,068,278 Term loan, maturing December 31, 2005 2,068,278
Plas-Tech (Engineered) Products, Inc.
5,806,372 Term loan, maturing April 1, 2002 5,806,372
3,941,176 Term loan, maturing April 1, 2004 3,941,176
Safelite Glass Corp.
13,750,000 Term loan, maturing December 17, 2004 13,750,000
13,750,000 Term loan, maturing December 17, 2005 13,750,000
- -------------------------------------------------------------------------------
$ 209,563,896
- -------------------------------------------------------------------------------
Automobile -- 0.85%
- -------------------------------------------------------------------------------
Accuride Corporation
$23,750,000 Term loan, maturing January 21, 2006 $ 23,750,000
Cambridge Industries, Inc.
25,740,000 Term loan, maturing June 30, 2005 25,740,000
Stanadyne Automotive Corporation
4,900,000 Term loan, maturing December 10, 2004 4,900,000
- -------------------------------------------------------------------------------
$ 54,390,000
- -------------------------------------------------------------------------------
Beverages - Soft Drink -- 0.32%
- -------------------------------------------------------------------------------
Dr. Pepper Bottling Holdings, Inc.
$15,000,000 Term loan, maturing December 31, 2005 $ 15,000,000
Mistic Brands, Inc.
2,884,047 Term loan, maturing June 1, 2004 2,884,047
2,884,047 Term loan, maturing June 1, 2005 2,884,047
- -------------------------------------------------------------------------------
$ 20,768,094
- -------------------------------------------------------------------------------
Broadcast Media -- 5.80%
- -------------------------------------------------------------------------------
Bahakel Communications
$ 9,900,000 Term loan, maturing December 31, 2005 $ 9,900,000
Benedek Broadcasting Corporation
14,666,112 Term loan, maturing May 1, 2001 14,666,112
6,947,220 Term loan, maturing November 1, 2002 6,947,220
3,475,310 Term loan, maturing December 31, 2004 3,475,310
1,866,859 Term loan, maturing December 31, 2005 1,866,859
Black Entertainment Television
13,000,000 Term loan, maturing June 30, 2006 13,000,000
Capstar Radio Broadcasting Corp
18,000,000 Term loan, maturing November 30, 2004 18,000,000
47,775,000 Term loan, maturing May 31, 2005 47,775,000
Chancellor Radio Broadcast Company
4,000,000 Term loan, maturing June 26, 2004 4,000,000
10,999,732 Revolving loan, maturing June 30, 2005 10,999,732
53,571,429 Term loan, maturing June 30, 2005 53,571,429
Comcorp Broadcasting, Inc.
5,853,659 Term loan, maturing September 30, 2005 5,853,659
Emmis Broadcasting Corporation
22,888,000 Term loan, maturing February 28, 2007 22,888,000
Intermedia Partners VI (Opco)
3,250,000 Term loan, maturing April 30, 2008 3,250,000
39,500,000 Term loan, maturing April 30, 2009 39,500,000
Jacor Communications Company
17,000,000 Term loan, maturing December 31, 2004 17,000,000
Lin Television Corp.
14,000,000 Term loan, maturing March 31, 2007 14,000,000
Retlaw Broadcasting, LLC
7,462,500 Term loan, maturing March 31, 2006 7,462,500
Sinclair Broadcast Group, Inc.
35,000,000 Term loan, maturing December 31, 2004 35,000,000
Spartan Communications, Inc.
12,500,000 Term loan, maturing June 30, 2005 12,500,000
TLMD Aquisition Co.
24,000,000 Term loan, maturing March 31, 2007 24,000,000
White Knight Broadcasting, Inc.
7,219,513 Term loan, maturing September 30, 2005 7,219,513
- -------------------------------------------------------------------------------
$ 372,875,334
- -------------------------------------------------------------------------------
Building Materials -- 1.69%
- -------------------------------------------------------------------------------
Dal-Tile Group, Inc
$ 1,458,314 Revolving loan, maturing December 31, 2002 $ 1,458,314
4,978,337 Term loan, maturing December 31, 2002 4,978,337
Dayton Superior Corporation
10,000,000 Term loan, maturing September 29, 2005 10,000,000
Falcon Building Products, Inc.
15,119,286 Term loan, maturing June 29, 2007 15,119,286
National Gypsum Company
64,923,291 Term loan, maturing September 20, 2003 64,923,291
Reliant Building Products, Inc.
12,355,769 Term loan, maturing March 31, 2004 12,355,769
- -------------------------------------------------------------------------------
$ 108,834,997
- -------------------------------------------------------------------------------
Cable Television -- 6.27%
- -------------------------------------------------------------------------------
Avalon Cable Holdings Finance, Inc.
$11,500,000 Term loan, maturing October 31, 2006 $ 11,500,000
Charter Comm. Ent. I
29,868,020 Term loan, maturing December 31, 2003 29,868,020
Charter Comm. Ent. II
18,000,000 Term loan, maturing December 31, 2007 18,000,000
Charter Comm. Properties LLC
7,500,000 Term loan, maturing September 30, 2004 7,500,000
10,500,000 Term loan, maturing June 30, 2007 10,500,000
Charter Comm. Southeast
35,000,000 Term loan, maturing December 31, 2007 35,000,000
Chelsea Communications, Inc.
19,875,000 Term loan, maturing December 31, 2004 19,875,000
Classic Cable, Inc.
15,000,000 Term loan, maturing October 31, 2007 15,000,000
Falcon Holding Group, L.P.
14,482,759 Term loan, maturing June 29, 2007 14,482,759
48,517,241 Term loan, maturing December 31, 2007 48,517,241
Frontiervision Operating Partners, L.P.
26,500,000 Term loan, maturing March 31, 2006 26,500,000
HPI Acquisition Co., LLC
10,000,000 Term loan, maturing December 31, 2006 10,000,000
Intermedia Partners Group VI (Holdco)
14,500,000 Term loan, maturing April 30, 2008 14,500,000
Intermedia Partners Group- IV
40,906,818 Term loan, maturing January 1, 2005 40,906,818
Marcus Cable Operating Company, L.P.
2,183,864 Revolving loan, maturing December 31, 2002 2,183,864
24,142,729 Term loan, maturing December 31, 2002 24,142,729
40,728,830 Term loan, maturing April 30, 2004 40,728,830
Renaissance Media LLC
1,374,886 Term loan, maturing March 31, 2006 1,374,886
13,936,364 Term loan, maturing September 30, 2006 13,936,364
TCI Pacific, Inc.
18,731,884 Term loan, maturing December 31, 2004 18,731,884
- -------------------------------------------------------------------------------
$ 403,248,395
- -------------------------------------------------------------------------------
Chemicals -- 3.16%
- -------------------------------------------------------------------------------
AOC,LLC.
$ 7,323,008 Term loan, maturing September 30, 2006 $ 7,323,008
Huntsman Corporation
1,307,993 Term loan, maturing September 30, 2003 1,307,993
14,392,804 Term loan, maturing December 31, 2004 14,392,804
5,163,656 Term loan, maturing December 31, 2005 5,163,660
Huntsman Specialty Chemicals Corporation
5,833,778 Term loan, maturing March 15, 2002 5,833,778
10,819,431 Term loan, maturing March 15, 2004 10,819,431
10,773,894 Term loan, maturing March 15, 2005 10,773,894
Lyondell Petrochemical Company
11,120,401 Term loan, maturing June 30, 1999 11,120,401
17,792,642 Term loan, maturing June 30, 2000 17,792,642
30,432,221 Term loan, maturing June 30, 2003 30,432,221
Metokote Corporation
9,500,000 Term loan, maturing November 2, 2005 9,500,000
Polymer Group, Inc.
10,936,000 Term loan, maturing December 20, 2005 10,936,000
Sterling Pulp Chemicals (Sask) Ltd.
6,633,750 Term loan, maturing June 30, 2005 6,633,750
STX Chemicals Corp. (Sterling)
20,914,654 Term loan, maturing September 30, 2004 20,914,654
Sybron Chemicals Inc.
19,256,250 Term loan, maturing July 31, 2004 19,256,250
The General Chemical Group, Inc.
13,930,000 Term loan, maturing June 14, 2004 13,930,000
6,965,000 Term loan, maturing June 15, 2004 6,965,000
- -------------------------------------------------------------------------------
$ 203,095,486
- -------------------------------------------------------------------------------
Chemicals - Specialty -- 0.32%
- -------------------------------------------------------------------------------
Huntsman Packaging Corp.
$12,500,000 Term loan, maturing June 30, 2006 $ 12,500,000
Vinings Industries, Inc.
8,139,837 Term loan, maturing March 31, 2005 8,139,837
- -------------------------------------------------------------------------------
$ 20,639,837
- -------------------------------------------------------------------------------
Coal -- 0.79%
- -------------------------------------------------------------------------------
Alliance Coal Corporation
$ 2,534,935 Term loan, maturing December 31, 2001 $ 2,534,935
6,272,389 Term loan, maturing December 31, 2002 6,272,389
P&L Coal Holdings Corporation
31,807,692 Term loan, maturing June 30, 2006 31,807,692
Quaker Coal Company
9,950,000 Term loan, maturing June 30, 2006 9,950,000
- -------------------------------------------------------------------------------
$ 50,565,016
- -------------------------------------------------------------------------------
Commercial Services -- 4.81%
- -------------------------------------------------------------------------------
Advanstar Communications Inc.
$18,962,000 Term loan, maturing April 30, 2005 $ 18,962,000
American Floral Services, Inc.
4,833,333 Term loan, maturing June 30, 2004 4,833,333
Brickman Holdings Corp
7,750,129 Term loan, maturing January 14, 2006 7,750,129
Caterair International Corporation
39,831,235 Term loan, maturing March 1, 2007 39,831,235
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
Erickson Air-Crane Co.
8,842,500 Term loan, maturing December 31, 2004 8,842,500
Morris Material Handling, Inc.
6,965,000 Term loan, maturing March 31, 2003 6,965,000
Nebraska Book Company
7,442,308 Term loan, maturing March 31, 2006 7,442,308
Omni Services, Inc.
37,679,749 Term loan, maturing October 30, 2005 37,679,749
Outdoor Systems, Inc.
20,844,444 Term loan, maturing June 30, 2004 20,844,444
Outsourcing Solutions, Corp.
14,035,947 Term loan, maturing October 15, 2003 14,035,947
Philips Services Corp.
6,794,154 Term loan, maturing August 12, 2002* 4,755,907
PSI Acquisition Corporation
16,830,000 Term loan, maturing September 30, 2003 16,830,000
Saftey-Kleen Services, Inc
31,379,546 Term loan, maturing April 3, 2005 31,379,546
31,379,546 Term loan, maturing April 3, 2006 31,379,546
SC International Services, Inc.
22,405,871 Term loan, maturing March 1, 2007 22,405,871
United Rentals, Inc.
18,470,000 Term loan, maturing June 30, 2005 18,470,000
7,000,000 Term loan, maturing June 30, 2006 7,000,000
- -------------------------------------------------------------------------------
$ 309,407,515
- -------------------------------------------------------------------------------
Communications - Equip/Mfrs -- 1.98%
- -------------------------------------------------------------------------------
Amphenol Corporation
$32,786,250 Term loan, maturing May 19, 2006 $ 32,786,250
Communications & Power Industries, Inc.
1,977,527 Term loan, maturing August 11, 2000 1,977,527
8,035,807 Term loan, maturing August 12, 2002 8,035,807
Dynatech Corporation
10,539,165 Term loan, maturing March 31, 2005 10,539,165
10,539,354 Term loan, maturing March 31, 2006 10,539,354
10,539,354 Term loan, maturing March 31, 2007 10,539,354
Prodelin Holding Corporation
9,682,432 Term loan, maturing May 31, 2006 9,682,432
Superior Telecom, Inc.
26,000,000 Term loan, maturing November 27, 2005 26,000,000
Telex Communications, Inc.
4,961,538 Term loan, maturing November 6, 2004 4,961,538
Viasystems, Inc.
5,978,572 Term loan, maturing March 31, 2004 5,978,572
3,945,455 Term loan, maturing June 30, 2004 3,945,455
2,400,000 Term loan, maturing June 30, 2005 2,400,000
- -------------------------------------------------------------------------------
$ 127,385,454
- -------------------------------------------------------------------------------
Computer Software & Services -- 1.07%
- -------------------------------------------------------------------------------
Bridge Information Systems America
$ 8,250,000 Term loan, maturing May 29, 2004 $ 8,250,000
15,000,000 Term loan, maturing May 29, 2005 15,000,000
Decisionone Corporation
5,416,829 Revolving loan, maturing August 7, 2003 4,604,358
16,562,000 Term loan, maturing August 7, 2003 14,077,700
2,387,077 Term loan, maturing August 7, 2005 2,029,016
Paul G. Allen
25,000,000 Term loan, maturing June 10, 2003 25,000,000
- -------------------------------------------------------------------------------
$ 68,961,074
- -------------------------------------------------------------------------------
Computer Systems -- 0.20%
- -------------------------------------------------------------------------------
Genicom Corporation
$13,078,125 Term loan, maturing September 5, 2004 $ 13,078,125
- -------------------------------------------------------------------------------
$ 13,078,125
- -------------------------------------------------------------------------------
Conglomerates -- 2.19%
- -------------------------------------------------------------------------------
American Marketing Industries, Inc.
$ 1,095,000 Term loan, maturing August 31, 2001 $ 1,095,000
5,442,300 Term loan, maturing November 30, 2002 5,442,300
6,484,500 Term loan, maturing November 30, 2003 6,484,500
6,646,297 Term loan, maturing November 30, 2004 6,646,297
5,458,750 Term loan, maturing November 16, 2005 5,458,750
Fenway Holdings, L.L.C.
4,743,634 Term loan, maturing September 15, 2002 4,743,634
Fisher Scientific International Inc
18,576,818 Term loan, maturing January 21, 2007 18,576,818
Florida Panthers Holdings, Inc.
10,000,000 Term loan, maturing July 15, 1998 10,000,000
Seminis, Inc
9,561,201 Term loan, maturing December 31, 2003 9,561,201
14,341,802 Term loan, maturing December 31, 2004 14,341,802
SPX Corporation
53,366,250 Term loan, maturing September 30, 2006 53,366,250
5,000,000 Term loan, maturing January 21, 2007 5,000,000
- -------------------------------------------------------------------------------
$ 140,716,552
- -------------------------------------------------------------------------------
Containers - Metal & Glass -- 1.70%
- -------------------------------------------------------------------------------
Ball Corporation
$20,500,000 Term loan, maturing March 10, 2006 $ 20,500,000
Graham Packaging Company
7,579,688 Term loan, maturing January 31, 2006 7,579,688
8,316,027 Term loan, maturing January 31, 2007 8,316,027
Reid Plastics, Inc.
9,858,414 Term loan, maturing November 12, 2003 9,858,414
7,425,000 Term loan, maturing November 12, 2004 7,425,000
Russell-Stanley Holdings, Inc.
13,925,001 Term loan, maturing September 30, 2005 13,925,001
Silgan Holdings Inc.
16,461,775 Term loan, maturing June 30, 2005 16,461,775
Tekni-Plex, Inc.
17,949,288 Term loan, maturing March 31, 2006 17,949,288
Truseal Technologies, Inc.
7,274,182 Term loan, maturing July 1, 2004 7,274,182
- -------------------------------------------------------------------------------
$ 109,289,375
- -------------------------------------------------------------------------------
Containers - Paper -- 3.57%
- -------------------------------------------------------------------------------
Gaylord Container Corporation
$15,000,000 Term loan, maturing June 19, 2004 $ 15,000,000
IPC, Inc.
39,905,000 Term loan, maturing September 30, 2004 39,905,000
Jefferson Smurfit Corporation
25,000,000 Term loan, maturing March 31, 2005 25,000,000
68,000,000 Term loan, maturing March 24, 2006 68,000,000
RIC Holding, Inc.
5,631,526 Revolving loan, maturing February 28, 2003 5,631,526
15,038,657 Term loan, maturing February 28, 2003 15,038,657
10,405,607 Term loan, maturing February 28, 2004 10,405,607
4,123,123 Term loan, maturing August 28, 2004 4,123,123
Stone Container Corporation
8,851,066 Term loan, maturing April 1, 2000 8,851,066
1,224,903 Revolving loan, maturing October 1, 2003 1,224,903
4,850,000 Term loan, maturing October 1, 2003 4,850,000
19,755,690 Term loan, maturing October 1, 2004 19,755,690
Stronghaven, Inc.
9,303,448 Term loan, maturing May 15, 2004 9,303,448
2,416,467 Term loan, maturing May 15, 2005 2,416,467
- -------------------------------------------------------------------------------
$ 229,505,487
- -------------------------------------------------------------------------------
Cosmetics -- 1.44%
- -------------------------------------------------------------------------------
AM Cosmetics, Inc.
$ 948,718 Term loan, maturing June 30, 2003* $ 787,436
12,904,987 Term loan, maturing December 31, 2004* 10,711,139
Mary Kay Inc.
19,359,452 Term loan, maturing March 6, 2004 19,359,452
Revlon Consumer Products Corporation
6,243,250 Term loan, maturing May 29, 2002 6,243,250
55,446,750 Term loan, maturing May 29, 2003 55,446,750
- -------------------------------------------------------------------------------
$ 92,548,027
- -------------------------------------------------------------------------------
Drugs -- 0.22%
- -------------------------------------------------------------------------------
King Pharmaceuticals, Inc.
$ 7,000,000 Term loan, maturing December 31, 2005 $ 7,000,000
Robert's Pharmaceutical Corporation
6,965,000 Term loan, maturing June 30, 2003 6,965,000
- -------------------------------------------------------------------------------
$ 13,965,000
- -------------------------------------------------------------------------------
Electrical Power -- 0.16%
- -------------------------------------------------------------------------------
Bangor Hydro-Electric Company
$10,500,000 Term loan, maturing June 26, 2000 $ 10,500,000
- -------------------------------------------------------------------------------
$ 10,500,000
- -------------------------------------------------------------------------------
Electronics - Instrumentation -- 0.34%
- -------------------------------------------------------------------------------
Dynamic Details, Incorporated
$ 4,000,000 Term loan, maturing April 22, 2005 $ 4,000,000
Packard Bioscience Company
17,650,000 Term loan, maturing March 31, 2002 17,650,000
- -------------------------------------------------------------------------------
$ 21,650,000
- -------------------------------------------------------------------------------
Engineering & Construction -- 0.23%
- -------------------------------------------------------------------------------
International Technology Corporation
$ 4,950,658 Term loan, maturing June 11, 2006 $ 4,950,658
U.S. Aggregates, Inc.
9,750,000 Term loan, maturing March 31, 2006 9,750,000
- -------------------------------------------------------------------------------
$ 14,700,658
- -------------------------------------------------------------------------------
Entertainment -- 0.92%
- -------------------------------------------------------------------------------
Regal Cinemas Inc.
$16,642,702 Term loan, maturing May 27, 2006 $ 16,642,702
10,058,824 Term loan, maturing May 27, 2007 10,058,824
SFX Entertainment, Inc
22,500,000 Term loan, maturing March 31, 2006 22,500,000
United Artists Theatre Co.
4,000,000 Term loan, maturing April 21, 2006 4,000,000
6,000,000 Term loan, maturing April 21, 2007 6,000,000
- -------------------------------------------------------------------------------
$ 59,201,526
- -------------------------------------------------------------------------------
Equipment Leasing -- 0.04%
- -------------------------------------------------------------------------------
Rent-A-Center, Inc.
$ 1,189,640 Term loan, maturing January 31, 2006 $ 1,189,640
1,453,914 Term loan, maturing January 31, 2007 1,453,914
- -------------------------------------------------------------------------------
$ 2,643,554
- -------------------------------------------------------------------------------
Financial - Misc. -- 0.17%
- -------------------------------------------------------------------------------
Altamira Management Ltd.
$11,160,606 Term loan, maturing September 30, 2004 $ 11,160,606
- -------------------------------------------------------------------------------
$ 11,160,606
- -------------------------------------------------------------------------------
Food Wholesalers -- 0.51%
- -------------------------------------------------------------------------------
Fleming Companies Inc.
$25,877,111 Term loan, maturing July 25, 2004 $ 25,877,111
Volume Services, Inc.
7,000,000 Term loan, maturing December 31, 2002 7,000,000
- -------------------------------------------------------------------------------
$ 32,877,111
- -------------------------------------------------------------------------------
Foods -- 2.44%
- -------------------------------------------------------------------------------
Del Monte Corporation
$ 5,695,748 Term loan, maturing March 31, 2003 $ 5,695,748
36,851,270 Term loan, maturing March 31, 2005 36,851,270
Domino's Inc.
8,500,000 Term loan, maturing December 21, 2006 8,500,000
8,500,000 Term loan, maturing December 21, 2007 8,500,000
Eagle Family Foods, Inc
12,428,571 Term loan, maturing December 31, 2005 12,428,571
Favorite Brands International, Inc.
12,416,667 Term loan, maturing May 19, 2005 12,416,667
International Home Foods, Inc.
207,778 Revolving loan, maturing March 31, 2003 207,778
1,886,907 Term loan, maturing March 31, 2003 1,886,907
429,295 Revolving loan, maturing September 30, 2005 429,295
3,098,809 Term loan, maturing September 30, 2005 3,098,809
21,662,123 Term loan, maturing September 30, 2006 21,662,123
Purina Mills, Inc.
12,967,006 Term loan, maturing March 12, 2007 12,967,006
Southern Foods Group, L.P.
5,730,000 Term loan, maturing February 28, 2006 5,730,000
Specialty Foods Corporation
8,109,589 Revolving loan, maturing January 31, 2000 8,109,589
18,529,316 Term loan, maturing January 31, 2000 18,529,316
- -------------------------------------------------------------------------------
$ 157,013,079
- -------------------------------------------------------------------------------
Hardware & Tools -- 0.22%
- -------------------------------------------------------------------------------
Werner Holding Co.
$ 9,554,757 Term loan, maturing November 30, 2004 $ 9,554,757
4,912,875 Term loan, maturing November 30, 2005 4,912,875
- -------------------------------------------------------------------------------
$ 14,467,632
- -------------------------------------------------------------------------------
Health Care - Diversified -- 1.27%
- -------------------------------------------------------------------------------
Conmed Corporation
$12,765,306 Term loan, maturing December 30, 2004 $ 12,765,306
FHC Health Systems, Inc.
8,221,881 Term loan, maturing April 30, 2005 8,221,881
8,221,881 Term loan, maturing April 30, 2006 8,221,881
Integrated Health Services, Inc.
32,670,000 Term loan, maturing September 15, 2003 32,670,000
19,800,000 Term loan, maturing December 31, 2005 19,800,000
- -------------------------------------------------------------------------------
$ 81,679,068
- -------------------------------------------------------------------------------
Health Care - Misc. -- 5.95%
- -------------------------------------------------------------------------------
Alliance Imaging, Inc.
$ 1,980,000 Term loan, maturing December 18, 2003 $ 1,980,000
7,443,703 Term loan, maturing June 18, 2004 7,443,703
5,000,000 Term loan, maturing December 18, 2004 5,000,000
Community Health Systems, Inc.
14,154,565 Term loan, maturing December 31, 2003 14,154,565
14,154,565 Term loan, maturing December 31, 2004 14,154,565
10,602,261 Term loan, maturing December 31, 2005 10,602,261
Extendicare Health Services, Inc.
20,422,720 Term loan, maturing December 31, 2004 20,422,720
Genesis Health Ventures, Inc.
7,699,684 Term loan, maturing September 30, 2004 7,699,684
7,681,818 Term loan, maturing June 1, 2005 7,681,818
Imed Corporation
7,752,348 Term loan, maturing November 30, 2002 7,752,348
6,419,737 Term loan, maturing November 30, 2003 6,419,737
6,419,737 Term loan, maturing November 30, 2004 6,419,737
7,958,496 Term loan, maturing May 31, 2005 7,958,496
Kinetic Concepts, Inc.
5,197,500 Term loan, maturing December 31, 2004 5,197,500
5,197,500 Term loan, maturing December 31, 2005 5,197,500
Leiner Health Products Inc.
11,318,971 Term loan, maturing December 30, 2004 11,318,971
6,913,761 Term loan, maturing December 30, 2005 6,913,761
Magellan Health Services, Inc.
14,500,000 Term loan, maturing February 12, 2005 14,500,000
14,500,000 Term loan, maturing February 12, 2006 14,500,000
Mariner Post-Acute Network (f/k/a Paragon)
12,475,000 Term loan, maturing March 31, 2005 12,475,000
12,475,000 Term loan, maturing March 31, 2006 12,475,000
Mediq/PRN Life Support Services, Inc.
16,000,000 Term loan, maturing May 29, 2006 16,000,000
Meditrust Corporation
27,000,000 Term loan, maturing July 15, 1999 27,000,000
23,000,000 Term loan, maturing August 15, 1999 23,000,000
10,000,000 Term loan, maturing July 15, 2001 10,000,000
National Medical Care, Inc.
20,000,000 Term loan, maturing September 30, 2003 20,000,000
SMT Health Services
9,875,000 Term loan, maturing August 31, 2003 9,875,000
Sun Healthcare Group, Inc.
4,560,672 Term loan, maturing October 9, 2004 4,560,672
4,583,552 Term loan, maturing October 9, 2005 4,583,552
The Multicare Companies Inc.
7,896,566 Term loan, maturing September 30, 2004 7,896,566
2,625,525 Term loan, maturing June 1, 2005 2,625,525
Total Renal Care Holdings, Inc.
42,570,000 Term loan, maturing March 31, 2008 42,570,000
WGL Acquisition Corp.
14,017,663 Term loan, maturing July 10, 2004 14,017,663
- -------------------------------------------------------------------------------
$ 382,396,344
- -------------------------------------------------------------------------------
Heavy Duty Trucks & Parts -- 0.14%
- -------------------------------------------------------------------------------
Oshkosh Truck Corporation
$ 4,640,000 Term loan, maturing March 31, 2005 $ 4,640,000
4,640,000 Term loan, maturing March 31, 2006 4,640,000
- -------------------------------------------------------------------------------
$ 9,280,000
- -------------------------------------------------------------------------------
Hotels - Motels -- 3.07%
- -------------------------------------------------------------------------------
Allegro Resorts Corporation
$19,800,000 Term loan, maturing February 11, 2005 $ 19,800,000
Aztar Corporation
8,000,000 Term loan, maturing June 30, 2005 8,000,000
Extended Stay America
1,960,000 Revolving loan, maturing December 31, 2002 1,960,000
5,890,000 Term loan, maturing December 31, 2002 5,890,000
10,000,000 Term loan, maturing December 31, 2003 10,000,000
Felcor Suite Hotels, Inc.
22,000,000 Term loan, maturing July 1, 2001 22,000,000
Palace Station Hotel & Casino, Inc.
9,000,000 Term loan, maturing September 30, 2000 9,000,000
Patriot American Hospitality, Inc.
11,764,706 Term loan, maturing March 31, 1999 11,764,706
13,235,294 Term loan, maturing March 31, 2000 13,235,294
24,979,167 Term loan, maturing March 31, 2003 24,979,167
Starwood Hotels & Resorts
24,636,364 Term loan, maturing February 23, 1999 24,636,364
21,000,000 Term loan, maturing February 23, 2003 21,000,000
25,000,000 Term loan, maturing February 23, 2004 25,000,000
- -------------------------------------------------------------------------------
$ 197,265,531
- -------------------------------------------------------------------------------
Household Furnish & Appliances -- 2.21%
- -------------------------------------------------------------------------------
Alliance Laundry Holdings LLC.
$14,500,000 Term loan, maturing September 30, 2005 $ 14,500,000
Furniture Brands International, Inc.
40,000,000 Term loan, maturing June 27, 2007 40,000,000
Goodman Manufacturing Company, L.P.
22,500,000 Term loan, maturing July 31, 2005 22,500,000
Home Interiors & Gifts, Inc.
8,955,000 Term loan, maturing June 30, 2006 8,955,000
Sealy Mattress Company
12,061,213 Term loan, maturing December 15, 2004 12,061,213
8,687,273 Term loan, maturing December 15, 2005 8,687,273
11,101,517 Term loan, maturing December 15, 2006 11,101,517
Simmons Company
2,421,301 Term loan, maturing October 30, 2005 2,421,301
6,056,250 Term loan, maturing October 30, 2006 6,056,250
The Boyds Collection, Ltd.
5,000,000 Term loan, maturing April 21, 2005 5,000,000
10,819,445 Term loan, maturing April 21, 2006 10,819,445
- -------------------------------------------------------------------------------
$ 142,101,999
- -------------------------------------------------------------------------------
Household Products -- 1.23%
- -------------------------------------------------------------------------------
BMK, Inc.
$ 5,398,744 Term loan, maturing June 30, 2004 $ 5,398,744
Diamond Brands Operating Corp.
21,905 Revolving loan, maturing March 31, 2004 21,905
1,936,364 Term loan, maturing March 31, 2005 1,936,364
13,870,382 Term loan, maturing March 31, 2006 13,870,382
Playtex FP, Inc.
31,570,140 Term loan, maturing June 15, 2003 31,570,140
The Imperial Decor Home Group, Inc.
10,739,583 Term loan, maturing March 12, 2005 10,739,583
6,260,417 Term loan, maturing March 12, 2006 6,260,417
The Scotts Company
4,582,822 Term loan, maturing June 30, 2006 4,582,822
4,417,178 Term loan, maturing June 30, 2007 4,417,178
- -------------------------------------------------------------------------------
$ 78,797,535
- -------------------------------------------------------------------------------
Housewares -- 0.46%
- -------------------------------------------------------------------------------
Corning Consumer Products Company
$ 8,000,000 Term loan, maturing October 9, 2006 $ 8,000,000
Pillowtex Corporation
21,367,813 Term loan, maturing December 31, 2004 21,367,813
- -------------------------------------------------------------------------------
$ 29,367,813
- -------------------------------------------------------------------------------
Insurance Brokers -- 0.13%
- -------------------------------------------------------------------------------
Acordia, Inc.
$ 8,192,126 Term loan, maturing September 30, 2004 $ 8,192,126
- -------------------------------------------------------------------------------
$ 8,192,126
- -------------------------------------------------------------------------------
Leisure Time -- 3.15%
- -------------------------------------------------------------------------------
24 Hour Fitness, Inc.
$10,000,000 Term loan, maturing December 31, 2004 $ 10,000,000
Alliance Gaming Corporation
2,962,620 Term loan, maturing January 31, 2005 2,962,620
8,798,755 Term loan, maturing January 31, 2005 8,798,755
4,749,305 Term loan, maturing July 31, 2005 4,749,305
AMF Bowling Worldwide, Inc.
10,818,993 Term loan, maturing March 31, 2002 10,818,993
6,605,314 Term loan, maturing March 31, 2003 6,605,314
6,003,839 Term loan, maturing March 31, 2004 6,003,839
Amfac Resorts, Inc.
4,950,000 Term loan, maturing September 30, 2003 4,950,000
4,950,000 Term loan, maturing September 30, 2004 4,950,000
ASC East, Inc.
1,000,001 Term loan, maturing May 31, 2006 1,000,001
ASC West, Inc.
2,499,999 Term loan, maturing May 31, 2006 2,499,999
Interval International Corp.
11,847,969 Term loan, maturing December 16, 2005 11,847,969
9,318,125 Term loan, maturing December 15, 2006 9,318,125
2,529,844 Term loan, maturing December 16, 2006 2,529,844
KSL Recreation Group, Inc.
7,545,366 Revolving loan, maturing April 30, 2005 7,545,366
6,958,558 Term loan, maturing April 30, 2005 6,958,558
6,958,558 Term loan, maturing April 30, 2006 6,958,558
Metro-Goldwyn-Mayer Studios Inc.
25,000,000 Term loan, maturing March 31, 2004 25,000,000
Mikohn Gaming Corporation
10,000,000 Term loan, maturing April 1, 2004 10,000,000
Panavision International, L.P.
18,000,000 Term loan, maturing March 31, 2005 18,000,000
Premier Parks Inc.
18,392,857 Term loan, maturing March 31, 2006 18,392,857
Six Flags Theme Parks Inc.
22,761,353 Term loan, maturing November 30, 2004 22,761,353
- -------------------------------------------------------------------------------
$ 202,651,456
- -------------------------------------------------------------------------------
Machinery - Diversified -- 0.30%
- -------------------------------------------------------------------------------
Numatics, Incorporated
$ 2,081,250 Term loan, maturing March 19, 2004 $ 2,081,250
3,466,250 Term loan, maturing September 19, 2005 3,466,250
Thermadyne MFG LLC
6,965,000 Term loan, maturing May 22, 2005 6,965,000
6,965,000 Term loan, maturing May 22, 2006 6,965,000
- -------------------------------------------------------------------------------
$ 19,477,500
- -------------------------------------------------------------------------------
Manufacturing - Diversified -- 3.68%
- -------------------------------------------------------------------------------
Advanced Glassfiber Yarns LLC
$22,942,500 Term loan, maturing September 30, 2005 $ 22,942,500
AMSCAN Holdings, Inc.
8,370,000 Term loan, maturing December 31, 2004 8,370,000
Arteva B.V. (Kosa)
28,000,000 Term loan, maturing December 31, 2006 28,000,000
Desa International, Inc.
7,312,500 Term loan, maturing November 30, 2004 7,312,500
E-P Acquisition, Inc
5,700,000 Term loan, maturing August 31, 2005 5,700,000
8,538,600 Term loan, maturing August 31, 2006 8,538,600
Environmental Systems Products Hldgs., Inc.
622,223 Revolving loan, maturing September 30, 2004 622,223
3,888,889 Term loan, maturing September 30, 2004 3,888,889
18,000,000 Term loan, maturing September 30, 2005 18,000,000
Foamex L.P.
5,425,764 Revolving loan, maturing June 30, 2003 5,425,764
92,593 Term loan, maturing June 30, 2003 92,593
6,317,993 Term loan, maturing June 30, 2005 6,317,993
5,729,089 Term loan, maturing June 30, 2006 5,729,089
6,947,500 Term loan, maturing December 31, 2006 6,947,500
Handy & Harman
7,000,000 Term loan, maturing July 30, 2006 7,000,000
Impac Group, Inc.
15,000,000 Term loan, maturing June 30, 2005 15,000,000
Insilco Corporation
6,500,000 Term loan, maturing November 24, 2005 6,500,000
International Wire Group, Inc.
27,262,461 Term loan, maturing September 30, 2002 27,262,461
Matthew Warren, Inc.
7,713,768 Term loan, maturing May 31, 2005 7,713,768
2,849,422 Term loan, maturing May 31, 2006 2,849,422
Neenah Foundry Company
19,442,171 Term loan, maturing September 30, 2005 19,442,171
Panolam Industries, Inc.
724,501 Term loan, maturing November 1, 2002 724,501
4,521,474 Term loan, maturing November 1, 2004 4,521,474
2,577,180 Term loan, maturing November 1, 2005 2,577,180
1,900,008 Term loan, maturing May 1, 2006 1,900,008
Samsonite Corporation
7,000,000 Term loan, maturing June 24, 2005 7,000,000
Tokheim Corporation
6,000,000 Term loan, maturing September 30, 2004 6,000,000
- -------------------------------------------------------------------------------
$ 236,378,636
- -------------------------------------------------------------------------------
Medical Products & Supplies -- 1.42%
- -------------------------------------------------------------------------------
Arterial Vascular Engineering, Inc.
$25,935,000 Term loan, maturing September 30, 2004 $ 25,935,000
Nutramax Products, Inc.
12,368,973 Term loan, maturing September 19, 2005 12,368,973
Sterling Diagnostic Imaging, Inc.
14,985,577 Term loan, maturing December 30, 2005 14,985,577
Stryker Corporation
26,096,572 Term loan, maturing December 10, 2005 26,096,572
12,039,014 Term loan, maturing December 10, 2006 12,039,014
- -------------------------------------------------------------------------------
$ 91,425,136
- -------------------------------------------------------------------------------
Metals - Misc. -- 0.43%
- -------------------------------------------------------------------------------
C II Carbon, LLC
$10,949,987 Term loan, maturing June 30, 2008 $ 10,949,987
U.S. Silica Company
3,000,000 Revolving loan, maturing June 30, 2004 3,000,000
2,000,000 Term loan, maturing June 30, 2004 2,000,000
12,000,000 Term loan, maturing June 30, 2006 12,000,000
- -------------------------------------------------------------------------------
$ 27,949,987
- -------------------------------------------------------------------------------
Miscellaneous -- 1.59%
- -------------------------------------------------------------------------------
Coinmach Laundry Corporation
$32,615,513 Term loan, maturing June 30, 2005 $ 32,615,513
Kindercare Learning Centers, Inc.
8,386,332 Term loan, maturing February 13, 2006 8,386,332
La Petite Academy, Inc.
4,968,750 Term loan, maturing May 11, 2005 4,968,750
Prime Succession, Inc.
15,644,444 Term loan, maturing August 1, 2003 15,644,444
Rose Hills Company
9,667,565 Term loan, maturing December 1, 2003 9,667,565
Smarte Carte Corporation
451,613 Term loan, maturing December 31, 2001 451,613
2,828,571 Term loan, maturing June 30, 2003 2,828,571
4,320,000 Term loan, maturing June 30, 2004 4,320,000
Spalding Holdings Corp. (E&S)
1,956,469 Revolving loan, maturing September 30, 2003 1,760,822
456,376 Term loan, maturing September 30, 2003 410,739
3,655,538 Term loan, maturing September 30, 2004 3,289,984
3,655,538 Term loan, maturing September 30, 2005 3,289,985
2,104,604 Term loan, maturing March 30, 2006 1,894,144
Wesco International, Inc.
12,693,889 Term loan, maturing June 5, 2006 12,693,889
- -------------------------------------------------------------------------------
$ 102,222,351
- -------------------------------------------------------------------------------
Natural Gas/Distrib/Pipeline -- 0.23%
- -------------------------------------------------------------------------------
Kinder Morgan
$15,000,000 Term loan, maturing May 31, 2000 $ 15,000,000
- -------------------------------------------------------------------------------
$ 15,000,000
- -------------------------------------------------------------------------------
Office Equipment & Supplies -- 1.48%
- -------------------------------------------------------------------------------
CEX Holdings, Inc.
$14,925,000 Term loan, maturing April 25, 2005 $ 14,925,000
Cullman Ventures, Inc.
19,700,000 Term loan, maturing January 31, 2004 19,700,000
F.M.E. Corporation (Neopost)
20,776,506 Term loan, maturing June 24, 2006 20,776,506
Identity Group, Inc.
9,849,246 Term loan, maturing November 22, 2003 9,849,246
U.S. Office Products
30,000,000 Term loan, maturing June 9, 2006 30,000,000
- -------------------------------------------------------------------------------
$ 95,250,752
- -------------------------------------------------------------------------------
Paper & Forest Products -- 0.69%
- -------------------------------------------------------------------------------
Alabama River Newsprint
$21,947,818 Term loan, maturing December 31, 2002 $ 20,321,902
Bear Island Paper Company, LLC
23,735,032 Term loan, maturing December 31, 2005 23,735,032
- -------------------------------------------------------------------------------
$ 44,056,934
- -------------------------------------------------------------------------------
Property & Casualty Insurance -- 0.17%
- -------------------------------------------------------------------------------
TRG Holding Corporation
$10,875,000 Term loan, maturing January 7, 2003 $ 10,875,000
- -------------------------------------------------------------------------------
$ 10,875,000
- -------------------------------------------------------------------------------
Publishing -- 3.44%
- -------------------------------------------------------------------------------
Cygnus Publishing, Inc.
$13,331,250 Term loan, maturing June 5, 2005 $ 13,331,250
Morris Communications Corporation
19,800,000 Term loan, maturing June 30, 2005 19,800,000
Penton Media, Inc.
150,000 Revolving loan, maturing May 31, 2005 150,000
4,375,000 Term loan, maturing May 31, 2005 4,375,000
10,500,000 Term loan, maturing May 31, 2006 10,500,000
Primedia Inc.
9,610,000 Revolving loan, maturing June 30, 2004 9,610,000
31,500,000 Term loan, maturing June 30, 2004 31,500,000
R.H. Donnelley Inc.
4,629,144 Term loan, maturing December 5, 2005 4,629,144
5,320,856 Term loan, maturing December 5, 2006 5,320,856
Rand McNally & Company
997,500 Term loan, maturing April 30, 2005 997,500
4,488,750 Term loan, maturing April 30, 2006 4,488,750
Reiman Publications
5,500,000 Term loan, maturing November 30, 2005 5,500,000
The Petersen Companies, Inc.
8,188,125 Term loan, maturing March 31, 2007 8,188,125
The Sheridan Group, Inc.
6,965,000 Term loan, maturing January 30, 2005 6,965,000
Von Hoffman Press, Inc.
9,425,183 Term loan, maturing May 30, 2004 9,425,183
24,977,738 Term loan, maturing May 30, 2005 24,977,738
Yellow Book USA, L.P.
4,900,000 Term loan, maturing September 30, 2005 4,900,000
3,692,308 Term loan, maturing December 31, 2005 3,692,308
2,307,692 Term loan, maturing December 31, 2006 2,307,692
Ziff-Davis Publishing Company
5,328,947 Revolving loan, maturing March 31, 2005 5,328,947
7,105,263 Term loan, maturing March 31, 2005 7,105,263
38,000,000 Term loan, maturing March 31, 2006 38,000,000
- -------------------------------------------------------------------------------
$ 221,092,756
- -------------------------------------------------------------------------------
Publishing - Newspapers -- 1.67%
- -------------------------------------------------------------------------------
21ST Century Newspapers, Inc.
$ 9,428,750 Term loan, maturing September 15, 2005 $ 9,428,750
American Media Operations Inc.
15,000,000 Term loan, maturing March 31, 2004 15,000,000
Journal Register Company
47,000,000 Term loan, maturing September 30, 2006 47,000,000
The McClatchy Company
36,060,606 Term loan, maturing September 10, 2007 36,060,606
- -------------------------------------------------------------------------------
$ 107,489,356
- -------------------------------------------------------------------------------
Railroads -- 0.13%
- -------------------------------------------------------------------------------
I & M Rail Link, LLC
$ 804,000 Revolving loan, maturing March 31, 2004 $ 804,000
7,400,000 Term loan, maturing March 31, 2004 7,400,000
- -------------------------------------------------------------------------------
$ 8,204,000
- -------------------------------------------------------------------------------
Restaurants -- 1.07%
- -------------------------------------------------------------------------------
AFC Enterprises Inc
$ 3,990,000 Term loan, maturing June 30, 2004 $ 3,990,000
Applebee's International, Inc.
16,880,000 Term loan, maturing March 31, 2006 16,880,000
Friendly Ice Cream Corporation
1,285,714 Term loan, maturing November 15, 2004 1,285,714
6,428,571 Term loan, maturing November 15, 2005 6,428,571
Long John Silver's Restaurants Inc.
6,435,637 Term loan, maturing June 30, 2002* 5,792,074
Shoney's Inc.
4,095,940 Term loan, maturing April 30, 2002 4,095,940
8,603,438 Term loan, maturing April 30, 2003 8,603,438
Tricon Global Restaurants, Inc.
21,492,082 Term loan, maturing October 2, 2002 21,492,082
- -------------------------------------------------------------------------------
$ 68,567,819
- -------------------------------------------------------------------------------
Retail Stores - Drug Stores -- 0.18%
- -------------------------------------------------------------------------------
Duane Reade Inc.
$11,413,750 Term loan, maturing February 15, 2005 $ 11,413,750
- -------------------------------------------------------------------------------
$ 11,413,750
- -------------------------------------------------------------------------------
Retail Stores - Food Chains -- 0.72%
- -------------------------------------------------------------------------------
Pathmark Stores, Inc.
$29,210,440 Term loan, maturing December 15, 2001 $ 29,210,440
Star Markets Company, Inc.
8,292,429 Term loan, maturing December 31, 2001 8,292,429
8,967,402 Term loan, maturing December 31, 2002 8,967,402
- -------------------------------------------------------------------------------
$ 46,470,271
- -------------------------------------------------------------------------------
Retail Stores - General Mdse -- 0.18%
- -------------------------------------------------------------------------------
Tuesday Morning Corporation
$11,621,262 Term loan, maturing December 31, 2004 $ 11,621,262
- -------------------------------------------------------------------------------
$ 11,621,262
- -------------------------------------------------------------------------------
Retail Stores - Specialty -- 1.11%
- -------------------------------------------------------------------------------
Advanced Stores Company, Inc.
$30,942,500 Term loan, maturing April 15, 2006 $ 30,942,500
Griffith Consumers Company
9,360,255 Term loan, maturing December 31, 2002 9,360,255
12,971,734 Term loan, maturing December 31, 2003 12,971,734
Petro Shopping Centers, L.P.
6,429,648 Term loan, maturing December 31, 2003 6,429,648
Travelcenters of America, Inc.
11,981,073 Term loan, maturing March 27, 2005 11,981,073
- -------------------------------------------------------------------------------
$ 71,685,210
- -------------------------------------------------------------------------------
Steel -- 1.73%
- -------------------------------------------------------------------------------
Adience, Inc.
$12,474,580 Term loan, maturing April 30, 2005 $ 12,474,580
13,330,345 Term loan, maturing July 30, 2005 13,330,345
Ispat Inland, LP
11,940,000 Term loan, maturing July 15, 2005 11,940,000
11,940,000 Term loan, maturing July 16, 2006 11,940,000
Refraco Inc.
10,857,143 Term loan, maturing October 15, 2005 10,857,143
Ucar Global Enterprises, Inc.
14,933,333 Term loan, maturing December 31, 2002 14,933,333
35,500,000 Term loan, maturing December 31, 2003 35,500,000
- -------------------------------------------------------------------------------
$ 110,975,401
- -------------------------------------------------------------------------------
Telecommunications - Long Distance -- 3.65%
- -------------------------------------------------------------------------------
Access Communiations, Inc.
$ 9,711,800 Term loan, maturing December 31, 2004 $ 9,711,800
American Cellular Wireless LLC.
23,000,000 Term loan, maturing June 25, 2007 23,000,000
23,000,000 Term loan, maturing December 25, 2007 23,000,000
CCPR Services, Inc.
20,500,000 Term loan, maturing June 30, 2006 20,500,000
Cellular, Inc Financial Corporation
468,000 Revolving loan, maturing September 30, 2005 468,000
2,228,571 Term loan, maturing September 30, 2005 2,228,571
4,105,161 Term loan, maturing September 30, 2006 4,105,161
8,130,221 Term loan, maturing March 31, 2007 8,130,221
22,764,619 Term loan, maturing September 30, 2007 22,764,619
Davel Communications
4,000,000 Term loan, maturing June 23, 2005 4,000,000
Microcell Connexions
11,203,150 Term loan, maturing March 1, 2006 11,203,150
Nextel Communications, Inc.
35,000,000 Term loan, maturing September 30, 2006 35,000,000
Western PCS Holding Corporation
28,000,000 Term loan, maturing June 30, 2007 28,000,000
Western Wireless
35,000,000 Term loan, maturing March 31, 2002 35,000,000
7,500,000 Term loan, maturing March 31, 2004 7,500,000
- -------------------------------------------------------------------------------
$ 234,611,522
- -------------------------------------------------------------------------------
Telephone -- 0.44%
- -------------------------------------------------------------------------------
Mitel Corporation
$ 4,746,015 Term loan, maturing December 12, 2003 $ 4,746,015
MJD Communications
6,611,111 Term loan, maturing March 31, 2006 6,611,111
5,457,450 Term loan, maturing March 31, 2007 5,457,450
NSC Communications Corporation
11,297,059 Term loan, maturing October 1, 2003 11,297,059
- -------------------------------------------------------------------------------
$ 28,111,635
- -------------------------------------------------------------------------------
Textile - Apparel Mfg. -- 2.38%
- -------------------------------------------------------------------------------
CAF Holdings, Inc.
$ 3,911,765 Term loan, maturing June 30, 2002 $ 3,911,765
Cluett American Corp
9,950,000 Term loan, maturing May 18, 2005 9,950,000
Collins & Aikman Products Co.
18,000,000 Term loan, maturing June 30, 2005 18,000,000
Galey & Lord, Inc.
13,992,958 Term loan, maturing April 2, 2005 13,992,958
9,929,024 Term loan, maturing April 1, 2006 9,929,024
GFSI, Inc.
13,790,000 Term loan, maturing March 31, 2004 13,790,000
Globe Manufacturing Corp
12,100,000 Term loan, maturing July 31, 2006 12,100,000
Joan Fabrics Corporation
9,163,668 Term loan, maturing June 30, 2003 9,163,668
14,986,251 Term loan, maturing June 30, 2005 14,986,251
7,570,784 Term loan, maturing June 30, 2006 7,570,784
Renfro Corporation
4,800,000 Term loan, maturing November 15, 2003 4,800,000
Tartan Textile Services, Inc.
9,925,000 Term loan, maturing April 30, 2005 9,925,000
The William Carter Company
13,195,546 Term loan, maturing October 31, 2003 13,195,546
Walls Industries, Inc.
4,914,893 Term loan, maturing February 28, 2005 4,914,893
6,797,873 Term loan, maturing February 28, 2006 6,797,873
- -------------------------------------------------------------------------------
$ 153,027,762
- -------------------------------------------------------------------------------
Toys -- 0.29%
- -------------------------------------------------------------------------------
Hedstrom Corporation
$ 6,266,577 Term loan, maturing June 30, 2003 $ 6,266,577
12,084,435 Term loan, maturing June 30, 2005 12,084,435
- -------------------------------------------------------------------------------
$ 18,351,012
- -------------------------------------------------------------------------------
Transportation - Misc. -- 1.67%
- -----------------------------------------------------------------------
American Commercial Lines
$10,550,035 Term loan, maturing July 30, 2006 $ 10,550,035
20,379,121 Term loan, maturing June 30, 2007 20,379,121
Evergreen International Aviation, Inc.
20,441,661 Term loan, maturing April 30, 2002 20,441,661
1,656,341 Term loan, maturing April 30, 2003 1,656,341
Gemini Leasing, Inc.
7,500,000 Term loan, maturing December 31, 2002 7,500,000
MTL
14,476,238 Term loan, maturing August 28, 2005 14,476,238
12,399,231 Term loan, maturing February 28, 2006 12,399,231
NA Acquisition Corporation
7,425,000 Term loan, maturing March 30, 2006 7,425,000
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
- -------------------------------------------------------------------------------
$ 107,607,289
- -------------------------------------------------------------------------------
Total Senior, Secured, Floating-Rate Interests
(identified cost, $5,995,042,535) $5,983,489,418
- -------------------------------------------------------------------------------
Common Stocks and Warrants -- 0.09%
Shares/
Rights Security Value
- -------------------------------------------------------------------------------
806,708 AFC Enterprises Common Stock* $ 6,050,310
608 Classic Cable Common Stock Warrants* 0
34,364 PSI Acquisition Corporation Warrants* 0
- -------------------------------------------------------------------------------
Total Common Stocks and Warrants
(identified cost, $0) $ 6,050,310
- -------------------------------------------------------------------------------
Short-Term Investments -- 5.7%
Principal Maturity
Amount Date Borrower Rate Amount
- -------------------------------------------------------------------------------
$62,859,000 01/04/99 Associates Corporation of
North America 5.25% $ 62,831,500
75,000,000 01/07/99 Corporate Receivables 5.50% 74,931,250
86,460,000 01/08/99 Ford Motor Credit 5.53% 86,367,032
95,000,000 01/04/99 GE Capital Corporation 5.50% 94,956,458
45,000,000 01/08/99 Prudential Funding Corporation 5.80% 44,949,250
- -------------------------------------------------------------------------------
Total Short-Term Investments,
at amortized cost $ 364,035,490
- -------------------------------------------------------------------------------
Total Investments -- 98.8%
(identified cost, $6,357,118,455) $6,353,575,218
- -------------------------------------------------------------------------------
Other Assets, Less Liabilities -- 1.2% $ 76,758,464
- -------------------------------------------------------------------------------
Total Net Assets -- 100% $6,430,333,682
- -------------------------------------------------------------------------------
* Non-income producing security.
(1) Senior secured floating rate interests often require prepayments from excess
cash flow 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.
See notes to financial statements
<PAGE>
SENIOR DEBT PORTFOLIO AS OF DECEMBER 31, 1998
- -------------------------------------------------------------------------------
FINANCIAL STATEMENTS
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 1998
(EXPRESSED IN UNITED STATES DOLLARS)
Assets
- -------------------------------------------------------------------------------
Investments, at value
(identified cost, $6,357,118,455) $6,353,575,218
Cash 35,301,659
Receivable for investments sold 6,389,759
Interest receivable 44,694,290
Miscellaneous receivable 101,715
Prepaid expenses 1,132,167
Deferred organization expenses 25,408
- -------------------------------------------------------------------------------
Total assets $6,441,220,216
- -------------------------------------------------------------------------------
Liabilities
- -------------------------------------------------------------------------------
Deferred facility fee income $ 10,476,834
Payable to affiliate for Trustees' fees 21,900
Other accrued expenses 387,800
- -------------------------------------------------------------------------------
Total liabilities $ 10,886,534
- -------------------------------------------------------------------------------
Net assets applicable to investors' interest in portfolio $6,430,333,682
- -------------------------------------------------------------------------------
Sources of Net Assets
- -------------------------------------------------------------------------------
Net proceeds from capital contributions and withdrawals $6,433,876,919
Net unrealized depreciation (computed on the basis
of identified cost) (3,543,237)
- -------------------------------------------------------------------------------
Total $6,430,333,682
- -------------------------------------------------------------------------------
See notes to financial statements
<PAGE>
SENIOR DEBT PORTFOLIO AS OF DECEMBER 31, 1998
- -------------------------------------------------------------------------------
FINANCIAL STATEMENTS
- -------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1998
(EXPRESSED IN UNITED STATES DOLLARS)
Investment Income
- ------------------------------------------------------------------------------
Interest $404,432,157
Facility fees earned 3,952,723
- ------------------------------------------------------------------------------
Total investment income $408,384,880
- ------------------------------------------------------------------------------
Expenses
- ------------------------------------------------------------------------------
Investment adviser fee $ 44,484,347
Trustees fees and expenses 38,440
Custodian fee 1,148,768
Legal and accounting services 694,234
Interest 355,023
Amortization of organization expenses 6,205
Miscellaneous 817,685
- ------------------------------------------------------------------------------
Total expenses $ 47,544,702
- ------------------------------------------------------------------------------
Net investment income $360,840,178
- ------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
- ------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 936,231
- ------------------------------------------------------------------------------
Net realized gain $ 936,231
- ------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ (6,219,087)
- ------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) $ (6,219,087)
- ------------------------------------------------------------------------------
Net realized and unrealized loss $ (5,282,856)
- ------------------------------------------------------------------------------
Net increase in net assets from operations $355,557,322
- ------------------------------------------------------------------------------
See notes to financial statements
<PAGE>
SENIOR DEBT PORTFOLIO AS OF DECEMBER 31, 1998
- -------------------------------------------------------------------------------
FINANCIAL STATEMENTS CONT'D
- -------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(EXPRESSED IN UNITED STATES DOLLARS)
<TABLE>
<CAPTION>
INCREASE (DECREASE) YEAR ENDED YEAR ENDED
IN NET ASSETS DECEMBER 31, 1998 DECEMBER 31, 1997
- -----------------------------------------------------------------------------------------
<S> <C> <C>
From operations --
Net investment income $ 360,840,178 $ 254,014,218
Net realized gain (loss) 936,231 (9,000,530)
Net change in unrealized appreciation
(depreciation) (6,219,087) 8,549,067
- -----------------------------------------------------------------------------------------
Net increase in net assets from operations $ 355,557,322 $ 253,562,755
- -----------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 3,159,636,461 $1,646,867,281
Withdrawals (1,119,932,026) (875,432,567)
- -----------------------------------------------------------------------------------------
Net increase in net assets from capital
transactions $ 2,039,704,435 $ 771,434,714
- -----------------------------------------------------------------------------------------
Net increase in net assets $ 2,395,261,757 $1,024,997,469
- -----------------------------------------------------------------------------------------
Net Assets
- -----------------------------------------------------------------------------------------
At beginning of year $ 4,035,071,925 $3,010,074,456
- -----------------------------------------------------------------------------------------
At end of year $ 6,430,333,682 $4,035,071,925
- -----------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
<PAGE>
SENIOR DEBT PORTFOLIO AS OF DECEMBER 31, 1998
- -------------------------------------------------------------------------------
FINANCIAL STATEMENTS
- -------------------------------------------------------------------------------
STATEMENT OF CASH FLOWS
(EXPRESSED IN UNITED STATES DOLLARS)
YEAR ENDED
INCREASE (DECREASE) IN CASH DECEMBER 31, 1998
- -----------------------------------------------------------------------------
Cash flows from (used for) operating activities --
Purchases of loan interests $(2,335,082,968)
Proceeds from sales and principal repayments (5,941,701)
Interest received 385,524,441
Facility fees received 10,058,902
Interest paid (277,278)
Operating expenses paid (47,249,895)
Net increase in short-term investments (104,839,519)
- -----------------------------------------------------------------------------
Net cash used for operating activities $(2,097,808,018)
- -----------------------------------------------------------------------------
Cash flows from (used for) financing activities --
Proceeds from capital contributions $ 3,159,636,461
Payments for capital withdrawals (1,119,932,026)
- -----------------------------------------------------------------------------
Net cash provided from financing activities $ 2,039,704,435
- -----------------------------------------------------------------------------
Net decrease in cash $ (58,103,583)
- -----------------------------------------------------------------------------
Cash at beginning of year $ 93,405,242
- -----------------------------------------------------------------------------
Cash at end of year $ 35,301,659
- -----------------------------------------------------------------------------
RECONCILIATION OF NET INCREASE IN NET ASSETS
FROM OPERATIONS TO NET CASH USED FOR
OPERATING ACTIVITIES
- ----------------------------------------------------------------------------
Net increase in net assets from operations $ 355,557,322
Increase in receivable for investments sold (5,941,701)
Increase in interest receivable (18,907,716)
Increase in prepaid expenses (152,494)
Decrease in deferred organizational expense 6,205
Increase in deferred facility fee income 6,106,179
Increase in payable to affiliate 14,437
Increase in accrued expenses 143,176
Net increase in investments (2,434,633,426)
- -----------------------------------------------------------------------------
Net cash used for operating activities $(2,097,808,018)
- -----------------------------------------------------------------------------
See notes to financial statements
<PAGE>
SENIOR DEBT PORTFOLIO AS OF DECEMBER 31, 1998
- -------------------------------------------------------------------------------
FINANCIAL STATEMENTS CONT'D
- -------------------------------------------------------------------------------
SUPPLEMENTARY DATA (EXPRESSED IN UNITED STATES DOLLARS)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------------------------
1998 1997 1996 1995(1)
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operating expenses 0.93% 0.94% 0.98% 1.01%(2)
Interest expense 0.01% 0.02% 0.04% 0.13%(2)
Net investment income 7.12% 7.12% 7.17% 7.95%(2)
Portfolio turnover 56% 81% 75% 39%
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (000's
omitted) $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.
</TABLE>
See notes to financial statements
<PAGE>
SENIOR DEBT PORTFOLIO AS OF DECEMBER 31, 1998
- -------------------------------------------------------------------------------
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 in interests in loans
(Loan Interests) are valued at fair value by the Portfolio's investment
adviser, Boston Management and Research, 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 Loan Interest, including the
cost, size, current interest rate, period until next interest rate reset,
maturity and base lending rate of the Loan Interest, the terms and
conditions of the loan and any related agreements and the position of the
loan in the borrower's debt structure; (ii) the nature, adequacy and value
of the collateral, including the Portfolio's rights, remedies and interests
with respect to the collateral; (iii) the creditworthiness of the borrower,
based on evaluations of its financial condition, financial statements and
information about the borrower's business, cash flows, capital structure and
future prospects; (iv) information relating to the market for the Loan
Interest including price quotations for and trading in the Loan Interest and
interests in similar loans and the market environment and investor attitudes
towards the Loan Interest and interests in similar loans; (v) the reputation
and financial condition of the agent bank and any intermediate participant
in the loan; and (vi) general economic and market conditions affecting the
fair value of the Loan Interest. 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 Loan Interests 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 some
of the Portfolio's investors are regulated investment companies that invest
all or substantially all of their 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 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. For the year
ended December 31, 1998, the effective annual rate, based on average daily
gross assets, was 0.88% and amounted to $44,484,347. 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 of the officers and Trustees of the Portfolio are officers and
directors/trustees 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, 1998, no
significant amounts have been deferred.
3 Investments
- --------------------------------------------------------------------------------
The Portfolio invests primarily in Loan Interests. The ability of the
issuers of the Loan Interests 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 Loan Interests for the year
ended December 31, 1998 aggregated $4,976,032,496 and $2,639,835,870,
respectively.
4 Short-Term Debt and Credit Agreements
- --------------------------------------------------------------------------------
On March 13, 1998, the Portfolio entered 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 $257,753 which is
computed at the annual rate of 0.08% of the credit agreement. There were no
significant borrowings under this agreement during the year ended December
31, 1998. As of December 31, 1998, the Portfolio had no borrowings
outstanding.
5 Federal Income Tax Basis of Investment Securities
- --------------------------------------------------------------------------------
The cost and unrealized appreciation/depreciation in the value of the
investments owned at December 31, 1998, as computed on a federal income tax
basis, were as follows:
Aggregate cost $6,357,118,455
---------------------------------------------------------------------------
Gross unrealized appreciation $ 6,050,310
Gross unrealized depreciation (9,593,547)
---------------------------------------------------------------------------
Net unrealized depreciation $ (3,543,237)
---------------------------------------------------------------------------
<PAGE>
SENIOR DEBT PORTFOLIO AS OF DECEMBER 31, 1998
- --------------------------------------------------------------------------------
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, 1998, 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, 1998 and 1997, and the supplementary data for
each of the years in the three-year period ended December 31, 1998 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 Loan Interests owned at December 31, 1998 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, 1998, 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 Loan Interests and
certain other securities held by the Portfolio valued at $5,989,539,728
(93.15% 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 Loan Interest 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 Loan
Interests 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 12, 1999
<PAGE>
EATON VANCE PRIME RATE RESERVES AS OF DECEMBER 31, 1998
- --------------------------------------------------------------------------------
INVESTMENT MANAGEMENT
- --------------------------------------------------------------------------------
EATON VANCE PRIME RATE RESERVES
OFFICERS INDEPENDENT TRUSTEES
JAMES B. HAWKES JESSICA M. BIBLIOWICZ
President and Trustee President and Chief Operating Officer,
John A. Levin & Co.
SCOTT H. PAGE Director, Baker, Fentress & Company
Vice President
DONALD R. DWIGHT
PAYSON F. SWAFFIELD President, Dwight Partners, Inc.
Vice President
SAMUEL L. HAYES, III
JAMES L. O'CONNOR Jacob H. Schiff Professor of Investment
Treasurer Banking, Emeritus, Harvard University
Graduate School of Business Administration
ALAN R. DYNNER
Secretary NORTON H. REAMER
Chairman and Chief Executive Officer,
United Asset Management Corporation
LYNN A. STOUT
Professor of Law, Georgetown
University Law Center
JOHN L. THORNDIKE
Formerly Director, Fiduciary
Company Incorporated
JACK L. TREYNOR
Investment Adviser and Consultant
SENIOR DEBT PORTFOLIO
OFFICERS INDEPENDENT TRUSTEES
JAMES B. HAWKES JESSICA M. BIBLIOWICZ
President and Trustee President and Chief Operating Officer,
John A. Levin & Co.
RAYMOND O'NEILL Director, Baker, Fentress & Company
Vice President
DONALD R. DWIGHT
MICHEL NORMANDEAU President, Dwight Partners, Inc.
Vice President
SAMUEL L. HAYES, III
SCOTT H. PAGE Jacob H. Schiff Professor of Investment
Vice President and Banking, Emeritus, Harvard University
Portfolio Manager Graduate School of Business Administration
PAYSON F. SWAFFIELD NORTON H. REAMER
Vice President and Chairman and Chief Executive Officer,
Portfolio Manager United Asset Management Corporation
JAMES L. O'CONNOR LYNN A. STOUT
Treasurer Professor of Law, Georgetown
University Law Center
ALAN R. DYNNER
Secretary JOHN L. THORNDIKE
Formerly Director, Fiduciary
Company Incorporated
JACK L. TREYNOR
Investment Adviser and Consultant
<PAGE>
INVESTMENT ADVISER OF SENIOR DEBT PORTFOLIO
Boston Management and Research
24 Federal Street
Boston, MA 02110
ADMINISTRATOR OF EATON VANCE PRIME RATE RESERVES
Eaton Vance Management
24 Federal Street
Boston, MA 02110
PRINCIPAL UNDERWRITER
Eaton Vance Distributors, Inc.
24 Federal Street
Boston, MA 02110
(617) 482-8260
CUSTODIAN
Investors Bank & Trust Company
200 Clarendon Street, 16th Floor
Boston, MA 02116
TRANSFER AGENT
First Data Investor Services Group
Attention: Eaton Vance Funds
P.O. Box 5123
Westborough, MA 01581-5123
BANKING COUNSELS
MAYER, BROWN & PLATT
787 Seventh Avenue
New York, NY 10019
PEABODY & BROWN
101 Federal Street, 12th Floor
Boston, MA 02110
AUDITORS
Deloitte & Touche LLP
125 Summer Street
Boston, MA 02110
EATON VANCE PRIME RATE RESERVES
24 FEDERAL STREET
BOSTON, MA 02110
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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.
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2-2000-2/99 PRSRC-2/99
