MERRILL LYNCH
SENIOR FLOATING
RATE FUND, INC.
[FUND LOGO]
STRATEGIC
Performance
Semi-Annual Report
February 28, 1998
Officers and Directors
Arthur Zeikel, President and Director
Ronald W. Forbes, Director
Cynthia A. Montgomery, Director
Charles C. Reilly, Director
Kevin A. Ryan, Director
Richard R. West, Director
Terry K. Glenn, Executive Vice President
R. Douglas Henderson, Senior Vice President
Joseph T. Monagle Jr., Senior Vice President
Donald C. Burke, Vice President
Gerald M. Richard, Treasurer
Patrick D. Sweeney, Secretary
Custodian
The Bank of New York
90 Washington Street
New York, NY 10286
Transfer Agent
Merrill Lynch Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
(800) 637-3863
This report, including the financial information herein, is
transmitted to the shareholders of Merrill Lynch Senior Floating
Rate Fund, Inc. for their information. It is not a prospectus,
circular or representation intended for use in the purchase of
shares of the Fund or any securities mentioned in this report. Past
performance results shown in this report should not be considered a
representation of future performance. The Fund has the ability to
leverage its Common Stock to provide Common Stock shareholders with
a potentially higher rate of return. Leverage creates risk for
Common Stock shareholders, including the likelihood of greater
volatility of net asset value and market price of Common Stock
shares, and the risk that fluctuations in short-term interest rates
may reduce the Common Stock's yield. Statements and other
information herein are as dated and are subject to change.
Merrill Lynch
Senior Floating
Rate Fund, Inc.
Box 9011
Princeton, NJ
08543-9011 #11022 -- 2/98
[RECYCLE LOGO]
Printed on post-consumer recycled paper
MERRILL LYNCH SENIOR FLOATING RATE FUND, INC.
DEAR SHAREHOLDER
During the majority of the three-month period ended February 28,
1998, Merrill Lynch Senior Floating Rate Fund, Inc. was invested in
an environment of moderate to strong economic growth with little
sign of inflation. This, in conjunction with concern over the
longer-term effects of the Asian currency crisis on the US economy,
led the Federal Reserve Board to leave the Federal Funds target rate
unchanged during the three-month period. However, ongoing
developments in Asia will undoubtedly influence the central bank's
monetary policy decisions during the remainder of the year.
At February 28, 1998, over 97% of the Fund's investments in
corporate loans were accruing interest at a spread above the London
Interbank Offered Rate (LIBOR), the rate that major international
banks charge each other for dollar-denominated deposits outside the
United States. LIBOR has historically tracked very closely with
other short-term interest rates in the United States, particularly
the Federal Funds rate. Senior secured bank loans continue to be
attractive from a risk/return standpoint because short-term interest
rates, such as LIBOR, remain higher than ten-year Treasury
securities. Even with the volatility in the 30-year Treasury sector,
the three-month LIBOR continued to trade in a narrow range,
finishing the period at 5.68%. The Fund's yield benefited from being
more fully invested. The Fund increased its yield in the face of
continued margin pressure in the new-issue market by actively
picking up issues in the secondary and primary markets to help keep
more fully invested and reduce its cash position. Currently, the
weighted average spread over LIBOR for the portfolio is 2.53% as
compared to 2.54% at the end of the November 30, 1997 quarter.
Fund Performance
For the three-month period ended February 28, 1998, Merrill Lynch
Senior Floating Rate Fund had approximately $3.1 billion in net
assets under management. With the strong liquidity in today's
market, we can more closely manage the Fund's cash position to
remain more fully invested given the transaction flow. The average
number of days to reset on the portfolio was 40. The Fund's net
asset value at February 28, 1998 was $9.99 per share.
The Fund's effective net annualized yield for the quarter ended
February 28, 1998 was 7.07%, compared to a yield of 6.55% for the
same period in 1997. The positive effect on the Fund's yield of
being more fully invested during the period was partially offset by
an increase in net assets during the period as new subscriptions
continued at a steady pace. The Fund's net asset value continued to
remain relatively stable throughout the February quarter. During the
three-month period ended February 28, 1998, the Fund earned $0.176
per share income dividends, representing a net annualized yield of
7.07%, based on a month-end per share net asset value of $9.99. For
the February quarter, the Fund's total investment return was +1.67%,
based on a change in net asset value from $10.00 to $9.99, and
assuming reinvestment of $0.177 per share income dividends. Since
inception (November 3, 1989) through February 28, 1998, the Fund's
total investment return was +77.48%, based on a change in per share
net asset value from $10.00 to $9.99, and assuming reinvestment of
$5.754 per share income dividends.
Investment Activities
During the three-month period ended February 28, 1998, the Fund
invested $634.0 million in new purchases, over $554.8 million of
which were new primary transactions. An overhang of new issues from
the fourth quarter of last year and a strong forward calendar of new
issuance year-to-date kept secondary trading in the background as
primary investing dominated the market. Leveraged buyout activity
was a big factor in new issuance, since buyouts accounted for over
$7.7 billion in loan volume in the first two months of 1998, almost
half the volume generated during all of 1997. Continued
consolidation in the healthcare industry created some of the larger
merger and acquisition financing opportunities during the period,
and the buildout by telecommunications companies continued to
provide leveraged financing opportunities. The merger of Merit
Behavioral Healthcare Corp. with Magellan Health Services and the
financing of Cox Communications PCS were two such transactions in
which the Fund made large investments. In addition, investors saw
numerous refinancings of existing transactions such as Del Monte
Corp., Exide Corporation and Omnipoint Communications Corp. These
transactions often resulted in the structuring of add-on debt
tranches in which the Fund could invest.
The Fund's investment strategy during the three-month period
remained unchanged: to invest in leverage transactions in which
borrowers have strong market share in their respective industries,
experienced management, strong collateral coverage, consistent
cashflows and appropriate risk/reward in the form of its spread over
LIBOR. The Fund's three largest positions -- Riverwood International
Corp., Jefferson Smurfit Company/Container Corp. of America and
Stone Container Corp. -- are examples of the type of names that fit
this investment philosophy. We believe the advantages of adhering to
this strategy were borne out by both the relative stability of the
Fund's net asset value and the continued flexibility of our
borrowers to access the capital markets.
Continued strong economic growth, relatively low carrying costs for
debt and low default rates will help to maintain reasonably strong
fundamentals for bank loan market for the foreseeable future, in our
opinion. In most sectors, including cyclicals, prices remained firm.
This was based not only on the fundamentals of individual credits,
but also because of strong underlying collateral value as well as
the absence of sellers, since investors were reluctant to part with
the high-coupon senior secured loans that they could not replace. US
gross domestic product growth of 3.8% for 1997 and expectations of
2.5% for 1998 suggest that most high-yield companies could continue
to report good earnings as the year progresses. Even cyclicals, such
as paper and steel, which experienced some weakness in the beginning
of the period in response to concerns over the impact of the Asian
crisis, returned to firmer levels in the new year.
Demand for leveraged loans remained strong during the February
quarter, even in the face of the strong forward calendar. Inflows
continued unabated, attracted by the low volatility and the
attractive relative value provided by loans as compared to bonds.
Secondary trading volume continues to grow with the entry of new
institutional investors into the leveraged loan market. Par trading,
the main component of the volume, was driven by new issuance, after
which considerable trading was seen but usually remained inactive
once in the hands of institutional investors. The trading often
revolved around the healthcare and telecommunications industries as
institutional investors aggressively sold holdings to make room for
new issues in these industries. Secondary trading volume exceeded
$62 billion for 1997, according to the Loan Pricing Corporation.
This compares to the $4.0 billion in secondary trading volume just
six years ago. This trend should continue as money center banks and
brokerage firms continue to grow their trading businesses in loans.
The growing movement toward a mark-to-market standard and the
proliferation of bank loan issues rated by Standard & Poor's Corp.
and Moody's Investors Service, Inc. are a reflection of the growing
liquidity and standardization of the asset class.
The Fund is invested in 193 borrowers across 52 industries. The
average loan size equaled $14.9 million, or 0.47% of net assets.
The Fund's largest industry concentrations were: paper (9.8% of net
assets); telephone communications (9.7%); health services (8.3%);
amusement & recreational services (5.3%); and chemicals (5.2%). The
largest individual credit exposures are Riverwood International
Corp. ($98.9 million/3.2% of net assets); Jefferson Smurfit
Company/Container Corp. of America ($89.1 million/ 2.9%); Stone
Container Corp. ($83.2 million/2.7%); AMF Group ($78.4
million/2.5%); and Marcus Cable ($63.5 million/2.04%).
The Fund completed its latest quarterly tender offer on January 23,
1998 with 13.2 million shares tendered and accepted for repurchase.
The next tender began on March 17, 1998 and concludes on April 14,
1998. The Fund remains open for new shareholder purchases.
In Conclusion
We thank you for your investment in Merrill Lynch Senior Floating
Rate Fund, Inc., and we look forward to reviewing our outlook and
strategy with you again in our next report to shareholders.
Sincerely,
/S/ARTHUR ZEIKEL
Arthur Zeikel
President
/S/R. DOUGLAS HENDERSON
R. Douglas Henderson
Senior Vice President and Portfolio Manager
April 9, 1998
THE BENEFITS AND RISKS OF LEVERAGING
Merrill Lynch Senior Floating Rate Fund, Inc. has the ability to
utilize leverage through the borrowings or issuance of short-term
debt securities or shares of Preferred Stock. The concept of
leveraging is based on the premise that the cost of assets to be
obtained from leverage will be based on short-term interest rates,
which normally will be lower than the return earned by the fund on
its longer-term portfolio investments. Since the total assets of the
Fund (including the assets obtained from leverage) are invested in
higher-yielding portfolio investments, the Fund's Common Stock
shareholders are the beneficiaries of the incremental yield. Should
the differential between the underlying interest rates narrow, the
incremental yield "pick up" will be reduced. Furthermore, if long-
term interest rates rise, the Common Stock's net asset value will
reflect the full decline in the entire portfolio holdings resulting
therefrom since the assets obtained from leverage do not fluctuate.
Leverage creates risks for holders of Common Stock including the
likelihood of greater net asset value and market price volatility.
In addition, there is the risk that fluctuations in interest rates
on borrowings (or in the dividend rates on any Preferred Stock, if
the Fund were to issue the Preferred Stock) may reduce the Common
Stock's yield and negatively impact its market price. If the income
derived from securities purchased with assets received from leverage
exceeds the cost of leverage, the Fund's net income will be greater
than if leverage had not been used. Conversely, if the income from
the securities purchased is not sufficient to cover the cost of
leverage, the Fund's net income will be less than if leverage had
not been used, and therefore the amount available for distribution
to Common Stock shareholders will be reduced. In this case, the Fund
may nevertheless decide to maintain its leveraged position in order
to avoid capital losses on securities purchased with leverage.
However, the Fund will not generally utilize leverage if it
anticipates that its leveraged capital structure would result in a
lower rate of return for its Common Stock than would be obtained if
the Common Stock were unleveraged for any significant amount of
time.
PORTFOLIO INFORMATION
As of February 28, 1998
Quality Ratings Percent of
S&P /Moody's Market Value
BBB/Baa 0.2%
BB/Ba 34.6
B/B 22.9
CCC/Caa 0.5
NR (Not Rated) 41.8
Percent of
Five Largest Industries Net Assets
Paper 9.8%
Telephone Communications 9.7
Health Services 8.3
Amusement & Recreational Services 5.3
Chemicals 5.2
<TABLE>
<CAPTION>
Percent of
Ten Largest Senior Secured Floating Rate Loan Interests as of February 28, 1998 Net Assets
<S> <C> <C>
Riverwood International Riverwood International is a leading provider of paperboard and paperboard packaging 3.2%
Corp. solutions, either directly or through independent converters, to multinational
beverage and consumer products companies. The company also manufactures and sells
linerboard, corrugating medium and kraft paper through its containerboard business
segment.
Jefferson Smurfit The company is one of the nation's largest producers of paperboard and packaging 2.9
Company/Container products and is the largest producer of recycled packaging products.
Corp. of America
Stone Container Corp. The company is a major international pulp and paper company engaged principally in 2.7
the production and sale of paper, packaging, and market pulp.
AMF Group, Inc. The company is the largest owner or operator of commercial bowling centers in the 2.6
United States and worldwide. In addition, the company is one of the world's leading
manufacturers of bowling center equipment, accounting for approximately 41% of the
world's current installed base of such equipment.
Marcus Cable Operating The company currently owns or manages cable television systems in seven states, 2.5
Co. serving 587,230 basic customers.
Chancellor Media Corp. On February 18, 1997, Evergreen Media Corp announced its acquisition of the 10 2.4
station Viacom, Inc. radio portfolio for $1.075 billion and its agreement in
principle to merge with Chancellor Broadcasting Company. After giving effect to
previously announced station acquisitions, the combined company, to be renamed
Chancellor Media Corporation upon the occurrence of the merger, will own 63 stations
in the nation's top 12 markets and a total of 103 stations across the United States.
Omnipoint Omnipoint is a leader in commercializing personal communications services (PCS). 2.1
Communications Corp. The company intends to provide wireless communications services in areas covering
approximately 40.3 million people, of which 97.1% are located in a contiguous area
in the Northwest region of the United States. Omnipoint will be the fifth-largest
PCS licensee in the United States.
Huntsman Corp. The company is one of the largest privately held chemical companies in America, and is 2.1
also a leading integrated producer of commodity and specialty chemicals and polymers.
Federal Mogul Corp. Federal Mogul is a world leader in the design, manufacturing, marketing and distribution 2.0
of a broad line of gaskets for the auto industry's original equipment manufacturers.
Additionally, Federal Mogul is a leading supplier of heavy-duty diesel engine parts,
high performance drive-line components, and specialty lubricants, sealants, adhesives
and other products.
Viacom, Inc. Viacom, Inc. is a worldwide entertainment and publishing company. The company's 1.4
operations include Blockbuster video and music, MTV Networks, Paramount Pictures,
Paramount Television, Paramount Parks, Showtime Networks, Simon & Schuster, television
stations and movie screens in 12 countries. Viacom also has a majority interest in
Spelling Entertainment Group and other interests.
</TABLE>
<TABLE>
<CAPTION>
Merrill Lynch Senior Floating Rate Fund, Inc. February 28, 1998
SCHEDULE OF INVESTMENTS (in Thousands)
S&P Moody's Face Senior Secured Value
Industries Rating Rating Amount Floating Rate Loan Interests* Cost (Note 1a)
<S> <C> <C> <C> <C> <C> <C>
Advertising -- NR+ Ba2 $12,500,000 Outdoor Systems, Inc., Term, due
0.4% 6/30/2004 $12,476,567 $12,515,625
Aerospace -- 0.2% NR+ Ba3 4,995,404 KF Industries, Term B, due
10/15/2005 4,995,404 5,032,870
NR+ NR+ 1,941,127 Whittaker Corporation, Revolving
Credit, due 4/09/2001 1,941,127 1,933,848
-------------- --------------
6,936,531 6,966,718
Air Transport -- Continental Airlines, Inc.:
0.3% BB- NR+ 3,403,636 Term A, due 7/31/2002 3,399,062 3,390,447
BB- NR+ 6,357,333 Term B, due 7/31/2002 6,357,333 6,353,360
-------------- --------------
9,756,395 9,743,807
Aircraft & NR+ Ba2 4,883,319 Alliant Techsystems, Inc., Term, due
Parts -- 1.2% 3/15/2001 4,879,749 4,883,319
NR+ Ba3 7,382,250 Evergreen International Aviation,
Inc., Term B, due 5/31/2003 7,349,253 7,363,794
NR+ NR+ 23,750,000 Gulfstream Aerospace Corp., Term,
due 9/30/2002 23,711,518 23,779,688
NR+ NR+ 2,744,318 Technetics, Term, due 6/20/2002 2,728,504 2,735,742
-------------- --------------
38,669,024 38,762,543
Amusement & AMF Group, Inc.:
Recreational NR+ Ba3 9,889,637 Axel A, due 3/31/2003 10,002,599 9,926,724
Services -- 5.3% NR+ Ba3 3,081,042 Axel A, due 5/03/2003 3,100,298 3,106,075
NR+ Ba3 19,651,732 Axel B, due 3/31/2004 19,682,521 19,725,425
NR+ Ba3 1,918,958 Axel B, due 5/01/2004 1,930,952 1,934,550
NR+ Ba3 6,749,735 Revolving Credit, due 3/31/2002 6,749,735 6,728,642
NR+ Ba3 3,203,421 Term, due 3/31/2002 3,195,903 3,201,419
NR+ Ba3 2,711,725 Term A, due 3/31/2002 2,705,097 2,710,030
NR+ Ba3 21,152,696 Term A, due 3/31/2003 21,111,131 21,232,019
NR+ Ba3 2,850,597 Term C1, due 3/31/2003 2,893,356 2,861,286
NR+ Ba3 2,088,407 Term C2, due 3/31/2004 2,119,733 2,096,238
NR+ B1 2,000,000 ASC East Inc., Term, due 5/31/2006 1,998,049 2,003,750
NR+ B1 5,000,000 ASC West Inc., Term, due 5/31/2006 4,995,121 5,009,375
Amfac Resorts, Inc.:
NR+ NR+ 2,500,000 Term B, due 9/30/2004 2,496,315 2,501,563
NR+ NR+ 2,500,000 Term C, due 9/30/2005 2,496,304 2,504,688
KSL Recreation Group, Inc.:
NR+ B2 6,928,571 Revolving Credit, due 4/30/2004 6,928,571 6,950,223
NR+ B2 7,750,000 Term A, due 4/30/2005 7,773,567 7,774,219
NR+ B2 7,750,000 Term B, due 4/30/2006 7,773,444 7,774,219
Kerastotes:
NR+ NR+ 11,456,522 Revolving Credit, due 12/31/2003 11,456,522 11,384,919
NR+ NR+ 3,658,696 Term, due 12/31/2004 3,629,770 3,635,829
Metro Goldwyn Mayer Co.:
NR+ NR+ 2,610,000 Revolving Credit, due 9/30/2003 2,610,000 2,574,113
NR+ NR+ 4,000,000 Term A, due 12/31/2005 3,980,665 3,945,000
NR+ B1 10,000,000 Term B, due 12/31/2006 9,975,631 10,056,250
NR+ NR+ 4,200,000 Moovies, Inc., Term A, due 3/14/2002 4,200,000 4,200,000
Six Flags Entertainment Corp.:
NR+ Ba3 1,851,063 Revolving Credit, due 10/28/2001 1,851,064 1,852,220
NR+ Ba3 4,385,745 Term A, due 10/28/2001 4,396,709 4,396,709
NR+ Ba3 16,375,154 Term B, due 6/23/2003 16,314,793 16,395,623
-------------- --------------
166,367,850 166,481,108
Apparel -- 1.6% Arenabrands:
NR+ NR+ 1,307,778 Revolving Credit, due 6/01/2002 1,307,778 1,312,682
NR+ NR+ 3,973,189 Term A, due 6/01/2002 3,978,155 3,988,088
NR+ NR+ 7,233,630 Term B, due 6/01/2002 7,242,672 7,260,756
CS Brooks Canada:
NR+ NR+ 4,570,548 Axel A, due 6/30/2002 4,552,380 4,556,265
NR+ NR+ 10,156,772 Axel B, due 6/30/2004 10,119,131 10,125,032
NR+ NR+ 9,750,000 Humphreys Inc., Term B, due 1/15/2003 9,750,000 9,750,000
NR+ NR+ 4,800,000 Renfro Corp., Term B, due 11/15/2003 4,779,797 4,800,000
Walls Industries:
NR+ NR+ 1,244,681 Term B, due 2/28/2005 1,244,681 1,244,681
NR+ NR+ 1,707,447 Term C, due 2/28/2006 1,707,447 1,707,447
BB- Ba3 6,174,000 William Carter Co. (The), Term, due
10/31/2003 6,147,682 6,162,424
-------------- --------------
50,829,723 50,907,375
Automobiles -- 0.3% NR+ Ba3 10,000,000 CSK Automotive, Term, due 10/31/2003 9,990,336 10,015,625
Automotive NR+ NR+ 21,000,000 American Axel, Term B, due 3/31/2007 21,033,077 21,105,000
Equipment -- 3.2% NR+ NR+ 30,000,000 Breed Technologies, Inc., Term, due
10/31/1998 29,797,179 29,970,000
B+ B1 23,419,946 Collins & Aikman Corp., Term B, due
12/31/2002 23,332,172 23,478,496
NR+ B1 18,668,000 Johnstown America Industrial, Inc.,
Term B, due 3/31/2003 18,595,302 18,609,663
Safelite Glass Corp.:
NR+ Ba3 3,750,000 Term B, due 12/31/2004 3,744,492 3,761,719
NR+ Ba3 3,750,000 Term C, due 12/31/2005 3,744,472 3,761,719
-------------- --------------
100,246,694 100,686,597
Broadcast -- NR+ NR+ 10,000,000 Channel Master, Term, due 10/10/2005 9,980,700 10,000,000
Media -- 2.5% NR+ Ba3 4,000,000 FrontierVision Operating Partners L.P.,
Term B, due 3/31/2006 3,994,104 4,012,500
NR+ NR+ 7,500,000 Optel, Inc., Term, due 5/31/2004 7,463,189 7,481,250
NR+ NR+ 9,450,000 Sinclair Broadcasting Group, Inc.,
Term A, due 12/31/2004 9,450,000 9,426,848
NR+ NR+ 9,000,000 Usani, Term B, due 12/31/2003 8,986,593 8,986,500
NR+ Ba2 38,958,818 Viacom, Inc., Term, due 7/01/2002 38,909,716 38,666,627
-------------- --------------
78,784,302 78,573,725
Broadcast -- Chancellor Media Corp.:
Radio & TV -- NR+ Ba2 3,287,989 Revolving Credit, due 6/26/2004 3,287,989 3,259,219
2.3% NR+ Ba2 51,891,429 Term, due 6/26/2004 51,724,733 51,437,379
NR+ NR+ 8,260,870 Latin Communications, Term, due
3/31/2004 8,213,996 8,178,261
NR+ Ba3 8,879,413 Sullivan Broadcasting Group, Inc.,
Term B, due 12/31/2003 8,853,358 8,848,890
-------------- --------------
72,080,076 71,723,749
Building & NR+ NR+ 2,509,281 Fenway Holdings, Inc., Term B, due
Construction -- 9/15/2002 2,495,726 2,472,426
0.1%
Building Amerimax Euramax Holdings:
Materials -- 2.4% NR+ NR+ 2,521,031 Term B, due 6/30/2004 2,518,090 2,521,031
NR+ NR+ 3,718,645 Term C, due 6/30/2004 3,714,303 3,718,645
Behr Process:
NR+ NR+ 4,168,500 Term B, due 3/31/2004 4,163,315 4,168,500
NR+ NR+ 2,779,000 Term C, due 3/31/2005 2,775,496 2,782,474
NR+ NR+ 17,000,000 Dal Tile International, Inc., Term B,
due 12/31/2003 16,922,023 16,320,000
NR+ NR+ 5,000,000 Dayton Superior Corp., Term, due
9/29/2005 5,000,000 5,031,250
NR+ B1 4,985,714 Falcon Building Products, Inc., Term,
due 6/30/2005 4,967,006 4,979,482
NR+ Ba3 29,824,707 National Gypsum Co., Term B, due
9/20/2003 29,776,917 29,871,308
Panolam Industries:
NR+ NR+ 498,094 Term A, due 1/31/2003 498,094 498,094
NR+ NR+ 2,845,369 Term B, due 11/01/2005 2,845,369 2,845,369
NR+ NR+ 1,625,925 Term C, due 11/01/2006 1,625,925 1,625,925
-------------- --------------
74,806,538 74,362,078
Cable TV NR+ NR+ 24,375,000 Chelsea Communications, Term B,
Services -- 3.8% due 9/30/2004 24,283,256 24,390,234
NR+ B1 12,080,597 Classic Cable, Inc., Term B, due
6/30/2005 11,966,095 11,808,783
NR+ B3 10,000,000 Intermedia Communications, Inc.,
Term, due 1/01/2005 9,978,539 10,027,083
Marcus Cable Operating Co.:
NR+ NR+ 28,281,250 Term A, due 12/31/2002 28,192,521 28,237,061
NR+ NR+ 35,303,125 Term B, due 4/30/2004 35,054,553 35,350,417
NR+ NR+ 10,000,000 Triax Midwest, Term B, due 6/30/2005 9,945,080 9,990,625
-------------- --------------
119,420,044 119,804,203
Casino -- 0.9% Alliance Gaming Corp.:
NR+ NR+ 10,674,107 Term B, due 1/31/2005 10,674,107 10,740,820
NR+ NR+ 4,264,286 Term C, due 7/31/2005 4,264,286 4,290,937
NR+ NR+ 8,052,971 Aztar Corporation, Revolving Credit,
due 12/31/1999 8,052,971 8,052,971
NR+ NR+ 4,045,228 Aztar Corporation/Tropicana
Enterprises, Term, due 12/31/1999 4,047,823 4,045,228
-------------- --------------
27,039,187 27,129,956
Chemicals -- 5.2% NR+ NR+ 11,339,689 Cedar Chemical, Term B, due
10/31/2003 11,269,312 11,311,339
NR+ NR+ 10,000,000 Epsillon, Term B, due 12/31/2005 10,000,000 10,000,000
NR+ NR+ 12,000,000 Exide Corporation, Term B, due
3/19/2005 12,000,000 12,060,000
NR+ NR+ 3,925,926 Foamex International PLC, Revolving
Credit, due 6/30/2003 3,925,926 3,931,835
HSC Holdings:
NR+ NR+ 3,586,348 Revolving Credit, due 12/31/1999 3,586,348 3,577,382
NR+ NR+ 3,630,759 Term, due 12/31/1999 3,618,910 3,621,682
Harris Specialty Chemicals:
NR+ NR+ 2,835,577 Revolving Credit, due 12/30/2001 2,835,577 2,846,211
NR+ NR+ 215,568 Term A, due 12/30/1999 215,124 216,377
NR+ NR+ 222,443 Term A, due 12/30/2001 221,756 223,277
NR+ NR+ 591,814 Term B, due 12/30/1999 590,586 594,033
NR+ NR+ 2,405,189 Term B, due 12/30/2001 2,395,894 2,414,208
Huntsman Corp.:
NR+ NR+ 32 Revolving Credit, due 12/31/2002 32 32
NR+ NR+ 20,738,584 Term A, due 12/31/2002 20,724,818 20,725,623
NR+ NR+ 4,950,000 Term A, due 9/03/2003 4,945,833 4,984,031
NR+ NR+ 4,950,000 Term B, due 3/15/2004 4,946,714 4,946,906
NR+ NR+ 15,000,000 Term B, due 6/30/2004 15,000,000 15,037,500
NR+ Ba2 4,950,000 Term C, due 3/15/2005 4,945,829 4,984,031
NR+ NR+ 14,850,000 Term C, due 12/31/2005 14,802,795 14,998,500
NR+ B1 7,960,000 Pioneer Americas Acquisition Corp.,
Term, due 12/05/2006 8,028,406 7,967,463
BB- Ba3 5,000,000 Polymer Group, Inc., Term B, due
7/28/1998 4,994,807 5,003,125
NR+ Ba3 24,062,093 Sterling Chemicals, Inc., Term B,
due 9/30/2004 23,957,623 24,062,094
NR+ Ba3 6,450,486 Texas Petrochemicals Corp., Term B,
due 6/30/2004 6,429,753 6,434,359
Thoro World Systems, Inc.:
NR+ NR+ 1,028,889 Term A, due 12/30/1999 1,025,064 1,032,747
NR+ NR+ 1,397,373 Term B, due 12/30/2001 1,389,321 1,402,613
-------------- --------------
161,850,428 162,375,368
Computer-Related NR+ B2 6,513,977 Anacomp, Inc., Term, due 3/31/2001 6,488,364 6,530,262
Services & NR+ B1 10,972,500 DecisionOne Corp., Term B, due
Products -- 1.1% 8/07/2005 10,956,301 10,931,353
NR+ Ba3 17,375,000 Fairchild Semiconductors Corp.,
Term C, due 3/11/2003 17,375,000 17,375,000
-------------- --------------
34,819,665 34,836,615
Consumer NR+ NR+ 8,454,545 Amscan Holdings, Inc., Axel, due
Products -- 2.0% 12/19/2004 8,454,545 8,502,102
Hedstrom Corp.:
NR+ B1 1,496,552 Revolving Credit, due 6/30/2003 1,496,552 1,483,457
NR+ B1 5,103,448 Term A, due 6/30/2003 5,080,344 5,084,310
NR+ Ba2 4,000,000 Pillowtex, Term B, due 12/31/2004 3,996,086 4,015,000
NR+ B2 14,925,000 Playtex Family Products, Inc., Term B,
due 9/15/2003 14,856,402 14,999,625
RTI Funding Corp. (Ritvik Toys):
NR+ NR+ 7,218,553 Term B, due 2/07/2003 7,163,025 7,245,623
NR+ NR+ 7,218,553 Term C, due 2/07/2004 7,159,981 7,245,623
NR+ Ba3 15,000,000 Revlon Consumer Products Corp.,
Term, due 5/30/2002 14,988,680 14,981,250
-------------- --------------
63,195,615 63,556,990
Defense -- 0.3% United Defense Industries, Inc.:
NR+ NR+ 1,800,920 Term A, due 10/06/2003 1,815,895 1,798,668
NR+ B1 4,508,509 Term B, due 10/06/2005 4,508,509 4,514,144
NR+ B1 4,379,089 Term C, due 10/06/2006 4,379,089 4,384,563
-------------- --------------
10,703,493 10,697,375
Diversified NR+ NR+ 4,990,000 Sarah Michael, Term B, due 6/30/2004 4,990,000 4,990,000
Manufacturing --
0.2%
Drilling -- 0.1% NR+ NR+ 4,137,157 Rigco North America, Term, due
9/30/1998 4,130,574 4,147,499
Drug/Proprietary NR+ NR+ 5,000,000 Duane Reade Co., Term B, due
Stores -- 0.2% 2/15/2005 4,984,443 5,037,500
Electrical NR+ NR+ 6,907,375 Neopost, Term C, due 6/24/2006 6,890,682 6,950,546
Equipment -- 0.2%
Electronics/ NR+ Ba3 13,640,625 Amphenol Corp., Term B, due
Electrical 5/19/2005 13,857,172 13,755,718
Components -- Circo Craft Co. (Viasystems):
2.1% NR+ B1 2,972,727 Term B, due 6/30/2004 2,962,950 2,991,307
NR+ B1 1,800,000 Term C, due 6/30/2005 1,793,934 1,811,250
NR+ NR+ 5,516,667 Communications & Power Industries,
Inc., Term B, due 8/11/2002 5,477,725 5,530,458
Dictaphone Corp.:
B- B1 652,039 Revolving Credit, due 3/31/2001 652,039 627,588
NR+ NR+ 7,750,000 Term C, due 6/30/2003 7,675,467 7,740,313
NR+ B1 19,937,695 International Wire Group, Inc.,
Term B, due 9/30/2003 19,919,549 19,987,539
L-3 Communications Corp.:
NR+ Ba3 1,342,000 Term A, due 3/31/2003 1,339,633 1,350,388
NR+ Ba3 2,483,333 Term B, due 3/31/2005 2,478,781 2,498,854
NR+ Ba3 1,633,500 Term C, due 3/31/2006 1,630,462 1,643,709
NR+ Ba3 7,000,000 Telex Communications, Inc., Term B,
due 11/30/2004 6,983,797 7,008,750
-------------- --------------
64,771,509 64,945,874
Energy -- 0.2% NR+ Ba2 5,000,000 Clark Refining, Term, due 11/15/2004 5,000,000 5,037,500
Financial Outsourcing Solutions, Inc.:
Services -- 1.3% NR+ B1 14,735,915 Term B, due 10/15/2003 14,672,958 14,781,965
NR+ NR+ 9,452,597 Term B, due 10/15/2003 9,449,019 9,482,136
NR+ B1 16,662,646 Term C, due 10/15/2004 16,662,646 16,719,924
-------------- --------------
40,784,623 40,984,025
Food & Kindred Del Monte Corp.:
Products -- 4.9% NR+ B2 1,227,273 Revolving Credit, due 3/31/2003 1,227,273 1,226,506
NR+ B2 3,272,727 Term A, due 3/31/2003 3,272,727 3,282,955
NR+ B2 2,550,000 Term B, due 3/31/2003 2,550,000 2,573,906
NR+ B2 5,100,000 Term B, due 3/03/2005 5,095,297 5,147,812
NR+ NR+ 5,000,000 Dr. Pepper, Term B, due 12/31/2005 4,992,628 5,009,375
NR+ NR+ 17,330,042 Favorite Brands International, Term B,
due 8/30/2004 17,261,190 17,308,380
Imperial Holdings Ltd.:
NR+ NR+ 6,717,949 Term A, due 12/31/2003 6,711,402 6,726,346
NR+ NR+ 5,282,051 Term B, due 12/31/2005 5,276,861 5,301,859
International Homefoods, Inc.:
NR+ NR+ 145,161 Revolving Credit, due 11/21/2001 145,161 144,526
NR+ Ba3 3,387,097 Term A, due 11/21/2001 3,384,706 3,384,980
BB- Ba3 22,000,000 Term B, due 10/31/2005 22,030,195 21,986,250
Mistic Beverage, Inc.:
NR+ NR+ 2,487,500 Term B, due 6/01/2004 2,475,806 2,496,828
NR+ NR+ 2,487,500 Term C, due 6/01/2005 2,475,674 2,496,828
Select Beverages, Inc.:
NR+ NR+ 1,940,117 Term B, due 6/30/2001 1,927,951 1,942,542
NR+ NR+ 2,910,175 Term C, due 6/30/2002 2,892,204 2,919,270
Snapple Beverage Corp.:
NR+ NR+ 7,462,500 Term B, due 6/01/2004 7,427,419 7,490,484
NR+ NR+ 7,462,500 Term C, due 6/01/2005 7,427,021 7,490,484
NR+ Ba3 5,883,360 Southern Foods Group, Term B,
due 2/28/2006 5,876,301 5,920,131
NR+ B3 23,023,378 Specialty Foods, Inc., Term B,
due 4/30/2001 22,936,951 22,971,823
Van De Kamps, Inc.:
NR+ Ba3 7,016,761 Term B, due 4/30/2003 6,988,390 7,051,845
NR+ Ba3 4,408,380 Term C, due 9/30/2003 4,390,203 4,430,422
Volume Services:
NR+ B2 6,609,600 Term B, due 12/31/2002 6,559,404 6,609,600
NR+ B2 3,304,667 Term C, due 12/31/2003 3,278,236 3,304,667
NR+ NR+ 4,781,250 Windsor Quality Food, Term B,
due 12/31/2002 4,762,378 4,730,449
-------------- --------------
151,365,378 151,948,268
Funeral Homes & BB- NR+ 14,750,000 Prime Succession International Group,
Parlors -- 0.7% Term, due 8/01/2003 14,704,100 14,952,813
BB NR+ 6,860,313 Rose Hills Acquisition Corp., Axel A,
due 12/01/2003 6,845,549 6,937,492
-------------- --------------
21,549,649 21,890,305
Furniture & NR+ NR+ 10,000,000 Lifestyles Furnishings International
Fixtures -- 0.3% Ltd., Term, due 6/27/2007 10,000,000 10,018,750
General NR+ NR+ 5,000,000 Sneaker Stadium, Term 2, due
Merchandise 12/31/2002 5,000,000 5,000,000
Stores -- 0.2%
Grocery -- 1.0% NR+ NR+ 10,400,000 Big V Supermarkets, Inc., Term B,
due 3/15/2000 10,339,304 10,322,000
Carr Gottstein Foods Co.:
NR+ B1 88,571 Revolving Credit, due 6/30/2001 88,571 88,516
NR+ B1 2,168,571 Term A, due 6/30/2001 2,172,638 2,171,282
NR+ B1 3,528,000 Term B, due 12/31/2002 3,534,615 3,539,025
NR+ Ba3 6,947,500 Ralph's Grocery Company, Term B,
due 2/15/2004 6,939,680 6,954,448
Star Markets Co., Inc.:
NR+ Ba3 4,171,053 Term B, due 12/31/2001 4,156,885 4,160,625
NR+ Ba3 3,124,402 Term C, due 12/31/2002 3,112,875 3,112,685
-------------- --------------
30,344,568 30,348,581
Health Community Health Systems, Inc.:
Services -- NR+ NR+ 16,150,685 Term B, due 12/31/2003 16,083,151 16,201,156
8.3% NR+ NR+ 16,150,685 Term C, due 12/31/2004 16,080,803 16,201,156
NR+ NR+ 12,143,836 Term D, due 12/31/2005 12,089,965 12,196,965
NR+ NR+ 10,000,000 Conmed Corp., Term B, due 12/30/2004 10,000,000 10,025,000
NR+ NR+ 5,000,500 Corning/Quest, Term A, due
4/03/2003 4,989,565 4,972,372
Dade International, Inc.:
NR+ B1 2,979,970 Term B, due 12/31/2002 2,965,330 2,983,695
NR+ B1 2,979,970 Term C, due 12/31/2003 2,964,803 2,983,695
NR+ B1 3,144,914 Term D, due 12/31/2004 3,128,256 3,157,690
NR+ NR+ 7,500,000 Endo Pharmaceuticals, Term B,
due 6/30/2004 7,485,854 7,532,812
NR+ NR+ 10,000,000 Extendicare Health, Inc., Term B,
due 12/31/2004 9,990,283 10,001,250
Genesis Health Ventures, Inc.:
NR+ Ba3 6,317,500 Term B, due 9/30/2004 6,305,359 6,350,404
NR+ Ba3 6,312,222 Term C, due 6/01/2005 6,300,066 6,345,098
Imed Corp. (Alaris):
B+ Ba3 2,434,187 Term B, due 11/01/2003 2,428,942 2,449,401
B+ Ba3 2,434,187 Term C, due 11/01/2004 2,428,789 2,449,401
B+ Ba3 2,291,000 Term D, due 5/01/2005 2,285,811 2,305,319
NR+ NR+ 8,000,000 Insight, Term B, due 9/30/2004 7,984,356 8,045,000
Integrated Health Services, Inc.:
NR+ NR+ 17,500,000 Term, due 9/15/2003 17,596,250 17,401,562
NR+ NR+ 5,000,000 Term B, due 9/15/2003 4,988,262 4,971,875
NR+ Ba3 10,000,000 Term C, due 9/15/2003 10,000,000 10,025,000
Kinetic Concepts, Inc.:
NR+ NR+ 6,000,000 Term B, due 12/31/2004 6,000,000 6,039,375
NR+ NR+ 6,000,000 Term C, due 12/31/2005 6,000,000 6,039,375
Magellen Health Services:
NR+ Ba3 7,500,000 Term B, due 2/12/2005 7,488,810 7,523,437
NR+ Ba3 7,500,000 Term C, due 2/12/2006 7,488,800 7,523,437
Medical Specialties:
NR+ NR+ 12,927,273 Axel A, due 6/30/2004 12,857,626 12,733,364
NR+ NR+ 4,663,636 Term, due 6/30/2001 4,642,257 4,593,682
BB Ba1 18,750,000 National Medical Care, Inc., Term,
due 9/30/2003 18,671,689 18,703,125
Paragon Health Network, Inc.:
NR+ Ba3 7,500,000 Term B, due 3/31/2005 7,492,743 7,537,500
NR+ Ba3 7,500,000 Term C, due 3/31/2006 7,492,701 7,546,875
NR+ NR+ 5,000,000 Prime Medical Services, Inc., Term B,
due 4/30/2003 4,983,472 5,004,687
NR+ NR+ 22,500,000 Total Renal, Term B, due 9/30/2007 22,500,000 22,500,000
NR+ NR+ 4,925,000 Wilson Great Batch, Term B, due
7/10/2004 4,913,324 4,912,687
-------------- --------------
256,627,267 257,256,395
Healthcare -- 1.6% NR+ Ba3 4,987,500 FPA Medical Management, Inc., Term,
due 9/30/2001 4,980,968 4,975,031
B+ NR+ 9,854,629 MEDIQ, Inc., Term B, due 9/30/2004 9,803,170 9,863,867
Multicare Companies, Inc.:
NR+ B1 4,738,125 Term B, due 9/30/2004 4,728,895 4,755,893
NR+ B1 1,578,056 Term C, due 6/01/2005 1,575,008 1,583,973
NR+ B1 8,724,736 Paracelsus Healthcare Corp.,
Revolving Credit, due 8/15/2001 8,724,736 8,730,189
Sun Healthcare Group, Inc.:
NR+ Ba3 10,000,000 Term B, due 11/12/2004 9,985,777 10,043,750
NR+ Ba3 10,000,000 Term C, due 11/12/2005 9,985,777 10,043,750
-------------- --------------
49,784,331 49,996,453
Hotels & NR+ Ba1 6,250,000 Capstar Hotel Company, Term B,
Motels -- 0.2% due 6/30/2004 6,250,000 6,257,812
Industrial Elis/Omni:
Services -- 0.6% NR+ NR+ 8,860,188 Axel, due 10/30/2005 8,849,881 8,982,016
NR+ NR+ 9,912,500 Term C, due 10/30/2005 10,085,969 10,048,797
-------------- --------------
18,935,850 19,030,813
Leasing & Rental NR+ NR+ 4,990,909 Perf-O-Log, Term B, due 8/11/2003 4,978,871 4,978,432
Services -- 0.2%
Manufacturing -- Calmar, Inc.:
2.3% NR+ B1 7,752,381 Axel A, due 3/15/2004 7,721,706 7,817,792
NR+ B1 10,333,571 Term A, due 9/15/2003 10,293,871 10,382,009
Goodman Manufacturing:
NR+ NR+ 2,389,087 Term B, due 9/30/2004 2,409,992 2,395,060
NR+ NR+ 2,389,087 Term C, due 9/30/2005 2,409,992 2,395,060
NR+ NR+ 8,986,141 Polyfibron Technologies, Term B,
due 12/28/2003 8,986,141 8,986,141
NR+ NR+ 5,000,000 Russell Stanley, Term B, due
6/30/2005 4,982,124 5,012,500
Sealy Mattress:
NR+ NR+ 3,030,303 Axel B, due 12/15/2004 3,026,597 3,058,712
NR+ NR+ 2,181,818 Axel C, due 12/15/2005 2,179,140 2,202,273
NR+ NR+ 2,787,879 Axel D, due 12/15/2006 2,784,446 2,814,015
NR+ Ba3 10,000,000 Term A, due 12/15/2003 10,062,500 10,018,750
Trans Technology Corp.:
NR+ NR+ 970,848 Term A, due 12/31/2000 970,848 970,848
NR+ NR+ 14,400,000 Term B, due 6/30/2002 14,292,326 14,418,000
-------------- --------------
70,119,683 70,471,160
Measuring, NR+ NR+ 9,330,624 CHF/Ebel USA, Inc., Term B, due
Analyzing & 9/30/2001 9,330,624 9,330,624
Controlling NR+ B1 10,786,925 Graphic Controls Corp., Term B,
Instruments -- due 9/28/2003 10,743,775 10,813,892
0.8% NR+ Ba3 4,987,500 Packard Bioscience Co., Term, due
3/31/2003 4,971,214 4,993,734
-------------- --------------
25,045,613 25,138,250
Metals & NR+ NR+ 5,033,393 Adience, Inc., Term B, due 4/15/2005 5,015,766 5,045,976
Mining -- 1.4% NR+ Caa 4,706,099 Alliance Coal, Term B, due 12/31/2002 4,686,921 4,704,628
Centennial Resources:
NR+ NR+ 1,961,538 Term A, due 3/31/2002 1,945,065 1,944,375
NR+ NR+ 5,105,770 Term B, due 3/31/2004 5,060,203 5,061,094
NR+ Ba2 15,000,000 Koppers Industries, Term B, due
12/01/2004 14,981,646 14,981,250
NR+ Ba2 10,162,952 UCAR International, Inc., Term B,
due 12/31/2002 10,154,188 10,175,656
-------------- --------------
41,843,789 41,912,979
Metals & NR+ Ba3 10,000,000 Acme Metals, Inc., Term, due
Steel -- 0.6% 12/01/2005 10,000,000 10,000,000
Chatham Technologies:
NR+ NR+ 3,730,000 Term A, due 8/15/2003 3,730,000 3,730,000
NR+ NR+ 5,995,385 Term B, due 8/15/2005 5,983,868 5,996,883
-------------- --------------
19,713,868 19,726,883
Packaging -- 0.6% NR+ B1 14,962,500 Ivex Packaging Corp., Term B, due
10/02/2004 14,944,552 15,037,312
NR+ Ba3 3,600,000 Thermadyne Industries, Inc.,
Revolving Credit, due 6/30/2001 3,600,000 3,589,875
-------------- --------------
18,544,552 18,627,187
Paper -- 9.8% NR+ NR+ 5,000,000 Bear Island Paper Co., Term, due
12/31/2005 4,990,214 5,031,250
BB Ba3 4,739,394 Crown Paper Co., Term B, due
8/22/2003 4,694,246 4,766,053
Jefferson Smurfit Company/Container
Corp. of America:
BB Ba3 21,789,142 Term A, due 4/30/2001 21,742,850 21,797,313
BB Ba3 6,563,826 Term B, due 4/30/2001 6,558,842 6,570,390
BB Ba3 47,904,731 Term B, due 4/30/2002 47,845,293 47,952,636
BB Ba3 12,776,184 Term C, due 10/31/2002 12,751,360 12,760,214
Riverwood International Corp.:
B+ B1 5,620,011 Term A, due 2/28/2003 5,451,639 5,623,524
B+ B1 66,796,592 Term B, due 2/28/2004 66,027,208 67,352,429
B+ B1 24,303,892 Term C, due 2/28/2004 23,999,613 24,508,956
NR+ NR+ 1,427,681 Term C, due 8/31/2004 1,429,465 1,436,604
S.D. Warren Co.:
NR+ B2 830,032 Term A, due 12/31/2001 830,032 831,588
NR+ Ba2 13,964,466 Term B, due 6/30/2002 13,937,929 14,016,833
Stone Container Corp.:
NR+ Ba3 28,181,845 Term B, due 4/01/2000 28,202,649 28,236,449
NR+ Ba3 20,015,381 Term C, due 4/01/2000 19,993,684 20,054,161
NR+ Ba3 34,850,000 Term E, due 10/01/2003 35,087,594 34,937,125
Stronghaven:
NR+ NR+ 9,401,724 Term B, due 5/15/2004 9,360,683 9,425,228
NR+ NR+ 1,285,714 Term C, due 5/15/2004 1,285,714 1,288,929
-------------- --------------
304,189,015 306,589,682
Petroleum BB- Ba3 3,277,778 Petro Stopping Centers, Term B,
Refineries -- 0.1% due 12/31/2003 3,270,526 3,285,972
Printing & NR+ NR+ 5,571,429 21st Century, Term A, due 9/15/2003 5,599,286 5,564,464
Publishing -- 2.5% Advanstar Communications:
NR+ NR+ 1,421,569 Revolving Credit, due 6/30/2001 1,421,569 1,422,457
NR+ NR+ 5,394,479 Term A, due 6/30/2001 5,407,965 5,380,993
NR+ NR+ 7,187,356 Term B, due 12/21/2003 7,150,119 7,178,372
BB- Ba2 20,988,593 American Media, Term B, due
9/30/2002 20,926,072 20,962,357
Garden State Newspapers, Inc.:
NR+ NR+ 842,105 Revolving Credit 'A', due 6/30/2003 842,105 838,421
NR+ NR+ 315,790 Revolving Credit 'C', due 3/31/2004 315,789 314,408
NR+ NR+ 1,740,000 Term A, due 3/31/2004 1,737,329 1,736,194
NR+ NR+ 8,286,711 Journal News Co., Term, due
12/31/2001 8,272,411 8,239,891
K-III Communications Corp.:
NR+ Ba3 2,000,000 Revolving Credit 'A', due 12/31/2000 2,000,000 1,987,500
NR+ Ba3 4,000,000 Revolving Credit 'C', due 12/31/2000 4,000,000 3,977,500
NR+ Ba3 4,000,000 Term, due 6/30/2004 4,000,000 3,982,500
NR+ NR+ 10,000,000 Morris Communications, Term B,
due 6/30/2005 9,981,869 10,000,000
Von Hoffmann Press, Inc.:
NR+ B1 3,353,572 Term B, due 5/22/2004 3,345,762 3,382,915
NR+ B1 3,353,571 Term C, due 5/22/2005 3,345,675 3,382,915
-------------- --------------
78,345,951 78,350,887
Rendering -- 0.2% NR+ NR+ 4,870,122 CBP Resources, Inc., Term B, due
9/30/2003 4,840,993 4,857,947
Restaurants -- AFC Enterprises:
0.3% NR+ Ba3 3,840,000 Term, due 6/30/2002 3,823,183 3,838,800
NR+ NR+ 1,280,000 Term, due 6/30/2002 1,280,000 1,277,200
NR+ NR+ 4,937,500 Shoney's, Inc., Term B, due
4/30/2002 4,908,034 4,912,812
-------------- --------------
10,011,217 10,028,812
Retail -- 0.1% NR+ NR+ 2,480,769 Murray's Discount Auto Stores, Term,
due 6/30/2003 2,480,769 2,480,769
Telephone NR+ B1 7,920,000 Arch Communications Group, Inc.,
Communications -- Term B, due 12/31/2003 7,893,741 7,405,200
9.7% Cellular, Inc.:
NR+ NR+ 13,985,692 Term B, due 9/30/2006 13,975,474 13,950,728
NR+ B1 8,130,081 Term C, due 3/31/2007 8,109,839 8,109,756
NR+ B1 22,764,227 Term D, due 9/30/2007 22,707,525 22,707,316
NR+ NR+ 25,000,000 Cox Communications, Inc., Term B,
due 12/31/2006 24,937,557 25,000,000
NR+ B2 20,000,000 Flag Ltd., Term, due 1/30/2005 19,901,019 19,900,000
Iridium LLC:
NR+ NR+ 2,445,013 Term A, due 12/31/1998 2,416,413 2,438,900
NR+ NR+ 2,774,936 Term B, due 12/31/1998 2,769,306 2,767,999
MobileMedia Corp.:
NR+ Caa 5,791,589 Term A, due 6/30/2002 5,779,558 4,720,145
NR+ Caa 2,575,758 Term A, due 6/30/2003 2,562,362 2,099,242
NR+ Caa 1,759,829 Term B, due 6/30/2003 1,754,374 1,434,261
NR+ Caa 606,838 Term B2, due 6/30/2003 606,838 494,573
Nextel Communications, Inc.:
NR+ B1 3,108,616 Revolving Credit, due 3/31/2003 3,108,616 3,104,730
NR+ B1 5,078,650 Revolving Credit 'B', due 3/31/2003 5,078,650 5,072,301
NR+ B1 1,872,659 Term C, due 3/31/2003 1,851,955 1,862,711
NR+ NR+ 1,872,659 Term C, due 6/30/2003 1,861,511 1,877,341
NR+ B1 35,000,000 Term D, due 6/30/2003 34,444,090 35,000,000
Omnipoint Communications Corp.:
NR+ NR+ 6,807,203 Term A, due 2/17/2006 6,800,407 6,820,818
NR+ NR+ 1,942,797 Term B, due 2/17/2006 1,940,857 1,937,940
NR+ Ba3 13,578,000 Paging Network, Inc., Revolving
Credit, due 12/31/2004 13,578,000 13,285,224
Price Communications Corp.:
NR+ NR+ 3,433,333 Revolving Credit, due 9/30/2005 3,433,333 3,418,313
NR+ NR+ 3,333,333 Term A, due 9/30/2005 3,313,259 3,318,750
NR+ NR+ 4,987,500 Term B, due 9/30/2006 4,977,831 5,018,672
NR+ NR+ 4,750,000 Shared Technologies Cellular, Inc.,
Term C, due 3/31/2003 4,727,045 4,755,938
NR+ NR+ 25,000,000 Sprint Spectrum L.P./Lucent
Technologies, Term, due 5/29/2004 24,927,712 25,015,625
Sprint Spectrum L.P./Northern Telecom:
NR+ NR+ 6,236,587 Term A, due 3/11/2006 6,236,587 6,242,434
NR+ NR+ 13,673,961 Term A, due 3/31/2006 13,673,961 13,686,780
NR+ B1 17,775,000 Term 1, due 1/02/2006 17,654,756 17,841,656
NR+ B1 17,775,000 Term 2, due 1/02/2006 17,649,383 17,841,656
NR+ NR+ 5,000,000 Triton PCS, Term B, due 4/30/2007 5,000,000 4,981,250
B+ B1 20,000,000 Western Wireless Corp., Term B,
due 3/31/2005 20,000,000 20,031,250
-------------- --------------
303,671,959 302,141,509
Textiles/Mill Ithaca Industries, Inc.:
Products -- 0.4% NR+ NR+ 1,576,019 Revolving Credit, due 8/31/1999 1,576,019 1,562,229
NR+ NR+ 5,617,536 Term, due 8/31/1999 5,606,480 5,582,426
Joan Fabrics:
NR+ NR+ 3,289,474 Term B, due 6/30/2005 3,284,767 3,295,641
NR+ NR+ 1,710,526 Term C, due 6/30/2006 1,708,058 1,713,734
-------------- --------------
12,175,324 12,154,030
Transportation NR+ Ba3 30,000,000 Atlas Freight, Term, due 5/29/2004 29,962,889 30,075,000
Services -- 1.1% NR+ Ba2 3,981,250 Travel Centers, Term B, due
3/27/2005 3,967,558 4,003,645
-------------- --------------
33,930,447 34,078,645
Waste Laidlaw Environmental Services,
Management -- Inc.:
0.2% NR+ Baa2 2,487,500 Term B, due 5/15/2005 2,481,712 2,503,047
NR+ Baa2 2,487,500 Term C, due 5/15/2004 2,481,811 2,503,047
-------------- --------------
4,963,523 5,006,094
Total Senior Secured Floating
Rate Loan Interests -- 85.5% 2,660,003,168 2,665,281,442
============== ==============
<CAPTION>
Shares
Held Equity Investments
<S> <C> <C> <C> <C>
Cable TV 707 Classic Cable, Inc. (Warrants) (a) 0 0
Services -- 0.0%
Drilling -- 0.0% 12,250 Rigco North America (Warrants) (a) 0 0
General 184,080 Sneaker Stadium (Warrants) (a) 0 0
Merchandise
Stores -- 0.0%
Total Equity Investments -- 0.0% 0 0
============== ==============
Total Long-Term
Investments -- 85.5% 2,660,003,168 2,665,281,442
============== ==============
<CAPTION>
Face Value
Amount Short-Term Investments Cost (Note 1a)
<S> <C> <C> <C> <C>
Commercial $50,000,000 Countrywide Home Loans, Inc., 5.50%
Paper** -- 13.4% due 3/20/1998 $49,862,500 $49,862,500
44,433,000 Ford Motor Credit Co., 5.49% due
3/11/1998 44,372,016 44,372,016
114,099,000 General Motors Acceptance Corp.,
5.69% due 3/02/1998 114,099,000 114,099,000
Lehman Brothers Holding, Inc.:
30,000,000 5.53% due 3/13/1998 29,949,308 29,949,308
50,000,000 5.51% due 4/01/1998 49,770,416 49,770,416
19,000,000 5.52% due 4/14/1998 18,874,727 18,874,727
20,000,000 Morgan (J.P.) & Company, Inc., 5.48%
due 3/16/1998 19,957,378 19,957,378
35,000,000 Republic Industries, Inc., 5.48%
due 4/02/1998 34,834,839 34,834,839
55,000,000 Riverwoods Funding Corp., 5.50%
due 3/25/1998 54,806,736 54,806,736
-------------- --------------
Total Short-Term Investments -- 13.4% 416,526,920 416,526,920
============== ==============
Total Investments -- 98.9% $3,076,530,088 3,081,808,362
==============
Time Deposit++ -- 0.4% 11,991,000
Other Assets Less Liabilities -- 0.7% 22,773,112
--------------
Net Assets -- 100.0% $3,116,572,474
==============
(a) Warrants entitle the Fund to purchase a predetermined number of shares of common stock. The purchase price and numbers
of shares are subject to adjustment under certain conditions until the expiration date.
+ Not Rated.
++ Time deposit bears interest at 5.50% with maturity on 3/02/1998.
* The interest rates on senior secured floating rate loan interests are subject to change periodically based on the change
in the prime rate of a US Bank, LIBOR (London Interbank Offered Rate), or, in some cases, another base lending rate.
The interest rates shown are those in effect at February 28, 1998.
** Commercial Paper is traded on a discount basis; the interest rates shown are the discount rates paid at the time of
purchase by the Fund.
See Notes to Financial Statements.
</TABLE>
<TABLE>
<CAPTION>
FINANCIAL INFORMATION
Statement of Assets and Liabilities as of February 28, 1998
<S> <C> <C> <C>
Assets: Investments, at value (identified cost -- $3,076,530,088) (Note 1b) $3,081,808,362
Cash 9,274,387
Time deposits 11,991,000
Receivables:
Interest $22,869,453
Capital shares sold 10,468,422
Principal paydowns 8,055,351
Commitment fees 863,890 42,257,116
--------------
Prepaid registration fees and other assets (Note 1f) 1,873,541
--------------
Total assets 3,147,204,406
--------------
Liabilities: Payables:
Dividends to shareholders (Note 1g) 3,459,530
Investment adviser (Note 2) 2,234,560
Securities purchased 888,889
Administrator (Note 2) 588,042
Interest expense (Note 6) 459,626 7,630,647
--------------
Deferred income (Note 1e) 2,025,420
Accrued expenses and other liabilities 20,975,865
--------------
Total liabilities 30,631,932
--------------
Net Assets: Net assets $3,116,572,474
==============
Net Assets Common Stock, par value $.10 per share; 1,000,000,000 shares
Consist of: authorized $31,185,272
Paid-in capital in excess of par 3,090,942,646
Accumulated realized capital losses on investments -- net (Note 7) (10,833,718)
Unrealized appreciation on investments -- net 5,278,274
--------------
Net Assets -- Equivalent to $9.99 per share based on 311,852,718
shares of capital stock outstanding $3,116,572,474
==============
See Notes to Financial Statements.
</TABLE>
<TABLE>
<CAPTION>
Statement of Operations
For the Six Months Ended
February 28, 1998
<S> <C> <C> <C>
Investment Income Interest and discount earned $123,702,248
(Note 1e): Facility and other fees 1,892,953
--------------
Total income 125,595,201
--------------
Expenses: Investment advisory fees (Note 2) $14,227,580
Administrative fees (Note 2) 3,744,100
Loan interest expense (Note 6) 1,233,590
Transfer agent fees (Note 2) 652,529
Registration fees (Note 1f) 429,776
Professional fees 153,904
Accounting services (Note 2) 142,373
Tender offer costs (Note 8) 89,211
Custodian fees 60,143
Printing and shareholder reports 55,588
Borrowing costs (Note 6) 22,771
Directors' fees and expenses 14,080
Other 24,108
--------------
Total expenses 20,849,753
--------------
Investment income -- net 104,745,448
--------------
Realized & Realized loss on investments -- net (4,470,070)
Unrealized Loss on Change in unrealized appreciation on investments -- net (2,163,673)
Investments -- Net --------------
(Notes 1c, 1e & 3): Net Increase in Net Assets Resulting from Operations $98,111,705
==============
See Notes to Financial Statements.
</TABLE>
<TABLE>
<CAPTION>
Statements of Changes in Net Assets
For the Six For the
Months Ended Year Ended
February 28, August 31,
Increase (Decrease) in Net Assets: 1998 1997
<S> <C> <C> <C>
Operations: Investment income -- net $104,745,448 $195,758,437
Realized gain (loss) on investments -- net (4,470,070) 1,494,764
Change in unrealized appreciation/depreciation on
investments -- net (2,163,673) 6,060,630
-------------- --------------
Net increase in net assets resulting from operations 98,111,705 203,313,831
-------------- --------------
Dividends to Investment income -- net (104,745,448) (195,758,437)
Shareholders -------------- --------------
(Note 1g): Net decrease in net assets resulting from dividends to
shareholders (104,745,448) (195,758,437)
-------------- --------------
Capital Share Net increase in net assets resulting from capital shares 131,416,576 38,706,901
Transactions transactions -------------- --------------
(Note 4):
Net Assets: Total increase in net assets 124,782,833 46,262,295
Beginning of period 2,991,789,641 2,945,527,346
-------------- --------------
End of period $3,116,572,474 $2,991,789,641
============== ==============
See Notes to Financial Statements.
</TABLE>
<TABLE>
<CAPTION>
Statement of Cash Flows
For the Six Months Ended
February 28, 1998
<S> <C> <C>
Cash Provided by Net increase in net assets resulting from operations $98,111,705
Operating Activities: Adjustments to reconcile net increase in net assets resulting from
operations to net cash provided by operating activities:
Increase in receivables (169,520)
Decrease in other assets 1,939,311
Increase in other liabilities 18,406,086
Realized and unrealized loss on investments -- net 6,633,743
Amortization of discount (12,599,748)
---------------
Net cash provided by operating activities 112,321,577
---------------
Cash Used for Proceeds from principal payments and sales of loan interests 996,260,483
Investing Activities: Purchases of loan interests (1,204,266,932)
Purchases of short-term investments (12,728,774,654)
Proceeds from sales and maturities of short-term investments 12,807,818,375
---------------
Net cash used for investing activities (128,962,728)
---------------
Cash Provided by Cash receipts from borrowings 160,000,000
Financing Activities: Cash payments from borrowings (160,000,000)
Cash receipts on capital shares sold 372,033,711
Cash payments on capital shares tendered (295,128,323)
Dividends paid to shareholders (54,323,062)
---------------
Net cash provided by financing activities 22,582,326
---------------
Cash: Net increase in cash 5,941,175
Cash at beginning of period 3,333,212
---------------
Cash at end of period $9,274,387
===============
Cash Flow Cash paid for interest $1,030,174
Information: ===============
Non-Cash Capital shares issued in reinvestment of dividends paid to shareholders $50,907,663
Financing Activities: ===============
See Notes to Financial Statements.
</TABLE>
<TABLE>
<CAPTION>
Financial Highlights
For the Six
The following per share data and ratios have been derived Months Ended
from information provided in the financial statements. February 28, For the Year Ended August 31,
1998 1997 1996 1995 1994
Increase (Decrease) in Net Asset Value:
<S> <C> <C> <C> <C> <C> <C>
Per Share Net asset value, beginning of period $10.02 $9.99 $10.02 $10.02 $10.02
Operating ------------ ------------ ------------ ------------ ------------
Performance: Investment income -- net .35 .68 .66 .75 .59
Realized and unrealized gain (loss)
on investments -- net (.03) .03 (.03) --+ --+
------------ ------------ ------------ ------------ ------------
Total from investment operations .32 .71 .63 .75 .59
------------ ------------ ------------ ------------ ------------
Less dividends from investment
income -- net (.35) (.68) (.66) (.75) (.59)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $9.99 $10.02 $9.99 $10.02 $10.02
============ ============ ============ ============ ============
Total Investment Based on net asset value per share 3.21%++++ 7.23% 6.53% 7.68% 5.94%
Return:** ============ ============ ============ ============ ============
Ratio to Average Expenses, excluding interest expense 1.31%* 1.32% -- -- --
Net Assets: ============ ============ ============ ============ ============
Expenses 1.39%* 1.33% 1.34% 1.34% 1.43%
============ ============ ============ ============ ============
Investment income -- net 6.99%* 6.72% 6.54% 7.45% 5.75%
============ ============ ============ ============ ============
Leverage: Amount of borrowings (in thousands) -- -- -- -- --
============ ============ ============ ============ ============
Average amount of borrowings
outstanding during the period (in
thousands) $41,906 $4,409 -- -- --
============ ============ ============ ============ ============
Average amount of borrowings
outstanding per share during the
period $.14 $.02 -- -- --
============ ============ ============ ============ ============
Supplemental Net assets, end of period (in
Data: millions) $3,117 $2,992 $2,946 $2,163 $934
============ ============ ============ ============ ============
Portfolio turnover 37.36% 74.00% 80.20% 55.23% 61.31%
============ ============ ============ ============ ============
* Annualized.
** Total investment returns exclude the early withdrawal charge, if any. The Fund is a continuously
offered closed-end fund, the shares of which are offered at net asset value. Therefore, no separate
market exists.
+ Amount is less than $.01 per share.
++++ Aggregate total investment return.
See Notes to Financial Statements.
</TABLE>
Merrill Lynch Senior Floating Rate Fund, Inc. February 28, 1998
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies:
Merrill Lynch Senior Floating Rate Fund, Inc. (the "Fund") is
registered under the Investment Company Act of 1940 as a
continuously offered, non-diversified, closed-end management
investment company. These unaudited financial statements reflect all
adjustments which are, in the opinion of management, necessary to a
fair statement of the results for the interim period presented. All
such adjustments are of a normal recurring nature.
(a) Loan participation interests -- The Fund invests in senior
secured floating rate loan interests ("Loan Interests") with
collateral having a market value, at time of acquisition by the
Fund, which Fund management believes equals or exceeds the principal
amount of the corporate loan. The Fund may invest up to 20% of its
total assets in loans made on an unsecured basis. Depending on how
the loan was acquired, the Fund will regard the issuer as including
the corporate borrower along with an agent bank for the syndicate of
lenders and any intermediary of the Fund's investment. Because
agents and intermediaries are primarily commercial banks, the Fund's
investment in corporate loans at February 28, 1998 could be
considered to be concentrated in commercial banking.
(b) Valuation of investments -- The Loan Interests will be valued in
accordance with guidelines established by the Fund's Board of
Directors. Under the Fund's current guidelines, Loan Interests will
be valued at the average of the mean between the bid and asked
quotes received from one or more brokers, if available.
Other portfolio securities 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 are valued at the last sale price on the
exchange that is the primary market for such securities, or the last
quoted bid price for those securities for which the over-the-counter
market is the primary market or for listed securities in which there
were no sales during the day. Short-term securities with remaining
maturities of sixty days or less are valued at amortized cost, which
approximates market value. Securities and assets for which market
quotations are not readily available are valued at fair value as
determined in good faith by or under the direction of the Board of
Directors of the Fund.
(c) Derivative financial instruments -- The Fund may engage in
various portfolio strategies to seek to increase its return by
hedging its portfolio against adverse movements in the debt markets.
Losses may arise due to changes in the value of the contract or if
the counterparty does not perform under the contract.
[bullet] Interest rate transactions -- The Fund is authorized to
enter into interest rate swaps and purchase or sell interest rate
caps and floors. In an interest rate swap, the Fund exchanges with
another party their respective commitments to pay or receive
interest on a specified notional principal amount. The purchase of
an interest rate cap (or floor) entitles the purchaser, to the
extent that a specified index exceeds (or falls below) a
predetermined interest rate, to receive payments of interest equal
to the difference between the index and the predetermined rate on a
notional principal amount from the party selling such interest rate
cap (or floor).
(d) Income taxes -- It is the Fund's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated
investment companies and to distribute substantially all of its
taxable income to its shareholders. Therefore, no Federal income tax
provision is required.
(e) Security transactions and investment income -- Security
transactions are recorded on the dates the transactions are entered
into (the trade dates). Interest is recognized on the accrual basis.
Realized gains and losses on security transactions are determined on
the identified cost basis. Facility fees are accreted into income
over the term of the related loan.
(f) Prepaid registration fees -- Prepaid registration fees are
charged to expense as the related shares are issued.
(g) Dividends and distributions -- Dividends from net investment
income are declared daily and paid monthly. Distributions of capital
gains are recorded on the ex-dividend dates.
2. Investment Advisory and Administrative Services Agreement and
Transactions with Affiliates:
The Fund has entered into an Investment Advisory Agreement with
Merrill Lynch Asset Management, L.P. ("MLAM"). The general partner
of MLAM is Princeton Services, Inc. ("PSI"), an indirect wholly-
owned subsidiary of Merrill Lynch & Co., Inc. ("ML & Co."), which is
the limited partner.
MLAM is responsible for the management of the Fund's portfolio and
provides the necessary personnel, facilities, equipment and certain
other services necessary to perform this investment advisory
function.
For such services, the Fund pays a monthly fee at an annual rate of
0.95% of the Fund's average daily net assets. The Fund also has an
Administrative Services Agreement with MLAM whereby MLAM will
receive a fee equal to an annual rate of 0.25% of the Fund's average
daily net assets on a monthly basis, in return for the performance
of administrative services (other than investment advice and related
portfolio activities) necessary for the operation of the Fund.
For the six months ended February 28, 1998, Merrill Lynch Funds
Distributor, Inc. ("MLFD") earned early withdrawal charges of
$1,865,737 relating to the tender of the Fund's shares.
Merrill Lynch Financial Data Services, Inc. ("MLFDS"), a wholly-
owned subsidiary of ML & Co., is the Fund's transfer agent.
Accounting services are provided to the Fund by MLAM at cost.
The Fund's credit facility is currently provided by Merrill Lynch
International Bank Limited, an affiliate of MLAM (see Note 6).
Certain officers and/or directors of the Fund are officers and/or
directors of MLAM, PSI, MLFDS, MLFD, and/or ML & Co.
3. Investments:
Purchases and sales of investments, excluding short-term securities,
for the six months ended February 28, 1998 were $1,200,115,645 and
$1,003,164,603, respectively.
Net realized losses for the six months ended February 28, 1998 and
unrealized gains as of February 28, 1998 were as follows:
Realized Unrealized
Losses Gains
Long-term investments $(4,469,724) $5,278,274
Short-term investments (346) --
------------ ------------
Total $(4,470,070) $5,278,274
============ ============
As of February 28, 1998, net unrealized appreciation for financial
reporting and Federal income tax purposes aggregated $5,278,274, of
which $11,363,597 is related to appreciated securities and $6,085,323
is related to depreciated securities. The aggregate cost of investments
at February 28, 1998 for Federal income tax purposes was $3,076,530,088.
4. Capital Share Transactions:
Transactions in capital shares were as follows:
For the Six Months Ended Dollar
February 28, 1998 Shares Amount
Shares sold 37,550,533 $375,637,235
Shares issued to share-
holders in reinvestment
of dividends 5,087,510 50,907,663
------------ ------------
Total issued 42,638,043 426,544,898
Shares tendered (29,496,495) (295,128,322)
------------ ------------
Net increase 13,141,548 $131,416,576
============ ============
For the Year Ended Dollar
August 31, 1997 Shares Amount
Shares sold 43,063,467 $430,288,115
Shares issued to share-
holders in reinvestment
of dividends 9,529,624 95,204,864
------------ ------------
Total issued 52,593,091 525,492,979
Shares tendered (48,731,298) (486,786,078)
------------ ------------
Net increase 3,861,793 $38,706,901
============ ============
5. Unfunded Loan Interests:
As of February 28, 1998, the Fund had unfunded loan commitments of
$498,549,530, which would be extended at the option of the borrower,
pursuant to the following loan agreements:
Unfunded
Commitment
Borrower (in thousands)
21st Century $3,429
AFC Enterprises 8,720
AMF Group, Inc. 6,436
Advanstar Communications 1,197
American Axel 8,500
American Italian Pasta Company 6,300
American Radio Systems Corp. 10,173
Arenabrands 2,205
Aztar Corporation 2,913
Carr Gottstein Foods Co. 3,011
Chancellor Media Corp. 20,999
Chatham Technologies 4,237
Continental Airlines, Inc. 43
Corning/Quest 1,667
DT Acquisition, Inc 10,437
Del Monte Corp 4,336
Dictaphone Corp 2,634
Evergreen Media Corp. 10,250
Federal Mogul Corp. (Fel-Pro) 62,500
Foamex International PLC 2,630
Garden State Newspapers, Inc. 12,947
HSC Holdings 3,650
Hedstrom Corp. 3,338
Horizon/CMS 10,000
International Homefoods, Inc. 1,468
Iridium LLC 17,588
Ithaca Industries, Inc. 15,628
Jefferson Smurfit Company/Container
Corp. of America 1,932
Joan Fabrics 5,323
Johnstown America Industrial Inc. 3,500
K-III Communications Corp. 15,640
KSL Recreation Group, Inc. 5,000
Kerastotes 1,848
Kmart Corp. 10,000
Marcus Cable Operating Co. 13,563
Metro Goldwyn Mayer Co. 9,170
Nextel Communications, Inc. 33,086
Northwestern Steel & Mining 15,000
Omnipoint Communications Corp. 57,639
Outsourcing Solutions, Inc. 3,337
Paging Network, Inc. 20,312
Paracelsus Healthcare Corp. 1,441
Pathmark Stores, Inc. 7,273
Powertel 16,733
Price Communications Corp. 3,233
Ralph's Grocery Company 3,491
S.D. Warren Co. 1,897
Six Flags Entertainment Corp. 851
Sprint Spectrum L.P. 89
Stronghaven. 429
Thermadyne Industries, Inc. 11,110
Trans Technology Corp. 2,083
Triton PCS 5,000
United Defense Industries, Inc. 8,379
Whittaker Corporation 3,955
6. Short-Term Borrowings:
On June 30, 1997, the Fund extended its credit agreement with
Merrill Lynch International Bank Limited, an affiliate of MLAM,
through June 12, 1998. The agreement is a $100,000,000 credit
facility bearing interest at the Federal Funds rate plus .25% and/
or LIBOR plus 0.25%. For the six months ended February 28, 1998, the
maximum amount borrowed was $85,000,000, the average amount borrowed
was approximately $41,906,000, and the daily weighted average
interest rate was 5.89%. For the six months ended February 28, 1998,
facility and commitment fees aggregated approximately $22,771.
7. Capital Loss Carryforward:
At August 31, 1997, the Fund had a net capital loss carryforward of
approximately $4,752,000, of which $1,471,000 expires in 2004 and
$3,281,000 expires in 2005. This amount will be available to offset
like amounts of any future taxable gains.
8. Subsequent Event:
The Fund began a quarterly tender offer on March 17, 1998 which
concludes on April 14, 1998.
