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Previous: WINDSOR PARK PROPERTIES 7, 8-K, 1998-01-28 |
Next: PAMRAPO BANCORP INC, SC 13G/A, 1998-01-28 |
MERRILL LYNCH
SENIOR FLOATING
RATE FUND, INC.
[FUND LOGO]
STRATEGIC
Performance
Quarterly Report
November 30, 1997
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 -- 11/97
[RECYCLE LOGO]
Printed on post-consumer recycled paper
Merrill Lynch Senior Floating Rate Fund, Inc.
DEAR SHAREHOLDER
For the three-month period ended November 30, 1997, Merrill Lynch
Senior Floating Rate Fund, Inc. had approximately $2.9 billion in net
assets. Unfunded and closed loan commitments were approximately 10.4%
of net assets, or $318.5 million. This was primarily in the form of
unfunded revolving credit commitments. With the liquidity in today's
bank loan market, we can more closely manage the Fund's cash position
to remain more fully invested given transaction flows. At November 30,
1997, the average reset on the portfolio was 32 days.
The November quarter was marked by continued evidence that inflation
remains low and stable, even as selected economic indicators reflected
strong growth through the third calendar quarter of 1997. Even with
all of the volatility in the 30-year Treasury note, the three-month
London Interbank Offered Rate (LIBOR) has continued to trade in a
narrow range, finishing the November quarter at 5.71%. The Fund's
yield benefited both from being more fully invested and from increased
consent and amendment fees. The Fund increased its yield in the face
of continued margin pressure in the new-issue market by actively
picking up paper in the secondary and primary markets. This helped to
keep the Fund more fully invested and reduce the Fund's cash position.
The weighted average spread over LIBOR for the portfolio at November
30, 1997 was 2.54% compared to 2.37% at the end of the August quarter.
During the three-month period ended November 30, 1997, the Fund made
$699.7 million in new purchases, more than $668.5 million of which
were new primary transactions. The financing of continued
consolidation in the healthcare industry and the build out by
telecommunications companies dominated the larger transactions in the
new-issue market. Integrated Health Services Inc. and Genesis Health
Ventures Inc. each financed major acquisitions via the bank loan and
high-yield markets. CommNet Cellular's leveraged buyout by The
Blackstone Group and the financing of the acquisition of Palmer
Wireless, Inc. by Price Communications Wireless, Inc. were two of the
larger telecommunications transactions in the bank loan market during
the quarter.
The Fund had 202 investments across 45 industries as of November 30,
1997. The average loan size equaled $15.5 million, or 0.52% of net
assets. The Fund will continue to seek to reduce average exposure to
any one name when feasible, and focus on achieving greater variety
across the portfolio. As can be seen by the number of investments in
the portfolio, the Fund has become more varied by sector and by actual
number of issuers. This has been partly by design in order to lessen
exposure to any one name, particularly now that we are marking the
loans to market via dealer quotes. However, it is also the result of
the number of investors currently in the market.
The Fund's largest industry concentrations were telephone
communications (10.9% of total assets); paper (10.1%); health services
(10.1%); amusement & recreational services (6.2%); broadcast -- radio
& TV (6.1%); and food and kindred products (5.2%). The largest
individual credit exposures are Riverwood International Corp. ($99.0
million/2.9% of total assets); Jefferson Smurfit Company/Container
Corp. of America ($94.7 million/2.7%); Chancellor Broadcasting Inc.
($84.0 million/2.4%); Nextel Communications, Inc. ($80.0
million/2.3%); Stone Container Corp. ($78.4 million/2.2%); and Marcus
Cable Operating Co. ($78.2 million/2.2%).
New issuance continued to be strong during the November quarter, with
volume reaching $54.0 billion for the third calendar quarter. However,
the overheated secondary market cooled off somewhat as the forward
calendar going into the last two months of 1997 began to catch up with
the increase in demand from new institutional investors coming into
the bank loan market. This led to a decrease in the average bid level
for actively traded loans in October, after peaking just above par
during the summer. Secondary volume for the third calendar quarter of
1997 totaled $16.3 billion, up from $15.5 billion in the second
calendar quarter. At its current pace, secondary volume is expected to
exceed $60.0 billion for the year, a record in the bank loan market.
Par trading, the main component of the volume, was driven by new
issuance after which considerable trading was seen, but which 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 paper to make
room for new issues.
The Fund completed its latest quarterly tender offer on January 20,
1998 with 13.2 million shares tendered and accepted for repurchase.
The Fund remains open for new shareholder purchases.
Fund Performance
The Fund's effective net yield was 6.93%, compared to 6.94% for the
August quarter and compared to a prime rate of 8.50% at November
quarter-end. The Fund's net asset value continued to remain relatively
stable throughout the November quarter. During the three-month period,
the Fund earned $0.171 per share income dividends, representing a net
annualized yield of 6.93%, based on a month-end per share net asset
value of $10.00. For the quarter ended November 30, 1997, the Fund's
total investment return was +1.51%, based on a change in net asset
value from $10.02 to $10.00, and assuming reinvestment of $0.173 per
share income dividends. Since inception (November 3, 1989) through
November 30, 1997, the Fund's total investment return was +74.56%,
based on an unchanged per share net asset value of $10.00, and
assuming reinvestment of $5.577 per share income dividends.
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
January 23, 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) 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 derived 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.
<TABLE>
<CAPTION>
Merrill Lynch Senior Floating Rate Fund, Inc. November 30, 1997
SCHEDULE OF INVESTMENTS (in Thousands)
Face Loan S&P Moody's Stated
Industries Amount Borrower Type Rating Rating Maturity Cost Value
Senior Secured Floating Rate Loan Interests*
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Advertising -- $12,500 Outdoor Systems, Inc. Term NR+ NR+ 6/30/04 $12,476 $12,531
0.4% ---------- ----------
Total Advertising 12,476 12,531
========== ==========
Aerospace -- 0.5% 5,000 KF Industries Term B NR+ NR+ 10/15/05 5,000 5,063
2,857 Technetics Term NR+ NR+ 6/20/02 2,840 2,848
5,219 Whittaker Corporation Revolving
Credit NR+ NR+ 4/09/01 5,219 5,206
2,362 Whittaker Corporation Term NR+ NR+ 4/09/01 2,327 2,356
---------- ----------
Total Aerospace 15,386 15,473
========== ==========
Air Transport -- 3,600 Continental Airlines, Inc. Term A BB- NR+ 7/31/02 3,595 3,586
0.3% 6,400 Continental Airlines, Inc. Term B BB- NR+ 7/31/03 6,400 6,396
---------- ----------
Total Air Transport 9,995 9,982
========== ==========
Aircraft & Parts -- 5,060 Aerostructures Hamble Holdings
1.9% PLC Term B NR+ NR+ 9/30/03 5,038 5,085
1,840 Aerostructures Hamble Holdings
PLC Term C NR+ NR+ 9/30/04 1,832 1,849
9,131 Alliant Techsystems, Inc. Term NR+ Ba2 3/15/01 9,124 9,131
4,950 Banner Industries, Inc. Term B NR+ NR+ 6/30/03 4,929 4,938
7,475 Evergreen International
Aviation, Inc. Term B NR+ Ba3 5/31/03 7,440 7,456
24,167 Gulfstream Aerospace Corp. Term NR+ NR+ 9/30/02 24,126 24,197
4,860 Mag Aerospace Term B NR+ NR+ 12/06/01 4,829 4,842
---------- ----------
Total Aircraft & Parts 57,318 57,498
========== ==========
Amusement & 9,929 AMF Group, Inc. Axel A NR+ Ba3 3/31/03 10,043 9,973
Recreational 19,772 AMF Group, Inc. Axel B NR+ Ba3 3/31/04 19,803 19,872
Services -- 5.7% 1,621 AMF Group, Inc. Revolving
Credit NR+ Ba3 3/31/02 1,621 1,615
21,238 AMF Group, Inc. Term A NR+ Ba3 3/31/03 21,194 21,331
3,400 AMF Group, Inc. Term C1 NR+ Ba3 3/31/02 3,391 3,397
2,862 AMF Group, Inc. Term C1 NR+ Ba3 3/31/03 2,905 2,875
2,101 AMF Group, Inc. Term C2 NR+ Ba3 3/31/04 2,133 2,112
2,000 ASC East Inc. Term NR+ NR+ 5/31/06 1,998 2,004
5,000 ASC West Inc. Term NR+ NR+ 5/31/06 4,995 5,009
4,200 Act III Theater Revolving
Credit NR+ NR+ 2/14/02 4,200 4,200
4,125 Amfac Parks, Inc. Term B NR+ NR+ 9/30/02 4,093 4,122
5,000 Fitness Holdings Term NR+ NR+ 12/31/00 4,973 4,981
8,571 KSL Recreation Group, Inc. Revolving
Credit NR+ B2 4/30/04 8,571 8,598
7,750 KSL Recreation Group, Inc. Term A NR+ B2 4/30/05 7,774 7,775
3,750 KSL Recreation Group, Inc. Term A NR+ B2 4/30/06 3,783 3,762
4,000 KSL Recreation Group, Inc. Term B NR+ B2 4/30/06 3,990 4,013
9,239 Kerastotes Revolving
Credit NR+ NR+ 12/31/03 9,239 9,181
3,668 Kerastotes Term NR+ NR+ 12/31/04 3,638 3,645
2,740 Metro Goldwyn Mayer Co. Revolving
Credit NR+ NR+ 9/30/03 2,740 2,718
8,000 Metro Goldwyn Mayer Co. Term A NR+ NR+ 12/31/05 7,960 7,935
10,000 Metro Goldwyn Mayer Co. Term B NR+ NR+ 12/31/06 9,975 10,063
872 Six Flags Entertainment Corp. Revolving
Credit NR+ Ba3 10/28/01 872 873
4,671 Six Flags Entertainment Corp. Term A NR+ Ba3 10/28/01 4,683 4,683
17,441 Six Flags Entertainment Corp. Term B NR+ Ba3 6/23/03 17,375 17,463
7,467 Vail Corporation Term B NR+ NR+ 4/15/04 7,457 7,486
---------- ----------
Total Amusement & Recreational
Services 169,406 169,686
========== ==========
Apparel -- 1.2% 4,571 CS Brooks Canada Axel A NR+ NR+ 6/30/02 4,551 4,548
10,157 CS Brooks Canada Axel B NR+ NR+ 6/30/01 10,117 10,106
9,683 Humphreys Inc. Term B NR+ NR+ 1/15/03 9,683 9,683
5,000 Renfro Corp. Term B NR+ NR+ 1/15/03 4,978 5,000
6,237 William Carter Co. (The) Term BB- Ba3 10/31/03 6,209 6,227
---------- ----------
Total Apparel 35,538 35,564
========== ==========
Automotive 93 American Axel Revolving
Equipment -- 3.5% Credit NR+ NR+ 10/31/05 93 93
21,400 American Axel Term B NR+ NR+ 3/31/07 21,433 21,561
4,000 American Bumper Term B NR+ NR+ 10/31/02 3,991 4,010
30,000 Breed Technologies, Inc. Term NR+ NR+ 10/31/98 29,724 29,970
23,420 Collins & Aikman Corp. Term B B+ B1 12/31/02 23,329 23,479
420 Johnstown America Industrial
Inc. Revolving
Credit NR+ B1 3/31/02 420 417
18,835 Johnstown America Industrial
Inc. Term B NR+ B1 3/31/03 18,762 18,787
5,000 Safelite Glass Corp. Term B BB- Ba3 9/08/04 4,983 5,022
---------- ----------
Total Automotive Equipment 102,735 103,339
========== ==========
Banking -- 0.2% 5,571 21st Century Term A NR+ NR+ 9/15/03 5,599 5,585
---------- ----------
Total Banking 5,599 5,585
========== ==========
Broadcast -- 10,000 Channel Master Term NR+ NR+ 10/10/05 9,980 10,000
Media -- 2.9% 9,725 Sinclair Broadcasting Group
Inc. Term A NR+ NR+ 12/31/04 9,725 9,713
46,682 Viacom, Inc. Term NR+ Ba2 7/01/02 46,624 46,565
20,000 Western Wireless Corp. Term B B+ B1 3/31/05 20,000 20,069
---------- ----------
Total Broadcast -- Media 86,329 86,347
========== ==========
Broadcast -- 6,460 American Radio Systems Corp. Revolving
Radio & TV -- Credit B+ Ba3 12/31/04 6,460 6,460
3.8% 3,741 Benedek Broadcasting Corp. Axel A B+ Ba3 5/01/01 3,731 3,751
4,181 Benedek Broadcasting Corp. Axel B NR+ Ba3 11/01/02 4,168 4,191
5,630 Chancellor Broadcasting,
Inc. Revolving
Credit NR+ Ba2 6/26/04 5,630 5,599
12,000 Chancellor Broadcasting,
Inc. Term NR+ Ba2 6/26/04 11,957 11,933
11,178 Evergreen Media Corp. Revolving
Credit NR+ NR+ 6/30/05 11,178 11,147
53,571 Evergreen Media Corp. Term NR+ NR+ 6/30/05 53,396 53,421
8,261 Latin Communications Term NR+ NR+ 3/31/04 8,213 8,178
9,049 Sullivan Broadcasting Term B NR+ Ba3 12/31/03 9,022 9,035
---------- ----------
Total Broadcast -- Radio & TV 113,755 113,715
========== ==========
Building & 3,319 Fenway Holdings, Inc. Term B NR+ NR+ 9/15/02 3,300 3,280
Construction ---------- ----------
0.1%
Total Building & Construction 3,300 3,280
========== ==========
Building 3,734 Amerimax Term C NR+ NR+ 6/30/04 3,730 3,734
Materials -- 2.8% 4,179 Behr Process Term B NR+ NR+ 3/31/04 4,174 4,179
2,786 Behr Process Term C NR+ NR+ 3/31/05 2,782 2,789
27,000 Dal Tile International Inc. Term B NR+ NR+ 12/31/03 26,872 26,055
5,000 Dayton Superior Corp. Term NR+ NR+ 9/30/05 5,000 5,031
2,521 Euramax Holdings Term B NR+ NR+ 6/30/04 2,518 2,521
5,000 Falcon Building Products,
Inc. Term NR+ B1 6/30/05 4,981 5,006
29,850 National Gypsum Co. Term B NR+ Ba3 9/20/03 29,800 29,896
517 Panolam Industries Term A NR+ NR+ 1/31/03 517 517
2,852 Panolam Industries Term B NR+ NR+ 11/01/05 2,852 2,852
1,630 Panolam Industries Term C NR+ NR+ 11/01/06 1,630 1,630
---------- ----------
Total Building Materials 84,856 84,210
========== ==========
Cable TV 6,000 Cablevision of Ohio Term NR+ Ba2 12/31/05 5,987 5,993
Services -- 5.1% 24,375 Chelsea Communications Term B NR+ NR+ 9/30/04 24,281 24,383
17,081 Classic Cable, Inc. Term B NR+ B1 6/30/05 16,915 16,568
13,651 Coaxial Communications Term B NR+ NR+ 12/31/99 13,618 13,037
4,472 FrontierVision Operating
Partners L.P. Term B NR+ B3 6/30/05 4,448 4,471
10,000 Intermedia Communications,
Inc. Term NR+ B3 1/01/05 9,978 10,029
4,343 Marcus Cable Operating Co. Revolving
Credit NR+ NR+ 4/30/14 4,343 4,331
29,250 Marcus Cable Operating Co. Term A NR+ NR+ 12/31/02 29,155 29,232
35,393 Marcus Cable Operating Co. Term B NR+ NR+ 4/30/04 35,135 35,470
10,000 Triax Midwest Term B NR+ NR+ 6/30/05 9,944 9,991
---------- ----------
Total Cable TV Services 153,804 153,505
========== ==========
Casino -- 0.5% 10,674 Alliance Gaming Corp. Term B NR+ NR+ 1/31/05 10,674 10,754
4,264 Alliance Gaming Corp. Term C NR+ NR+ 7/31/05 4,264 4,296
---------- ----------
Total Casino 14,938 15,050
========== ==========
Chemicals -- 5.0% 9,277 Aztar Corporation Revolving
Credit NR+ NR+ 12/31/99 9,277 9,277
4,124 Aztar Corporation Term NR+ NR+ 12/31/99 4,127 4,130
11,368 Cedar Chemical Term B NR+ NR+ 10/31/03 11,295 11,339
4,975 Exide Corporation Term D NR+ NR+ 6/15/01 4,975 4,981
2,627 HSC Holdings Revolving
Credit NR+ NR+ 12/31/99 2,627 2,621
3,599 HSC Holdings Term NR+ NR+ 12/31/99 3,585 3,590
2,861 Harris Specialty Chemicals Revolving
Credit NR+ NR+ 12/30/01 2,861 2,872
218 Harris Specialty Chemicals Term A NR+ NR+ 12/30/99 217 218
224 Harris Specialty Chemicals Term A NR+ NR+ 12/30/01 224 225
597 Harris Specialty Chemicals Term B NR+ NR+ 12/30/99 596 599
2,426 Harris Specialty Chemicals Term B NR+ NR+ 12/30/01 2,416 2,435
25,644 Huntsman Corp. Term A NR+ NR+ 12/31/02 25,626 25,628
5,000 Huntsman Corp. Term B NR+ NR+ 3/15/02 4,996 5,044
14,850 Huntsman Corp. Term B NR+ NR+ 9/30/03 14,801 14,850
15,000 Huntsman Corp. Term B NR+ NR+ 6/30/04 15,000 15,075
5,000 Huntsman Corp. Term C NR+ Ba2 3/15/02 4,996 5,044
7,980 Pioneer Americas Acquisition
Corp. Term NR+ NR+ 12/05/06 8,049 8,027
24,103 Sterling Chemicals, Inc. Term B NR+ Ba3 9/30/04 23,995 24,103
6,527 Texas Petrochemicals Corp. Term B NR+ Ba3 6/30/04 6,506 6,511
1,038 Thoro World Systems, Inc. Term A NR+ NR+ 12/30/99 1,034 1,042
1,410 Thoro World Systems, Inc. Term B NR+ NR+ 12/30/01 1,401 1,415
---------- ----------
Total Chemicals 148,604 149,026
========== ==========
Computer-Related 6,514 Anacomp, Inc. Term NR+ B2 3/31/01 6,487 6,551
Services & 11,000 DecisionOne Corp. Term B NR+ B1 8/07/05 10,984 11,069
Products -- 1.4% 7,417 Fairchild Semiconductors
Corp. Term B NR+ Ba3 2/28/03 7,400 7,454
12,406 Phase Metrics Term NR+ NR+ 11/12/01 12,355 12,034
5,000 Triad Systems Corp. Term NR+ NR+ 2/27/03 4,972 4,953
---------- ----------
Total Computer-Related 42,198 42,061
Services & Products ========== ==========
Consumer 765 E & S Holdings Corp. Revolving
Products -- 1.8% Credit NR+ B1 9/30/03 765 743
2,059 E & S Holdings Corp. Term NR+ B1 9/30/03 2,059 2,005
1,910 Hedstrom Corp. Revolving
Credit NR+ B1 6/30/03 1,910 1,894
5,172 Hedstrom Corp. Term A NR+ B1 6/30/03 5,148 5,153
14,962 Playtex Family Products Inc. Term B NR+ B2 9/15/03 14,891 15,037
7,223 RTI Funding Corp. (Ritvik
Toys) Term B NR+ NR+ 2/07/03 7,165 7,250
7,223 RTI Funding Corp. (Ritvik
Toys) Term C NR+ NR+ 2/07/04 7,163 7,250
15,000 Revlon Consumer Products
Corp. Term NR+ NR+ 5/30/02 14,988 14,981
---------- ----------
Total Consumer Products 54,089 54,313
========== ==========
Defense -- 0.4% 347 United Defense Industries,
Inc. Revolving
Credit NR+ NR+ 9/30/03 347 2,178
2,171 United Defense Industries,
Inc. Term A NR+ NR+ 9/30/03 2,189 348
5,022 United Defense Industries,
Inc. Term B NR+ NR+ 9/30/05 5,022 5,075
4,878 United Defense Industries,
Inc. Term C NR+ NR+ 9/30/06 4,878 4,930
---------- ----------
Total Defense 12,436 12,531
========== ==========
Diversified 4,995 Sarah Michael Term B NR+ NR+ 6/30/04 4,995 4,995
Manufacturing -- ---------- ----------
0.2%
Total Diversified 4,995 4,995
Manufacturing ========== ==========
Drilling -- 0.2% 4,394 Rigco North America Term NR+ NR+ 9/30/98 4,384 4,410
---------- ----------
Total Drilling 4,384 4,410
========== ==========
Drug/Proprietary 5,000 Duane Reade Co. Term NR+ NR+ 6/15/02 4,988 5,038
Stores -- 0.2% ---------- ----------
Total Drug/Proprietary Stores 4,988 5,038
========== ==========
Electrical 6,907 Neopost Term C NR+ NR+ 6/24/06 6,890 6,951
Equipment -- 0.2% ---------- ----------
Total Electrical Equipment 6,890 6,951
========== ==========
Electronics/ 6,729 Amphenol Corp. Term B NR+ Ba3 3/31/02 6,837 6,794
Electrical 6,911 Amphenol Corp. Term C NR+ Ba3 3/31/03 7,021 6,946
Components -- 2,986 Circo Craft Co. (Viasystems) Term B NR+ Ba3 6/30/04 2,976 3,005
2.2% 1,800 Circo Craft Co. (Viasystems) Term C NR+ NR+ 6/30/05 1,794 1,811
5,517 Communications & Power
Industries, Inc. Term B NR+ NR+ 8/11/02 5,476 5,530
145 Dictaphone Corp. Revolving
Credit B- B1 3/31/01 145 140
7,750 Dictaphone Corp. Term C NR+ NR+ 6/30/03 7,673 7,731
19,969 International Wire Group,
Inc. Term B NR+ B1 9/30/03 19,950 20,009
1,353 L-3 Communications Corp. Term A NR+ Ba3 3/31/03 1,351 1,367
2,489 L-3 Communications Corp. Term B NR+ Ba3 3/31/05 2,484 2,514
1,639 L-3 Communications Corp. Term C NR+ Ba3 3/31/06 1,636 1,655
7,000 Telex Communications, Inc. Term B NR+ Ba3 11/30/04 6,983 7,009
---------- ----------
Total Electronics/Electrical 64,326 64,511
Components ========== ==========
Energy -- 0.2% 5,000 Clark Refining Term NR+ NR+ 11/15/04 5,000 5,031
---------- ----------
Total Energy 5,000 5,031
========== ==========
Entertainment -- 4,350 Moovies, Inc. Term A NR+ NR+ 3/31/02 4,350 4,350
0.2% ---------- ----------
Total Entertainment 4,350 4,350
========== ==========
Financial 24,276 Outsourcing Solutions, Inc. Term B NR+ B1 10/15/03 24,206 24,328
Services -- 0.8% ---------- ----------
Total Financial Services 24,206 24,328
========== ==========
Food & Kindred 3,273 Del Monte Corp. Revolving
Products -- 4.8% Credit NR+ B2 3/31/03 3,273 3,273
3,273 Del Monte Corp. Term A NR+ B2 3/31/03 3,273 3,285
5,100 Del Monte Corp. Term B NR+ B2 3/31/05 5,095 5,151
17,374 Favorite Brands
International Term B NR+ NR+ 8/30/04 17,303 17,352
323 International Homefoods,
Inc. Revolving
Credit NR+ NR+ 11/21/01 323 321
3,387 International Homefoods,
Inc. Term A NR+ NR+ 11/21/01 3,385 3,381
22,000 International Homefoods,
Inc. Term B NR+ NR+ 10/31/05 22,030 22,019
2,494 Mistic Beverage, Inc. Term B NR+ NR+ 6/01/04 2,482 2,503
2,494 Mistic Beverage, Inc. Term C NR+ NR+ 6/01/05 2,482 2,503
4,597 President Baking Co., Inc. Term B NR+ NR+ 9/30/00 4,579 4,604
3,351 Rykoff-Sexton, Inc. Term B BB- Ba3 10/31/02 3,351 3,357
1,608 Rykoff-Sexton, Inc. Term C BB- Ba3 4/30/03 1,608 1,611
1,940 Select Beverages, Inc. Term B NR+ NR+ 6/30/01 1,927 1,943
2,910 Select Beverages, Inc. Term C NR+ NR+ 6/30/01 2,891 2,919
7,481 Snapple Beverage Corp. Term B NR+ NR+ 6/01/04 7,445 7,509
7,481 Snapple Beverage Corp. Term C NR+ NR+ 6/01/05 7,445 7,509
5,883 Southern Foods Group Term B NR+ NR+ 2/28/06 5,876 5,920
23,056 Specialty Foods, Inc. Term B NR+ B3 4/30/01 22,964 23,005
7,017 Van De Kamps, Inc. Term B NR+ Ba3 4/30/03 6,987 7,052
4,408 Van De Kamps, Inc. Term C NR+ Ba3 9/30/03 4,389 4,430
6,610 Volume Services Term B NR+ B2 12/31/02 6,558 6,610
3,308 Volume Services Term C NR+ B2 12/31/03 3,281 3,308
4,812 Windsor Quality Food Term B NR+ B2 12/31/02 4,793 4,758
---------- ----------
Total Food & Kindred 143,740 144,323
Products ========== ==========
Funeral Homes & 14,833 Prime Succession
Parlors -- 0.7% International Group Term BB- NR+ 8/01/03 14,785 15,037
6,860 Rose Hills Acquisition Corp. Axel A BB NR+ 12/01/03 6,845 6,937
---------- ----------
Total Funeral Homes & Parlors 21,630 21,974
========== ==========
Furniture & 9,978 Lifestyles Furnishings
Fixtures -- 0.3% International Ltd. Term NR+ NR+ 6/27/07 9,978 10,003
---------- ----------
Total Furniture & Fixtures 9,978 10,003
========== ==========
General 8,458 CSK Auto Inc. Term NR+ Ba3 10/31/03 8,411 8,492
Merchandise 1,400 Kmart Corp. Revolving
Stores -- 0.7% Credit BB+ B1 1/06/00 1,400 1,398
1,937 Music Acquisition Term B NR+ NR+ 8/31/01 1,912 1,482
7,500 Music Acquisition Term C NR+ NR+ 8/31/02 7,400 5,738
5,000 Sneaker Stadium Term 2 NR+ NR+ 12/31/02 5,000 5,000
---------- ----------
Total General Merchandise 24,123 22,110
Stores ========== ==========
Grocery -- 1.6% 10,400 Big V Supermarkets Inc. Term B NR+ NR+ 3/15/00 10,333 10,322
2,400 Bruno's, Inc. Revolving
Credit NR+ B1 6/02/03 2,400 1,932
2,000 Bruno's, Inc. Term B NR+ B1 6/02/05 1,995 1,610
664 Carr Gottstein Foods Co. Revolving
Credit NR+ NR+ 12/31/01 664 664
2,499 Carr Gottstein Foods Co. Term A NR+ B1 12/31/01 2,503 2,502
3,546 Carr Gottstein Foods Co. Term B NR+ B1 12/31/02 3,553 3,557
727 Pathmark Stores, Inc. Revolving
Credit NR+ NR+ 6/15/01 727 724
2,659 Pathmark Stores, Inc. Term A NR+ NR+ 6/15/01 2,654 2,654
2,922 Ralph's Grocery Company Revolving
Credit NR+ Ba3 2/15/03 2,922 2,921
4,952 Ralph's Grocery Company Term A NR+ Ba3 2/15/03 4,941 4,954
6,965 Ralph's Grocery Company Term B NR+ Ba3 2/15/04 6,957 6,972
4,184 Star Markets Co., Inc. Term B NR+ Ba3 12/31/01 4,171 4,174
3,132 Star Markets Co., Inc. Term C NR+ Ba3 12/31/02 3,121 3,120
---------- ----------
Total Grocery 46,941 46,106
========== ==========
Health 1,210 Arenabrands Revolving
Services -- 8.5% Credit NR+ NR+ 6/01/02 1,210 1,212
4,155 Arenabrands Term A NR+ NR+ 6/01/02 4,160 4,171
7,264 Arenabrands Term B NR+ NR+ 6/01/02 7,273 7,291
16,212 Community Health Systems,
Inc. Term B NR+ NR+ 12/31/03 16,142 16,263
16,212 Community Health Systems,
Inc. Term C NR+ NR+ 12/31/04 16,140 16,263
12,206 Community Health Systems,
Inc. Term D NR+ NR+ 12/31/05 12,150 12,259
5,000 Corning/Quest Term A NR+ NR+ 4/03/03 4,989 5,002
3,238 Dade International, Inc. Term B NR+ B1 12/31/02 3,222 3,242
3,238 Dade International, Inc. Term C NR+ B1 12/31/03 3,221 3,242
3,418 Dade International, Inc. Term D NR+ B1 12/31/04 3,399 3,432
7,500 Endo Pharmaceuticals Term B NR+ NR+ 6/30/04 7,485 7,533
10,000 Extendicare Health, Inc. Term B NR+ NR+ 12/31/04 9,990 9,990
6,333 Genesis Health Ventures,
Inc. Term B NR+ NR+ 9/30/04 6,321 6,385
6,333 Genesis Health Ventures,
Inc. Term C NR+ NR+ 6/01/05 6,321 6,385
2,447 Imed Corp. (Alaris) Term B B+ Ba3 11/30/03 2,441 2,469
2,447 Imed Corp. (Alaris) Term C B+ Ba3 11/30/04 2,441 2,469
2,303 Imed Corp. (Alaris) Term D B+ Ba3 11/30/05 2,297 2,324
15,000 Integrated Health Services,
Inc. Term B NR+ NR+ 9/15/03 14,964 15,000
17,500 Integrated Systems, Inc. Term NR+ NR+ 9/15/03 17,596 17,500
6,000 Kinetic Concepts, Inc. Term B NR+ NR+ 12/31/04 6,000 6,037
6,000 Kinetic Concepts, Inc. Term C NR+ NR+ 12/31/05 6,000 6,037
12,968 Medical Specialties Axel A NR+ NR+ 6/30/04 12,896 12,838
4,725 Medical Specialties Term NR+ NR+ 6/30/01 4,702 4,678
6,338 Merit Behavioral Care Corp. Term A NR+ B2 6/01/03 6,300 6,336
15,408 Merit Behavioral Care Corp. Term B NR+ B2 4/06/02 15,346 15,428
35,000 National Medical Care, Inc. Term BB Ba1 9/30/03 34,892 34,912
7,500 Paragon Health Network, Inc. Term B NR+ NR+ 3/31/05 7,493 7,537
7,500 Paragon Health Network, Inc. Term C NR+ NR+ 3/31/06 7,493 7,547
5,000 Prime Medical Services, Inc. Term B NR+ NR+ 4/30/03 4,983 5,005
4,912 Wilson Great Batch Term B NR+ NR+ 7/10/04 4,901 4,900
---------- ----------
Total Health Services 252,768 253,687
========== ==========
Healthcare -- 1.8% 4,994 FPA Medical Management, Inc. Term NR+ NR+ 9/30/01 4,987 4,989
9,880 MEDIQ, Inc. Term B B+ NR+ 9/30/04 9,827 9,889
4,750 Multicare Companies, Inc. Term B NR+ NR+ 9/30/04 4,741 4,789
1,583 Multicare Companies, Inc. Term C NR+ NR+ 6/01/05 1,580 1,596
13,250 Paracelsus Healthcare Corp. Revolving
Credit NR+ NR+ 8/15/01 13,250 13,252
10,000 Sun Healthcare Group Inc. Term B NR+ NR+ 9/30/03 9,985 10,094
10,000 Sun Healthcare Group Inc. Term C NR+ NR+ 9/30/03 9,985 10,094
---------- ----------
Total Healthcare 54,355 54,703
========== ==========
Hotels & 3,125 Capstar Hotel Company Term B NR+ NR+ 6/30/04 3,125 3,139
Motels -- 0.8% 5,118 Doubletree Corporation Term B NR+ NR+ 6/30/04 5,101 5,121
2,424 Westin Hotels Ltd. Revolving
Credit NR+ NR+ 2/08/02 2,424 2,427
13,576 Westin Hotels Ltd. Term NR+ NR+ 2/08/02 13,545 13,593
---------- ----------
Total Hotels & Motels 24,195 24,280
========== ==========
Industrial 8,955 Elis/Omni Axel NR+ NR+ 10/30/05 8,944 9,106
Services -- 0.6% 9,913 Elis/Omni Term C NR+ NR+ 10/30/05 10,086 10,086
---------- ----------
Total Industrial Services 19,030 19,192
========== ==========
Leasing & Rental 2,950 Brand Scaffold Term B NR+ NR+ 9/30/03 2,937 2,950
Services -- 0.4% 1,975 Brand Scaffold Term C NR+ NR+ 9/30/04 1,966 1,977
8,003 Coinmachine Corp. Term B NR+ NR+ 6/30/04 7,976 8,013
---------- ----------
Total Leasing & Rental 12,879 12,940
========== ==========
Manufacturing -- 10,360 Calmar, Inc. Term A NR+ B1 9/15/03 10,319 10,347
1.9% 7,770 Calmar, Inc. Term B NR+ B1 3/15/04 7,739 7,789
9,421 Polyfibron Technologies Term B NR+ NR+ 12/28/03 9,421 9,421
2,750 Rayovac Corp. Term B NR+ Ba3 9/30/03 2,744 2,752
2,750 Rayovac Corp. Term C NR+ Ba3 9/30/04 2,744 2,752
5,000 Russell Stanley Term B NR+ NR+ 6/30/05 4,982 5,050
14 Trans Technology Corp. Revolving
Credit NR+ NR+ 12/31/00 14 14
1,163 Trans Technology Corp. Term A NR+ NR+ 12/31/00 1,163 1,163
14,400 Trans Technology Corp. Term B NR+ NR+ 6/30/02 14,287 14,418
1,261 Walls Industries Term B NR+ NR+ 2/28/05 1,261 1,261
1,715 Walls Industries Term C NR+ NR+ 2/28/06 1,715 1,715
---------- ----------
Total Manufacturing 56,389 56,682
========== ==========
Measuring, 9,331 CHF/Ebel USA Inc. Term B NR+ NR+ 9/30/01 9,331 9,331
Analyzing & 10,814 Graphic Controls Corp. Term B NR+ B1 9/28/03 10,769 10,841
Controlling 5,000 Packard Bioscience Co. Term NR+ Ba3 3/31/03 4,983 5,012
Instruments -- ---------- ----------
0.8%
Total Measuring, Analyzing 25,083 25,184
& Controlling Instruments ========== ==========
Metals & 5,046 Adience, Inc. Term B NR+ NR+ 4/15/05 5,028 5,071
Mining -- 0.9% 4,736 Alliance Coal Term B NR+ B1 12/31/02 4,716 4,735
2,077 Centennial Resources Term A NR+ NR+ 3/31/02 2,059 2,059
5,135 Centennial Resources Term B NR+ NR+ 12/31/03 5,087 5,090
10,171 UCAR International Inc. Term B NR+ Ba2 12/31/02 10,162 10,179
---------- ----------
Total Metals & Mining 27,052 27,134
========== ==========
Metals & 3,763 Chatham Technologies Term A NR+ NR+ 8/15/03 3,763 3,763
Steel -- 0.3% 6,000 Chatham Technologies Term B NR+ NR+ 8/15/05 5,988 6,001
---------- ----------
Total Metals & Steel 9,751 9,764
========== ==========
Packaging -- 0.7% 15,000 Ivex Packaging Corp. Term B NR+ NR+ 10/02/04 14,982 15,075
506 Silgan Corp. Revolving
Credit NR+ Ba2 12/31/03 506 505
2,812 Silgan Corp. Term A NR+ Ba2 12/31/03 2,812 2,807
3,290 Thermadyne Industries, Inc. Revolving
Credit NR+ Ba3 6/30/01 3,290 3,281
---------- ----------
Total Packaging 21,590 21,668
========== ==========
Paper -- 10.4% 4,751 Crown Paper Co. Term B BB Ba3 8/22/03 4,705 4,778
983 Jefferson Smurfit Company/
Container Revolving
Corp. of America Credit BB Ba3 4/30/01 983 981
24,192 Jefferson Smurfit Company/
Container
Corp. of America Term A BB Ba3 4/30/01 24,140 24,222
6,564 Jefferson Smurfit Company/
Container
Corp. of America Term B BB Ba3 4/30/01 6,558 6,582
47,903 Jefferson Smurfit Company/
Container
Corp. of America Term B BB Ba3 4/30/02 47,842 48,038
12,776 Jefferson Smurfit Company/
Container
Corp. of America Term C BB Ba3 10/31/02 12,750 12,812
5,620 Riverwood International
Corp. Term A B+ B1 2/28/03 5,451 5,627
63,415 Riverwood International
Corp. Term B B+ B1 2/28/04 62,614 63,831
3,548 Riverwood International
Corp. Term B NR+ NR+ 2/28/04 3,552 3,579
24,368 Riverwood International
Corp. Term C B+ B1 8/28/04 24,054 24,513
1,428 Riverwood International
Corp. Term C NR+ NR+ 8/31/04 1,429 1,440
1,147 S.D. Warren Co. Term A NR+ Ba2 12/31/01 1,147 1,149
19,301 S.D. Warren Co. Term B NR+ Ba2 6/30/02 19,262 19,373
2,423 St. Laurent Paperboard, Inc. Term B NR+ NR+ 5/31/03 2,416 2,444
2,577 St. Laurent Paperboard, Inc. Term C NR+ NR+ 5/31/04 2,570 2,600
23,183 Stone Container Corp. Term B NR+ Ba3 4/01/00 23,175 23,297
20,015 Stone Container Corp. Term C NR+ Ba3 4/01/00 19,991 20,122
34,850 Stone Container Corp. Term E NR+ Ba3 10/01/03 35,087 34,936
9,451 Stronghaven Term B NR+ NR+ 5/15/04 9,408 9,474
1,286 Stronghaven Term C NR+ NR+ 5/15/04 1,286 1,289
---------- ----------
Total Paper 308,420 311,087
========== ==========
Printing & 299 Advanstar Communications Revolving
Publishing -- 2.9% Credit NR+ NR+ 6/30/01 299 299
5,617 Advanstar Communications Term A NR+ NR+ 6/30/01 5,631 5,603
7,187 Advanstar Communications Term B NR+ NR+ 12/21/03 7,149 7,178
20,989 American Media Term B BB- Ba2 9/30/02 20,923 20,962
842 Garden State Newspapers,
Inc. Revolving
Credit 'A' NR+ NR+ 6/30/03 842 840
1,740 Garden State Newspapers,
Inc. Term A NR+ NR+ 3/31/04 1,737 1,738
8,525 Journal News Co. Term NR+ NR+ 12/31/01 8,509 8,509
14,600 K-III Communications Corp. Revolving
Credit 'A' NR+ Ba3 12/31/00 14,600 14,518
4,600 K-III Communications Corp. Revolving
Credit 'C' NR+ Ba3 12/31/00 4,600 4,574
6,000 K-III Communications Corp. Term NR+ Ba3 6/30/04 5,995 5,974
10,000 Morris Communications Term B NR+ Ba3 6/30/05 9,981 10,000
3,363 Von Hoffmann Press, Inc. Term B NR+ B1 5/22/05 3,354 3,392
3,363 Von Hoffmann Press, Inc. Term C NR+ B1 5/22/06 3,354 3,392
---------- ----------
Total Printing & Publishing 86,974 86,979
========== ==========
Rendering -- 0.2% 4,944 CBP Resources, Inc. Term B NR+ NR+ 9/30/03 4,913 4,932
---------- ----------
Total Rendering 4,913 4,932
========== ==========
Rental Services -- 5,000 Perf-O-Log Term B NR+ NR+ 8/11/03 4,988 4,988
0.2% ---------- ----------
Total Rental Services 4,988 4,988
========== ==========
Restaurants -- 3,920 AFC Enterprises Term NR+ Ba3 6/30/02 3,902 3,925
0.1% ---------- ----------
Total Restaurants 3,902 3,925
========== ==========
Retail -- 0.1% 2,500 Murray's Discount Auto
Stores Term NR+ NR+ 6/30/03 2,500 2,500
---------- ----------
Total Retail 2,500 2,500
========== ==========
Telephone 8,000 Arch Communications Group,
Communications -- Inc. Term B NR+ B1 12/31/03 7,973 7,975
8.2% 5,791 MobileMedia Corp. Term A NR+ Caa 6/30/02 5,779 4,981
2,576 MobileMedia Corp. Term A NR+ Caa 6/30/03 2,562 2,215
1,760 MobileMedia Corp. Term B NR+ Caa 6/30/03 1,754 1,513
607 MobileMedia Corp. Term B2 NR+ Caa 6/30/03 607 522
6,555 Nextel Communications, Inc. Term C NR+ B1 3/31/03 6,484 6,499
1,873 Nextel Communications, Inc. Term C NR+ NR+ 6/30/03 1,861 1,852
35,000 Nextel Communications, Inc. Term D NR+ B1 6/30/03 34,424 35,197
28,611 Omnipoint Communications
Corp. Term A NR+ NR+ 12/31/04 28,193 28,754
3,233 Omnipoint Communications
Corp. Term B NR+ NR+ 12/31/04 3,176 3,249
4,122 Omnipoint Communications
Corp. Term C NR+ NR+ 12/31/97 4,076 4,143
18,677 Paging Network, Inc. Revolving
Credit NR+ Ba3 12/31/04 18,677 18,461
35,934 Powertel PCS, Inc. Term NR+ NR+ 3/04/01 35,934 35,934
3,767 Price Communications Corp. Revolving
Credit NR+ NR+ 9/30/05 3,767 3,750
3,333 Price Communications Corp. Term A NR+ NR+ 9/30/05 3,313 3,319
5,000 Price Communications Corp. Term B NR+ NR+ 9/30/06 4,990 5,031
4,786 Shared Technologies Cellular,
Inc. Term C NR+ NR+ 3/31/03 4,761 4,792
25,000 Sprint Spectrum L.P./Nortel Term NR+ NR+ 5/29/04 24,922 25,125
17,776 Sprint Spectrum L.P. Term 1 NR+ B1 12/31/00 17,645 17,920
9,888 Sprint Spectrum L.P. Term 2 NR+ B1 12/31/00 9,835 9,961
7,887 Sprint Spectrum L.P. Term 2 NR+ B1 12/31/01 7,806 7,947
14,605 Sprint Spectrum L.P. Term A NR+ NR+ 3/11/06 14,604 14,661
---------- ----------
Total Telephone Communications 243,143 243,801
========== ==========
Textiles/Mill 4,332 Ithaca Industries, Inc. Revolving
Products -- 1.0% Credit NR+ NR+ 8/31/99 4,332 4,273
12,052 Ithaca Industries, Inc. Term NR+ NR+ 8/31/99 12,021 11,917
2,797 Joan Fabrics Revolving
Credit NR+ NR+ 6/30/03 2,797 2,801
5,413 Joan Fabrics Term A NR+ NR+ 6/30/03 5,453 5,426
3,290 Joan Fabrics Term B NR+ NR+ 6/30/05 3,285 3,306
1,711 Joan Fabrics Term C NR+ NR+ 6/30/06 1,708 1,719
---------- ----------
Total Textiles/Mill Products 29,596 29,442
========== ==========
Transportation 30,000 Atlas Freight Term NR+ NR+ 5/29/04 29,961 30,150
Services -- 1.3% 3,306 Petro Stopping Centers Term B BB- Ba3 12/31/03 3,298 3,314
3,987 Travel Centers Term B NR+ B2 3/27/05 3,973 4,015
---------- ----------
Total Transportation Services 37,232 37,479
========== ==========
Waste 2,494 Laidlaw Environmental
Management -- Services, Inc. Term B NR+ NR+ 5/15/05 2,488 2,514
0.2% 2,494 Laidlaw Environmental
Services, Inc. Term C NR+ NR+ 5/15/04 2,488 2,514
---------- ----------
Total Waste Management 4,976 5,028
========== ==========
Total Senior Secured Floating
Rate Loan Interests -- 91.1% 2,718,049 2,723,221
========== ==========
<CAPTION>
Shares
Held Equity Investments
<S> <C> <C> <C> <C>
Cable TV 1 Classic Cable, Inc. (Warrants) (a) 0 0
Services -- 0.0%
Drilling -- 0.0% 12 Rigco North America (Warrants)(a) 0 0
General 184 Sneaker Stadium (Warrants)(a) 0 0
Merchandise
Stores -- 0.0%
Restaurants -- 0.0% 44 Flagstar Companies, Inc. 0 9
---------- ----------
Total Equity Investments -- 0.0% 0 9
========== ==========
Total Long-Term Investments -- 91.1% 2,718,049 2,723,230
========== ==========
Short-Term Investments
<CAPTION>
<S> <C> <C> <C>
Commercial Aesop Funding Corp. ($25,000 par, maturing 12/15/1997, yielding 5.60%) 24,946 24,946
Paper** -- 10.9% Aesop Funding Corp. ($18,000 par, maturing 12/16/1997, yielding 5.60%) 17,958 17,958
American Express Credit Corp. ($60,000 par, maturing 12/05/1997,
yielding 5.51%) 59,963 59,963
Bell Atlantic Financial Services, Inc. ($41,500 par, maturing 12/02/1997,
yielding 5.50%) 41,494 41,494
Bell Atlantic Financial Services, Inc. ($21,850 par, maturing 12/23/1997,
yielding 5.55%) 21,776 21,776
Countrywide Home Loans, Inc. ($25,000 par, maturing 12/22/1997,
yielding 5.58%) 24,919 24,919
General Motors Acceptance Corp. ($43,740 par, maturing 12/01/1997,
yielding 5.75%) 43,740 43,740
International Lease Finance Corp. ($30,000 par, maturing 12/17/1997,
yielding 5.54%) 29,926 29,926
Met Life Funding Corp. ($19,582 par, maturing 12/03/1997, yielding 5.53%) 19,576 19,576
Republic Industries, Inc. ($40,000 par, maturing 1/05/1998, yielding 5.75%) 39,776 39,776
---------- ----------
Total Commercial Paper 324,074 324,074
========== ==========
US Government Agency Federal Home Loan Mortgage Corporation ($13,000 par, maturing
Obligations** -- 0.4% 12/05/1997, yielding 5.49%) 12,992 12,992
---------- ----------
Total US Government Agency Obligations 12,992 12,992
========== ==========
Total Short-Term Investments -- 11.3% 337,066 337,066
========== ==========
Total Investments -- 102.4% $3,055,115 3,060,296
==========
Liabilities in Excess of Other Assets -- (2.4%) (71,330)
----------
Net Assets -- Equivalent to $10.00 Per Share Based on 298,790 Shares
Outstanding $2,988,966
==========
(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 expiration date.
+ Not Rated.
* 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 November 30, 1997.
** Commercial Paper and certain US Government Agency Obligations are traded on a discount basis; the interest rates shown are the
discount rates paid at the time of purchase by the Fund.
</TABLE>
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
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