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Previous: MERRILL LYNCH SR FLOAT RATE FD, SC TO-I, EX-99.(A)(1)(IV), 2000-06-20 |
Next: MERRILL LYNCH SR FLOAT RATE FD, SC TO-I, EX-99.(A)(5)(IV), 2000-06-20 |
EXHIBIT (a)(5)(iii)
Merrill Lynch Senior Floating Rate Fund, Inc.
February 29, 2000
<TABLE>
SCHEDULE OF INVESTMENTS
<CAPTION>
S&P Moody's Face Senior Secured
Industries Rating Rating Amount Floating Rate Loan Interests* Value
<S> <S> <S> <C> <S> <C>
Air NR++ Ba3 $ 5,923,270 Atlas Freighter Leasing I, Term, due 5/29/2004 $ 5,919,568
Transportation NR++ Ba3 6,756,229 Atlas Freighter Leasing II, Term, due 5/29/2004 6,752,007
--0.5% --------------
12,671,575
Aircraft & Evergreen International Aviation, Inc.:
Parts--0.2% B+ Ba3 1,586,133 Term B, due 5/31/2002 1,578,451
B+ Ba3 4,824,250 Term B, due 5/31/2003 4,813,194
--------------
6,391,645
Amusement & Amfac Resorts, Inc.:
Recreational NR++ NR++ 2,450,000 Term B, due 9/30/2004 2,431,625
Services--2.5% NR++ NR++ 2,450,000 Term C, due 9/30/2005 2,431,625
B+ B2 1,690,909 KSL Recreation Group, Inc., Revolving Credit, due 4/30/2004 1,655,682
B+ NR++ 4,912,500 Kerastotes, Term B, due 12/31/2004 4,900,219
Metro Goldwyn Mayer Co.:
BBB- Baa3 4,000,000 Term A, due 3/31/2005 3,926,668
BBB- Baa3 17,500,000 Term B, due 12/31/2006 17,349,063
B+ Ba2 12,000,000 Premier Park Inc., Term B, due 9/30/2005 12,086,292
B+ B1 25,000,000 SFX Entertainment Inc., Term B, due 6/30/2006 25,021,875
--------------
69,803,049
Apparel--1.2% Arena Brands, Inc.:
NR++ NR++ 1,507,083 Revolving Credit, due 6/01/2002 1,394,051
NR++ NR++ 2,932,386 Term A, due 6/01/2002 2,716,122
NR++ NR++ 6,990,992 Term B, due 6/01/2002 6,484,145
NR++ NR++ 3,250,000 CS Brooks Canada, Inc., Term, due 6/25/2006 3,225,625
B+ B2 9,500,000 Humphreys Inc., Term B, due 1/15/2003 8,122,500
NR++ NR++ 4,937,500 Norcross Safety Products, Term, due 9/30/2004 4,906,641
NR++ NR++ 4,400,000 Renfro Corp., Term B, due 11/15/2003 4,380,750
Walls Industries:
NR++ NR++ 1,180,851 Term B, due 2/28/2005 1,177,161
NR++ NR++ 1,659,574 Term C, due 2/28/2006 1,654,388
--------------
34,061,383
Automotive B+ Ba3 735,000 Accuride Corp., Term C, due 1/21/2007 732,933
Equipment--1.9% Breed Technologies, Inc.:
D Caa1 4,947,407 Term A, due 4/27/2004 2,904,128
D Caa1 9,524,003 Term B, due 4/27/2006 5,515,988
BB- Ba3 16,456,000 Collins & Aikman Corp., Term B, due 6/30/2005 16,328,466
Safelite Glass Corp.:
B+ B1 3,076,682 Term B, due 12/31/2004 1,679,868
B- B1 3,076,682 Term C, due 12/31/2005 1,679,868
BB Ba3 4,950,000 Stone Ridge, Term B, due 12/31/2005 4,979,393
Tenneco Automotive Inc.:
BB Ba3 10,000,000 Term B, due 11/02/2007 10,071,880
BB Ba2 10,000,000 Term C, due 5/02/2008 10,071,880
--------------
53,964,404
Broadcasting B B1 19,500,000 Benedek Broadcasting Corp., Term, due 11/20/2007 19,469,541
--Radio & NR++ NR++ 7,500,000 Corus Entertainment Inc., Term, due 8/31/2007 7,523,438
Television Cumulus Media Inc.:
--1.6% B+ B1 3,000,000 Term B, due 9/30/2007 3,015,939
NR++ B1 2,000,000 Term C, due 2/28/2008 2,010,626
BB- Ba2 4,666,667 Sinclair Bradcasting, Term, due 12/29/2004 4,546,113
NR++ NR++ 3,703,125 Spartan Communications, Term B, due 6/30/2005 3,703,125
NR++ NR++ 4,500,000 VHR Broadcasting, Term B, due 9/30/2007 4,508,437
--------------
44,777,219
</TABLE>
<PAGE>
Merrill Lynch Senior Floating Rate Fund, Inc.
February 29, 2000
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face Senior Secured
Industries Rating Rating Amount Floating Rate Loan Interests* Value
<S> <S> <S> <C> <S> <C>
Building NR++ NR++ $16,698,302 Dal-Tile International Inc., Term B, due 12/31/2003 $ 16,391,172
Materials--1.2% NR++ NR++ 5,000,000 Dayton Superior Corp., Term, due 9/29/2005 4,997,915
NR++ NR++ 11,750,000 Trussway Industries, Term B, due 12/08/2006 11,691,250
--------------
33,080,337
Business BB- B1 8,471,917 Info USA Inc., Term B, due 7/23/2006 8,450,737
Services--0.5% B+ B1 6,500,000 Muzak Audio, Term B, due 12/31/2006 6,521,665
--------------
14,972,402
Cable BB Ba3 10,900,000 CCVIII Operations, Term B, due 2/02/2008 10,942,437
Television BB+ Ba3 76,443,750 Charter Communications, Term B, due 3/18/2008 76,667,960
Services--6.0% NR++ Ba2 23,948,437 Chelsea Communications, Term, due 9/30/2004 23,940,966
NR++ NR++ 9,900,000 Falcon Holdings, Term C, due 12/31/2007 9,897,940
BB Ba3 15,966,800 Frontiervision Operating Partners L.P., Term B,
due 3/31/2006 15,976,779
BB+ Ba3 7,500,000 Insight Kentucky Partners, Term B, due 12/31/2007 7,439,063
B+ B1 11,500,000 Pegasus Media & Communications Inc., Term, due 4/30/2005 11,533,545
NR++ NR++ 10,000,000 UCH/HHC Inc., Term B, due 12/31/2004 10,000,000
--------------
166,398,690
Chemicals--6.9% NR++ NR++ 3,806,413 CII Carbon LLC, Term, due 6/25/2008 3,801,655
NR++ NR++ 11,113,503 Cedar Chemical, Term B, due 10/31/2003 10,946,801
NR++ NR++ 9,891,304 Epsillon Products, Term B, due 12/31/2005 9,823,747
Huntsman Corp.:
BB Ba2 3,407,665 Term A, due 12/31/2002 3,387,788
BB Ba2 5,227,409 Term B, due 3/15/2004 5,231,492
BB Ba2 9,063,925 Term C, due 12/31/2005 9,071,004
BB Ba2 14,422,479 Term D, due 12/31/2002 14,338,353
Huntsman ICI Chemical LLC.:
NR++ B+ 13,500,000 Term B, due 6/30/2007 13,606,070
NR++ B+ 13,500,000 Term C, due 6/30/2008 13,606,070
Illiad Limited:
NR++ NR++ 2,965,969 Term B, due 7/01/2006 2,958,554
NR++ NR++ 9,886,563 Term C, due 7/01/2007 9,861,846
NR++ Ba2 12,527,120 Koppers Industries, Term B, due 11/30/2004 12,472,314
Lyondell Petrochemical Co.:
Ba2 NR++ 8,211,125 Term A, due 6/30/2003 8,225,724
Ba3 NR++ 37,297,470 Term B, due 6/30/2005 37,737,618
Ba3 NR++ 14,887,500 Term E, due 5/17/2006 15,284,862
B+ B2 7,800,000 Pioneer Americans Acquisition Corp., Term, due 12/05/2006 6,961,500
NR++ NR++ 9,250,000 Sybron Chemical, Term B, due 7/31/2004 9,234,580
NR++ B1 6,156,366 Texas Petrochemicals Corp., Term B, due 6/30/2004 6,140,975
--------------
192,690,953
Computer- Bridge Information:
Related NR++ NR++ 2,123,610 Term, due 5/29/2003 2,022,738
Products--1.3% NR++ NR++ 27,749,866 Term B, due 5/29/2005 26,740,075
BB- Ba3 3,873,044 Fairchild Semiconductors Corp., Term, due 4/30/2006 3,873,044
NR++ NR++ 3,714,844 Stratus Computer, Inc., Term B, due 2/26/2005 3,714,844
--------------
36,350,701
Consumer NR++ B1 8,285,454 Amscan Holdings, Inc., Axel, due 12/31/2004 7,664,045
Products--1.9% BB- Ba3 20,000,000 Burhmann NV, Term B, due 10/26/2007 20,157,500
B+ B1 4,228,750 Holmes Products, Term B, due 2/05/2007 4,199,677
B+ B2 14,850,000 Revlon Consumer Products Corp., Term, due 5/30/2002 14,218,875
NR++ NR++ 7,200,583 Ritvik Holdings, Term B, due 2/07/2003 5,940,481
--------------
52,180,578
</TABLE>
<PAGE>
Merrill Lynch Senior Floating Rate Fund, Inc.
February 29, 2000
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face Senior Secured
Industries Rating Rating Amount Floating Rate Loan Interests* Value
<S> <S> <S> <C> <S> <C>
Diversified B+ Ba1 $22,749,123 Blount International Inc., Term B, due 6/30/2006 $ 22,891,305
- --0.8%
Drilling--0.8% B+ B1 19,438,103 Key Energy Services Inc., Term B, due 9/14/2004 19,474,550
NR++ NR++ 3,695,862 Rigco North America, Term, due 9/30/2000 3,603,466
--------------
23,078,016
Drug/ B+ B1 4,900,000 Duane Reade Co., Term B, due 2/15/2005 4,901,534
Proprietary
Stores--0.2%
Electronics/ B+ B1 7,500,000 Chippac International Co., Ltd., Term B, due 7/31/2006 7,495,313
Electrical NR++ NR++ 5,383,333 Communications & Power II Acquisition Corp., Term B, due
Components-- 8/11/2002 5,141,083
5.3% B+ NR++ 8,449,000 DD Inc., Term B, due 4/22/2005 8,367,386
NR++ Ba3 4,473,437 General Cable, Term B, due 6/30/2007 4,472,042
NR++ NR++ 9,954,545 International Rectifier, Term B, due 6/30/2005 9,985,653
BB- Ba3 25,000,000 Intersil Corp., Term, due 8/04/2005 25,070,325
B+ B1 5,000,000 Knowles Electricity, Term B, due 6/29/2007 4,979,165
Semiconductor:
BB- Ba3 14,444,444 Term B, due 8/04/2005 14,599,722
BB- Ba3 15,555,556 Term C, due 8/04/2007 15,722,778
Superior Telecom:
B+ Ba3 17,504,399 Term A, due 5/27/2004 17,468,265
B+ Ba3 7,821,977 Term B, due 11/27/2005 7,789,382
B Ba3 6,630,491 Telex Communications, Inc., Term B, due 11/30/2004 5,923,846
ViaSystems Inc.:
B+ NR++ 1,391,662 Revolving Credit, due 11/30/2002 1,363,829
B+ B1 19,782,990 Term C, due 6/30/2005 19,420,308
--------------
147,799,097
Energy--0.5% Perf-O-Log Inc.:
NR++ NR++ 1,536,818 Term, due 8/11/2003 1,452,293
NR++ NR++ 4,087,717 Term B, due 8/11/2003 3,862,893
NR++ NR++ 1,228,125 Term C, due 8/11/2003 1,160,578
NR++ NR++ 1,763,393 Term D, due 12/31/2004 1,684,040
NR++ NR++ 705,357 Term E, due 12/31/2004 673,616
NR++ Ba3 3,914,692 Plains Scurlock, Term B, due 5/12/2004 3,870,652
--------------
12,704,072
Environmental URS Corp.:
Services--0.2% BB Ba3 2,487,500 Term B, due 6/09/2006 2,507,711
BB Ba3 2,487,500 Term C, due 6/09/2007 2,507,711
--------------
5,015,422
Financial NR++ B2 14,962,500 Outsourcing Solutions, Inc., Term B, due 6/01/2006 14,936,779
Services--1.7% BB+ Ba3 31,750,000 Sovereign Bancorp. Inc., Term, due 11/17/2003 31,888,906
--------------
46,825,685
Food & Kindred B1 B+ 5,000,000 B & G Foods, Term B, due 3/15/2006 4,993,750
Products--1.5% Specialty Foods, Inc.:
NR++ B3 6,391,033 Revolving Credit, due 1/31/2001 6,359,078
NR++ B3 10,906,972 Term, due 1/31/2001 10,934,240
Triarc Consulting:
NR++ NR++ 5,759,448 Term B, due 2/25/2006 5,785,544
NR++ NR++ 14,053,052 Term C, due 2/25/2007 14,116,727
--------------
42,189,339
</TABLE>
<PAGE>
Merrill Lynch Senior Floating Rate Fund, Inc.
February 29, 2000
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face Senior Secured
Industries Rating Rating Amount Floating Rate Loan Interests* Value
<S> <S> <S> <C> <S> <C>
Funeral Homes & CCC Caa1 $14,166,667 Prime Succession Inc., Axel, due 8/01/2003 $ 12,962,500
Parlors--0.7% BB- NR++ 6,674,593 Rose Hills Co., Axel A, due 12/01/2003 6,357,549
--------------
19,320,049
Furniture & B+ Ba3 9,175,758 Sealy Mattress, Term A, due 12/15/2002 9,141,348
Fixtures--0.6% Simmons Co.:
B+ Ba3 2,136,735 Term B, due 10/29/2005 2,140,074
B+ Ba3 5,343,750 Term C, due 10/29/2006 5,352,102
--------------
16,633,524
Gaming--0.5% Alliance Gaming Corp.:
B B2 10,127,093 Term B, due 7/31/2005 9,823,280
B B2 4,040,727 Term C, due 7/31/2005 3,919,505
--------------
13,742,785
Grocery--1.8% B+ B2 4,950,000 Big V Supermarket, Term B, due 8/10/2003 4,896,377
BBB- Ba2 1,287,809 Fred Meyer, Term, due 2/28/2003 1,276,655
B B2 31,000,000 Grand Union Co., Term, due 8/17/2003 30,845,000
The Pantry Inc.:
BB- Ba1 4,962,113 Term B, due 1/31/2008 4,973,486
BB- Ba3 1,732,478 Term B-2, due 1/31/2006 1,736,449
BB- Ba3 5,250,000 Term C, due 7/31/2006 5,266,406
--------------
48,994,373
Health NR++ B1 2,103,620 Caremark Rx Inc., Term A, due 6/09/2001 1,910,633
Services--2.3% Community Health Systems, Inc.:
NR++ NR++ 8,936,029 Term B, due 12/31/2003 8,862,628
NR++ NR++ 8,936,029 Term C, due 12/31/2004 8,865,818
NR++ NR++ 724,479 Term D, due 12/31/2005 718,915
NR++ NR++ 14,700,000 Iasis Healthcare Corp., Term B, due 9/30/2006 14,406,000
Magellen Health Services:
B+ B2 1,984,691 Term B, due 2/12/2005 1,889,426
B+ B2 1,984,691 Term C, due 2/12/2006 1,889,426
NR++ Ba2 26,677,636 Total Renal Care, Term, due 3/31/2008 24,510,078
--------------
63,052,924
Hotels & NR++ Ba1 21,000,000 Starwood Hotels & Resorts Trust, Term, due 2/23/2003 21,078,750
Motels--5.2% NR++ NR++ 7,406,936 Strategic Holdings Inc., Term, due 11/16/2004 7,434,712
Wyndam International Inc.:
B+ B3 51,000,000 Term, due 6/30/2006 50,338,581
B+ B3 69,000,000 Term, due 6/30/2006 67,198,341
--------------
146,050,384
Insurance--0.9% BRW Acquisition:
NR++ NR++ 2,475,000 Term B, due 7/09/2006 2,450,250
NR++ NR++ 2,475,000 Term C, due 7/09/2007 2,450,250
Willis Corroon Group PLC:
BB Ba2 12,125,000 Term B, due 11/19/2006 12,117,422
BB Ba2 4,122,500 Term C, due 11/19/2007 4,124,219
BB Ba2 4,122,500 Term D, due 5/19/2008 4,124,219
--------------
25,266,360
</TABLE>
<PAGE>
Merrill Lynch Senior Floating Rate Fund, Inc.
February 29, 2000
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face Senior Secured
Industries Rating Rating Amount Floating Rate Loan Interests* Value
<S> <S> <S> <C> <S> <C>
Leasing & BB- B1 $11,940,000 Anthony Crane Rental L.P., Term, due 7/20/2006 $ 11,651,446
Rental Avis Rent A Car Inc.:
Services--3.4% BB+ Ba3 11,500,000 Term B, due 6/30/2006 11,576,073
BB+ Ba3 11,500,000 Term C, due 6/30/2007 11,583,375
CCC B1 6,965,000 MEDIQ PRN Life Support Services, Term, due 6/30/2006 4,562,075
Medical Specialties:
NR++ NR++ 12,845,455 Axel, due 6/30/2004 11,560,909
NR++ NR++ 4,418,182 Term, due 6/30/2001 3,976,364
BB- Ba3 7,000,000 Nations Rent Inc., Term B, due 7/20/2006 6,997,081
B+ B1 7,213,750 Panavision Inc., Term B, due 3/31/2005 6,702,778
BB- NR++ 11,970,000 Rent Way Inc., Term B, due 9/30/2006 11,992,444
BB+ Ba2 15,000,000 United Rentals Inc., Term C, due 8/12/2006 14,983,590
--------------
95,586,135
Manufacturing NR++ NR++ 8,931,571 Channel Master, Term, due 10/10/2005 8,886,914
--2.6% B+ B1 20,000,000 Citation Corporation, Term B, due 12/01/2007 19,806,260
BB- B1 7,425,000 Enviromental Systems, Term B, due 9/30/2005 7,072,313
NR++ NR++ 5,000,000 Metokote Corp., Term B, due 11/02/2005 5,012,500
Mueller Industries Inc.:
B+ NR++ 3,725,000 Term B, due 8/16/2006 3,750,028
NR++ NR++ 8,712,500 Term C, due 8/16/2007 8,771,040
Terex Corp.:
BB- Ba3 4,900,000 Term B, due 3/06/2005 4,907,002
B+ B1 15,000,000 Term C, due 2/05/2006 15,039,060
--------------
73,245,117
Medical Alaris Medical Systems, Inc.:
Equipment-- B+ B1 2,816,800 Term A, due 8/01/2002 2,788,632
0.5% B+ B1 4,113,055 Term B, due 11/01/2003 4,097,631
B+ B1 4,113,055 Term C, due 11/01/2004 4,097,631
B+ B1 1,966,637 Term D, due 5/01/2005 1,959,262
--------------
12,943,156
Metals & CCC- NR++ 19,600,000 AEI Resources Inc., Term B, due 12/31/2004 17,395,000
Mining--4.5% B- B3 9,983,731 Acme Metals, Inc., Term, due 12/01/2005 8,715,798
NR++ NR++ 9,944,920 Asarco Inc., Term 2, due 5/15/2001 9,926,274
NR++ NR++ 5,940,000 Handy & Harman, Term B, due 7/30/2006 5,938,764
Ispat Inland LP:
BB Ba3 19,207,500 Term B, due 7/15/2005 19,100,783
BB Ba3 19,207,500 Term C, due 7/15/2006 19,100,783
BB- Ba2 13,965,000 LTV Corporation, Term, due 11/10/2004 14,052,281
BB- B1 31,000,000 Ormet Corporation, Term, due 8/15/2008 30,922,500
--------------
125,152,183
Other Telecom- Pacific Coin:
munications-- NR++ NR++ 3,903,273 Acquisition Term, due 12/31/2003 3,317,782
0.3% NR++ NR++ 1,801,059 Term A, due 12/31/2002 1,530,900
NR++ NR++ 2,685,969 Term B, due 12/31/2004 2,283,074
--------------
7,131,756
</TABLE>
<PAGE>
Merrill Lynch Senior Floating Rate Fund, Inc.
February 29, 2000
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face Senior Secured
Industries Rating Rating Amount Floating Rate Loan Interests* Value
<S> <S> <S> <C> <S> <C>
Packaging NR++ NR++ $ 7,107,187 Dr. Pepper, Term B, due 10/07/2007 $ 7,128,410
--1.0% B+ B1 14,850,000 Graham Packaging, Term D, due 1/31/2007 14,839,798
Packaging Co.:
BB NR++ 3,349,587 Term B, due 4/12/2007 3,368,428
BB Ba3 3,364,013 Term C, due 4/12/2008 3,382,936
--------------
28,719,572
Paging--0.3% CCC B2 10,708,333 PageNet Finance, Inc., Revolving Credit, due 12/31/2004 9,102,083
Paper--6.6% NR++ NR++ 6,439,063 Cellular Tissue, Term C, due 3/24/2005 6,229,793
B+ B2 7,879,498 Crown Paper Co., Term B, due 8/22/2003 7,459,261
B+ Ba3 7,286,544 Jefferson Smurfit Company/Container Corp. of America,
Term B, due 3/24/2006 7,304,309
BB Ba2 7,213,750 Pacifica., Term B, due 12/31/2006 7,249,819
B2 B+ 6,500,000 Repap Brunswick, Term B, due 6/01/2004 6,365,938
Riverwood International Corp.:
B+ B1 14,381,313 Term A, due 2/28/2003 14,347,934
B+ B1 56,602,949 Term B, due 2/28/2004 56,835,870
B+ B1 21,646,317 Term C, due 8/31/2004 21,741,019
Stone Container Corp.:
B+ Ba3 27,899,729 Term C, due 10/01/2003 28,012,330
B+ Ba3 17,920,018 Term E, due 10/01/2003 17,992,343
Stronghaven:
NR++ NR++ 9,146,375 Term B, due 5/15/2004 7,774,419
NR++ NR++ 1,669,269 Term C, due 5/15/2004 1,418,879
--------------
182,731,914
Petroleum BB- Ba3 11,000,000 Clark Refining & Marketing, Inc., Term, due 11/15/2004 6,875,000
Refineries
--0.2%
Pharmaceuticals Dade Behring Inc.:
--0.6% B+ Ba3 4,962,500 Term B, due 6/30/2006 4,975,795
B+ Ba3 4,962,500 Term C, due 6/30/2007 4,975,795
NR++ NR++ 7,357,143 Endo Pharmaceuticals, Term B, due 6/30/2004 7,265,179
--------------
17,216,769
Printing & Advanstar Communications Inc.:
Publishing B+ Ba3 14,722,321 Term B, due 4/30/2005 14,708,526
--3.3% B+ Ba3 5,914,911 Term C, due 6/30/2007 5,933,395
BB Ba3 12,000,000 Big Flower, Term B, due 12/06/2008 12,048,756
NR++ NR++ 14,316,368 Enterprise News Media, Term B, due 6/30/2005 14,244,786
BB+ Ba1 7,000,000 Hollinger International Publishing Inc., Term B, due
12/31/2004 7,056,875
BB- B1 5,486,250 Merrill Communications LLC, Term B, due 11/23/2007 5,525,685
Primedia:
NR++ Ba3 3,760,000 Revolving Credit, due 12/31/2004 3,694,200
BB- Ba3 8,000,000 Term, due 6/30/2004 7,840,000
BB- Ba3 5,000,000 Term, due 7/31/2004 4,987,500
B+ B1 4,000,000 Reiman Publications, Term B, due 12/01/2005 4,015,000
Ziff-Davis Inc.:
BB- Ba2 1,764,706 Revolving Credit, due 3/31/2005 1,732,721
BB- Ba2 1,444,444 Term A, due 3/31/2005 1,436,568
BB- Ba2 9,025,000 Term B, due 3/31/2006 9,031,047
--------------
92,255,059
</TABLE>
<PAGE>
Merrill Lynch Senior Floating Rate Fund, Inc.
February 29, 2000
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face Senior Secured
Industries Rating Rating Amount Floating Rate Loan Interests* Value
<S> <S> <S> <C> <S> <C>
Property NR++ NR++ $ 4,950,000 Meditrust Co., Term D, due 7/17/2001 $ 4,801,500
Management-- NR++ Ba3 25,000,000 NRT Inc., Term, due 7/31/2004 24,898,450
1.7% NR++ Ba3 17,910,000 Prison Realty Trust Inc., Term C, due 12/31/2002 17,904,412
--------------
47,604,362
Restaurants-- Domino & Bluefence:
0.8% B+ B1 9,144,101 Term B, due 12/21/2006 9,192,684
B+ B1 9,153,632 Term C, due 12/21/2007 9,204,306
NR++ B1 2,957,627 Shoney's, Inc., Term B, due 4/30/2002 2,834,392
--------------
21,231,382
Retail NR++ B1 5,727,000 Advanced Store Company, Term B, due 4/15/2006 5,698,365
Specialty--0.2%
Textile Mill Joan Fabrics Corp.:
Products--0.5% NR++ NR++ 2,379,836 Term B, due 6/30/2005 2,373,887
NR++ NR++ 1,233,894 Term C, due 6/30/2006 1,230,809
NR++ NR++ 10,343,296 Tartan Textiles, Term B, due 5/01/2005 10,265,721
--------------
13,870,417
Tower BB- B1 25,000,000 American Tower, Term B, due 12/30/2007 25,192,700
Construction NR++ NR++ 15,000,000 Spectracite, Term B, due 6/30/2006 15,052,500
& Leasing--1.4% --------------
40,245,200
Transportation NR++ Ba1 5,000,000 Kansas City Southern Railroad, Term B, due 12/29/2006 5,038,280
Services--1.0% B+ B1 8,000,000 North American Van Lines Inc., Term B, due 11/18/2007 7,987,504
NR++ Ba3 6,940,063 Transport Manufacturing, Term B, due 6/15/2006 6,979,100
Travel Centers of America:
BB- Ba2 3,497,279 Term A, due 3/27/2005 3,516,951
NR++ Ba2 3,943,573 Term B, due 3/27/2005 3,965,755
--------------
27,487,590
Utilities NR++ Baa3 7,500,000 AES Texas Funding II, Term, due 4/24/2001 7,509,375
--0.3%
Waste Allied Waste North America Inc.:
Management-- BB Ba3 10,000,000 Term A, due 6/30/2005 9,502,080
2.9% BB Ba3 31,818,182 Term B, due 6/30/2006 30,717,336
BB Ba3 38,181,818 Term C, due 6/30/2007 36,882,949
BB- B1 3,000,000 Stericycle Inc., Term B, due 11/10/2006 3,016,407
--------------
80,118,772
Wired BB+ Ba1 30,000,000 Cincinnati Bell Inc., Term, due 1/12/2007 29,913,750
Telecommun- NR++ NR++ 10,000,000 E. Spire Communication, Term C, due 8/01/2006 9,700,000
ications--2.2% NR++ B3 23,333,333 Teligent Inc., Term, due 7/01/2002 22,910,417
--------------
62,524,167
Wireless Centennial Cellular Operating Co.:
Telecommun- B+ B1 2,743,056 Term Loan A (PR), due 11/30/2006 2,736,933
ications--6.0% B+ B1 2,256,944 Term Loan A (US), due 11/30/2006 2,251,907
Dobson/Sygnet Operating Co.:
NR++ B3 9,754,838 Term B, due 3/23/2007 9,793,165
NR++ B3 4,950,000 Term C, due 12/23/2007 4,976,299
Nextel Communications, Inc.:
NR++ B1 26,000,000 Term B, due 6/30/2008 26,283,218
BB- Ba2 26,000,000 Term C, due 12/31/2008 26,283,218
</TABLE>
<PAGE>
Merrill Lynch Senior Floating Rate Fund, Inc.
February 29, 2000
<TABLE>
SCHEDULE OF INVESTMENTS (concluded)
<CAPTION>
S&P Moody's Face Senior Secured
Industries Rating Rating Amount Floating Rate Loan Interests* Value
<S> <S> <S> <C> <S> <C>
Wireless PowerTel PCS, Inc.:
Telecommun- NR++ NR++ $ 15,000,000 Term A, due 12/31/2004 $ 14,948,445
ications NR++ NR++ 3,000,000 Term B, due 12/31/2006 2,990,625
(concluded) NR++ B2 15,000,000 TeleCorp PCS, Term B, due 1/15/2008 14,968,755
NR++ B2 10,000,000 Tritel Holdings, Term B, due 12/31/2007 10,032,500
B+ B1 32,000,000 VoiceStream PCS Holding Corporation, Term B, due 2/25/2009 32,187,488
NR++ B1 20,000,000 Western Wireless, Term A, due 3/31/2008 19,962,500
--------------
167,415,053
Total Senior Secured Floating Rate Loan Interests
(Cost--$2,515,944,948)--89.0% 2,480,471,232
Shares
Held Warrants & Agreements
Cable Television Services--0.0% 707 Classic Cable, Inc. (a) 0
Drilling--0.0% 12,250 Rigco North America (a) 0
General 2,178,603 Just For Feet, Inc. (b) 10,583
Merchandise Stores--0.0%
Total Investments in Warrants & Agreements
(Cost--$2,178,603)--0.0% 10,583
Face
Amount Short-Term Securities
Commercial $50,000,000 The CIT Group Holdings, Inc., 5.76% due 3/08/2000 49,944,000
Paper**---7.1% 25,000,000 Ford Motor Credit Company (Puerto Rico), 5.77% due 3/10/2000 24,963,937
75,000,000 General Electric Capital Corp., 5.88% due 3/01/2000 75,000,000
7,279,000 General Motors Acceptance Corp., 5.94% due 3/01/2000 7,279,000
40,000,000 Transamerica Finance Corporation, 5.76% due 3/06/2000 39,968,000
--------------
197,154,937
US Government Agency 10,690,000 Federal Home Loan Banks, 5.66% due 3/17/2000 10,663,109
Obligations**--3.0% Federal Home Loan Mortgage Corporation:
35,000,000 5.61% due 3/07/2000 34,967,275
38,709,000 5.68% due 3/21/2000 38,586,852
--------------
84,217,236
Total Investments in Short-Term Securities
(Cost--$281,372,173)--10.1% 281,372,173
Total Investments (Cost--$2,799,495,724)--99.1% 2,761,853,988
Other Assets Less Liabilities--0.9% 24,003,081
--------------
Net Assets--100.0% $2,785,857,069
==============
(a)Warrants entitle the Fund to purchase a predetermined number of
shares of common stock and are non-income producing. The purchase
price and number of shares are subject to adjustment under certain
conditions until the expiration date.
(b)Agreement represents an obligation by Just For Feet, Inc. to pay
an amount to the Fund on April 30, 2002, contingent upon the
earnings before income taxes and depreciation of Just For Feet, Inc.
as of January 31, 2002.
++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.
**Commercial Paper and certain US Government Agency Obligations are
traded on a discount basis; the interest rates shown reflect the
discount rates paid at the time of purchase by the Fund.
See Notes to Financial Statements.
</TABLE>
<PAGE>
Merrill Lynch Senior Floating Rate Fund, Inc.
February 29, 2000
FINANCIAL INFORMATION
<TABLE>
Statement of Assets and Liabilities as of February 29, 2000
<S> <S> <C> <C>
Assets: Investments, at value (identified cost--$2,799,495,724) $ 2,761,853,988
Cash 2,982,891
Receivables:
Interest $ 26,490,149
Capital shares sold 2,998,820
Principal paydowns 126,639
Commitment fees 7,441 29,623,049
---------------
Prepaid registration fees and other assets 521,545
---------------
Total assets 2,794,981,473
---------------
Liabilities: Payables:
Dividends to shareholders 4,550,803
Investment adviser 1,655,111
Administrator 435,556 6,641,470
---------------
Deferred income 1,276,149
Accrued expenses and other liabilities 1,206,785
---------------
Total liabilities 9,124,404
---------------
Net Assets: Net assets $ 2,785,857,069
===============
Net Assets Common Stock, par value $.10 per share; 1,000,000,000 shares
Consist of: authorized $ 28,937,577
Paid-in capital in excess of par 2,882,434,011
Undistributed investment income--net 5,580
Accumulated realized capital losses on investments--net (86,640,548)
Unrealized depreciation on investments--net (38,879,551)
---------------
Net Assets--Equivalent to $9.63 per share based on 289,375,766
shares of capital stock outstanding $ 2,785,857,069
===============
See Notes to Financial Statements.
</TABLE>
<PAGE>
Merrill Lynch Senior Floating Rate Fund, Inc.
February 29, 2000
FINANCIAL INFORMATION (continued)
<TABLE>
Statement of Operations
<CAPTION>
For the Six Months Ended
February 29, 2000
<S> <S> <C> <C>
Investment Interest and discount earned $ 134,249,344
Income: Facility and other fees 112,002
---------------
Total income 134,361,346
---------------
Expenses: Investment advisory fees $ 13,987,995
Administrative fees 3,681,051
Transfer agent fees 834,415
Accounting services 234,249
Professional fees 211,769
Tender offer costs 147,631
Custodian fees 104,801
Registration fees 103,724
Assignment fees 83,322
Borrowing costs 40,444
Printing and shareholder reports 40,209
Directors' fees and expenses 14,249
Other 45,331
---------------
Total expenses 19,529,190
---------------
Investment income--net 114,832,156
---------------
Realized & Realized loss on investments--net (54,944,016)
Unrealized Change in unrealized depreciation on investments--net 22,934,561
Gain (Loss) ---------------
on Investments Net Increase in Net Assets Resulting from Operations $ 82,822,701
--Net: ===============
See Notes to Financial Statements.
</TABLE>
<PAGE>
Merrill Lynch Senior Floating Rate Fund, Inc.
February 29, 2000
FINANCIAL INFORMATION (continued)
<TABLE>
Statements of Changes in Net Assets
<CAPTION>
For the Six For the
Months Ended Year Ended
February 29, August 31,
Increase (Decrease) in Net Assets: 2000 1999
<S> <S> <C> <C>
Operations: Investment income--net $ 114,832,156 $ 217,406,642
Realized loss on investments--net (54,944,016) (21,656,805)
Change in unrealized appreciation/depreciation on
investments--net 22,934,561 (59,345,622)
--------------- ---------------
Net increase in net assets resulting from operations 82,822,701 136,404,215
--------------- ---------------
Dividends to Investment income--net (114,827,228) (217,477,740)
Shareholders: --------------- ---------------
Net decrease in net assets resulting from dividends to
shareholders (114,827,228) (217,477,740)
--------------- ---------------
Capital Share Net decrease in net assets resulting from capital
Transactions: share transactions (328,004,808) (138,092,263)
--------------- ---------------
Net Assets: Total decrease in net assets (360,009,335) (219,165,788)
Beginning of period 3,145,866,404 3,365,032,192
--------------- ---------------
End of period* $ 2,785,857,069 $ 3,145,866,404
=============== ===============
*Undistributed investment income--net $ 5,580 $ 652
=============== ===============
See Notes to Financial Statements.
</TABLE>
<PAGE>
Merrill Lynch Senior Floating Rate Fund, Inc.
February 29, 2000
FINANCIAL INFORMATION (continued)
<TABLE>
Statement of Cash Flows
<CAPTION>
For the Six Months Ended
February 29, 2000
<S> <S> <C>
Cash Provided Net increase in net assets resulting from operations $ 82,822,701
by Operating Adjustments to reconcile net increase in net assets resulting from
Activities: operations to net cash provided by operating activities:
Increase in receivables (3,406,379)
Decrease in other liabilities (1,631,118)
Realized and unrealized loss on investments--net 32,009,455
Amortization of discount (7,707,578)
---------------
Net cash provided by operating activities 102,087,081
---------------
Cash Provided by Proceeds from principal payments and sales of loan interests 1,330,624,117
Investing Purchases of loan interests (946,756,637)
Activities: Purchases of short-term investments (11,079,042,528)
Proceeds from sales and maturities of short-term investments 11,035,971,439
---------------
Net cash provided by investing activities 340,796,391
---------------
Cash Used for Cash receipts on capital shares sold 109,402,767
Financing Cash payments on capital shares tendered (489,159,762)
Activities: Dividends paid to shareholders (62,462,664)
---------------
Net cash used for financing activities (442,219,659)
---------------
Cash: Net increase in cash 663,813
Cash at beginning of period 2,319,078
---------------
Cash at end of period $ 2,982,891
===============
Non-Cash Capital shares issued in reinvestment of dividends paid to shareholders $ 52,653,929
Financing ===============
Activities:
See Notes to Financial Statements.
</TABLE>
<PAGE>
Merrill Lynch Senior Floating Rate Fund, Inc.
February 29, 2000
FINANCIAL INFORMATION (concluded)
<TABLE>
Financial Highlights
<CAPTION>
The following per share data and ratios have been derived For the Six
from information provided in the financial statements. Months Ended
February 29, For the Year Ended August 31,
Increase (Decrease) in Net Asset Value: 2000 1999 1998 1997 1996
<S> <S> <C> <C> <C> <C> <C>
Per Share Net asset value, beginning of period $ 9.73 $ 9.97 $ 10.02 $ 9.99 $ 10.02
Operating -------- -------- -------- -------- --------
Performance: Investment income--net .37 .65 .68 .68 .66
Realized and unrealized gain (loss) on
investments--net (.10) (.24) (.05) .03 (.03)
-------- -------- -------- -------- --------
Total from investment operations .27 .41 .63 .71 .63
-------- -------- -------- -------- --------
Less dividends from investment income--net (.37) (.65) (.68) (.68) (.66)
-------- -------- -------- -------- --------
Net asset value, end of period $ 9.63 $ 9.73 $ 9.97 $ 10.02 $ 9.99
======== ======== ======== ======== ========
Total Investment Based on net asset value per share 2.89%++ 4.23% 6.47% 7.23% 6.53%
Return:** ======== ======== ======== ======== ========
Ratios to Average Expenses, excluding interest expense 1.32%* 1.33% 1.35% 1.32% 1.34%
Net Assets: ======== ======== ======== ======== ========
Expenses 1.32%* 1.33% 1.40% 1.33% 1.34%
======== ======== ======== ======== ========
Investment income--net 7.78%* 6.59% 6.79% 6.72% 6.54%
======== ======== ======== ======== ========
Leverage: Average amount of borrowings outstanding
during the period (in thousands) -- -- $ 24,299 $ 4,409 --
======== ======== ======== ======== ========
Average amount of borrowings outstanding
per share during the period -- -- $ .08 $ .02 --
======== ======== ======== ======== ========
Supplemental Net assets, end of period (in millions) $ 2,786 $ 3,146 $ 3,365 $ 2,992 $ 2,946
Data: ======== ======== ======== ======== ========
Portfolio turnover 34.92% 60.06% 69.59% 74.00% 80.20%
======== ======== ======== ======== ========
*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.
++Aggregate total investment return.
See Notes to Financial Statements.
</TABLE>
<PAGE>
Merrill Lynch Senior Floating Rate Fund, Inc.
February 29, 2000
NOTES TO FINANCIAL STATMENTS
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. The Fund's financial statements are prepared in
accordance with generally accepted accounting principles, which may
require the use of management accruals and estimates. 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 29, 2000 could be
considered to be concentrated in commercial banking.
(b) Valuation of investments--Loan Interests are valued in
accordance with guidelines established by the Board of Directors.
Until July 9, 1999, Loan Interests for which an active secondary
market exists and for which the Investment Adviser can obtain at
least two quotations from banks or dealers in Loan Interests were
valued by calculating the mean of the last available bid and asked
prices in the markets for such Loan Interests, and then using the
mean of those two means. If only one quote for a particular Loan
Interest was available, such Loan Interest were valued on the basis
of the mean of the last available bid and asked prices in the
market. As of July 12, 1999, pursuant to the approval of the Board
of Directors, the Loan Interests are valued at the mean between the
last available bid and asked prices from one or more brokers or
dealers as obtained from Loan Pricing Corporation. For Loan
Interests for which an active secondary market does not exist to a
reliable degree in the opinion of the Investment Adviser, such Loan
Interests will be valued by the Investment Adviser at fair value,
which is intended to approximate market value.
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 that 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.
* 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.
<PAGE>
Merrill Lynch Senior Floating Rate Fund, Inc.
February 29, 2000
NOTES TO FINANCIAL STATEMENTS (concluded)
(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
.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 .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 29, 2000, Merrill Lynch Funds
Distributor, Inc. ("MLFD"), a division of Princeton Funds
Distributor, Inc. ("PFD"), a wholly-owned subsidiary of Merrill
Lynch Group, Inc., earned early withdrawal charges of $2,315,123
relating to the tender of the Fund's shares.
Financial Data Services, Inc. ("FDS"), a wholly-owned subsidiary of
ML & Co., is the Fund's transfer agent.
Accounting services are provided to the Fund by MLAM at cost.
Certain officers and/or directors of the Fund are officers and/or
directors of MLAM, PSI, FDS, PFD, and/or ML & Co.
3. Investments:
Purchases and sales of investments, excluding short-term securities,
for the six months ended February 29, 2000 were $946,756,637 and
$1,330,750,756, respectively.
Net realized gains (losses) for the six months ended February 29,
2000 and net unrealized losses as of February 29, 2000 were as
follows:
Realized
Gains Unrealized
(Losses) Losses
Loan interests $(54,946,119) $(37,641,736)
Short-term investments 2,103 --
Unfunded loan interests -- (1,237,815)
------------ ------------
Total $(54,944,016) $(38,879,551)
============ ============
As of February 29, 2000, net unrealized depreciation for financial
reporting and Federal income tax purposes aggregated $37,641,736, of
which $10,700,618 is related to appreciated securities and
$48,342,354 is related to depreciated securities. The aggregate cost
of investments at February 29, 2000 for Federal income tax purposes
was $2,799,495,725.
4. Capital Share Transactions:
Transactions in capital shares were as follows:
For the Six Months Ended Dollar
February 29, 2000 Shares Amount
Shares sold 11,216,119 $ 108,501,025
Shares issued to share-
holders in reinvestment
of dividends 5,448,226 52,653,929
------------- -------------
Total issued 16,664,345 161,154,954
Shares tendered (50,543,715) (489,159,762)
------------- -------------
Net decrease (33,879,370) $(328,004,808)
============= =============
<PAGE>
Merrill Lynch Senior Floating Rate Fund, Inc.
February 29, 2000
For the Year Ended Dollar
August 31, 1999 Shares Amount
Shares sold 50,310,746 $ 495,433,815
Shares issued to share-
holders in reinvestment
of dividends 10,519,160 103,371,180
------------- -------------
Total issued 60,829,906 598,804,995
Shares tendered (74,992,308) (736,897,258)
------------- -------------
Net decrease (14,162,402) $(138,092,263)
============= =============
5. Unfunded Loan Interests:
As of February 29, 2000, the Fund had unfunded loan commitments of
$33,811,100, which would be extended at the option of the borrower,
pursuant to the following loan agreements:
Unfunded
Commitment
Borrower (in thousands)
Arena Brands, Inc. $ 1,926
Continental Airlines, Inc. 4,639
KSL Recreation Group, Inc. 8,309
Metro Goldwyn Mayer Co. 6,000
PageNet Finance, Inc. 3,625
Primedia 8,240
Speciality Foods, Inc. 80
Viasystems Group, Inc. 404
Ziff-Davis Inc. 588
6. Short-Term Borrowings:
On June 21, 1999, the Fund extended its one-year credit agreement
with Bank of New York. The agreement is a $100,000,000 credit
facility bearing interest at the Federal Funds rate plus .50% and/or
the Eurodollar rate plus .50%. The Fund had no borrowings under this
commitment during the six months ended February 29, 2000. For the
six months ended February 29, 2000, the facility and commitment fees
aggregated approximately $40,444.
7. Capital Loss Carryforward:
At August 31, 1999, the Fund had a net capital loss carryforward of
approximately $12,584,000 of which $1,471,000 expires in 2004;
$3,279,000 expires in 2005, $4,468,000 expires in 2006 and
$3,366,000 expires in 2007. 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 22, 2000 which
concludes on April 21, 2000.
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