<PAGE>
Senior Debt Portfolio
[Logo]
Semi-Annual Shareholder Report
June 30, 1996
Investment Adviser of Portfolio
Boston Management and Research
24 Federal Street
Boston, MA 02110
Administrator
Eaton Vance Management
24 Federal Street
Boston, MA 02110
(617) 482-8260
Principal Underwriter
Eaton Vance Distributors, Inc.
24 Federal Street
Boston, MA 02110
(617) 482-8260
Custodian
Investors Bank & Trust Company
89 South Street
P.O. Box 1537
Boston, MA 02205-1537
Transfer Agent
First Data Investor Services Group, Inc.
BOS725
P.O. Box 1559
Boston, MA 02104
Banking Counsel
Mayer, Brown & Platt
787 Seventh Ave.
New York, NY 10019
Auditors
Deloitte & Touche LLP
125 Summer Street
Boston, MA 02110
<PAGE>
SENIOR DEBT PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1996
(EXPRESSED IN UNITED STATES DOLLARS)
- --------------------------------------------------------------------------------
SENIOR, SECURED, FLOATING-RATE INTERESTS - 85.3%
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT BORROWER/BUSINESS DESCRIPTION VALUE
- --------------------------------------------------------------------------------
AEROSPACE/DEFENSE - 2.7%
FIBERITE, INC.
$ 9,432,143 Term loan, maturing December 31, 2001 $ 9,432,143
Manufactures composite materials
for the aerospace industry
HOWMET CORPORATION
14,896,804 Term loan, maturing November 20, 2002 14,896,804
8,082,727 Term loan, maturing May 20, 2003 8,082,727
Manufactures and refurbishes airfoils
for turbine engines
SHARED TECHNOLOGY FAIRCHILD
COMMUNICATIONS, INC.
4,825,000 Term loan, maturing March 30, 2001 4,825,000
Aerospace and specialty fasteners,
and plastics industry tooling systems
TRACOR, INC.
10,970,667 Term loan, maturing October 31, 2000 10,970,667
10,971,053 Term loan, maturing April 30, 2001 10,971,053
Technical services to defense companies
TRANSTECHNOLOGY CORPORATION
7,500,000 Term loan, maturing June 30, 2002 7,500,000
Aerospace and specialty fasteners,
rescue winches, and hoists
--------------
$ 66,678,394
AUTOMOTIVE - 1.4% --------------
CAMBRIDGE INDUSTRIES, INC.
$ 7,583,656 Term loan, maturing May 17, 2002 $ 7,583,656
8,531,440 Term loan, maturing November 17, 2003 8,531,440
3,791,790 Term loan, maturing May 17, 2004 3,791,790
Original equipment manufacturer of
plastic auto parts
SCHRADER, INC.
2,925,000 Term loan, maturing February 28, 2001 2,925,000
2,989,286 Term loan, maturing November 30, 2002 2,989,286
Produces tire valves and accessories,
and pneumatic connectors
STANADYNE AUTOMOTIVE CORP.
7,406,250 Term loan, maturing December 31, 2001 7,406,250
Auto and light truck fuel injection
equipment
--------------
$ 33,227,422
BROADCAST MEDIA - 9.2% --------------
BENEDEK BROADCASTING CORPORATION, INC.
$ 7,000,000 Term loan, maturing May 1, 2001 $ 7,000,000
7,000,000 Term loan, maturing November 1, 2002 7,000,000
Broadcast television operator
CABLEVISION OF CLEVELAND, G.P., INC.
12,000,000 Term loan, maturing December 31, 2005 12,000,000
Cable television provider
CHANCELLOR RADIO BROADCASTING COMPANY
5,982,857 Term loan, maturing September 1, 2003 5,982,857
Radio broadcasting
CHARTER COMMUNICATIONS ENTERTAINMENT I, L.P.
5,000,000 Term loan, maturing December 31, 2003 5,000,000
Cable television provider
CHARTER COMMUNICATIONS ENTERTAINMENT II, L.P.
10,000,000 Term loan, maturing September 30, 2004 10,000,000
Cable television provider
CHELSEA COMMUNICATIONS, INC.
10,000,000 Term loan, maturing December 31, 2004 10,000,000
Cable television provider
CLASSIC CABLE, INC.
3,529,412 Term loan, maturing June 30,2004 3,529,412
11,470,588 Term loan, maturing June 30, 2005 11,470,588
Cable television provider
COAXIAL COMMUNICATIONS, INC.
21,814,844 Term loan, maturing December 31, 1999 21,814,844
Midwest cable television provider
ELLIS COMMUNICATIONS, INC.
10,086,383 Term loan, maturing March 31, 2003 10,086,383
Broadcast television operator
FALCON CABLE MEDIA
22,000,000 Term loan, maturing June 15, 2003 22,000,000
Cable television provider
MARCUS CABLE OPERATING COMPANY, L.P.
500,000 Revolving loan, maturing December 31, 2002 500,000
20,062,500 Term loan, maturing December 31, 2002 20,062,500
28,000,000 Term loan, maturing April 30,2004 28,000,000
Cable television provider
NORTHLAND CABLE TELEVISION, INC.
7,009,505 Term loan, maturing March 31, 2002 7,009,505
3,500,000 Term loan, maturing September 30, 2003 3,500,000
Cable television provider
SINCLAIR BROADCASTING GROUP, INC.
20,000,000 Term loan, maturing November 30, 2003 20,000,000
Broadcast television operator
SULLIVAN BROADCASTING COMPANY, INC.
17,563,830 Term loan, maturing December 31, 2003 17,563,830
Broadcast television operator
--------------
$ 222,519,919
BUILDING MATERIALS - 1.8% --------------
NATIONAL GYPSUM COMPANY
$ 45,000,000 Term loan, maturing September 20, 2003 $ 45,000,000
Produces and supplies gypsum wallboard --------------
CHEMICALS - 3.0%
FREEDOM CHEMICAL COMPANY
$ 13,034,902 Term loan, maturing June 30,2002 $ 13,034,902
Organic dyes, pigments,textile
chemicals, and other specialty
chemicals
HARRIS SPECIALTY CHEMICALS, INC.
1,479,184 Term loan, maturing December 31, 1999 1,479,184
5,624,331 Term loan, maturing December 31, 2001 5,624,331
5,260,783 Term loan, maturing December 31, 2002 5,260,783
Construction chemicals
INDSPEC CHEMICAL CORP.
6,152,478 Term loan, maturing December 2, 2000 6,152,478
Resorcinol and other specialty
chemical products
LILLY INDUSTRIES, INC.
20,000,000 Term loan, maturing November 30, 2003 20,000,000
Housing paints and industrial
and specialty coatings
POLYMER GROUP, INC.
20,000,000 Term loan, maturing March 31, 2002 20,000,000
Produces nonwoven fabrics
--------------
$ 71,551,678
COMMERCIAL SERVICES - 4.5% --------------
ADVO, INC.
$ 14,000,000 Term loan, maturing March 31, 2004 $ 14,000,000
Shared advertising distributor
AVIALL, INC.
2,957,888 Term loan, maturing November 30, 2000 2,957,888
Turbine engine repair and
parts distribution
BORG-WARNER SECURITY CORPORATION
5,000,000 Term loan, maturing December 31, 1998 5,000,000
Provides security and alarm services
ELLER MEDIA COMPANY
10,000,000 Term loan, maturing June 30, 2002 10,000,000
31,903,409 Term loan, maturing December 21, 2003 31,903,409
Outdoor advertising
HOSIERY CORPORATION OF AMERICA, INC.
3,045,886 Term loan, maturing October 17, 1999 3,045,886
4,550,000 Term loan, maturing July 31, 2001 4,550,000
Women's hosiery
IRON MOUNTAIN INFORMATION SERVICES, INC.
4,443,750 Term loan, maturing October 31, 2002 4,443,750
Document archive services
NBC MERGER SUB, INC.
7,480,000 Term loan, maturing August 31, 2003 7,480,000
Used college textbook wholesaler
PSI ACQUISITION CORPORATION
2,456,358 Term loan, maturing December 31, 1998 2,456,358
12,750,000 Term loan, maturing December 31, 2000 12,750,000
Diversified consulting services
SELECT BEVERAGES, INC.
4,000,000 Term loan, maturing June 30, 2001 4,000,000
6,000,000 Term loan, maturing June 30, 2002 6,000,000
Soft drink bottler
--------------
$ 108,587,291
COMMUNICATION EQUIPMENT - 1.2% --------------
COMMUNICATIONS & POWER INDUSTRIES, INC.
$ 1,958,333 Term loan, maturing August 11, 2000 $ 1,958,333
5,633,333 Term loan, maturing August 12, 2002 5,633,333
Microwave, electronic, and radio
frequency components
DICTAPHONE ACQUISITION INC.
14,000,000 Term loan, maturing June 30, 2002 14,000,000
Manufactures, markets, and
services communication systems
K-TEC HOLDINGS, INC.
3,485,634 Term loan, maturing January 31, 2003 3,485,634
3,983,824 Term loan, maturing January 31, 2004 3,983,824
Manufactures and services
telephone, television, and
wireless communications equipment
--------------
$ 29,061,124
CONGLOMERATES - 3.7% --------------
FENWAY HOLDINGS, L.L.C.
$ 8,518,818 Term loan, maturing September 15, 2002 $ 8,518,818
Manufactures and distributes billiard
tables, dart machines, wood mouldings,
windows, doors, artificial flowers,
archery bows, and plastics.
SPALDING & EVENFLO COMPANIES, INC.
12,256,944 Term loan, maturing October 13, 2002 12,256,944
Sporting goods and infant products
WALTER INDUSTRIES, INC.
20,000,000 Term loan, maturing January 22, 2002 20,000,000
9,958,333 Term loan, maturing January 22, 2003 9,958,333
Homebuilding and financing,
pipe manufacturing and coal mining
WESTINGHOUSE ELECTRIC CORPORATION
38,700,000 Term loan, maturing September 12, 2002 38,700,000
Television and radio broadcasting,
defense, electronics and other
manufacturing
--------------
$ 89,434,095
COMPUTER SYSTEMS - 0.4% --------------
GENICOM CORPORATION
$ 9,937,500 Term loan, maturing December 31, 2002 $ 9,937,500
Produces computer printers and --------------
supplies, and provides multivendor
servicing
CONTAINERS - METAL & GLASS - 2.4%
CALMAR, INC.
$ 8,507,143 Term loan, maturing September 15, 2003 $ 8,507,143
6,380,357 Term loan, maturing March 15, 2004 6,380,357
Plastic sprayers and dispensers
SILGAN CORP.
16,537,847 Term loan, maturing December 31, 2000 16,537,847
26,870,343 Term loan, maturing March 15, 2002 26,870,343
Metal and plastic packaging products
--------------
$ 58,295,690
CONTAINERS - PAPER - 7.6% --------------
IPC, INC.
$ 8,625,000 Term loan, maturing September 30, 2001 $ 8,625,000
Plastic and paper packaging products
JEFFERSON SMURFIT CORP.
844,444 Revolving loan, maturing April 30, 2001 844,444
18,263,307 Term loan, maturing April 30, 2001 18,263,307
23,738,355 Term loan, maturing April 30, 2002 23,738,355
11,400,000 Term loan, maturing October 31, 2002 11,400,000
Liner board and other paper board
products
RIC HOLDING, INC.
5,000,000 Term loan, maturing February 28, 2003 5,000,000
32,142,857 Term loan, maturing February 28, 2004 32,142,857
12,857,143 Term loan, maturing August 31, 2004 12,857,143
Liner board, lumber and paper
packaging products
STONE CONTAINER CORPORATION
39,467,356 Term loan, maturing April 1, 2000 39,467,356
30,920,000 Term loan, maturing October 1,2003 30,920,000
Commodity pulp, paper and
packaging products
--------------
$ 183,258,462
COSMETICS - 0.8% --------------
MARY KAY COSMETICS, INC.
$ 10,000,000 Term loan, maturing December 6, 2002 $ 10,000,000
Cosmetics, skin and hair care,
and perfume products
REVLON CONSUMER PRODUCTS COMPANY
10,000,000 Term loan, maturing March 31, 1999 10,000,000
Cosmetics, skin and hair care,
and perfume products
--------------
$ 20,000,000
ELECTRONICS - INSTRUMENTATION - 0.6% --------------
DETAILS, INC.
$ 14,491,525 Term loan, maturing January 31, 2001 $ 14,491,525
Manufactures prototype printed --------------
circuit boards
FOOD WHOLESALERS - 5.4%
CATERAIR INTERNATIONAL CORPORATION
$ 9,049,454 Term loan, maturing September 15, 2001 $ 9,049,454
Food service to airlines
FAVORITE BRANDS INTERNATIONAL, INC.
478,710 Revolving loan, maturing September
30, 2002 478,710
11,696,774 Term loan, maturing September 30, 2002 11,696,774
Manufactures and markets marshmallows
and caramels
KEEBLER HOLDING CORPORATION
16,547,100 Term loan, maturing July 31, 2003 16,547,100
11,952,900 Term loan, maturing July 31, 2004 11,952,900
Manufactures and distributes
cookies and crackers
RYKOFF-SEXTON, INC.
10,135,135 Term loan, maturing October 31, 2002 10,135,135
4,864,865 Term loan, maturing April 30, 2003 4,864,865
Manufactures and distributes food products
SC INTERNATIONAL SERVICES, INC.
11,283,368 Term loan, maturing September 15, 2002 11,283,368
2,484,396 Term loan, maturing September 15, 2003 2,484,396
Food service to airlines
SPECIALTY FOODS CORPORATION
34,900,000 Term loan, maturing April 30, 2001 34,900,000
Bread and cheese products
VOLUME SERVICES, INC.
9,989,300 Term loan, maturing October 31, 2002 9,989,300
7,491,938 Term loan, maturing October 31, 2003 7,491,938
Provides food services for civic centers
and sports facilities
--------------
$ 130,873,940
HOUSEHOLD FURNISHINGS - 0.6% --------------
KNOLL, INC.
$ 7,057,087 Term loan, maturing August 31, 2003 $ 7,057,087
Office furniture and accesories
SIMMONS COMPANY
7,000,000 Term loan, maturing March 31, 2003 7,000,000
Manufactures bedding
--------------
$ 14,057,087
LEISURE - 6.3% --------------
AMF GROUP, INC.
$ 16,847,222 Term loan, maturing March 31, 2001 $ 16,847,222
17,924,528 Term loan, maturing March 31, 2003 17,924,528
7,075,472 Term loan, maturing March 31, 2004 7,075,472
Manufactures and operates
bowling equipment and supplies
AMFAC PARKS, INC.
8,333,333 Term loan, maturing September 30, 2002 8,333,333
Provides lodging, food and beverage
services to national and state parks
METRO-GOLDWYN-MAYER,INC.
25,000,000 Term loan, maturing April 15, 1997 25,000,000
Film and television production
and distribution
ORION PICTURES CORPORATION
14,437,057 Term loan, maturing December 31, 2000 14,437,057
Film production and distribution
SIX FLAGS THEME PARKS, INC.
11,730,000 Term loan, maturing June 23, 2003 11,730,000
Amusement parks
VIACOM, INC.
50,000,000 Term loan, maturing December 31, 1996 50,000,000
Television and motion picture
entertainment
--------------
$ 151,347,612
MACHINERY - 1.2% --------------
MERKLE KORFF INDUSTRIES, INC.
$ 969,231 Term loan, maturing September 22, 2001 $ 969,231
13,396,306 Term loan, maturing March 15, 2003 13,396,306
1,995,000 Term loan, maturing June 15, 2003 1,995,000
Manufactures fractional horsepower
motors
NUMATICS, INCORPORATED
4,861,111 Term loan, maturing January 3, 2002 4,861,111
7,988,889 Term loan, maturing January 3, 2004 7,988,889
Manufactures air valves, cylinders,
and air filtration and drying devices
--------------
$ 29,210,537
MANUFACTURING - DIVERSIFIED - 3.3% --------------
IMO INDUSTRIES, INC.
$ 10,000,000 Term loan, maturing April 30, 2003 $ 10,000,000
Manufactures pumps, gears and speed
reducers, and elecronic control
products and instrumentation.
INTERLAKE CORP.
8,190,048 Term loan, maturing September 27, 1996 8,190,048
Engineered materials
INTERMETRO INDUSTRIES CORPORATION
3,343,090 Term loan, maturing June 30, 2001 3,343,090
4,790,179 Term loan, maturing December 31, 2002 4,790,179
Shelving
INTERNATIONAL WIRE GROUP, INC.
9,969,697 Term loan, maturing September 30, 2002 9,969,697
19,973,684 Term loan, maturing September 30, 2003 19,973,684
Manufactures and markets copper wire
and harnesses
INTESYS TECHNOLOGIES, INC.
4,390,244 Term loan, maturing December 31, 2001 4,390,244
Plastic injection molding and
fabricated battery packs
JACKSON PRODUCTS, INC.
7,441,303 Term loan, maturing September 1, 2002 7,441,303
7,443,750 Term loan, maturing September 1, 2003 7,443,750
Manufactures and distributes safety
equipment and reflective beads
PRECISE TECHNOLOGY, INC.
5,000,000 Term loan, maturing March 31, 2003 5,000,000
Plastic injection molding
--------------
$ 80,541,995
MEDICAL PRODUCTS - 0.7% --------------
GRAPHIC CONTROLS CORPORATION
$ 15,922,982 Term loan, maturing September 28, 2003 $ 15,922,982
Recording and monitoring --------------
devices
METALS - 0.4%
U.S. SILICA COMPANY
$ 5,000,000 Term loan, maturing December 31, 2001 $ 5,000,000
4,000,000 Term loan, maturing December 31, 2003 4,000,000
Producer of industrial silica
--------------
$ 9,000,000
OFFICE EQUIPMENT - 1.4% --------------
MAIL-WELL CORPORATION
$ 4,375,495 Term loan, maturing July 31, 2003 $ 4,375,495
Manufactures envelopes
SUPREMEX, INC.
2,174,250 Term loan, maturing July 31, 2003 2,174,250
Manufactures envelopes
WILLIAMHOUSE-REGENCY OF DELAWARE, INC.
12,133,333 Term loan, maturing October 31, 2002 12,133,333
8,400,000 Term loan, maturing October 31, 2003 8,400,000
7,466,667 Term loan, maturing February 28, 2004 7,466,667
Paper-based office products
--------------
$ 34,549,745
PAPER AND FOREST PRODUCTS - 4.5% --------------
CROWN PAPER CO.
$ 24,812,500 Term loan maturing August 22, 2003 $ 24,812,500
Manufactures coated groundwood
and uncoated free paper
FORT HOWARD CORPORATION
985,345 Revolving loan, maturing March 8, 2002 985,345
49,030,771 Term loan, maturing March 8, 2002 49,030,771
8,921,212 Term loan, maturing December 31, 2002 8,921,212
Sanitary tissue paper products
S.D. WARREN COMPANY
25,000,000 Term loan, maturing December 20, 2002 25,000,000
Major U.S. producer of coated free paper
--------------
$ 108,749,828
PUBLISHING - NEWSPAPERS - 1.8% --------------
AMERICAN MEDIA OPERATIONS, INC.
$ 4,419,036 Term loan, maturing September 30, 2002 $ 4,419,036
Weekly periodical publisher
JOURNAL NEWS, INC.
23,758,612 Term loan, maturing December 31, 2001 23,758,612
14,732,827 Term loan, maturing May 1, 2003 14,732,827
Suburban newspaper
--------------
$ 42,910,475
RESTAURANTS - 1.1% --------------
AMERICA'S FAVORITE CHICKEN COMPANY
$ 14,233,266 Term loan, maturing October 31, 2001 $ 14,233,266
Church's Fried Chicken and Popeye's
restaurants
LONG JOHN SILVER'S RESTAURANTS, INC.
12,723,749 Term loan, maturing December 31, 1996 12,723,749
Seafood restaurants
--------------
$ 26,957,015
RETAIL - SPECIALTY - 0.5% --------------
CAMELOT MUSIC, INC.
$ 4,924,057 Term loan, maturing February 28, 2001 $ 2,314,307
Music stores
GRIFFITH CONSUMERS COMPANY
10,541,667 Term loan, maturing December 31, 2002 10,541,667
Retail petroleum distributor
--------------
$ 12,855,974
RETAIL STORES - DEPARTMENT STORES - 4.0% --------------
FEDERATED DEPARTMENT STORES, INC.
$ 46,601,589 Term loan, maturing January 31, 2000 $ 46,601,589
3,931,132 Revolving loan, maturing March 31, 2000 3,931,132
Retail department store
KMART CORPORATION
45,000,000 Term loan, maturing June 6, 1999 45,000,000
Retail department store
--------------
$ 95,532,721
RETAIL STORES - DRUG STORES - 0.2% --------------
DUANE READE, INC.
$ 4,662,500 Term loan, maturing December 31, 1997 $ 4,662,500
Retail drug stores --------------
RETAIL STORES - FOOD CHAINS - 7.7%
DOMINICK'S FINER FOODS, INC.
$ 3,300,362 Term loan, maturing March 31, 2002 $ 3,300,362
8,181,721 Term loan, maturing March 31, 2003 8,181,721
9,171,659 Term loan, maturing September 30, 2003 9,171,659
Supermarket chain in Chicago
GRAND UNION COMPANY
16,628,890 Term loan, maturing June 15, 2002 16,628,890
Supermarket chain in the Northeast
PATHMARK STORES, INC.
36,237,037 Term loan, maturing October 31, 1999 36,237,037
Supermarket chain in mid-Atlantic states
RALPHS GROCERY COMPANY
2,322,302 Revolving loan, maturing June 15, 2001 2,322,302
10,651,345 Term loan, maturing June 15, 2001 10,651,345
16,820,753 Term loan, maturing June 15, 2002 16,820,753
10,801,910 Term loan, maturing June 15, 2003 10,801,910
8,508,943 Term loan, maturing June 15, 2004 8,508,943
Third largest supermarket chain in
Southern California
SMITH'S FOOD & DRUG CENTERS, INC.
9,466,019 Term loan, maturing August 31, 2002 9,466,019
13,333,333 Term loan, maturing November 30, 2003 13,333,333
13,333,333 Term loan, maturing November 30, 2004 13,333,333
13,333,333 Term loan, maturing August 31, 2005 13,333,333
Supermarket and drug store chain
STAR MARKET COMPANY, INC.
10,073,684 Term loan, maturing December 31, 2001 10,073,684
4,402,632 Term loan, maturing December 31, 2002 4,402,632
Supermarket chain in Massachusetts
--------------
$ 186,567,256
STEEL - 0.5% --------------
UCAR INTERNATIONAL, INC.
$ 12,608,383 Term loan, maturing December 31, 2002 $ 12,608,383
Processing materials for steel --------------
industry
TELECOMMUNICATIONS - 5.0%
ARCH COMMUNICATIONS ENTERPRISES, INC.
$ 10,500,000 Term loan, maturing December 31, 2003 $ 10,500,000
Paging service provider
COMCAST CELLULAR COMMUNICATIONS, INC.
28,316,000 Term loan, maturing September 30, 2004 28,316,000
Wireless communications provider
WORLDCOM, INC.
56,656,892 Term loan, maturing December 31, 1996 56,656,892
Long distance telecommunications
provider
MOBILEMEDIA COMMUNICATIONS, INC.
13,333,333 Term loan, maturing June 30, 2002 13,333,333
11,666,667 Term loan, maturing June 30, 2003 11,666,667
Paging service provider
--------------
$ 120,472,892
TEXTILES - 1.4% --------------
COLLINS & AIKMAN PRODUCTS COMPANY
$ 24,841,370 Term loan, maturing December 31, 2002 $ 24,841,370
Automotive products, residential
upholstery fabrics, and wallcoverings
LONDON FOG INDUSTRIES, INC.
9,582,314 Term loan, maturing May 31, 2002 6,899,266
1,971,219 Term loan, maturing May 31, 2002* 1,419,278
Outerwear
--------------
$ 33,159,914
TOTAL LOAN INTERESTS (IDENTIFIED --------------
COST, $2,067,857,800) $2,062,023,956
--------------
- -----------------------------------------------------------------------------
COMMON STOCKS - 0.1%
- -----------------------------------------------------------------------------
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------
806,708 America's Favorite Chicken Company,
Common Stock* $ 2,675,850
4,380,486 London Fog Industries, Inc.
0
--------------
TOTAL COMMON STOCKS (IDENTIFIED COST, $0) $ 2,675,850
--------------
- -----------------------------------------------------------------------------
PREFERRED STOCKS - 0.2%
- -----------------------------------------------------------------------------
54,895 America's Favorite Chicken Company,
10% Preferred Stock $ 5,489,500
5,845,956 London Fog Industries, Inc.
17.5% Preferred Stock* 0
--------------
TOTAL PREFERRED STOCKS (IDENTIFIED COST,
$10,014,473) $ 5,489,500
- -----------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 13.7%
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT DESCRIPTION
- -----------------------------------------------------------------------------
$ 49,300,000 AIG Funding, Inc., 5.47%, 7/1/96 $ 49,300,000
74,860,000 Associates of North America, 5.51%, 7/1/96 74,860,000
41,000,000 CXC Incorporated, 5.60%, 7/1/96 41,000,000
31,550,000 Corporate Receivable Corporation,
5.55%, 7/1/96 31,550,000
95,000,000 Ford Motor Credit Company, 5.37%, 7/3/96 94,971,659
38,907,000 USAA Capital Corporation, 5.50%, 7/1/96 38,907,000
--------------
TOTAL SHORT-TERM INVESTMENTS, AT
AMORTIZED COST $ 330,588,659
--------------
TOTAL INVESTMENTS (IDENTIFIED
COST, $2,408,460,932) - 99.3% $2,400,777,965
OTHER ASSETS, LESS LIABILITIES - 0.7% 16,154,535
--------------
TOTAL NET ASSETS - 100% $2,416,932,500
==============
*Non-income producing security.
Note: The description of the principal business for each security set forth
above is unaudited.
See notes to financial statements
<PAGE>
-----------------------------------
SENIOR DEBT PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
June 30, 1996
(Expressed in United States Dollars)
- --------------------------------------------------------------------------------
ASSETS:
Investments, at value (Note 1A) (identified cost,
$2,408,460,932) $2,400,777,965
Cash 9,673,501
Receivable for investments sold 174,074
Interest receivable 14,769,442
Deferred organization expenses (Note 1D) 40,946
Prepaid expenses 673,517
Other receivables 76,791
--------------
Total assets $2,426,186,236
LIABILITIES:
Deferred facility fee income (Note 1B) $9,039,242
Trustees' fees payable 6,813
Accrued expenses 207,681
----------
Total liabilities 9,253,736
--------------
NET ASSETS applicable to investors' interest
in Portfolio $2,416,932,500
==============
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $2,424,615,467
Unrealized depreciation of investments
(computed on the basis of identified cost) (7,682,967)
--------------
Total $2,416,932,500
==============
See notes to financial statements
<PAGE>
FINANCIAL STATEMENTS (Continued)
<TABLE>
STATEMENT OF OPERATIONS
- ------------------------------------------------------------------------------------------
For the Six Months Ended June 30, 1996
(Expressed in United States Dollars)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME (NOTE 1B):
Interest income $82,401,572
Facility fees earned 2,410,890
-----------
Total income $84,812,462
Expenses --
Investment advisory fee (Note 2) $ 9,318,578
Compensation of Trustees not members of the Investment
Adviser's organization (Note 2) 14,490
Custodian fee (Note 2) 356,712
Interest expense 542,824
Legal and accounting services 101,567
Amoritization of organization expenses (Note 1D) 3,094
Miscellaneous 210,237
-----------
Total expenses 10,547,502
-----------
Net investment income $74,264,960
REALIZED AND UNREALIZED LOSS ON INVESTMENTS:
Net realized loss on investment transactions $ (457,941)
Change in unrealized depreciation of investments (3,197,610)
-----------
Net realized and unrealized loss on investments (3,655,551)
-----------
Net increase in net assets from operations $70,609,409
===========
See notes to financial statements
</TABLE>
<PAGE>
STATEMENT OF CASH FLOWS
- ------------------------------------------------------------------------------
For the Six Months Ended June 30, 1996
(Expressed in United States Dollars)
- ------------------------------------------------------------------------------
INCREASE (DECREASE) IN CASH:
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES --
Purchase of loan interests $(1,232,176,097)
Proceeds from sales and principal repayments 584,003,007
Interest received 78,675,312
Facility fees received 4,214,132
Interest paid (566,098)
Operating expenses paid (9,696,257)
Net increase in short-term investments (146,823,245)
---------------
Net cash used for operating activities $ (722,369,246)
---------------
CASH FLOWS FROM (FOR) FINANCING ACTIVITIES --
Proceeds from capital contributions $ 868,755,552
Payments for capital withdrawals (143,771,313)
---------------
Net cash provided from financing activities $ 724,984,239
---------------
Net increase in cash $ 2,614,993
CASH AT BEGINNING OF PERIOD 7,058,508
---------------
CASH AT END OF PERIOD $ 9,673,501
===============
RECONCILIATION OF NET INCREASE IN NET ASSETS FROM
OPERATIONS TO NET CASH FROM OPERATING ACTIVITIES:
Net increase in net assets from operations $ 70,609,409
Decrease in receivable for investments sold 172,273
Increase in interest receivable (3,726,260)
Increase in prepaid expenses (17,699)
Decrease in deferred organization expenses 3,094
Increase in other receivables (76,791)
Increase in deferred facility fee income 1,803,242
Increase in accrued expenses and other liabilities 88,398
Net increase in investments (791,224,912)
---------------
Net cash used for operating activities $ (722,369,246)
===============
See notes to financial statements
<PAGE>
FINANCIAL STATEMENTS (Continued)
STATEMENTS OF CHANGES IN NET ASSETS
- ------------------------------------------------------------------------------
(Expressed in United States Dollars)
- ------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, 1996 1995*
--------------- ---------------
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 74,264,960 $ 72,119,692
Net realized gain (loss) on investments (457,941) 1,214,316
Change in unrealized appreciation of
investments (3,197,610) (1,760,430)
-------------- --------------
Net increase in net assets from
operations $ 70,609,409 $ 71,573,578
-------------- --------------
Capital transactions --
Contributions
$ 868,755,552 $1,684,280,868
Withdrawals (143,771,313) (134,615,604)
-------------- --------------
Increase in net assets from capital
transactions $ 724,984,239 $1,549,665,264
-------------- --------------
Net increase in net assets
$ 795,593,648 $1,621,238,842
NET ASSETS:
At beginning of period 1,621,338,852 100,010
-------------- --------------
At end of period
$2,416,932,500 $1,621,338,852
============== ==============
*For the period from the start of business, February 22, 1995, to December 31,
1995.
- ------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- ------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, 1996 1995*
-------------- ------------
RATIOS (to average daily net assets):
Operating expenses 0.98%+ 1.01%+
Interest expense 0.05%+ 0.13%+
Net investment income 7.27%+ 7.95%+
PORTFOLIO TURNOVER 33% 39%
+Annualized.
*For the period from the start of business, February 22, 1995, to December 31,
1995.
See notes to financial statements
<PAGE>
-------------------------------------
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES
Senior Debt Portfolio (the Portfolio) is registered under the Investment
Company Act of 1940 as a non-diversified closed-end investment company which
was organized as a trust under the laws of the State of New York on May 1,
1992. The Declaration of Trust permits the Trustees to issue interests in the
Portfolio. Investment operations began on February 22, 1995, with the
acquisition of securities with a value of $583,240,521, including unrealized
depreciation of $2,724,927, in exchange for an interest in the Portfolio by
one of the Portfolio's investors. The following is a summary of significant
accounting policies of the Portfolio. The policies are in conformity with
accounting principles generally accepted in the United States of America.
A. INVESTMENT VALUATION -- The Portfolio's investments in interests in loans
(Loan Interests) are valued at fair value by the Portfolio's investment
adviser, Boston Management and Research, under procedures established by the
Trustees as permitted by Section 2(a)(41) of the Investment Company Act of
1940. Such procedures include the consideration of relevant factors, data and
information relating to fair value, including (i) the characteristics of and
fundamental analytical data relating to the Loan Interest, including the cost,
size, current interest rate, period until next interest rate reset, maturity
and base lending rate of the Loan Interest, the terms and conditions of the
loan and any related agreements and the position of the loan in the borrower's
debt structure; (ii) the nature, adequacy and value of the collateral,
including the Portfolio's rights, remedies and interests with respect to the
collateral; (iii) the creditworthiness of the borrower, based on evaluations
of its financial condition, financial statements and information about the
borrower's business, cash flows, capital structure and future prospects; (iv)
information relating to the market for the Loan Interest including price
quotations for and trading in the Loan Interest and interests in similar loans
and the market environment and investor attitudes towards the Loan Interest
and interests in similar loans; (v) the reputation and financial condition of
the agent bank and any intermediate participant in the loan; and (vi) general
economic and market conditions affecting the fair value of the Loan Interest.
Other portfolio securities (other than short-term obligations, but including
listed issues) may be valued on the basis of prices furnished by one or more
pricing services which determine prices for normal, institutional-sized
trading units of such securities using market information, transactions for
comparable securities and various relationships between securities which are
generally recognized by institutional traders. In certain circumstances,
portfolio securities will be valued at the last sales price on the exchange
that is the primary market for such securities, or the last quoted bid price
for those securities for which the over-the-counter market is the primary
market or for listed securities in which there were no sales during the day.
The value of interest rate swaps will be determined in accordance with a
discounted present value formula and then confirmed by obtaining a bank
quotation. Short-term obligations which mature in sixty days or less are
valued at amortized cost, if their original term to maturity when acquired by
the Portfolio was 60 days or less, or are valued at amortized cost using their
value on the 61st day prior to maturity, if their original term to maturity
when acquired by the Portfolio was more than 60 days, unless in each case this
is determined not to represent fair value. Repurchase agreements are valued at
cost plus accrued interest. Other portfolio securities for which there are no
quotations or valuations are valued at fair value as determined in good faith
by or on behalf of the Trustees.
B. INCOME -- Interest income from Loan Interests is recorded on the accrual
basis at the then-current interest rate, while all other interest income is
determined on the basis of interest accrued, adjusted for amortization of
premium or discount when required for federal income tax purposes. Facility
fees received are recognized as income over the expected term of the loan.
C. INCOME TAXES -- The Portfolio is treated as a partnership for federal tax
purposes. No provision is made by the Portfolio for federal or state taxes on
any taxable income of the Portfolio because each investor in the Portfolio is
ultimately responsible for the payment of any taxes. Since some of the
Portfolio's investors are regulated investment companies that invest all or
substantially all of their assets in the Portfolio, the Portfolio normally
must satisfy the applicable source of income and diversification requirements
(under the Internal Revenue Code) in order for its investors to satisfy them.
The Portfolio will allocate at least annually among its investors each
investor's distributive share of the Portfolio's net investment income, net
realized capital gains, and any other items of income, gain, loss, deductions
or credit.
D. DEFERRED ORGANIZATION EXPENSES -- Costs incurred by the Portfolio in
connection with its organization are being amortized on the straight-line
basis over five years.
E. OTHER -- Investment transactions are accounted for on a trade date basis.
F. USE OF ESTIMATES -- The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities at the date of the financial statements and the reported amounts
of revenue and expense during the reporting period. Actual results could
differ from those estimates.
- ------------------------------------------------------------------------------
(2) INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
The investment advisory fee is earned by Boston Management and Research (BMR)
as compensation for investment advisory services rendered to the Portfolio.
The fee is computed at the monthly rate of 19/240 of 1% (0.95% per annum) of
the Portfolio's average daily gross assets up to and including $1 billion and
at reduced rates as daily gross assets exceed that level. For the six months
ended June 30, 1996, the effective annual rate, based on average daily gross
assets, was .91% (annualized) and amounted to $9,318,578. Except as to
Trustees of the Portfolio who are not members of BMR's organization, officers
and Trustees receive remuneration for their services to the Portfolio out of
such investment advisory fee. Investors Bank & Trust Company (IBT) serves as
custodian of the Portfolio. Prior to November 10, 1995, IBT was an affiliate
of EVM. Pursuant to the custodian agreement, IBT receives a fee reduced by
credits which are determined based on average daily cash balances the
Portfolio maintains with IBT. All significant credit balances are reported as
a reduction of expenses in the statement of operations. Certain of the
officers and Trustees of the Portfolio are officers and directors/trustees of
the above organizations. Trustees of the Portfolio that are not affiliated
with the Investment Advisor may elect to defer receipt of all or a percentage
of their annual fees in accordance with the terms of the Trustees Deferred
Compensation Plan. For the six months ended June 30, 1996, no significant
amounts have been deferred.
- ------------------------------------------------------------------------------
(3) INVESTMENTS
The Portfolio invests primarily in Loan Interests. The ability of the issuers
of the Loan Interests to meet their obligations may be affected by economic
developments in a specific industry. The cost of purchases and the proceeds
from principal repayments and sales of Loan Interests for the six months ended
June 30, 1996 aggregated $1,232,176,097 and $583,830,734, respectively.
- ------------------------------------------------------------------------------
(4) SHORT-TERM DEBT AND CREDIT AGREEMENTS
The Portfolio participates with other funds and portfolios managed by BMR and
Eaton Vance Management (EVM) in a $120 million unsecured line of credit
agreement with a bank. The line of credit consists of a $20 million committed
facility and a $100 million discretionary facility. Borrowings will be made by
the Portfolio solely to facilitate the handling of unusual and/or
unanticipated short-term cash requirements. Interest is charged to each
portfolio based on its borrowings at an amount above either the bank's
adjusted certificate of deposit rate, a variable adjusted certificate of
deposit rate, or a federal funds effective rate. In addition, a fee computed
at an annual rate of 1/4 of 1% on the $20 million committed facility and on
the daily unused portion of the $100 million discretionary facility is
allocated among the participating funds and portfolios at the end of each
quarter. The Portfolio did not have any significant borrowings or allocated
fees under this agreement during the period.
The Portfolio has also entered into a revolving credit agreement, that will
allow the Portfolio to borrow an additional $245 million to support the
issuance of commercial paper and to permit the Portfolio to invest in
accordance with its investment practices. Interest is charged under the
revolving credit agreement at the bank's base rate or at an amount above
either the bank's adjusted Libor rate or adjusted certificate of deposit rate.
Interest expense includes a commitment fee of approximately $320,912 which is
computed at the annual rate of 1/4 of 1% on the unused portion of the
revolving credit agreement. There were no borrowings under this agreement
during the six months ended June 30, 1996. As of June 30, 1996, the Portfolio
had no commercial paper outstanding.
- ------------------------------------------------------------------------------
(5) FEDERAL INCOME TAX BASIS OF INVESTMENT SECURITIES
The cost and unrealized appreciation/depreciation in the value of investments
owned at June 30, 1996, as computed on a federal income tax basis, were as
follows:
Aggregate cost $ 2,408,460,932
===============
Gross unrealized appreciation $ 3,996,833
Gross unrealized depreciation (11,679,800)
---------------
Net unrealized depreciation $ (7,682,967)
===============
<PAGE>
INDEPENDENT AUDITORS' REPORT
- ------------------------------------------------------------------------------
TO THE TRUSTEES AND INVESTORS OF
SENIOR DEBT PORTFOLIO:
We have audited the accompanying statement of assets and liabilities,
including the portfolio of investments, of Senior Debt Portfolio as of June
30, 1996, the related statements of operations and cash flows for the six
months then ended, and the statements of changes in net assets and the
supplementary data for the six months ended June 30, 1996 and for the period
from the start of business, February 22, 1995, to December 31, 1995 (all
expressed in United States dollars). These financial statements and
supplementary data are the responsibility of the Portfolio's management. Our
responsibility is to express an opinion on these financial statements and
supplementary data based on our audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States of America. Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the
financial statements and supplementary data are free of material misstatement.
An audit includes examining, on a test basis, evidence supporting the amounts
and disclosures in the financial statements. Our procedures included
confirmation of securities and Loan Interests owned at June 30, 1996, by
correspondence with the custodian and selling or agent banks; where replies
were not received from selling or agent banks, we performed other auditing
procedures. An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, such financial statements and supplementary data present
fairly, in all material respects, the financial position of Senior Debt
Portfolio as of June 30, 1996, the results of its operations and its cash
flows, the changes in its net assets, and its supplementary data for the
respective stated periods in conformity with accounting principles generally
accepted in the United States of America.
As discussed in Note 1A, the financial statements include Loan Interests and
certain other securities held by Senior Debt Portfolio valued at $2,070,189,306
(86% of net assets of the Portfolio), which values are fair values determined by
the Portfolio's investment adviser in the absence of actual market values.
Determination of fair value involves subjective judgment, as the actual market
value of a particular Loan Interest or security can be established only by
negotiation between the parties in a sales transaction. We have reviewed the
procedures established by the Trustees and used by the Portfolio's investment
adviser in determining the fair values of such Loan Interests and securities and
have inspected underlying documentation, and in the circumstances, we believe
that the procedures are reasonable and the documentation appropriate.
DELOITTE & TOUCHE
GRAND CAYMAN, CAYMAN ISLANDS
BRITISH WEST INDIES
AUGUST 9, 1996
<PAGE>
INVESTMENT MANAGEMENT FOR SENIOR DEBT PORTFOLIO
OFFICERS
JAMES B. HAWKES
President, Trustee
M. DOZIER GARDNER
Vice President, Trustee
WILLIAM CHISHOLM
Vice President
RAYMOND O'NEILL
Vice President
MICHEL NORMANDEAU
Vice President
JAMES L. O'CONNOR
Treasurer
THOMAS OTIS
Secretary
PORTFOLIO MANAGERS
SCOTT H. PAGE
Vice President
PAYSON F. SWAFFIELD
Vice President
TRUSTEES
DONALD R. DWIGHT
President, Dwight Partners, Inc., Chairman, Newspaper of New England, Inc.
SAMUEL L. HAYES, III
Jacob H. Schiff Professor of Investment Banking, Harvard University Graduate
School of Business Administration
NORTON H. REAMER
President and Director, United Asset Management Corporation
JOHN L. THORNDIKE
Director, Fiduciary Company Incorporated
JACK L. TREYNOR
Investment Adviser and Consultant
