<PAGE>
Senior Debt Portfolio
Semiannual Shareholder Report
December 31, 1997
Investment Adviser 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
200 Clarendon Street, 16th Floor
Boston, MA 02116
Transfer Agent
First Data Investor Services Group
Attention: Eaton Vance Funds
P.O. Box 5123
Westborough, MA 01581-5123
Banking Counsel
Mayer, Brown & Platt
787 Seventh Avenue
New York, NY 10019
Auditors
Deloitte & Touche LLP
125 Summer Street
Boston, MA 02110
<PAGE>
<TABLE>
Senior Debt Portfolio as of December 31, 1997
PORTFOLIO OF INVESTMENTS
(Expressed in United States Dollars)
Senior, Secured, Floating-Rate
Interests -- 90.6%
<CAPTION>
Principal
Amount Borrower/Business Description Value
- --------------------------------------------------------------------------------------
Aerospace/Defense -- 2.1%
- --------------------------------------------------------------------------------------
<S> <C> <C>
Aerostructures Corporation
$ 888,889 Revolving loan, maturing March 29, 2002 $ 888,889
6,944,444 Term loan, maturing March 29, 2002 6,944,444
8,652,381 Term loan, maturing September 30, 2003 8,652,381
3,146,320 Term loan, maturing September 30, 2004 3,146,320
Designs, manufactures, and assembles structural
aircraft components
Fairchild Holdings Corporation
0 Revolving loan, maturing July 28, 2000 0
Manufactures fasteners for the aerospace industry
K & F Industries, Inc.
15,860,409 Term loan, maturing October 15, 2005 15,860,409
Manufacturers aircraft braking systems
Mag Aerospace Industries, Inc.
4,743,234 Term loan, maturing December 6, 2003 4,743,234
Manufactures toilet systems for the aerospace
industry
Shared Technologies Fairchild Communications Corp.
3,400,000 Term loan, maturing March 30, 2001 3,400,000
Aerospace and specialty fasteners, and plastics
industry tooling systems
SWM Holdings, Inc.
5,000,000 Term loan, maturing May 27, 2005 5,000,000
Operator of ship yards
TransTechnology Corporation
0 Revolving loan, maturing December 31, 2000 0
1,163,105 Term loan, maturing December 31, 2000 1,163,105
7,200,000 Term loan, maturing June 30, 2002 7,200,000
Aerospace and specialty fasteners, rescue winches,
and hoists
Tri-Star Inc.
9,900,000 Term loan, maturing September 30, 2003 9,900,000
Distributor of aerospace fasteners
United Defense Industries, Inc.
9,197,101 Term loan, maturing October 6, 2005 9,197,101
8,924,493 Term loan, maturing October 6, 2005 8,924,493
Supplier of armored combat vehicles and weapons
systems
- --------------------------------------------------------------------------------------
$ 85,020,376
- --------------------------------------------------------------------------------------
Airlines -- 0.5%
- --------------------------------------------------------------------------------------
Continental Airlines, Inc.
$20,219,786 Term loan, maturing December 31, 2006 $ 20,219,786
Air carrier
- --------------------------------------------------------------------------------------
$ 20,219,786
- --------------------------------------------------------------------------------------
Automotive -- 3.2%
- --------------------------------------------------------------------------------------
American Axle & Manufacturing, Inc.
$29,000,000 Term loan, maturing April 30, 2006 $ 29,000,000
Develops and manufactures automotive parts
Breed Technologies, Inc.
53,000,000 Term loan, maturing October 30, 1998 53,000,000
Develops, assembles and markets motor vehicle safety
restraint components
Cambridge Industries, Inc.
26,000,000 Term loan, maturing June 30, 2005 26,000,000
Original equipment manufacturer of plastic auto parts
Hayes Wheels International, Inc.
3,650,937 Term loan, maturing July 31, 2004 3,650,937
2,957,389 Term loan, maturing July 31, 2005 2,957,389
Producer of automotive brakes and wheels
Plas-Tech (Engineered) Products, Inc.
6,058,824 Term loan, maturing April 1, 2002 6,058,824
3,941,176 Term loan, maturing April 1, 2004 3,941,176
Manufactures thermoplastic parts for automobiles
Stanadyne Automotive Corp.
5,000,000 Term loan, maturing December 10, 2004 5,000,000
Auto and light truck fuel injection equipment
- --------------------------------------------------------------------------------------
$ 129,608,326
- --------------------------------------------------------------------------------------
Auto Parts -- 0.9%
- --------------------------------------------------------------------------------------
AAS Holdings, LLC
$ 4,061,535 Term loan, maturing October 30, 2004 $ 4,061,535
Designs and manufactures automotive rack systems &
accessories
Exide Corporation
8,400,000 Term loan, maturing March 18, 2005 8,400,000
Manufactures batteries for automobiles
Safelite Glass Corporation
9,250,000 Term loan, maturing December 17, 2004 9,250,000
9,250,000 Term loan, maturing December 17, 2005 9,250,000
Auto glass replacement and repair service provider
Schrader, Inc.
6,734,271 Term loan, maturing February 28, 2001 6,734,271
Produces tire valves, accessories, and pneumatic
connectors
- --------------------------------------------------------------------------------------
$ 37,695,806
- --------------------------------------------------------------------------------------
Beverages -- Soft Drink -- 0.6%
- --------------------------------------------------------------------------------------
Dr. Pepper Bottling Holdings, Inc.
$15,000,000 Term loan, maturing December 31, 2005 $ 15,000,000
Soft drink bottler
Select Beverages, Inc.
3,880,234 Term loan, maturing June 30, 2001 3,880,234
5,820,351 Term loan, maturing June 30, 2002 5,820,351
Soft drink bottler
- --------------------------------------------------------------------------------------
$ 24,700,585
- --------------------------------------------------------------------------------------
Broadcast Media -- 10.7%
- --------------------------------------------------------------------------------------
Benedek Broadcasting Corporation
$15,057,209 Term loan, maturing May 1, 2001 $ 15,057,209
7,051,479 Term loan, maturing November 1, 2002 7,051,479
1,702,635 Term loan, maturing December 31, 2004 1,702,635
797,365 Term loan, maturing December 31, 2004 797,365
Broadcast television operator
Chancellor Radio Broadcasting Company
144,420 Revolving loan, maturing June 26, 2004 144,420
4,000,000 Term loan, maturing June 26, 2004 4,000,000
10,341,160 Revolving loan, maturing June 30, 2005 10,341,160
53,571,429 Term loan, maturing June 30, 2005 53,571,429
Radio broadcasting
Charter Communications Enterprises I, L.P.
1,669,391 Revolving loan, maturing December 31, 2003 1,669,391
15,032,855 Term loan, maturing December 31, 2003 15,032,855
Cable television provider
Charter Communications Enterprises II, L.P.
14,000,000 Term loan, maturing March 31, 2005 14,000,000
4,000,000 Term loan, maturing March 31, 2006 4,000,000
Cable television provider
Chelsea Communications, Inc.
10,000,000 Term loan, maturing December 31, 2004 10,000,000
Cable television provider
Classic Cable, Inc.
4,258,519 Revolving loan, June 30, 2004 4,258,519
3,706,501 Term loan, maturing June 30, 2004 3,706,501
9,796,225 Term loan, maturing June 30, 2005 9,796,225
Cable television provider
Comcorp Broadcasting, Inc.
6,097,561 Term loan, maturing September 30, 2005 6,097,561
Radio broadcasting
Falcon Cable Media
21,824,000 Term loan, maturing July 12, 2005 21,824,000
Cable television provider
Frontiervision Operating Partners, L.P.
15,000,000 Term loan, maturing March 31, 2006 15,000,000
Cable television provider
Intermedia Partners IV, L.P.
26,000,000 Term loan, maturing January 1, 2005 26,000,000
Cable television provider
Jacor Communications Company
17,000,000 Term loan, maturing December 31, 2004 17,000,000
Radio broadcasting
Marcus Cable Operating Company, L.P.
12,005,561 Term loan, maturing December 31, 2002 12,005,561
34,562,500 Term loan, maturing April 30, 2004 34,562,500
Cable television provider
Optel, Inc.
5,000,000 Term loan, maturing May 31, 2004 5,000,000
Cable television provider
Sinclair Broadcasting Group, Inc.
40,068,000 Term loan, maturing December 31, 2004 40,068,000
Broadcast television operator
Sullivan Broadcasting Company, Inc.
8,362,456 Term loan, maturing December 31, 2000 8,362,456
2,000,000 Acquisition revolving loan, maturing December 31, 2003 2,000,000
643,617 Revolving loan, maturing December 31, 2003 643,617
23,910,167 Term loan, maturing December 31, 2003 23,910,167
Broadcast television operator
TCI Pacific, Inc.
11,428,571 Revolving loan, maturing September 30, 2004 11,428,571
47,500,000 Term loan, maturing December 31, 2004 47,500,000
Cable television provider
White Knight Broadcasting, Inc.
3,902,439 Term loan, maturing September 30, 2005 3,902,439
Radio broadcasting
- --------------------------------------------------------------------------------------
$ 430,434,060
- --------------------------------------------------------------------------------------
Building Materials -- 1.7%
- --------------------------------------------------------------------------------------
Dayton Superior Corporation
$10,000,000 Term loan, maturing September 29, 2005 $ 10,000,000
Manufacturer of concrete, masonry and paving
accessories
Falcon Building Products, Inc.
10,719,286 Term loan, maturing June 30, 2005 10,719,286
Manufactures and distributes air distribution
equipment, plumbing fixtures and air compressors.
National Gypsum Company
49,707,847 Term loan, maturing September 20, 2003 49,707,847
Produces gypsum wallboard
- --------------------------------------------------------------------------------------
$ 70,427,133
- --------------------------------------------------------------------------------------
Chemicals -- 3.1%
- --------------------------------------------------------------------------------------
DT Acquisition Inc.
$ 8,814,842 Term loan, maturing December 16, 1998 $ 8,814,842
Diversified chemical producer
GEO Specialty Chemicals, Inc.
4,975,000 Term loan, maturing March 25, 2004 4,975,000
Diversified chemical producer
Huntsman Corporation
9,900,000 Term loan, maturing September 30, 2003 9,900,000
21,037,500 Term loan, maturing December 31, 2004 21,037,500
7,500,000 Term loan, maturing December 31, 2005 7,500,000
Diversified chemical producer
Huntsman Specialty Chemicals Corporation
0 Revolving loan, maturing March 15, 2002 0
7,240,491 Term loan, maturing March 15, 2002 7,240,491
9,900,000 Term loan, maturing March 15, 2004 9,900,000
9,900,000 Term loan, maturing March 15, 2005 9,900,000
Diversified chemical producer
Rheox, Inc.
0 Revolver loan, maturing January 30, 2004 0
18,016,667 Term loan, maturing January 30, 2004 18,016,667
Diversified chemical producer
Sterling Pulp Chemicals (Sask) Ltd.
7,230,323 Term loan, maturing June 30, 2005 7,230,323
Diversified chemical producer
STX Chemicals Corp.
21,839,993 Term loan, maturing September 30, 2004 21,839,993
Petrochemicals and pulp chemicals
- --------------------------------------------------------------------------------------
$ 126,354,816
- --------------------------------------------------------------------------------------
Chemicals Specialty -- 0.3%
- --------------------------------------------------------------------------------------
Harris Specialty Chemicals, Inc.
$ 253,792 Term loan, maturing December 31, 1999 $ 253,792
1,952,719 Term loan, maturing December 31, 2001 1,952,719
3,554,093 Term loan, maturing December 31, 2002 3,554,093
Construction chemicals
NEN Life Sciences Products, Inc.
5,265,306 Term loan, maturing December 31, 2004 5,265,306
Manufactures and distributes biochemical and related
products
- --------------------------------------------------------------------------------------
$ 11,025,910
- --------------------------------------------------------------------------------------
Coal -- 0.3%
- --------------------------------------------------------------------------------------
Alliance Coal Corporation
$ 4,143,663 Term loan, maturing December 31, 2001 $ 4,143,663
6,588,538 Term loan, maturing December 31, 2002 6,588,538
Diversified producer and supplier of steam and
metallurgical coal
- --------------------------------------------------------------------------------------
$ 10,732,201
- --------------------------------------------------------------------------------------
Commercial Services -- 5.7%
- --------------------------------------------------------------------------------------
Advanstar Communications, Inc.
$ 88,456 Revolving loan, maturing June 30, 2001 $ 88,456
3,188,855 Term loan, maturing December 21, 2003 3,188,855
9,712,644 Term loan, maturing December 31, 2002 9,712,644
Trade publication and exposition management company
American Floral Services, Inc.
5,000,000 Term loan, maturing June 30, 2004 5,000,000
Flowers-by-wire service
Brand Scaffold Services, Inc.
2,962,500 Term loan, September 30, 2003 2,962,500
1,975,000 Term loan, September 30, 2004 1,975,000
Industrial scaffolding rental, erection and
dismantlement services
Caterair International Corporation
37,027,200 Term loan, maturing March 1, 2007 37,027,200
Food service to airlines
Erickson Air-Crane Co.
8,932,500 Term loan, maturing December 31, 2004 8,932,500
Provider of heavy-lift helicopter services
NBC Merger Sub, Inc.
7,400,000 Term loan, maturing August 31, 2003 7,400,000
Used college textbook wholesaler
Outsourcing Solutions, Corp.
24,275,209 Term loan, maturing October 15, 2003 24,275,209
Accounts receivable management services
Outdoor Systems, Inc.
15,000,000 Term loan, maturing June 30, 2004 15,000,000
Outdoor advertising company
Omni Services, Inc.
22,910,000 Term loan, maturing October 30, 2005 22,910,000
Workwear rental, laundry and washroom servicing
PSI Acquisition Corporation
17,000,000 Term loan, maturing September 30, 2003 17,000,000
Diversified consulting services
SC International Services, Inc.
20,827,800 Term loan, maturing March 1, 2007 20,827,800
Food service to airlines
Volume Services, Inc.
960,000 Revolving loan, maturing December 31, 2000 960,000
4,957,200 Term loan, maturing December 31, 2002 4,957,200
2,478,500 Term loan, maturing December 31, 2003 2,478,500
Provides food services for civic centers and sports
facilities
Young & Rubicam L.P.
43,728,750 Term loan, maturing March 31, 2003 43,728,750
Advertising, public relations, direct marketing,
sales development and design and health care
communications
- --------------------------------------------------------------------------------------
$ 228,424,614
- --------------------------------------------------------------------------------------
Communication Equipment -- 0.3%
- --------------------------------------------------------------------------------------
Communications & Power Industries, Inc.
$ 1,500,000 Term loan, maturing August 11, 2000 $ 1,500,000
5,533,333 Term loan, maturing August 12, 2002 5,533,333
Microwave, electronic, and radio frequency components
Telex Communications, Inc.
5,000,000 Term loan, maturing November 6, 2004 5,000,000
Supplier of brand name communications products
- --------------------------------------------------------------------------------------
$ 12,033,333
- --------------------------------------------------------------------------------------
Computer Software -- 1.3%
- --------------------------------------------------------------------------------------
Decisionone Corporation
$ 2,175,332 Revolving loan, maturing August 7, 2003 $ 2,175,332
16,900,000 Term loan, maturing August 7, 2003 16,900,000
35,411,250 Term loan, maturing August 7, 2005 35,411,250
Provider of multi-vendor computer maintenance and
technology support
- --------------------------------------------------------------------------------------
$ 54,486,582
- --------------------------------------------------------------------------------------
Computer Systems -- 0.6%
- --------------------------------------------------------------------------------------
Anacomp, Inc.
$ 9,305,682 Term loan, maturing February 28, 2001 $ 9,305,682
Produces micrographics systems
Genicom Corporation
13,415,625 Term loan, maturing December 5, 2004 13,415,625
Produces computer printers and supplies and provides
multi-vendor servicing
- --------------------------------------------------------------------------------------
$ 22,721,307
- --------------------------------------------------------------------------------------
Conglomerates -- 1.0%
- --------------------------------------------------------------------------------------
American Marketing Industries, Inc.
$ 1,305,000 Term loan, maturing August 31, 2001 $ 1,305,000
3,430,000 Term loan, maturing November 30, 2002 3,430,000
6,550,500 Term loan, maturing November 30, 2003 6,550,500
2,250,000 Term loan, maturing November 30, 2004 2,250,000
Manufacturer and distributor of corporate promotional
and incentive products
E & S Holdings
4,277,778 Term loan, maturing September 30, 2004 4,277,778
4,277,778 Term loan, maturing September 30, 2005 4,277,778
2,444,444 Term loan, maturing March 30, 2006 2,444,444
Sporting goods and infant products
Fenway Holdings, L.L.C.
4,742,465 Term loan, maturing September 15, 2002 4,742,465
Manufactures and distributes billiard tables, dart
machines, wood moldings, windows, doors, artificial
flowers, archery bows, and plastics.
Phase Metrics, Inc.
4,950,000 Term loan, maturing December 4, 2001 4,950,000
Designs and manufactures production test equipment
for the computer data storage industry
Smarte Carte Corporation
483,871 Term loan, maturing December 31, 2001 483,871
2,914,286 Term loan, maturing June 30, 2003 2,914,286
4,410,000 Term loan, maturing June 30, 2004 4,410,000
Airport baggage cart management and self storage
locker service
- --------------------------------------------------------------------------------------
$ 42,036,122
- --------------------------------------------------------------------------------------
Containers -- Metal & Glass -- 1.9%
- --------------------------------------------------------------------------------------
Calmar, Inc.
$ 5,868,750 Term loan, maturing September 15, 2003 $ 5,868,750
4,395,000 Term loan, maturing June 15, 2004 4,395,000
Plastic sprayers and dispensers
Reid Plastics, Inc.
9,971,683 Term loan, maturing November 12, 2003 9,971,683
7,500,000 Term loan, maturing November 12, 2004 7,500,000
Bottle manufacturer
Russell-Stanley Holdings, Inc.
14,000,000 Term loan, maturing September 30, 2005 14,000,000
Manufactures and markets steel and plastic drums
Silgan Corporation
27,362,500 Term loan, maturing June 30, 2005 27,362,500
Metal and plastic packaging products
Truseal Technologies, Inc.
7,477,500 Term loan, maturing July 1, 2004 7,477,500
Manufactures and distributes patented sealant
products
- --------------------------------------------------------------------------------------
$ 76,575,433
- --------------------------------------------------------------------------------------
Containers -- Paper -- 5.9%
- --------------------------------------------------------------------------------------
IPC, Inc.
$40,386,250 Term loan, maturing September 30, 2004 $ 40,386,250
Plastic and paper packaging products
Jefferson Smurfit Corporation
37,366,827 Term loan, maturing April 30, 2001 37,366,827
22,190,481 Term loan, maturing April 30, 2002 22,190,481
10,741,040 Term loan, maturing October 31, 2002 10,741,040
Liner board and other paper board products
RIC Holding, Inc.
7,092,309 Revolving loan, maturing February 28, 2003 7,092,309
15,038,657 Term loan, maturing February 28, 2003 15,038,657
10,483,390 Term loan, maturing February 28, 2004 10,483,390
4,154,270 Term loan, maturing August 28, 2004 4,154,270
Liner board, lumber and paper packaging products
St. Laurent Paper Products
3,876,289 Term loan, maturing May 31, 2003 3,876,289
4,123,711 Term loan, maturing May 31, 2004 4,123,711
Major U.S. producer of pulp and paper
Stone Container Corporation
32,645,498 Term loan, maturing April 1, 2000 32,645,498
38,414,645 Term loan, maturing October 1, 2003 38,414,645
Commodity pulp, paper and packaging products
Stronghaven, Inc.
9,401,724 Term loan, maturing May 31, 2004 9,401,724
1,830,657 Term loan, maturing May 15, 2004 1,830,657
Manufacturer of corrugated boxes
- --------------------------------------------------------------------------------------
$ 237,745,748
- --------------------------------------------------------------------------------------
Cosmetics -- 2.3%
- --------------------------------------------------------------------------------------
AM Cosmetics, Inc.
$ 974,359 Term loan, maturing June 30, 2003 $ 974,359
12,937,494 Term loan, maturing December 31, 2004 12,937,494
Cosmetics, skin and hair care, and perfume products
Mary Kay Cosmetics, Inc.
15,310,680 Term loan, maturing March 6, 2004 15,310,680
Cosmetics, skin and hair care, and perfume products
Revlon Consumer Products Corporation
62,000,000 Term loan, maturing May 29, 2002 62,000,000
Cosmetics, skin and hair care, and perfume products
- --------------------------------------------------------------------------------------
$ 91,222,533
- --------------------------------------------------------------------------------------
Electrical Equipment -- 0.5%
- --------------------------------------------------------------------------------------
Celestica International, Inc.
$ 8,415,000 Term loan, maturing June 30, 2003 $ 8,415,000
Produces memory and power systems
Chatham Enterprises Inc.
1,865,000 Term loan, maturing August 18, 2003 1,865,000
3,497,308 Term loan, maturing August 18, 2005 3,497,308
Producer of electronic enclosures
Viasystems, Inc.
3,963,636 Term loan, maturing April 30, 2003 3,963,636
2,400,000 Term loan, maturing April 30, 2003 2,400,000
Supplier of interconnection products
- --------------------------------------------------------------------------------------
$ 20,140,944
- --------------------------------------------------------------------------------------
Electronics -- Defense -- 0.4%
- --------------------------------------------------------------------------------------
L-3 Communications Corporation
$ 1,342,000 Term loan, maturing March 31, 2003 $ 1,342,000
2,483,333 Term loan, maturing March 31, 2005 2,483,333
1,633,500 Term loan, maturing March 31, 2006 1,633,500
Designs and manufactures secure communication systems
and instrumentation products
SPD Holdings, Inc.
911,650 Revolving loan, maturing June 30, 2002 911,650
1,095,209 Term loan, maturing June 30, 2002 1,095,209
7,487,972 Term loan, maturing June 30, 2004 7,487,972
Manufactures circuit breakers, switchgear and control
panels for warships
- --------------------------------------------------------------------------------------
$ 14,953,664
- --------------------------------------------------------------------------------------
Electronics -Instrumentation -- 1.1%
- --------------------------------------------------------------------------------------
Amphenol Corporation
$15,967,500 Term loan, maturing May 19, 2005 $ 15,967,500
15,673,125 Term loan, maturing May 19, 2006 15,673,125
Designs, manufactures and markets interconnect
systems and coaxial cable
Details, Inc.
5,000,000 Term loan, maturing October 27, 2003 5,000,000
1,000,000 Term loan, maturing October 27, 2004 1,000,000
Manufactures prototype printed circuit boards
Packard Bioscience Company
4,975,000 Term loan, maturing March 31, 2003 4,975,000
Manufacturer and distributor of bioanalytical
equipment
- --------------------------------------------------------------------------------------
$ 42,615,625
- --------------------------------------------------------------------------------------
Foods -- 2.7%
- --------------------------------------------------------------------------------------
Del Monte Corporation
$ 6,181,818 Term loan, maturing March 31, 2003 $ 6,181,818
12,750,000 Term loan, maturing March 31, 2005 12,750,000
Manufactures and markets canned vegetables and canned
fruit
Favorite Brands International, Inc.
2,587,780 Revolving loan, maturing August 30, 2001 2,587,780
7,359,389 Term loan, maturing August 30, 2003 7,359,389
12,418,131 Term loan, maturing August 30, 2004 12,418,131
3,396,664 Term loan, maturing February 28, 2005 3,396,664
Manufactures and markets marshmallows and caramels
International Home Foods, Inc.
146,667 Revolving loan, maturing March 31, 2003 146,667
2,016,542 Term loan, maturing March 31, 2003 2,016,542
18,000,000 Term loan, maturing September 30, 2005 18,000,000
Manufactures and markets food products with popular
brand names
Southern Foods Group, L.P.
3,922,240 Term loan, maturing February 28, 2006 3,922,240
Processes and sells dairy products
Specialty Foods Corporation
27,271,521 Term loan, maturing April 30, 2001 27,271,521
Bread and cheese products
Van De Kamp's, Inc.
7,029,687 Term loan, maturing April 30, 2003 7,029,687
4,410,601 Term loan, maturing September 30, 2003 4,410,601
Distributor of frozen convenience foods
- --------------------------------------------------------------------------------------
$ 107,491,040
- --------------------------------------------------------------------------------------
Food Wholesalers -- 0.7%
- --------------------------------------------------------------------------------------
Fleming Companies, Inc.
$28,980,042 Term loan, maturing July 25, 2004 $ 28,980,042
Wholesale food distributor
- --------------------------------------------------------------------------------------
$ 28,980,042
- --------------------------------------------------------------------------------------
Hardware & Tools -- 0.2%
- --------------------------------------------------------------------------------------
Werner Holding Company, Inc.
$ 4,050,000 Term loan, maturing November 30, 2004 $ 4,050,000
4,950,000 Term loan, maturing November 30, 2005 4,950,000
Manufactures and markets ladders and other climbing
products
- --------------------------------------------------------------------------------------
$ 9,000,000
- --------------------------------------------------------------------------------------
Health Care -- Miscellaneous -- 6.9%
- --------------------------------------------------------------------------------------
Ameripath, Inc.
$10,000,000 Term loan, maturing June 27, 2004 $ 10,000,000
Anatomical pathology services
Extendicare Health Services, Inc.
25,500,000 Term loan, maturing December 31, 2004 25,500,000
Operator of long-term care facilities
Genesis Health Ventures, Inc.
10,640,012 Term loan, maturing September 30, 2004 10,640,012
10,620,000 Term loan, maturing June 1, 2005 10,620,000
Operator of long-term care facilities, outpatient
clinics and home health care services
Imed Corporation
9,000,000 Term loan, maturing November 30, 2002 9,000,000
4,544,100 Term loan, maturing November 30, 2003 4,544,100
4,544,100 Term loan, maturing November 30, 2004 4,544,100
4,276,800 Term loan, maturing May 31, 2005 4,276,800
Provider of infusion systems and related technologies
Integrated Health Services, Inc.
33,000,000 Term loan, maturing September 15, 2003 33,000,000
Provider of post-acute health care services
Kinetic Concepts, Inc.
5,250,000 Term loan, maturing December 31, 2004 5,250,000
5,250,000 Term loan, maturing December 31, 2005 5,250,000
Designs, manufactures and markets therapeutic systems
Leiner Health Products Inc.
5,970,000 Term loan, maturing December 30, 2004 5,970,000
4,477,500 Term loan, maturing December 31, 2005 4,477,500
Manufactures and markets vitamins, minerals and
nutritional supplements
Mediq / Prn Life Support Service
9,854,628 Term loan, maturing September 30, 2004 9,854,628
Medical equipment and rental services
Merit Behavioral Care Corporation
11,669,746 Term loan, maturing March 31, 2007 11,669,746
Mental health care provider
National Medical Care, Inc.
60,000,000 Term loan, maturing September 30, 2003 60,000,000
Kidney dialysis service provider
Paragon Health Network, Inc.
12,500,000 Term loan, maturing March 31, 2005 12,500,000
12,500,000 Term loan, maturing March 31, 2006 12,500,000
Operator of long-term care facilities
SMT Health Services
9,975,000 Term loan, maturing August 31, 2003 9,975,000
Provider of mobile magnetic resonance imaging
services
Sun Healthcare Group, Inc.
8,250,000 Term loan, maturing October 9, 2004 8,250,000
8,250,000 Term loan, maturing October 9, 2005 8,250,000
Operator of long-term care facilities, rehabilitation
facilities and home health care services
The Multicare Companies Inc. (Genesis Eldercare)
7,980,009 Term loan, maturing September 30, 2004 7,980,009
2,655,000 Term loan, maturing June 1, 2005 2,655,000
Operator of long-term care facilities, outpatient
clinics and home health care services
Total Renal Care Holdings, Inc.
0 Term loan, maturing September 30, 2007 0
Kidney dialysis service provider
WGL Acquisition Corp.
3,940,000 Term loan, maturing July 10, 2004 3,940,000
Manufactures medical devices and batteries for
medical and commercial applications
- --------------------------------------------------------------------------------------
$ 280,646,895
- --------------------------------------------------------------------------------------
Hospital Management -- 0.9%
- --------------------------------------------------------------------------------------
Community Health Systems, Inc.
$12,561,644 Term loan, maturing December 31, 2003 $ 12,561,644
12,561,644 Term loan, maturing December 31, 2004 12,561,644
9,445,205 Term loan, maturing December 31, 2005 9,445,205
Hospital and healthcare management
- --------------------------------------------------------------------------------------
$ 34,568,493
- --------------------------------------------------------------------------------------
Hotels -- 1.1%
- --------------------------------------------------------------------------------------
Capstar Hotel Company
$11,250,000 Term loan, maturing June 30, 2004 $ 11,250,000
Hotel management
Hard Rock Hotel, Inc.
2,000,000 Term loan, maturing October 24, 2003 2,000,000
3,000,000 Term loan, maturing October 24, 2004 3,000,000
3,000,000 Term loan, maturing October 24, 2005 3,000,000
Hotel management
HMC Capital Resources Corp.
532,800 Term loan, maturing June 17, 2004 532,800
Hotel management
Interstate Hotels Corporation
4,743,590 Term loan, maturing June 25, 2003 4,743,590
19,688,034 Term loan, maturing June 25, 2004 19,688,034
Hotel management
- --------------------------------------------------------------------------------------
$ 44,214,424
- --------------------------------------------------------------------------------------
Household Furnishings -- 2.7%
- --------------------------------------------------------------------------------------
Furniture Brands International, Inc.
$ 9,000,000 Term loan, maturing June 27, 2004 $ 9,000,000
31,000,000 Term loan, maturing June 27, 2007 31,000,000
Manufacturer of residential furniture
Goodman Manufacturing Company, L.P.
9,095,541 Term loan, maturing September 30, 2003 9,095,541
17,750,000 Term loan, maturing September 30, 2004 17,750,000
17,750,000 Term loan, maturing September 30, 2005 17,750,000
Manufacturer of heating/air conditioning equipment
Sealy Mattress Company
6,060,606 Term loan, maturing December 15, 2004 6,060,606
4,363,636 Term loan, maturing December 15, 2005 4,363,636
5,575,758 Term loan, maturing December 15, 2006 5,575,758
Manufactures bedding
Simmons Company
6,940,000 Term loan, maturing March 31, 2003 6,940,000
Manufactures bedding
- --------------------------------------------------------------------------------------
$ 107,535,541
- --------------------------------------------------------------------------------------
Household Products -- 0.5%
- --------------------------------------------------------------------------------------
Playtex Products, Inc.
$21,890,000 Term loan, maturing June 15, 2003 $ 21,890,000
Manufactures and markets a diversified line of
consumer products
- --------------------------------------------------------------------------------------
$ 21,890,000
- --------------------------------------------------------------------------------------
Housewares -- 0.2%
- --------------------------------------------------------------------------------------
Pillowtex Corporation
$ 6,500,000 Term loan, maturing December 31, 2004 $ 6,500,000
Producer of textile products
- --------------------------------------------------------------------------------------
$ 6,500,000
- --------------------------------------------------------------------------------------
Insurance Brokers -- 0.5%
- --------------------------------------------------------------------------------------
Acordia, Inc.
$ 5,900,000 Term loan, maturing December 31, 2004 $ 5,900,000
Provider of retail based brokerage services
TRG Holding Corporation
15,000,000 Term loan, maturing January 7, 2003 15,000,000
Provider of insurance services
- --------------------------------------------------------------------------------------
$ 20,900,000
- --------------------------------------------------------------------------------------
Leisure -- 3.9%
- --------------------------------------------------------------------------------------
24 Hour Fitness, Inc.
$10,000,000 Term loan, maturing December 31, 2004 $ 10,000,000
Fitness center chain
AMF Bowling Worldwide, Inc.
219,595 Revolving loan, maturing March 31, 2002 219,595
13,336,620 Term loan, maturing March 31, 2002 13,336,620
Manufactures and operates bowling equipment and
supplies
AMF Group, Inc.
14,799,106 Term loan, maturing March 31, 2003 14,799,106
13,007,981 Term loan, maturing March 31, 2004 13,007,981
Manufactures and operates bowling equipment and
supplies
ASC East, Inc.
3,857,143 Term loan, maturing May 31, 2006 3,857,143
Operator of alpine resorts
ASC West, Inc.
9,642,857 Term loan, maturing May 31, 2006 9,642,857
Operator of alpine resorts
Alliance Gaming Corporation
7,129,464 Term loan, maturing January 31, 2005 7,129,464
2,850,000 Term loan, maturing July 31, 2005 2,850,000
Designs and manufacturing gaming machines
Interval International Corporation
6,625,000 Term loan, maturing December 16, 2005 6,625,000
6,625,000 Term loan, maturing December 15, 2006 6,625,000
Timeshare exchange operator
KSL Recreation Group, Inc.
6,653,572 Revolving loan, maturing April 30, 2005 6,653,572
7,028,846 Term loan, maturing April 30, 2005 7,028,846
7,028,846 Term loan, maturing April 30, 2006 7,028,846
Operates properties in the leisure, recreation,
resort and travel fields
Metro-Goldwyn-Mayer, Inc.
25,000,000 Term loan, maturing December 31, 2006 25,000,000
Film and television production and distribution
Mikohn Gaming Corporation
5,000,000 Term loan, maturing April 1, 2004 5,000,000
Developer, manufacturer and distributor of gaming
equipment
Six Flags Theme Parks, Inc.
6,649,355 Term loan, maturing June 23, 2001 6,649,355
10,137,000 Term loan, maturing June 23, 2003 10,137,000
Amusement parks
- --------------------------------------------------------------------------------------
$ 155,590,385
- --------------------------------------------------------------------------------------
Machinery -- 0.3%
- --------------------------------------------------------------------------------------
Numatics, Incorporated
$ 4,222,732 Term loan, maturing January 3, 2002 $ 4,222,732
7,626,312 Term loan, maturing January 3, 2004 7,626,312
Manufactures air valves, cylinders, and air
filtration and drying devices
- --------------------------------------------------------------------------------------
$ 11,849,044
- --------------------------------------------------------------------------------------
Manufacturing -- Diversified -- 4.7%
- --------------------------------------------------------------------------------------
AMSCAN Holdings, Inc.
$ 8,454,545 Term loan, maturing December 31, 2004 $ 8,454,545
Designs, manufactures and distributes decorative
party goods
CFS Holding N.V.
9,398,729 Term loan, maturing June 30, 2005 9,398,729
Supplier of integrated production lines for food
processing and packaging
Columbus McKinnon Corporation
5,644,000 Revolving loan, maturing September 30, 2001 5,644,000
6,878,036 Term loan, maturing September 30, 2001 6,878,036
12,469,349 Term loan, maturing September 30, 2003 12,469,349
Manufacturer of hoists and lifting equipment
Desa International, Inc.
7,500,000 Term loan, maturing November 30, 2004 7,500,000
Manufactures indoor and outdoor heaters and specialty
tools
Foamex L.P.
3,879,630 Revolving loan, maturing June 30, 2003 3,879,630
5,559,174 Term loan, maturing June 30, 2003 5,559,174
8,339,048 Term loan, maturing June 30, 2005 8,339,048
7,580,952 Term loan, maturing June 30, 2006 7,580,952
7,000,000 Term loan, maturing December 31, 2006 7,000,000
Manufactures flexible polyurethane and polymer foam
products
International Wire Group, Inc.
23,962,617 Term loan, maturing September 30, 2002 23,962,617
Manufactures and markets copper wire and harnesses
InteSys Technologies, Inc.
4,390,244 Term loan, maturing December 31, 2001 4,390,244
Designs and manufactures plastic components for
original equipment manufacturers
Jackson Products, Inc.
1,975,000 Term loan, maturing September 1, 2001 1,975,000
7,323,912 Term loan, maturing September 1, 2002 7,323,912
7,331,250 Term loan, maturing September 1, 2003 7,331,250
Manufactures and distributes safety equipment and
reflective beads
Joan Fabrics Corporation
$ 5,622,678 Revolving loan, maturing June 30, 2003 $ 5,622,678
10,882,604 Term loan, maturing June 30, 2003 10,882,604
14,473,684 Term loan, maturing June 30, 2005 14,473,684
7,526,316 Term loan, maturing June 30, 2006 7,526,316
Manufacturer of velour fabrics for automotive and
furniture systems
Matthew Warren, Inc.
6,922,328 Term loan, maturing February 28, 2004 6,922,328
Manufactures and distributes industrial spring
products
Panavision International, L.P.
2,163,333 Revolving loan, maturing June 30, 2004 2,163,333
4,400,000 Term loan, maturing June 30, 2004 4,400,000
Manufactures lens and camera equipment
Panolam Industries, Inc.
828,000 Term loan, maturing November 1, 2002 828,000
4,564,000 Term loan, maturing November 1, 2004 4,564,000
2,608,000 Term loan, maturing November 1, 2005 2,608,000
2,000,000 Term loan, maturing May 1, 2006 2,000,000
Designs, manufactures and markets decorative
thermally- fused melamine panels
- --------------------------------------------------------------------------------------
$ 189,677,429
- --------------------------------------------------------------------------------------
Medical Products -- 1.0%
- --------------------------------------------------------------------------------------
Graphic Controls Corporation
$10,786,925 Term loan, maturing August 28, 2003 $ 10,786,925
4,890,890 Term loan, maturing September 28, 2003 4,890,890
Recording and monitoring devices
Nutramax Products, Inc.
3,936,944 Term loan, maturing December 31, 2003 3,936,944
6,000,000 Term loan, maturing September 30, 2004 6,000,000
Manufactures and markets private label health and
personal care products
Sterling Diagnostic Imaging, Inc.
15,000,000 Term loan, maturing December 30, 2005 15,000,000
Manufacturer and marketer of medical x-ray imaging
films and related products
- --------------------------------------------------------------------------------------
$ 40,614,759
- --------------------------------------------------------------------------------------
Metals -- 0.2%
- --------------------------------------------------------------------------------------
U.S. Silica Company
$ 4,145,337 Term loan, maturing December 31, 2001 $ 4,145,337
3,893,333 Term loan, maturing December 31, 2003 3,893,333
Producer of industrial silica
- --------------------------------------------------------------------------------------
$ 8,038,670
- --------------------------------------------------------------------------------------
Miscellaneous -- 1.5%
- --------------------------------------------------------------------------------
Allied Waste North America
$ 7,200,000 Term loan, maturing October 17, 2003 $ 7,200,000
7,644,000 Term loan, maturing December 31, 2003 7,644,000
Non-hazardous solid waste management
LESI, Inc.
7,462,500 Term loan, maturing May 15, 2004 7,462,500
7,462,500 Term loan, maturing May 15, 2005 7,462,500
Hazardous solid waste management
Prime Succession, Inc.
15,822,222 Term loan, maturing August 1, 2003 15,822,222
Operator of funeral homes and cemeteries
Rose Hills Company
9,800,447 Term loan, maturing December 1, 2003 9,800,447
Operator of funeral homes and cemeteries
Walco International, Inc.
4,966,667 Term loan, maturing March 31, 2004 4,966,667
Distributes food animal health products
- --------------------------------------------------------------------------------------
$ 60,358,336
- --------------------------------------------------------------------------------------
Office Equipment and Supplies -- 0.6%
- --------------------------------------------------------------------------------------
F.M.E. Corporation (Neopost, S.A.)
$12,314,749 Term loan, maturing June 24, 2006 $ 12,314,749
Producer of mailroom products
Identity Group, Inc.
9,949,749 Term loan, maturing November 22, 2003 9,949,749
Manufactures and distributes ink delivery products
- --------------------------------------------------------------------------------------
$ 22,264,498
- --------------------------------------------------------------------------------------
Paper and Forest Products -- 0.7%
- --------------------------------------------------------------------------------------
Bear Island Paper Company, LLC
$ 9,000,000 Term loan, maturing December 31, 2005 $ 9,000,000
Producer of news print
S.D. Warren Company
19,578,400 Term loan, maturing December 20, 2002 19,578,400
Major U.S. producer of coated free paper
- --------------------------------------------------------------------------------------
$ 28,578,400
- --------------------------------------------------------------------------------------
Publishing -- 2.4%
- --------------------------------------------------------------------------------------
Cullman Ventures, Inc.
$15,000,000 Term loan, maturing January 31, 2004 $ 15,000,000
Producer of calendars, organizers, diaries and
related products
Cygnus Publishing, Inc.
13,500,000 Term loan, maturing June 5, 2005 13,500,000
Leader in the education, media and information
businesses
Primedia, Inc.
8,770,000 Revolving loan, maturing June 30, 2004 8,770,000
31,500,000 Term loan, maturing June 30, 2004 31,500,000
Leader in the education, media and information
businesses
Rand McNally & Company
1,000,000 Term loan, maturing April 30, 2005 1,000,000
4,500,000 Term loan, maturing April 30, 2006 4,500,000
Provider of geographic information
Von Hoffman Press, Inc.
5,768,143 Term loan, maturing May 30, 2004 5,768,143
5,768,143 Term loan, maturing May 30, 2005 5,768,143
Manufactures textbooks for educational purposes
Yellow Book USA, L.P.
5,000,000 Term loan, maturing September 30, 2005 5,000,000
3,692,308 Term loan, maturing December 31, 2005 3,692,308
2,307,692 Term loan, maturing December 31, 2006 2,307,692
Publisher of yellow pages directories
- --------------------------------------------------------------------------------------
$ 96,806,286
- --------------------------------------------------------------------------------------
Publishing -- Newspapers -- 2.0%
- --------------------------------------------------------------------------------------
21st Century Newspapers, Inc.
$ 9,500,000 Term loan, maturing February 15, 2005 $ 9,500,000
Community newspaper
American Media Operations, Inc.
774,471 Revolving loan, maturing September 30, 2002 774,471
15,939,857 Term loan, maturing September 30, 2002 15,939,857
Weekly periodical publisher
Garden State Newspapers, Inc.
505,263 Revolving loan, maturing June 30, 2003 505,263
0 Revolving loan, maturing March 31, 2004 0
1,473,684 Term loan, maturing March 31, 2004 1,473,684
Suburban newspaper
Journal Register Company
8,168,237 Term loan, maturing June 30, 2000 8,168,237
22,462,955 Term loan, maturing December 31, 2002 22,462,955
4,084,118 Term loan, maturing May 5, 2003 4,084,118
Suburban newspaper
Morris Communications Corporation
20,000,000 Term loan, maturing June 30, 2005 20,000,000
Daily and non-daily publisher
- --------------------------------------------------------------------------------------
$ 82,908,585
- --------------------------------------------------------------------------------------
Railroads -- 0.2%
- --------------------------------------------------------------------------------------
I & M Rail Link, LLC
$ 2,800,000 Revolving loan, maturing March 31, 2004 $ 2,800,000
6,880,000 Term loan, maturing March 31, 2004 6,880,000
Railway operating firm
- --------------------------------------------------------------------------------------
$ 9,680,000
- --------------------------------------------------------------------------------------
Restaurants -- 2.4%
- --------------------------------------------------------------------------------------
Friendly Ice Cream Corporation
$ 1,285,714 Term loan, maturing November 15, 2004 $ 1,285,714
6,428,572 Term loan, maturing November 15, 2005 6,428,572
Operates full service casual dining restaurants
Houlihan's Restaurants, Inc.
4,975,000 Term loan, maturing April 15, 2004 4,975,000
Operates full service casual dining restaurants
Long John Silver's Restaurants, Inc.
7,031,065 Term loan, maturing September 30, 2002 7,031,065
Seafood restaurants
Shoney's Inc.
4,750,000 Term loan, maturing April 30, 2002 4,750,000
9,975,000 Term loan, maturing April 30, 2002 9,975,000
Operates full service casual dining restaurants
Tricon Global Restaurants, Inc.
63,960,000 Term loan, maturing October 2, 2002 63,960,000
Quick service restaurant provider
- --------------------------------------------------------------------------------------
$ 98,405,351
- --------------------------------------------------------------------------------------
Retail Stores -- Drug Stores -- 0.3%
- --------------------------------------------------------------------------------------
Duane Reade, Inc.
$12,468,499 Term loan, maturing June 15, 2002 $ 12,468,499
Retail drug stores
- --------------------------------------------------------------------------------------
$ 12,468,499
- --------------------------------------------------------------------------------------
Retail Stores -- Food Chains -- 2.9%
- --------------------------------------------------------------------------------------
Pathmark Stores, Inc.
$32,963,333 Term loan, maturing December 15, 2001 $ 32,963,333
Supermarket chain in New York Metro Area
Ralphs Grocery Company
26,601,905 Term loan, maturing February 15, 2003 26,601,905
37,715,000 Term loan, maturing February 15, 2004 37,715,000
Third largest supermarket chain in Southern
California
Star Market Company, Inc.
10,042,105 Term loan, maturing December 31, 2001 10,042,105
7,884,211 Term loan, maturing December 31, 2002 7,884,211
Supermarket chain in Massachusetts
- --------------------------------------------------------------------------------------
$ 115,206,554
- --------------------------------------------------------------------------------------
Retail -- Specialty -- 1.3%
- --------------------------------------------------------------------------------------
CSK Auto, Inc.
$15,000,000 Term loan, maturing October 31, 2003 $ 15,000,000
Retailer of automotive parts and accessories
Griffith Consumers Company
5,559,874 Term loan, maturing December 31, 2000 5,559,874
10,001,068 Term loan, maturing December 31, 2002 10,001,068
7,717,437 Term loan, maturing December 31, 2003 7,717,437
Retail petroleum distributor
Petro Stopping Centers
6,555,556 Term loan, maturing December 31, 2003 6,555,556
Operator of full-service truck stops
Travelcenters of America, Inc.
7,975,000 Term loan, maturing March 27, 2005 7,975,000
Operator of truck stops
- --------------------------------------------------------------------------------------
$ 52,808,935
- --------------------------------------------------------------------------------------
Steel -- 0.2%
- --------------------------------------------------------------------------------------
UCAR Global Enterprises, Inc.
$ 8,000,000 Term loan, maturing December 31, 2002 $ 8,000,000
Processing materials for steel industry
- --------------------------------------------------------------------------------------
$ 8,000,000
- --------------------------------------------------------------------------------------
Telecommunications -- 1.0%
- --------------------------------------------------------------------------------------
Access Communications, Inc.
$10,000,000 Term loan, maturing December 31, 2004 $ 10,000,000
Provider of long distance and other
telecommunications services
Arch Communications Enterprises, Inc.
10,500,000 Term loan, maturing December 31, 2003 10,500,000
Paging service provider
Price Communications Wireless, Inc.
1,883,333 Revolving loan, maturing September 30, 2005 1,883,333
1,666,667 Term loan, maturing September 30, 2005 1,666,667
18,000,000 Term loan, maturing September 30, 2006 18,000,000
Cellular systems provider
- --------------------------------------------------------------------------------------
$ 42,050,000
- --------------------------------------------------------------------------------------
Telephone -- 0.2%
- --------------------------------------------------------------------------------------
NSC Communications Corporation
$ 4,563,045 Revolving loan, maturing April 1, 2003 $ 4,563,045
4,378,846 Term loan, maturing October 1, 2003 4,378,846
Independent payphone provider
- --------------------------------------------------------------------------------------
$ 8,941,891
- --------------------------------------------------------------------------------------
Textiles -- 1.8%
- --------------------------------------------------------------------------------------
CAF Holdings, Inc.
$ 4,694,118 Term loan, maturing June 30, 2002 $ 4,694,118
Manufactures and markets commercial floorcovering
Collins & Aikman Products Company
31,685,196 Term loan, maturing December 31, 2002 31,685,196
Automotive products, residential upholstery fabrics,
and wallcoverings
GFSI, Inc. (Gear for Sports)
13,930,000 Term loan, maturing March 31, 2004 13,930,000
Designs, manufactures and markets custom design
sportswear and activewear
Renfro Corporation
5,000,000 Term loan, maturing November 15, 2003 5,000,000
Manufactures socks
The William Carter Company
6,174,000 Term loan, maturing October 31, 2003 6,174,000
Manufacturer and distributor of children's apparel
Walls Industries, Inc.
5,042,552 Term loan, maturing February 28, 2005 5,042,552
6,861,703 Term loan, maturing February 28, 2006 6,861,703
Manufactures and markets workwear, hunting and
outdoor apparel and outerwear
- --------------------------------------------------------------------------------------
$ 73,387,569
- --------------------------------------------------------------------------------------
Toys -- 0.2%
- --------------------------------------------------------------------------------------
Hedstrom Corporation
$ 1,973,333 Term loan, maturing June 30, 2003 $ 1,973,333
7,224,107 Term loan, maturing June 30, 2005 7,224,107
Manufactures swingsets and other children's toys
- --------------------------------------------------------------------------------------
$ 9,197,440
- --------------------------------------------------------------------------------------
Transportation -- 0.8%
- --------------------------------------------------------------------------------------
Atlas Freighter Leasing, Inc.
$ 5,500,000 Term loan, maturing May 29, 2004 $ 5,500,000
Aircraft leasing
Evergreen International Aviation, Inc.
19,836,002 Term loan, maturing April 30, 2002 19,836,002
Air cargo carrier
Gemini Leasing, Inc.
7,500,000 Term loan, maturing December 31, 2002 7,500,000
Air cargo carrier
- --------------------------------------------------------------------------------------
$ 32,836,002
- --------------------------------------------------------------------------------------
Utilities -- 1.2%
- --------------------------------------------------------------------------------------
AES CEMIG Funding Corporation
$25,575,000 Term loan, maturing August 28, 1998 $ 25,575,000
Global power company
AESEBA Funding Corporation
20,925,000 Term loan, maturing August 28, 1998 20,925,000
Global power company
- --------------------------------------------------------------------------------------
$ 46,500,000
- --------------------------------------------------------------------------------------
Total Senior, Secured, Floating-Rate Interests
(identified cost, $3,657,069,972) $3,657,069,972
- --------------------------------------------------------------------------------------
Common Stocks -- 0.1%
Shares/Rights Security Value
- --------------------------------------------------------------------------------------
806,708 America's Favorite Chicken Company,
Common Stock* $ 2,675,850
608 Classic Cable Common Stock Warrants * 0
34,364 PSI Acquisition Corporation, Warrants * 0
- --------------------------------------------------------------------------------------
Total Common Stocks
(identified cost, $0) $ 2,675,850
- --------------------------------------------------------------------------------------
Short-Term Investments -- 6.4%
Principal Maturity
Amount Date Borrower Rate Amount
- --------------------------------------------------------------------------------------
$35,193,644 01/02/98 American General Finance Company 6.50% $ 35,193,644
46,891,532 01/02/98 American General Company 6.50% 46,891,532
41,244,016 01/09/98 American Express Credit Corporation 6.10% 41,244,016
85,876,014 01/02/98 Associate Corporation of N.A. 6.70% 85,876,014
49,990,764 01/02/98 CXC Incorporated 6.65% 49,990,764
- --------------------------------------------------------------------------------------
Total Short-Term Investments,
at amortized cost $ 259,195,970
- --------------------------------------------------------------------------------------
Total Investments -- 97.1%
(identified cost, $3,916,265,942) $3,918,941,792
- --------------------------------------------------------------------------------------
Other Assets, Less Liabilities -- 2.9% $ 116,130,133
- --------------------------------------------------------------------------------------
Total Net Assets -- 100% $4,035,071,925
- --------------------------------------------------------------------------------------
*Non-income producing security.
Note: The description of the principal business for each security set forth
above is unaudited.
</TABLE>
<PAGE>
Senior Debt Portfolio as of December 31, 1997
FINANCIAL STATEMENTS
Statement of Assets and Liabilities
(Expressed in United States Dollars)
As of December 31, 1997
Assets
- -------------------------------------------------------------------------------
Investments, at value (Note 1A)
(identified cost, $3,916,265,942) $3,918,941,792
Cash 93,405,242
Receivable for investments sold 448,058
Interest receivable 25,786,574
Miscellaneous receivable 101,715
Prepaid expenses 979,673
Deferred organization expenses (Note 1D) 31,613
- -------------------------------------------------------------------------------
Total assets $4,039,694,667
- -------------------------------------------------------------------------------
Liabilities
- -------------------------------------------------------------------------------
Deferred facility fee income (Note 1B) $ 4,370,655
Payable to affiliate for Trustees' fees (Note 2) 7,463
Accrued expenses 244,624
- -------------------------------------------------------------------------------
Total liabilities $ 4,622,742
- -------------------------------------------------------------------------------
Net Assets applicable to investors' interest in Portfolio $4,035,071,925
- -------------------------------------------------------------------------------
Sources of Net Assets
- -------------------------------------------------------------------------------
Net proceeds from capital contributions and withdrawals $4,032,396,075
Net unrealized appreciation of investments
(computed on the basis of identified cost) 2,675,850
- -------------------------------------------------------------------------------
Total $4,035,071,925
- -------------------------------------------------------------------------------
Statement of Operations
(Expressed in United States Dollars)
For the Year Ended
December 31, 1997
Investment Income (Note 1B)
- -------------------------------------------------------------------------------
Interest income $ 283,456,988
Facility fees earned 4,774,292
- -------------------------------------------------------------------------------
Total income $ 288,231,280
- -------------------------------------------------------------------------------
Expenses
- -------------------------------------------------------------------------------
Investment adviser fee (Note 2) $ 31,751,900
Compensation of Trustees not members of the Investment Adviser's
organization (Note 2) 29,283
Custodian fee 1,008,778
Legal and accounting services 608,361
Amortization of organization expenses (Note 1D) 6,205
Interest expense (Note 4) 610,023
Miscellaneous 202,512
- -------------------------------------------------------------------------------
Total expenses $ 34,217,062
- -------------------------------------------------------------------------------
Net investment income $ 254,014,218
- -------------------------------------------------------------------------------
Realized and Unrealized
Gain (Loss) on Investments
- -------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $ (9,000,530)
- -------------------------------------------------------------------------------
Net realized loss on investments $ (9,000,530)
- -------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 8,549,067
- -------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation)
of investments $ 8,549,067
- -------------------------------------------------------------------------------
Net realized and unrealized loss on investments $ (451,463)
- -------------------------------------------------------------------------------
Net increase in net assets from operations $ 253,562,755
- -------------------------------------------------------------------------------
<PAGE>
Senior Debt Portfolio as of December 31, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
(Expressed in United States Dollars)
Increase (Decrease) Year Ended Year Ended
in Net Assets December 31, 1997 December 31, 1996
- --------------------------------------------------------------------------------
From operations --
Net investment income $ 254,014,218 $ 171,247,196
Net realized loss on investments (9,000,530) (2,509,974)
Net change in unrealized appreciation
(depreciation) of investments 8,549,067 (1,387,860)
- --------------------------------------------------------------------------------
Net increase in net assets from operations $ 253,562,755 $ 167,349,362
- --------------------------------------------------------------------------------
Capital transactions --
Contributions $1,646,867,281 $1,604,853,413
Withdrawals (875,432,567) (383,467,171)
- --------------------------------------------------------------------------------
Net increase in net assets from capital
transactions $ 771,434,714 $1,221,386,242
- --------------------------------------------------------------------------------
Net increase in net assets $1,024,997,469 $1,388,735,604
- --------------------------------------------------------------------------------
Net Assets
- --------------------------------------------------------------------------------
At beginning of year $3,010,074,456 $1,621,338,852
- --------------------------------------------------------------------------------
At end of year $4,035,071,925 $3,010,074,456
- --------------------------------------------------------------------------------
<PAGE>
Statement of Cash Flows
(Expressed in United States Dollars)
Year Ended
Increase (Decrease) in Cash December 31, 1997
- --------------------------------------------------------------------------------
Cash Flows From (Used For) Operating Activities --
Purchases of loan interests $(3,700,509,536)
Proceeds from sales and principal repayments 2,500,784,081
Interest received 275,103,446
Facility fees received 2,015,430
Interest paid (612,171)
Operating expenses paid (33,707,774)
Net decrease in short-term investments 170,130,743
- --------------------------------------------------------------------------------
Net cash used for operating activities $ (786,795,781)
- --------------------------------------------------------------------------------
Cash Flows From (For) Financing Activities --
Proceeds from capital contributions $ 1,646,867,281
Payments for capital withdrawals (875,432,567)
- --------------------------------------------------------------------------------
Net cash provided from financing activities $ 771,434,714
- --------------------------------------------------------------------------------
Net decrease in cash $ (15,361,067)
- --------------------------------------------------------------------------------
Cash at Beginning of Year $ 108,766,309
- --------------------------------------------------------------------------------
Cash at End of Year $ 93,405,242
- -------------------------------------------------------------------------------
Reconciliation of Net Increase in Net Assets
From Operations to Net Cash Used For
Operating Activities
- -------------------------------------------------------------------------------
Net increase in net assets from operations $ 253,562,755
Decrease in receivable for investments sold 388,141
Increase in interest receivable (8,354,627)
Decrease in miscellaneous receivable 1,085
Increase in prepaid expenses (55,524)
Decrease in deferred organization expense 6,205
Decrease in deferred facility fee income (4,768,902)
Decrease in payable to affiliate (420)
Decrease in accrued expenses (53,144)
Net increase in investments (1,027,521,350)
- -------------------------------------------------------------------------------
Net cash used for operating activities $ (786,795,781)
- -------------------------------------------------------------------------------
<PAGE>
Supplementary Data (Expressed in United States Dollars)
Year Ended December 31,
------------------------------------------
1997 1996 1995*
- --------------------------------------------------------------------------------
Ratios to average daily net assets
- --------------------------------------------------------------------------------
Operating expenses 0.94% 0.98% 1.01%+
Interest expense 0.02% 0.04% 0.13%+
Net investment income 7.12% 7.17% 7.95%+
Portfolio Turnover 81% 75% 39%
- ------------------------------------------------------------------------------
Net assets, end of period
(000s omitted) $4,035,072 $3,010,074 $1,621,339
- ------------------------------------------------------------------------------
+Annualized.
*For the period from the start of business, February 22, 1995 to
December 31, 1995.
<PAGE>
Senior Debt Portfolio as of December 31, 1997
NOTES TO FINANCIAL STATEMENTS
(Expressed in United States Dollars)
1 Significant Accounting Policies
- --------------------------------------------------------------------------------
Senior Debt Portfolio (the Portfolio) is registered under the Investment
Company Act of 1940 as a non-diversified closed-end investment company which
was organized as a trust under the laws of the State of New York on May 1,
1992. The Declaration of Trust permits the Trustees to issue interests in
the Portfolio. The following is a summary of significant accounting policies
of the Portfolio. The Policies are in conformity with accounting principles
generally accepted in the United States of America.
A Investment Valuation -- The Portfolio's investments in interests in loans
(Loan Interests) are valued at fair value by the Portfolio's investment
adviser, Boston Management and Research, under procedures established by the
Trustees as permitted by Section 2(a)(41) of the Investment Company Act of
1940. Such procedures include the consideration of relevant factors, data
and information relating to fair value, including (i) the characteristics of
and fundamental analytical data relating to the Loan Interest, including the
cost, size, current interest rate, period until next interest rate reset,
maturity and base lending rate of the Loan Interest, the terms and
conditions of the loan and any related agreements and the position of the
loan in the borrower's debt structure; (ii) the nature, adequacy and value
of the collateral, including the Portfolio's rights, remedies and interests
with respect to the collateral; (iii) the creditworthiness of the borrower,
based on evaluations of its financial condition, financial statements and
information about the borrower's business, cash flows, capital structure and
future prospects; (iv) information relating to the market for the Loan
Interest including price quotations for and trading in the Loan Interest and
interests in similar loans and the market environment and investor attitudes
towards the Loan Interest and interests in similar loans; (v) the reputation
and financial condition of the agent bank and any intermediate participant
in the loan; and (vi) general economic and market conditions affecting the
fair value of the Loan Interest. Other portfolio securities (other than
short-term obligations, but including listed issues) may be valued on the
basis of prices furnished by one or more pricing services which determine
prices for normal, institutional-size trading units of such securities using
market information, transactions for comparable securities and various
relationships between securities which are generally recognized by
institutional traders. In certain circumstances, portfolio securities will
be valued at the last sales price on the exchange that is the primary market
for such securities, or the last quoted bid price for those securities for
which the over-the-counter market is the primary market or for listed
securities in which there were no sales during the day. The value of
interest rate swaps will be determined in accordance with a discounted
present value formula and then confirmed by obtaining a bank quotation.
Short-term obligations which mature in sixty days or less are valued at
amortized cost, if their original term to maturity when acquired by the
Portfolio was 60 days or less or are valued at amortized cost using their
value on the 61st day prior to maturity, if their original term to maturity
when acquired by the Portfolio was more then 60 days, unless in each case
this is determined not to represent fair value. Repurchase agreements are
valued at cost plus accrued interest. Other portfolio securities for which
there are no quotations or valuations are valued at fair value as determined
in good faith by or on behalf of the Trustees.
B Income -- Interest income from Loan Interests is recorded on the accrual
basis at the then-current interest rate, while all other interest income is
determined on the basis of interest accrued, adjusted for amortization of
premium or discount when required for federal income tax purposes. Facility
fees received are recognized as income over the expected term of the loan.
C Income Taxes -- The Portfolio is treated as a partnership for federal tax
purposes. No provision is made by the Portfolio for federal or state taxes
on any taxable income of the Portfolio because each investor in the
Portfolio is ultimately responsible for the payment of any taxes. Since some
of the Portfolio's investors are regulated investment companies that invest
all or substantially all of their assets in the Portfolio, the Portfolio
normally must satisfy the applicable source of income and diversification
requirements (under the Internal Revenue Code) in order for its investors to
satisfy them. The Portfolio will allocate at least annually among its
investors each investor's distributive share of the Portfolio's net
investment income, net realized capital gains, and any other items of
income, gain, loss, deduction or credit.
D Deferred Organization Expenses -- Costs incurred by the Portfolio in
connection with its organization are being amortized on the straight-line
basis over five years.
E Other -- Investment transactions are accounted for on a trade date basis.
F Expense Reduction -- Investors Bank & Trust Company (IBT) serves as
custodian of the Portfolio. Pursuant to the custodian agreement, IBT
receives a fee reduced by the credits which are determined based on the
average daily cash balances the Portfolio maintains with IBT. All
significant credit balances used to reduce the Portfolio's custodian fees
are reported as a reduction of expenses on the statement of operations.
G Use of Estimates -- The preparation of the financial statements in
conformity with accounting principles generally accepted in the United
States of America requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities at the date of the
financial statements and the reported amounts of revenue and expense during
the reporting period. Actual results could differ from those estimates.
2 Investment Adviser Fee and Other Transactions with Affiliates
- --------------------------------------------------------------------------------
An investment advisory fee is paid to Boston Management and Research (BMR)
as compensation for investment advisory services rendered to the Portfolio.
The fee is computed at a monthly rate of 19/240 of 1% (0.95% annually) of
the Portfolio's average daily gross assets up to and including $1 billion
and at reduced rates as daily gross assets exceed that level. For the year
ended December 31, 1997, the effective annual rate, based on average daily
gross assets, was 0.89% and amounted to $31,751,900. Except as to Trustees
of the Portfolio who are not members of BMR's organization, officers and
Trustees receive remuneration for their services to the Portfolio out of
such investment adviser fee.
Certain of the officers and Trustees of the Portfolio are officers and
directors/trustees of BMR. Trustees of the Portfolio that are not affiliated
with the Investment Adviser may elect to defer receipt of all or a
percentage of their annual fees in accordance with the terms of the Trustees
Deferred Compensation Plan. For the year ended December 31, 1997, 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 and other
securities for the year ended December 31, 1997 aggregated $3,700,509,536
and $2,502,405,980, respectively.
4 Short-Term Debt and Credit Agreements
- --------------------------------------------------------------------------------
The Portfolio has entered into a revolving credit agreement that will allow
the Portfolio to borrow an additional $250 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 certificate of deposit rate or federal funds effective rate.
Interest expense includes a commitment fee of approximately $452,100 which
is computed at the annual rate of 0.20% of the revolving credit agreement.
There were no significant borrowings under this agreement during the year
ended December 31, 1997. As of December 31, 1997, 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 the
investments owned at December 31, 1997, as computed on a federal income tax
basis, were as follows:
Aggregate cost $3,916,265,942
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Gross unrealized appreciation $ 2,675,850
Gross unrealized depreciation --
--------------------------------------------------------------------
Net unrealized appreciation $ 2,675,850
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<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 (the
Portfolio) as of December 31, 1997, the related statements of operations and
cash flows for the year then ended, the statements of changes in net assets
for the two years then ended and the supplementary data for each of the two
years then ended 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 December 31, 1997 by
correspondence with the custodian and selling or agent banks; where replies
were not received from selling or agent banks, we performed other auditing
procedures. An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, such financial statements and supplementary data present
fairly, in all material respects, the financial position of Senior Debt
Portfolio as of December 31, 1997, the results of its operations and its cash
flows, the changes in net assets and its supplemental data for the respective
stated periods, in conformity with accounting principles generally accepted in
the United States of America.
As discussed in Note 1A, the financial statements include Loan Interests and
certain other securities held by the Portfolio valued at $3,657,069,972 (90.6%
of net assets of the Portfolio), which values are fair values determined by
the Portfolio's investment adviser in the absence of actual market values.
Determination of fair value involves subjective judgment, as the actual market
value of a particular Loan Interest or security can be established only by
negotiations between the parties in a sale transaction. We have reviewed the
procedures established by the Trustees and used by the Portfolio's investment
adviser in determining the fair value 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
February 13, 1998
<PAGE>
Investment Management for Senior Debt Portfolio
Officers
JAMES B. HAWKES
President and Trustee
M. DOZIER GARDNER
Vice President and
Trustee
RAYMOND O'NEILL
Vice President
MICHEL NORMANDEAU
Vice President
JAMES L. O'CONNOR
Treasurer
ALAN R. DYNNER
Secretary
SCOTT H. PAGE
Vice President and
Co-Portfolio Manager
PAYSON F. SWAFFIELD
Vice President and
Co-Portfolio Manager
Independent Trustees
DONALD R. DWIGHT
President, Dwight Partners, 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
Formerly Director, Fiduciary Company
Incorporated
JACK L. TREYNOR
Investment Adviser and Consultant
