<PAGE>
Senior Debt Portfolio
Semiannual Shareholder Report
June 30, 1998
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 Counsels
Mayer, Brown & Platt
787 Seventh Avenue
New York, NY 10019
Peabody & Brown
101 Federal Street, 12th Floor
Boston, MA 02110
Auditors
Deloitte & Touche LLP
125 Summer Street
Boston, MA 02110
<PAGE>
Senior Debt Portfolio as of June 30, 1998
PORTFOLIO OF INVESTMENTS
(Expressed in United States Dollars)
Senior, Secured, Floating-Rate
Interests -- 97.71%
Principal
Amount Borrower/Business Description Value
- --------------------------------------------------------------------------------
Aerospace/Defense -- 2.63%
- --------------------------------------------------------------------------------
Aerostructures Corporation
$12,064,530 Term loan, maturing December 31, 2003 $ 12,064,530
Fairchild Holdings Corporation
15,000,000 Term loan, maturing June 18, 2004 15,000,000
K&F Industries, Inc.
15,831,227 Term loan, maturing September 30, 2005 15,831,227
4,990,800 Term loan, maturing October 15, 2005 4,990,800
SWM Holdings, Inc.
5,000,000 Term loan, maturing May 27, 2005 5,000,000
TransTechnology Corporation
1,871,528 Revolving loan, maturing December 31, 2000 1,871,528
914,702 Term loan, maturing December 31, 2000 914,702
7,050,000 Term loan, maturing June 30, 2002 7,050,000
Tri-Star, Inc.
14,900,000 Term loan, maturing September 30, 2003 14,900,000
United Defense Industries, Inc.
25,224,878 Term loan, maturing October 6, 2005 25,224,878
24,500,782 Term loan, maturing October 6, 2006 24,500,782
- -------------------------------------------------------------------------------
$ 127,348,447
- -------------------------------------------------------------------------------
Airlines -- 0.39%
- -------------------------------------------------------------------------------
Continental Airlines, Inc.
$18,738,355 Term loan, maturing December 31, 2006 $ 18,738,355
- -------------------------------------------------------------------------------
$ 18,738,355
- -------------------------------------------------------------------------------
Auto Parts - Aftermarket -- 3.65%
- -------------------------------------------------------------------------------
AAS Holdings, LLC
$ 4,024,443 Term loan, maturing October 30, 2004 $ 4,024,443
CSK Auto, Inc.
20,940,000 Term loan, maturing October 31, 2003 20,940,000
Exide Corporation
35,892,000 Term loan, maturing March 18, 2005 35,892,000
Federal-Mogul Corporation
60,000,000 Term loan, maturing December 31, 2005 60,000,000
Keystone Automotive Operations, Inc.
12,460,938 Term loan, maturing March 31, 2006 12,460,938
Lund Industries, Incorporated
6,000,000 Term loan, maturing December 31, 2004 6,000,000
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
Safelite Glass Corp.
13,750,000 Term loan, maturing December 17, 2004 13,750,000
13,750,000 Term loan, maturing December 17, 2005 13,750,000
- -------------------------------------------------------------------------------
$ 176,817,381
- -------------------------------------------------------------------------------
Automobile -- 1.73%
- -------------------------------------------------------------------------------
Accuride Corporation
$ 9,000,000 Term loan, maturing January 21, 2006 $ 9,000,000
American Axle & Manufacturing, Inc.
29,000,000 Term loan, maturing April 30, 2006 29,000,000
Breed Technologies, Inc.
15,000,000 Term loan, maturing April 27, 2006 15,000,000
Cambridge Industries, Inc.
25,870,000 Term loan, maturing June 30, 2005 25,870,000
Stanadyne Automotive Corporation
4,900,000 Term loan, maturing December 10, 2004 4,900,000
- -------------------------------------------------------------------------------
$ 83,770,000
- -------------------------------------------------------------------------------
Beverages - Soft Drink -- 0.31%
- -------------------------------------------------------------------------------
Dr. Pepper Bottling Holdings, Inc.
$15,000,000 Term loan, maturing December 31, 2005 $ 15,000,000
- -------------------------------------------------------------------------------
$ 15,000,000
- -------------------------------------------------------------------------------
Broadcast Media -- 5.22%
- -------------------------------------------------------------------------------
Bahakel Communications, Ltd
$10,000,000 Term loan, maturing December 31, 2005 $ 10,000,000
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
2,500,000 Term loan, maturing December 31, 2004 2,500,000
Capstar Radio Broadcasting Corp
30,000,000 Term loan, maturing May 31, 2005 30,000,000
Chancellor Radio Broadcast Company
5,889,395 Revolving loan, maturing June 26, 2004 5,889,395
57,477,947 Term loan, maturing June 30, 2005 57,477,947
Comcorp Broadcasting, Inc.
5,975,610 Term loan, maturing September 30, 2005 5,975,610
Jacor Communications Company
17,000,000 Term loan, maturing December 31, 2004 17,000,000
Lin Television Corp.
9,000,000 Term loan, maturing March 31, 2007 9,000,000
Retlaw Broadcasting, L.L.C.
7,500,000 Term loan, maturing March 31, 2006 7,500,000
Sinclair Broadcast Group, Inc.
50,000,000 Term loan, maturing August 15, 2005 50,000,000
Sullivan Broadcasting Company, Inc.
3,872,340 Revolving loan, maturing December 31, 2003 3,872,340
24,311,626 Term loan, maturing December 31, 2003 24,311,626
White Knight Broadcasting, Inc.
7,280,488 Term loan, maturing September 30, 2005 7,280,488
- -------------------------------------------------------------------------------
$ 252,916,094
- -------------------------------------------------------------------------------
Building Material -- 2.06%
- -------------------------------------------------------------------------------
Dal-Tile Group Inc.
$ 1,741,584 Revolving loan, maturing December 31, 2002 $ 1,741,584
5,281,895 Term loan, maturing December 31, 2002 5,281,895
Dayton Superior Corporation
10,000,000 Term loan, maturing September 29, 2005 10,000,000
Falcon Building Products, Inc.
10,688,571 Term loan, maturing June 30, 2005 10,688,571
National Gypsum Company
49,657,707 Term loan, maturing September 20, 2003 49,657,707
10,000,000 Term loan, maturing March 25, 2004 10,000,000
Reliant Building Products, Inc.
12,451,923 Term loan, maturing March 31, 2004 12,451,923
- -------------------------------------------------------------------------------
$ 99,821,680
- -------------------------------------------------------------------------------
Cable and Wireless -- 6.56%
- -------------------------------------------------------------------------------
Charter Communications Ent. I, L.P.
$ 1,872,762 Revolving loan, maturing December 31, 2003 $ 1,872,762
14,789,774 Term loan, maturing December 31, 2003 14,789,774
Charter Communications Ent. II, L.P.
18,000,000 Term loan, maturing March 31, 2006 18,000,000
Charter Communications Properties LLC
7,500,000 Term loan, maturing June 30, 2007 7,500,000
Chelsea Communications, Inc.
10,000,000 Term loan, maturing December 31, 2004 10,000,000
Classic Cable, Inc.
8,558,233 Revolving loan, maturing June 30, 2004 8,558,233
4,433,282 Term loan, maturing June 30, 2004 4,433,282
9,796,225 Term loan, maturing June 30, 2005 9,796,225
Frontiervision Operating Partners, L.P.
15,000,000 Term loan, maturing March 31, 2006 15,000,000
Insight Communications Company, LP
5,000,000 Term loan, maturing December 31, 2006 5,000,000
Intermedia Partners Group - VI
39,500,000 Term loan, maturing December 31, 2007 39,500,000
9,500,000 Term loan, maturing April 30, 2008 9,500,000
Intermedia Partners IV, L.P.
41,000,000 Term loan, maturing January 1, 2005 41,000,000
Marcus Cable Operating Company, L.P.
4,910,464 Revolving loan, maturing December 31, 2002 4,910,464
26,112,127 Term loan, maturing December 31, 2002 26,112,127
40,792,405 Term loan, maturing April 30, 2004 40,792,405
Renaissance Media LLC
1,374,886 Term loan, maturing March 31, 2006 1,374,886
4,659,091 Term loan, maturing September 30, 2006 4,659,091
TCI Pacific, Inc.
7,523,810 Term loan, maturing September 30, 2004 7,523,810
47,500,000 Term loan, maturing December 31, 2004 47,500,000
- -------------------------------------------------------------------------------
$ 317,823,059
- -------------------------------------------------------------------------------
Chemicals -- 2.29%
- -------------------------------------------------------------------------------
AOC, LLC.
$ 7,500,000 Term loan, maturing September 30, 2006 $ 7,500,000
Huntsman Corporation
1,880,808 Term loan, maturing September 30, 2003 1,880,808
20,825,000 Term loan, maturing December 31, 2004 20,825,000
7,425,000 Term loan, maturing December 31, 2005 7,425,000
Huntsman Specialty Chemicals Corporation
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
Polymer Group, Inc.
8,964,000 Term loan, maturing December 20, 2005 8,964,000
Sterling Pulp Chemicals (Sask) Ltd.
7,172,013 Term loan, maturing June 30, 2005 7,172,013
STX Chemicals Corp.
20,949,953 Term loan, maturing September 30, 2004 20,949,953
The General Chemical Group, Inc.
9,000,000 Term loan, maturing June 15, 2004 9,000,000
- -------------------------------------------------------------------------------
$ 110,757,265
- -------------------------------------------------------------------------------
Chemicals - Specialty -- 0.27%
- -------------------------------------------------------------------------------
GEO Specialty Chemicals, Inc.
$ 4,950,000 Term loan, maturing March 25, 2004 $ 4,950,000
Vinings Industries, Inc.
8,137,551 Term loan, maturing March 31, 2005 8,137,551
- -------------------------------------------------------------------------------
$ 13,087,551
- -------------------------------------------------------------------------------
Coal -- 1.01%
- -------------------------------------------------------------------------------
Alliance Coal Corporation
$ 3,674,569 Term loan, maturing December 31, 2001 $ 3,674,569
6,520,615 Term loan, maturing December 31, 2002 6,520,615
P&L Coal Holdings Corporation
28,500,000 Term loan, maturing June 30, 2006 28,500,000
Quaker Coal Company
10,000,000 Term loan, maturing June 30, 2006 10,000,000
- -------------------------------------------------------------------------------
$ 48,695,184
- -------------------------------------------------------------------------------
Commercial Services -- 4.98%
- -------------------------------------------------------------------------------
Advanstar Communications Inc.
$17,000,000 Term loan, maturing April 30, 2005 $ 17,000,000
American Floral Services, Inc.
4,916,667 Term loan, maturing June 30, 2004 4,916,667
Brickman Holdings Corp
6,994,882 Term loan, maturing January 14, 2006 6,994,882
Caterair International Corporation
40,033,560 Term loan, maturing March 1, 2007 40,033,560
Erickson Air-Crane Co.
8,910,000 Term loan, maturing December 31, 2004 8,910,000
LES, Inc.
26,545,455 Term loan, maturing April 3, 2005 26,545,455
26,545,455 Term loan, maturing April 3, 2006 26,545,455
Morris Material Handling, Inc.
6,982,500 Term loan, maturing March 31, 2003 6,982,500
Nebraska Book Company, Inc.
5,000,000 Term loan, maturing March 31, 2006 5,000,000
Omni Services, Inc.
22,794,874 Term loan, maturing October 30, 2005 22,794,874
Outdoor Systems, Inc.
21,950,000 Term loan, maturing June 30, 2004 21,950,000
Outsourcing Solutions, Corp.
14,137,657 Term loan, maturing October 15, 2003 14,137,657
PSI Acquisition Corporation
17,000,000 Term loan, maturing September 30, 2003 17,000,000
SC International Services, Inc.
22,518,877 Term loan, maturing March 1, 2007 22,518,877
- -------------------------------------------------------------------------------
$ 241,329,927
- -------------------------------------------------------------------------------
Communications - Equip/mfrs -- 1.39%
- -------------------------------------------------------------------------------
Amphenol Corporation
$15,753,886 Term loan, maturing May 19, 2005 $ 15,753,886
15,464,864 Term loan, maturing May 19, 2006 15,464,864
Communications & Power Industries, Inc.
1,125,000 Term loan, maturing August 11, 2000 1,125,000
5,483,333 Term loan, maturing August 12, 2002 5,483,333
Prodelin Holding Corporation
12,000,000 Term loan, maturing May 31, 2006 12,000,000
Telex Communications, Inc.
4,980,769 Term loan, maturing November 6, 2004 4,980,769
Viasystems, Inc.
5,978,571 Term loan, maturing March 31, 2004 5,978,571
3,945,455 Term loan, maturing June 30, 2004 3,945,455
2,400,000 Term loan, maturing June 30, 2005 2,400,000
- -------------------------------------------------------------------------------
$ 67,131,878
- -------------------------------------------------------------------------------
Computer Software & Services -- 1.38%
- -------------------------------------------------------------------------------
Bridge Information Systems America, Inc.
$20,000,000 Term loan, maturing May 29, 2005 $ 20,000,000
Decisionone Corporation
2,689,333 Revolving loan, maturing August 7, 2003 2,689,333
16,900,000 Term loan, maturing August 7, 2003 16,900,000
2,399,164 Term loan, maturing August 7, 2005 2,399,164
Paul G. Allen
25,000,000 Term loan, maturing June 10, 2003 25,000,000
- -------------------------------------------------------------------------------
$ 66,988,497
- -------------------------------------------------------------------------------
Computer Systems -- 0.45%
- -------------------------------------------------------------------------------
Celestica North America Inc.
$ 8,372,500 Term loan, maturing June 30, 2003 $ 8,372,500
Genicom Corporation
13,246,875 Term loan, maturing September 5, 2004 13,246,875
- -------------------------------------------------------------------------------
$ 21,619,375
- -------------------------------------------------------------------------------
Conglomerates -- 2.05%
- -------------------------------------------------------------------------------
American Marketing Industries, Inc.
$ 1,200,000 Term loan, maturing August 31, 2001 $ 1,200,000
3,412,500 Term loan, maturing November 30, 2002 3,412,500
6,517,500 Term loan, maturing November 30, 2003 6,517,500
5,730,002 Term loan, maturing November 30, 2004 5,730,002
5,486,250 Term loan, maturing November 16, 2005 5,486,250
E & S Holdings Corporation
1,808,235 Revolving loan, maturing September 30, 2003 1,808,235
2,058,824 Term loan, maturing September 30, 2003 2,058,824
6,222,222 Term loan, maturing September 30, 2004 6,222,222
6,222,222 Term loan, maturing September 30, 2005 6,222,222
3,555,556 Term loan, maturing March 30, 2006 3,555,556
Fenway Holdings, L.L.C.
4,743,634 Term loan, maturing September 15, 2002 4,743,634
Fisher Scientific International Inc.
3,319,295 Term loan, maturing January 21, 2007 3,319,295
2,296,952 Term loan, maturing October 21, 2007 2,296,952
Florida Panthers Holdings, Inc.
15,000,000 Term loan, maturing July 15, 1998 15,000,000
Seminis, Inc.
9,580,400 Term loan, maturing December 31, 2003 9,580,400
14,370,601 Term loan, maturing December 31, 2004 14,370,601
Smarte Carte Corporation
467,742 Term loan, maturing December 31, 2001 467,742
2,871,429 Term loan, maturing June 30, 2003 2,871,429
4,365,000 Term loan, maturing June 30, 2004 4,365,000
- -------------------------------------------------------------------------------
$ 99,228,364
- -------------------------------------------------------------------------------
Containers - Metal & Glass -- 1.85%
- -------------------------------------------------------------------------------
Calmar, Inc.
$10,813,175 Term loan, maturing September 15, 2003 $ 10,813,175
4,372,500 Term loan, maturing June 15, 2004 4,372,500
Graham Packaging Company
4,905,469 Term loan, maturing January 31, 2006 4,905,469
4,064,531 Term loan, maturing January 31, 2007 4,064,531
Reid Plastics, Inc.
9,915,049 Term loan, maturing November 12, 2003 9,915,049
7,500,000 Term loan, maturing November 12, 2004 7,500,000
Russell-Stanley Holdings, Inc.
13,975,000 Term loan, maturing September 30, 2005 13,975,000
Silgan Holdings Inc.
16,461,775 Term loan, maturing June 30, 2005 16,461,775
Tekni-Plex, Inc.
10,174,500 Term loan, maturing March 31, 2006 10,174,500
Truseal Technologies, Inc.
7,319,182 Term loan, maturing July 1, 2004 7,319,182
- -------------------------------------------------------------------------------
$ 89,501,181
- -------------------------------------------------------------------------------
Containers - Paper -- 4.95%
- -------------------------------------------------------------------------------
CFS Holding N.V.
$ 9,398,729 Term loan, maturing June 30, 2005 $ 9,398,729
Gaylord Container Corporation
10,000,000 Term loan, maturing June 19, 2004 10,000,000
IPC, Inc.
40,196,250 Term loan, maturing September 30, 2004 40,196,250
Jefferson Smurfit Corporation
10,000,000 Term loan, maturing March 24, 2005 10,000,000
15,000,000 Term loan, maturing March 31, 2005 15,000,000
47,000,000 Term loan, maturing March 24, 2006 47,000,000
RIC Holding, Inc.
8,281,061 Revolving loan, maturing February 28, 2003 8,281,061
15,038,657 Term loan, maturing February 28, 2003 15,038,657
10,457,463 Term loan, maturing February 28, 2004 10,457,463
4,143,945 Term loan, maturing August 28, 2004 4,143,945
Stone Container Corporation
13,823,792 Term loan, maturing April 1, 2000 13,823,792
44,714,522 Term loan, maturing October 1, 2003 44,714,522
Stronghaven, Inc.
11,781,257 Term loan, maturing May 15, 2004 11,781,257
- -------------------------------------------------------------------------------
$ 239,835,676
- -------------------------------------------------------------------------------
Cosmetics -- 1.97%
- -------------------------------------------------------------------------------
AM Cosmetics, Inc.
$ 948,718 Term loan, maturing June 30, 2003 $ 939,231
12,904,987 Term loan, maturing December 31, 2004 12,775,938
Mary Kay Inc.
19,941,748 Term loan, maturing March 6, 2004 19,941,748
Revlon Consumer Products Corporation
61,690,000 Term loan, maturing May 29, 2002 61,690,000
- -------------------------------------------------------------------------------
$ 95,346,917
- -------------------------------------------------------------------------------
Drugs -- 0.30%
- -------------------------------------------------------------------------------
King Pharmaceuticals, Inc.
$ 7,711,250 Term loan, maturing December 31, 2005 $ 7,711,250
Robert's Pharmaceutical Corporation
7,000,000 Term loan, maturing June 30, 2003 7,000,000
- -------------------------------------------------------------------------------
$ 14,711,250
- -------------------------------------------------------------------------------
Electrical Power -- 0.22%
- -------------------------------------------------------------------------------
Bangor Hydro-Electric Company
$10,500,000 Term loan, maturing June 29, 1998 $ 10,500,000
- -------------------------------------------------------------------------------
$ 10,500,000
- -------------------------------------------------------------------------------
Electronics - Defense -- 0.19%
- -------------------------------------------------------------------------------
SPD Holdings, Inc.
$ 690,360 Revolving loan, maturing June 30, 2002 $ 690,360
1,023,750 Term loan, maturing June 30, 2002 1,023,750
7,553,000 Term loan, maturing June 30, 2004 7,553,000
- -------------------------------------------------------------------------------
$ 9,267,110
- -------------------------------------------------------------------------------
Electronics - Instrumentation -- 0.22%
- -------------------------------------------------------------------------------
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
Packard Bioscience Company
4,862,500 Term loan, maturing March 31, 2003 4,862,500
- -------------------------------------------------------------------------------
$ 10,862,500
- -------------------------------------------------------------------------------
Engineering & Construction -- 0.41%
- -------------------------------------------------------------------------------
International Technology Corporation
$10,000,000 Term loan, maturing June 11, 2006 $ 10,000,000
U.S. Aggregates, Inc.
10,000,000 Term loan, maturing March 31, 2006 10,000,000
- -------------------------------------------------------------------------------
$ 20,000,000
- -------------------------------------------------------------------------------
Entertainment -- 0.61%
- -------------------------------------------------------------------------------
Regal Cinemas Inc.
$ 5,647,059 Term loan, maturing May 27, 2006 $ 5,647,059
6,352,941 Term loan, maturing May 27, 2007 6,352,941
SFX Entertainment Inc.
7,500,000 Term loan, maturing March 31, 2006 7,500,000
United Artists Theatre Company
10,000,000 Term loan, maturing April 21, 2006 10,000,000
- -------------------------------------------------------------------------------
$ 29,500,000
- -------------------------------------------------------------------------------
Financial - Misc. -- 0.23%
- -------------------------------------------------------------------------------
Altamira Management Ltd.
$11,353,030 Term loan, maturing September 30, 2004 $ 11,353,030
- -------------------------------------------------------------------------------
$ 11,353,030
- -------------------------------------------------------------------------------
Food Wholesalers -- 0.75%
- -------------------------------------------------------------------------------
Fleming Companies, Inc.
$27,433,163 Term loan, maturing July 25, 2004 $ 27,433,163
Volume Services, Inc.
1,485,000 Revolving loan, maturing December 31, 2000 1,485,000
4,951,850 Term loan, maturing December 31, 2002 4,951,850
2,475,813 Term loan, maturing December 31, 2003 2,475,813
- -------------------------------------------------------------------------------
$ 36,345,826
- -------------------------------------------------------------------------------
Foods -- 3.61%
- -------------------------------------------------------------------------------
Aurora Foods
$ 7,237,917 Term loan, maturing December 31, 2005 $ 7,237,917
7,237,917 Term loan, maturing June 30, 2006 7,237,917
Del Monte Corporation
6,181,818 Term loan, maturing March 31, 2003 6,181,818
59,889,728 Term loan, maturing March 31, 2005 59,889,728
Eagle Family Foods, Inc.
12,464,286 Term loan, maturing December 31, 2005 12,464,286
Favorite Brands International, Inc.
12,500,000 Term loan, maturing May 19, 2005 12,500,000
Huntsman Packaging Corp
7,500,000 Term loan, maturing June 30, 2006 7,500,000
International Home Foods, Inc.
48,889 Revolving loan, maturing March 31, 2003 48,889
1,951,725 Term loan, maturing March 31, 2003 1,951,725
17,976,000 Term loan, maturing September 30, 2005 17,976,000
Purina Mills, Inc.
8,993,250 Term loan, maturing March 12, 2007 8,993,250
Southern Foods Group, L.P.
3,922,240 Term loan, maturing February 28, 2006 3,922,240
Specialty Foods Corporation
19,041,096 Term loan, maturing January 31, 2000 19,041,096
Van De Kamps
6,088,299 Term loan, maturing April 30, 2003 6,088,299
3,824,924 Term loan, maturing September 30, 2003 3,824,924
- -------------------------------------------------------------------------------
$ 174,858,089
- -------------------------------------------------------------------------------
Hardware & Tools -- 0.25%
- -------------------------------------------------------------------------------
Werner Holding Co.
$ 7,321,500 Term loan, maturing November 30, 2004 $ 7,321,500
4,937,625 Term loan, maturing November 30, 2005 4,937,625
- -------------------------------------------------------------------------------
$ 12,259,125
- -------------------------------------------------------------------------------
Health Care - Diversified -- 1.69%
- -------------------------------------------------------------------------------
Conmed Corporation
$ 6,405,612 Term loan, maturing December 30, 2004 $ 6,405,612
FHC Health Systems, Inc.
6,250,000 Term loan, maturing April 30, 2005 6,250,000
6,250,000 Term loan, maturing April 30, 2006 6,250,000
Integrated Health Services, Inc.
33,000,000 Term loan, maturing September 15, 2003 33,000,000
20,000,000 Term loan, maturing December 31, 2005 20,000,000
Oxford Health Plans, Inc.
10,000,000 Term loan, maturing May 13, 2003 10,000,000
- -------------------------------------------------------------------------------
$ 81,905,612
- -------------------------------------------------------------------------------
Health Care - Misc. -- 6.15%
- -------------------------------------------------------------------------------
Community Health Systems, Inc.
$12,513,699 Term loan, maturing December 31, 2003 $ 12,513,699
12,513,699 Term loan, maturing December 31, 2004 12,513,699
9,397,260 Term loan, maturing December 31, 2005 9,397,260
Extendicare Health Services, Inc.
31,342,500 Term loan, maturing December 31, 2004 31,342,500
Genesis Health Ventures, Inc.
10,608,721 Term loan, maturing September 30, 2004 10,608,721
10,555,410 Term loan, maturing June 1, 2005 10,555,410
Alaris Corporation
8,376,000 Term loan, maturing November 30, 2002 8,376,000
5,267,610 Term loan, maturing November 30, 2003 5,267,610
5,267,610 Term loan, maturing November 30, 2004 5,267,610
4,957,750 Term loan, maturing May 31, 2005 4,957,750
Kinetic Concepts, Inc.
5,223,750 Term loan, maturing December 31, 2004 5,223,750
5,223,750 Term loan, maturing December 31, 2005 5,223,750
Leiner Health Products Inc.
7,937,953 Term loan, maturing December 30, 2004 7,937,953
6,948,754 Term loan, maturing December 30, 2005 6,948,754
Magellan Health Services, Inc.
12,000,000 Term loan, maturing February 12, 2005 12,000,000
12,000,000 Term loan, maturing February 12, 2006 12,000,000
Mediq/Prn Life Support Services
16,000,000 Term loan, maturing May 29, 2006 16,000,000
National Medical Care, Inc.
20,000,000 Term loan, maturing September 30, 2003 20,000,000
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
SMT Health Services
9,925,000 Term loan, maturing August 31, 2003 9,925,000
Sun Healthcare Group, Inc.
4,552,876 Term loan, maturing October 9, 2004 4,552,876
4,552,876 Term loan, maturing October 9, 2005 4,552,876
The Multicare Companies Inc.
7,956,540 Term loan, maturing September 30, 2004 7,956,540
2,638,853 Term loan, maturing June 1, 2005 2,638,853
Total Renal Care Holdings, Inc.
43,000,000 Term loan, maturing March 31, 2008 43,000,000
WGL Acquisition Corp.
3,940,000 Term loan, maturing July 10, 2004 3,940,000
- -------------------------------------------------------------------------------
$ 297,700,611
- -------------------------------------------------------------------------------
Heavy Duty Trucks & Parts -- 0.17%
- -------------------------------------------------------------------------------
Oshkosh Truck Corporation
$ 4,200,000 Term loan, maturing March 31, 2005 $ 4,200,000
4,200,000 Term loan, maturing March 31, 2006 4,200,000
- -------------------------------------------------------------------------------
$ 8,400,000
- -------------------------------------------------------------------------------
Hotels - Motels -- 3.49%
- -------------------------------------------------------------------------------
Allegro Resorts Corporation
$19,900,000 Term loan, maturing February 11, 2005 $ 19,900,000
Aztar Corporation
8,000,000 Term loan, maturing June 30, 2005 8,000,000
Capstar Hotel Company
17,428,125 Term loan, maturing June 30, 2004 17,428,125
Extended Stay America, Inc.
1,000,000 Term loan, maturing December 31, 2002 1,000,000
7,500,000 Term loan, maturing December 31, 2003 7,500,000
HMC Capital Resources Corp.
532,800 Term loan, maturing June 17, 2004 532,800
Patriot American Hospitality, Inc.
11,764,706 Term loan, maturing March 31, 1999 11,764,706
13,235,294 Term loan, maturing March 31, 2000 13,235,294
25,000,000 Term loan, maturing March 31, 2003 25,000,000
Starwood Hotels & Resorts
24,636,364 Term loan, maturing February 23, 1999 24,636,364
40,000,000 Term loan, maturing February 23, 2003 40,000,000
- -------------------------------------------------------------------------------
$ 168,997,289
- -------------------------------------------------------------------------------
Household Furnishings -- 2.91%
- -------------------------------------------------------------------------------
Alliance Laundry Holdings LLC.
$14,500,000 Term loan, maturing September 30, 2005 $ 14,500,000
Furniture Brands International, Inc.
40,000,000 Term loan, maturing June 27, 2007 40,000,000
Goodman Manufacturing Company, L.P.
8,779,536 Term loan, maturing September 30, 2003 8,779,536
16,962,517 Term loan, maturing September 30, 2004 16,962,517
16,962,517 Term loan, maturing September 30, 2005 16,962,517
Home Interiors & Gifts, Inc.
9,000,000 Term loan, maturing June 30, 2006 9,000,000
Sealy Mattress Company
6,046,061 Term loan, maturing December 15, 2004 6,046,061
4,353,939 Term loan, maturing December 15, 2005 4,353,939
5,563,637 Term loan, maturing December 15, 2006 5,563,637
Simmons Company
6,372,320 Term loan, maturing March 31, 2003 6,372,320
The Boyds Collection, Ltd.
12,125,000 Term loan, maturing April 21, 2006 12,125,000
- -------------------------------------------------------------------------------
$ 140,665,527
- -------------------------------------------------------------------------------
Household Products -- 1.26%
- -------------------------------------------------------------------------------
BMK, Inc.
$ 5,422,605 Term loan, maturing June 30, 2004 $ 5,422,605
Diamond Brands Operating Corp.
365,000 Revolving loan, maturing March 31, 2004 365,000
1,936,364 Term loan, maturing March 31, 2005 1,936,364
6,483,750 Term loan, maturing March 31, 2006 6,483,750
Playtex Products, Inc.
31,730,071 Term loan, maturing June 15, 2003 31,730,071
The Imperial Home Decor Group Inc.
9,406,250 Term loan, maturing March 12, 2005 9,406,250
5,593,750 Term loan, maturing March 12, 2006 5,593,750
- -------------------------------------------------------------------------------
$ 60,937,790
- -------------------------------------------------------------------------------
Housewares -- 0.46%
- -------------------------------------------------------------------------------
Corning Consumer Products Company
$ 8,000,000 Term loan, maturing October 9, 2006 $ 8,000,000
Pillowtex Corporation
14,427,500 Term loan, maturing December 31, 2004 14,427,500
- -------------------------------------------------------------------------------
$ 22,427,500
- -------------------------------------------------------------------------------
Insurance Brokers -- 0.38%
- -------------------------------------------------------------------------------
Acordia, Inc.
$ 5,900,000 Term loan, maturing September 30, 2004 $ 5,900,000
TRG Holding Corporation
12,675,000 Term loan, maturing January 7, 2003 12,675,000
- -------------------------------------------------------------------------------
$ 18,575,000
- -------------------------------------------------------------------------------
Leisure Time -- 3.54%
- -------------------------------------------------------------------------------
24 Hour Fitness, Inc.
$10,000,000 Term loan, maturing December 31, 2004 $ 10,000,000
Alliance Gaming Corporation
7,102,679 Term loan, maturing January 31, 2005 7,102,679
2,835,714 Term loan, maturing July 31, 2005 2,835,714
AMF Bowling Worldwide, Inc.
12,179,873 Term loan, maturing March 31, 2002 12,179,873
6,641,066 Term loan, maturing March 31, 2003 6,641,066
6,053,976 Term loan, maturing March 31, 2004 6,053,976
Amfac Resorts, Inc.
5,000,000 Term loan, maturing September 30, 2003 5,000,000
5,000,000 Term loan, maturing September 30, 2004 5,000,000
ASC East, Inc.
3,857,143 Term loan, maturing May 31, 2006 3,857,143
ASC West, Inc.
9,642,857 Term loan, maturing May 31, 2006 9,642,857
Interval International Corp.
6,591,875 Term loan, maturing December 16, 2005 6,591,875
6,591,875 Term loan, maturing December 15, 2006 6,591,875
KSL Recreation Group, Inc.
7,078,530 Revolving loan, maturing April 30, 2005 7,078,530
6,958,558 Term loan, maturing April 30, 2005 6,958,558
6,958,558 Term loan, maturing April 30, 2006 6,958,558
Metro-Goldwyn-Mayer Studios Inc.
25,000,000 Term loan, maturing March 31, 2004 25,000,000
Mikohn Gaming Corporation
5,000,000 Term loan, maturing April 1, 2004 5,000,000
Panavision Inc
10,000,000 Term loan, maturing March 31, 2005 10,000,000
Premier Parks Inc.
10,973,340 Term loan, maturing March 31, 2006 10,973,340
Six Flags Theme Park, Inc.
17,776,660 Term loan, maturing November 30, 2004 17,776,660
- -------------------------------------------------------------------------------
$ 171,242,704
- -------------------------------------------------------------------------------
Machinery - Diversified -- 0.36%
- -------------------------------------------------------------------------------
Grove Worldwide LLC
$ 7,500,000 Term loan, maturing April 29, 2006 $ 7,500,000
Thermadyne Mfg LLC
5,000,000 Term loan, maturing May 22, 2005 5,000,000
5,000,000 Term loan, maturing May 22, 2006 5,000,000
- -------------------------------------------------------------------------------
$ 17,500,000
- -------------------------------------------------------------------------------
Manufacturing - Diversified -- 2.27%
- -------------------------------------------------------------------------------
AMSCAN Holdings, Inc.
$ 8,412,272 Term loan, maturing December 31, 2004 $ 8,412,272
Desa International, Inc.
7,425,000 Term loan, maturing November 30, 2004 7,425,000
E-P Acquisition, Inc.
5,700,000 Term loan, maturing August 31, 2005 5,700,000
8,550,000 Term loan, maturing August 31, 2006 8,550,000
Foamex L.P.
5,298,148 Revolving loan, maturing June 30, 2003 5,298,148
92,593 Term loan, maturing June 30, 2003 92,593
6,333,988 Term loan, maturing June 30, 2005 6,333,988
5,758,171 Term loan, maturing June 30, 2006 5,758,171
6,965,000 Term loan, maturing December 31, 2006 6,965,000
International Wire Group, Inc.
23,850,467 Term loan, maturing September 30, 2002 23,850,467
Matthew Warren, Inc.
7,495,677 Term loan, maturing February 28, 2004 7,495,677
Neenah Foundry Company
8,500,000 Term loan, maturing September 30, 2005 8,500,000
Numatics, Inc.
2,193,750 Term loan, maturing March 19, 2004 2,193,750
3,491,250 Term loan, maturing September 19, 2005 3,491,250
Panolam Industries, Inc.
765,900 Term loan, maturing November 1, 2002 765,900
4,552,590 Term loan, maturing November 1, 2004 4,552,590
2,594,960 Term loan, maturing November 1, 2005 2,594,960
2,000,000 Term loan, maturing May 1, 2006 2,000,000
- -------------------------------------------------------------------------------
$ 109,979,766
- -------------------------------------------------------------------------------
Medical Products & Supplies -- 0.98%
- -------------------------------------------------------------------------------
Alliance Imaging, Inc.
$ 1,985,000 Term loan, maturing December 18, 2003 $ 1,985,000
4,963,000 Term loan, maturing June 18, 2004 4,963,000
Graphic Controls Corporation
15,450,997 Term loan, maturing September 28, 2003 15,450,997
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
Sterling Diagnostic Imaging, Inc.
15,000,000 Term loan, maturing December 30, 2005 15,000,000
- -------------------------------------------------------------------------------
$ 47,335,941
- -------------------------------------------------------------------------------
Metals - Misc. -- 0.16%
- -------------------------------------------------------------------------------
U.S. Silica Company
$ 3,730,803 Term loan, maturing December 31, 2001 $ 3,730,803
3,893,333 Term loan, maturing December 31, 2003 3,893,333
- -------------------------------------------------------------------------------
$ 7,624,136
- -------------------------------------------------------------------------------
Miscellaneous -- 1.37%
- -------------------------------------------------------------------------------
Coinmach Laundry Corporation
$22,443,750 Term loan, maturing June 30, 2005 $ 22,443,750
Kindercare Learning Centers, Inc.
8,386,332 Term loan, maturing February 13, 2006 8,386,332
La Petite Academy, Inc.
5,000,000 Term loan, maturing May 11, 2005 5,000,000
Prime Succession, Inc.
15,733,333 Term loan, maturing August 1, 2003 15,733,333
Rose Hills Company
9,733,781 Term loan, maturing December 1, 2003 9,733,781
Wesco International, Inc.
5,000,000 Term loan, maturing June 5, 2006 5,000,000
- -------------------------------------------------------------------------------
$ 66,297,196
- -------------------------------------------------------------------------------
Office Equipment & Supplies -- 2.02%
- -------------------------------------------------------------------------------
CEX Holdings, Inc.
$15,000,000 Term loan, maturing April 25, 2005 $ 15,000,000
Cullman Ventures, Inc.
24,700,000 Term loan, maturing January 31, 2004 24,700,000
F.M.E. Corporation
19,033,852 Term loan, maturing June 24, 2006 19,033,852
Identity Group, Inc.
9,899,497 Term loan, maturing November 22, 2003 9,899,497
US Office Products Company
29,000,000 Term loan, maturing June 9, 2006 29,000,000
- -------------------------------------------------------------------------------
$ 97,633,349
- -------------------------------------------------------------------------------
Paper & Forest Products -- 0.43%
- -------------------------------------------------------------------------------
Alabama River Newsprint
$13,031,466 Term loan, maturing December 31, 2002 $ 12,051,471
Bear Island Paper Company, LLC
8,955,000 Term loan, maturing December 31, 2005 8,955,000
- -------------------------------------------------------------------------------
$ 21,006,471
- -------------------------------------------------------------------------------
Publishing -- 3.40%
- -------------------------------------------------------------------------------
Cygnus Publishing, Inc.
$13,500,000 Term loan, maturing June 5, 2005 $ 13,500,000
Morris Communications Corporation
19,900,000 Term loan, maturing June 30, 2005 19,900,000
Primedia Inc.
6,007,143 Revolving loan, maturing June 30, 2004 6,007,143
31,322,857 Term loan, maturing June 30, 2004 31,322,857
R.H. Donnelley Inc.
4,652,406 Term loan, maturing December 5, 2005 4,652,406
5,347,594 Term loan, maturing December 5, 2006 5,347,594
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
The Petersen Companies, Inc.
8,229,375 Term loan, maturing March 31, 2007 8,229,375
The Sheridan Group, Inc.
7,000,000 Term loan, maturing January 30, 2005 7,000,000
Von Hoffman Press, Inc.
5,737,429 Term loan, maturing May 30, 2004 5,737,429
11,423,143 Term loan, maturing May 30, 2005 11,423,143
Yellow Book USA, L.P.
4,950,000 Term loan, maturing September 30, 2005 4,950,000
3,692,308 Term loan, maturing December 31, 2005 3,692,308
2,307,692 Term loan, maturing December 31, 2006 2,307,692
Ziff-Davis Inc.
35,000,000 Term loan, maturing March 31, 2006 35,000,000
- -------------------------------------------------------------------------------
$ 164,569,947
- -------------------------------------------------------------------------------
Publishing - Newspapers -- 2.01%
- -------------------------------------------------------------------------------
21ST Century Newspapers, Inc.
$ 4,488,750 Term loan, maturing February 15, 2005 $ 4,488,750
4,987,500 Term loan, maturing September 15, 2005 4,987,500
American Media Operations, Inc.
15,000,000 Term loan, maturing March 31, 2004 15,000,000
Garden State Newspapers, Inc.
561,403 Revolving loan, maturing March 31, 2004 561,403
505,263 Revolving loan, maturing June 30, 2003 505,263
1,473,684 Term loan, maturing March 31, 2004 1,473,684
Journal Register Company
7,633,412 Term loan, maturing June 30, 2000 7,633,412
20,672,801 Term loan, maturing December 31, 2002 20,672,801
3,816,706 Term loan, maturing May 5, 2003 3,816,706
The McClatchy Company
38,378,788 Term loan, maturing September 10, 2007 38,378,788
- -------------------------------------------------------------------------------
$ 97,518,307
- -------------------------------------------------------------------------------
Railroads -- 0.19%
- -------------------------------------------------------------------------------
I & M Rail Link, LLC
$ 2,800,000 Revolving loan, maturing March 31, 2004 $ 2,800,000
6,560,000 Term loan, maturing March 31, 2004 6,560,000
- -------------------------------------------------------------------------------
$ 9,360,000
- -------------------------------------------------------------------------------
Restaurants -- 1.04%
- -------------------------------------------------------------------------------
Applebee's International, Inc.
$11,500,000 Term loan, maturing March 31, 2006 $ 11,500,000
Friendly Ice Cream Corporation
1,285,714 Term loan, maturing November 15, 2004 1,285,714
6,428,571 Term loan, maturing November 15, 2005 6,428,571
Long John Silver's Restaurants Inc.
6,754,880 Term loan, maturing June 30, 2002 6,079,392
Shoney's Inc.
13,975,000 Term loan, maturing April 30, 2002 13,975,000
Tricon Global Restaurants, Inc.
11,254,253 Term loan, maturing October 2, 2002 11,254,253
- -------------------------------------------------------------------------------
$ 50,522,930
- -------------------------------------------------------------------------------
Retail - Specialty -- 0.95%
- -------------------------------------------------------------------------------
Advanced Stores Company, Inc.
$ 8,500,000 Term loan, maturing April 15, 2006 $ 8,500,000
Griffith Consumers Company
9,730,769 Term loan, maturing December 31, 2002 9,730,769
13,221,289 Term loan, maturing December 31, 2003 13,221,289
Petro Shopping Centers, L.P.
6,485,203 Term loan, maturing December 31, 2003 6,485,203
Travelcenters of America, Inc.
7,937,500 Term loan, maturing March 27, 2005 7,937,500
- -------------------------------------------------------------------------------
$ 45,874,761
- -------------------------------------------------------------------------------
Retail Stores - Drug Stores -- 0.24%
- -------------------------------------------------------------------------------
Duane Reade
$11,471,250 Term loan, maturing February 15, 2005 $ 11,471,250
- -------------------------------------------------------------------------------
$ 11,471,250
- -------------------------------------------------------------------------------
Retail Stores - Food Chains -- 0.91%
- -------------------------------------------------------------------------------
Pathmark Stores, Inc.
$29,275,714 Term loan, maturing December 15, 2001 $ 29,275,714
Star Markets Company, Inc.
8,292,429 Term loan, maturing December 31, 2001 8,292,429
6,513,314 Term loan, maturing December 31, 2002 6,513,314
- -------------------------------------------------------------------------------
$ 44,081,457
- -------------------------------------------------------------------------------
Retail Stores - General Merchandise -- 0.57%
- -------------------------------------------------------------------------------
Tuesday Morning Corporation
$12,500,000 Term loan, maturing December 31, 2004 $ 12,500,000
USANI, LLC
15,000,000 Term loan, maturing December 31, 2003 15,000,000
- -------------------------------------------------------------------------------
$ 27,500,000
- -------------------------------------------------------------------------------
Steel -- 0.68%
- -------------------------------------------------------------------------------
Adience, Inc.
$ 6,977,483 Term loan, maturing April 30, 2005 $ 6,977,483
6,982,500 Term loan, maturing July 30, 2005 6,982,500
Refraco Inc.
10,857,143 Term loan, maturing October 15, 2005 10,857,143
Ucar Global Enterprises, Inc.
7,966,667 Term loan, maturing December 31, 2002 7,966,667
- -------------------------------------------------------------------------------
$ 32,783,793
- -------------------------------------------------------------------------------
Telecommunications - Long Distance -- 3.46%
- -------------------------------------------------------------------------------
Access Communiations, Inc.
$ 9,950,000 Term loan, maturing December 31, 2004 $ 9,950,000
American Cellular Wireless LLC.
12,000,000 Term loan, maturing June 25, 2007 12,000,000
12,000,000 Term loan, maturing December 25, 2007 12,000,000
American PCS Communications, LLC
6,285,714 Term loan, maturing February 7, 2005 6,285,714
Cellular, Inc. Financial Corporation
2,228,571 Term loan, maturing September 30, 2005 2,228,571
4,105,161 Term loan, maturing September 30, 2006 4,105,161
8,130,221 Term loan, maturing March 31, 2007 8,130,221
22,764,619 Term loan, maturing September 30, 2007 22,764,619
Dynatech Corporation
4,982,143 Term loan, maturing March 31, 2005 4,982,143
4,982,143 Term loan, maturing March 31, 2006 4,982,143
4,982,143 Term loan, maturing March 31, 2007 4,982,143
Nextel Communications, Inc.
35,000,000 Term loan, maturing September 30, 2006 35,000,000
Sprint Spectrum L.P.
10,000,000 Term loan, maturing March 2, 2006 10,000,000
Sprint Spectrum L.P., (Lucent)
5,000,000 Term loan, maturing January 21, 2006 5,000,000
Western Wireless Corporation
25,000,000 Term loan, maturing March 31, 2002 25,000,000
- -------------------------------------------------------------------------------
$ 167,410,715
- -------------------------------------------------------------------------------
Telephone -- 0.48%
- -------------------------------------------------------------------------------
Mitel Corporation
$ 5,970,000 Term loan, maturing December 12, 2003 $ 5,970,000
MJD Communications, Inc.
6,030,766 Term loan, maturing March 31, 2007 6,030,766
NSC Communications Corporation
11,432,353 Term loan, maturing October 1, 2003 11,432,353
- -------------------------------------------------------------------------------
$ 23,433,119
- -------------------------------------------------------------------------------
Textiles - Apparel Manufacturing -- 2.69%
- -------------------------------------------------------------------------------
CAF Holdings, Inc.
$ 4,358,824 Term loan, maturing June 30, 2002 $ 4,358,824
Cluett American Corp.
10,000,000 Term loan, maturing May 18, 2005 10,000,000
Collins & Aikman Products Co.
18,000,000 Term loan, maturing June 30, 2005 18,000,000
Galey & Lord, Inc.
11,668,867 Term loan, maturing April 2, 2005 11,668,867
8,212,936 Term loan, maturing April 1, 2006 8,212,936
GFSI, Inc.
13,860,000 Term loan, maturing March 31, 2004 13,860,000
Joan Fabrics Corporation
9,986,883 Term loan, maturing June 30, 2003 9,986,883
14,179,029 Term loan, maturing June 30, 2005 14,179,029
7,363,245 Term loan, maturing June 30, 2006 7,363,245
Renfro Corporation
4,800,000 Term loan, maturing November 15, 2003 4,800,000
Tartan Textile Services, Inc.
10,000,000 Term loan, maturing April 30, 2005 10,000,000
The William Carter Company
6,111,000 Term loan, maturing October 31, 2003 6,111,000
Walls Industries, Inc.
4,978,722 Term loan, maturing February 28, 2005 4,978,722
6,829,788 Term loan, maturing February 28, 2006 6,829,788
- -------------------------------------------------------------------------------
$ 130,349,294
- -------------------------------------------------------------------------------
Toys -- 0.28%
- -------------------------------------------------------------------------------
Hedstrom Corporation
$ 6,619,955 Term loan, maturing June 30, 2003 $ 6,619,955
7,172,321 Term loan, maturing June 30, 2005 7,172,321
- -------------------------------------------------------------------------------
$ 13,792,276
- -------------------------------------------------------------------------------
Transportation - Misc. -- 1.24%
- -------------------------------------------------------------------------------
American Commercial Lines LLC.
$ 8,466,258 Term loan, maturing June 30, 2006 $ 8,466,258
11,533,742 Term loan, maturing June 30, 2007 11,533,742
Atlas Freighter Leasing, Inc.
5,349,865 Term loan, maturing May 29, 2004 5,349,865
Evergreen International Aviation, Inc.
19,631,327 Term loan, maturing April 30, 2002 19,631,327
Gemini Leasing, Inc.
7,500,000 Term loan, maturing December 31, 2002 7,500,000
NA Acquisition Corporation
7,500,000 Term loan, maturing March 30, 2006 7,500,000
- -------------------------------------------------------------------------------
$ 59,981,192
- -------------------------------------------------------------------------------
Total Senior, Secured, Floating-Rate Interest
(identified cost, $4,733,105,718) $4,732,291,694
- -------------------------------------------------------------------------------
Common Stocks -- 0.06%
Shares/Rights Security Value
- -------------------------------------------------------------------------------
806,708 AFC Enterprises 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
- -------------------------------------------------------------------------------
Total Investments -- 97.77%
(identified cost, $4,733,105,718) $4,734,967,544
- -------------------------------------------------------------------------------
Other Assets, Less Liabilities -- 2.23% $ 108,128,325
- -------------------------------------------------------------------------------
Total Net Assets -- 100% $4,843,095,869
- -------------------------------------------------------------------------------
*Non-income producing security.
Note: At June 30, 1998, the Portfolio had unfunded commitments amounting to
$141,354,822 under various revolving credit agreements.
See notes to financial statements
<PAGE>
Senior Debt Portfolio as of June 30, 1998
FINANCIAL STATEMENTS
Statement of Assets and Liabilities
As of June 30, 1998
(Expressed in United States Dollars)
Assets
- --------------------------------------------------------------------------------
Investments, at value
(identified cost, $4,733,105,718) $4,734,967,544
Cash 63,122,231
Interest receivable 36,519,274
Receivable for investments sold 12,485,575
Miscellaneous receivable 101,715
Prepaid expenses 1,097,554
Deferred organization expenses 28,536
- --------------------------------------------------------------------------------
Total assets $4,848,322,429
- --------------------------------------------------------------------------------
Liabilities
- --------------------------------------------------------------------------------
Deferred facility fee income $ 4,895,195
Payable to affiliate for Trustees' fees 34,024
Other accrued expenses 297,341
- --------------------------------------------------------------------------------
Total liabilities $ 5,226,560
- --------------------------------------------------------------------------------
Net Assets applicable to investors' interest in Portfolio $4,843,095,869
- --------------------------------------------------------------------------------
Sources of Net Assets
- --------------------------------------------------------------------------------
Net proceeds from capital contributions and withdrawals $4,841,234,043
Net unrealized appreciation (computed on the basis of
identified cost) 1,861,826
- --------------------------------------------------------------------------------
Total $4,843,095,869
- --------------------------------------------------------------------------------
Statement of Operations
For the Six Months Ended
June 30, 1998
(Expressed in United States Dollars)
Investment Income
- -------------------------------------------------------------------------------
Interest $179,294,318
Facility fees earned 2,084,312
- -------------------------------------------------------------------------------
Total investment income $181,378,630
- -------------------------------------------------------------------------------
Expenses
- -------------------------------------------------------------------------------
Investment adviser fee $ 19,690,774
Trustees fees and expenses 34,001
Custodian fee 496,526
Legal and accounting services 367,227
Interest 193,708
Amortization of organization expenses 3,077
Miscellaneous 260,493
- -------------------------------------------------------------------------------
Total expenses $ 21,045,806
- -------------------------------------------------------------------------------
Net investment income $160,332,824
- -------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
- -------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 492,704
- -------------------------------------------------------------------------------
Net realized gain $ 492,704
- -------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ (814,024)
- -------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) $ (814,024)
- -------------------------------------------------------------------------------
Net realized and unrealized loss $ (321,320)
- -------------------------------------------------------------------------------
Net increase in net assets from operations $160,011,504
- -------------------------------------------------------------------------------
See notes to financial statements
<PAGE>
Senior Debt Portfolio as of June 30, 1998
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
(Expressed in United States Dollars)
Increase (Decrease) Six Months Ended Year Ended
in Net Assets June 30, 1998 December 31, 1997
- --------------------------------------------------------------------------------
From operations --
Net investment income $ 160,332,824 $ 254,014,218
Net realized gain (loss) 492,704 (9,000,530)
Net change in unrealized appreciation
(depreciation) (814,024) 8,549,067
- --------------------------------------------------------------------------------
Net increase in net assets from
operations $ 160,011,504 $ 253,562,755
- --------------------------------------------------------------------------------
Capital transactions --
Contributions $1,225,760,252 $1,646,867,281
Withdrawals (577,747,812) (875,432,567)
- --------------------------------------------------------------------------------
Net increase in net assets from capital
transactions $ 648,012,440 $ 771,434,714
- --------------------------------------------------------------------------------
Net increase in net assets $ 808,023,944 $1,024,997,469
- --------------------------------------------------------------------------------
Net Assets
- --------------------------------------------------------------------------------
At beginning of period $4,035,071,925 $3,010,074,456
- --------------------------------------------------------------------------------
At end of period $4,843,095,869 $4,035,071,925
- --------------------------------------------------------------------------------
Statement of Cash Flows
(Expressed in United States Dollars)
For the
Six Months Ended
Increase (Decrease) in Cash June 30, 1998
- --------------------------------------------------------------------------------
Cash Flows From (Used For) Operating Activities --
Purchases of loan interests $(2,684,917,769)
Proceeds from sales and principal repayments 1,596,863,654
Interest received 168,561,618
Facility fees received 3,082,408
Interest paid (114,611)
Operating expenses paid (20,966,721)
Net decrease in short-term investments 259,195,970
- --------------------------------------------------------------------------------
Net cash used for operating activities $ (678,295,451)
- --------------------------------------------------------------------------------
Cash Flows From (Used For) Financing Activities --
Proceeds from capital contributions $ 1,225,760,252
Payments for capital withdrawals (577,747,812)
- --------------------------------------------------------------------------------
Net cash provided from financing activities $ 648,012,440
- --------------------------------------------------------------------------------
Net decrease in cash $ (30,283,011)
- --------------------------------------------------------------------------------
Cash at Beginning of Period $ 93,405,242
- --------------------------------------------------------------------------------
Cash at End of Period $ 63,122,231
- --------------------------------------------------------------------------------
Reconciliation of Net Increase in Net Assets
From Operations to Net Cash Used For
Operating Activities
- --------------------------------------------------------------------------------
Net Increase in net assets from operations $ 160,011,504
Increase in receivable for investments sold (12,037,517)
Increase in interest receivable (10,732,700)
Increase in prepaid expenses (117,881)
Decrease in deferred organizational expense 3,077
Increase in deferred facility fee income 524,540
Increase in payable to affiliate 26,561
Increase in accrued expenses 52,717
Net increase in investments (816,025,752)
- --------------------------------------------------------------------------------
Net cash used for operating activities $ (678,295,451)
- --------------------------------------------------------------------------------
See notes to financial statements
<PAGE>
Senior Debt Portfolio as of June 30, 1998
FINANCIAL STATEMENTS CONT'D
<TABLE>
Supplementary Data (Expressed in United States Dollars)
<CAPTION>
Year Ended December 31,
Six Months Ended ---------------------------------------------------------
June 30, 1998 1997 1996 1995*
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Ratios to average daily net assets
- -----------------------------------------------------------------------------------------------------------------------------
Operating expenses 0.93%+ 0.94% 0.98% 1.01%+
Interest expense 0.01%+ 0.02% 0.04% 0.13%+
Net investment income 7.18%+ 7.12% 7.17% 7.95%+
Portfolio Turnover 39% 81% 75% 39%
- -----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000's
omitted) $4,843,096 $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.
</TABLE>
See notes to financial statements
<PAGE>
Senior Debt Portfolio as of June 30, 1998
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
- --------------------------------------------------------------------------------
The 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 six
months ended June 30, 1998, the effective annual rate, based on average
daily gross assets, was 0.88% (annualized) and amounted to $19,690,774.
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 six months ended June 30, 1998, 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, 1998 aggregated $2,684,917,769 and $1,608,901,171,
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 $400 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 $96,438 which is
computed at the annual rate of .08% of the revolving credit agreement.
Interest expense also includes $97,270, which represents a commitment fee
for a previous revolving credit agreement. There were no significant
borrowings under this agreement during the six months ended June 30, 1998.
As of June 30, 1998, 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 June 30, 1998, as computed on a federal income tax
basis, were as follows:
Aggregate cost $4,733,105,718
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Gross unrealized appreciation $ 2,675,850
Gross unrealized depreciation (814,024)
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Net unrealized appreciation $ 1,861,826
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<PAGE>
Senior Debt Portfolio as of June 30, 1998
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 June 30, 1998, the related statements of operations and cash
flows for the six months then ended, the statements of changes in net assets
for the six months then ended and the year ended December 31, 1997 and the
supplementary data for the six months ended June 30, 1998, each of the two
years ended December 31, 1997 and 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, 1998 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, 1998, and the results of its operations and its cash
flows, the changes in 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 the Portfolio valued at $4,732,291,694
(97.71% 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 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 LLP
Boston, Massachusetts
September 18, 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
SCOTT H. PAGE
Vice President and
Co-Portfolio Manager
PAYSON F. SWAFFIELD
Vice President and
Co-Portfolio Manager
JAMES L. O'CONNOR
Treasurer
ALAN R. DYNNER
Secretary
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
Chairman and Chief Executive Officer,
United Asset Management Corporation
JOHN L. THORNDIKE
Formerly Director, Fiduciary Company
Incorporated
JACK L. TREYNOR
Investment Adviser and Consultant
