<PAGE>
INVESTMENT ADVISER OF SENIOR DEBT PORTFOLIO
BOSTON MANAGEMENT AND RESEARCH
The Eaton Vance Building
255 State Street
Boston, MA 02109
ADMINISTRATOR
EATON VANCE MAANAGEMENT
The Eaton Vance Building
255 State Street
Boston, MA 02109
PRINCIPAL UNDERWRITER
EATON VANCE DISTRIBUTORS, INC.
The Eaton Vance Building
255 State Street
Boston, MA 02109
(617) 482-8260
CUSTODIAN
INVESTORS BANK & TRUST COMPANY
200 Clarendon Street
Boston, MA 02116
TRANSFER AGENT
PFPC, Inc.
Attn: Eaton Vance Funds
P.O. Box 9653
Providence, RI 02904-9653
<PAGE>
Senior Debt Portfolio as of June 30, 2000
PORTFOLIO OF INVESTMENTS
Senior, Secured, Floating Rate
Interests -- 88.72%
Principal
Amount Borrower/Tranche Description Value
-------------------------------------------------------------------------------
Advertising -- 0.3%
--------------------------------------------------------------------------------
Dimac Corporation
$ 5,714,286 Term loan, maturing June 30, 2006 $ 5,657,143
4,285,714 Term loan, maturing December 31, 2006 4,242,857
Lamar Media Corp.
16,000,000 Term loan, maturing March 1, 2006 16,030,000
-------------------------------------------------------------------------------
$ 25,930,000
-------------------------------------------------------------------------------
Aerospace & Defense -- 1.3%
--------------------------------------------------------------------------------
Aerostructures Corporation
$ 21,711,335 Term loan, maturing December 31, 2003 $ 21,367,579
Aircraft Braking Systems Corp.
22,219,749 Term loan, maturing September 30, 2005 22,219,749
Dyncorp
21,483,000 Term loan, maturing December 9, 2006 21,447,188
EG&G Technical Services, Inc.
18,879,281 Term loan, maturing August 20, 2007 18,879,281
Fairchild Holdings Corporation
19,004,785 Term loan, maturing April 30, 2006 19,004,785
Hexcel Corporation
14,729,997 Term loan, maturing August 25, 2005 14,729,997
United Defense Industries, Inc.
4,873,087 Term loan, maturing October 6, 2005 4,847,503
4,705,051 Term loan, maturing October 6, 2006 4,680,349
-------------------------------------------------------------------------------
$ 127,176,431
-------------------------------------------------------------------------------
Air Freight & Couriers -- 0.4%
-------------------------------------------------------------------------------
Evergreen International Aviation, Inc.
$ 20,460,803 Term loan, maturing April 30, 2002 $ 20,367,031
6,805,902 Term loan, maturing May 31, 2003 6,774,711
Piedmont
6,359,840 Term loan, maturing July 23, 2006 6,359,840
6,359,840 Term loan, maturing July 23, 2007 6,359,840
-------------------------------------------------------------------------------
$ 39,861,422
-------------------------------------------------------------------------------
Airlines -- 0.1%
-------------------------------------------------------------------------------
Continental Airlines, Inc.
$ 12,812,630 Term loan, maturing December 31, 2006 $ 12,812,630
-------------------------------------------------------------------------------
$ 12,812,630
-------------------------------------------------------------------------------
Auto Components -- 3.9%
-------------------------------------------------------------------------------
AAS Holdings, LLC
$ 9,102,381 Term loan, maturing October 30, 2004 $ 9,102,381
Accuride Corporation
2,400,000 Term loan, maturing January 21, 2005 2,400,000
22,800,000 Term loan, maturing January 21, 2006 22,429,500
5,577,500 Term loan, maturing January 21, 2007 5,577,500
American Axle & Manufacturing, Inc.
25,970,667 Term loan, maturing April 30, 2006 25,916,076
Cambridge Industries, Inc.
3,000,000 DIP loan, maturing December 15, 2000 3,000,000
25,480,000 Term loan, maturing June 30, 2005 25,480,000
Car Components Technologies, Inc.
798,438 Revolving loan, maturing February 17, 2005 798,438
5,552,564 Term loan, maturing February 17, 2005 5,552,564
Collins & Aikman
23,821,768 Term loan, maturing June 30, 2005 23,541,863
6,721,414 Term loan, maturing June 30, 2006 6,656,304
Dura Operating Corp.
23,940,000 Term loan, maturing March 31, 2006 23,966,190
Exide Corporation
21,274,275 Term loan, maturing March 18, 2005 21,106,740
Federal-Mogul Corporation
52,200,000 Term loan, maturing February 24, 2005 51,580,125
Insilco Corporation
6,100,121 Term loan, maturing November 24, 2005 6,100,121
J.L. French Automotive Castings, Inc.
6,770,810 Term loan, maturing November 30, 2006 6,748,243
Key Plastics, LLC.
306,667 DIP loan, maturing December 31, 2000 306,667
Key Plastics, LLC.
24,821,206 Term loan, maturing March 26, 2005 24,572,994
Keystone Automotive Operations, Inc.
11,740,271 Term loan, maturing March 31, 2006 11,740,271
Lund Industries, Incorporated
4,401,259 Term loan, maturing December 31, 2004 4,401,259
2,690,590 Term loan, maturing December 31, 2005 2,690,590
Oshkosh Truck Corporation
2,810,578 Term loan, maturing March 31, 2005 2,810,578
2,810,578 Term loan, maturing March 31, 2006 2,810,578
Safelite Glass Corp.*
1,807,846 Term loan, maturing December 17, 2004 1,175,100
1,807,845 Term loan, maturing December 17, 2005 1,175,099
Stanadyne Automotive Corporation
7,723,962 Term loan, maturing December 10, 2004 7,723,962
Tenneco Automotive
16,500,000 Term loan, maturing December 31, 2007 16,407,188
16,500,000 Term loan, maturing December 31, 2008 16,407,188
Venture Holdings Trust
27,150,189 Term loan, maturing April 1, 2005 27,150,189
-------------------------------------------------------------------------------
$ 359,327,706
-------------------------------------------------------------------------------
Auto Rental -- 0.3%
-------------------------------------------------------------------------------
Avis Rent A Car, Inc.
$ 14,480,667 Term loan, maturing June 30, 2006 $ 14,491,223
14,480,667 Term loan, maturing June 30, 2007 14,492,179
-------------------------------------------------------------------------------
$ 28,983,402
-------------------------------------------------------------------------------
Broadcast Media -- 3.3%
-------------------------------------------------------------------------------
Benedek Broadcasting Corporation
$ 38,000,000 Term loan, maturing November 20, 2007 $ 37,845,644
Black Entertainment Television
45,264,000 Term loan, maturing June 30, 2006 44,754,780
Comcorp Broadcasting, Inc.
3,733,906 Term loan, maturing June 30, 2007 3,733,906
Corus Entertainment
19,250,000 Term loan, maturing August 31, 2007 19,250,000
Discovery Communications, Inc.
30,000,000 Term loan, maturing May 13, 2004 30,000,000
Gray Communications Systems
5,750,000 Term loan, maturing December 31, 2005 5,750,000
Lin Television Corp.
47,207,901 Term loan, maturing March 31, 2007 47,099,700
Sinclair Broadcast Group, Inc.
38,074,713 Term loan, maturing December 31, 2004 38,074,713
3,151,724 Revolving loan, maturing August 15, 2005 3,151,724
Susquehanna Media Co.
23,000,000 Term loan, maturing June 30, 2008 23,067,091
TLMD Aquisition Co.
33,757,437 Term loan, maturing March 31, 2007 33,757,437
WGRC, Inc.
4,500,000 Term loan, maturing March 31, 2001 4,500,000
White Knight Broadcasting, Inc.
3,412,500 Term loan, maturing June 30, 2007 3,412,500
WWLP, Inc.
4,500,000 Term loan, maturing March 31, 2001 4,500,000
Young Broadcasting, Inc.
12,250,000 Term loan, maturing December 31, 2006 12,250,000
-------------------------------------------------------------------------------
$ 311,147,495
-------------------------------------------------------------------------------
Cable Television -- 7.2%
-------------------------------------------------------------------------------
Benchmark Genesis, LLC
$ 8,000,000 Term loan, maturing September 30, 2007 $ 8,000,000
CC Michigan/CC New England, LLC.
17,000,000 Term loan, maturing June 30, 2008 16,936,250
Century Cable Holdings, LLC
45,500,000 Term loan, maturing June 30, 2009 45,677,723
Charter Communications Operating, LLC.
185,750,000 Term loan, maturing March 18, 2008 184,418,730
Charter Communications VI
10,000,000 Term loan, maturing June 30, 2008 9,991,250
Charter Communications VIII
42,550,000 Term loan, maturing February 2, 2008 42,581,019
Chelsea Communications, Inc.
21,534,772 Term loan, maturing December 31, 2004 21,534,772
Classic Cable, Inc.
12,921,053 Term loan, maturing October 31, 2007 12,922,668
9,881,579 Term loan, maturing October 31, 2008 9,879,524
Falcon Holding Group, L.P.
14,276,640 Term loan, maturing June 29, 2007 14,205,256
61,245,856 Term loan, maturing December 31, 2007 60,954,938
Frontiervision Operating Partners, L.P.
54,160,738 Term loan, maturing March 31, 2006 53,980,220
Insight Kentucky Partners I, L.P.
6,000,000 Term loan, maturing September 30, 2007 6,000,000
64,500,000 Term loan, maturing December 31, 2007 63,975,938
Mediacom USA, LLC
8,500,000 Term loan, maturing September 30, 2008 8,500,000
RCN Corporation
37,500,000 Term loan, maturing June 30, 2007 37,402,913
UCA Corp.
75,000,000 Term loan, maturing May 15, 2007 75,000,000
-------------------------------------------------------------------------------
$ 671,961,201
-------------------------------------------------------------------------------
Casinos & Gaming -- 1.3%
-------------------------------------------------------------------------------
Alliance Gaming Corporation
$ 12,538,345 Term loan, maturing January 31, 2005 $ 12,538,345
5,161,569 Term loan, maturing July 31, 2005 5,161,569
Aztar Corporation
18,810,000 Term loan, maturing June 30, 2005 18,810,000
Boyd Gaming Corporation
2,970,000 Term loan, maturing June 15, 2003 2,970,000
23,757,519 Term loan, maturing June 15, 2005 23,757,519
Horseshoe Gaming Holding Corp.
31,467,337 Term loan, maturing September 30, 2006 31,467,337
Isle of Capri Casinos
9,066,667 Term loan, maturing March 2, 2006 9,114,430
7,933,333 Term loan, maturing March 2, 2007 7,975,126
Mikohn Gaming Corporation
9,683,162 Term loan, maturing April 1, 2004 9,683,162
-------------------------------------------------------------------------------
$ 121,477,488
-------------------------------------------------------------------------------
Chemicals -- 4.0%
-------------------------------------------------------------------------------
AOC,LLC.
$ 21,413,207 Term loan, maturing September 30, 2006 $ 21,413,207
Arteva B.V. (Kosa)
4,746,216 Term loan, maturing December 31, 2005 4,746,216
24,412,301 Term loan, maturing December 31, 2006 24,557,262
Foamex L.P.
9,960,586 Revolving loan, maturing June 30, 2003 9,623,062
8,836,792 Term loan, maturing June 30, 2005 8,676,625
8,033,475 Term loan, maturing June 30, 2006 7,887,868
13,053,531 Term loan, maturing December 31, 2006 12,816,936
Georgia Gulf Corporation
24,377,393 Term loan, maturing December 31, 2006 24,526,704
Huntsman Corporation
1,307,993 Term loan, maturing September 30, 2003 1,298,183
37,976,754 Term loan, maturing December 31, 2004 37,976,754
6,113,660 Term loan, maturing December 31, 2005 6,110,793
Huntsman ICI Chemicals LLC
28,586,250 Term loan, maturing June 30, 2007 28,805,507
28,586,250 Term loan, maturing June 30, 2008 28,805,507
Lyondell Petrochemical Company
60,741,412 Term loan, maturing June 30, 2007 62,536,868
Polymer Group, Inc.
43,188,706 Term loan, maturing December 20, 2005 43,188,706
9,500,000 Term loan, maturing December 20, 2006 9,500,000
Sterling Pulp Chemicals (Sask) Ltd.
6,220,072 Term loan, maturing June 30, 2005 6,220,072
Sybron Chemicals Inc.
9,975,000 Term loan, maturing March 31, 2007 9,975,000
The Zeneca Specialties Business
2,965,969 Term loan, maturing June 30, 2007 2,965,969
9,886,563 Term loan, maturing June 30, 2008 9,886,563
Vinings Industries, Inc.
8,019,511 Term loan, maturing March 31, 2005 8,019,511
-------------------------------------------------------------------------------
$ 369,537,313
-------------------------------------------------------------------------------
Coal -- 0.8%
-------------------------------------------------------------------------------
Arch Western Resources, LLC.
$ 50,000,000 Term loan, maturing May 31, 2003 $ 50,000,000
P&L Coal Holdings Corporation
23,923,369 Term loan, maturing June 30, 2006 23,887,484
Quaker Coal Company*
9,811,515 Term loan, maturing June 30, 2006 2,943,454
-------------------------------------------------------------------------------
$ 76,830,938
-------------------------------------------------------------------------------
Commercial Services -- 4.1%
-------------------------------------------------------------------------------
Advanstar Communications Inc.
$ 18,648,274 Term loan, maturing April 30, 2005 $ 18,617,187
8,133,003 Term loan, maturing June 30, 2007 8,139,778
American Floral Services, Inc.
4,583,333 Term loan, maturing June 30, 2004 4,583,333
American Marketing Industries, Inc.
592,500 Term loan, maturing August 31, 2001 592,500
5,358,141 Term loan, maturing November 30, 2002 5,358,141
6,385,500 Term loan, maturing November 30, 2003 6,385,500
6,545,763 Term loan, maturing November 30, 2004 6,545,763
5,376,250 Term loan, maturing November 16, 2005 5,376,250
Anthony Crane Rental, L.P.
18,867,450 Term loan, maturing July 20, 2006 18,867,450
Brickman Holdings Corp
7,516,963 Term loan, maturing January 14, 2006 7,516,963
Caterair International Corporation
39,226,838 Term loan, maturing March 1, 2007 39,226,838
Environmental Systems Products Hldgs, Inc.
17,729,207 Term loan, maturing September 30, 2005 17,729,207
3,072,063 Term loan, maturing September 30, 2004 3,072,063
Environmental Systems Products Hldgs, Inc.
1,044,444 Revolving loan, maturing September 30, 2004 1,044,444
Erickson Air-Crane Co.
8,679,628 Term loan, maturing December 31, 2004 8,679,628
Metokote Corporation
9,452,500 Term loan, maturing November 2, 2005 9,452,500
MSX International, Inc.
22,885,000 Term loan, maturing December 31, 2006 22,885,000
Nationsrent, Inc.
29,250,000 Term loan, maturing September 30, 2006 28,994,063
PSI Acquisition Corporation
15,895,951 Term loan, maturing September 30, 2003 15,895,951
Safety-Kleen Services, Inc.*
1,991,703 Revolving loan, maturing April 3, 2004 1,493,777
1,830,601 Term loan, maturing April 3, 2004 1,372,951
28,970,400 Term loan, maturing April 3, 2005 21,727,800
28,970,400 Term loan, maturing April 3, 2006 21,727,800
SC International Services, Inc.
22,066,851 Term loan, maturing March 1, 2007 22,066,851
Tartan Textile Services, Inc.
10,794,910 Term loan, maturing April 30, 2005 10,794,910
United Rentals, Inc.
18,221,721 Term loan, maturing June 30, 2005 18,005,338
30,783,279 Term loan, maturing June 30, 2006 30,417,727
Volume Services, Inc.
23,321,045 Term loan, maturing December 31, 2002 23,321,045
-------------------------------------------------------------------------------
$ 379,890,758
-------------------------------------------------------------------------------
Communications Equipment -- 1.8%
-------------------------------------------------------------------------------
Amphenol Corporation
$ 43,348,674 Term loan, maturing May 19, 2006 $ 43,085,851
Communications & Power Industries, Inc.
494,382 Term loan, maturing August 11, 2000 494,382
7,888,810 Term loan, maturing August 12, 2002 7,888,810
Communications Instruments
11,756,041 Term loan, maturing March 15, 2004 11,756,041
General Cable Corporation
24,603,906 Term loan, maturing May 31, 2007 24,511,642
Mitel Corporation
9,749,971 Term loan, maturing December 12, 2003 9,749,971
Superior Telecom, Inc.
744,828 Revolving loan, maturing November 27, 2005 744,828
1,326,929 Term loan, maturing November 27, 2005 1,319,741
29,829,462 Term loan, maturing November 27, 2006 29,757,543
Telex Communications, Inc.
1,627,300 Term loan, maturing November 6, 2004 1,627,300
TriPoint Global Communications, Inc. (Prodelin)
8,071,827 Term loan, maturing May 31, 2006 8,071,827
Viasystems, Inc.
13,750,000 Term loan, maturing March 31, 2007 13,743,551
13,750,000 Term loan, maturing March 31, 2007 13,743,551
-------------------------------------------------------------------------------
$ 166,495,038
-------------------------------------------------------------------------------
Computer Software & Services -- 1.8%
-------------------------------------------------------------------------------
Bridge Information Systems America
$ 6,217,453 Term loan, maturing May 29, 2004 $ 6,217,453
1,162,692 Term loan, maturing May 29, 2005 1,162,692
Computer Associates International, Inc.
35,000,000 Term loan, maturing June 24, 2003 35,000,000
Paul G. Allen
25,000,000 Term loan, maturing June 10, 2003 25,000,000
Titan Corporation
24,189,375 Term loan, maturing March 31, 2006 24,189,375
8,977,500 Term loan, maturing March 31, 2007 8,977,500
-------------------------------------------------------------------------------
$ 100,547,020
-------------------------------------------------------------------------------
Computers & Peripherals -- 0.1%
-------------------------------------------------------------------------------
Genicom Corporation
$ 974,184 DIP loan, maturing December 31, 2002 $ 974,184
12,909,375 Term loan, maturing September 5, 2004* 4,518,281
-------------------------------------------------------------------------------
$ 5,492,465
-------------------------------------------------------------------------------
Construction & Engineering -- 0.3%
-------------------------------------------------------------------------------
URS Corporation
$ 12,788,502 Term loan, maturing June 9, 2006 $ 12,788,502
12,788,502 Term loan, maturing June 9, 2007 12,788,502
-------------------------------------------------------------------------------
$ 25,577,004
-------------------------------------------------------------------------------
Construction Materials -- 0.7%
-------------------------------------------------------------------------------
Dal-Tile Group, Inc
$ 4,480,609 Revolving loan, maturing December 31, 2002 $ 4,480,609
8,199,840 Term loan, maturing December 31, 2002 7,994,844
Reliant Building Products, Inc.*
419,000 Revolving loan, maturing December 31, 2000 419,000
11,519,231 Term loan, maturing March 31, 2004 9,215,385
Tapco International Corporation
5,205,565 Term loan, maturing June 23, 2006 5,205,565
4,714,375 Term loan, maturing June 23, 2007 4,714,375
3,225,625 Term loan, maturing June 23, 2008 3,225,625
Truseal Technologies, Inc.
7,037,000 Term loan, maturing July 1, 2004 7,037,000
Trussway Industries, Inc.
13,965,000 Term loan, maturing December 31, 2006 13,965,000
U.S. Aggregates, Inc.
11,171,071 Term loan, maturing March 31, 2006 11,171,071
-------------------------------------------------------------------------------
$ 67,428,474
-------------------------------------------------------------------------------
Containers & Packaging - Metal & Glass -- 1.1%
-------------------------------------------------------------------------------
Ball Corporation
$ 24,606,392 Term loan, maturing March 10, 2006 $ 24,626,495
Consolidated Container Holdings LLC
33,033,750 Term loan, maturing June 30, 2007 32,899,567
Graham Packaging Company
8,478,127 Term loan, maturing January 31, 2006 8,462,638
9,526,969 Term loan, maturing January 31, 2007 9,510,021
5,339,817 Term loan, maturing January 31, 2008 5,331,626
Silgan Holdings Inc.
19,723,569 Term loan, maturing June 30, 2005 19,509,904
-------------------------------------------------------------------------------
$ 100,340,251
-------------------------------------------------------------------------------
Containers & Packaging - Paper -- 2.8%
-------------------------------------------------------------------------------
ACX Technologies, Inc.
$ 14,533,125 Term loan, maturing August 3, 2000 $ 14,292,427
Blue Ridge Paper Products, Inc.
10,296,361 Term loan, maturing March 31, 2006 10,296,361
Gaylord Container Corporation
5,862,857 Revolving loan, maturing June 19, 2004 5,862,857
12,785,101 Term loan, maturing June 19, 2004 12,785,101
Impaxx, Inc.
2,466,667 Term loan, maturing December 31, 2005 2,466,667
5,445,000 Term loan, maturing December 31, 2006 5,445,000
Jefferson Smurfit Corporation
17,187,500 Term loan, maturing March 31, 2005 17,133,789
9,008,333 Term loan, maturing March 24, 2006 9,024,197
Packaging Dynamics, LLC.
16,811,583 Term loan, maturing November 20, 2008 16,811,583
RIC Holding, Inc.
8,302,443 Revolving loan, maturing February 28, 2003 8,022,235
27,066,802 Term loan, maturing February 28, 2003 26,817,273
20,365,976 Term loan, maturing February 28, 2004 20,424,325
6,929,622 Term loan, maturing August 28, 2004 6,949,475
Stone Container Corporation
10,719,060 Term loan, maturing October 1, 2003 10,745,858
21,490,680 Term loan, maturing October 1, 2003 21,548,533
12,415,641 Term loan, maturing October 1, 2003 12,447,872
22,482,087 Term loan, maturing October 1, 2004 22,533,616
17,700,000 Term loan, maturing December 31, 2006 17,666,813
19,700,000 Term loan, maturing December 31, 2006 19,663,063
Stronghaven, Inc.
9,097,237 Term loan, maturing May 15, 2004 8,733,348
2,364,575 Term loan, maturing May 15, 2004 2,269,992
-------------------------------------------------------------------------------
$ 271,940,385
-------------------------------------------------------------------------------
Containers & Packaging - Plastics -- 0.8%
-------------------------------------------------------------------------------
Huntsman Packaging Corp.
$ 5,500,000 Term loan, maturing June 30, 2006 $ 5,514,438
Impac Group, Inc.
14,737,500 Term loan, maturing June 30, 2005 14,737,500
IPC, Inc.
27,577,500 Term loan, maturing September 30, 2004 26,899,562
LLS Corp.
9,500,000 Term loan, maturing July 31, 2006 9,500,000
Mediapak Holdings, LLC
7,424,824 Term loan, maturing December 31, 2005 7,424,824
7,424,824 Term loan, maturing December 31, 2006 7,424,824
Tekni-Plex, Inc.
6,500,000 Term loan, maturing June 30, 2008 6,500,000
-------------------------------------------------------------------------------
$ 78,001,148
-------------------------------------------------------------------------------
Educational Services -- 0.6%
-------------------------------------------------------------------------------
Jostens, Inc.
$ 17,500,000 Term loan, maturing May 31, 2008 $ 17,556,875
Kindercare Learning Centers, Inc.
8,216,911 Term loan, maturing February 13, 2006 8,189,524
La Petite Academy, Inc.
4,781,250 Term loan, maturing May 11, 2005 4,781,250
Language Line, LLC
12,902,500 Term loan, maturing March 31, 2006 12,902,500
Weekly Reader Corporation
14,639,375 Term loan, maturing September 30, 2007 14,639,375
-------------------------------------------------------------------------------
$ 58,069,524
-------------------------------------------------------------------------------
Electronic Equipment & Instruments -- 0.6%
-------------------------------------------------------------------------------
Gentek, Inc.
$ 21,780,000 Term loan, maturing April 30, 2007 $ 21,780,000
Juno Lighting, Inc.
12,894,185 Term loan, maturing November 30, 2006 12,894,185
Knowles Electronics, Inc.
13,500,000 Term loan, maturing June 29, 2007 13,500,000
Stoneridge
8,738,757 Term loan, maturing December 31, 2005 8,786,549
-------------------------------------------------------------------------------
$ 56,960,734
-------------------------------------------------------------------------------
Entertainment -- 3.4%
-------------------------------------------------------------------------------
AMF Bowling Worldwide, Inc.
$ 6,123,858 Term loan, maturing March 31, 2002 $ 6,123,858
6,498,056 Term loan, maturing March 31, 2003 6,498,056
5,865,965 Term loan, maturing March 31, 2004 5,865,965
Amfac Resorts, Inc.
4,900,000 Term loan, maturing September 30, 2003 4,851,000
4,900,000 Term loan, maturing September 30, 2004 4,851,000
Blockbuster Entertainment Corp.
2,185,495 Revolving loan, maturing July 1, 2004 1,873,275
70,000,000 Term loan, maturing July 1, 2004 70,000,000
6,923,077 Term loan, maturing July 1, 2006 6,923,077
Dreamworks Film Trust
18,750,000 Term loan, maturing December 31, 2006 18,750,000
Fitness Holdings Worldwide, Inc.
4,482,000 Term loan, maturing November 2, 2006 4,458,192
4,482,000 Term loan, maturing November 2, 2007 4,459,590
Interval International Corp.
11,308,651 Term loan, maturing December 16, 2005 11,273,311
11,308,651 Term loan, maturing December 16, 2006 11,273,311
KSL Recreation Group, Inc.
1,215,944 Revolving loan, maturing April 30, 2005 1,215,944
12,819,856 Term loan, maturing April 30, 2005 12,699,669
12,819,856 Term loan, maturing April 30, 2006 12,723,707
Metro-Goldwyn-Mayer Studios Inc.
70,000 Revolving loan, maturing December 31, 2005 70,000
2,000,000 Term loan, maturing December 31, 2005 1,960,834
20,000,000 Term loan, maturing March 31, 2006 19,850,000
Pebble Beach Company
20,337,147 Term loan, maturing July 30, 2006 20,422,949
SFX Entertainment, Inc
57,000,000 Term loan, maturing June 30, 2006 57,057,000
Six Flags Theme Parks Inc.
42,750,000 Term loan, maturing September 30, 2005 43,027,875
-------------------------------------------------------------------------------
$ 326,228,613
-------------------------------------------------------------------------------
Environmental Services -- 0.8%
-------------------------------------------------------------------------------
Allied Waste Industries, Inc.
$ 5,000,000 Term loan, maturing July 30, 2005 $ 4,550,000
17,340,909 Term loan, maturing July 30, 2006 16,295,356
20,659,091 Term loan, maturing July 30, 2007 19,413,472
International Technology Corporation
17,750,000 Term loan, maturing June 11, 2004 17,750,000
9,703,431 Term loan, maturing June 11, 2006 9,703,431
Philips Environmental Services*
688,056 Term loan (PIK), maturing April 21, 2005 688,056
1,204,352 Term loan, maturing April 21, 2005 1,204,352
Stericycle, Inc.
7,725,094 Term loan, maturing November 10, 2006 7,755,268
-------------------------------------------------------------------------------
$ 77,359,935
-------------------------------------------------------------------------------
Financials -- 0.1%
-------------------------------------------------------------------------------
Altamira Management Ltd.
$ 10,539,202 Term loan, maturing September 30, 2004 $ 10,539,202
TRG Holding Corporation
3,210,000 Term loan, maturing January 7, 2003 3,210,000
-------------------------------------------------------------------------------
$ 13,749,202
-------------------------------------------------------------------------------
Food, Beverages & Tobacco -- 3.2%
-------------------------------------------------------------------------------
Aurora Foods, Inc.
$ 6,672,209 Term loan, maturing September 30, 2005 $ 6,672,209
27,278,916 Term loan, maturing September 30, 2006 27,278,916
B&G Foods, Inc.
12,750,000 Term loan, maturing March 31, 2006 11,857,500
Del Monte Corporation
3,511,286 Term loan, maturing March 31, 2003 3,484,951
32,831,510 Term loan, maturing March 31, 2005 32,841,787
Domino's Inc.
17,638,280 Term loan, maturing December 21, 2006 17,711,037
17,665,926 Term loan, maturing December 21, 2007 17,739,540
Eagle Family Foods, Inc
20,692,909 Term loan, maturing December 31, 2005 20,692,909
Fleming Companies, Inc.
3,362,679 Revolving loan, maturing July 25, 2004 3,362,679
21,484,772 Term loan, maturing July 25, 2004 21,484,772
International Home Foods, Inc.
745,253 Revolving loan, maturing March 31, 2003 738,546
4,116,704 Term loan, maturing September 30, 2005 4,094,190
35,515,857 Term loan, maturing September 30, 2006 35,339,778
New World Pasta
11,468,167 Term loan, maturing January 28, 2006 11,389,323
Pabst Brewing Company
8,126,463 Term loan, maturing April 30, 2004 8,133,232
Purina Mills, Inc.
14,616,963 Term loan, maturing December 31, 2003 14,178,454
Sweeteners Holdings, Inc.
11,000,000 Term loan, maturing June 30, 2007 11,000,000
3,500,000 Term loan, maturing June 30, 2008 3,500,000
Tabletop Holdings, Inc.
17,955,000 Term loan, maturing March 31, 2007 17,955,000
Triarc Companies, Inc.
8,620,800 Term loan, maturing March 1, 2006 8,651,111
21,034,769 Term loan, maturing March 31, 2006 21,108,727
-------------------------------------------------------------------------------
$ 299,214,661
-------------------------------------------------------------------------------
Funeral Service -- 0.4%
-------------------------------------------------------------------------------
Cornerstone Family Services, Inc.
$ 9,924,623 Term loan, maturing March 31, 2007 $ 9,924,623
Prime Succession, Inc.
15,111,111 Term loan, maturing August 1, 2003 14,808,889
Rose Hills Company
9,336,484 Term loan, maturing December 1, 2003 9,336,484
-------------------------------------------------------------------------------
$ 34,069,996
-------------------------------------------------------------------------------
Health Care - Equipment & Supplies -- 2.5%
-------------------------------------------------------------------------------
Charles River Laboratories, Inc.
$ 17,616,875 Term loan, maturing October 13, 2007 $ 17,616,875
Circon Corporation
10,000,000 Term loan, maturing October 31, 2006 10,000,000
Conmed Corporation
17,339,732 Term loan, maturing December 30, 2004 17,326,727
2,237,344 Term loan, maturing December 31, 2005 2,240,140
Dade Behring Holdings, Inc.
8,415,000 Term loan, maturing June 30, 2005 8,286,520
8,415,000 Term loan, maturing June 30, 2006 8,286,520
Fisher Scientific International Inc
15,256,227 Term loan, maturing January 21, 2007 15,283,643
10,433,035 Term loan, maturing January 21, 2008 10,456,677
Hanger Orthopedic Group, Inc
10,422,563 Term loan, maturing December 31, 2006 10,422,563
Imed Corporation
5,664,000 Term loan, maturing November 30, 2002 5,664,000
5,827,153 Term loan, maturing November 30, 2003 5,827,153
5,827,153 Term loan, maturing November 30, 2004 5,827,153
9,078,095 Term loan, maturing May 31, 2005 9,078,095
Kinetic Concepts, Inc.
2,468,354 Term loan, maturing December 31, 2004 2,468,354
2,468,354 Term loan, maturing December 31, 2005 2,468,354
Leiner Health Products Inc.
11,146,985 Term loan, maturing December 30, 2004 11,146,985
1,802,945 Term loan, maturing December 30, 2005 1,802,945
Maxxim Medical, Inc.
5,000,000 Term loan, maturing October 31, 2007 5,000,000
5,000,000 Term loan, maturing October 31, 2008 5,000,000
Nutramax Products, Inc.*
11,905,985 Term loan, maturing September 19, 2005 5,952,993
Stryker Corporation
20,651,028 Term loan, maturing December 10, 2005 20,734,934
22,356,836 Term loan, maturing December 10, 2006 22,447,672
Sybron International Corporation
20,565,667 Term loan, maturing July 31, 2004 20,565,667
WGL Acquisition Corp.
13,823,763 Term loan, maturing July 10, 2004 13,823,763
-------------------------------------------------------------------------------
$ 237,727,733
-------------------------------------------------------------------------------
Health Care - Providers & Services -- 2.8%
-------------------------------------------------------------------------------
Community Health Systems, Inc.
$ 13,141,632 Term loan, maturing December 31, 2003 $ 13,027,812
13,141,632 Term loan, maturing December 31, 2004 13,039,548
9,616,870 Term loan, maturing December 31, 2005 9,557,621
Concentra Managed Care, Inc.
9,900,000 Term loan, maturing December 31, 2005 9,900,000
4,950,000 Term loan, maturing December 31, 2006 4,950,000
Extendicare Health Services, Inc.
15,336,488 Term loan, maturing December 31, 2004 14,569,664
FHC Health Systems, Inc.
9,062,544 Term loan, maturing April 30, 2005 9,062,544
9,062,544 Term loan, maturing April 30, 2006 9,062,544
Genesis Health Ventures, Inc.*
6,139,273 Term loan, maturing September 30, 2004 4,788,633
6,109,164 Term loan, maturing June 1, 2005 4,765,148
Integrated Health Services, Inc.*
32,422,500 Term loan, maturing September 15, 2003 15,643,856
19,650,000 Term loan, maturing December 31, 2005 9,481,125
Magellan Health Services, Inc.
14,852,529 Term loan, maturing February 12, 2005 14,852,529
14,852,529 Term loan, maturing February 12, 2006 14,852,529
Mariner Post-Acute Network (f/k/a Paragon)*
16,718,646 Term loan, maturing March 31, 2005 8,359,323
16,718,645 Term loan, maturing March 31, 2006 8,359,323
Mediq/PRN Life Support Services, Inc.
15,745,363 Term loan, maturing May 29, 2006 13,383,558
National Medical Care, Inc.
25,085,000 Term loan, maturing September 30, 2003 25,085,000
Quest Diagnostics, Inc.
12,156,003 Term loan, maturing August 16, 2005 12,202,427
11,219,462 Term loan, maturing August 16, 2006 11,262,309
Sun Healthcare Group, Inc.*
4,246,214 Term loan, maturing October 9, 2004 2,123,107
2,636,549 Revolving loan, maturing October 9, 2005 1,318,275
2,903,861 Term loan, maturing October 9, 2005 1,451,930
4,246,214 Term loan, maturing October 9, 2006 2,123,107
Team Health
3,826,667 Term loan, maturing March 12, 2006 3,826,667
The Multicare Companies Inc. *
5,940,435 Term loan, maturing September 30, 2004 4,633,539
1,970,016 Term loan, maturing June 1, 2005 1,536,613
Total Renal Care Holdings, Inc.
28,035,121 Term loan, maturing March 31, 2008 26,528,232
-------------------------------------------------------------------------------
$ 269,746,963
-------------------------------------------------------------------------------
Hotels -- 1.9%
-------------------------------------------------------------------------------
Allegro Resorts Corporation
$ 19,500,000 Term loan, maturing February 11, 2005 $ 19,500,000
Extended Stay America
980,000 Revolving loan, maturing December 31, 2002 1,260,000
6,500,000 Term loan, maturing December 31, 2002 6,500,000
9,900,000 Term loan, maturing December 31, 2003 9,900,000
Starwood Hotels & Resorts
69,000,000 Term loan, maturing February 23, 2003 69,237,222
24,375,000 Term loan, maturing February 23, 2003 24,458,801
Wyndham International, Inc.
13,000,000 Term loan, maturing June 30, 2004 12,832,989
34,000,000 Term loan, maturing June 30, 2006 34,000,000
-------------------------------------------------------------------------------
$ 177,689,012
-------------------------------------------------------------------------------
Household Furnish & Appliances -- 1.6%
-------------------------------------------------------------------------------
Goodman Manufacturing Company, L.P.
$ 6,962,118 Term loan, maturing September 30, 2003 $ 6,962,118
27,298,720 Term loan, maturing July 31, 2005 27,004,412
Home Interiors & Gifts, Inc.
34,530,105 Term loan, maturing June 30, 2006 34,530,105
Sealy Mattress Company
19,478,757 Term loan, maturing December 15, 2004 19,503,106
13,874,456 Term loan, maturing December 15, 2005 13,904,814
17,894,580 Term loan, maturing December 15, 2006 17,924,410
Simmons Company
8,057,133 Term loan, maturing October 30, 2005 8,077,275
14,390,925 Term loan, maturing October 30, 2006 14,426,902
The Boyds Collection, Ltd.
5,000,000 Term loan, maturing April 21, 2005 5,000,000
1,930,556 Term loan, maturing April 21, 2006 1,916,881
-------------------------------------------------------------------------------
$ 149,250,023
-------------------------------------------------------------------------------
Household Products -- 1.5%
-------------------------------------------------------------------------------
BMK, Inc.
$ 5,368,917 Term loan, maturing June 30, 2004 $ 5,368,917
Corning Consumer Products Company
7,840,000 Term loan, maturing October 9, 2006 7,840,000
Desa International, Inc.
7,113,450 Term loan, maturing November 30, 2004 7,020,086
Diamond Brands Operating Corp.
12,909 Revolving loan, maturing March 31, 2004 12,909
1,670,114 Term loan, maturing March 31, 2005 1,670,114
11,220,154 Term loan, maturing March 31, 2006 11,220,154
Polaroid Corporation
21,071,429 Revolving loan, maturing December 31, 2001 21,071,429
Samsonite Corporation
12,432,868 Term loan, maturing June 24, 2005 12,344,806
6,009,081 Term loan, maturing June 24, 2006 5,966,519
Shop Vac Corporation
10,000,000 Term loan, maturing June 30, 2007 10,000,000
The Imperial Decor Home Group, Inc.*
4,233,839 Revolving loan, maturing March 12, 2004 2,879,010
3,656,591 Term loan, maturing March 12, 2004 2,486,482
6,491,158 Term loan, maturing March 12, 2005 4,413,988
2,536,937 Term loan, maturing March 12, 2006 1,725,117
The Scotts Company
9,575,561 Term loan, maturing June 30, 2006 9,623,439
9,252,453 Term loan, maturing June 30, 2007 9,298,142
United Industries Corporation
21,605,076 Term loan, maturing January 20, 2006 21,605,076
Werner Holding Co.
4,121 Revolving loan, maturing November 24, 2003 4,121
7,994,843 Term loan, maturing November 30, 2004 7,954,037
4,826,250 Term loan, maturing November 30, 2005 4,803,325
-------------------------------------------------------------------------------
$ 147,307,671
-------------------------------------------------------------------------------
Insurance -- 0.6%
-------------------------------------------------------------------------------
Acordia, Inc.
$ 22,498,003 Term loan, maturing December 31, 2004 $ 22,498,003
Willis Corroon Corporation
11,565,000 Term loan, maturing February 19, 2007 11,545,721
12,632,500 Term loan, maturing February 19, 2008 12,611,442
12,632,500 Term loan, maturing August 19, 2008 12,611,442
-------------------------------------------------------------------------------
$ 59,266,608
-------------------------------------------------------------------------------
Leisure Equipment & Products -- 0.2%
-------------------------------------------------------------------------------
AMSCAN Holdings, Inc.
$ 8,175,562 Term loan, maturing December 31, 2004 $ 8,175,562
Hedstrom Corporation
5,324,234 Term loan, maturing June 30, 2003 4,791,811
2,018,150 Term loan, maturing June 30, 2005 1,816,335
-------------------------------------------------------------------------------
$ 14,783,708
-------------------------------------------------------------------------------
Machinery -- 0.5%
-------------------------------------------------------------------------------
Numatics, Incorporated
$ 1,622,430 Term loan, maturing March 19, 2004 $ 1,706,805
3,359,560 Term loan, maturing September 19, 2005 3,368,314
Terex Corporation
13,051,545 Term loan, maturing March 31, 2005 13,047,473
14,750,289 Revolving loan, maturing March 31, 2007 14,750,289
Thermadyne MFG LLC
2,780,003 Term loan, maturing May 22, 2004 2,780,003
8,600,578 Term loan, maturing May 22, 2005 8,600,578
8,600,578 Term loan, maturing May 22, 2006 8,600,578
-------------------------------------------------------------------------------
$ 52,854,040
-------------------------------------------------------------------------------
Manufacturing -- 3.5%
-------------------------------------------------------------------------------
Advanced Glassfiber Yarns LLC
$ 23,219,414 Term loan, maturing September 30, 2005 $ 23,219,414
Alliance Laundry Holdings LLC.
17,500,000 Term loan, maturing September 30, 2005 17,412,500
Chart Industries, Inc.
19,151,759 Term loan, maturing March 31, 2006 19,151,759
Citation Corporation
13,500,000 Term loan, maturing December 1, 2007 13,500,000
Coinmach Laundry Corporation
33,790,331 Term loan, maturing June 30, 2005 33,700,584
Matthew Warren, Inc.
7,674,036 Term loan, maturing May 31, 2005 7,674,036
2,812,056 Term loan, maturing May 31, 2006 2,812,056
Mueller Group, Inc.
13,575,132 Term loan, maturing August 17, 2006 13,602,703
12,615,056 Term loan, maturing August 17, 2007 12,640,678
1,995,000 Term loan, maturing August 17, 2008 1,995,000
Neenah Foundry Company
29,410,236 Term loan, maturing September 30, 2005 29,410,236
Panolam Industries, Inc.
14,703,889 Term loan, maturing December 31, 2006 14,722,269
Polypore Incorporated
3,000,000 Term loan, maturing December 31, 2006 3,000,000
UCAR Finance, Inc.
46,843,333 Term loan, maturing December 31, 2007 46,804,922
SPX Corporation
4,975,000 Term loan, maturing September 30, 2006 4,996,766
44,775,000 Term loan, maturing December 31, 2006 44,970,891
Synthetic Industries, Inc.
18,000,000 Term loan, maturing December 30, 2007 18,000,000
Tokheim Corporation
2,500,000 Revolving loan, maturing September 30, 2003 2,500,000
17,874,463 Term loan, maturing September 30, 2004 17,874,463
-------------------------------------------------------------------------------
$ 327,988,277
-------------------------------------------------------------------------------
Metals & Mining -- 0.3%
-------------------------------------------------------------------------------
Handy & Harman
$ 19,034,810 Term loan, maturing December 31, 2006 $ 18,999,119
U.S. Silica Company
7,936,842 Term loan, maturing September 30, 2007 7,936,842
-------------------------------------------------------------------------------
$ 26,935,961
-------------------------------------------------------------------------------
Office Equipment & Supplies -- 0.7%
-------------------------------------------------------------------------------
Buhrmann, Inc.
$ 34,761,178 Term loan, maturing December 31, 2007 $ 34,848,081
Identity Group, Inc.
6,947,500 Term loan, maturing April 30, 2007 6,947,500
U.S. Office Products
26,421,081 Term loan, maturing June 9, 2006 26,421,081
-------------------------------------------------------------------------------
$ 68,216,662
-------------------------------------------------------------------------------
Oil & Gas -- 0.2%
-------------------------------------------------------------------------------
Firefly Trust (Enron)
$ 15,000,000 Term loan, maturing March 31, 2004 $ 15,000,000
Transmontaigne Inc.
4,125,000 Term loan, maturing June 30, 2006 4,125,000
-------------------------------------------------------------------------------
$ 19,125,000
-------------------------------------------------------------------------------
Paper & Forest Products -- 0.5%
-------------------------------------------------------------------------------
Alabama River & Newsprint
$ 19,271,532 Term loan, maturing December 31, 2002 $ 17,843,877
Bear Island Paper Company, LLC
8,909,584 Term loan, maturing December 31, 2005 8,909,584
Pacifica Papers, Inc.
17,820,000 Term loan, maturing March 5, 2006 17,820,000
-------------------------------------------------------------------------------
$ 44,573,461
-------------------------------------------------------------------------------
Personal Products -- 1.3%
-------------------------------------------------------------------------------
AM Cosmetics, Inc.
$ 3,152,617 Revolving loan, maturing May 30, 2004 $ 3,152,617
1,831,215 Term loan, maturing May 30, 2004 1,831,215
3,662,430 Term loan, maturing May 30, 2006 3,662,430
3,975,033 Subordinated debt, maturing May 30, 2007 2,822,273
American Safety Razor Company
3,843,180 Term loan, maturing April 30, 2007 3,830,371
Mary Kay Inc.
17,046,294 Term loan, maturing March 6, 2004 17,046,294
Playtex FP, Inc.
50,688,258 Term loan, maturing June 15, 2003 50,688,258
Revlon Consumer Products Corporation
39,368,697 Term loan, maturing May 29, 2002 39,368,697
-------------------------------------------------------------------------------
$ 122,402,155
-------------------------------------------------------------------------------
Pharmaceuticals & Biotechnology -- 1.0%
-------------------------------------------------------------------------------
Alliance Imaging, Inc.
$ 11,908,558 Term loan, maturing December 18, 2004 $ 11,804,358
14,687,221 Term loan, maturing December 18, 2005 14,558,708
Bergen Brunswig Corporation
45,931,000 Term loan, maturing October 19, 2001 45,931,000
Express Scripts, Inc.
10,000,000 Term loan, maturing March 31, 2006 9,932,810
King Pharmaceuticals, Inc.
4,591,006 Term loan, maturing December 31, 2005 4,597,222
Shire Pharmaceuticals
5,000,000 Term loan, maturing December 31, 2005 5,000,000
-------------------------------------------------------------------------------
$ 91,824,098
-------------------------------------------------------------------------------
Publishing & Printing -- 3.6%
-------------------------------------------------------------------------------
American Media Operations Inc.
$ 10,000,000 Term loan, maturing April 1, 2006 $ 10,002,080
33,000,000 Term loan, maturing April 1, 2007 33,031,875
84,375 Cygnus Publishing 84,375
Entertainment Publications, Inc.
10,979,912 Term loan, maturing December 31, 2005 10,979,912
HIF Corp.
42,500,000 Term loan, maturing December 31, 2004 42,500,000
Journal Register Company
41,958,000 Term loan, maturing September 30, 2006 41,590,868
Liberty Group Operating, Inc.
7,000,000 Term loan, maturing April 30, 2007 7,000,000
Merrill Corporation
12,437,500 Term loan, maturing November 15, 2007 12,437,500
Morris Communications Corporation
17,308,602 Term loan, maturing June 30, 2005 17,308,602
Primedia Inc.
1,810,000 Revolving loan, maturing June 30, 2004 1,810,000
45,762,500 Term loan, maturing June 30, 2004 45,697,203
R.H. Donnelley Inc.
11,056,443 Term loan, maturing December 5, 2005 11,021,892
12,708,557 Term loan, maturing December 5, 2006 12,668,842
Rand McNally & Company
982,500 Term loan, maturing April 30, 2005 982,500
4,421,250 Term loan, maturing April 30, 2006 4,421,250
Reiman Publications
5,477,713 Term loan, maturing November 30, 2005 5,499,394
The McClatchy Company
33,068,182 Term loan, maturing September 10, 2007 32,976,219
The Sheridan Group, Inc.
7,855,873 Term loan, maturing January 30, 2005 7,855,873
Von Hoffman Press, Inc.
9,767,589 Term loan, maturing May 30, 2004 9,767,589
25,101,602 Term loan, maturing May 30, 2005 25,101,602
-------------------------------------------------------------------------------
$ 332,737,576
-------------------------------------------------------------------------------
Real Estate -- 1.7%
-------------------------------------------------------------------------------
American Tower, L.P.
$ 45,250,000 Term loan, maturing December 31, 2007 $ 45,411,226
Crown Castle Operating Company
44,500,000 Term loan, maturing March 31, 2008 44,619,216
Lennar Corporation
36,750,000 Term loan, maturing May 2, 2007 36,750,000
Spectrasite Communications, Inc.
18,000,000 Term loan, maturing June 30, 2006 18,040,500
Starwood Walden LLC
8,500,000 Term loan, maturing June 30, 2003 8,500,000
-------------------------------------------------------------------------------
$ 153,320,942
-------------------------------------------------------------------------------
REIT's -- 0.8%
-------------------------------------------------------------------------------
Crescent Real Estate Funding VIII
$ 46,234,239 Term loan, maturing May 30, 2008 $ 46,234,239
Meditrust Corporation
5,454,807 Revolving loan, maturing July 15, 2001 5,454,807
5,050,000 Term loan, maturing July 15, 2001 5,050,000
Prison Realty Corporation
14,775,000 Term loan, maturing January 1, 2003 14,775,000
-------------------------------------------------------------------------------
$ 71,514,046
-------------------------------------------------------------------------------
Restaurants -- 1.1%
-------------------------------------------------------------------------------
AFC Enterprises Inc
$ 11,092,553 Term loan, maturing June 30, 2004 $ 11,092,553
Applebee's International, Inc.
12,460,749 Term loan, maturing March 31, 2006 12,460,749
Coco's Carrow's and Jojo's Restaurants
3,500,000 Term loan, maturing April 30, 2003 3,500,000
Shoney's Inc.
1,499,692 Term loan, maturing April 30, 2002 1,499,692
9,182,660 Term loan, maturing April 30, 2002 9,182,660
Tricon Global Restaurants, Inc.
63,279,832 Term loan, maturing October 2, 2002 61,727,515
-------------------------------------------------------------------------------
$ 99,463,169
-------------------------------------------------------------------------------
Retail - Food & Drug -- 1.7%
-------------------------------------------------------------------------------
Duane Reade Inc.
$ 3,363,636 Revolving loan, maturing February 15, 2004 $ 3,363,636
11,241,250 Term loan, maturing February 15, 2005 11,234,280
6,263,240 Term loan, maturing February 15, 2006 6,263,240
Fred Meyer, Inc.
6,548,473 Term loan, maturing March 11, 2003 6,494,585
Pathmark Stores, Inc.
36,951,313 Term loan, maturing December 15, 2001 36,951,313
Rite Aid Funding, LLC
70,000,000 Term loan, maturing August 1, 2002 70,000,000
Shoppers Acquisition Corporation
13,591,615 Term loan, maturing March 30, 2008 13,618,799
13,591,615 Term loan, maturing March 30, 2009 13,618,799
-------------------------------------------------------------------------------
$ 161,544,652
-------------------------------------------------------------------------------
Retail - Multiline -- 0.2%
-------------------------------------------------------------------------------
Tuesday Morning Corporation
$ 15,308,798 Term loan, maturing December 31, 2004 $ 15,308,798
-------------------------------------------------------------------------------
$ 15,308,798
-------------------------------------------------------------------------------
Retail - Specialty -- 1.2%
-------------------------------------------------------------------------------
Advanced Stores Company, Inc.
$ 36,768,000 Term loan, maturing April 15, 2006 $ 36,768,000
CSK Auto, Inc.
29,897,591 Term loan, maturing October 31, 2003 29,635,987
8,440,000 Term loan, maturing October 31, 2004 8,440,000
Nebraska Book Company
7,269,678 Term loan, maturing March 31, 2006 7,269,678
Petro Shopping Centers, L.P.
11,500,000 Term loan, maturing July 31, 2006 11,500,000
Travelcenters of America, Inc.
21,565,353 Term loan, maturing March 27, 2005 21,632,744
-------------------------------------------------------------------------------
$ 115,246,409
-------------------------------------------------------------------------------
Road & Rail -- 0.8%
-------------------------------------------------------------------------------
I & M Rail Link, LLC
$ 8,240,000 Term loan, maturing March 31, 2004 $ 8,240,000
Kansas City Southern Industries, Inc.
23,500,000 Term loan, maturing December 29, 2006 23,619,592
MTL
15,154,247 Term loan, maturing August 28, 2005 15,059,533
13,132,996 Term loan, maturing February 28, 2006 13,050,915
Transportation Manufacturing Operations, Inc.
12,870,000 Term loan, maturing June 15, 2006 12,870,000
-------------------------------------------------------------------------------
$ 72,840,040
-------------------------------------------------------------------------------
Semiconductor Equipment & Products -- 0.6%
-------------------------------------------------------------------------------
Amkor Technology, Inc.
$ 10,000,000 Term loan, maturing September 30, 2005 $ 10,057,290
Semiconductor Components Industries, LLC
15,793,149 Term loan, maturing August 4, 2006 15,921,468
17,008,006 Term loan, maturing August 4, 2007 17,146,196
8,254,595 Term loan, maturing August 4, 2008 8,262,850
-------------------------------------------------------------------------------
$ 51,387,804
-------------------------------------------------------------------------------
Shipping Lines -- 0.2%
-------------------------------------------------------------------------------
American Commercial Lines
$ 6,016,385 Term loan, maturing July 30, 2006 $ 6,016,385
8,992,349 Term loan, maturing June 30, 2007 8,992,349
-------------------------------------------------------------------------------
$ 15,008,734
-------------------------------------------------------------------------------
Telecommunications - Wireline -- 1.9%
-------------------------------------------------------------------------------
Alec Holdings, Inc.
$ 13,429,283 Term loan, maturing November 30, 2006 $ 13,436,279
9,020,718 Term loan, maturing November 30, 2007 9,027,294
Cincinnati Bell, Inc.
59,750,000 Term loan, maturing December 31, 2005 59,829,348
Davel Communications
3,950,000 Term loan, maturing June 23, 2005 3,160,000
Globenet Communication Holdings Ltd.
14,000,000 Term loan, maturing September 30, 2005 14,000,000
Level 3 Communications, Inc.
13,500,000 Term loan, maturing July 15, 2008 13,546,413
McLeod USA Incorporated
28,250,000 Term loan, maturing May 31, 2008 28,267,656
MJD Communications
4,493,869 Term loan, maturing March 31, 2006 4,493,869
4,392,490 Term loan, maturing March 31, 2007 4,392,490
Nextlink Communications, Inc.
11,500,000 Term loan, maturing June 30, 2007 11,563,664
NSC Communications Corporation
10,823,529 Term loan, maturing October 1, 2003 10,823,529
-------------------------------------------------------------------------------
$ 172,540,542
-------------------------------------------------------------------------------
Telecommunications-Wireless -- 7.4%
-------------------------------------------------------------------------------
American Cellular Corporation
$ 22,890,370 Term loan, maturing March 31, 2007 $ 22,894,468
26,398,519 Term loan, maturing March 31, 2008 26,403,244
Centennial Cellular Corp.
2,000,000 Term loan, maturing November 30, 2005 1,991,562
40,854,918 Term loan, maturing November 30, 2006 40,968,821
30,879,832 Term loan, maturing November 30, 2007 30,974,849
Dobson Operating Company
23,382,500 Term loan, maturing December 31, 2007 23,385,423
14,962,500 Term loan, maturing March 31, 2008 14,962,500
Microcell Connexions
24,500,000 Term loan, maturing December 30, 2005 25,000,000
11,203,150 Term loan, maturing March 1, 2006 11,203,150
Nextel Communications, Inc.
36,250,000 Term loan, maturing June 30, 2008 36,417,656
36,250,000 Term loan, maturing December 30, 2008 36,417,656
83,000,000 Term loan, maturing March 31, 2009 82,396,341
Rural Cellular Corporation
31,625,000 Term loan, maturing April 6, 2008 31,593,375
31,625,000 Term loan, maturing April 6, 2009 31,593,375
Sygnet Operating Company (Dobson)
12,981,362 Term loan, maturing March 31, 2007 13,003,002
11,860,247 Term loan, maturing December 23, 2007 11,885,130
Telecorp PCS
37,000,000 Term loan, maturing January 17, 2007 36,961,446
Teligent, Inc.
15,000,000 Term loan, maturing June 30, 2006 15,000,000
Tritel Holding Corp.
30,000,000 Term loan, maturing December 31, 2007 30,075,000
Voicestream PCS Wireless Corp
5,000,000 Term loan, maturing December 31, 2007 4,884,720
71,000,000 Term loan, maturing December 31, 2008 70,108,808
Western Wireless
51,000,000 Term loan, maturing September 30, 2008 50,920,338
Winstar Communications, Inc.
39,000,000 Term loan, maturing September 30, 2007 39,000,000
-------------------------------------------------------------------------------
$ 688,040,864
-------------------------------------------------------------------------------
Textiles & Apparel -- 1.7%
-------------------------------------------------------------------------------
Cluett American Corp
$ 13,351,262 Term loan, maturing May 18, 2005 $ 13,351,262
Collins & Aikman Floorcovering
3,129,412 Term loan, maturing June 30, 2002 3,129,412
11,000,000 Term loan, maturing June 3, 2004 11,000,000
Galey & Lord, Inc.
12,397,224 Term loan, maturing April 2, 2005 11,157,501
8,794,420 Term loan, maturing April 1, 2006 7,914,978
GFSI, Inc.
12,050,624 Term loan, maturing March 31, 2004 12,050,624
Globe Manufacturing Corp
12,039,500 Term loan, maturing July 31, 2006 11,557,920
Joan Fabrics Corporation
4,404,898 Term loan, maturing June 30, 2003 4,404,898
10,435,625 Term loan, maturing June 30, 2005 10,383,447
5,259,279 Term loan, maturing June 30, 2006 5,232,982
Pillowtex Corporation
34,393,038 Term loan, maturing December 31, 2004 34,393,038
The William Carter Company
22,446,638 Term loan, maturing October 31, 2003 22,437,278
Walls Industries, Inc.
4,723,403 Term loan, maturing February 28, 2005 4,723,403
6,638,298 Term loan, maturing February 28, 2006 6,638,298
-------------------------------------------------------------------------------
$ 158,375,041
-------------------------------------------------------------------------------
Theaters -- 1.0%
-------------------------------------------------------------------------------
Carmike Cinemas, Inc.
$ 11,260,936 Term loan, maturing February 25, 2005 $ 11,260,936
Edwards Megaplex Holdings, LLC
11,500,000 Term loan, maturing August 25, 2006 11,500,000
Hollywood Theater Holdings, Inc.
8,887,500 Term loan, maturing March 31, 2006 8,887,500
Panavision International, L.P.
22,808,333 Term loan, maturing March 31, 2005 22,808,333
Regal Cinemas Inc.
24,500,000 Term loan, maturing May 27, 2005 24,500,000
14,306,206 Term loan, maturing May 27, 2006 14,306,206
3,624,363 Term loan, maturing May 27, 2007 3,624,363
-------------------------------------------------------------------------------
$ 96,887,338
-------------------------------------------------------------------------------
Utilities -- 0.2%
-------------------------------------------------------------------------------
Western Resources Inc.
$ 20,000,000 Term loan, maturing March 17, 2003 $ 20,000,000
-------------------------------------------------------------------------------
$ 20,000,000
-------------------------------------------------------------------------------
Total Senior, Secured, Floating-Rate Interests
(identified cost, $8,353,124,571) $8,240,318,549
-------------------------------------------------------------------------------
Common Stocks and Warrants -- 0.1%
Shares/Rights Security Value
-------------------------------------------------------------------------------
806,708 AFC Enterprise Common Stock* $ 6,251,987
583 AM Cosmetics (Series E) Preferred Stock* 0
52,190 AM Cosmetics Common Stock* 0
608 Classic Cable Common Stock Warrants* 0
150,272 Philips Services Corp. Common Stock* 914,122
34,364 PSI Acquisition Warrants* 0
375,713 Tokheim Common Stock Warrants* 0
-------------------------------------------------------------------------------
Total Common Stocks and Warrants
(identified cost, $1,197,647) $ 7,166,109
-------------------------------------------------------------------------------
Commercial Paper -- 9.7%
Principal
Amount Security Value
-------------------------------------------------------------------------------
$101,033,000 American Express, 6.78%, 7/7/00 $ 100,918,833
100,000,000 American General Finance, 6.90%, 7/3/00 99,961,667
66,385,000 Associates Corp., 6.52%, 7/24/00 66,108,470
50,192,000 Associates Corp. of North America, 6.89%, 7/3/00 50,172,788
85,000,000 CIT Group Holdings, 6.77%, 7/6/00 84,920,076
25,000,000 Corporate Asset Funding, 6.55%, 7/11/00 24,954,514
28,312,000 Corporate Asset Funding, 6.51%, 7/19/00 28,219,844
50,000,000 Corporate Asset Funding, 6.52%, 7/24/00 49,791,722
39,000,000 Corporate Receivables Corp., 6.55%, 7/13/00 38,914,850
180,000,000 Ford Motor, 6.59%, 7/3/00 179,934,100
180,000,000 Prudential Funding Corp., 6.77%, 7/5/00 179,864,600
-------------------------------------------------------------------------------
Total Commercial Paper
(amortized cost, $903,761,464) $ 903,761,464
-------------------------------------------------------------------------------
Total Investments
(identified cost, $9,258,083,682) $9,151,246,122
-------------------------------------------------------------------------------
Other Assets, Less Liabilities -- 1.5% $ 136,203,973
-------------------------------------------------------------------------------
Total Net Assets -- 100.0% $9,287,450,095
-------------------------------------------------------------------------------
(1) Senior secured floating rate interests often require prepayments from
excess cash flows or permit the borrower to repay at its election.
The degree to which borrowers repay, whether as a contractual
requirement or at the election, cannot be predicted with accuracy. As
a result, the actual remaining maturity may be substantially less
than the stated maturities shown. However, it is anticipated that the
senior secured floating rate interests will have an expected average
life of approximately three years.
* Non-income producing.
Note: At June 30, 2000, the Portfolio had unfunded commitments amounting to
$113,182,126 under various revolving credit agreements.
See notes to financial statements
<PAGE>
Senior Debt Portfolio as of June 30, 2000
FINANCIAL STATEMENTS
Statement of Assets and Liabilities
As of June 30, 2000
(Expressed in United States Dollars)
Assets
------------------------------------------------------------------------------
Investments, at value
(identified cost, $9,258,083,682) $9,151,246,122
Cash 79,031,056
Receivable for investments sold 460,000
Interest receivable 69,102,845
Miscellaneous receivable 101,715
Deferred organization expenses 16,109
Prepaid expenses 1,067,494
------------------------------------------------------------------------------
Total assets $9,301,025,341
------------------------------------------------------------------------------
Liabilities
------------------------------------------------------------------------------
Deferred facility fee income $ 13,327,312
Payable to affiliate for Trustees' fees 13,472
Accrued expenses 234,462
------------------------------------------------------------------------------
Total liabilities $ 13,575,246
------------------------------------------------------------------------------
Net assets applicable to investors' interest in Portfolio $9,287,450,095
------------------------------------------------------------------------------
Sources of Net Assets
------------------------------------------------------------------------------
Net proceeds from capital contributions and withdrawals $9,394,287,655
Net unrealized depreciation (computed on the basis
of identified cost) (106,837,560)
------------------------------------------------------------------------------
Total $9,287,450,095
------------------------------------------------------------------------------
See notes to financial statements
<PAGE>
Statement of Operations
For the Six Months Ended June 30, 2000
(Expressed in United States Dollars)
Investment Income
------------------------------------------------------------------------
Interest $411,152,252
Facility fees earned 4,733,941
Miscellaneous 159,983
------------------------------------------------------------------------
Total investment income $416,046,176
------------------------------------------------------------------------
Expenses
------------------------------------------------------------------------
Investment adviser fee $ 19,582,664
Trustees fees and expenses 1,481
Custodian fee 738,830
Legal and accounting services 392,886
Interest 273,860
Amortization of organization expenses 3,094
Miscellaneous 130,400
------------------------------------------------------------------------
Total expenses $ 21,123,215
------------------------------------------------------------------------
Net investment income $394,922,961
------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $(14,069,261)
------------------------------------------------------------------------
Net realized loss $(14,069,261)
------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $(40,555,703)
------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) $(40,555,703)
------------------------------------------------------------------------
Net realized and unrealized loss $(56,624,964)
------------------------------------------------------------------------
Net increase in net assets from operations $340,297,997
------------------------------------------------------------------------
See notes to financial statements
<PAGE>
Senior Debt Portfolio as of June 30, 2000
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
(Expressed in United States Dollars)
Six Months Ended Year Ended
Increase (Decrease) in Net Assets June 30, 2000 December 31, 1999
-------------------------------------------------------------------------------
From operations --
Net investment income $ 394,922,961 $ 608,035,587
Net realized loss (14,069,261) (20,731,038)
Net change in unrealized
appreciation (depreciation) (40,555,703) (62,738,620)
-------------------------------------------------------------------------------
Net increase in net assets
from operations $ 340,297,997 $ 524,565,929
-------------------------------------------------------------------------------
Capital transactions --
Contributions $1,296,978,541 $4,388,066,031
Withdrawals (1,736,677,766) (1,956,114,319)
-------------------------------------------------------------------------------
Net increase (decrease) in net
assets from capital transactions $ (439,699,225) $2,431,951,712
-------------------------------------------------------------------------------
Net increase (decrease) in net assets $ (99,401,228) $2,956,517,641
-------------------------------------------------------------------------------
Net Assets
-------------------------------------------------------------------------------
At beginning of period $9,386,851,323 $6,430,333,682
-------------------------------------------------------------------------------
At end of period $9,287,450,095 $9,386,851,323
-------------------------------------------------------------------------------
See notes to financial statements
<PAGE>
Statement of Cash Flows
(Expressed in United States Dollars)
Six Months Ended
Increase (Decrease) in Cash June 30, 2000
-------------------------------------------------------------------------------
Cash flows from (used for) operating activities --
Purchase of loan interests $(2,579,811,084)
Proceeds from sales and principal repayments 2,360,706,831
Interest received 398,290,444
Facility fees received (1,430,598)
Miscellaneous income received 159,983
Interest paid (367,722)
Operating expenses paid (20,889,095)
Net increase in short-term investments 184,703,154
-------------------------------------------------------------------------------
Net cash from operating activities $ 341,361,913
-------------------------------------------------------------------------------
Cash flows from (used for) financing activities --
Proceeds from capital contributions $ 1,296,978,541
Payments for capital withdrawals (1,736,677,766)
-------------------------------------------------------------------------------
Net cash used for financing activities $ (439,699,225)
-------------------------------------------------------------------------------
Net decrease in cash $ (98,337,312)
-------------------------------------------------------------------------------
Cash at beginning of year $ 177,368,368
-------------------------------------------------------------------------------
Cash at end of year $ 79,031,056
-------------------------------------------------------------------------------
Reconciliation of Net Increase in Net Assets
From Operations to Net Cash From
Operating Activities
-------------------------------------------------------------------------------
Net increase in net assets from operations $ 340,297,997
Increase in receivable for investments sold (460,000)
Increase in interest receivable (12,861,808)
Increase in prepaid expenses (15,331)
Decrease in deferred organization expenses 3,094
Decrease in payable to affiliate (18,728)
Decrease in deferred facility fee income (6,164,539)
Decrease in accrued expenses (105,732)
Net decrease in investments 20,686,960
-------------------------------------------------------------------------------
Net cash from operating activities $ 341,361,913
-------------------------------------------------------------------------------
See notes to financial statements
<PAGE>
Senior Debt Portfolio as of June 30, 2000
FINANCIAL STATEMENTS CONT'D
Supplementary Data
(Expressed in United States Dollars)
<TABLE>
<CAPTION>
Year Ended December 31,
Six Months Ended ---------------------------------------------------------------
June 30, 2000 1999 1998 1997 1996 1995(1)
-------------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Operating expenses 0.44%(2) 0.56% 0.93% 0.94% 0.98% 1.01%(2)
Interest expense 0.01%(2) 0.01% 0.01% 0.02% 0.04% 0.13%(2)
Total expense 0.45% 0.57% 0.94% 0.96% 1.02% 1.14%
Net investment income 8.34%(2) 7.32% 7.12% 7.12% 7.17% 7.95%(2)
Portfolio turnover 29% 64% 56% 81% 75% 39%
-------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000's omitted) $9,287,450 $9,386,851 $6,430,334 $4,035,072 $3,010,074 $1,621,339
-------------------------------------------------------------------------------------------------------------------------------
(1) For the period from the start of business, February 22, 1995, to December 31, 1995.
(2) Annualized.
</TABLE>
See notes to financial statements
<PAGE>
Senior Debt Portfolio as of June 30, 2000
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 are in interests in
senior floating-rate loans (Senior Loans). Certain senior loans are deemed to
be liquid because reliable market quotations are readily available for them.
Boston Management and Research (BMR) values liquid Senior Loans at their
market value, so that they are marked to market daily. Other Senior Loans are
valued at fair value by the Portfolio's investment advisor, BMR, 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
Senior Loan, including the cost, size, current interest rate, period until
next interest rate reset, maturity and base lending rate of the Senior Loan,
the terms and conditions of the Senior Loan and any related agreements, and
the position of the Senior 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 an evaluation 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 Senior Loan including price quotations for and trading
in the Senior Loan, and interests in similar Senior Loans and the market
environment and investor attitudes towards the Senior Loan and interests in
similar Senior Loans; (v) the reputation and financial condition of the agent
and any intermediate participant in the Senior Loan; and (vi) general economic
and market conditions affecting the fair value of the Senior Loan. 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 which may use 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 Senior Loans 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 at least one of the
Portfolio's investors is a regulated investment company that invests all or
substantially all of its 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. Withholding taxes on foreign dividends and capital gains have been
provided for in accordance with the Portfolio's understanding of the
applicable countries' tax rules and rates.
D Deferred Organization Expenses -- Costs incurred by the Portfolio in
connection with its organization are being amortized on the straight-line
basis over five years.
E Other -- Investment transactions are accounted for on a trade date basis.
F Use of Estimates -- The preparation of 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 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. Effective May 1, 1999, the Trustees of the Portfolio
voted to accept a waiver of BMR's compensation so that the aggregate advisory
fees paid by the Portfolio under the advisory agreement during any fiscal will
not exceed on an annual basis 0.50% of average daily gross assets of the
Portfolio up to and including $1 billion and at reduced rates as daily gross
assets exceed that level. For the six months ended June 30, 2000, the
effective annual rate, based on average daily gross assets, was 0.41% and
amounted to $19,582,664. 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 officers and Trustees of the Portfolio are officers 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, 2000, no significant amounts have been deferred.
During the six months ended June 30, 2000 the Portfolio engaged in purchase
transactions with other funds that also utilize BMR, or an affiliate of BMR,
as an investment adviser. These purchase transactions complied with Rule 17a-7
under the Investment Company Act of 1940 and amounted to $18,370,048.
3 Investments
--------------------------------------------------------------------------------
The Portfolio invests primarily in Senior Loans. The ability of the issuers of
the Senior Loans 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 Senior Loans for the six months ended
June 30, 2000 aggregated $2,579,811,084 and $2,361,166,831, respectively.
4 Short-Term Debt and Credit Agreements
--------------------------------------------------------------------------------
The Portfolio has a $400 million unsecured line of credit with a group of
banks to permit the Portfolio to invest in accordance with its investment
practices. Interest is charged under the credit agreement at the bank's base
rate or at an amount above LIBOR. Interest expense includes a commitment fee
of approximately $273,860 which is computed at the annual rate of 0.10% of the
credit agreement. There were no significant borrowings under this agreement
during the six months ended June 30, 2000. As of June 30, 2000, the Portfolio
had no borrowings outstanding.
5 Federal Income Tax Basis of Investments
--------------------------------------------------------------------------------
The cost and unrealized appreciation/depreciation in the value of the
investments owned at June 30, 2000, as computed on a federal income tax basis,
were as follows:
Aggregate cost $9,258,083,682
-------------------------------------------------------------------------
Gross unrealized appreciation $ 15,485,850
Gross unrealized depreciation (122,323,410)
-------------------------------------------------------------------------
Net unrealized depreciation $ (106,837,560)
-------------------------------------------------------------------------
<PAGE>
Senior Debt Portfolio as of June 30, 2000
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, 2000, the related statements of operations and cash flows for the
period then ended, the statements of changes in net assets for the six months
ended June 30, 2000 and the year ended December 31, 1999, and the supplementary
data for the six months ended June 30, 2000 and each of the years in the
four-year period ended December 31, 1999 and for the period from the start of
business, February 22, 1995, to December 31, 1995 (all expressed in U.S.
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 Senior Loans owned at June 30, 2000 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, 2000, and the results of its operations, 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 Senior Loans and
certain other securities held by the Portfolio valued at $4,089,050,064 (44.03%
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 Senior Loan 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 Senior Loans 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
August 11, 2000
<PAGE>
Senior Debt Portfolio
Officers
JAMES B. HAWKES
President and Trustee
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
Trustees
JESSICA M. BIBLIOWICZ
President and Chief Executive Officer,
National Financial Partners
DONALD R. DWIGHT
President, Dwight Partners, Inc.
SAMUEL L. HAYES, III
Jacob H. Schiff Professor of Investment
Banking Emeritus, Harvard University
Graduate School of Business Administration
NORTON H. REAMER
Chairman of the Board,
United Asset Management Corporation
LYNN A. STOUT
Professor of Law, Georgetown
University Law Center
JACK L. TREYNOR
Investment Adviser and Consultant
