UNITED STATES SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-09013
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Eaton Vance Senior Income Trust
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(Exact Name of registrant as Specified in Charter)
The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
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(Address of Principal Executive Offices)
Alan R. Dynner
The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
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(Name and Address of Agent for Services)
(617) 482-8260
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(registrant's Telephone Number)
June 30
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Date of Fiscal Year End
June 30, 2004
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Date of Reporting Period
ITEM 1. REPORTS TO STOCKHOLDERS
[EV LOGO]
[GRAPHIC IMAGE]
ANNUAL REPORT JUNE 30, 2004
[GRAPHIC IMAGE]
EATON VANCE SENIOR INCOME TRUST
[GRAPHIC IMAGE]
EATON VANCE FUNDS
EATON VANCE MANAGEMENT
BOSTON MANAGEMENT AND RESEARCH
EATON VANCE DISTRIBUTORS, INC.
PRIVACY NOTICE
The Eaton Vance organization is committed to ensuring your financial
privacy. This notice is being sent to comply with privacy regulations of
the Securities and Exchange Commission. Each of the above financial
institutions has in effect the following policy with respect to nonpublic
personal information about its customers:
- Only such information received from you, through application forms or
otherwise, and information about your Eaton Vance fund transactions will
be collected.
- None of such information about you (or former customers) will be
disclosed to anyone, except as permitted by law (which includes
disclosure to employees necessary to service your account).
- Policies and procedures (including physical, electronic and procedural
safeguards) are in place that are designed to protect the confidentiality
of such information.
For more information about Eaton Vance's privacy policies, call:
1-800-262-1122.
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IMPORTANT NOTICE
REGARDING DELIVERY OF
SHAREHOLDER DOCUMENTS
The Securities and Exchange Commission permits funds to deliver only one
copy of shareholder documents, including prospectuses, proxy statements and
shareholder reports, to fund investors with multiple accounts at the same
residential or post office box address. This practice is often called
"householding" and it helps eliminate duplicate mailings to shareholders.
EATON VANCE, OR YOUR FINANCIAL ADVISER, MAY HOUSEHOLD THE MAILING OF YOUR
DOCUMENTS INDEFINITELY UNLESS YOU INSTRUCT EATON VANCE, OR YOUR FINANCIAL
ADVISER, OTHERWISE.
If you would prefer that your Eaton Vance documents not be householded,
please contact Eaton Vance at 1-800-262-1122, or contact your financial
adviser.
Your instructions that householding not apply to delivery of your Eaton
Vance documents will be effective within 30 days of receipt by Eaton Vance
or your financial adviser.
From time to time, funds are required to vote proxies related to the securities
held by the funds. The Eaton Vance Funds or their underlying Portfolios vote
proxies according to a set of policies and procedures approved by the Funds' and
Portfolios' Boards. You may obtain a description of these policies and
procedures without charge, upon request, by calling 1-800-262-1122. This
description is also available on the Securities and Exchange Commission's
website at http://www.sec.gov.
EATON VANCE SENIOR INCOME TRUST as of June 30, 2004
LETTER TO SHAREHOLDERS
[PHOTO OF JAMES B. HAWKES]
JAMES B. HAWKES
PRESIDENT
Amid an improving economic outlook, Eaton Vance Senior Income Trust, a
closed-end fund traded on the New York Stock Exchange under the symbol EVF,
again provided an attractive yield in a portfolio of senior floating-rate loans.
Based on the Trust's June monthly dividend of $0.035 per share and a closing
share price of $9.46, the Trust's market yield was 4.44% at June 30, 2004.(1)
AS THE ECONOMY STRENGTHENED AND INFLATION REEMERGED, SHORT-TERM INTEREST RATES
EDGED HIGHER...
The fiscal year ended June 30, 2004 showed signs of a stronger economy and a
continued improvement in credit climate for corporate borrowers. The Federal
Reserve, which had kept a stable monetary policy throughout the first half of
2004, responded to anecdotal signs of inflation by raising its benchmark Federal
Funds rate to 1.25% from 1.00% on June 30. While short-term rates remained very
low by historical standards, the Fed indicated that it was prepared to raise
rates again to halt any further inflationary momentum.
FLOATING-RATE LOANS POSTED A SOLID PERFORMANCE DURING THE FISCAL YEAR...
With credit quality improving and companies sporting healthier balance sheets,
the loan market turned in a solid performance during the fiscal year. According
to Loan Pricing Corp., new leveraged loan volume rose significantly in the
second quarter of 2004 over the same period a year earlier, boosted, in part, by
increased deal-making, rising merger and acquisition activity and corporate debt
restructurings.
Investor demand was equally strong, as loan investors were attracted to one of
the few income asset classes that could benefit from rising rates. That is,
loans are priced at a credit spread over a floating short-term benchmark,
typically the London-Interbank Offered Rate (LIBOR). Historically, when
short-term rates (LIBOR) have moved higher, shareholders have benefited.
LOAN MARKET VOLATILITY REMAINED RELATIVELY LOW...
The loan market exhibited relatively low volatility during the fiscal year. That
is an important consideration for investors in times of economic or political
uncertainty, and especially in a rising rate environment. Importantly, we
believe a rebounding economy can provide still more income opportunities in
senior floating-rate loans. In the pages that follow, portfolio managers John
Redding, Scott Page and Payson Swaffield discuss the events that impacted the
loan market and the Trust during the past year.
Sincerely,
/s/ James B. Hawkes
James B. Hawkes
President
August 11, 2004
TRUST INFORMATION
as of June 30, 2004
PERFORMANCE(2)
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Average Annual Total Return (by share price, NYSE)
One Year 11.59%
Five Years 6.78
Life of Fund (10/30/98) 6.86
Average Annual Total Return (at net asset value)
One Year 8.65%
Five Years 5.02
Life of Fund (10/30/98) 5.51
(1) THE TRUST'S MARKET YIELD IS CALCULATED BY DIVIDING THE MOST RECENT DIVIDEND
PER SHARE BY THE SHARE MARKET PRICE AT THE END OF THE PERIOD AND ANNUALIZING
THE RESULT.
(2) RETURNS ARE HISTORICAL AND ARE CALCULATED BY DETERMINING THE PERCENTAGE
CHANGE IN SHARE PRICE OR NET ASSET VALUE WITH ALL DISTRIBUTIONS REINVESTED.
PERFORMANCE RESULTS REFLECT THE EFFECT OF LEVERAGE RESULTING FROM THE
TRUST'S ISSUANCE OF AUCTION PREFERRED SHARES.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN SOLD, MAY BE WORTH MORE
OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE IS FOR THE STATED TIME PERIOD
ONLY; DUE TO MARKET VOLATILITY, CURRENT PERFORMANCE MAY BE LOWER OR HIGHER
THAN QUOTED.
SHARES OF THE TRUST ARE NOT INSURED BY THE FDIC AND ARE NOT DEPOSITS
OR OTHER OBLIGATIONS OF, OR GUARANTEED BY, ANY DEPOSITORY INSTITUTION.
SHARES ARE SUBJECT TO INVESTMENT RISKS, INCLUDING POSSIBLE LOSS OF
PRINCIPAL INVESTED. YIELD WILL CHANGE.
2
EATON VANCE SENIOR INCOME TRUST as of June 30, 2004
MANAGEMENT DISCUSSION
[PHOTO OF JOHN P. REDDING]
JOHN P. REDDING
AN INTERVIEW WITH JOHN P. REDDING, SCOTT H. PAGE AND PAYSON F. SWAFFIELD,
PORTFOLIO MANAGERS OF EATON VANCE SENIOR INCOME TRUST.
Q: JOHN, THE ECONOMY STARTED TO SHOW SIGNS OF A SUSTAINABLE RECOVERY IN 2004.
HOW WOULD YOU CHARACTERIZE THE LOAN MARKET DURING THE FISCAL YEAR?
A: MR. REDDING: The loan market has responded well to the economic recovery
and a continuing improvement in credit quality. With improving business
conditions, the revenue outlook for many companies has brightened, giving
many companies the ability to restructure their debt burden and improve
their balance sheets.
The more robust economy and emerging signs of inflation have pushed
interest rates modestly higher. After having held the line on short-term
rates throughout the first half of the year, the Federal Reserve raised its
benchmark Federal Funds rate - a key short-term interest rate barometer -
to 1.25% from 1.00% on June 30. That move represented the first such rate
hike since May 2000 and could suggest still higher interest rates in the
months ahead.
While the loan market's underlying fundamentals have improved, market
technicals have firmed as well. Investor demand has been very strong, more
than enough to offset the record increase in supply. The secondary market
was equally strong, with bid prices on loans slightly above par. While
strong demand resulted in a slight narrowing of credit spreads, loan yields
still remained relatively attractive.
[PHOTO OF SCOTT H. PAGE]
SCOTT H. PAGE
Q: SCOTT, HOW WOULD YOU EVALUATE THE TRUST'S PERFORMANCE IN THIS ENVIRONMENT?
A: MR. PAGE: The Trust posted a strongly positive total return during the
fiscal year ended June 30, 2004. Based on share price, the Trust had a
total return of 11.59%. On a net asset value basis, the Trust's 8.65%
return outperformed its benchmark, the CSFB Leveraged Loan Index, which had
a total return of 7.47%.(1)
That outperformance was especially noteworthy in light of the fact that the
Trust was underweighted in the telecom and technology sectors, areas which
bounced back dramatically in the first half of the fiscal year.
FIVE LARGEST SECTOR WEIGHTINGS(2)
CHEMICALS 8.8%
AUTO COMPONENTS 8.6%
REAL ESTATE 8.4%
CABLE TELEVISION 8.1%
PUBLISHING & PRINTING 7.9%
TEN LARGEST HOLDINGS(3)
Charter Communications Operating, LLC 2.9%
Rite Aid Corp. 1.9
Qwest Corp. 1.6
CenterPoint Energy, Inc. 1.6
Graphic Packaging International, Inc. 1.6
TRW Automotive Holdings Corp. 1.6
Nextel Finance Company 1.6
Silgan Holdings, Inc. 1.5
Regal Cinemas Corp. 1.4
Metro-Goldwyn-Mayer Studios, Inc. 1.4
TRUST OVERVIEW(3)
Total net assets $318.8 million
Number of borrowers 300
Industries represented 49
Days to interest rate reset 54 days
Average size per borrowing $ 1.57 million
As % of total net assets 0.29%
(1) The CSFB Leveraged Loan Index is an unmanaged representative index of
tradable, senior, secured, U.S. dollar-denominated leveraged loans. It is
not possible to invest directly in an Index. (2) Five Largest Sector
Weightings account for 41.8% of the Trust's net assets, determined by
dividing the total market value of the holdings by the net assets of the
Trust. (3) Ten Largest Holdings account for 17.1% of the Trust's
investments, determined by dividing the total market value of the holdings
by the total net assets of the Trust. Ten Largest Holdings and Trust
Overview are as of 6/30/04 and are subject to change. Five Largest Sector
Weightings, Ten Largest Holdings and Trust Overview information refers only
to the senior floating-rate loan portion of the Trust and are subject to
change.
3
[PHOTO OF PAYSON F. SWAFFIELD]
PAYSON F. SWAFFIELD
Q: PAYSON, WHAT ACCOUNTED FOR INCREASED INVESTOR DEMAND DURING THE FISCAL
YEAR?
A: MR. SWAFFIELD: Investors saw an opportunity to benefit from the prospect of
rising rates. With more robust economic activity and some emerging signs of
inflation, there was a growing likelihood that the Fed would raise rates,
as it finally did on June 30.
Unlike fixed-rate bonds, floating-rate loans have reset provisions, which
allow interest on the loans to be adjusted in response to changing
short-term interest rate levels (e.g., LIBOR), usually within 40 to 90
days. That provision distinguishes floating-rate loans from other
income-producing asset classes, which typically decline in price as
interest rates rise.
Q: WHY DID CREDIT SPREADS NARROW DURING THE FISCAL YEAR?
A: MR. REDDING: The Trust's average spread over LIBOR did narrow slightly
during the period. This trend has been driven primarily by two factors:
increased investor demand and opportunistic repricings, which stemmed from
improving business fundamentals. Importantly, despite such repricing
activity, credit spreads remain attractive relative to our long-term
experience.
Q: HOW HAVE YOU POSITIONED THE TRUST IN RECENT MONTHS?
A: MR. PAGE: We've continued our efforts to diversify the Trust's Senior Loan
investments on a sector basis. As a result, at June 30, 2004, the Trust had
investments in 300 issuers representing 49 different industries. The
Trust's largest sector weightings at June 30 were chemicals, at 8.8% of net
assets (5.2% of total investments); auto components, at 8.6% (5.1% of total
investments); real estate, at 8.4% (5.0% of total investments); cable
television, at 8.1% (4.8% of total investments); and publishing and
printing, at 7.9% (4.7% of total invstments). That broad sector
diversification mitigated the risk of a downturn in any single area of the
economy.
Q: DID THE TRUST HAVE AN EXPOSURE TO THE ECONOMIC RECOVERY.
A: MR. SWAFFIELD: Yes. The Trust's investments included companies we believe
can benefit from an economic recovery. Real estate was one of the largest
sector weightings, with holdings including companies that manage
diversified portfolios of retail, apartment and commercial office and
multi-use properties.
Auto components was another GDP-sensitive area where the Trust had
investments. These companies make parts for original equipment
manufacturers as well as for the aftermarket. Many have global
manufacturing facilities and serve global markets.
Chemicals was another investment area that could benefit from increased
demand. The Trust had investments in manufacturers of commodity-grade
chemicals that are key ingredients used in plastics, as well as speciality
chemicals used in household products and pharmaceutical applications.
Q: WHICH NON-ECONOMICALLY SENSITIVE AREAS DID THE TRUST EMPHASIZE?
A: MR. PAGE: Cable television remained a significant investment for the Trust.
Cable has been an attractive area because of its historically consistent
revenue stream. The Trust had investments in operators in urban markets, as
well as rural areas. While subscriber growth rates have slowed in recent
years, some cable companies have benefited from a restructuring of debt
that has strengthened their financial underpinnings. In addition, cable
operators
4
have added revenue-enhancing services such as video-on-demand and Internet
services, and may soon be positioned to compete for telephone services.
Other defensive sectors included food and beverages, entertainment, health
care and drug retailers. These companies included a leading drug chain with
3,400 stores in 28 states; a nationwide operator of acute care hospitals;
and an operator of 550 multiplex movie theaters targeting suburbs and
mid-size markets in 39 states. These segments of the economy have tended to
have relatively stable revenues and have generally been resistant to
economic downturns.
Q: WERE THERE ANY SECTORS WHOSE PERFORMANCE HURT THE TRUST'S PERFORMANCE?
A: MR. REDDING: There were no sectors that specifically hurt the Trust's
performance. However, as Scott indicated previously, the Trust
underweighted the technology and telecom sectors. These sectors declined
sharply during 2002's loan market decline and, not surprisingly, rebounded
more than the broad market as the economy recovered in 2003 and 2004.
Currently, we believe these sectors represent a heightened level of risk in
the event of an economic reversal and have underweighted the Trust's
exposure to these sectors.
Q: WOULD YOU COMMENT ON THE TRUST'S USE OF FINANCIAL LEVERAGE DURING THE LAST
FISCAL YEAR?
A: MR. SWAFFIELD: At June 30, 2004, the Trust had leverage in the amount of
approximately 42% of the Trust's total assets. The Trust uses leverage
through the issuance of preferred shares and a borrowing program. Use of
financial leverage creates an opportunity for increased income, but, at the
same time, creates special risks (including the likelihood of greater
volatility of net asset value and market price of the common shares).
THE VIEWS EXPRESSED IN THIS REPORT ARE THOSE OF THE PORTFOLIO MANAGERS AND ARE
CURRENT ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON THE COVER.
THESE VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED UPON MARKET OR OTHER
CONDITIONS, AND EATON VANCE DISCLAIMS ANY RESPONSIBILITY TO UPDATE SUCH VIEWS.
THESE VIEWS MAY NOT BE RELIED ON AS INVESTMENT ADVICE AND, BECAUSE INVESTMENT
DECISIONS FOR AN EATON VANCE FUND ARE BASED ON MANY FACTORS, MAY NOT BE RELIED
ON AS AN INDICATION OF TRADING INTENT ON BEHALF OF ANY EATON VANCE FUND.
5
EATON VANCE SENIOR INCOME TRUST as of June 30, 2004
PORTFOLIO OF INVESTMENTS
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
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SENIOR, FLOATING RATE INTERESTS -- 147.3%(1)
ADVERTISING -- 0.9%
$ 300,000 Adams Outdoor Advertising, L.P.
Term Loan, Maturing April 15, 2012 $ 304,125
2,500,000 Lamar Media Corp.
Term Loan, Maturing June 30, 2010 2,535,000
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$ 2,839,125
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AEROSPACE AND DEFENSE -- 1.6%
$ 498,750 Alliant Techsystems, Inc.
Term Loan, Maturing March 31, 2011 $ 503,582
897,750 ARINC, Inc.
Term Loan, Maturing March 10, 2010 906,727
2,000,000 Transdigm, Inc.
Term Loan, Maturing July 22, 2010 2,023,126
1,586,107 United Defense Industries, Inc.
Term Loan, Maturing October 6, 2005 1,601,142
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$ 5,034,577
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AUTO COMPONENTS -- 8.3%
$ 1,900,000 Accuride Corp.
Term Loan, Maturing September 30, 2004 $ 1,938,000
Collins & Aikman Products Co.
292,155 Term Loan, Maturing December 31, 2004 293,128
204,725 Term Loan, Maturing December 31, 2005 207,054
438,596 Revolving Loan, Maturing December 31, 2005 442,982
783,289 Term Loan, Maturing December 31, 2005 792,101
1,400,000 Dayco Products, LLC
Term Loan, Maturing June 23, 2011 1,421,875
984,925 Dura Operating Corp.
Term Loan, Maturing March 31, 2007 993,235
Exide Technologies
915,000 Term Loan, Maturing May 5, 2010 918,146
915,000 Term Loan, Maturing May 5, 2010 922,434
Federal-Mogul Corp.
750,000 Term Loan, Maturing February 24, 2005 693,750
1,500,000 Term Loan, Maturing February 24, 2005 1,387,500
763,183 Term Loan, Maturing February 24, 2005 767,953
2,153,125 HLI Operating Co., Inc.
Term Loan, Maturing June 3, 2009 2,197,533
442,643 J.L. French Automotive Castings, Inc.
Term Loan, Maturing March 25, 2011 444,718
150,000 Meridian Automotive Systems, Inc.
Term Loan, Maturing April 27, 2010 150,500
1,318,193 Metaldyne, Inc.
Term Loan, Maturing December 31, 2009 1,319,704
$ 494,828 Plastech Engineered Products, Inc.
Term Loan, Maturing March 31, 2010 $ 502,559
500,000 R.J. Tower Corp.
Term Loan, Maturing January 29, 2010 512,187
1,386,841 Tenneco Automotive
Term Loan, Maturing December 12, 2010 1,417,178
The Goodyear Tire & Rubber Co.
900,000 Term Loan, Maturing March 31, 2006 911,812
2,500,000 Term Loan, Maturing March 31, 2006 2,531,640
650,000 TI Automotive, Ltd.
Term Loan, Maturing June 30, 2011 653,250
TRW Automotive, Inc.
2,871,644 Term Loan, Maturing February 28, 2005 2,898,267
2,089,855 Term Loan, Maturing February 28, 2011 2,129,475
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$ 26,446,981
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BROADCAST MEDIA -- 3.3%
$ 932,443 Block Communications
Term Loan, Maturing November 30, 2009 $ 944,098
1,975,000 Cumulus Media, Inc.
Term Loan, Maturing March 28, 2010 2,001,169
997,500 Gray Television, Inc.
Term Loan, Maturing December 31, 2010 1,005,293
Lin Television Corp.
747,857 Term Loan, Maturing December 31, 2007 757,673
692,143 Term Loan, Maturing December 31, 2007 701,948
Nexstar Broadcasting, Inc.
750,077 Term Loan, Maturing December 31, 2010 758,046
294,673 Term Loan, Maturing December 31, 2010 297,067
1,489,987 Rainbow Media Holdings, LLC
Term Loan, Maturing March 14, 2008 1,499,609
2,650,000 Susquehanna Media Co.
Term Loan, Maturing March 31, 2012 2,678,986
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$ 10,643,889
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CABLE TELEVISION-- 7.7%
$ 972,915 Adelphia Communications Corp.
DIP Loan, Maturing March 31, 2005 $ 977,577
1,494,183 Atlantic Broadband Finance, LLC
Term Loan, Maturing February 10, 2011 1,515,662
Bresnan Communications, LLC
500,000 Term Loan, Maturing September 30, 2009 501,875
1,000,000 Term Loan, Maturing September 30, 2010 1,013,438
Cebridge Connections, Inc.
765,000 Term Loan, Maturing February 23, 2009 774,562
798,000 Term Loan, Maturing February 23, 2010 796,005
9,250,000 Charter Communications Operating, LLC
Term Loan, Maturing April 27, 2011 9,222,666
See notes to financial statements
6
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
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CABLE TELEVISION (CONTINUED)
$ 3,303,673 DirectTV Holdings, LLC
Term Loan, Maturing March 6, 2010 $ 3,353,229
Insight Midwest Holdings, LLC
1,492,500 Term Loan, Maturing December 31, 2009 1,515,198
1,990,000 Term Loan, Maturing December 31, 2009 2,020,264
850,000 Mediacom Broadband, LLC
Term Loan, Maturing September 30, 2010 863,600
Mediacom Southeast
694,891 Revolving Loan, Maturing March 31, 2008 667,096
1,465,586 Term Loan, Maturing September 30, 2008 1,483,906
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$ 24,705,078
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CASINOS AND GAMING -- 6.0%
$ 3,000,000 Alliance Gaming Corp.
Term Loan, Maturing September 5, 2009 $ 3,032,499
1,340,774 Ameristar Casinos, Inc.
Term Loan, Maturing December 31, 2006 1,360,257
2,885,505 Argosy Gaming Co.
Term Loan, Maturing June 30, 2008 2,918,870
2,411,167 Aztar Corp.
Term Loan, Maturing June 30, 2005 2,411,167
3,107,283 Isle of Capri Casinos
Term Loan, Maturing April 25, 2008 3,146,681
1,072,288 Marina District Finance Co.
Term Loan, Maturing December 31, 2007 1,083,011
948,320 Penn National Gaming, Inc.
Term Loan, Maturing July 31, 2006 962,184
1,322,603 Pinnacle Entertainment, Inc.
Term Loan, Maturing December 18, 2009 1,341,891
995,000 Scientific Games Corp.
Term Loan, Maturing December 31, 2009 1,008,266
Venetian Casino Resort, LLC/Las Vegas Sands, Inc.
900,000 Term Loan, Maturing June 4, 2007 910,687
978,772 Term Loan, Maturing June 4, 2008 992,638
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$ 19,168,151
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CHEMICALS -- 8.0%
$ 1,275,000 Brenntag AG
Term Loan, Maturing February 27, 2012 $ 1,293,727
700,000 Celanese AG
Term Loan, Maturing December 8, 2011 723,333
CP Kelco U.S., Inc.
844,136 Term Loan, Maturing March 31, 2008 850,819
274,245 Term Loan, Maturing September 30, 2008 276,130
489,624 FMC Corp.
Term Loan, Maturing October 21, 2007 494,368
673,000 Georgia Gulf Corp.
Term Loan, Maturing December 2, 2010 684,217
$ 498,750 Hercules, Inc.
Term Loan, Maturing October 8, 2010 $ 506,751
Huntsman International
1,154,381 Term Loan, Maturing June 30, 2007 1,156,907
1,154,381 Term Loan, Maturing June 30, 2008 1,156,907
Huntsman, LLC
166,756 Term Loan, Maturing March 31, 2007 166,756
1,051,580 Term Loan, Maturing March 31, 2007 1,051,580
2,781,360 IMC Global, Inc.
Term Loan, Maturing November 17, 2006 2,795,267
700,000 ISP Chemco, Inc.
Term Loan, Maturing March 27, 2011 706,708
Kosa B.V.
2,429,412 Term Loan, Maturing April 29, 2011 2,470,408
1,070,588 Term Loan, Maturing April 29, 2011 1,088,654
1,304,509 Kraton Polymers, LLC
Term Loan, Maturing December 5, 2008 1,326,252
3,652,837 Nalco Co.
Term Loan, Maturing November 4, 2010 3,710,483
Polymer Group, Inc.
1,275,000 Term Loan, Maturing April 27, 2010 1,285,359
1,250,000 Term Loan, Maturing April 27, 2011 1,251,562
995,000 Rockwood Specialties Group, Inc.
Term Loan, Maturing December 8, 2010 999,353
675,000 VWR International, Inc.
Term Loan, Maturing April 7, 2011 686,812
400,000 Wellman, Inc.
Term Loan, Maturing February 10, 2009 407,583
495,000 Westlake Chemical Corp.
Term Loan, Maturing July 31, 2010 501,806
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$ 25,591,742
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COAL -- 0.2%
$ 740,625 Peabody Energy Corp.
Term Loan, Maturing March 31, 2010 $ 749,605
-----------------------------------------------------------------------------------------
$ 749,605
-----------------------------------------------------------------------------------------
COMMERCIAL SERVICES -- 4.9%
$ 298,128 Advanstar Communications, Inc.
Term Loan, Maturing October 11, 2007 $ 300,053
1,218,083 Anthony Crane Rental, L.P.
Term Loan, Maturing July 20, 2006 919,653
1,200,000 Baker & Taylor, Inc.
Term Loan, Maturing May 6, 2011 1,200,000
3,801,015 Coinmach Laundry Corp.
Term Loan, Maturing July 25, 2009 3,836,650
984,773 Corrections Corp. of America
Term Loan, Maturing March 31, 2008 995,544
See notes to financial statements
7
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
-----------------------------------------------------------------------------------------
COMMERCIAL SERVICES (CONTINUED)
$ 848,003 Environmental Systems Products Holdings, Inc.
Term Loan, Maturing December 12, 2008 $ 853,833
1,980,000 Gate Gourmet Borrower, LLC
Term Loan, Maturing December 31, 2008 1,998,151
442,151 Identity Now Holdings, LLC
Term Loan, Maturing November 30, 2006(2) 336,034
1,918,506 Interline Brands, Inc.
Term Loan, Maturing November 30, 2009 1,931,696
1,137,281 Panavision, Inc.
Term Loan, Maturing January 12, 2007 1,147,588
United Rentals, Inc.
166,667 Term Loan, Maturing February 14, 2011 169,740
831,250 Term Loan, Maturing February 14, 2011 846,005
1,000,000 Williams Scotsman, Inc.
Term Loan, Maturing December 31, 2006 1,011,250
-----------------------------------------------------------------------------------------
$ 15,546,197
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COMPUTER SOFTWARE & SERVICES -- 0.4%
$ 425,000 InfoUSA, Inc.
Term Loan, Maturing June 4, 2010 $ 430,312
900,000 UGS Corp.
Term Loan, Maturing May 27, 2011 917,719
-----------------------------------------------------------------------------------------
$ 1,348,031
-----------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 0.6%
Formica Corp.
$ 64,825 Term Loan, Maturing June 10, 2010 $ 65,797
158,449 Term Loan, Maturing June 10, 2010 160,826
81,031 Term Loan, Maturing June 10, 2010 82,246
236,039 Term Loan, Maturing June 10, 2010 239,580
530,221 Panolam Industries, Inc.
Term Loan, Maturing December 31, 2006 531,878
Ply Gem Industries, Inc.
661,343 Term Loan, Maturing February 12, 2011 663,203
116,708 Term Loan, Maturing February 12, 2011 117,328
Tapco International Corp.
1,508 Term Loan, Maturing June 23, 2007 1,512
906 Term Loan, Maturing June 23, 2008 909
-----------------------------------------------------------------------------------------
$ 1,863,279
-----------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING-METAL AND GLASS -- 2.6%
Owens-Illinois, Inc.
$ 1,000,000 Term Loan, Maturing April 1, 2007 $ 1,008,229
1,500,000 Term Loan, Maturing April 1, 2008 1,518,481
4,585,784 Silgan Holdings, Inc.
Term Loan, Maturing December 31, 2008 4,635,943
$ 997,500 U.S. Can Corp.
Term Loan, Maturing January 10, 2010 $ 1,009,345
-----------------------------------------------------------------------------------------
$ 8,171,998
-----------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING-PAPER -- 5.4%
$ 4,950,000 Graphic Packaging International, Inc.
Term Loan, Maturing August 8, 2009 $ 5,036,625
736,558 Greif Bros. Corp.
Term Loan, Maturing August 31, 2008 742,634
550,973 Impaxx, Inc.
Term Loan, Maturing December 31, 2005(2) 441,880
2,745,454 Jefferson Smurfit Corp.
Term Loan, Maturing March 31, 200 2,778,057
3,071,619 Printpack Holdings, Inc.
Term Loan, Maturing April 30, 2009 3,104,255
1,367,139 Solo Cup Co.
Term Loan, Maturing February 27, 2011 1,384,370
Stone Container Corp.
3,199,684 Term Loan, Maturing June 30, 2009 3,234,180
414,703 Term Loan, Maturing June 30, 2009 418,850
-----------------------------------------------------------------------------------------
$ 17,140,851
-----------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING-PLASTICS -- 2.2%
$ 2,369,987 Berry Plastics Corp.
Term Loan, Maturing July 22, 2010 $ 2,407,018
650,000 Consolidated Container Holdings, LLC
Term Loan, Maturing December 15, 2008 656,500
3,562,500 Crown Cork & Seal Americas, Inc.
Term Loan, Maturing September 15, 2008 3,622,061
367,365 Tekni-Plex, Inc.
Term Loan, Maturing March 31, 2006 370,044
-----------------------------------------------------------------------------------------
$ 7,055,623
-----------------------------------------------------------------------------------------
EDUCATIONAL SERVICES -- 1.1%
$ 349,125 American Achievement Corp.
Term Loan, Maturing March 25, 2011 $ 354,035
1,327,660 Jostens, Inc.
Term Loan, Maturing July 15, 2010 1,347,575
978,657 Knowledge Learning Corp.
Term Loan, Maturing May 15, 2010 989,667
750,000 Weekly Reader Corp.
Term Loan, Maturing March 18, 2009 751,406
-----------------------------------------------------------------------------------------
$ 3,442,683
-----------------------------------------------------------------------------------------
See notes to financial statements
8
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
-----------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 0.8%
$ 498,750 Communications & Power Industries, Inc.
Term Loan, Maturing July 23, 2010 $ 507,166
345,625 Global Cash Access, LLC
Term Loan, Maturing March 10, 2010 350,161
1,600,000 Invensys International Holdings, Ltd.
Term Loan, Maturing September 5, 2009 1,620,000
-----------------------------------------------------------------------------------------
$ 2,477,327
-----------------------------------------------------------------------------------------
ENTERTAINMENT -- 5.8%
Amfac Resorts, Inc.
$ 1,059,035 Term Loan, Maturing September 30, 2004 $ 1,057,711
1,059,035 Term Loan, Maturing September 30, 2005 1,057,711
625,000 Hollywood Entertainment Corp.
Term Loan, Maturing March 31, 2008 628,646
700,000 Lions Gate Entertainment, Inc.
Term Loan, Maturing December 31, 2008 705,687
4,500,000 Metro-Goldwyn-Mayer Studios, Inc.
Term Loan, Maturing April 26, 2011 4,522,500
Six Flags Theme Parks, Inc.
75,000 Revolving Loan, Maturing June 30, 2008 72,750
2,263,607 Term Loan, Maturing June 30, 2009 2,289,072
1,162,010 Universal City Development Partners, L.P.
Term Loan, Maturing June 30, 2007 1,167,094
3,500,000 Vivendi Universal Entertainment, L.L.P.
Term Loan, Maturing June 30, 2008 3,523,516
3,391,500 WMG Acquisition Corp.
Term Loan, Maturing February 28, 2011 3,446,612
-----------------------------------------------------------------------------------------
$ 18,471,299
-----------------------------------------------------------------------------------------
ENVIRONMENTAL SERVICES-- 2.6%
Allied Waste Industries, Inc.
$ 500,000 Term Loan, Maturing January 15, 2009 $ 509,330
3,456,250 Term Loan, Maturing July 15, 2010 3,524,711
1,633,500 Casella Waste Systems, Inc.
Term Loan, Maturing May 11, 2007 1,653,919
496,250 IESI Corp.
Term Loan, Maturing September 30, 2010 505,090
527,686 Ionics, Inc.
Term Loan, Maturing February 13, 2011 533,622
623,421 Stericycle, Inc.
Term Loan, Maturing November 10, 2006 627,318
1,000,000 Waste Connections
Term Loan, Maturing October 22, 2010 1,008,750
-----------------------------------------------------------------------------------------
$ 8,362,740
-----------------------------------------------------------------------------------------
FOOD, BEVERAGES AND TOBACCO-- 7.1%
American Seafood Holdings, Inc.
$ 359,514 Term Loan, Maturing September 30, 2007 $ 359,064
750,502 Term Loan, Maturing March 31, 2009 753,551
1,484,999 Dean Foods Co.
Term Loan, Maturing July 15, 2008 1,505,108
1,597,920 Del Monte Corp.
Term Loan, Maturing December 20, 2010 1,622,638
1,430,856 Dr. Pepper/Seven Up Bottling Group, Inc.
Term Loan, Maturing December 19, 2010 1,458,579
975,000 DS Waters Enterprises, L.P.
Term Loan, Maturing November 7, 2009 965,859
Interstate Brands Corp.
2,912,431 Term Loan, Maturing July 19, 2007 2,846,901
490,000 Term Loan, Maturing July 19, 2007 478,056
1,659,107 Merisant Co.
Term Loan, Maturing January 31, 2010 1,670,099
Michael Foods, Inc.
995,000 Term Loan, Maturing November 20, 2010 1,011,480
1,000,000 Term Loan, Maturing November 20, 2011 1,029,375
1,335,000 Nutra Sweet
Term Loan, Maturing June 30, 2008 1,321,650
Pinnacle Foods Holdings Corp.
768,716 Term Loan, Maturing November 25, 2010 778,325
2,722,534 Term Loan, Maturing November 25, 2010 2,756,566
992,500 Reddy Ice Group, Inc.
Term Loan, Maturing July 31, 2009 1,003,252
468,816 Seminis Vegetable Seeds, Inc.
Term Loan, Maturing September 30, 2009 475,067
2,452,530 Southern Wine & Spirits of America, Inc.
Term Loan, Maturing June 28, 2008 2,482,421
-----------------------------------------------------------------------------------------
$ 22,517,991
-----------------------------------------------------------------------------------------
FUNERAL SERVICE -- 0.1%
$ 418,182 Alderwoods Group
Term Loan, Maturing September 28, 2008 $ 424,977
-----------------------------------------------------------------------------------------
$ 424,977
-----------------------------------------------------------------------------------------
HEALTH CARE-EQUIPMENT AND SUPPLIES -- 3.6%
$ 722,444 Alaris Medical Systems
Term Loan, Maturing June 30, 2009 $ 732,265
475,000 Colgate Medical, Ltd.
Term Loan, Maturing December 30, 2008 481,086
2,136,484 Conmed Corp.
Term Loan, Maturing December 15, 2009 2,165,860
987,342 DJ Orthopedics, Inc.
Term Loan, Maturing May 15, 2009 999,066
1,439,887 Empi Corp.
Term Loan, Maturing November 24, 2009 1,454,286
See notes to financial statements
9
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
-----------------------------------------------------------------------------------------
HEALTH CARE-EQUIPMENT AND SUPPLIES (CONTINUED)
$ 867,781 Fisher Scientific International, LLC
Term Loan, Maturing March 31, 2010 $ 872,663
997,487 Hanger Orthopedic Group, Inc.
Term Loan, Maturing September 30, 2009 1,005,385
414,167 Kinetic Concepts, Inc.
Term Loan, Maturing October 3, 2009 420,552
535,000 Leiner Health Products, Inc.
Term Loan, Maturing May 27, 2011 544,362
1,488,750 Quintiles Transnational Corp.
Term Loan, Maturing September 25, 2009 1,509,220
510,000 Sunrise Medical Holdings, Inc.
Term Loan, Maturing May 13, 2010 512,231
826,716 Sybron Dental Management
Term Loan, Maturing June 8, 2009 832,917
-----------------------------------------------------------------------------------------
$ 11,529,893
-----------------------------------------------------------------------------------------
HEALTH CARE-PROVIDERS AND SERVICES -- 4.7%
$ 1,306,425 Alliance Imaging, Inc.
Term Loan, Maturing June 10, 2008 $ 1,299,690
494,231 AMN Healthcare, Inc.
Term Loan, Maturing October 2, 2008 500,409
3,438,750 Community Health Systems, Inc.
Term Loan, Maturing January 16, 2010 3,502,367
990,000 Concentra Operating Corp.
Term Loan, Maturing June 30, 2009 1,004,231
536,011 Cross Country Healthcare, Inc.
Term Loan, Maturing June 5, 2009 545,224
2,967,677 DaVita, Inc.
Term Loan, Maturing March 31, 2009 3,009,874
FHC Health Systems, Inc.
243,750 Term Loan, Maturing June 1, 2004 244,969
348,214 Term Loan, Maturing December 18, 2009 350,391
Magellan Health Services, Inc.
444,444 Term Loan, Maturing August 15, 2008 450,000
513,889 Term Loan, Maturing August 15, 2008 520,312
274,313 Multiplan, Inc.
Term Loan, Maturing March 4, 2009 277,056
1,197,000 Team Health
Term Loan, Maturing March 23, 2011 1,199,992
1,461,247 Triad Hospitals Holdings, Inc.
Term Loan, Maturing September 30, 2008 1,484,663
500,000 Vanguard Health Systems, Inc.
Term Loan, Maturing May 18, 2009 508,438
-----------------------------------------------------------------------------------------
$ 14,897,616
-----------------------------------------------------------------------------------------
HOTELS -- 1.3%
$ 3,000,000 CNL Hospitality Partners, L.P.
Term Loan, Maturing April 2, 2005 $ 3,000,000
$ 983,797 Vail Resorts, Inc.
Term Loan, Maturing December 10, 2010 $ 995,788
-----------------------------------------------------------------------------------------
$ 3,995,788
-----------------------------------------------------------------------------------------
HOUSEHOLD FURNISHING AND APPLIANCES -- 1.8%
$ 550,000 Goodman Global Holdings, Inc.
Term Loan, Maturing November 21, 2009 $ 557,906
446,484 Home Interiors & Gifts, Inc.
Term Loan, Maturing March 31, 2011 434,764
1,765,046 Sealy Mattress Co.
Term Loan, Maturing April 6, 2012 1,795,384
1,968,889 Simmons Co.
Term Loan, Maturing December 19, 2011 1,996,782
990,000 Tempur-Pedic, Inc.
Term Loan, Maturing June 30, 2009 999,281
-----------------------------------------------------------------------------------------
$ 5,784,117
-----------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 1.4%
$ 496,241 Central Garden & Pet Co.
Term Loan, Maturing May 19, 2009 $ 500,583
2,378,879 Rayovac Corp.
Term Loan, Maturing September 30, 2009 2,408,615
1,496,250 United Industries Corp.
Term Loan, Maturing April 29, 2011 1,516,823
-----------------------------------------------------------------------------------------
$ 4,426,021
-----------------------------------------------------------------------------------------
INSURANCE -- 2.2%
$ 2,500,000 Conseco, Inc.
Term Loan, Maturing June 22, 2010 $ 2,548,438
3,335,684 Hilb, Rogal & Hobbs Co.
Term Loan, Maturing June 30, 2007 3,369,041
992,500 U.S.I. Holdings Corp.
Term Loan, Maturing August 11, 2008 1,002,425
-----------------------------------------------------------------------------------------
$ 6,919,904
-----------------------------------------------------------------------------------------
LEISURE -- 1.4%
$ 598,500 AMF Bowling Worldwide, Inc.
Term Loan, Maturing August 27, 2009 $ 603,924
4,000,000 New England Sports Ventures, LLC
Term Loan, Maturing February 28, 2005 4,000,000
-----------------------------------------------------------------------------------------
$ 4,603,924
-----------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS -- 0.7%
$ 929,936 Bell Sports, Inc.
Term Loan, Maturing December 31, 2005 $ 885,764
See notes to financial statements
10
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
-----------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS (CONTINUED)
Bombardier Recreational Products, Inc.
$ 886,000 Term Loan, Maturing December 18, 2010 $ 895,968
390,000 Term Loan, Maturing December 18, 2010 394,814
-----------------------------------------------------------------------------------------
$ 2,176,546
-----------------------------------------------------------------------------------------
MACHINERY -- 1.6%
$ 682,187 Colfax Corp.
Term Loan, Maturing May 30, 2009 $ 686,025
2,292,364 Flowserve Corp.
Term Loan, Maturing June 30, 2009 2,332,838
1,833,333 Rexnord Corp.
Term Loan, Maturing November 30, 2009 1,857,396
142,857 The Manitowoc Co.
Term Loan, Maturing June 30, 2007 143,929
-----------------------------------------------------------------------------------------
$ 5,020,188
-----------------------------------------------------------------------------------------
MANUFACTURING -- 5.2%
$ 500,000 AMSCAN Holdings, Inc.
Term Loan, Maturing April 30, 2012 $ 507,813
1,980,000 Amsted Industries, Inc.
Term Loan, Maturing October 15, 2010 2,018,363
1,359,601 Chart Industries, Inc.
Term Loan, Maturing September 15, 2009 1,356,202
Douglas Dynamics Holdings, Inc.
150,000 Term Loan, Maturing March 30, 2010 151,875
200,000 Term Loan, Maturing March 30, 2011 202,500
1,082,288 Enersys Holdings, Inc.
Term Loan, Maturing March 17, 2011 1,100,382
414,567 Ingram Industries, Inc.
Term Loan, Maturing June 30, 2008 421,304
JohnsonDiversey, Inc.
54,770 Term Loan, Maturing November 30, 2008 55,557
1,276,368 Term Loan, Maturing November 30, 2009 1,293,385
440,000 MAAX Corp.
Term Loan, Maturing June 4, 2011 446,325
1,181,193 Mueller Group, Inc.
Term Loan, Maturing April 23, 2011 1,191,528
1,423,469 National Waterworks, Inc.
Term Loan, Maturing November 22, 2009 1,440,077
1,250,000 Polypore, Inc.
Term Loan, Maturing November 12, 2011 1,272,656
487,500 Roper Industries, Inc.
Term Loan, Maturing December 29, 2008 494,609
Sensus Metering Systems, Inc.
433,696 Term Loan, Maturing December 17, 2010 438,304
65,054 Term Loan, Maturing December 17, 2010 65,746
1,971,828 Synthetic Industries, Inc.
Term Loan, Maturing December 30, 2007 1,942,251
$ 2,165,375 Trimas Corp.
Term Loan, Maturing December 31, 2009 $ 2,180,712
-----------------------------------------------------------------------------------------
$ 16,579,589
-----------------------------------------------------------------------------------------
METALS & MINING -- 0.9%
$ 830,953 Compass Minerals Group, Inc.
Term Loan, Maturing November 28, 2009 $ 843,764
Magnequench, Inc.
500,000 Term Loan, Maturing September 30, 2009 500,000
500,000 Term Loan, Maturing December 31, 2009 500,000
948,994 Stillwater Mining Co.
Term Loan, Maturing June 30, 2007 959,670
-----------------------------------------------------------------------------------------
$ 2,803,434
-----------------------------------------------------------------------------------------
MISCELLANEOUS -- 0.3%
$ 973,030 Laidlaw International, Inc.
Term Loan, Maturing June 19, 2009 $ 991,275
-----------------------------------------------------------------------------------------
$ 991,275
-----------------------------------------------------------------------------------------
OFFICE EQUIPMENT AND SUPPLIES -- 1.6%
$ 470,000 General Binding Corp.
Term Loan, Maturing January 15, 2008 $ 471,469
490,035 Global Imaging Systems, Inc.
Term Loan, Maturing May 10, 2010 494,323
4,040,393 Iron Mountain, Inc.
Term Loan, Maturing April 2, 2009 4,082,692
-----------------------------------------------------------------------------------------
$ 5,048,484
-----------------------------------------------------------------------------------------
OIL & GAS -- 3.6%
$ 2,440,337 Cumberland Farms, Inc.
Term Loan, Maturing September 8, 2008 $ 2,452,539
1,750,000 La Grange Acquisition, L.P.
Term Loan, Maturing January 18, 2008 1,776,250
950,000 Lyondell-Citgo Refining, L.P.
Term Loan, Maturing May 21, 2007 969,594
808,270 Seminole Transportation & Gathering, L.P.
Revolving Loan, Maturing October 9, 2006 806,249
257,143 Sprague Energy Corp.
Revolving Loan, Maturing August 10, 2007 256,500
2,000,000 The Premcor Refining Group, Inc.
Term Loan, Maturing April 13, 2009 2,021,250
600,000 Transwestern Pipeline Co.
Term Loan, Maturing April 30, 2009 605,000
2,475,063 Williams Production RMT Co.
Term Loan, Maturing May 30, 2007 2,508,322
-----------------------------------------------------------------------------------------
$ 11,395,704
-----------------------------------------------------------------------------------------
See notes to financial statements
11
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
-----------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 1.5%
$ 1,442,500 Buckeye Technologies, Inc.
Term Loan, Maturing March 15, 2008 $ 1,464,739
Koch Cellulose, LLC
286,936 Term Loan, Maturing May 7, 2011 291,150
1,163,064 Term Loan, Maturing May 7, 2011 1,180,147
895,500 RLC Industries Co.
Term Loan, Maturing February 24, 2010 904,455
SP Newsprint Co.
350,556 Term Loan, Maturing January 9, 2010 355,376
644,444 Term Loan, Maturing January 9, 2010 653,306
-----------------------------------------------------------------------------------------
$ 4,849,173
-----------------------------------------------------------------------------------------
PERSONAL PRODUCTS -- 0.9%
American Safety Razor Co.
$ 300,000 Term Loan, Maturing April 29, 2011 $ 303,563
333,334 Term Loan, Maturing October 29, 2011 335,001
333,190 Mary Kay Cosmetics, Inc.
Term Loan, Maturing September 30, 2007 336,521
Prestige Brands, Inc.
900,000 Term Loan, Maturing April 7, 2011 911,625
1,000,000 Term Loan, Maturing April 7, 2011 1,005,000
-----------------------------------------------------------------------------------------
$ 2,891,710
-----------------------------------------------------------------------------------------
PUBLISHING AND PRINTING -- 7.2%
American Media Operations, Inc.
$ 180,303 Term Loan, Maturing April 1, 2006 $ 180,078
1,133,184 Term Loan, Maturing April 1, 2007 1,149,757
901,352 Term Loan, Maturing April 1, 2008 916,281
Dex Media East, LLC
1,688,570 Term Loan, Maturing November 8, 2008 1,708,319
1,853,057 Term Loan, Maturing May 8, 2009 1,877,667
Dex Media West, LLC
1,191,239 Term Loan, Maturing September 9, 2009 1,206,998
2,382,835 Term Loan, Maturing March 9, 2010 2,431,485
1,425,000 Freedom Communications Holdings, Inc.
Term Loan, Maturing May 18, 2012 1,449,493
489,817 Hollinger International Publishing, Inc.
Term Loan, Maturing September 30, 2009 494,409
1,327,692 Liberty Group Operating, Inc.
Term Loan, Maturing April 30, 2007 1,339,310
Merrill Corp.
1,419,394 Term Loan, Maturing June 1, 2005 1,421,168
136,921 Term Loan, Maturing June 1, 2005 137,092
2,000,000 Morris Publishing Group, LLC
Term Loan, Maturing March 31, 2011 2,026,000
483,788 Nebraska Book Co.
Term Loan, Maturing March 4, 2011 489,684
R.H. Donnelley, Inc.
$ 397,986 Term Loan, Maturing December 31, 2008 $ 401,925
1,970,518 Term Loan, Maturing June 30, 2010 2,000,760
2,476,495 Sun Media Corp.
Term Loan, Maturing February 7, 2009 2,505,903
Transwestern Publishing Co., LLC
443,250 Term Loan, Maturing February 25, 2011 449,530
798,000 Term Loan, Maturing February 25, 2011 808,973
-----------------------------------------------------------------------------------------
$ 22,994,832
-----------------------------------------------------------------------------------------
REAL ESTATE -- 8.4%
$ 860,711 AGBRI Octagon
Term Loan, Maturing May 31, 2004 $ 854,256
AIMCO Properties, L.P.
1,268,084 Term Loan, Maturing August 31, 2004 1,282,350
2,500,000 Term Loan, Maturing May 30, 2008 2,525,000
1,513,608 AP-Knight, LP
Term Loan, Maturing December 31, 2004 1,511,716
2,000,000 BRE/Homestead, LLC
Term Loan, Maturing January 11, 2006 1,996,250
1,000,000 Concordia Properties, LLC
Term Loan, Maturing January 31, 2006 1,000,625
290,909 Crescent Real Estate Equities, L.P.
Term Loan, Maturing May 11, 2005 290,909
853,483 DMB/CHII LLC
Term Loan, Maturing March 3, 2009 855,617
939,043 GGP, L.P.
Term Loan, Maturing April 30, 2008 944,912
1,502,000 Landsource Communities Development, LLC
Term Loan, Maturing March 31, 2010 1,525,469
1,968,000 Macerich Partnership, L.P.
Term Loan, Maturing July 15, 2005 1,980,300
1,159,750 Newkirk Master, L.P.
Term Loan, Maturing November 24, 2006 1,177,871
Newkirk Tender Holdings, LLC
1,611,111 Term Loan, Maturing May 25, 2006 1,627,222
911,305 Term Loan, Maturing May 25, 2006 920,418
1,535,810 OLY Hightop Parent
Term Loan, Maturing February 28, 2005 1,539,649
1,200,000 Sugarloaf Mills, LLC
Term Loan, Maturing April 7, 2007 1,197,000
1,829,167 The Woodlands Commercial Properties Co., L.P.
Term Loan, Maturing November 28, 2005 1,840,599
1,500,000 Tower Financing I, LLC
Term Loan, Maturing July 9, 2008 1,501,875
2,250,000 Whitehall Street Real Estate, L.P.
Term Loan, Maturing September 11, 2006(2) 2,261,385
-----------------------------------------------------------------------------------------
$ 26,833,423
-----------------------------------------------------------------------------------------
See notes to financial statements
12
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
-----------------------------------------------------------------------------------------
RESTAURANTS -- 1.5%
$ 1,164,458 AFC Enterprises, Inc
Term Loan, Maturing May 23, 2009 $ 1,168,825
Buffets, Inc.
209,091 Term Loan, Maturing June 28, 2009 209,614
2,080,455 Term Loan, Maturing June 28, 2009 2,107,761
410,870 CKE Restaurants, Inc.
Term Loan, Maturing July 2, 2008 419,087
748,125 Jack in the Box, Inc.
Term Loan, Maturing January 8, 2011 755,373
-----------------------------------------------------------------------------------------
$ 4,660,660
-----------------------------------------------------------------------------------------
RETAIL-FOOD AND DRUG -- 5.5%
$ 3,467,869 Domino's, Inc.
Term Loan, Maturing June 25, 2010 $ 3,537,767
873,694 Fleming Companies, Inc.
Term Loan, Maturing June 18, 2008 870,418
498,747 General Nutrition Centers, Inc.
Term Loan, Maturing December 5, 2009 505,168
2,865,098 Giant Eagle, Inc.
Term Loan, Maturing August 6, 2009 2,906,284
5,985,000 Rite Aid Corp.
Term Loan, Maturing April 30, 2008 6,116,670
2,450,000 Roundy's, Inc.
Term Loan, Maturing June 6, 2009 2,474,500
1,170,961 The Pantry, Inc.
Term Loan, Maturing March 12, 2011 1,185,598
-----------------------------------------------------------------------------------------
$ 17,596,405
-----------------------------------------------------------------------------------------
RETAIL-MULTILINE -- 1.4%
$ 3,000,000 Kmart Corp.
Term Loan, Maturing May 6, 2006 $ 3,016,875
1,486,241 Rent-A-Center, Inc.
Term Loan, Maturing May 28, 2009 1,502,961
-----------------------------------------------------------------------------------------
$ 4,519,836
-----------------------------------------------------------------------------------------
RETAIL-SPECIALTY -- 3.2%
$ 2,000,000 CSK Auto, Inc.
Term Loan, Maturing June 20, 2009 $ 2,028,126
498,750 FTD, Inc.
Term Loan, Maturing February 28, 2011 501,244
1,600,000 Getty Petroleum Marketing, Inc.
Term Loan, Maturing May 19, 2010 1,625,501
Oriental Trading Co.
1,900,137 Term Loan, Maturing August 4, 2010 1,919,534
500,000 Term Loan, Maturing January 8, 2011 509,167
494,982 Petco Animal Supplies, Inc.
Term Loan, Maturing October 2, 2008 501,170
$ 3,069,884 Travelcenters of America, Inc.
Term Loan, Maturing November 30, 2008 $ 3,110,815
-----------------------------------------------------------------------------------------
$ 10,195,557
-----------------------------------------------------------------------------------------
ROAD AND RAIL -- 1.0%
NFIL Holdings Corp.
$ 273,810 Term Loan, Maturing February 27, 2010 $ 277,746
839,226 Term Loan, Maturing February 27, 2010 850,504
RailAmerica, Inc.
100,623 Term Loan, Maturing May 31, 2009 102,006
155,275 Term Loan, Maturing May 31, 2009 157,410
685,797 Term Loan, Maturing May 31, 2009 695,226
1,197,059 SIRVA Worldwide, Inc.
Term Loan, Maturing December 31, 2010 1,204,915
-----------------------------------------------------------------------------------------
$ 3,287,807
-----------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 0.9%
$ 496,250 AMI Semiconductor
Term Loan, Maturing September 26, 2008 $ 501,833
1,485,000 Fairchild Semiconductor Corp.
Term Loan, Maturing June 19, 2008 1,509,131
1,000,000 Memec Group Ltd.
Term Loan, Maturing June 15, 2010 1,000,000
-----------------------------------------------------------------------------------------
$ 3,010,964
-----------------------------------------------------------------------------------------
TELECOMMUNICATIONS-WIRELESS -- 5.5%
$ 1,350,000 American Tower, L.P.
Term Loan, Maturing August 31, 2011 $ 1,370,778
350,000 Cellular South, Inc.
Term Loan, Maturing May 4, 2011 353,938
1,995,000 Centennial Cellular Operating, Co., LLC
Term Loan, Maturing February 9, 2011 2,008,538
992,500 Crown Castle Operating Co.
Term Loan, Maturing September 30, 2010 994,981
1,488,750 Dobson Cellular Systems, Inc.
Term Loan, Maturing March 31, 2010 1,492,007
4,975,000 Nextel Finance Co.
Term Loan, Maturing December 15, 2010 5,017,641
1,325,000 Nextel Partners Operating Corp.
Term Loan, Maturing May 31, 2011 1,351,334
Spectrasite Communications, Inc.
1,338,240 Term Loan, Maturing June 30, 2006 1,358,314
507,815 Term Loan, Maturing June 30, 2007 511,518
2,850,000 Western Wireless Corp.
Term Loan, Maturing May 28, 2011 2,889,188
See notes to financial statements
13
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
-----------------------------------------------------------------------------------------
TELECOMMUNICATIONS-WIRELESS (CONTINUED)
$ 243,317 Winstar Communications, Inc.
DIP Loan, Maturing June 30, 2003(2)(3) $ 105,235
-----------------------------------------------------------------------------------------
$ 17,453,472
-----------------------------------------------------------------------------------------
TELECOMMUNICATIONS-WIRELINE -- 3.2%
$ 1,480,877 Cincinnati Bell, Inc.
Term Loan, Maturing June 30, 2008 $ 1,498,277
1,000,000 Consolidated Communications, Inc.
Term Loan, Maturing April 14, 2012 1,018,438
473,813 D&E Communications, Inc.
Term Loan, Maturing December 31, 2011 480,031
997,461 NTELOS, Inc.
Term Loan, Maturing July 25, 2008 987,487
5,000,000 Qwest Corp.
Term Loan, Maturing June 30, 2007 5,203,750
867,864 SBA Senior Finance, Inc.
Term Loan, Maturing October 31, 2008 874,780
-----------------------------------------------------------------------------------------
$ 10,062,763
-----------------------------------------------------------------------------------------
TEXTILES AND APPAREL -- 0.2%
$ 729,905 St. John Knits International, Inc.
Term Loan, Maturing July 31, 2007 $ 735,380
-----------------------------------------------------------------------------------------
$ 735,380
-----------------------------------------------------------------------------------------
THEATERS -- 2.7%
$ 1,995,000 Cinemark, Inc.
Term Loan, Maturing March 31, 2011 $ 2,027,419
781,042 Hollywood Theater Holdings, Inc.
Term Loan, Maturing March 31, 2006(2) 781,042
Loews Cineplex Entertainment Corp.
781,364 Term Loan, Maturing December 5, 2002 782,829
349,846 Term Loan, Maturing September 30, 2006 350,666
4,497,466 Regal Cinemas Corp.
Term Loan, Maturing November 10, 2010 4,556,495
-----------------------------------------------------------------------------------------
$ 8,498,451
-----------------------------------------------------------------------------------------
UTILITY -- 4.3%
$ 2,294,250 Allegheny Energy Supply Co., LLC
Term Loan, Maturing March 8, 2011 $ 2,332,965
4,977,023 CenterPoint Energy, Inc.
Term Loan, Maturing October 7, 2006 5,088,116
2,150,000 Dynegy Holdings, Inc.
Term Loan, Maturing May 28, 2010 2,195,688
NRG Energy, Inc.
700,302 Term Loan, Maturing June 23, 2010 723,237
1,240,984 Term Loan, Maturing June 23, 2010 1,281,620
NUI Utilities, Inc.
$ 215,164 Term Loan, Maturing November 24, 2004 $ 214,223
1,097,336 Term Loan, Maturing November 24, 2004 1,092,535
907,692 Teton Power Funding, LLC
Term Loan, Maturing March 12, 2011 917,337
-----------------------------------------------------------------------------------------
$ 13,845,721
-----------------------------------------------------------------------------------------
TOTAL SENIOR, FLOATING RATE INTERESTS
(IDENTIFIED COST $465,338,388) $ 469,610,781
-----------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES -- 14.7%
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 0.2%
$ 300 Argo Tech Corp. Sr. Notes
9.25%, 6/1/11 $ 310,500
25 K&F Industries, Sr. Sub. Notes
9.625%, 12/15/10 27,531
300 Sequa Corp.
8.875%, 4/1/08 317,250
-----------------------------------------------------------------------------------------
$ 655,281
-----------------------------------------------------------------------------------------
AIRLINES -- 0.9%
American Airlines
$ 895 7.80%, 10/1/06 $ 818,870
15 8.608%, 4/1/11 13,651
20 7.858%, 10/1/11 19,909
255 AMR Corp., Debs.
9.00%, 8/1/12 202,725
Continental Airlines
200 7.434%, 9/15/04 196,362
6 7.08%, 11/1/04 5,774
20 8.00%, 12/15/05 17,750
312 7.033%, 6/15/11 253,302
Delta Air Lines
125 7.779%, 11/18/05 80,323
20 7.70%, 12/15/05 13,500
21 Delta Air Lines, Series 02 - 1
7.779%, 1/2/12 12,467
Dunlop Stand Aero Holdings, Sr. Notes
787 11.875%, 5/15/09 840,122
75 11.875%, 5/15/09(4) 80,062
200 Northwest Airlines, Inc.
8.875%, 6/1/06 171,000
20 Northwest Airlines, Inc., Sr. Notes
9.875%, 3/15/07 15,900
-----------------------------------------------------------------------------------------
$ 2,741,717
-----------------------------------------------------------------------------------------
See notes to financial statements
14
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------
APPAREL -- 0.3%
$ 45 GFSI, Inc., Sr. Sub. Notes, Series B
9.625%, 3/1/07 $ 43,425
160 J Crew Operating Corp., Sr. Sub. Notes
10.375%, 10/15/07 163,200
370 Levi Strauss and Co.
7.00%, 11/1/06 347,337
60 Perry Ellis International, Inc., Sr. Sub. Notes
8.875%, 9/15/13(4) 62,250
Phillips Van-Heusen, Sr. Notes
40 7.25%, 2/15/11(4) 40,400
100 8.125%, 5/1/13 104,750
75 Samsonite Corp., Sr. Sub. Notes
8.875%, 6/1/11 78,000
104 William Carter, Series B
10.875%, 8/15/11 118,300
-----------------------------------------------------------------------------------------
$ 957,662
-----------------------------------------------------------------------------------------
AUTO AND PARTS -- 0.3%
$ 120 Amerco, Inc.
9.00%, 3/15/09 $ 124,200
175 Dana Corp.
10.125%, 3/15/10 199,062
530 Keystone Automotive Operations, Inc., Sr. Sub. Notes
9.75%, 11/1/13(4) 569,750
65 United Components, Inc., Sr. Sub. Notes
9.375%, 6/15/13 66,625
-----------------------------------------------------------------------------------------
$ 959,637
-----------------------------------------------------------------------------------------
AUTO COMPONENTS -- 0.3%
Key Plastics, LLC
$ 57 4.00%, 4/26/07(2) $ 57,765
118 7.00%, 4/26/07(2) 118,702
145 Metaldyne Corp.
11.00%, 6/15/12(4) 123,975
50 Metaldyne Corp., Sr. Notes
10.00%, 11/1/13 49,250
Tenneco Automotive, Inc., Series B
140 11.625%, 10/15/09 151,200
5 10.25%, 7/15/13 5,675
200 Tenneco Automotive, Inc., Sr. Notes
10.25%, 7/15/13(4) 227,000
65 TRW Automotive, Inc., Sr. Sub. Notes
11.00%, 2/15/13 77,025
-----------------------------------------------------------------------------------------
$ 810,592
-----------------------------------------------------------------------------------------
BROADCAST MEDIA -- 0.1%
$ 230 Nexstar Finance Holdings LLC, Inc., Sr. Disc. Notes
11.375%, 4/1/13 $ 165,600
-----------------------------------------------------------------------------------------
$ 165,600
-----------------------------------------------------------------------------------------
BROADCASTING AND CABLE -- 1.0%
$ 82 Avalon Cable Holdings, LLC, Sr. Disc. Notes
11.875%, 12/1/08 $ 87,253
60 Cablevision Systems Corp., Sr. Notes
8.00%, 4/15/12(4) 59,400
180 CSC Holdings, Inc., Sr. Sub. Notes
10.50%, 5/15/16 202,950
330 Insight Communications, Sr. Disc. Notes
12.25%, 2/15/11 298,650
340 Kabel Deutschland GMBH, Sr. Notes
10.625%, 7/1/14 351,050
80 LBI Media, Inc., Sr. Disc. Notes
11.00%, 10/15/13 56,900
25 Muzak LLC/Muzak Finance, Sr. Notes
10.00%, 2/15/09 22,125
65 Nextmedia Operating, Inc.
10.75%, 7/1/11 72,881
Paxson Communications Corp.
2,000 Variable Rate, 1/15/10(4) 2,010,000
65 12.25%, 1/15/09 56,875
40 Sinclair Broadcast Group, Inc.
4.875%, 7/15/18 37,200
-----------------------------------------------------------------------------------------
$ 3,255,284
-----------------------------------------------------------------------------------------
BUILDING AND CONSTRUCTION-MISCELLANEOUS -- 0.0%
$ 90 Ply Gem Industries, Inc., Sr. Sub. Notes
9.00%, 2/15/12(4) $ 92,250
-----------------------------------------------------------------------------------------
$ 92,250
-----------------------------------------------------------------------------------------
BUILDING MATERIALS -- 0.0%
$ 135 Nortek Holdings, Inc., Sr. Notes, (0% until 2007)
10.00%, 5/15/11(4) $ 108,675
-----------------------------------------------------------------------------------------
$ 108,675
-----------------------------------------------------------------------------------------
BUSINESS SERVICES-MISCELLANEOUS -- 0.2%
$ 120 Affinity Group, Inc., Sr. Sub. Notes
9.00%, 2/15/12(4) $ 123,600
20 Interface, Inc., Sr. Sub. Notes
9.50%, 2/1/14(4) 20,000
250 MDP Acquisitions/JSG Funding PLC, Sr. Notes
9.625%, 10/1/12 275,000
150 Norcross Safety Products LLC/Norcross Capital Corp.,
Sr. Sub. Notes, Series B
9.875%, 8/15/11 162,750
105 Vertis, Inc., Sub. Notes
13.50%, 12/7/09(4) 105,525
-----------------------------------------------------------------------------------------
$ 686,875
-----------------------------------------------------------------------------------------
See notes to financial statements
15
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------
CABLE TELEVISION -- 0.4%
$ 270 Adelphia Communications, Sr. Notes, Series B
9.25%, 10/1/02(3) $ 265,275
365 Charter Communication Holdings, Sr. Disc. Notes
13.50%, 1/15/11 269,187
Charter Communication Holdings, Sr. Notes
65 10.00%, 4/1/09 54,600
45 10.75%, 10/1/09 38,025
85 Charter Communications Holdings, LLC, Sr. Notes
10.25%, 1/15/10 70,550
395 Charter Communications Holdings, Sr. Notes
8.375%, 4/30/14 384,137
235 Charter Communications, Inc.
5.75%, 10/15/05 225,306
-----------------------------------------------------------------------------------------
$ 1,307,080
-----------------------------------------------------------------------------------------
CASINOS AND GAMING -- 0.5%
$ 150 Ameristar Casinos, Inc.
10.75%, 2/15/09 $ 171,750
555 Penn National Gaming, Inc, Sr. Sub. Notes
11.125%, 3/1/08 613,275
645 Venetian Casino/Las Vegas Sands
11.00%, 6/15/10 748,200
-----------------------------------------------------------------------------------------
$ 1,533,225
-----------------------------------------------------------------------------------------
CHEMICALS -- 0.8%
$ 420 Avecia Group PLC
11.00%, 7/1/09 $ 321,300
110 Equistar Chemical, Sr. Notes
10.625%, 5/1/11 122,650
30 Hercules, Inc.
11.125%, 11/15/07 35,250
80 Huntsman International LLC, Sr. Notes
9.875%, 3/1/09 86,800
155 Huntsman LLC
11.625%, 10/15/10 172,050
Lyondell Chemical Co.
40 9.625%, 5/1/07 42,000
75 9.50%, 12/15/08 78,750
275 Lyondell Chemical Co., Series B
9.875%, 5/1/07 288,750
100 Nalco Co., Sr. Sub. Notes
8.875%, 11/15/13(4) 105,250
450 OM Group, Inc.
9.25%, 12/15/11 463,500
425 Rhodia SA, Sr. Notes
10.25%, 6/1/10 431,375
$ 265 UAP Holding Corp., Sr. Disc. Notes
0.00%, 7/15/12(4) $ 213,060
120 VWR International, Inc., Sr. Sub. Notes
8.00%, 4/15/14(4) 123,600
-----------------------------------------------------------------------------------------
$ 2,484,335
-----------------------------------------------------------------------------------------
COMMERCIAL SERVICES -- 0.6%
Advanstar Communications, Inc.
$ 1,489 Variable Rate, 8/15/08 $ 1,566,909
185 10.75%, 8/15/10 205,581
50 Interline Brands, Inc., Sr. Sub. Notes
11.50%, 5/15/11 55,500
45 Williams Scotsman, Inc., Sr. Notes
10.00%, 8/15/08 49,275
-----------------------------------------------------------------------------------------
$ 1,877,265
-----------------------------------------------------------------------------------------
COMPUTER SOFTWARE & SERVICES -- 0.2%
$ 495 UGS Corp., Sr. Sub. Notes
10.00%, 6/1/12 $ 529,650
-----------------------------------------------------------------------------------------
$ 529,650
-----------------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 0.1%
$ 85 Fedders North America, Inc., Sr. Notes
9.875%, 3/1/14(4) $ 78,200
105 Hockey Co.
11.25%, 4/15/09 125,475
-----------------------------------------------------------------------------------------
$ 203,675
-----------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING -- 0.2%
Crown Euro Holdings SA
$ 65 9.50%, 3/1/11 $ 71,175
340 10.875%, 3/1/13 389,300
170 Jefferson Smurfit
8.25%, 10/1/12 177,650
100 Solo Cup Co., Sr. Sub. Notes
8.50%, 2/15/14(4) 93,500
-----------------------------------------------------------------------------------------
$ 731,625
-----------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING-PLASTICS -- 0.0%
$ 15 Tekni-Plex, Inc., Series B
12.75%, 6/15/10 $ 14,475
55 Tekni-Plex, Inc., Sr. Notes
8.75%, 11/15/13(4) 52,800
-----------------------------------------------------------------------------------------
$ 67,275
-----------------------------------------------------------------------------------------
See notes to financial statements
16
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------
EDUCATIONAL SERVICES -- 0.0%
$ 45 Jostens Holding Corp., Sr. Disc. Notes
10.25%, 12/1/13(4) $ 30,825
-----------------------------------------------------------------------------------------
$ 30,825
-----------------------------------------------------------------------------------------
ELECTRONIC COMPONENTS -- 0.0%
$ 115 Mission Energy Holdings
13.50%, 7/15/08 $ 129,231
-----------------------------------------------------------------------------------------
$ 129,231
-----------------------------------------------------------------------------------------
ELECTRONIC COMPONENTS-SEMICONDUCTORS -- 0.0%
$ 90 Chippac International Ltd.
12.75%, 8/1/09 $ 96,525
-----------------------------------------------------------------------------------------
$ 96,525
-----------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT -- 0.0%
$ 25 Danka Business Systems, Sr. Notes
11.00%, 6/15/10 $ 26,125
35 Hexcel Corp.
9.875%, 10/1/08 38,587
-----------------------------------------------------------------------------------------
$ 64,712
-----------------------------------------------------------------------------------------
ELECTRONICS-INSTRUMENTS -- 0.3%
$ 1,000 Wesco Distribution, Inc.
9.125%, 6/1/08 $ 1,033,750
-----------------------------------------------------------------------------------------
$ 1,033,750
-----------------------------------------------------------------------------------------
ENTERTAINMENT -- 0.3%
$ 60 MGM Grand, Inc.
6.875%, 2/6/08 $ 63,900
95 Royal Caribbean Cruises, Debs.
7.50%, 10/15/27 89,300
310 Royal Caribbean Cruises, Sr. Notes
8.75%, 2/2/11 344,875
Six Flags, Inc., Sr. Notes
30 9.50%, 2/1/09 30,975
240 8.875%, 2/1/10 238,800
60 9.75%, 4/15/13 60,600
140 9.625%, 6/1/14(4) 140,000
25 True Temper Sports Inc.
8.375%, 9/15/11 25,125
15 Universal City Development Partners, Sr. Notes
11.75%, 4/1/10 17,437
-----------------------------------------------------------------------------------------
$ 1,011,012
-----------------------------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 0.1%
$ 165 Waste Services, Inc., Sr. Sub. Notes
9.50%, 4/15/14(4) $ 169,950
-----------------------------------------------------------------------------------------
$ 169,950
-----------------------------------------------------------------------------------------
FOOD, BEVERAGES AND TOBACCO -- 0.4%
$ 95 Michael Foods, Inc., Sr. Sub. Notes
8.00%, 11/15/13 $ 98,562
Pinnacle Foods Holdings Corp., Sr. Sub. Notes
5 8.25%, 12/1/13(4) 4,850
1,065 8.25%, 12/1/13(4) 1,033,050
60 WH Holdings Ltd. and WH Capital Corp., Sr. Notes
9.50%, 4/1/11(4) 62,700
-----------------------------------------------------------------------------------------
$ 1,199,162
-----------------------------------------------------------------------------------------
FOODS -- 0.2%
$ 400 American Seafood Group LLC
10.125%, 4/15/10 $ 480,000
10 Merisant Co., Sr. Notes
9.50%, 7/15/13(4) 10,700
55 United Agricultural Products, Sr. Notes
8.25%, 12/15/11(4) 61,600
-----------------------------------------------------------------------------------------
$ 552,300
-----------------------------------------------------------------------------------------
GAMING -- 0.3%
$ 230 Chukchansi EDA, Sr. Notes
14.50%, 6/15/09(4) $ 286,350
140 OED Corp./Diamond JO LLC
8.75%, 4/15/12(4) 137,550
125 Seneca Gaming Corp., Sr. Notes
7.25%, 5/1/12(4) 125,469
275 Trump Casino Holdings LLC, Sr. Notes
11.625%, 3/15/10 283,250
-----------------------------------------------------------------------------------------
$ 832,619
-----------------------------------------------------------------------------------------
HEALTH CARE-EQUIPMENT AND SUPPLIES -- 0.1%
$ 260 Quintiles Transational Corp., Sr. Sub. Notes
10.00%, 10/1/13 $ 258,700
-----------------------------------------------------------------------------------------
$ 258,700
-----------------------------------------------------------------------------------------
HEALTH CARE-PROVIDERS AND SERVICES -- 0.1%
$ 159 Magellan Health Services, Inc., Sr. Notes, Series A
9.375%, 11/15/08 $ 171,052
-----------------------------------------------------------------------------------------
$ 171,052
-----------------------------------------------------------------------------------------
See notes to financial statements
17
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------
HEALTH SERVICES -- 0.3%
$ 125 Ardent Health Services Inc., Sr. Sub. Notes
10.00%, 8/15/13 $ 134,375
100 Curative Health Services, Sr. Notes
10.75%, 5/1/11(4) 96,500
50 Healthsouth Corp.
7.625%, 6/1/12 47,375
205 Healthsouth Corp., Sr. Notes
8.375%, 10/1/11 199,362
65 National Nephrology Association, Sr. Sub. Notes
9.00%, 11/1/11(4) 74,750
146 Pacificare Health System
10.75%, 6/1/09 167,170
10 Rotech Healthcare, Inc.
9.50%, 4/1/12 10,725
365 Tenet Healthcare Corp.
9.875%, 7/1/14 373,212
-----------------------------------------------------------------------------------------
$ 1,103,469
-----------------------------------------------------------------------------------------
HOUSEHOLD FURNISHING AND APPLIANCES -- 0.0%
$ 60 Home Interiors & Gifts
10.125%, 6/1/08 $ 59,700
-----------------------------------------------------------------------------------------
$ 59,700
-----------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 0.0%
$ 30 Rayovac Corp., Sr. Sub. Notes
8.50%, 10/1/13 $ 31,650
-----------------------------------------------------------------------------------------
$ 31,650
-----------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 0.1%
$ 95 New ASAT (Finance) Ltd., Sr. Notes
9.25%, 2/1/11(4) $ 94,525
165 Stratus Technologies, Inc., Sr. Notes
10.375%, 12/1/08(4) 170,156
-----------------------------------------------------------------------------------------
$ 264,681
-----------------------------------------------------------------------------------------
INVESTMENT SERVICES -- 0.8%
$ 205 BCP Caylux Holdings, Sr. Sub. Notes
9.625%, 6/15/14 $ 213,456
500 CHYP, Series 2004 - 6A, Class C
2.45%, 8/15/16 500,000
500 DRYD, Series 2004 - 6A, Class C1
4.055%, 7/30/16 500,000
155 E*Trade Financial Corp., Sr. Notes
8.00%, 6/15/11 155,000
1,000 Felcor Lodging, Sr. Notes
5.84%, 6/1/11 1,010,000
$ 245 Milacron Escrow Corp.
11.50%, 5/15/11 $ 245,000
-----------------------------------------------------------------------------------------
$ 2,623,456
-----------------------------------------------------------------------------------------
LEISURE -- 0.0%
$ 70 AMF Bowling Worldwide, Sr. Sub. Notes
10.00%, 3/1/10(4) $ 72,100
-----------------------------------------------------------------------------------------
$ 72,100
-----------------------------------------------------------------------------------------
LODGING -- 0.0%
$ 15 Host Marriott L.P., Series I
9.50%, 1/15/07 $ 16,462
-----------------------------------------------------------------------------------------
$ 16,462
-----------------------------------------------------------------------------------------
LODGING AND GAMING -- 0.4%
$ 70 Hollywood Casino Shreveport, 1st Mtg. Notes
13.00%, 8/1/06(3) $ 56,350
165 Inn of the Mountain Gods, Sr. Notes
12.00%, 11/15/10(4) 183,975
210 Kernzner International Hotels, Sr. Sub. Notes
8.875%, 8/15/11 225,225
260 Majestic Star Casino LLC
9.50%, 10/15/10 262,600
110 MTR Gaming Group, Series B
9.75%, 4/1/10 118,800
15 Premier Entertainment Biloxi LLC/Premier
Finance Biloxi Corp.
10.75%, 2/1/12(4) 15,825
427 Waterford Gaming LLC, Sr. Notes
8.625%, 9/15/12(4) 455,822
-----------------------------------------------------------------------------------------
$ 1,318,597
-----------------------------------------------------------------------------------------
MACHINERY -- 0.2%
$ 110 Case New Holland, Inc., Sr. Notes
9.25%, 8/1/11(4) $ 116,050
5 Flowserve Corp.
12.25%, 8/15/10 5,687
45 Manitowoc Co., Inc. (The)
10.50%, 8/1/12 51,750
65 Rexnord Corp.
10.125%, 12/15/12 71,825
120 Terex Corp.
10.375%, 4/1/11 134,400
265 Thermadyne Holdings Corp., Sr. Sub. Notes
9.25%, 2/1/14 263,013
-----------------------------------------------------------------------------------------
$ 642,725
-----------------------------------------------------------------------------------------
See notes to financial statements
18
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------
MANUFACTURING -- 0.4%
$ 65 Aearo Co. I, Sr. Sub. Notes
8.25%, 4/15/12(4) $ 66,625
155 AMSCAN Holdings, Inc., Sr. Sub. Notes
8.75%, 5/1/14(4) 153,063
500 Amsted Industries, Inc., Sr. Notes
10.25%, 10/15/11(4) 545,000
110 Dresser, Inc.
9.375%, 4/15/11 118,250
65 MAAX Corp., Sr. Sub. Notes
9.75%, 6/15/12 67,275
85 Mueller Group, Inc., Sr. Sub. Notes
10.00%, 5/1/12(4) 88,825
105 Mueller Holdings, Inc., Sr. Notes
0.00%, 4/15/14 63,525
115 National Waterworks, Inc., Series B
10.50%, 12/1/12 128,225
90 Oxford Industries, Inc., Sr. Notes
8.875%, 6/1/11(4) 95,400
-----------------------------------------------------------------------------------------
$ 1,326,188
-----------------------------------------------------------------------------------------
MEDICAL PRODUCTS -- 0.1%
$ 85 Inverness Medical Innovations, Inc., Sr. Sub. Notes
8.75%, 2/15/12(4) $ 87,338
100 Medical Device Manufacturing, Inc.
10.00%, 7/15/12 102,500
205 Medquest, Inc.
11.875%, 8/15/12 233,700
-----------------------------------------------------------------------------------------
$ 423,538
-----------------------------------------------------------------------------------------
METALS-STEEL -- 0.1%
$ 195 Ispat Inland ULC, Sr. Notes
9.75%, 4/1/14(4) $ 201,825
-----------------------------------------------------------------------------------------
$ 201,825
-----------------------------------------------------------------------------------------
NETWORKING PRODUCTS -- 0.0%
$ 120 Lucent Technologies, Inc., Debs.
6.50%, 1/15/28 $ 93,300
-----------------------------------------------------------------------------------------
$ 93,300
-----------------------------------------------------------------------------------------
OIL AND GAS-EQUIPMENT AND SERVICES -- 0.8%
$ 70 ANR Pipeline Co.
8.875%, 3/15/10 $ 76,825
80 Giant Industries, Sr. Sub. Notes
8.00%, 5/15/14 80,400
89 Gulfterra Energy Partner, Series B
8.50%, 6/1/10 97,233
$ 70 Hanover Compressor Co., Sr. Notes
8.625%, 12/15/10 $ 72,800
280 Hanover Compressor Co., Sr. Sub. Notes
0.00%, 3/31/07 222,600
30 Parker Drilling Co., Sr. Notes
9.625%, 10/1/13 31,275
85 Petro Stopping Centers LP/Petro Financial Corp.,
Sr. Notes
9.00%, 2/15/12(4) 84,575
332 Port Arthur Finance Corp.
12.50%, 1/15/09 384,540
210 Premcor Refining Group, Sr. Notes
9.50%, 2/1/13 243,075
40 Premcor Refining Group, Sr. Sub. Notes
7.75%, 2/1/12 41,700
585 SESI, LLC
8.875%, 5/15/11 633,263
Southern Natural Gas
50 8.875%, 3/15/10 54,875
150 8.00%, 3/1/32 141,750
225 Transmontaigne, Inc., Sr. Sub. Notes
9.125%, 6/1/10(4) 232,875
-----------------------------------------------------------------------------------------
$ 2,397,786
-----------------------------------------------------------------------------------------
OIL AND GAS-EXPLORATION AND PRODUCTION -- 0.2%
$ 525 Continental Resources
10.25%, 8/1/08 $ 544,688
41 Gulfterra Energy Partner
10.625%, 12/1/12 48,995
70 Northwest Pipeline Corp.
8.125%, 3/1/10 75,775
115 Plains E&P Co.
8.75%, 7/1/12 125,925
-----------------------------------------------------------------------------------------
$ 795,383
-----------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 0.3%
$ 85 Abitibi-Consolidated, Inc.
7.75%, 6/15/11 $ 85,297
135 Caraustar Industries, Inc., Sr. Sub. Notes
9.875%, 4/1/11 135,000
Georgia-Pacific Corp.
145 9.50%, 12/1/11 171,100
180 9.375%, 2/1/13 207,000
225 Longview Fibre Co., Sr. Sub. Notes
10.00%, 1/15/09 244,125
110 Newark Group, Inc., Sr. Sub. Notes
9.75%, 3/15/14(4) 105,875
95 Pliant Corp.
0.00%, 6/15/09 80,513
-----------------------------------------------------------------------------------------
$ 1,028,910
-----------------------------------------------------------------------------------------
See notes to financial statements
19
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------
PRINTING AND BUSINESS PRODUCTS -- 0.0%
$ 95 American Color Graphics, Inc.
10.00%, 6/15/10 $ 85,263
-----------------------------------------------------------------------------------------
$ 85,263
-----------------------------------------------------------------------------------------
PUBLISHING AND PRINTING -- 0.7%
$ 150 American Media, Inc., Series B
10.25%, 5/1/09 $ 156,375
120 CanWest Media, Inc., Sr. Sub. Notes
10.625%, 5/15/11 135,150
80 Dex Media East, LLC
9.875%, 11/15/09 90,200
310 Dex Media West LLC, Sr. Sub. Notes
9.875%, 8/15/13 341,775
55 Hollinger Participation Trust, Sr. Notes, (PIK)
12.125%, 11/15/10(4) 64,350
160 Houghton Mifflin Co., Sr. Sub. Notes
9.875%, 2/1/13 160,800
110 Liberty Group Operating
9.375%, 2/1/08 110,000
1,000 Primedia Inc., Sr. Notes
6.615%, 5/15/10 1,018,750
-----------------------------------------------------------------------------------------
$ 2,077,400
-----------------------------------------------------------------------------------------
REITS -- 0.0%
$ 40 Omega Healthcare Investors, Inc., Sr. Notes
7.00%, 4/1/14(4) $ 38,000
-----------------------------------------------------------------------------------------
$ 38,000
-----------------------------------------------------------------------------------------
RETAIL -- 0.0%
$ 60 PCA LLC/PCA Finance Corp., Sr. Notes
11.875%, 8/1/09 $ 64,800
-----------------------------------------------------------------------------------------
$ 64,800
-----------------------------------------------------------------------------------------
RETAIL-APPAREL -- 0.0%
$ 30 Mothers Work, Inc.
11.25%, 8/1/10 $ 30,675
-----------------------------------------------------------------------------------------
$ 30,675
-----------------------------------------------------------------------------------------
RETAIL-FOOD AND DRUG -- 0.1%
$ 45 General Nutrition Centers, Sr. Sub. Notes
8.50%, 12/1/10(4) $ 46,913
155 Pierre Foods Inc., Sr. Sub. Notes
9.875%, 7/15/12 157,906
180 Stater Brothers Holdings, Sr. Notes
8.125%, 6/15/12 181,575
-----------------------------------------------------------------------------------------
$ 386,394
-----------------------------------------------------------------------------------------
RETAIL-GENERAL -- 0.0%
$ 65 Shopko Stores, Inc., Sr. Notes
9.25%, 3/15/22 $ 61,425
-----------------------------------------------------------------------------------------
$ 61,425
-----------------------------------------------------------------------------------------
RETAIL-SPECIALTY AND APPAREL -- 0.0%
$ 65 Finlay Fine Jewelry Corp., Sr. Notes
8.375%, 6/1/12 $ 67,763
-----------------------------------------------------------------------------------------
$ 67,763
-----------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 0.1%
$ 121 AMI Semiconductor, Inc., Sr. Sub. Notes
10.75%, 2/1/13 $ 141,873
30 Amkor Technologies, Inc.
5.75%, 6/1/06 29,400
10 Amkor Technologies, Inc., Sr. Notes
9.25%, 2/15/08 10,500
65 Amkor Technologies, Inc., Sr. Sub. Notes
10.50%, 5/1/09 68,575
18 ON Semiconductor Corp.
12.00%, 5/15/08 20,745
-----------------------------------------------------------------------------------------
$ 271,093
-----------------------------------------------------------------------------------------
TELECOMMUNICATION EQUIPMENT -- 0.2%
$ 84 Marconi Corp. PLC, Series A
8.00%, 4/30/08(4) $ 90,855
Nortel Networks Ltd.
335 6.125%, 2/15/06 338,350
130 4.25%, 9/1/08 123,500
-----------------------------------------------------------------------------------------
$ 552,705
-----------------------------------------------------------------------------------------
TELECOMMUNICATIONS-WIRELESS -- 0.2%
$ 225 Centennial Cellular Operating Co./Centennial
Communications Corp., Sr. Notes
10.125%, 6/15/13 $ 233,438
10 Nextel Communications, Inc., Sr. Notes
7.375%, 8/1/15 10,150
116 Nextel Partners, Inc., Sr. Notes
12.50%, 11/15/09 135,720
115 Western Wireless Corp., Sr. Notes
9.25%, 7/15/13 119,025
-----------------------------------------------------------------------------------------
$ 498,333
-----------------------------------------------------------------------------------------
TELECOMMUNICATIONS-WIRELINE -- 0.3%
Qwest Services Corp.
$ 448 13.50%, 12/15/10(4) $ 523,040
245 14.00%, 12/15/14 293,388
-----------------------------------------------------------------------------------------
$ 816,428
-----------------------------------------------------------------------------------------
See notes to financial statements
20
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------
TOBACCO -- 0.0%
$ 75 North Atlantic Trading Co., Sr. Notes
9.25%, 3/1/12(4) $ 72,938
-----------------------------------------------------------------------------------------
$ 72,938
-----------------------------------------------------------------------------------------
TRANSPORTATION -- 0.1%
$ 125 Horizon Lines LLC
9.00%, 11/1/12 $ 125,000
80 OMI Corp., Sr. Notes
7.625%, 12/1/13 78,800
15 Petroleum Helicopters, Series B
9.375%, 5/1/09 15,825
30 Quality Distribution LLC/QD Capital Corp.
9.00%, 11/15/10(4) 28,650
-----------------------------------------------------------------------------------------
$ 248,275
-----------------------------------------------------------------------------------------
UTILITY -- 0.4%
Dynegy Holdings, Inc., Sr. Notes
$ 265 6.875%, 4/1/11 $ 229,556
15 8.75%, 2/15/12 14,325
5 10.125%, 7/15/13(4) 5,438
80 Illinois Power
7.50%, 6/15/09 87,800
320 NRG Energy, Inc., Sr. Notes
8.00%, 12/15/13(4) 324,800
380 Orion Power Holdings, Inc., Sr. Notes
12.00%, 5/1/10 465,500
35 Reliant Energy, Inc.
9.25%, 7/15/10 37,538
-----------------------------------------------------------------------------------------
$ 1,164,957
-----------------------------------------------------------------------------------------
UTILITY-ELECTRIC POWER GENERATION -- 0.1%
$ 17 AES Corp.
10.00%, 7/15/05(4) $ 17,639
AES Corp., Sr. Notes
15 9.375%, 9/15/10 16,069
25 8.75%, 5/15/13(4) 26,906
15 9.00%, 5/15/15(4) 16,144
35 AES Corp., Sr. Sub. Notes
8.50%, 11/1/07 36,050
Calpine Corp., Sr. Notes
230 8.25%, 8/15/05 217,350
55 7.625%, 4/15/06 48,675
110 8.50%, 7/15/10(4) 91,575
-----------------------------------------------------------------------------------------
$ 470,408
-----------------------------------------------------------------------------------------
WASTE MANAGEMENT -- 0.0%
$ 85 Allied Waste Industries, Series B
9.25%, 9/1/12 $ 95,625
-----------------------------------------------------------------------------------------
$ 95,625
-----------------------------------------------------------------------------------------
WIRELESS COMMUNICATION SERVICES -- 0.7%
$ 165 Alamosa Delaware, Inc., Sr. Notes
8.50%, 1/31/12(4) $ 162,525
390 American Tower Corp., Sr. Notes
9.375%, 2/1/09 418,275
50 Insight Midwest/Insight Capital, Sr. Notes
10.50%, 11/1/10 54,750
110 LCI International, Inc., Sr. Notes
7.25%, 6/15/07 100,100
1,000 Rural Cellular Corp. 5.61%, 3/15/10(4) 1,035,000
90 SBA Telecommunications, Sr. Disc. Notes
0.00%, 12/15/11 67,050
230 UbiquiTel Operating Co., Sr. Notes
9.875%, 3/1/11(4) 231,150
125 US Unwired Inc. 10.00%, 6/15/12 126,875
-----------------------------------------------------------------------------------------
$ 2,195,725
-----------------------------------------------------------------------------------------
WIRELINE COMMUNICATION SERVICES -- 0.2%
$ 65 Cincinnati Bell, Inc., Sr. Sub. Notes
8.375%, 1/15/14 $ 58,175
50 General Cable Corp., Sr. Notes
9.50%, 11/15/10 54,000
230 NTL Cable PLC, Sr. Notes
8.75%, 4/15/14(4) 236,900
Qwest Capital Funding Inc.
115 7.90%, 8/15/10 102,350
85 7.75%, 2/15/31 67,150
-----------------------------------------------------------------------------------------
$ 518,575
-----------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES
(IDENTIFIED COST $45,139,364) $ 46,834,093
-----------------------------------------------------------------------------------------
See notes to financial statements
21
COMMON STOCKS -- 2.3%
SHARES SECURITY VALUE
-----------------------------------------------------------------------------------------
32,537 Carlyle Key Partners III, L.P.(2)(3)(5) $ 536,210
379 Crown Castle International Corp.(3) 5,590
3,460 Crown Castle International Corp.(3) 156,565
2,992 Enviromental Systems Products(2)(3)(5) 67,829
10,443 Hayes Lemmerz International(3) 157,689
10 Identity Now Holdings Common(2)(3)(5) 0
1,418 IDT Corp.(2) 26,148
8 Knowledge Universe, Inc.(2)(3)(5) 5,759
725,000 Van Kampen Senior Income Trust 6,423,500
-----------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $5,921,676) $ 7,379,290
-----------------------------------------------------------------------------------------
PREFERRED STOCKS -- 0.1%
SHARES SECURITY VALUE
-----------------------------------------------------------------------------------------
35 Hayes Lemmerz International, Series A(2)(3)(5) $ 2,283
15 Key Plastics, LLC, Series A(2)(3)(5) 14,881
1,790 Williams Cos., Inc. (The)(3)(4) 126,419
-----------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS
(IDENTIFIED COST $107,406) $ 143,583
-----------------------------------------------------------------------------------------
WARRANTS -- 0.2%
SHARES/RIGHTS SECURITY VALUE
-----------------------------------------------------------------------------------------
210 American Tower Corp., Exp. 8/1/08(2)(3) $ 40,005
9 Kac Mezz Holdings, Class A(2)(3)(5) 21,495
8 Kac Mezz Holdings, Class B(2)(3)(5) 19,619
45,548 Thermadyne Holdings Corp.(3) 639,949
-----------------------------------------------------------------------------------------
TOTAL WARRANTS
(IDENTIFIED COST $429,913) $ 721,068
-----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 4.2%
PRINCIPAL MATURITY
AMOUNT DATE BORROWER RATE AMOUNT
-----------------------------------------------------------------------------------------
$ 13,444,000 07/01/04 Investors Bank & Trust
Company Time Deposit 1.44% $ 13,444,000
-----------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS
(AT AMORTIZED COST $13,444,000) $ 13,444,000
-----------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 168.8%
(IDENTIFIED COST $530,380,747) $ 538,132,815
-----------------------------------------------------------------------------------------
OTHER ASSETS, LESS LIABILITIES -- (34.3)% $ (109,327,531)
-----------------------------------------------------------------------------------------
AUCTION PREFERRED SHARES PLUS
CUMULATIVE UNPAID
DIVIDENDS -- (34.5)% $ (110,013,514)
-----------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON
SHARES -- 100.0% $ 318,791,770
-----------------------------------------------------------------------------------------
NOTE: THE TRUST HAS MADE COMMITMENTS TO FUND SPECIFIED AMOUNTS UNDER CERTAIN
EXISTING CREDIT ARRANGEMENTS. PURSUANT TO THE TERMS OF THESE ARRANGEMENTS,
THE TRUST HAD UNFUNDED LOAN COMMITMENTS OF $6,597,059 AS OF JUNE 30, 2004.
PIK - PAYMENT IN KIND.
(1) SENIOR 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 THEIR 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 FLOATING-RATE INTERESTS WILL
HAVE AN EXPECTED AVERAGE LIFE OF APPROXIMATELY TWO TO THREE YEARS.
(2) SECURITY VALUED AT FAIR VALUE USING METHODS DETERMINED IN GOOD FAITH BY OR
AT THE DIRECTION OF THE TRUSTEES.
(3) NON-INCOME PRODUCING SECURITY.
(4) SECURITY EXEMPT FROM REGISTRATION UNDER RULE 144A OF THE SECURITIES ACT OF
1933. THESE SECURITIES MAY BE SOLD IN TRANSACTIONS EXEMPT FROM
REGISTRATION, NORMALLY TO QUALIFIED INSTITUTIONAL BUYERS. AT JUNE 30, 2004
THE AGGREGATE VALUE OF THE SECURITIES IS $12,432,687 OR 3.9% OF THE NET
ASSETS.
(5) RESTRICTED SECURITY.
See notes to financial statements
22
EATON VANCE SENIOR INCOME TRUST as of June 30, 2004
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2004
ASSETS
Investments, at value (identified cost, $530,380,747) $ 538,132,815
Cash 7,158,986
Cash collateral segregated for credit default swaps 3,900,000
Receivable for investments sold 309,196
Receivable for open swap contracts 24,599
Dividends and interest receivable 2,518,740
Prepaid expenses 73,931
------------------------------------------------------------------------------------------------------
TOTAL ASSETS $ 552,118,267
------------------------------------------------------------------------------------------------------
LIABILITIES
Demand note payable $ 120,000,000
Payable for investments purchased 2,593,413
Miscellaneous liabilities 117,034
Payable to affiliate for Trustees' fees 4,462
Payable to affiliate 376,086
Accrued expenses:
Interest 149,364
Operating expense 72,624
------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES $ 123,312,983
------------------------------------------------------------------------------------------------------
AUCTION PREFERRED SHARES (4,400 SHARES OUTSTANDING) AT LIQUIDATION
VALUE PLUS CUMULATIVE UNPAID DIVIDENDS 110,013,514
------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHARES $ 318,791,770
------------------------------------------------------------------------------------------------------
SOURCES OF NET ASSETS
Common shares, $0.01 par value, unlimited number of shares authorized,
36,323,093 shares issued and outstanding $ 363,231
Additional paid-in capital 360,129,921
Accumulated net realized loss (computed on the basis of identified cost) (50,741,352)
Accumulated undistributed net investment income 1,295,331
Net unrealized appreciation (computed on the basis of identified cost) 7,744,639
------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHARES $ 318,791,770
------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER COMMON SHARE
($318,791,770 DIVIDED BY 36,323,093 COMMON SHARES ISSUED AND OUTSTANDING) $ 8.78
------------------------------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED
JUNE 30, 2004
INVESTMENT INCOME
Interest $ 24,937,036
Dividends 393,722
Miscellaneous 108,302
------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME $ 25,439,060
------------------------------------------------------------------------------------------------------
EXPENSES
Investment adviser fee $ 4,531,804
Administration fee 1,332,884
Trustees' fees and expenses 16,911
Interest 1,694,786
Preferred shares remarketing agent fee 283,220
Custodian fee 206,820
Legal and accounting services 190,818
Transfer and dividend disbursing agent fees 82,477
Printing and postage 57,869
Registration fees 35,586
Miscellaneous 65,643
------------------------------------------------------------------------------------------------------
TOTAL EXPENSES $ 8,498,818
------------------------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee $ 2,295
------------------------------------------------------------------------------------------------------
TOTAL EXPENSE REDUCTIONS $ 2,295
------------------------------------------------------------------------------------------------------
NET EXPENSES $ 8,496,523
------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 16,942,537
------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) --
Investment transactions (identified cost basis) $ (2,688,138)
Swap contracts 40,881
------------------------------------------------------------------------------------------------------
NET REALIZED LOSS $ (2,647,257)
------------------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 13,002,636
Swap contracts (7,429)
------------------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) $ 12,995,207
------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN $ 10,347,950
------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS FROM INCOME $ (1,257,174)
------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 26,033,313
------------------------------------------------------------------------------------------------------
See notes to financial statements
23
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) YEAR ENDED YEAR ENDED
IN NET ASSETS JUNE 30, 2004 JUNE 30, 2003
----------------------------------------------------------------------------------------
From operations --
Net investment income $ 16,942,537 $ 20,461,831
Net realized loss on investment
transactions and swap contracts (2,647,257) (7,499,972)
Net change in unrealized appreciation
(depreciation) on investments and
swap contracts 12,995,207 10,329,958
Distributions to preferred shareholders
from net investment income (1,257,174) (1,607,603)
----------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 26,033,313 $ 21,684,214
----------------------------------------------------------------------------------------
Distributions to common shareholders --
From net investment income $ (16,135,456) $ (18,804,935)
----------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO COMMON SHAREHOLDERS $ (16,135,456) $ (18,804,935)
----------------------------------------------------------------------------------------
Capital share transactions --
Reinvestment of distributions to
common shareholders $ 2,455,462 $ 800,067
----------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM CAPITAL
SHARE TRANSACTIONS $ 2,455,462 $ 800,067
----------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS $ 12,353,319 $ 3,679,346
----------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO
COMMON SHARES
At beginning of year $ 306,438,451 $ 302,759,105
----------------------------------------------------------------------------------------
AT END OF YEAR $ 318,791,770 $ 306,438,451
----------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED
NET INVESTMENT INCOME
INCLUDED IN NET ASSETS
APPLICABLE TO COMMON
SHARES
AT END OF YEAR $ 1,295,331 $ 1,701,865
----------------------------------------------------------------------------------------
STATEMENT OF CASH FLOWS
YEAR ENDED
INCREASE (DECREASE) IN CASH JUNE 30, 2004
----------------------------------------------------------------------------------------
Cash Flows From (Used For) Operating Activities --
Purchases of loan interests and corporate bonds $ (415,792,700)
Proceeds from sales and principal repayments 418,597,423
Interest and dividends received 24,896,257
Payable to affiliate 376,086
Miscellaneous income received (40,320)
Interest paid (1,707,407)
Prepaid expenses (9,067)
Operating expenses paid (6,849,593)
Swap contract transactions 16,282
Net decrease in short-term investments 21,000
----------------------------------------------------------------------------------------
NET CASH FROM OPERATING ACTIVITIES $ 19,507,961
----------------------------------------------------------------------------------------
Cash Flows From (Used For) Financing Activities --
Cash distributions paid (excluding reinvestments of $2,455,462) $ (14,941,386)
Net increase in amounts due under commercial paper program 2,000,000
----------------------------------------------------------------------------------------
NET CASH USED FOR FINANCING ACTIVITIES $ (12,941,386)
----------------------------------------------------------------------------------------
NET INCREASE IN CASH $ 6,566,575
----------------------------------------------------------------------------------------
CASH AT BEGINNING OF YEAR $ 4,492,411
----------------------------------------------------------------------------------------
CASH AT END OF YEAR $ 11,058,986(1)
----------------------------------------------------------------------------------------
RECONCILIATION OF NET INCREASE IN NET ASSETS
FROM OPERATIONS TO NET CASH USED FOR
OPERATING ACTIVITIES
Net increase in net assets from operations $ 26,033,313
Distributions to preferred shareholders 1,257,174
Increase in receivable for investments sold (61,079)
Increase in swap contract transactions (24,599)
Decrease in dividends and interest receivable 90,950
Increase in prepaid expenses (9,067)
Decrease in miscellaneous liability (148,622)
Increase in payable to affiliate 376,058
Decrease in accrued expenses (60,449)
Increase payable for investments purchased 2,593,413
Net increase in investments (10,539,131)
----------------------------------------------------------------------------------------
NET CASH FROM OPERATING ACTIVITIES $ 19,507,961
----------------------------------------------------------------------------------------
(1) BALANCE INCLUDES $3,900,000 OF CASH COLLATERAL THAT HAS BEEN SEGREGATED FOR
CREDIT DEFAULT SWAPS.
See notes to financial statements
24
Selected data for a common share outstanding during the periods stated
YEAR ENDED JUNE 30,
------------------------------------------------------------
2004(1) 2003(1) 2002(1)(2) 2001(1) 2000
-----------------------------------------------------------------------------------------------------------------------
Net asset value--Beginning of year (Common shares) $ 8.500 $ 8.420 $ 8.860 $ 9.810 $ 10.090
-----------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS
Net investment income $ 0.468 $ 0.569 $ 0.687 $ 0.872 $ 0.868
Net realized and unrealized gain (loss) 0.293 0.079 (0.420) (0.908) (0.271)
Distribution to preferred shareholders from net investment
income (0.035) (0.045) (0.076) -- --
-----------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM OPERATIONS $ 0.726 $ 0.603 $ 0.191 $ (0.036) $ 0.597
-----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income $ (0.446) $ (0.523) $ (0.631) $ (0.882) $ (0.877)
-----------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO COMMON SHAREHOLDERS $ (0.446) $ (0.523) $ (0.631) $ (0.882) $ (0.877)
-----------------------------------------------------------------------------------------------------------------------
OFFERING COSTS CHARGED TO PAID-IN CAPITAL $ -- $ -- $ -- $ (0.001) $ --
-----------------------------------------------------------------------------------------------------------------------
PREFERRED SHARES UNDERWRITING DISCOUNTS $ -- $ -- $ -- $ (0.031) $ --
-----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE -- END OF YEAR (COMMON SHARES) $ 8.780 $ 8.500 $ 8.420 $ 8.860 $ 9.810
-----------------------------------------------------------------------------------------------------------------------
MARKET VALUE -- END OF YEAR (COMMON SHARES) $ 9.460 $ 8.920 $ 7.760 $ 8.940 $ 9.313
-----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(3) 11.59% 23.03% (6.18)% 5.65% 2.00%
-----------------------------------------------------------------------------------------------------------------------
See notes to financial statements
25
Selected data for a common share outstanding during the periods stated
YEAR ENDED JUNE 30,
------------------------------------------------------------
2004(1) 2003(1) 2002(1)(2) 2001(1) 2000
-----------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA+
Net assets applicable to common shares, end of year $ 318,792 $ 306,438 $ 302,759 $ 317,597 $ 349,803
(000's omitted)
Ratios (As a percentage of average net assets applicable
to common shares):
Net expenses(4) 2.17% 2.22% 2.28% 1.89% 1.84%
Net expenses after custodian fee reduction(4) 2.17% 2.22% 2.28% 1.89% 1.84%
Interest expense 0.54% 0.72% 0.85% 2.50% 2.41%
Total expenses(4) 2.71% 2.94% 3.13% 4.39% 4.25%
Net investment income(4) 5.41% 6.92% 8.01% 9.37% 8.73%
Portfolio Turnover 82% 56% 69% 37% 63%
+ The ratios reported above are based on net assets attributable solely to
common shares. The ratios based on net assets, including amounts related to
preferred shares since the initial offering of preferred share are as follows:
Ratios (As a percentage of average total net assets):
Net expenses(4) 1.61% 1.62% 1.68% 1.88%
Net expenses after custodian fee reduction(4) 1.61% 1.62% 1.68% 1.88%
Interest expense 0.40% 0.52% 0.63% 2.50%
Total expenses(4) 2.01% 2.14% 2.31% 4.38%
Net investment income(4) 4.00% 5.05% 5.90% 9.33%
-----------------------------------------------------------------------------------------------------------------------
Senior Securities:
Total preferred shares outstanding 4,400 4,400 4,400 4,400
Asset coverage per preferred share(5) $ 97,456 $ 94,649 $ 93,814 $ 97,192
Involuntary liquidation preference per
preferred share(6) $ 25,000 $ 25,000 $ 25,000 $ 25,000
Approximate market value per preferred share(6) $ 25,000 $ 25,000 $ 25,000 $ 25,000
(1) Net investment income per share was computed using average shares
outstanding.
(2) The Trust has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies and began using the interest
method to amortize premiums on fixed-income securities. The effect of this
change for the year ended June 30, 2002 was to increase net investment
income per share by $0.001, increase net realized and unrealized losses per
share by $0.001, and increase the ratio of net investment income to average
net assets attributable to common shares by less than 0.01%. Per share data
and ratios for the periods prior to July 1, 2001 have not been restated to
reflect this change in presentation.
(3) Returns are historical and are calculated by determining the percentage
change in market value with all distributions reinvested. Total return is
not computed on an annualized basis.
(4) Ratios do not reflect the effect of dividend payments to preferred
shareholders. Ratios to average net assets attributable to common shares
reflect the Trust's leverage capital structure.
(5) Calculated by subtracting the Trust's total liabilities (not including the
preferred shares) from the Trust's total assets, and dividing this by the
number of preferred shares outstanding.
(6) Plus accumulated and unpaid dividends.
See notes to financial statements
26
EATON VANCE SENIOR INCOME TRUST as of June 30, 2004
NOTES TO FINANCIAL STATEMENTS
1 Significant Accounting Policies
Eaton Vance Senior Income Trust (the Trust) is an entity commonly known as a
Massachusetts business trust and is registered under the Investment Company
Act of 1940 as a non-diversified closed-end management investment company.
The Trust's investment objective is to provide a high level of current income
consistent with the preservation of capital, by investing primarily in
senior, floating rate loans. The following is a summary of significant
accounting policies consistently followed by the Trust in the preparation of
its financial statements. The policies are in conformity with accounting
principles generally accepted in the United States of America.
Certain prior year amounts have been reclassified for presentation purposes.
A INVESTMENT VALUATION -- The Trust's investments are primarily in interests
in senior floating rate loans (Senior Loans). Certain Senior Loans are deemed
liquid because reliable market quotations are readily available for them.
Liquid loans are valued on the basis of prices furnished by a pricing
service. Other Senior Loans are valued at fair value by the Trust's
investment adviser, Eaton Vance Management (EVM), 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 loan in the borrower's debt structure; (ii) the nature,
adequacy and value of the collateral, including the Trust'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 Senior Loan including price quotations for and trading in the Senior Loan
and interests in similar loans and the market environment and investor
attitudes towards the Senior Loan and interests in similar loans; (v) the
experience, reputation, stability and financial condition of the agent and
any intermediate participant in the loan; and (vi) general economic and
market conditions affecting the fair value of the Senior Loan. Non-loan
portfolio holdings (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 average of 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. Marketable securities listed in the NASDAQ National Market System
are valued at the NASDAQ official closing price. The value of interest rate
swaps will be based upon a dealer quotation. Short-term obligations which
mature in 60 days or less are valued at amortized cost, if their original
term to maturity when acquired by the Trust 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 Trust 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. Dividend income is recorded on the ex-dividend date for
dividends received in cash and/or securities.
C FEDERAL TAXES -- The Trust's policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders each year all of its taxable income, including any
net realized gain on investments. Accordingly, no provision for federal
income or excise tax is necessary. At June 30, 2004, the Trust, for federal
income tax purposes, had a capital loss carryover of $49,875,806, which will
expire on June 30, 2009 ($1,925,241), June 30, 2010 ($27,557,475), June 30,
2011 ($13,711,847), and June 30, 2012 ($6,681,243). These amounts will reduce
the Trust's taxable income arising from future net realized gain on
investments, if any, to the extent permitted by the Internal Revenue Code and
thus will reduce the amount of the distributions to shareholders which would
otherwise be necessary to relieve the Trust of any liability for federal
income or excise tax.
27
Additionally, at June 30, 2004, the Trust had net capital losses of $850,511
attributable to security transactions incurred after October 31, 2003. These
are treated as arising on the first day of the Trust's taxable year ending
June 30, 2005. At June 30, 2004 the undistributed ordinary income on a tax
basis was $1,295,331 and differed from accumulated net investment income due
to the different treatment for premium amortization. All distributions in the
year ended June 30, 2004 were from ordinary income for tax purposes.
D CREDIT DEFAULT SWAPS -- The Portfolio may enter into credit default swap
contracts for risk management purposes, including diversification. When the
Portfolio is a buyer of a credit default swap contract, the Portfolio is
entitled to receive the par (or other agreed-upon) value of a referenced debt
obligation from the counterparty to the contract in the event of a default by
a third party, such as a U.S. or foreign corporate issuer, on the debt
obligation. In return, the Portfolio would pay the counterparty a periodic
stream of payments over the term of the contract provided that no event of
default has occurred. If no default occurs, the Portfolio would have spent
the stream of payments and received no benefit from the contract. When the
Portfolio is the seller of a credit default swap contract, it receives the
stream of payments, but is obligated to pay upon default of the referenced
debt obligations. As the seller, the Portfolio would effectively add leverage
to its portfolio because, in addition to its total net assets, the Portfolio
would be subject to investment exposure on the notional amount of the swap.
The Portfolio will segregate assets in the form of cash and cash equivalents
in an amount equal to the aggregate market value of the credit default swap
of which it is the seller, marked to market on a daily basis. These
transactions involve certain risks, including the risk that the seller may be
unable to fulfill the transaction.
E EXPENSE REDUCTION -- Investors Bank & Trust Company (IBT) serves as
custodian of the Trust. Pursuant to the custodian agreement, IBT receives a
fee reduced by credits which are determined based on the average daily cash
balances the Trust maintains with IBT. All credit balances used to reduce the
Trust's custodian fees are reported as a reduction of expenses in the
statement of operations.
F USE OF ESTIMATES -- The preparation of 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 income and expense during the
reporting period. Actual results could differ from those estimates.
G INDEMNIFICATIONS -- Under the Trust's organizational documents, its
officers and Trustees may be indemnified against certain liabilities and
expenses arising out of the performance of their duties of the Trust and
shareholders are indemnified against personal liability for obligations of
the Trust. Additionally, in the normal course of business, the Trust enters
into agreements with service providers that may contain indemnification
clauses. The Trust's maximum exposure under these arrangements is unknown as
this would involve future claims that may be made against the Trust that have
not yet occurred.
H OTHER -- Investment transactions are accounted for on the date the
investments are purchased or sold. Gains and losses on securities sold are
determined on the basis of identified cost.
2 Auction Preferred Shares (APS)
The Trust issued 2,200 shares of Auction Preferred Shares Series A and 2,200
shares of Auction Preferred Shares Series B on June 27, 2001 in a public
offering. The underwriting discount and other offering costs were recorded as
a reduction to paid in capital. Dividends on the APS, which accrue daily, are
paid cumulatively at a rate which was established at the offering of the APS
and have been reset every 7 days thereafter by an auction. Dividend rates at
June 30, 2004 were 1.65% and 1.20% for Series A and Series B Shares,
respectively. Series A and Series B are identical in all respects except for
the dates of reset for the dividend rates.
The APS are redeemable at the option of the Trust at a redemption price equal
to $25,000 per share, plus accumulated and unpaid dividends on any dividend
payment date. The APS are also subject to mandatory redemption at a
redemption price equal to $25,000 per share, plus accumulated and unpaid
dividends, if the Trust is in default on its asset maintenance requirements
with respect to the APS. If the dividends on the APS shall remain unpaid in
an amount equal to two full years' dividends, the holders of the APS as a
class have the right to elect a majority of the Board of Trustees. In
general, the holders of the APS and the common shares have equal voting
rights of one vote per share, except that the holders of the APS, as a
separate class, have the right to elect at least two members of the Board of
Trustees. The APS have a liquidation preference of $25,000 per share, plus
accumulated and unpaid dividends. The Trust is required to maintain certain
asset coverage with respect to the APS as defined in the
28
Trust's By-Laws. The Trust pays annual fees equivalent to 0.25% of the
preferred shares' liquidation value for the remarketing efforts associated
with the preferred auctions.
3 Distributions to Shareholders
The Trust intends to make monthly distributions to common shareholders of net
investment income, after payment of any dividends on any outstanding
preferred shares. Distributions are recorded on the ex-dividend date.
Distributions to preferred shareholders are recorded daily and are payable at
the end of each dividend period. Each dividend payment period for the APS is
generally seven days. The applicable dividend rate for the APS on June 30,
2004 was 1.65% and 1.20%, for Series A and Series B shares, respectively. For
the year ended June 30, 2004, the Trust paid dividends to Auction Preferred
shareholders amounting to $635,322 and $621,852 for Series A and Series B
shares, respectively, representing an average APS dividend rate for such
period of 1.14% and 1.12%, respectively.
4 Common Shares of Beneficial Interest
The Agreement and Declaration of Trust permits the Trustees to issue an
unlimited number of full and fractional $0.01 par value common shares of
beneficial interest. Transactions in common shares were as follows:
Year Ended June 30,
------------------
2004 2003
------------------------------------------------------------------------
Issued to shareholders electing to receive payments
of distributions in Trust common shares 279,215 95,799
------------------------------------------------------------------------
NET INCREASE 279,215 95,799
------------------------------------------------------------------------
5 Investment Adviser Fee and Other Transactions with Affiliates
The investment adviser fee, computed at a monthly rate of 17/240 of 1% (0.85%
annually) of the Trust's average weekly gross assets, was earned by EVM as
compensation for management and investment advisory services rendered to the
Trust. For the year ended June 30, 2004, the fee was equivalent to 0.85%
(annualized) of the Trust's average weekly gross assets and amounted to
$4,531,804. Except for Trustees of the Trust who are not members of EVM's
organization, officers and Trustees receive remuneration for their services
to the Trust out of such investment adviser fee. EVM also serves as the
administrator of the Trust. An administration fee, computed at the monthly
rate of 1/48 of 1% (0.25% annually) of the average weekly gross assets of the
Trust, is paid to EVM for managing and administering business affairs of the
Trust. For the year ended June 30, 2004, the fee was equivalent to 0.25% of
the Trust's average weekly gross assets for such period and amounted to
$1,332,884.
Certain officers and Trustees of the Trust are officers of the above
organization.
6 Investment Transactions
The Trust invests primarily in Senior Loans. The ability of the issuers of
the Senior Loans held by the Trust 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, corporate
bonds and equities aggregated $418,336,746 and $418,658,502, respectively,
for the year ended June 30, 2004.
7 Short-Term Debt and Credit Agreements
The Trust has entered into a revolving credit agreement that will allow the
Trust to borrow $120 million to support the issuance of commercial paper and
to permit the Trust 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 commercial
paper program fees of approximately $335,000 and a commitment fee of
approximately $183,000 which is computed at the annual rate of 0.15% on the
unused portion of the revolving credit agreement. There were no significant
borrowings under this agreement during the period. As of June 30, 2004, the
Trust had commercial paper outstanding of $120,000,000, at an interest rate
of 1.17% and is reflected in the demand note payable on the Statement of
Assets and Liabilities. Maximum and average borrowings for the year ended
June 30, 2004 were $120,000,000 and $109,877,049, respectively, and the
average interest rate was 1.06%.
8 Financial Instruments
The Portfolio may trade in financial instruments with off-balance sheet
risk in the normal course of its investing activities and to assist in
managing exposure to various market risks. These financial instruments
include written options, financial futures contracts and interest rate
swaps and may involve, to a varying degree, elements of risk in excess of
the amounts recognized for financial statement purposes. The notional or
contractual amounts of these instruments represent the investment the
Portfolio has in particular classes of financial instruments and does not
29
necessarily represent the amounts potentially subject to risk. The
measurement of the risks associated with these instruments is meaningful only
when all related and offsetting transactions are considered.
At June 30, 2004, the Trust had entered into credit default swaps with Credit
Suisse First Boston dated February 6, 2004 whereby the Trust will receive
2.45% per year times the notional amount of $3,900,000. The Trust makes
payment only upon a default event on underlying loan assets (50 in total,
each representing 2% of the notional value of the swap). At June 30, 2004,
the Trust had sufficient cash segregated to cover potential obligations
arising from open swap contracts.
9 Federal Income Tax Basis of Unrealized Appreciation (Depreciation)
The cost and unrealized appreciation (depreciation) in value of the
investment securities at June 30, 2004, as computed on a federal income tax
basis, were as follows:
AGGREGATE COST $ 530,395,782
---------------------------------------------------------
Gross unrealized appreciation $ 9,122,157
Gross unrealized depreciation (1,385,124)
---------------------------------------------------------
NET UNREALIZED APPRECIATION $ 7,737,033
---------------------------------------------------------
Unrealized depreciation on swap contracts was $7,429.
30
EATON VANCE SENIOR INCOME TRUST as of June 30, 2004
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Trustees and Shareholders of Eaton Vance Senior Income Trust:
We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments, of Eaton Vance Senior Income Trust (the Trust) as
of June 30, 2004, and the related statements of operations and cash flows for
the year then ended, the statements of changes in net assets for each of the
years in the two-year period ended June 30, 2004, and the financial highlights
for each of the years in the five-year period ended June 30, 2004. These
financial statements and financial highlights are the responsibility of the
Trust's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. Our
procedures included confirmation of securities and Senior Loans owned at June
30, 2004 by correspondence with the custodian, brokers and selling or agent
banks; where replies were not received from brokers and selling or agent banks,
we performed other auditing procedures. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial
statements. 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 financial highlights referred to
above present fairly in all material respects, the financial position of Eaton
Vance Senior Income Trust at June 30, 2004, the results of its operations, the
changes in its net assets, its cash flows and its financial highlights for the
respective stated periods in conformity with accounting principles generally
accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
August 13, 2004
31
EATON VANCE SENIOR INCOME TRUST
DIVIDEND REINVESTMENT PLAN
The Trust offers a dividend reinvestment plan (the Plan) pursuant to which
shareholders automatically have dividends and capital gains distributions
reinvested in common shares (the Shares) of the Trust unless they elect
otherwise through their investment dealer. On the distribution payment date, if
the net asset value per Share is equal to or less than the market price per
Share plus estimated brokerage commissions then new Shares will be issued. The
number of Shares shall be determined by the greater of the net asset value per
Share or 95% of the market price. Otherwise, Shares generally will be purchased
on the open market by the Plan Agent. Distributions subject to income tax (if
any) are taxable whether or not shares are reinvested.
If your shares are in the name of a brokerage firm, bank, or other nominee, you
can ask the firm or nominee to participate in the Plan on your behalf. If the
nominee does not offer the Plan, you will need to request that your shares be
re-registered in your name with the Trust's transfer agent, PFPC Inc. or you
will not be able to participate.
The Plan Agent's service fee for handling distributions will be paid by the
Trust. Each participant will be charged their pro rata share of brokerage
commissions on all open-market purchases.
Plan participants may withdraw from the Plan at any time by writing to the Plan
Agent at the address noted on the following page. If you withdraw, you will
receive shares in your name for all Shares credited to your account under the
Plan. If a participant elects by written notice to the Plan Agent to have the
Plan Agent sell part or all of his or her Shares and remit the proceeds, the
Plan Agent is authorized to deduct a $5.00 fee plus brokerage commissions from
the proceeds.
If you wish to participate in the Plan and your shares are held in your own
name, you may complete the form on the following page and deliver it to the Plan
Agent.
Any inquires regarding the Plan can be directed to the Plan Agent, PFPC Inc. at
1-800-331-1710.
32
EATON VANCE SENIOR INCOME TRUST
APPLICATION FOR PARTICIPATION IN DIVIDEND REINVESTMENT PLAN
This form is for shareholders who hold their common shares in their own names.
If your common shares are held in the name of a brokerage firm, bank, or other
nominee, you should contact your nominee to see if it will participate in the
Plan on your behalf. If you wish to participate in the Plan, but your brokerage
firm, bank, or nominee is unable to participate on your behalf, you should
request that your common shares be re-registered in your own name which will
enable your participation in the Plan.
The following authorization and appointment is given with the understanding that
I may terminate it at any time by terminating my participation in the Plan as
provided in the terms and conditions of the Plan.
--------------------------------------------------
Please print exact name on account:
--------------------------------------------------
Shareholder signature Date
--------------------------------------------------
Shareholder signature Date
Please sign exactly as your common shares are
registered. All persons whose names appear on the
share certificate must sign.
YOU SHOULD NOT RETURN THIS FORM IF YOU WISH TO RECEIVE YOUR DIVIDENDS AND
DISTRIBUTIONS IN CASH. THIS IS NOT A PROXY.
THE AUTHORIZATION FORM, WHEN SIGNED, SHOULD BE MAILED TO THE FOLLOWING ADDRESS:
Eaton Vance Senior Income Trust
c/o PFPC Inc.
P.O. Box 43027
Providence, RI 02940-3027
800-331-1710
NUMBER OF EMPLOYEES
The Trust is organized as a Massachusetts business trust and is registered under
the Investment Company Act of 1940, as amended, as a closed-end, nondiversified,
management investment company and has no employees.
NUMBER OF SHAREHOLDERS
As of June 30, 2004, our records indicate that there were 278 registered
shareholders for and approximately 16,500 shareholders owning the Trust shares
in street name, such as through brokers, banks, and financial intermediaries.
If you are a street name shareholder and wish to receive our reports directly,
which contain important information about the Trust, please write or call:
Eaton Vance Distributors, Inc.
The Eaton Vance Building
255 State Street
Boston, MA 02109
1-800-225-6265
NEW YORK STOCK EXCHANGE SYMBOL
The New York Stock Exchange Symbol is EVF
33
EATON VANCE SENIOR INCOME TRUST
MANAGEMENT AND ORGANIZATION
FUND MANAGEMENT. The Trustees of Eaton Vance Senior Income Trust (the Trust)
are responsible for the overall management and supervision of the Trust's
affairs. The Trustees and officers of the Trust are listed below. Except as
indicated, each individual has held the office shown or other offices in the
same company for the last five years. Trustees and officers of the Trust hold
indefinite terms of office. The "noninterested Trustees" consist of those
Trustees who are not "interested persons" of the Trust, as that term is
defined under the 1940 Act. The business address of each Trustee and officer
is The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109.
As used below, "EVC" refers to Eaton Vance Corp., "EV" refers to Eaton Vance,
Inc., "EVM" refers to Eaton Vance Management, "BMR" refers to Boston
Management and Research and "EVD" refers to Eaton Vance Distributors, Inc.
EVC and EV are the corporate parent and trustee, respectively, of EVM and
BMR. EVD is the Trust's principal underwriter and a wholly-owned subsidiary
of EVM.
NUMBER
TERM OF OF PORTFOLIOS
POSITION(S) OFFICE AND IN FUND COMPLEX
NAME AND WITH THE LENGTH OF PRINCIPAL OCCUPATION(S) OVERSEEN BY
DATE OF BIRTH TRUST SERVICE DURING PAST FIVE YEARS TRUSTEE(1) OTHER DIRECTORSHIPS HELD
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED
TRUSTEE(S)
James B. Hawkes Trustee Until 2005. Chairman, President and Chief Executive 197 Director of EVC
11/19/41 and 3 years. Officer of BMR, EVC, EVM and EV;
President Trustee Director of EV; Vice President and
since 1998. Director of EVD. Trustee and/or officer
of 197 registered investment
companies in the Eaton Vance Fund
Complex. Mr. Hawkes is an
interested person because of his
positions with BMR, EVM, EVC and
EV, which are affiliates of the
Trust.
NONINTERESTED
TRUSTEE(S)
Samuel L. Hayes, Trustee Until 2006. Jacob H. Schiff Professor of Investment 197 Director of Tiffany & Co.
III 3 years. Banking Emeritus, Harvard University (specialty retailer) and
2/23/35 Trustee Graduate School of Business Director of Telect, Inc.
since 1998. Administration. (telecommunication services
company)
William H. Park Trustee Until 2004. President and Chief Executive Officer, 194 None
9/19/47 Trustee Prizm Capital Management, LLC
since 2003. (investment management firm) (since
2002). Executive Vice President and Chief Financial
Officer, United Asset Management Corporation (a
holding company owning institutional investment
management firms)(1982-2001).
Ronald A. Trustee Until 2005. Professor of Law, Georgetown University 194 None
Pearlman Trustee Law Center (since 1999). Tax Partner,
7/10/40 since 2003. Covington & Burling, Washington, D.C.
(1991-2000).
Norton H. Reamer Trustee Until 2006. President, Chief Executive Officer and 197 None
9/21/35 3 years. a Director of Asset Management Finance
Trustee Corp. (a specialty finance company
since 1998. serving the investment management
industry) (since October 2003).
President, Unicorn Corporation (an
investment and financial advisory
services company) (since
September 2000). Chairman, Hellman,
Jordan Management Co., Inc. (an
investment management company)
(2000-2003). Formerly, Advisory
Director of Berkshire Capital
Corporation (investment banking firm)
(2002-2003). Formerly, Chairman of the
Board, United Asset Management
Corporation (a holding company owning
institutional investment management
firms) and Chairman, President and
Director, UAM Funds (mutual funds)
(1980-2000).
Lynn A. Stout Trustee Until 2004. Professor of Law, University of 197 None
9/14/57 3 years. California at Los Angeles School of Law
Trustee (since July 2001). Formerly, Professor
since 1999. of Law, Georgetown University Law
Center.
34
PRINCIPAL OFFICERS WHO ARE NOT TRUSTEES
TERM OF
POSITION(S) OFFICE AND
NAME AND WITH THE LENGTH OF PRINCIPAL OCCUPATION(S)
DATE OF BIRTH TRUST SERVICE DURING PAST FIVE YEARS
--------------------------------------------------------------------------------------------------------------------
Scott H. Page Vice President Since 1998 Vice President of EVM and BMR. Officer of 14 registered
11/30/59 investment companies managed by EVM or BMR.
John P. Redding Vice President Since 2001 Vice President of EVM and BMR. Officer of 1 registered
3/21/63 investment company managed by EVM or BMR.
Payson F. Swaffield Vice President Since 1998 Vice President of EVM and BMR. Officer of 14 registered
8/13/56 investment companies managed by EVM or BMR.
Michael W. Weilheimer Vice President Since 1998 Vice President of EVM and BMR. Officer of 11 registered
2/11/61 investment companies managed by EVM or BMR.
Alan R. Dynner Secretary Since 1998 Vice President, Secretary and Chief Legal Officer of BMR,
10/10/40 EVM, EVD, EV and EVC; Officer of 197 registered investment
companies managed by EVM or BMR.
James L. O'Connor Treasurer Since 1998 Vice President of BMR, EVM and EVD. Officer of 118
4/1/45 registered investment companies managed by EVM or BMR.
(1) Includes both master and feeder funds in a master-feeder structure.
35
THIS PAGE INTENTIONALLY LEFT BLANK
THIS PAGE INTENTIONALLY LEFT BLANK
INVESTMENT ADVISER AND ADMINISTRATOR OF EATON VANCE SENIOR INCOME TRUST
EATON VANCE MANAGEMENT
THE EATON VANCE BUILDING
255 STATE STREET
BOSTON, MA 02109
CUSTODIAN
INVESTORS BANK & TRUST COMPANY
200 CLARENDON STREET
BOSTON, MA 02116
TRANSFER AGENT
PFPC INC.
P.O. BOX 43027
PROVIDENCE, RI 02940-3027
1-800-331-1710
INDEPENDENT AUDITORS
DELOITTE & TOUCHE LLP
200 BERKELEY STREET
BOSTON, MA 02116-5022
EATON VANCE SENIOR INCOME TRUST
THE EATON VANCE BUILDING
255 STATE STREET
BOSTON, MA 02109
171-8/04 SITSRC
ITEM 2. CODE OF ETHICS
The registrant has adopted a code of ethics applicable to its Principal
Executive Officer, Principal Financial Officer and Principal Accounting Officer.
The registrant undertakes to provide a copy of such code of ethics to any person
upon request, without charge, by calling 1-800-262-1122.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
The registrant's Board has designated William H. Park, Samuel L. Hayes, III and
Norton H. Reamer, each an independent trustee, as its audit committee financial
experts. Mr. Park is a certified public accountant who is the President and
Chief Executive Officer of Prizm Capital Management, LLC (investment management
firm). Previously, he served as Executive Vice President and Chief Financial
Officer of United Asset Management Corporation ("UAM") (a holding company owning
institutional investment management firms). Mr. Hayes is the Jacob H. Schiff
Professor of Investment Banking Emeritus of the Harvard University Graduate
School of Business Administration. Mr. Reamer is the President, Chief Executive
Officer and a Director of Asset Management Finance Corp. (a specialty finance
company serving the investment management industry) and is President of Unicorn
Corporation (an investment and financial advisory services company). Formerly,
Mr. Reamer was Chairman of Hellman, Jordan Management Co., Inc. (an investment
management company) and Advisory Director of Berkshire Capital Corporation (an
investment banking firm), Chairman of the Board of UAM and Chairman, President
and Director of the UAM Funds (mutual funds).
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
(a) -(d)
The following table presents the aggregate fees billed to the registrant for the
registrant's fiscal years ended June 30, 2003 and June 30, 2004 by the
registrant's principal accountant for professional services rendered for the
audit of the registrant's annual financial statements and fees billed for other
services rendered by the principal accountant during such period.
FISCAL YEAR ENDED 6/30/03 6/30/04
-------------------------------------------------------------------------------------
Audit Fees $ 84,666 $ 87,179
Audit-Related Fees(1) 31,930 21,218
Tax Fees(2) 6,000 6,100
All Other Fees(3) 0 0
-------------------------
Total $ 122,596 $ 114,497
-------------------------
(1) Audit-related fees consist of the aggregate fees billed for assurance and
related services that are reasonably related to the performance of the
audit of financial statements and are not reported under the category of
audit fees.
(2) Tax fees consist of the aggregate fees billed for professional services
rendered by the principal accountant relating to tax compliance, tax
advice, and tax planning.
(3) All other fees consist of the aggregate fees billed for products and
services provided by the principal accountant other than audit,
audit-related, and tax services.
(e)(1) The registrant's audit committee has adopted policies and procedures
relating to the pre-approval of services provided by the registrant's principal
accountant (the "Pre-Approval Policies"). The Pre-Approval Policies establish a
framework intended to assist the audit committee in the proper discharge of its
pre-approval responsibilities. As a general matter, the Pre-Approval Policies
(i) specify certain types of audit, audit-related, tax, and other services
determined to be pre-approved by the audit committee; and (ii) delineate
specific procedures governing the mechanics of the pre-approval process,
including the approval and monitoring of audit and non-audit service fees.
Unless a service is specifically pre-approved under the Pre-Approval Policies,
it must be separately pre-approved by the audit committee.
The Pre-Approval Policies and the types of audit and non-audit services
pre-approved therein must be reviewed and ratified by the registrant's audit
committee at least annually. The registrant's audit committee maintains full
responsibility for the appointment, compensation, and oversight of the work of
the registrant's principal accountant.
(e)(2) No services described in paragraphs (b)-(d) above were approved by the
registrant's audit committee pursuant to the "de minimis exception" set forth in
Rule 2-01(c)(7)(i)(C) of Regulation S-X.
(f) Not applicable.
(g) The following table presents (i) the aggregate non-audit fees (i.e., fees
for audit-related, tax, and other services) billed for services rendered to the
registrant by its principal accountant for the registrant's last two fiscal
years; and (ii) the aggregate non-audit fees (i.e., fees for audit-related, tax,
and other services) billed for services rendered to the Eaton Vance organization
for the registrant's last two fiscal years.
FISCAL YEAR ENDED 6/30/03 6/30/04
--------------------------------------------------------------------------------
REGISTRANT $ 37,930 $ 27,318
EATON VANCE(1) $ 402,045 $ 287,437
(1) Eaton Vance Management, a subsidiary of Eaton Vance Corp., acts as the
registrant's investment adviser and administrator.
(h) The registrant's audit committee has considered whether the provision by the
registrant's principal accountant of non-audit services to the registrant's
investment adviser and any entity controlling, controlled by, or under common
control with the adviser that provides ongoing services to the registrant that
were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is
compatible with maintaining the principal accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
The registrant has a separately-designated standing audit committee established
in accordance with Section 3(a)(58)(A) of the Securities and Exchange Act of
1934, as amended. Norton H. Reamer (Chair), Samuel L. Hayes, III, William H.
Park and Lynn A. Stout are the members of the registrant's audit committee.
ITEM 6. SCHEDULE OF INVESTMENTS
Please see schedule of investments contained in the Report to Stockholders
included under Item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES
The Board of Trustees of the Trust has adopted a proxy voting policy and
procedure (the "Fund Policy"), pursuant to which the Trustees have delegated
proxy voting responsibility to the Fund's investment adviser and adopted the
investment adviser's proxy voting policies and procedures (the "Policies") which
are described below. The Trustees will review the Fund's proxy voting records
from time to time and will annually consider approving the Policies for the
upcoming year. In the event that a conflict of interest arises between the
Fund's shareholders and the investment adviser, the administrator, or any of
their affiliates or any affiliate of the Fund, the investment adviser will
generally refrain from voting the proxies related to the companies giving rise
to such conflict until it consults with the Board of the Fund except as
contemplated under the Fund Policy. The Board's Special Committee will instruct
the investment adviser on the appropriate course of action.
The Policies are designed to promote accountability of a company's management to
its shareholders and to align the interests of management with those
shareholders. The investment adviser will generally support company management
on proposals relating to environmental and social policy issues and on matters
regarding the state of organization of the company. On all other matters, the
investment adviser will take management's proposals under advisement but will
consider each matter in light of the guidelines set forth in the Policies.
Except in the instance of routine matters related to corporate administration
which are not expected to have a significant economic impact on the company or
its shareholders (on which the investment adviser will routinely vote with
management), the investment adviser will review each matter on a case-by-case
basis and reserves the right to deviate from the Policies guidelines when it
believes the situation warrants such a deviation. The Policy includes voting
guidelines for matters relating to, among other things, the election of
directors, approval of independent auditors, executive compensation, corporate
structure and anti-takeover defenses. The investment adviser may abstain from
voting from time to time where it determines that the costs associated with
voting a proxy outweighs the benefits derived from exercising the right to vote.
In addition, the investment adviser will monitor situations that may result in a
conflict of interest between the Fund's shareholders and the investment adviser,
the administrator, or any of their affiliates or any affiliate of the Fund by
maintaining a list of significant existing and prospective corporate clients.
The investment adviser's personnel responsible for reviewing and voting proxies
on behalf of the Fund will report any proxy received or expected to be received
from a company included on that list to the investment adviser's general counsel
or chief equity investment officer. The general counsel or chief equity
investment officer will determine if a conflict exists. If a conflict does
exist, the proxy will either be voted strictly in accordance with the Policy or
the investment adviser will seek instruction on how to vote from the Board.
Effective August 31, 2004, information on how the Fund voted proxies relating to
portfolio securities during the 12 month period ended June 30, 2004 [is/will be]
available (1) without charge, upon request, by calling 1-800-262-1122, and (2)
on the Securities and Exchange Commission's website at http://www.sec.gov.
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not Applicable.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Effective February 9, 2004, the Governance Committee of the Board of Trustees
formalized the procedures by which a Fund's shareholders may recommend nominees
to the registrant's Board of Trustees. The Governance Committee shall, when
identifying candidates for the position of Independent Trustee, consider any
such candidate recommended by a shareholder of a Fund if such recommendation
contains sufficient background information concerning the candidate, and is
received in a sufficiently timely manner (and in any event no later than the
date specified for receipt of shareholder proposals in any applicable proxy
statement with respect to a Fund). Shareholders shall be directed to address any
such recommendations to the attention of the Governance Committee, c/o the
Secretary of the Fund.
ITEM 10. CONTROLS AND PROCEDURES
(a) It is the conclusion of the registrant's principal executive officer and
principal financial officer that the effectiveness of the registrant's current
disclosure controls and procedures (such disclosure controls and procedures
having been evaluated within 90 days of the date of this filing) provide
reasonable assurance that the information required to be disclosed by the
registrant has been recorded, processed, summarized and reported within the time
period specified in the Commission's rules and forms and that the information
required to be disclosed by the registrant has been accumulated and communicated
to the registrant's principal executive officer and principal financial officer
in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant's internal controls over
financial reporting during the period that has materially affected, or is
reasonably likely to materially affect the registrant's internal control over
financial reporting.
ITEM 11. EXHIBITS
(a)(1) Registrant's Code of Ethics - Not applicable (please see Item 2).
(a)(2)(i) Treasurer's Section 302 certification.
(a)(2)(ii) President's Section 302 certification.
(b) Combined Section 906 certification.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Eaton Vance Senior Income Trust
-------------------------------
By: /s/ James B. Hawkes
--------------------------------------
James B. Hawkes
President
Date: August 13, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ James L. O'Connor
-------------------------------------
James L. O'Connor
Treasurer
Date: August 13, 2004
By: /s/ James B. Hawkes
-------------------------------------
James B. Hawkes
President
Date: August 13, 2004