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EATON VANCE(R)
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[Photo of Pillars and Steps]
Annual Report June 30, 2001
[Photo of Bridge with Buildings] EATON VANCE
SENIOR
INCOME
TRUST
[Photo of Large Hall]
EATON VANCE SENIOR INCOME TRUST as of June 30, 2001
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LETTER TO SHAREHOLDERS
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[Photo of James B. Hawkes]
James B. Hawkes
President
In a volatile interest rate climate, Eaton Vance Senior Income Trust again
provided a significant yield advantage in a portfolio of senior, secured
floating-rate loans. Based on the Trust's June monthly dividend of $0.065 per
share and a closing share price of $8.94, the Trust's market yield was 8.72% at
June 30, 2001.
A weakening economy and a dramatic decline in interest rates made this a
challenging year for the loan market...
The year ended June 30, 2001 saw a slowdown in the economy, as industrial
production was accompanied by mounting job layoffs in the manufacturing and
technology sectors. First quarter 2001 GDP expanded at a weak 1.3%, followed by
an anemic 0.7%growth rate in the second quarter. Facing mounting evidence of a
faltering economy, the Federal Reserve dramatically lowered interest rates in an
effort to re-stimulate economic activity.
In this challenging environment, the Trust maintained relatively low volatility
and an attractive yield advantage...
The Trust's investment universe was affected by the economic uncertainties, as
well as by weaker demand for lower-quality loans. While performance
understandably reflected these changing market conditions, the Trust's
volatility remained well below that of many other fixed-income asset classes.
Once again, consistent with its history, the Trust maintained a significant
yield advantage over alternative income-producing investments.
Eaton Vance Senior Income Trust continues its mandate for conservative
investors...
The past 12 months produced extreme volatility in the financial markets.
Following years of double-digit returns, the equity markets collapsed in a
torrent of disappointing earnings. The fixed-income markets reacted in a
similarly volatile fashion to the vagaries of the Federal Reserve, which has now
completely erased the rate hikes of 2000.
Amid this uncertainty, risk-conscious investors may find appealing the lower
volatility of the loan market. Without question, the economy has more hurdles to
clear over the near-term. However, as conditions improve, new opportunities are
certain to emerge. As we enter the new fiscal year, the Trust will continue its
mandate of seeking high current income from a portfolio of senior floating-rate
loans. In the pages that follow, co-portfolio managers Scott Page and Payson
Swaffield review the events of the past year and offer their insights on the
period ahead.
Sincerely,
/s/ James B. Hawkes
James B. Hawkes
President
August 8, 2001
Trust Information
as of June 30, 2001
Performance(1)
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Average Annual Total Return (by share price, NYSE)
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One Year 5.65%
Life of Fund (10/30/98) 4.71
Average Annual Total Return (at net asset value)
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One Year -0.72%
Life of Fund (10/30/98) 4.39
Ten Largest Holdings(2)
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Century Cable Holdings 3.5%
Charter Communications Operating, LLC 3.3
Insight Midwest Holdings, LLC 2.1
Voicestream PCS Holdings, LLC 2.1
Lyondell Petrochemical Company 1.7
Amphenol Corp. 1.2
Jefferson Smurfit Corporation 1.2
Rite Aid Corp. 1.2
Metro Goldwyn Mayer, Inc. 1.2
Nextel Communications, Inc. 1.1
(1) Returns are calculated by determining the percentage change in net asset
value and share price with all distributions reinvested. (2) Ten largest
holdings account for 18.6% of the Trust's investments, determined by
dividing the total market value of the holdings by the total net assets of
the Trust. Holdings are subject to change.
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.
EATON VANCE SENIOR INCOME TRUST as of June 30, 2001
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MANAGEMENT DISCUSSION
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[Photo of Scott H. Page]
Scott H. Page
[Photo of Payson E. Swaffield]
Payson E. Swaffield
An interview with Scott H. Page and Payson F. Swaffield, co-portfolio ~managers
of Eaton Vance Senior Income Trust.
Q: Scott, the past year has been characterized by growing concerns about the
economy. What impact has that had on the loan market?
A: MR. PAGE: The slowing economy during the past year was reflected in the
loan markets in the form of a difficult credit environment. Weaker demand
for lower-quality loans resulted in lower market prices. Areas such as the
telecom sector were especially troublesome.
In addition, in response to a slowing economy, the Federal Reserve has
lowered its benchmark Federal Funds rate - a key short-term rate barometer -
a total of six times since January 2001, for a total of 275 basis points.
(2.75%). LIBOR, the rate on which floating-rate loan interest rates are
typically based, has moved in tandem with the Fed moves. Predictably, that
has resulted in lower income from the loan market.
Q: Payson, how would you assess the performance of the Trust amid these
conditions?
A: MR. SWAFFIELD: The Trust managed to navigate a difficult climate relatively
well. Based on market price, the Trust posted a total return of 5.65% for
the year, despite a 4.0% decline in share price, which was more than offset
by the Trust's dividend. These statistics indicate that, while the decline
in net asset value was consistent with the tough credit conditions within
the loan market, the Trust's yield advantage played a major role in a very
difficult investment environment.
Q: What factors contributed to the poor credit environment?
A: MR. SWAFFIELD: Credit defaults increased in the bank loan market as well as
in other credit markets, including the high-yield market. Several factors
led to a higher default rate: a slower economy in the second half of 2000
and early 2001; a lack of liquidity in some higher-risk markets, such as the
high-yield bond market; and a rapid retreat from the "new economy" companies
that had been so liberally funded just a year earlier. Each of these factors
contributed to an overall increase in capital market volatility.
Five Largest Sector Weightings(1)
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Cable Television 12.8%
Telecommunications - Wireless 7.7%
Chemicals 6.6%
Manufacturing 5.5%
Real Estate 4.3%
Trust Overview(1)
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Total net assets $428 million
Number of borrowers 210
Industries represented 51
Collateral coverage ratio 1.5 to 1
Weighted days-to-interest rate reset 54 days
Average maturity 5.7 Yrs.
Average size per borrowing $1.9 million
(1) Five largest sector weightings account for 36.9% of the Trust's investments,
determined by dividing the total market value of the holdings by the total
net assets of the Trust. Sector Weightings and Trust Overview are as of
6/30/01 and are subject to change. Trust Overview information refers only to
senior, secured floating-rate loan portion of the Trust.
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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.
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When volatility and uncertainty increase in equity markets, companies'
access to capital is impeded; defaults rise, and risk premiums increase
until the market finds a new equilibrium. This process has been under way
for some time, and was reflected in decreases in market prices of bank loans
held by the Trust, as well as by an increase in returns demanded in the
primary and secondary markets for fixed-rate bonds.
Q: You referred to the difficulties within the telecom sector. Could you expand
on that?
A: MR. PAGE: Yes. Some segments of the telecom sector - predominantly long-haul
fiber and wireline competitive local exchange carriers (CLECs) - have been
damaged by high debt levels, deteriorating credit markets and an
overcapacity that has spawned fierce competition. Thus, some CLECs and
broadband providers found themselves with massive debt at a time when prices
were dropping. In addition, the potential market for telecom providers has
contracted in the slow economy, as business users have reevaluated their
telecom needs. These segments are clearly the most troubled within the
telecom sector and the Trust had very little exposure to these areas at June
30.
Q: How have you positioned the Trust in recent months?
A: MR. SWAFFIELD: The Trust's largest weightings at June 30, 2001 were in cable
television, wireless telecommunications and specialty chemicals. Cable
operators have continued to generate subscriber and revenue growth, which
has made them attractive in a slow-growth economy. Meanwhile, selected
wireless telecom service providers, insulated from the weaker elements of
the telecom sector, have continued to post impressive sales momentum.
Finally, specialty chemical companies are less vulnerable to an economic
slowdown than their commodity chemical counterparts, and have been boosted
by growth in specialty niche markets.
Q: Could you discuss some of the Trust's cable television investments?
A: MR. PAGE: Yes. The nation's cable industry has been marked by a massive
consolidation over the past decade. Today, the 10 largest operators control
more than 86% of the U.S. cable business, with around 60 million
subscribers. Charter Communications is the nation's fourth largest cable
network. Charter's revenues rose 21% in the first quarter, boosted by the
industry's fastest subscriber growth, especially in Internet delivery.
The Trust has also had investments in smaller cable operators,such as
Insight Midwest Holdings, which have benefited from the surge of cable use
in rural and smaller markets. In addition to their rapid revenue growth,
smaller companies could be potential acquisition targets in the future.
Q: In light of the continued difficulties in some parts of the telecom sector,
where have you invested the Trust's telecom investments?
A: MR. PAGE: Our largest telecom exposure is to mobile telephony, that is, car
and mobile phones. To date, this sector has not participated significantly
in the telecom credit decline I alluded to earlier. In this area, our
largest investments have been Nextel Communica-tions and Voicestream PCS.
Nextel provides digital wireless services in major metropolitan areas,
primarily to business customers. The company serviced 6.7 million digital
units at the end of 2000 and witnessed a 33% rise in revenues in the second
quarter of 2001. As an indication of its financial soundness, as of June 30,
Nextel's cash and short-term investments essentially offset its bank debt.
Voicestream was recently acquired by Deutsche Telecom, an investment grade
German telecom company. We expect this debt to be refinanced soon, given the
credit strength of its parent. We also have investments in rural cellular
providers. We believe these companies can continue to generate strong
revenue growth, in part due to lower levels of competition.
Q: What sort of chemical companies have you found attractive?
A: MR. SWAFFIELD: The Trust focused on chemical producers with products with a
wide array of uses and, thus, less vulnerability to an economic downturn.
For example, Lyondell Petrochemicals manufactures a broad range of
intermediate and high performance chemicals, from polymers used in
manufacturing processes to chemicals used in food processing and personal
care products to a variety of refined petroleum products.
Q: Could you comment on the Trust's use of leverage?
A: MR. SWAFFIELD: Yes. As shareholders know, the Trust has the capability to
employ a limited amount of financial leverage to enhance the Trust's yield.
In June, the Trust issued auction preferred shares, which represented a
source of financing that was relatively cheaper than debt financing, such as
bank loans or commercial paper. This financing also allowed the Trust to
marginally increase its total amount of leverage. While that may, at times,
slightly increase the volatility of the underlying assets, we believe the
combined benefits of lower-cost financing and the ability to generate higher
dividends will more than offset the higher risk.
Q: What is your outlook for the loan market in the coming year?
A: MR. PAGE: There is not yet a strong body of evidence that the economy is
turning around. Historically, it has taken at least six months for a series
of rate cuts to begin re-invigorating the economy. In its Open Market
Committee messages and Congressional testimony, the Fed has conveyed its
concerns that weakness in the economy during the first half of 2001 has
posed more of a threat than inflation. We believe that the Trust, with its
broad diversification and exposure to defensive industries, should be
well-positioned to withstand a continued slow economy. At some point,
however, we believe that the economy should respond to lower interest rates
and mount a recovery, resulting in more robust revenue growth and improved
credit quality.
MR. SWAFFIELD: It's also worth noting that, at this point in the interest
rate cycle, the loan market is very favorably positioned from a risk
standpoint relative to other fixed-income asset classes. With the Fed having
already aggressively lowered rates, there is some concern among bond market
participants that the Fed may be nearing the end of its rate reduction
cycle. Because bond prices move in the opposite direction of rates, signs
that the economy is starting to recover would likely result in lower bond
prices. Thus, bonds are more vulnerable at this point in the rate cycle.
Floating-rate loans, however, would enjoy rising returns in a rising-rate
scenario. Together with the prospect of credit enhancement over time, we
believe the longer-term outlook for the loan market is increasingly
favorable.
EATON VANCE SENIOR INCOME TRUST as of June 30, 2001
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PORTFOLIO OF INVESTMENTS
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Senior, Secured, Floating Rate
Interests -- 103.7%(2)
Principal
Amount Borrower/Tranche Description Value
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Advertising -- 0.6%
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Lamar Media Corp.
$ 2,000,000 Term loan, maturing March 1, 2006 $ 2,006,666
Trader.com
298,685 Term loan, maturing December 31, 2006 296,462
201,315 Term loan, maturing December 31, 2007 199,814
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$ 2,502,942
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Aerospace & Defense -- 2.0%
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Aircraft Braking Systems Corp.
$ 817,135 Term loan, maturing September 30, 2005 $ 819,178
Alliant Techsystems, Inc.
997,500 Term loan, maturing April 20, 2009 1,011,319
Dyncorp
769,000 Term loan, maturing December 9, 2006 775,008
EG&G Technical Services, Inc.
957,444 Term loan, maturing August 20, 2007 923,933
Fairchild Holdings Corporation
2,149,529 Term loan, maturing April 30, 2006 2,090,417
Hexcel Corporation
2,112,201 Term loan, maturing August 25, 2005 2,122,762
Transdigm Holding Company
281,250 Term loan, maturing May 15, 2006 282,393
718,750 Term loan, maturing May 15, 2007 722,119
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$ 8,747,129
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Air Freight & Couriers -- 0.3%
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Evergreen International Aviation, Inc.
$ 212,812 Term loan, maturing April 30, 2002 $ 191,808
1,191,822 Term loan, maturing April 30, 2003 1,074,188
183,637 Term loan, maturing May 31, 2003 165,512
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$ 1,431,508
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Auto Components -- 1.5%
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Accuride Corporation
$ 1,940,000 Term loan, maturing January 21, 2007 $ 1,781,566
Exide Corporation
982,921 Term loan, maturing March 18, 2005 932,956
Federal-Mogul Corporation
771,051 Term loan, maturing February 24, 2004 756,594
MascoTech, Inc.
999,000 Term loan, maturing May 31, 2007 923,243
Stanadyne Automotive Corporation
1,466,804 Term loan, maturing December 10, 2004 1,455,803
Tenneco Automotive
426,429 Term loan, maturing December 31, 2007 365,396
426,429 Term loan, maturing December 31, 2008 365,396
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$ 6,580,954
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Broadcast Media -- 3.4%
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CanWest Media, Inc.
$ 2,148,019 Term loan, maturing May 15, 2008 $ 2,158,222
1,341,981 Term loan, maturing May 15, 2009 1,348,355
Citadel Communications Corp.
1,000,000 Term loan, maturing December 31, 2008 998,750
Corus Entertainment
990,000 Term loan, maturing August 31, 2007 992,475
Entravision Communications Corp.
1,000,000 Term loan, maturing December 31, 2008 1,005,750
Lin Television Corp.
553,262 Term loan, maturing March 31, 2007 550,841
1,143,782 Term loan, maturing September 30, 2007 1,142,352
Nexstar Finance, LLC
1,000,000 Term loan, maturing July 12, 2007 996,563
Sinclair Broadcast Group, Inc.
2,500,000 Term loan, maturing September 15, 2005 2,511,980
Telemundo
3,000,000 Term loan, maturing May 15, 2008 3,013,125
----------------------------------------------------------------------------
$ 14,718,413
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Building and Development -- 0.7%
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FFD Development Company, LLC
$ 40,000 Revolving loan, maturing April 2, 2004 $ 39,800
Lennar Corporation
2,985,000 Term loan, maturing May 2, 2007 3,005,987
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$ 3,045,787
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Cable Television -- 12.8%
----------------------------------------------------------------------------
Century Cable Holdings, LLC
$ 2,500,000 Term loan, maturing June 30, 2009 $ 2,502,213
12,500,000 Term loan, maturing December 31, 2009 12,483,793
Charter Communications Operating, LLC
14,000,000 Term loan, maturing March 18, 2008 13,909,000
Charter Communications VIII Operating, LLC
5,000,000 Term loan, maturing February 2, 2008 4,995,935
Chelsea Communications, Inc.
3,877,886 Term loan, maturing December 31, 2004 3,873,039
Classic Cable, Inc.
868,421 Term loan, maturing October 31, 2007 794,171
Falcon Holding Group, L.P.
1,950,000 Term loan, maturing December 31, 2007 1,927,575
Insight Midwest Holdings, LLC
9,000,000 Term loan, maturing December 31, 2009 9,073,125
Mediacom USA, LLC
1,000,000 Term loan, maturing September 30, 2008 1,000,938
RCN Corporation
2,500,000 Term loan, maturing June 30, 2007 1,833,333
UCA Corp.
2,500,000 Term loan, maturing May 15, 2007 2,503,125
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$ 54,896,247
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Casinos & Gaming -- 3.5%
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Alliance Gaming Corporation
$ 3,000,000 Term loan, maturing November 30, 2006 $ 3,009,645
Aztar Corporation
2,487,310 Term loan, maturing June 30, 2005 2,481,091
Boyd Gaming Corporation
980,000 Term loan, maturing June 15, 2003 972,650
982,456 Term loan, maturing June 15, 2005 975,088
Horseshoe Gaming Holding Corp.
1,964,000 Term loan, maturing September 30, 2006 1,967,683
Isle of Capri Casinos
1,429,116 Term loan, maturing March 2, 2006 1,428,558
1,250,477 Term loan, maturing March 2, 2007 1,249,988
Penn National Gaming, Inc.
2,984,925 Term loan, maturing July 31, 2006 3,002,357
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$ 15,087,060
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Chemicals -- 6.6%
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Arteva B.V. (Kosa)
$ 2,848,780 Term loan, maturing December 31, 2006 $ 2,802,844
GEO Specialty Chemicals, Inc.
2,000,000 Term loan, maturing December 31, 2007 2,011,250
Huntsman Corporation
3,407,665 Term loan, maturing September 30, 2003 2,953,311
Huntsman Int'l
2,057,370 Term loan, maturing June 30, 2006 2,042,905
1,225,000 Term loan, maturing June 30, 2007 1,225,936
1,225,000 Term loan, maturing June 30, 2008 1,228,293
IMC Global, Inc
3,000,000 Term loan, maturing November 17, 2006 3,011,250
Lyondell Petrochemical Company
6,914,715 Term loan, maturing June 30, 2007 7,117,834
Messer Griesham GmbH
701,626 Term loan, maturing April 30, 2009 709,958
1,298,374 Term loan, maturing April 30, 2010 1,313,792
Millenium Chemicals inc.
1,000,000 Term loan, maturing June 30, 2006 1,008,750
PMD
1,500,000 Term loan, maturing September 30, 2008 1,503,482
Polymer Group, Inc.
1,416,153 Term loan, maturing December 20, 2005 1,217,892
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$ 28,147,497
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Commercial Services -- 3.1%
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Advanstar Communications Inc.
$ 1,782,857 Term loan, maturing November 17, 2007 $ 1,790,101
American Marketing Industries, Inc.
1,333,207 Term loan, maturing November 30, 2002 1,066,566
615,732 Term loan, maturing November 30, 2004 492,586
Coinmach Laundry Corporation
2,898,946 Term loan, maturing June 30, 2005 2,897,134
Environmental Systems Products Hldgs, Inc.
944,548 Term loan, maturing December 31, 2004 789,485
515,764 Term loan, maturing June 30, 2005* 292,266
Iron Mountain, Inc.
1,992,500 Term loan, maturing February 28, 2006 2,012,602
Metokote Corporation
985,000 Term loan, maturing November 2, 2005 960,375
MSX International, Inc.
985,000 Term loan, maturing December 31, 2006 956,592
Volume Services, Inc.
1,940,761 Term loan, maturing December 31, 2002 1,947,433
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$ 13,205,140
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Communications Equipment -- 1.7%
----------------------------------------------------------------------------
Amphenol Corporation
$ 667,506 Term loan, maturing May 19, 2004 $ 657,980
4,629,137 Term loan, maturing May 19, 2006 4,563,074
CII Technologies
964,642 Term loan, maturing March 15, 2004 957,407
Superior Telecom, Inc.
1,340,239 Term loan, maturing November 27, 2005 1,076,977
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$ 7,255,438
----------------------------------------------------------------------------
Computer Software & Services -- 0.8%
----------------------------------------------------------------------------
Paul G. Allen
$ 1,500,000 Term loan, maturing June 10, 2003 $ 1,495,313
Titan Corporation
1,478,769 Term loan, maturing March 31, 2006 1,465,830
497,481 Term loan, maturing March 31, 2007 493,128
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$ 3,454,271
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Construction & Engineering -- 0.2%
----------------------------------------------------------------------------
URS Corporation
$ 468,876 Term loan, maturing June 9, 2006 $ 470,048
468,876 Term loan, maturing June 9, 2007 470,048
----------------------------------------------------------------------------
$ 940,096
----------------------------------------------------------------------------
Construction Materials -- 0.7%
----------------------------------------------------------------------------
Formica Corporation
$ 784,795 Term loan, maturing April 30, 2006 $ 729,859
Tapco International Corporation
1,563 Term loan, maturing June 23, 2007 1,516
938 Term loan, maturing June 23, 2008 909
Trussway Industries, Inc.
885,974 Term loan, maturing December 31, 2006 810,816
U.S. Aggregates, Inc.
1,645,883 Term loan, maturing March 31, 2006 1,316,705
66,715 DIP loan, maturing December 31, 2001 66,715
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$ 2,926,520
----------------------------------------------------------------------------
Containers & Packaging - Metal & Glass -- 1.6%
----------------------------------------------------------------------------
Ball Corporation
$ 3,450,817 Term loan, maturing March 10, 2006 $ 3,422,062
Impress Metal Packaging Holdings B.V.
845,750 Term loan, maturing December 31, 2006 839,407
Silgan Holdings Inc.
460,548 Revolving loan, maturing December 31, 2003 441,679
169,457 Term loan, maturing December 31, 2004 163,949
1,979,487 Term loan, maturing June 30, 2005 1,947,321
----------------------------------------------------------------------------
$ 6,814,418
----------------------------------------------------------------------------
Containers & Packaging - Paper -- 3.4%
----------------------------------------------------------------------------
Blue Ridge Paper Products, Inc.
$ 886,181 Term loan, maturing March 31, 2006 $ 886,181
Gaylord Container Corporation
1,904,545 Term loan, maturing June 19, 2004 1,824,793
Graphic Package International Corp.
158,219 Term loan, maturing August 15, 2001 157,428
Greif Bros. Corporation
990,942 Term loan, maturing February 28, 2008 994,162
Impaxx, Inc.
965,000 Term loan, maturing December 31, 2005 964,136
Jefferson Smurfit Corporation
5,000,000 Term loan, maturing March 24, 2006 5,010,940
Port Townsend Paper Corporation
1,000,000 Term loan, maturing March 16, 2007 987,500
RIC Holding, Inc.
834,371 Term loan, maturing February 28, 2004 835,778
Stone Container Corporation
1,987,147 Term loan, maturing October 1, 2003 1,995,614
496,932 Term loan, maturing October 1, 2004 498,692
499,552 Term loan, maturing December 31, 2006 500,738
----------------------------------------------------------------------------
$ 14,655,962
----------------------------------------------------------------------------
Containers & Packaging - Plastics -- 1.1%
----------------------------------------------------------------------------
Crown Cork & Seal Company, Inc.
$ 3,000,000 Term loan, maturing February 4, 2002 $ 2,977,500
Graham Packaging Company
974,948 Term loan, maturing January 31, 2007 926,201
Tekni-Plex, Inc.
987,519 Term loan, maturing June 30, 2008 952,956
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$ 4,856,657
----------------------------------------------------------------------------
Educational Services -- 0.9%
----------------------------------------------------------------------------
Kindercare Learning Centers, Inc.
$ 3,064,618 Term loan, maturing February 13, 2006 $ 2,899,895
Weekly Reader Corporation
982,500 Term loan, maturing September 30, 2007 933,375
----------------------------------------------------------------------------
$ 3,833,270
----------------------------------------------------------------------------
Electronic Equipment & Instruments -- 0.2%
----------------------------------------------------------------------------
Knowles Electronics, Inc.
$ 992,500 Term loan, maturing June 29, 2007 $ 967,067
----------------------------------------------------------------------------
$ 967,067
----------------------------------------------------------------------------
Entertainment -- 3.8%
----------------------------------------------------------------------------
Blockbuster Entertainment Corp.
$ 1,285,714 Revolving loan, maturing July 1, 2004 $ 1,215,000
Dreamworks Film Trust
2,000,000 Term loan, maturing December 31, 2006 2,009,376
Interval
947,044 Term loan, maturing December 15, 2005 934,614
948,671 Term loan, maturing December 15, 2006 936,219
KSL Recreation Group, Inc.
480,000 Term loan, maturing April 30, 2005 479,600
480,000 Term loan, maturing April 30, 2006 480,000
2,000,000 Term loan, maturing April 30, 2007 2,010,626
Metro-Goldwyn-Mayer Inc.
5,000,000 Term loan, maturing December 31, 2006 4,976,250
Six Flags Theme Parks Inc.
3,000,000 Term loan, maturing September 30, 2005 3,027,000
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$ 16,068,685
-----------------------------------------------------------------------------
Environmental Services -- 1.5%
-----------------------------------------------------------------------------
Allied Waste Industries, Inc.
$ 650,085 Term loan, maturing July 30, 2005 $ 638,784
1,280,470 Term loan, maturing July 30, 2006 1,279,219
1,536,564 Term loan, maturing July 30, 2007 1,533,383
International Technology Corporation
980,000 Term loan, maturing June 11, 2004 972,241
Stericycle, Inc.
1,800,000 Term loan, maturing November 10, 2006 1,811,624
-----------------------------------------------------------------------------
$ 6,235,251
-----------------------------------------------------------------------------
Food Beverages & Tobacco -- 3.4%
-----------------------------------------------------------------------------
CP Kelco U.S., Inc.
$ 1,695,000 Term loan, maturing March 31, 2008 $ 1,643,621
565,000 Term loan, maturing September 30, 2008 547,874
Del Monte Corporation
3,990,000 Term loan, maturing March 31, 2008 4,036,136
Domino's Inc.
506,781 Term loan, maturing December 21, 2006 510,899
508,112 Term loan, maturing December 21, 2007 512,240
Fleming Companies, Inc.
2,551,461 Term loan, maturing July 25, 2004 2,522,757
Flowers Foods, Inc.
1,500,000 Term loan, maturing June 30, 2006 1,510,313
Michael Foods, Inc.
1,000,000 Term loan, maturing March 30, 2008 1,008,125
New World Pasta
837,392 Term loan, maturing January 28, 2006 788,345
Nutra Sweet
1,500,000 Term loan, maturing June 30, 2008 1,488,750
Pabst Brewing Company
673,870 Term loan, maturing April 30, 2004 611,195
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$ 15,180,255
----------------------------------------------------------------------------
Food Services -- 0.5%
----------------------------------------------------------------------------
Buffets, Inc.
$ 1,986,667 Term loan, maturing March 31, 2007 $ 2,001,980
----------------------------------------------------------------------------
$ 2,001,980
----------------------------------------------------------------------------
Health Care - Equipment & Supplies -- 1.3%
----------------------------------------------------------------------------
Charles River Laboratories, Inc.
$ 480,000 Term loan, maturing October 13, 2007 $ 484,200
Conmed Corporation
1,973,750 Term loan, maturing December 31, 2005 1,917,828
Fisher Scientific International Inc.
1,455,931 Term loan, maturing January 21, 2007 1,460,178
999,475 Term loan, maturing January 21, 2008 1,002,390
Stryker Corporation
866,465 Term loan, maturing December 10, 2005 871,069
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$ 5,735,665
----------------------------------------------------------------------------
Health Care - Providers & Services -- 3.0%
----------------------------------------------------------------------------
Community Health Systems, Inc.
$ 2,366,210 Term loan, maturing December 31, 2005 $ 2,386,361
Concentra Managed Care, Inc.
1,130,457 Term loan, maturing December 31, 2005 1,123,039
565,228 Term loan, maturing December 31, 2006 561,519
DaVita, Inc
1,995,000 Term loan, maturing March 31, 2006 2,011,922
FHC Health Systems, Inc.
938,940 Term loan, maturing April 30, 2005 891,993
938,940 Term loan, maturing April 30, 2006 891,993
Magellan Health Services, Inc.
38,695 Term loan, maturing February 12, 2005 38,748
38,695 Term loan, maturing February 12, 2006 38,748
Sybron Dental Management
1,990,000 Term loan, maturing November 28, 2007 2,004,304
Team Health
923,449 Term loan, maturing March 12, 2006 900,732
Triad Hospitals Holdings, Inc.
2,000,000 Term loan, maturing March 31, 2008 2,019,876
----------------------------------------------------------------------------
$ 12,869,235
----------------------------------------------------------------------------
Hotels -- 2.3%
----------------------------------------------------------------------------
Extended Stay America
$ 194,172 Term loan, maturing December 31, 2003 $ 192,230
1,333,037 Term loan, maturing December 31, 2005 1,334,704
767,442 Term loan, maturing December 31, 2006 769,440
Starwood Hotels & Resorts
4,500,000 Term loan, maturing February 23, 2003 4,520,813
Wyndham International, Inc.
1,870,769 Term loan, maturing June 30, 2004 1,855,958
1,000,000 Term loan, maturing June 30, 2006 984,583
----------------------------------------------------------------------------
$ 9,657,728
----------------------------------------------------------------------------
Household Furnish & Appliances -- 1.5%
----------------------------------------------------------------------------
Sealy Mattress Company
$ 1,116,999 Term loan, maturing December 15, 2004 $ 1,123,282
805,066 Term loan, maturing December 15, 2005 809,678
1,028,982 Term loan, maturing December 15, 2006 1,034,770
Simmons Company
690,631 Term loan, maturing October 30, 2005 692,487
1,569,689 Term loan, maturing October 30, 2006 1,576,459
Sleepmaster, LLC
1,264,247 Term loan, maturing December 31, 2006 1,254,766
----------------------------------------------------------------------------
$ 6,491,442
----------------------------------------------------------------------------
Household Products -- 1.7%
----------------------------------------------------------------------------
Samsonite Corporation
$ 1,969,543 Term loan, maturing June 24, 2006 $ 1,895,685
The Imperial Decor Home Group, Inc.
250,119 Medium Term note, maturing April 4, 2006 250,119
The Scotts Company
2,997,115 Term loan, maturing December 31, 2007 3,018,137
Werner Holding Co.
1,935,112 Term loan, maturing November 30, 2004 1,925,436
----------------------------------------------------------------------------
$ 7,089,377
----------------------------------------------------------------------------
Insurance -- 0.7%
----------------------------------------------------------------------------
Willis Corroon Corporation
$ 930,000 Term loan, maturing February 19, 2007 $ 929,564
944,381 Term loan, maturing February 19, 2008 945,168
944,381 Term loan, maturing August 19, 2008 945,365
----------------------------------------------------------------------------
$ 2,820,097
----------------------------------------------------------------------------
Leisure Equipment & Products -- 0.2%
----------------------------------------------------------------------------
Bell Sports, Inc.
$ 990,100 Term loan, maturing March 30, 2007 $ 985,659
----------------------------------------------------------------------------
$ 985,659
----------------------------------------------------------------------------
Machinery -- 1.1%
----------------------------------------------------------------------------
Flowserve Corporation
$ 2,477,218 Term loan, maturing June 30, 2008 $ 2,495,178
The Manitowoc Company
2,000,000 Term loan, maturing June 30, 2007 2,016,500
----------------------------------------------------------------------------
$ 4,511,678
----------------------------------------------------------------------------
Manufacturing -- 5.5%
----------------------------------------------------------------------------
Advanced Glassfiber Yarns LLC
$ 1,524,149 Term loan, maturing September 30, 2005 $ 1,527,959
Citation Corporation
957,611 Term loan, maturing December 1, 2007 917,764
Dayton Superior Corporation
1,625,000 Term loan, maturing September 29, 2005 1,631,094
Gentek, Inc.
980,000 Term loan, maturing April 30, 2007 938,350
2,977,500 Term loan, maturing April 30, 2008 2,888,175
Mueller Group, Inc.
491,250 Term loan, maturing August 17, 2006 494,013
491,250 Term loan, maturing August 17, 2007 494,525
Neenah Foundry Company
1,847,928 Term loan, maturing September 30, 2005 1,792,490
Panavision International, L.P.
4,712,027 Term loan, maturing March 31, 2005 3,969,883
Panolam Industries, Inc.
951,259 Term loan, maturing December 31, 2006 927,477
Polypore Incorporated
947,170 Term loan, maturing December 31, 2006 948,354
SPX Corporation
1,975,000 Term loan, maturing December 31, 2006 1,980,291
Synthetic Industries, Inc.
498,125 Term loan, maturing December 30, 2007 459,899
Tokheim Corporation
375,868 Revolving loan, maturing December 5, 2005 375,868
1,801,539 Term loan, maturing December 5, 2005 630,539
776,206 Term loan, maturing December 5, 2006 737,396
1,425,980 Term loan, maturing December 5, 2007 1,283,382
UCAR Finance, Inc.
1,761,061 Term loan, maturing December 31, 2007 1,700,367
----------------------------------------------------------------------------
$ 23,697,826
----------------------------------------------------------------------------
Metals & Mining -- 0.5%
----------------------------------------------------------------------------
Handy & Harman
$ 956,053 Term loan, maturing July 30, 2006 $ 951,572
Stillwater Mining Company
1,000,000 Term loan, maturing June 30, 2007 1,005,000
----------------------------------------------------------------------------
$ 1,956,572
----------------------------------------------------------------------------
Office Equipment & Supplies -- 0.3%
----------------------------------------------------------------------------
Buhrmann, Inc.
$ 1,424,874 Term loan, maturing December 31, 2007 $ 1,427,842
----------------------------------------------------------------------------
$ 1,427,842
----------------------------------------------------------------------------
Oil & Gas -- 0.8%
----------------------------------------------------------------------------
Dresser, Inc.
$ 3,500,000 Term loan, maturing March 31, 2007 $ 3,546,375
----------------------------------------------------------------------------
$ 3,546,375
----------------------------------------------------------------------------
Paper & Forest Products -- 0.8%
----------------------------------------------------------------------------
Bear Island Paper Company, LLC
$ 1,308,705 Term loan, maturing December 31, 2005 $ 1,256,356
Pacifica Papers, Inc.
2,132,439 Term loan, maturing March 5, 2006 2,137,105
----------------------------------------------------------------------------
$ 3,393,461
----------------------------------------------------------------------------
Personal Products -- 1.0%
----------------------------------------------------------------------------
Playtex Products, Inc.
$ 4,000,000 Term loan, maturing May 31, 2009 $ 4,039,000
----------------------------------------------------------------------------
$ 4,039,000
----------------------------------------------------------------------------
Pharmaceuticals & Biotechnology -- 1.2%
----------------------------------------------------------------------------
Advance Paradigm, Inc.
$ 1,496,250 Term loan, maturing September 30, 2007 $ 1,509,811
Alliance Imaging, Inc.
559,702 Term loan, maturing December 18, 2004 561,800
690,299 Term loan, maturing December 18, 2005 692,887
Bergen Brunswig Corporation
2,519,808 Term loan, maturing October 19, 2001 2,528,206
----------------------------------------------------------------------------
$ 5,292,704
----------------------------------------------------------------------------
Publishing & Printing -- 2.6%
----------------------------------------------------------------------------
American Media Operations Inc.
$ 989,985 Term loan, maturing April 1, 2007 $ 992,584
989,985 Term loan, maturing April 1, 2007 992,584
Liberty Group Operating, Inc.
1,980,000 Term loan, maturing April 30, 2007 1,965,150
Merrill Corporation
985,000 Term loan, maturing November 15, 2007 608,238
Morris Communications Corporation
1,841,406 Term loan, maturing June 30, 2005 1,832,199
R.H. Donnelley Inc.
1,044,679 Term loan, maturing December 5, 2005 1,039,672
835,743 Term loan, maturing December 5, 2006 831,738
Reiman Publications
1,843,660 Term loan, maturing November 30, 2005 1,851,151
The Sheridan Group, Inc.
980,386 Term loan, maturing January 30, 2005 980,196
----------------------------------------------------------------------------
$ 11,093,512
----------------------------------------------------------------------------
Real Estate -- 4.3%
----------------------------------------------------------------------------
622 Third Ave Company LLC
$ 2,000,000 Term loan, maturing May 9, 2003 $ 2,000,000
American Skiing Company Resort Properties, Inc.
1,285,714 Term loan, maturing December 31, 2002 1,285,714
Crescent Real Estate Equities, L.P.
2,500,000 Term loan, maturing May 31, 2005 2,507,813
Head Acquisition
1,625,049 Term loan, maturing November 8, 2002 1,614,893
2,359,337 Term loan, maturing November 8, 2002 2,344,591
Heritage Property Investment Trust, Inc.
2,000,000 Term loan, maturing March 18, 2004 2,000,000
HQ Global Workplaces, Inc.
1,365,421 Term loan, maturing December 31, 2005 1,290,323
iStar Walden
3,500,000 Term loan, maturing June 30, 2003 3,447,500
OLY Hightop Parent
2,000,000 Term loan, maturing March 31, 2006 2,000,000
----------------------------------------------------------------------------
$ 18,490,834
----------------------------------------------------------------------------
Restaurants -- 0.9%
----------------------------------------------------------------------------
AFC Enterprises Inc.
$ 1,795,540 Term loan, maturing June 30, 2004 $ 1,797,784
Applebee's International, Inc.
1,981,657 Term loan, maturing March 31, 2006 2,001,473
----------------------------------------------------------------------------
$ 3,799,257
----------------------------------------------------------------------------
Retail - Food & Drug -- 2.3%
----------------------------------------------------------------------------
Duane Reade Inc.
$ 306,108 Term loan, maturing February 15, 2006 $ 305,534
Rite Aid Corporation
5,000,000 Term loan, maturing June 27, 2005 5,008,335
SDM Corporation
969,956 Term loan, maturing March 30, 2008 976,966
969,956 Term loan, maturing March 30, 2009 976,966
Winn-Dixie Stores
2,493,750 Term loan, maturing March 28, 2007 2,502,713
----------------------------------------------------------------------------
$ 9,770,514
----------------------------------------------------------------------------
Retail - General Merchandise -- 1.9%
----------------------------------------------------------------------------
Ames Merchandising Corporation
$ 2,250,000 Revolving loan, maturing March 31, 2004 $ 2,247,188
750,000 Term loan, maturing March 31, 2004 745,313
Service Merchandise
2,500,000 Term loan, maturing April 14, 2004 2,500,000
Shopko Stores, Inc.
2,500,000 Term loan, maturing March 12, 2004 2,493,750
----------------------------------------------------------------------------
$ 7,986,251
----------------------------------------------------------------------------
Retail - Specialty -- 2.8%
----------------------------------------------------------------------------
Advance Stores Company, Inc.
$ 1,960,939 Term loan, maturing April 15, 2006 $ 1,924,171
CSK Auto, Inc.
840,000 Revolving loan, maturing October 31, 2002 762,300
995,951 Term loan, maturing October 31, 2004 911,918
Jo-Ann Stores, Inc.
2,500,000 Term loan, maturing April 30, 2005 2,495,313
Stage Stores, Inc.
2,173,333 Term loan, maturing June 2, 2003 2,173,333
Travelcenters of America, Inc.
3,500,000 Term loan, maturing November 8, 2008 3,530,625
----------------------------------------------------------------------------
$ 11,797,660
----------------------------------------------------------------------------
Road & Rail -- 0.8%
----------------------------------------------------------------------------
Kansas City Southern Industries, Inc.
$ 1,990,000 Term loan, maturing December 29, 2006 $ 2,006,634
Quality Distribution, Inc.
811,458 Term loan, maturing August 28, 2005 755,128
554,854 Term loan, maturing February 28, 2006 517,910
----------------------------------------------------------------------------
$ 3,279,672
----------------------------------------------------------------------------
Semiconductor Equipment & Products -- 0.3%
----------------------------------------------------------------------------
Semiconductor Components Industries, LLC
$ 722,222 Term loan, maturing August 4, 2006 $ 585,722
777,778 Term loan, maturing August 4, 2007 630,778
----------------------------------------------------------------------------
$ 1,216,500
----------------------------------------------------------------------------
Telecommunications - Wireline -- 2.1%
----------------------------------------------------------------------------
Alec Holdings, Inc.
$ 750,000 Term loan, maturing November 30, 2006 $ 725,938
750,000 Term loan, maturing November 30, 2007 722,500
Broadwing Inc.
4,250,000 Term loan, maturing December 31, 2005 4,174,864
Davel Communications
2,457,357 Term loan, maturing June 23, 2005* 141,298
Fairpoint Communications, Inc.
2,946,701 Term loan, maturing March 31, 2006 2,939,334
Globenet Communication Holdings Ltd.
678,437 Term loan, maturing September 30, 2005* 379,925
----------------------------------------------------------------------------
$ 9,083,859
----------------------------------------------------------------------------
Telecommunications - Wireless -- 7.7%
----------------------------------------------------------------------------
American Cellular Corporation
$ 418,431 Term loan, maturing March 31, 2007 $ 414,629
548,289 Term loan, maturing March 31, 2008 543,307
Centennial Cellular Corp.
1,206,499 Term loan, maturing November 30, 2006 1,193,115
1,206,439 Term loan, maturing November 30, 2007 1,193,181
Dobson Operating Company
1,522,273 Term loan, maturing December 31, 2007 1,512,758
Microcell Connexions
3,000,000 Term loan, maturing December 30, 2005 2,700,000
Nextel Communications, Inc.
2,000,000 Term loan, maturing June 30, 2008 1,841,250
2,000,000 Term loan, maturing December 30, 2008 1,841,250
1,000,000 Term loan, maturing March 31, 2009 901,591
Rural Cellular Corporation
1,000,000 Term loan, maturing April 6, 2008 981,250
1,000,000 Term loan, maturing April 6, 2009 980,250
Sygnet Operating Company (Dobson)
444,421 Term loan, maturing March 31, 2007 436,866
313,468 Term loan, maturing December 31, 2007 308,766
Telecorp PCS
2,500,000 Term loan, maturing January 17, 2008 2,470,832
Tritel Holding Corp.
2,000,000 Term loan, maturing December 31, 2007 2,003,126
Voicestream PCS Holdings, LLC
4,088,889 Term loan, maturing December 31, 2008 4,090,856
4,900,000 Term loan, maturing June 30, 2009 4,896,937
Western Wireless
4,000,000 Term loan, maturing September 30, 2008 3,989,584
Winstar Communications, Inc.
215,667 DIP loan, maturing December 31, 2001 204,883
2,000,000 Term loan, maturing September 30, 2007* 422,858
----------------------------------------------------------------------------
$ 32,927,289
----------------------------------------------------------------------------
Textiles & Apparel -- 1.2%
----------------------------------------------------------------------------
Joan Fabrics Corporation
$ 1,251,434 Term loan, maturing June 30, 2005 $ 1,190,948
1,868,676 Term loan, maturing June 30, 2006 1,778,357
Pillowtex Corporation
465,596 Term loan, maturing December 31, 2004 215,920
The William Carter Company
2,083,372 Term loan, maturing October 31, 2003 2,079,899
----------------------------------------------------------------------------
$ 5,265,124
----------------------------------------------------------------------------
Theaters -- 0.4%
----------------------------------------------------------------------------
Edwards Megaplex Holdings, LLC
$ 1,000,000 Term loan, maturing August 25, 2006* $ 956,667
Hollywood Theater Holdings, Inc.
923,676 Term loan, maturing March 31, 2006 785,125
----------------------------------------------------------------------------
$ 1,741,792
----------------------------------------------------------------------------
Utilities -- 0.2%
----------------------------------------------------------------------------
Western Resources Inc.
$ 735,000 Term loan, maturing March 17, 2003 $ 740,145
----------------------------------------------------------------------------
$ 740,145
----------------------------------------------------------------------------
Total Senior, Secured, Floating Rate Interests
(identified cost $455,720,021) $ 444,259,617
----------------------------------------------------------------------------
Corporate Bonds & Notes -- 8.7%
Principal Amount
(000's omitted) Security Value
----------------------------------------------------------------------------
Aerospace and Defense -- 0.0%
----------------------------------------------------------------------------
Alliant Techsystems, Inc., Sr. Sub Notes
$ 190 8.50%, 5/15/11 $ 192,850
----------------------------------------------------------------------------
$ 192,850
----------------------------------------------------------------------------
Airlines -- 0.2%
----------------------------------------------------------------------------
Northwest Airlines, Inc.
$ 750 8.875%, 6/1/06 $ 725,269
----------------------------------------------------------------------------
$ 725,269
----------------------------------------------------------------------------
Apparel -- 0.2%
----------------------------------------------------------------------------
William Carter Co., Sr. Sub. Notes
$ 1,000 10.375%, 12/1/06 $ 1,035,000
----------------------------------------------------------------------------
$ 1,035,000
----------------------------------------------------------------------------
Auto and Parts -- 0.2%
----------------------------------------------------------------------------
J.L. French Automotive Casting
$ 750 11.50%, 6/1/09 $ 277,500
Key Plastics, LLC
44 Jr Secured Sub Note, 4/26/07 44,009
118 Sr Secured Sub Note, 4/26/07 118,465
----------------------------------------------------------------------------
$ 439,974
----------------------------------------------------------------------------
Broadcasting and Cable -- 1.6%
----------------------------------------------------------------------------
Charter Communication Holdings, Sr. Notes
$ 1,500 10.75, 10/1/09 $ 1,586,250
Mediacom LLC/Capital Corp., Sr. Notes
1,000 9.50%, 1/15/13 965,000
NTL, Inc.
1,500 11.50%, 10/1/08 997,500
Pegasus Commerce
1,000 9.75%, 12/1/06 885,000
Pegasus Satellite, Sr. Notes
1,000 12.375%, 8/1/06 945,000
Sinclair Broadcast Group
150 9.00%, 7/15/07 145,500
Telewest PLC
1,000 11.25%, 11/1/08 895,000
United Pan-Europe Communications NV, Sr. Notes
1,000 10.875%, 8/1/09 357,500
----------------------------------------------------------------------------
$ 6,776,750
----------------------------------------------------------------------------
Building Materials -- 0.2%
----------------------------------------------------------------------------
Ryland Group, Sr. Notes
$ 1,000 9.125%, 6/15/11 $ 1,005,000
----------------------------------------------------------------------------
$ 1,005,000
----------------------------------------------------------------------------
Business Services -- Miscellaneous -- 0.2%
----------------------------------------------------------------------------
Anthony Crane Rentals, Sr. Notes
$ 500 10.375%, 8/1/08 $ 257,500
Coinmach Corp. Sr. Notes
500 11.75%, 11/15/05 515,000
NationsRent, Inc., Sr. Sub. Notes
1,000 10.375%, 12/15/08 235,000
Richmont Marketing Special, Sr. Sub. Notes
1,000 10.125%, 12/15/07* 56,250
----------------------------------------------------------------------------
$ 1,063,750
----------------------------------------------------------------------------
Consumer Products -- 0.0%
----------------------------------------------------------------------------
Glenoit Corp., Sr. Sub. Notes
$ 500 11.00%, 4/15/07* $ 21,875
----------------------------------------------------------------------------
$ 21,875
----------------------------------------------------------------------------
Electronic Components -- Semiconductors -- 0.2%
----------------------------------------------------------------------------
Fairchild Semiconductor
$ 750 10.50%, 2/1/09 $ 735,000
----------------------------------------------------------------------------
$ 735,000
----------------------------------------------------------------------------
Engines -- 0.1%
----------------------------------------------------------------------------
Briggs and Stratton, Sr. Notes
$ 250 8.875%, 3/15/11 $ 253,750
----------------------------------------------------------------------------
$ 253,750
----------------------------------------------------------------------------
Entertainment -- 0.2%
----------------------------------------------------------------------------
Premier Parks, Inc.
$ 1,000 9.75%, 6/15/07 $ 1,010,000
----------------------------------------------------------------------------
$ 1,010,000
----------------------------------------------------------------------------
Furniture and Appliances -- 0.1%
----------------------------------------------------------------------------
Fedders North America
$ 500 9.375%, 8/15/07 $ 447,500
----------------------------------------------------------------------------
$ 447,500
----------------------------------------------------------------------------
Gaming -- 0.6%
----------------------------------------------------------------------------
Anchor Gaming
$ 1,500 9.875%, 10/15/08 $ 1,601,250
Penn National Gaming, Inc., Sr. Sub Notes
1,000 11.125%, 3/1/08 1,005,000
----------------------------------------------------------------------------
$ 2,606,250
----------------------------------------------------------------------------
Household Products -- 0.1%
----------------------------------------------------------------------------
Playtex Products, Inc.
$ 250 9.375%, 6/1/11 $ 255,625
----------------------------------------------------------------------------
$ 255,625
----------------------------------------------------------------------------
Information Services -- 0.0%
----------------------------------------------------------------------------
Psinet, Inc
$ 1,250 11.50%, 11/1/08* $ 81,250
----------------------------------------------------------------------------
$ 81,250
----------------------------------------------------------------------------
Lodging and Gaming -- 1.4%
----------------------------------------------------------------------------
Coast Hotels and Casino, Inc., Sr. Sub. Notes
$ 500 9.50%, 4/1/09 $ 513,750
Hollywood Casino Shreveport, 1st Mtg. Notes
500 13.00%, 8/1/06 527,500
Hollywood Casino, Sr. Sub. Notes
1,000 11.25%, 5/1/07 1,060,000
Majestic Star Casino, LLC
740 10.875%, 7/1/06 669,700
Mandalay Resort Group, Sr. Sub. Notes
1,000 10.25%, 8/1/07 1,052,500
MGM Mirage, Inc.
1,000 9.75%, 6/1/07 1,072,500
Sun International Hotels, Sr. Sub. Notes
1,000 9.00%, 3/15/07 1,015,000
----------------------------------------------------------------------------
$ 5,910,950
----------------------------------------------------------------------------
Manufacturing -- 0.5%
----------------------------------------------------------------------------
Foamex L.P.
$ 1,000 9.875%, 6/15/07 $ 665,000
Insilco Corp.
1,000 12.00%, 8/15/07 475,000
Transdigm Inc.
1,000 10.375%, 12/1/08 985,000
----------------------------------------------------------------------------
$ 2,125,000
----------------------------------------------------------------------------
Medical Services -- 0.0%
----------------------------------------------------------------------------
Magellan Health Services, Sr. Notes
$ 100 9.375%, 11/15/07 $ 102,125
----------------------------------------------------------------------------
$ 102,125
----------------------------------------------------------------------------
Oil and Gas -- Equipment and Services -- 0.3%
----------------------------------------------------------------------------
R&B Falcon Corp.
$ 500 9.50%, 12/15/08 $ 580,812
SESI, LLC
500 8.875%, 5/15/11 512,500
----------------------------------------------------------------------------
$ 1,093,312
----------------------------------------------------------------------------
Oil and Gas -- Exploration and Production -- 0.3%
----------------------------------------------------------------------------
Western Natural Gas
$ 1,000 10.00%, 6/15/09 $ 1,075,000
-----------------------------------------------------------------------------
$ 1,075,000
-----------------------------------------------------------------------------
Printing and Business Products -- 0.3%
-----------------------------------------------------------------------------
MDC Communications Corp., Sr. Sub. Notes
$ 1,250 10.50%, 12/1/06 $ 1,156,250
-----------------------------------------------------------------------------
$ 1,156,250
-----------------------------------------------------------------------------
Publishing -- 0.4%
-----------------------------------------------------------------------------
American Lawyer Media
$ 1,000 9.75%, 12/15/07 $ 935,000
Von Hoffman Press, Inc., Sr. Sub. Notes
750 10.875%, 5/15/07 678,750
-----------------------------------------------------------------------------
$ 1,613,750
-----------------------------------------------------------------------------
REITS -- 0.1%
-----------------------------------------------------------------------------
Felcor Lodging L.P., Sr. Notes
$ 375 8.50%, 6/1/11 $ 360,000
----------------------------------------------------------------------------
$ 360,000
----------------------------------------------------------------------------
Restaurants -- 0.1%
----------------------------------------------------------------------------
AFC Enterprises, Inc., Sr. Sub Notes
$ 550 10.25%, 5/15/07 $ 574,750
----------------------------------------------------------------------------
$ 574,750
----------------------------------------------------------------------------
Retail -- Food and Drug -- 0.2%
----------------------------------------------------------------------------
Pantry, Inc., Sr. Sub. Notes
$ 1,000 10.25%, 10/15/07 $ 975,000
----------------------------------------------------------------------------
$ 975,000
----------------------------------------------------------------------------
Retail -- General -- 0.2%
----------------------------------------------------------------------------
Kindercare Learning Centers, Inc., Sr. Sub. Notes
$ 1,000 9.50%, 2/15/09 $ 995,000
----------------------------------------------------------------------------
$ 995,000
----------------------------------------------------------------------------
Telecommunications -- Services -- 0.2%
----------------------------------------------------------------------------
Global Crossing Holding Ltd.
$ 1,000 9.50%, 11/15/09 $ 787,500
----------------------------------------------------------------------------
$ 787,500
----------------------------------------------------------------------------
Transportation -- 0.2%
----------------------------------------------------------------------------
Pacer International, Inc.
$ 750 11.75%, 6/1/07 $ 727,500
-----------------------------------------------------------------------------
$ 727,500
-----------------------------------------------------------------------------
Wireless Communication Services -- 0.1%
-----------------------------------------------------------------------------
Dobson/Signet Communications Corp.
$ 625 12.25%, 12/15/08 $ 634,375
-----------------------------------------------------------------------------
$ 634,375
-----------------------------------------------------------------------------
Wireless Equipment -- 0.1%
-----------------------------------------------------------------------------
SBA Communication Corp., Sr. Notes
$ 265 10.25%, 2/1/09 $ 243,800
-----------------------------------------------------------------------------
$ 243,800
-----------------------------------------------------------------------------
Wireless Communication Services --
International -- 0.2%
-----------------------------------------------------------------------------
Primus Telecom Group, Sr. Notes
$ 1,000 11.25%, 1/15/09 $ 235,000
Versatel Telecom BV, Sr. Notes
1,500 11.875%, 7/15/09 547,500
Viatel, Inc., Sr. Notes
1,000 11.50%, 3/15/09* 30,000
----------------------------------------------------------------------------
$ 812,500
----------------------------------------------------------------------------
Wireline Communication Services --
North America -- 0.2%
----------------------------------------------------------------------------
Metromedia Fiber Network, Sr. Notes
$ 500 10.00%, 11/15/08 $ 192,500
500 10.00%, 12/15/09 192,500
Williams Communications Group, Inc., Sr. Notes
1,000 10.875%, 10/1/09 410,000
----------------------------------------------------------------------------
$ 795,000
----------------------------------------------------------------------------
Total Corporate Bonds & Notes
(identified cost $46,067,022) $ 36,631,655
----------------------------------------------------------------------------
Common Stocks and Warrants -- 1.0%
Shares/
Warrants Security Value
-----------------------------------------------------------------------------
164,907 Carlyle-Key Partners, L.P.* $ 164,907
15 Key Plastics LLC Preferred Stock (Series A)* 15,231
7 KAC Mezzanine Holdings Co. Warrants Class A* 0
6 KAC Mezzanine Holdings Co. Warrants Class B* 0
488 Environmental Systems Products Holdings
Common Stock* 5,613
2,992 Environmental Systems Products Holdings
Preferred (Series A)* 34,408
3,144 Exide Corporation Warrants* 0
90,043 Imperial Home Decor Group Holding
Common Stock* 0
90,043 IHGD Realty Common Stock* 0
163 Tokheim Corporation Preferred Stock (Series A)* 0
11,086 Tokheim Corporation Stock Warrants* 0
500,000 Van Kampen Senior Income Trust 3,900,000
----------------------------------------------------------------------------
Total Common Stocks and Warrants
(identified cost $4,416,307) $ 4,085,751
----------------------------------------------------------------------------
Total Investments -- 113.4%
(identified cost, $506,203,350) $ 484,977,023
----------------------------------------------------------------------------
Other Assets, Less Liabilities -- (13.4%) $ (57,332,383)
----------------------------------------------------------------------------
Net Assets -- 100% $ 427,644,640
----------------------------------------------------------------------------
(1) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(2) Senior secured floating rate interests often require prepayments from excess
cash flows or permit the borrower to repay at its election. The degree to
which borrowers repay, whether as a contractual requirement or at 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 secured floating rate
intrests will have an expected average life of approximately two to four
years.
* Non-income producing.
Note: At June 30, 2001, the Trust had unfunded commitments amounting to
$5,118,659 under various revolving credit agreements.
See notes to financial statements.
EATON VANCE SENIOR INCOME TRUST as of June 30, 2001
---------------------------------------------------------------------------
FINANCIAL STATEMENTS
---------------------------------------------------------------------------
Statement of Assets and Liabilities
As of June 30, 2001
Assets
---------------------------------------------------------------------------
Investments, at value
(identified cost, $506,203,350) $484,977,023
Cash 10,950,134
Receivable for investments sold 8,848
Dividends and interest receivable 3,659,789
Prepaid expenses 64,035
---------------------------------------------------------------------------
Total assets $499,659,829
---------------------------------------------------------------------------
Liabilities
---------------------------------------------------------------------------
Amounts due under commercial paper program $ 71,000,000
Miscellaneous liabilities 149,566
Deferred facility fee income 33,973
Payable to affiliate for Trustees' fees 5,435
Accrued expenses:
Interest 485,656
Operating expense 340,559
---------------------------------------------------------------------------
Total liabilities $ 72,015,189
---------------------------------------------------------------------------
Net Assets $427,644,640
---------------------------------------------------------------------------
Sources of Net Assets
---------------------------------------------------------------------------
Auction Preferred Shares, $0.01 par value; unlimited
number of shares authorized, 4,400 shares issued and
outstanding at $25,000 per share $110,000,000
Common Shares, $0.01 par value; unlimited number of shares
authorized 35,866,282 shares issued and outstanding 358,663
Additional paid-in capital 356,157,913
Accumulated net realized loss (computed on the basis of
identified cost) (20,036,138)
Accumulated undistributed net investment income 2,390,529
Net unrealized depreciation (computed on the basis
of identified cost) (21,226,327
---------------------------------------------------------------------------
Net Assets $427,644,640
---------------------------------------------------------------------------
Net assets applicable to preferred shareholders --
Auction Preferred Shares at liquidation value $110,000,000
Cumulative undeclared dividends 47,014
---------------------------------------------------------------------------
Total net assets $110,047,014
---------------------------------------------------------------------------
Net assets applicable to common shareholders $317,597,626
---------------------------------------------------------------------------
Total net assets $427,644,640
---------------------------------------------------------------------------
Net Asset Value Per Common Share
---------------------------------------------------------------------------
($317,597,626 / 35,866,282 common shares
issued and outstanding) $ 8.86
---------------------------------------------------------------------------
Statement of Operations
For the Year Ended
June 30, 2001
Investment Income
----------------------------------------------------------------------------
Interest $ 44,711,061
Dividends 421,150
Facility fees earned 555,651
Miscellaneous 28,349
----------------------------------------------------------------------------
Total investment income $ 45,716,211
----------------------------------------------------------------------------
Expenses
----------------------------------------------------------------------------
Investment adviser fee $ 3,992,329
Administration fee 1,174,160
Trustees' fees and expenses 19,280
Interest 8,321,140
Custodian fee 193,787
Legal and accounting services 167,372
Printing and postage 103,555
Loan program structuring expense 89,585
Transfer and dividend disbursing agent fees 64,215
Registration fees 34,902
Preferred shares remarketing agent fee 3,014
Miscellaneous 433,865
----------------------------------------------------------------------------
Total expenses $ 14,597,204
----------------------------------------------------------------------------
Net investment income $ 31,119,007
----------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
----------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $(18,671,667)
----------------------------------------------------------------------------
Net realized loss $(18,671,667)
----------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $(13,758,281)
----------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) $(13,758,281)
----------------------------------------------------------------------------
Net realized and unrealized loss $(32,429,948)
----------------------------------------------------------------------------
Net decrease in net assets from operations $ (1,310,941)
----------------------------------------------------------------------------
See notes to financial statements.
EATON VANCE SENIOR INCOME TRUST as of June 30, 2001
--------------------------------------------------------------------------------
FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
Statements of Changes in Net Assets
Increase (Decrease) Year Ended Year Ended
in Net Assets June 30, 2001 June 30, 2000
--------------------------------------------------------------------------------------------------
From operations --
Net investment income $ 31,119,007 $ 30,956,473
Net realized loss (18,671,667) (1,240,715)
Net change in unrealized appreciation
(depreciation) (13,758,281) (8,344,561)
--------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from
operations $ (1,310,941) $ 21,371,197
--------------------------------------------------------------------------------------------------
Distributions to shareholders --
Common Shareholders --
From net investment income $ (31,484,729) $ (30,851,144)
In excess of net realized gains -- (422,676)
--------------------------------------------------------------------------------------------------
Total distributions to shareholders $ (31,484,729) $ (31,273,820)
--------------------------------------------------------------------------------------------------
Capital share transactions --
Proceeds from sale of preferred shares $ 110,000,000 $ --
Reinvestment of distributions to shareholders 1,875,187 --
Offering costs and preferred shares underwriting
discounts (1,237,500) --
--------------------------------------------------------------------------------------------------
Net increase in net assets from
capital share transactions $ 110,637,687 $ --
--------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets $ 77,842,017 $ (9,902,623)
--------------------------------------------------------------------------------------------------
Net Assets
--------------------------------------------------------------------------------------------------
At beginning of year $ 349,802,623 $ 359,705,246
--------------------------------------------------------------------------------------------------
At end of year $ 427,644,640 $ 349,802,623
--------------------------------------------------------------------------------------------------
Accumulated undistributed
net investment income
included in net assets
--------------------------------------------------------------------------------------------------
At end of year $ 2,390,529 $ 2,756,251
--------------------------------------------------------------------------------------------------
Statement of Cash Flows
Year Ended
Increase (Decrease) in Cash June 30, 2001
-------------------------------------------------------------------------------------------
Cash Flows From (Used For) Operating Activities --
Purchases of loan interests and corporate bonds $ (333,608,350)
Proceeds from sales and principal repayments 268,189,039
Interest and dividends received 46,106,701
Facility fees received (697,723)
Miscellaneous income received 37,099
Interest paid (8,542,852)
Prepaid (14,588)
Operating expenses paid (6,124,244)
Net increase in short-term investments 18,699,922
-------------------------------------------------------------------------------------------
Net cash used for operating activities $ (15,954,996)
-------------------------------------------------------------------------------------------
Cash Flows From (Used For) Financing Activities --
Proceeds from preferred shares sold 110,000,000
Offering costs and preferred shares underwriting discount (1,237,500)
Cash distributions paid (29,722,182)
Net decrease in amounts due under commercial paper program (58,000,000)
-------------------------------------------------------------------------------------------
Net cash from financing activities $ 21,040,318
-------------------------------------------------------------------------------------------
Net increase in cash $ 5,085,322
-------------------------------------------------------------------------------------------
Cash at beginning of year $ 5,864,812
-------------------------------------------------------------------------------------------
Cash at end of year $ 10,950,134
-------------------------------------------------------------------------------------------
Reconciliation of Net Decrease in Net Assets
From Operations to Net Cash
Used for Operating Activities
-------------------------------------------------------------------------------------------
Net decrease in net assets from operations $ (1,310,941)
Decrease in receivable for investments sold 1,051,235
Increase in dividends and interest receivable 974,490
Increase in prepaid expenses (14,588)
Decrease in deferred facility fee income (1,272,484)
Increase in miscellaneous liability 8,750
Decrease in payable to affiliate (1,142)
Decrease in accrued expenses (68,750)
Decrease in payable for investments purchased (2,575,625)
Net increase in investments (12,745,941)
-------------------------------------------------------------------------------------------
Net cash used for operating activities $ (15,954,996)
-------------------------------------------------------------------------------------------
See notes to financial statements.
Financial Highlights
Year Ended June 30,
2001(1) 2000 1999(1)(2)
----------------------------------------------------------------------------------------------------------------------
Net asset value -- Beginning of year (Common Shares) $ 9.810 $ 10.090 $ 10.000
----------------------------------------------------------------------------------------------------------------------
Income (loss) from operations
----------------------------------------------------------------------------------------------------------------------
Net investment income $ 0.872 $ 0.868 $ 0.539
Net realized and unrealized gain (loss) (0.908) (0.271) 0.036
----------------------------------------------------------------------------------------------------------------------
Total income from operations $ (0.036) $ 0.597 $ 0.575
----------------------------------------------------------------------------------------------------------------------
Less distributions
----------------------------------------------------------------------------------------------------------------------
From net investment income $ (0.882) $ (0.865) $ (0.465)
In excess of net investment income -- (0.012) $ --
----------------------------------------------------------------------------------------------------------------------
Total distributions $ (0.882) $ (0.877) $ (0.465)
----------------------------------------------------------------------------------------------------------------------
Preferred and Common shares offering costs charged to paid-in capital $ (0.001) $ -- $ (0.020)
----------------------------------------------------------------------------------------------------------------------
Preferred Shares underwriting discounts $ (0.031) $ -- $ --
----------------------------------------------------------------------------------------------------------------------
Net asset value -- End of year (Common Shares) $ 8.860 $ 9.810 $ 10.090
----------------------------------------------------------------------------------------------------------------------
Market value -- End of year (Common Shares) $ 8.940 $ 9.313 $ 10.000
----------------------------------------------------------------------------------------------------------------------
Total Return(3) 5.65% 2.00% 4.93%
----------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data+++
----------------------------------------------------------------------------------------------------------------------
Net assets, end of year (000's omitted) $ 427,645 $ 349,803 $ 359,705
Ratios (As a percentage of net assets attributable to common shares):
Net expenses(4) 1.89% 1.84% 1.65%(5)
Interest expense 2.50% 2.41% 2.02%(5)
Total expense(4) 4.39% 4.25% 3.67%
Net investment income(4) 9.37% 8.73% 8.17%(5)
Portfolio Turnover 37% 63% 27%
----------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Trust may reflect a reduction of the investment
adviser fee and the administation fee. Had such actions not been taken, the
ratios and net investment income per share would have been as follows:
Ratios (As a percentage of net assets attributable to common shares):
Expenses 1.97%(5)
Interest expense 2.02%(5)
Net investment income 7.85%(5)
Net investment income per share $ 0.518
++ 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 the preferred
shares, are as follows:
Ratios (As a percentage of average total net assets):
Net expenses(4) 1.88%
Interest expense 2.50%
Total expenses(4) 4.38%
Net investment income(4) 9.33%
----------------------------------------------------------------------------------------------------------------------
Senior Securities:
Total preferred shares outstanding $ 4,400
Asset coverage per preferred shares(6) $ 97,192
Involuntary liquidation preference per preferred share(7) $ 25,000
Approximate market value per preferred share(7) $ 25,000
----------------------------------------------------------------------------------------------------------------------
(1) Net investment income per share was computed using average shares outstanding.
(2) For the period from the start of business, October 30, 1998, to June 30, 1999.
(3) Total return is calculated assuming a purchase at market value on the first day and a sale at the market value on
the last day of the period reported. Dividends and distributions, if any, are assumed reinvested on the
reinvestment date. 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) Annualized.
(6) 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.
(7) Plus accumulated and unpaid dividends.
See notes to financial statements
EATON VANCE SENIOR INCOME TRUST as of June 30, 2001
--------------------------------------------------------------------------------
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,
secured 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.
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 reputation 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. Other portfolio
securities (other than short-term obligations, but including listed issues)
may be valued on the basis of prices furnished by one or more pricing services
which determine prices for normal, institutional-size trading units of such
securities using market information, transactions for comparable securities
and various relationships between securities which are generally recognized by
institutional traders. In certain circumstances, portfolio securities will be
valued at the last sales price on the exchange that is the primary market for
such securities, or the last quoted bid price for those securities for which
the over-the-counter market is the primary market or for listed securities in
which there were no sales during the day. The value of interest rate swaps is
determined by changes in the relationship between two rates of interest.
Short-term obligations which mature in sixty days or less are valued at
amortized cost, if their original term to maturity when acquired by the 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 when required for federal income tax purposes. Facility
fees received are recognized as income over the expected term of the loan.
Dividend income is recorded on the ex-dividend date for dividends received in
cash and/or securities. The Trust will adopt the provision of the AICPA Audit
and Accounting Guide for Investment Companies, as revised, effective for
fiscal years beginning after December 15, 2000. As required, the Trust will
begin accreting market discounts on debt securities effective July 1, 2001.
Prior to this date, the Trust did not accrete market discounts on debt
securities. The cumulative effect of this accounting change will have no
impact on the total net assets of the Trust. The impact of this accounting
change has not been determined but will result in an increase to cost of
securities and a corresponding increase in net unrealized depreciation based
on securities held as of June 30, 2001.
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, 2001, the Trust, for federal income
tax purposes, had a capital loss carryover of $1,925,241, which 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 distributions to shareholders that would
otherwise be necessary to relieve the Trust of any liability for federal
income or excise tax. Such capital loss carryover will expire on June 30,
2009.
D 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 significant credit balances used to
reduce the Trust's custodian fees are reported as a reduction of expenses on
the Statement of Operations.
E 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.
F Offering Costs -- Costs incurred by the Trust in connection with the initial
offering of Trust shares were recorded as a reduction of paid-in capital.
G 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 additional paid-in capital. Dividends on the APS, which accrue
daily, are paid cumulativly 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, 2001 were 3.90% and 3.90% 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 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 Auction Preferred Shares
is generally seven days. The applicable dividend rate for the Auction
Preferred Shares on June 30, 2001 was 3.90% and 3.90%, for Series A and Series
B Shares, respectively. For the year ended June 30, 2001, the Trust accrued
dividends to Auction Preferred shareholders amounting to $23,507 and $23,507
for Series A and Series B Shares, respectively, representing an average APS
dividend rate for such period of 3.90% and 3.90%, 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,
2001 2000
--------------------------------------------------------------------------------
Issued to shareholders electing to
receive payments of
distributions in Fund common
shares 206,282 --
--------------------------------------------------------------------------------
Net increase 206,282 --
--------------------------------------------------------------------------------
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, 2001, the fee was equivalent to 0.85% of
the Trust's average daily gross assets and amounted to $3,992,329. 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, 2001, the fee was equivalent to 0.25% of the Trust's average daily
gross assets for such period and amounted to $1,174,160.
Certain officers and Trustees of the Trust are officers of the above
organization.
During the year ended June 30, 2001, the Trust engaged in purchases
transactions with other Funds that also utilize EVM, or an affiliate of EVM,
as an investment adviser. These purchase transactions complied with Rule 17-
a7 under the Investment Company Act of 1940 and amounted to $14,000,000.
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 and corporate
bonds aggregated $330,050,045 and $165,840,460, respectively, for the year
ended June 30, 2001.
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 (reduced from $178 million on June 27, 2001) 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 a commitment fee of approximately
$268,000 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, 2001, the Trust had
commercial paper outstanding of $71,000,000, at an interest rate of 4.15%.
Maximum and average borrowings for the year ended June 30, 2001 were
$146,000,000 and $135,000,000, respectively, and the average interest rate was
5.89%.
8 Federal Income Tax Basis of Investments
--------------------------------------------------------------------------------
The cost and unrealized appreciation (depreciation) in value of the investment
securities at June 30, 2001, as computed on a federal income tax basis, were
as follows:
Aggregate cost $506,203,350
--------------------------------------------------------------------------------
Gross unrealized appreciation $ 3,001,539
Gross unrealized depreciation (24,227,866)
--------------------------------------------------------------------------------
Net unrealized depreciation $(21,226,327)
--------------------------------------------------------------------------------
EATON VANCE SENIOR INCOME TRUST as of June 30, 2001
--------------------------------------------------------------------------------
INDEPENDENT AUDITORS' REPORT
--------------------------------------------------------------------------------
To the Trustees and Investors
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, 2001, and the related statement of operations and cash flows for the
year then ended, the statement of changes in net assets and the financial
highlights for the three-year period ended June 30, 2001. 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 auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. Our
procedures included confirmation of securities and Senior Loans owned at June
30, 2001 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 provides 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, 2001, 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 10, 2001
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 Global Fund
Services 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 Global
Fund Services, at 1-800-331-1710.
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 Global Fund Services
P.O. Box 8030
Boston, MA 02266-8030
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, 2001, our records indicate that there were 338 registered
shareholders for and approximately 16,600 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 EXHANGE SYMBOL The New York Stock Exchange Symbol is EVF.
EATON VANCE SENIOR INCOME TRUST as of June 30, 2001
--------------------------------------------------------------------------------
INVESTMENT MANAGEMENT
--------------------------------------------------------------------------------
Eaton Vance Senior Income Trust
Officers Trustees
JAMES B. HAWKES JESSICA M. BIBLIOWICZ
President, Chief Executive President and Chief Executive Officer,
Officer and Trustee National Financial Partners
SCOTT H. PAGE DONALD R. DWIGHT
Vice President and President, Dwight Partners, Inc.
Co-Portfolio Manager
SAMUEL L. HAYES, III
PAYSON F. SWAFFIELD Jacob H. Schiff Professor of Investment
Vice President and Banking Emeritus, Harvard University
Co-Portfolio Manager Graduate School of Business Administration
MICHAEL W. WEILHEIMER NORTON H. REAMER
Vice President Chairman and Chief Operating Officer,
Hellman, Jordan Management Co., Inc.
President, Jordan Simmons Capital LLC
JAMES L. O'CONNOR and Unicorn Corporation
Treasurer
LYNN A. STOUT
ALAN R. DYNNER Professor of Law,
Secretary UCLA School of Law
JACK L. TREYNOR
Investment Adviser and Consultant
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 AND DIVIDEND DISBURSING AGENT
PFPC, INC.
Attn: Eaton Vance Senior Income Trust
P.O. Box 8030
Boston, MA 02266-8030
(800) 331-1710
INDEPENDENT AUDITORS
DELOITTE & Touche LLP
200 Berkeley Street
Boston, MA 02116-5022
--------------------------------------------------------------------------------
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:
o Only such information received from you, through application forms or
otherwise, and information about your Eaton Vance fund transactions will be
collected.
o 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).
o 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
--------------------------------------------------------------------------------
EATON VANCE SENIOR INCOME TRUST
THE EATON VANCE BUILDING
255 STATE STREET
BOSTON, MA 02109
171-8/01 SITSRC