N-30D 1 d582791.txt EV INST. SR. FLOATING RATE - 06/30/02 [logo] EATON VANCE(R) =================== MANAGED INVESTMENTS [graphic omitted] Semiannual Report June 30, 2002 EATON VANCE INSTITUTIONAL SENIOR FLOATING-RATE FUND IMPORTANT NOTICE REGARDING DELIVERY OF SHAREHOLDER DOCUMENTS The Securities and Exchange Commission (SEC) permits mutual funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called "householding" and it helps eliminate duplicate mailings to shareholders. EATON VANCE, OR YOUR FINANCIAL ADVISER, MAY HOUSEHOLD THE MAILING OF YOUR DOCUMENTS INDEFINITELY UNLESS YOU INSTRUCT EATON VANCE, OR YOUR FINANCIAL ADVISER, OTHERWISE. If you would prefer that your Eaton Vance documents not be householded, please contact Eaton Vance at 1-800-262-1122, or contact your financial adviser. Your instructions that householding not apply to delivery of your Eaton Vance documents will be effective within 30 days of receipt by Eaton Vance or your financial adviser. EATON VANCE INSTITUTIONAL SENIOR FLOATING-RATE FUND AS OF JUNE 30, 2002 INVESTMENT UPDATE INVESTMENT ENVIRONMENT -------------------------------------------------------------------------------- THE LOAN MARKET o The first half of 2002 was characterized by continuing poor credit conditions, rising default rates, historically low interest rates and volatile equity and high-yield bond markets. In contrast, the loan markets were relatively stable and again posted positive total returns. o Floating-rate loans are priced at a spread over LIBOR (London Interbank Offered Rate), historically fluctuating with changes in the Federal Funds rate, which the Federal Reserve cut by 475 basis points (4.75%) in 2001. Despite the possibility of another cut by the Fed, short-term rates remain near 40-year lows. As the effect of lower rates takes hold and primes the pump of the U.S. economy, we believe it is only a matter of time before short term rates rise. In contrast to other income producing vehicles, such as bonds, a rising rate secenario could benefit floating-rate loans. o Credit difficulties within the corporate sector have resulted in higher "due diligence" standards among investors and tighter loan covenants for borrowers. We believe this is a positive development for the loan market and should result in improved loan quality in future deals brought to market. THE FUND -------------------------------------------------------------------------------- PERFORMANCE FOR THE PERIOD o The Fund distributed $0.221 in income dividends during the six months ended June 30, 2002. Based on a $9.09 net asset value on June 30, 2002, the Fund had a distribution rate of 4.80%.1 The Fund's SEC 30-day yield at June 30 was 4.39%.(2) o The Fund had a six-month total return of 1.32%.3 That return slightly outperformed the 0.80% return of the CSFB Leveraged Loan Index, a representative index of tradable, senior-secured, U.S. dollar-denominated leveraged loans.(4) THE PORTFOLIO'S INVESTMENTS o Amid an increasingly uncertain economic outlook, management continued to emphasize broad diversification. The Portfolio had investments in 51 different industries and 313 borrowers at June 30. The average loan as a percentage of the Portfolio's total net assets was 0.27%. With an interest-rate-reset ratio of just 52 days, the Portfolio is well positioned to respond to a potential uptick in short-term rates. o The Portfolio benefited from a continued underweighting in the telecom sector, as management pared its exposure dramatically last year. Within the telecom sector, management avoided the particularly problematic areas of broadband and competitive local exchange carriers. o Two large cable television holdings proved a drag on performance. Adelphia Communications, the subject of some financial misdeeds, filed Chapter 11. Nonetheless, we believe that Adelphia's core business remains stable and attractive to potential buyers, and we currently believe there is strong potential for a full par recovery. Charter Communications, another large holding, was untainted by scandal, but moved lower with other cable companies. We remain believers in the compelling fundamentals of the cable sector and expect the sector to recover fully over the long term. o In a poor credit climate, floating-rate loans have continued to provide an added measure of security. Loans are typically senior and secured. First, they are senior, which means that they rank high in the corporate capital structure and that lenders will be paid before bondholders and other subordinated lenders. Second, they are secured, which means that the loans are backed by collateral, such as accounts receivable, inventory, facilities, and intangibles. Historically, that has improved recovery rates when compared to bonds and other subordinated debt. o Given the recent volatility in the financial markets and increasing investor anxiety, the loan market has been an excellent vehicle for diminishing the risk of a diversified investment portfolio. While demonstrating much less volatility than other financial assets, floating-rate loans have continued to provide a significant yield advantage over other short-term income vehicles. Fund Information as of June 30, 2002 Performance(3) Average Annual Total Returns (at net asset value) One year 1.89% Life of Fund (5/7/99) 4.07 Five Largest Industry Weightings(5) Cable Television 7.7% Chemicals 6.4% Manufacturing 5.5% Real Estate 5.0% Commercial Services 4.3% (1) The Fund's distribution rate represents actual distributions paid to shareholders and is calculated daily by dividing the last distribution per share (annualized) by the offering price. 2 The Fund's SEC yield is calculated by dividing the net investment income per share for the 30-day period by the offering price at the end of the period and annualizing the result. 3 Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. 4 It is not possible to invest directly in a Lipper Classification or Index. 5 Industry weightings are subject to change due to active management. Five Largest Industry Weightings account for 28.9% of the Portfolio's investments, determined by dividing the total market value of the holdings by the total net assets of the Portfolio. Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that shares, when repurchased, may be worth more or less than their original cost. -------------------------------------------------------------------------------- Shares of the Fund 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 vary. -------------------------------------------------------------------------------- EATON VANCE INSTITUTIONAL SENIOR FLOATING-RATE FUND AS OF JUNE 30, 2002 FINANCIAL STATEMENTS (UNAUDITED) STATEMENT OF ASSETS AND LIABILITIES AS OF JUNE 30, 2002 ASSETS -------------------------------------------------------------------------------- Investment in Senior Debt Portfolio, at value (identified cost, $52,960,117) $49,118,230 Receivable for Fund shares sold 87,800 Receivable from the Administrator 49,280 -------------------------------------------------------------------------------- TOTAL ASSETS $49,255,310 -------------------------------------------------------------------------------- LIABILITIES -------------------------------------------------------------------------------- Dividends payable $ 127,421 Payable to affiliate for Trustees' fees 1,752 Accrued expenses 86,133 -------------------------------------------------------------------------------- TOTAL LIABILITIES $ 215,306 -------------------------------------------------------------------------------- NET ASSETS FOR 5,394,249 SHARES OF BENEFICIAL INTEREST OUTSTANDING $49,040,004 -------------------------------------------------------------------------------- SOURCES OF NET ASSETS -------------------------------------------------------------------------------- Paid-in capital $59,969,168 Accumulated net realized loss from Portfolio (computed on the basis of identified cost) (7,098,834) Accumulated undistributed net investment income 11,557 Net unrealized depreciation from Portfolio (computed on the basis of identified cost) (3,841,887) -------------------------------------------------------------------------------- TOTAL $49,040,004 -------------------------------------------------------------------------------- NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE -------------------------------------------------------------------------------- ($49,040,004 / 5,394,249 SHARES OF BENEFICIAL INTEREST OUTSTANDING) $ 9.09 -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2002 INVESTMENT INCOME -------------------------------------------------------------------------------- Interest allocated from Portfolio $ 1,232,467 Facility fee income allocated from Portfolio 2,626 Expenses allocated from Portfolio (113,430) -------------------------------------------------------------------------------- NET INVESTMENT INCOME FROM PORTFOLIO $ 1,121,663 -------------------------------------------------------------------------------- EXPENSES -------------------------------------------------------------------------------- Administration fee $ 23,797 Trustees' fees and expenses 2,714 Registration fees 45,120 Printing and postage 16,122 Legal and accounting services 10,093 Transfer and dividend disbursing agent fees 8,812 Custodian fee 2,597 Miscellaneous 3,606 -------------------------------------------------------------------------------- TOTAL EXPENSES $ 112,861 -------------------------------------------------------------------------------- Deduct -- Preliminary allocation of expenses to the Administrator $ 49,280 -------------------------------------------------------------------------------- TOTAL EXPENSE REDUCTIONS $ 49,280 -------------------------------------------------------------------------------- NET EXPENSES $ 63,581 -------------------------------------------------------------------------------- NET INVESTMENT INCOME $ 1,058,082 -------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) FROM PORTFOLIO -------------------------------------------------------------------------------- Net realized gain (loss) -- Investment transactions (identified cost basis) $ (954,638) -------------------------------------------------------------------------------- NET REALIZED LOSS $ (954,638) -------------------------------------------------------------------------------- Change in unrealized appreciation (depreciation) -- Investments (identified cost basis) $ 530,788 Interest rate swap contracts (14,327) -------------------------------------------------------------------------------- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) $ 516,461 -------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED LOSS $ (438,177) -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 619,905 -------------------------------------------------------------------------------- See notes to financial statements EATON VANCE INSTITUTIONAL SENIOR FLOATING-RATE FUND AS OF JUNE 30, 2002 FINANCIAL STATEMENTS CONT'D STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED INCREASE (DECREASE) JUNE 30, 2002 YEAR ENDED IN NET ASSETS (UNAUDITED) DECEMBER 31, 2001 ----------------------------------------------------------------------------------------- From operations -- Net investment income $ 1,058,082 $ 5,968,026 Net realized loss (954,638) (4,476,214) Net change in unrealized appreciation (depreciation) 516,461 1,083,361 ----------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 619,905 $ 2,575,173 ----------------------------------------------------------------------------------------- Distributions to shareholders -- From net investment income $ (1,149,073) $ (5,962,736) ----------------------------------------------------------------------------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS $ (1,149,073) $ (5,962,736) ----------------------------------------------------------------------------------------- Transactions in shares of beneficial interest -- Proceeds from sale of shares $ 11,634,268 $ 44,019,623 Net asset value of shares issued to shareholders in payment of distributions declared 457,172 2,830,030 Cost of shares redeemed (16,061,129) (138,174,573) ----------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS $ (3,969,689) $ (91,324,920) ----------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS $ (4,498,857) $ (94,712,483) ----------------------------------------------------------------------------------------- NET ASSETS ----------------------------------------------------------------------------------------- AT BEGINNING OF PERIOD $ 53,538,861 $ 148,251,344 ----------------------------------------------------------------------------------------- AT END OF PERIOD $ 49,040,004 $ 53,538,861 ----------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED NET INVESTMENT INCOME INCLUDED IN NET ASSETS ----------------------------------------------------------------------------------------- AT END OF PERIOD $ 11,557 $ 102,548 -----------------------------------------------------------------------------------------
STATEMENT OF CASH FLOWS
SIX MONTHS ENDED JUNE 30, 2002 INCREASE (DECREASE) IN CASH (UNAUDITED) ----------------------------------------------------------------------------------------- Cash Flows From (Used For) Operating Activities -- Purchase of interests in Senior Debt Portfolio (11,600,594) Withdrawal of interests in Senior Debt Portfolio 16,859,914 Operating expenses paid (96,052) ----------------------------------------------------------------------------------------- NET CASH FROM OPERATING ACTIVITIES $ 5,163,268 ----------------------------------------------------------------------------------------- Cash Flows From (Used For) Financing Activities -- Proceeds from shares sold $ 11,600,594 Payments for shares repurchased $ (16,061,129) Cash distributions paid (excluding reinvestments of distributions of $457,172) (702,733) ----------------------------------------------------------------------------------------- NET CASH USED FOR FINANCING ACTIVITIES $ (5,163,268) ----------------------------------------------------------------------------------------- NET INCREASE IN CASH $ -- ----------------------------------------------------------------------------------------- CASH AT BEGINNING OF PERIOD $ -- ----------------------------------------------------------------------------------------- CASH AT END OF PERIOD $ -- ----------------------------------------------------------------------------------------- RECONCILIATION OF NET INCREASE IN NET ASSETS FROM OPERATIONS TO NET CASH FROM OPERATING ACTIVITIES ----------------------------------------------------------------------------------------- Net increase in net assets from operations $ 619,905 Increase in receivable from the Administrator (49,280) Increase in payable to affiliate 689 Increase in accrued expenses 16,120 Net decrease in investments 4,575,834 ----------------------------------------------------------------------------------------- NET CASH FROM OPERATING ACTIVITIES $ 5,163,268 -----------------------------------------------------------------------------------------
See notes to financial statements EATON VANCE INSTITUTIONAL SENIOR FLOATING-RATE FUND AS OF JUNE 30, 2002 FINANCIAL STATEMENTS CONT'D Financial Highlights (Expressed in United States Dollars)
SIX MONTHS ENDED YEAR ENDED DECEMBER 31, JUNE 30, 2002 ------------------------------------------------------------- (UNAUDITED) 2001 2000 1999(1) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value -- Beginning of period $ 9.190 $ 9.540 $ 9.920 $10.000 ------------------------------------------------------------------------------------------------------------------------------------ INCOME (LOSS) FROM OPERATIONS ------------------------------------------------------------------------------------------------------------------------------------ Net investment income $ 0.206 $ 0.641 $ 0.821 $ 0.472 Net realized and unrealized loss (0.085) (0.362) (0.385) (0.081) ------------------------------------------------------------------------------------------------------------------------------------ TOTAL INCOME FROM OPERATIONS $ 0.121 $ 0.279 $ 0.436 $ 0.391 ------------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS ------------------------------------------------------------------------------------------------------------------------------------ From net investment income $ (0.221) $ (0.629) $ (0.816) $ (0.471) ------------------------------------------------------------------------------------------------------------------------------------ TOTAL DISTRIBUTIONS $ (0.221) $ (0.629) $ (0.816) $ (0.471) ------------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE -- END OF PERIOD $ 9.090 $ 9.190 $ 9.540 $ 9.920 ------------------------------------------------------------------------------------------------------------------------------------ TOTAL RETURN(2) 1.32% 2.98% 4.49% 4.00% ------------------------------------------------------------------------------------------------------------------------------------ RATIOS/SUPPLEMENTAL DATA+ ------------------------------------------------------------------------------------------------------------------------------------ Net assets, end of period (000's omitted) $ 49,040 $ 53,539 $ 148,300 $ 99,348 Ratios (As a percentage of average daily net assets): Net operating expenses(3) 0.74%(4) 0.73% 0.74% 0.74%(4) Interest expense(3) 0.01%(4) 0.01% 0.01% 0.01%(4) Net investment income 4.48%(4) 6.93% 8.35% 7.41%(4) Portfolio Turnover of the Portfolio 23% 33% 47% 64% ------------------------------------------------------------------------------------------------------------------------------------ +The operating expenses of the Fund reflect an allocation of expenses to the Administrator. Had such action not been taken, the ratios and net investment income per share would have been as follows: Ratios (As a percentage of average daily net assets): Operating expenses(3) $0.95%(4) -- -- 1.08%(4) Interest expense(3) 0.01%(4) -- -- 0.01%(4) Net investment income 4.27%(4) -- -- 7.07%(4) Net investment income per share $ 0.196 -- -- $ 0.455 ------------------------------------------------------------------------------------------------------------------------------------ (1) For the period from the start of business, May 7, 1999, to December 31, 1999. (2) Total return is calculated assuming a purchase at net asset value on the first day and a sale at the net asset value on the last day of each period reported. Dividends and distributors, if any, are assumed reinvested at the net asset value on the reinvestment date. Total return is not computed on an annual basis. (3) Includes the Fund's share of the Portfolio's expenses. (4) Annualized.
EATON VANCE INSTITUTIONAL SENIOR FLOATING-RATE FUND AS OF JUNE 30, 2002 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 1 Significant Accounting Policies -------------------------------------------------------------------------------- Eaton Vance Institutional Senior Floating-Rate Fund (the Fund) was formed under a Declaration of Trust dated February 22, 1999. The Fund is an entity of the type commonly known as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as a non- diversified closed-end management investment company. The Fund invests all of its investable assets in interests in the Senior Debt Portfolio (the Portfolio), a New York Trust, having the same investment objective as the Fund. The value of the Fund's investment in the Portfolio reflects the Fund's proportionate interest in the net assets of the Portfolio (0.99% at June 30, 2002). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including the portfolio of investments, are included elsewhere in this report and should be read in conjunction with the Fund's financial statements. The following is a summary of significant accounting policies consistently followed by the Fund 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 -- Valuation of securities by the Portfolio is discussed in Note 1A of the Portfolio's Notes to Financial Statements which are included elsewhere in this report. B Income -- The Fund's net investment income consists of the Fund's pro-rata share of the net investment income of the Portfolio, less all actual and accrued expenses of the Fund determined in accordance with accounting principles generally accepted in the United States of America. C Federal Taxes -- The Fund'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 December 31, 2001, the Fund, for federal income tax purposes had a capital loss carryover of $6,048,323 which will expire on December 31, 2007 ($64,678), December 31, 2008 ($1,607,853) and December 31, 2009 ($4,375,792). This amount will reduce taxable income arising from future net realized gain on investments, if any, to the extent permitted by the Internal Revenue Code, and thus will reduce the amount of the distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. D Use of Estimates -- The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates. E Expense Reduction -- Investors Bank & Trust Company (IBT) serves as custodian to the Fund and the Portfolio. Pursuant to the respective custodian agreements, IBT receives a fee reduced by credits which are determined based on the average daily cash balances the Fund or the Portfolio maintains with IBT. All significant credit balances used to reduce the Fund's custodian fees are reported as a reduction of total expenses in the Statement of Operations. F Other -- Investment transactions are accounted for on a trade date basis. G Interim Financial Statements -- The Interim financial statements relating to June 30, 2002 and for the six months then ended have not been audited by independent certified public accountants, but in the opinion of the Fund's management reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements. 2 Distributions to Shareholders -------------------------------------------------------------------------------- The net investment income of the Fund is determined daily, and substantially all of the net investment income so determined is declared daily as a dividend to shareholders of record at the time of declaration. Such daily dividends will be paid monthly. Distributions of realized capital gains, if any, are made at least annually. Shareholders may reinvest capital gain distributions in additional shares of the Fund at the net asset value as of the ex-dividend date. Distributions are paid in the form of additional shares or, at the election of the shareholder, in cash. The Fund distinguishes between distributions on a tax basis and a financial reporting basis. Accounting principles generally accepted in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid-in capital. 3 Shares of Beneficial Interest -------------------------------------------------------------------------------- The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). The Fund operates as an interval fund, meaning that it continuously accepts new shareholder investments but permits share repurchases (of at least 5% and up to 25% or more of its shares) at net asset value only once a quarter. It is a fundamental policy of the Fund (which may only be changed by shareholder vote) that the Fund will conduct repurchase offers ending on a date (fixed by the Trustees) in the months of January, April, July and October and the repurchase price will be determined no more than 14 days following the repurchase request deadline. Payment for all shares repurchased pursuant to these offers normally will be made not later than 7 days after the repurchase pricing date. Shareholders will be sent notification of each repurchase offer at least 21 days prior to the repurchase request deadline. During the six months ended June 30, 2002, the Fund made two repurchase offers as follows: REPURCHASE AMOUNT OFFER AMOUNT REPURCHASED REPURCHASE --------------------------- ---------------------------- REQUEST DEADLINE SHARES AMOUNT SHARES AMOUNT ---------------------------------------------------------------------------- January 23, 2002 13,975,445 $128,434,343 1,276,413 $11,733,733 April 5, 2002 12,937,680 $118,638,529 471,916 $ 4,327,396 ---------------------------------------------------------------------------- TOTAL 26,913,125 $247,072,872 1,748,329 $16,061,129 ---------------------------------------------------------------------------- All transactions in Fund shares were as follows: SIX MONTHS ENDED YEAR ENDED JUNE 30, 2002 DECEMBER 31, (UNAUDITED) 2001 ---------------------------------------------------------------------------- Sales 1,267,524 4,670,809 Issued to shareholders electing to receive payments of distributions in Fund shares 49,860 300,216 Repurchases (1,748,329) (14,691,854) ---------------------------------------------------------------------------- NET DECREASE (430,945) (9,720,829) ---------------------------------------------------------------------------- 4 Transactions with Affiliates -------------------------------------------------------------------------------- The Fund is authorized to pay Eaton Vance Management (EVM), as compensation for administrative services necessary to conduct the Fund's business, a monthly fee in the amount of 1/48 of 1% (equivalent to 0.25% annually) of the average daily gross assets of the Portfolio attributable to the Fund. The Trustees of the Fund have initially implemented the Administration Agreement by authorizing the Fund to pay EVM a monthly fee in the amount of 1/120 of 1% (equivalent to 0.10% annually) of the average daily gross assets of the Portfolio attributable to the Fund. For the six months ended June 30, 2002, the fee amounted to $23,797. To enhance the net income of the Fund, $49,280 of the Fund's expenses were allocated to EVM for the six months ended June 30, 2002. The Portfolio has engaged Boston Management and Research (BMR), a subsidiary of EVM, to render investment advisory services. See Note 2 of the Portfolio's Notes to Financial Statements which are included elsewhere in this report. Except as to Trustees of the Fund and the Portfolio who are not members of EVM's or BMR's organization, officers and Trustees receive remuneration for their services to the Fund out of such investment adviser fee. Certain officers and Trustees of the Fund and of the Portfolio are officers of the above organizations. 5 Investment Transactions -------------------------------------------------------------------------------- Increases and decreases in the Fund's investment in the Portfolio for the six months ended June 30, 2002 aggregated $11,600,594 and $16,859,914 respectively. SENIOR DEBT PORTFOLIO AS OF JUNE 30, 2002 PORTFOLIO OF INVESTMENTS (EXPRESSED IN UNITED STATES DOLLARS) SENIOR, FLOATING RATE INTERESTS -- 85.8%(1) PRINCIPAL AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE ------------------------------------------------------------------------------ Advertising -- 0.4% ------------------------------------------------------------------------------ LAMAR MEDIA CORP. $ 8,209,077 Term loan, maturing March 1, 2006 $ 8,065,418 11,182,125 Term loan, maturing June 30, 2006 11,248,021 1,500,000 Term loan, maturing February 1, 2007 1,512,563 ------------------------------------------------------------------------------ $ 20,826,002 ------------------------------------------------------------------------------ Aerospace and Defense -- 1.9% ------------------------------------------------------------------------------ AIRCRAFT BRAKING SYSTEMS CORP. $ 8,400,861 Term loan, maturing September 30, 2005 $ 8,424,492 Alliant Techsystems, Inc. 16,059,750 Term loan, maturing April 20, 2009 16,275,561 DYNCORP 10,909,874 Term loan, maturing December 9, 2006 10,940,564 EG&G Technical Services, Inc. 15,700,815 Term loan, maturing August 20, 2007 15,700,815 FAIRCHILD HOLDINGS CORPORATION 17,860,916 Term loan, maturing April 30, 2006 16,521,348 HEXCEL CORPORATION 7,260,387 Term loan, maturing August 25, 2005 7,184,755 TRANSDIGM HOLDING COMPANY 1,433,064 Term loan, maturing May 15, 2006 1,429,481 3,608,738 Term loan, maturing May 15, 2007 3,599,717 UNITED DEFENSE INDUSTRIES, INC. 12,819,672 Term loan, maturing June 30, 2009 12,877,757 ------------------------------------------------------------------------------ $ 92,954,490 ------------------------------------------------------------------------------ Air Freight & Couriers -- 0.7% ------------------------------------------------------------------------------ EVERGREEN INTERNATIONAL AVIATION, INC. $ 14,391,581 Term loan, maturing October 31, 2002 $ 14,031,791 6,377,625 Term loan, maturing June 1, 2003 6,218,185 PIEDMONT 6,239,878 Term loan, maturing July 23, 2006 6,177,479 6,239,878 Term loan, maturing July 23, 2007 6,177,479 -------------- $ 32,604,934 ------------------------------------------------------------------------------ Airlines -- 0.1% ------------------------------------------------------------------------------ CONTINENTAL AIRLINES, INC. $ 6,886,936 Term loan, maturing December 31, 2006 $ 6,749,197 ------------------------------------------------------------------------------ $ 6,749,197 ------------------------------------------------------------------------------ Auto Components -- 3.4% ------------------------------------------------------------------------------ ACCURIDE CORPORATION $ 2,308,519 Term loan, maturing January 21, 2005 $ 2,043,039 17,854,333 Term loan, maturing January 21, 2006 16,671,483 5,577,500 Term loan, maturing January 21, 2007 5,252,148 AMERICAN AXLE & MANUFACTURING, INC. 11,362,219 Term loan, maturing April 30, 2006 11,393,670 COLLINS & AIKMAN 1,596,875 Term loan, maturing December 31, 2004 1,598,205 7,980,000 Term loan, maturing December 31, 2005 8,041,989 EXIDE CORPORATION 10,000,000 DIP loan, maturing February 15, 2004 9,900,000 23,566,783 Term loan, maturing March 18, 2005* 15,872,228 FEDERAL-MOGUL CORPORATION 9,749,221 Term loan, maturing February 24, 2004 9,700,475 15,351,062 Term loan, maturing February 24, 2004 15,120,796 3,000,000 Term loan, maturing February 24, 2005 1,981,251 HAYES LEMMERZ INTERNATIONAL, INC. 4,317,500 Term loan, maturing June 16, 2006 3,915,973 J.L. FRENCH AUTOMOTIVE CASTINGS, INC. 8,300,365 Term loan, maturing November 30, 2006 7,563,707 KEYSTONE AUTOMOTIVE OPERATIONS, INC. 10,765,831 Term loan, maturing March 31, 2006 10,066,052 LUND INDUSTRIES, INCORPORATED 3,511,460 Term loan, maturing December 31, 2005 3,212,986 1,916,897 Term loan, maturing December 31, 2006 1,753,961 METALDYNE, INC. 10,000,000 Term loan, maturing December 31, 2009 10,075,000 SAFELITE GLASS CORP. 2,426,016 Term loan, maturing June 30, 2008 2,371,431 3,183,981 Term loan, maturing June 30, 2008 3,112,341 STANADYNE AUTOMOTIVE CORPORATION 5,813,141 Term loan, maturing December 10, 2004 5,652,777 TENNECO AUTOMOTIVE 4,838,954 Term loan, maturing December 31, 2007 4,673,369 4,838,954 Term loan, maturing December 31, 2008 4,673,369 VENTURE HOLDINGS TRUST 13,758,964 Term loan, maturing April 1, 2005 12,228,279 -------------- $ 166,874,529 -------------- Broadcast Media -- 3.2% ------------------------------------------------------------------------------ BENEDEK BROADCASTING CORPORATION $ 9,625,000 Revolving loan, maturing November 20, 2005 $ 9,631,016 10,238,776 Term loan, maturing November 20, 2007 10,192,702 BLOCK COMMUNICATIONS 3,500,000 Term loan, maturing November 30, 2009 3,519,688 CANWEST MEDIA, INC. 25,383,584 Term loan, maturing May 15, 2008 25,581,906 15,858,465 Term loan, maturing May 15, 2009 15,982,367 CITADEL COMMUNICATIONS CORP. 10,576,923 Term loan, maturing December 31, 2008 10,672,115 COMCORP BROADCASTING, INC. 2,808,605 Term loan, maturing June 30, 2007 2,471,572 CUMULUS MEDIA, INC. 1,000,000 Term loan, maturing March 31, 2010 1,010,375 DISCOVERY COMMUNICATIONS, INC. 30,353,125 Term loan, maturing May 13, 2004 29,720,778 NEXSTAR FINANCE, LLC 3,887,578 Term loan, maturing July 12, 2007 3,868,140 PAXSON COMMUNICATIONS CORPORATION 7,694,375 Term loan, maturing June 30, 2006 7,732,847 SINCLAIR BROADCAST GROUP, INC. 1,972,414 Revolving loan, maturing September 30, 2004 1,965,017 8,800,000 Term loan, maturing September 15, 2005 8,859,400 SUSQUEHANNA MEDIA CO. 23,211,825 Term loan, maturing June 30, 2008 23,327,884 WHITE KNIGHT BROADCASTING, INC. 2,566,864 Term loan, maturing June 30, 2007 2,258,840 ------------------------------------------------------------------------------ $ 156,794,647 ------------------------------------------------------------------------------ Cable Television -- 7.7% ------------------------------------------------------------------------------ CENTURY CABLE HOLDINGS, LLC $ 35,200,000 Term loan, maturing June 30, 2009 $ 26,607,434 2,000,000 Term loan, maturing December 31, 2009 1,512,916 CHARTER COMMUNICATIONS OPERATING, LLC. 6,666,667 Term loan, maturing March 18, 2007 6,077,780 26,184,375 Term loan, maturing September 18, 2008 23,827,780 CHARTER COMMUNICATIONS VI 13,500,000 Term loan, maturing March 18, 2008 12,328,875 CHARTER COMMUNICATIONS VIII 32,387,250 Term loan, maturing February 2, 2008 29,436,415 CLASSIC CABLE, INC. 400,000 DIP loan, maturing February 15, 2003 400,000 9,967,704 Term loan, maturing October 31, 2007 8,771,579 9,849,665 Term loan, maturing October 31, 2008 8,667,705 FALCON HOLDING GROUP, L.P. 441,791 Revolving loan, maturing December 31, 2005 395,403 13,975,843 Term loan, maturing June 29, 2007 13,044,116 59,002,201 Term loan, maturing December 31, 2007 53,790,360 FRONTIERVISION OPERATING PARTNERS, L.P. 49,387,974 Term loan, maturing March 31, 2006 42,535,393 HILTON HEAD COMMUNICATIONS (AKA UCA CORP) 60,348,750 Term loan, maturing May 15, 2007 44,054,588 INSIGHT MIDWEST HOLDINGS, LLC 43,000,000 Term loan, maturing December 31, 2009 42,381,875 MEDIACOM BROADBAND, LLC 20,500,000 Term loan, maturing September 30, 2010 20,238,051 MEDIACOM SOUTHEAST 3,006,667 Revolving loan, maturing March 31, 2008 2,961,567 7,000,000 Term loan, maturing September 30, 2008 6,889,169 OLYMPUS CABLE HOLDINGS, LLC 2,000,000 Term loan, maturing September 30, 2009 1,685,000 1,000,000 Term loan, maturing September 30, 2010 850,000 RCN CORPORATION 10,312,500 Term loan, maturing June 30, 2007 7,553,906 VIDEOTRON LTEE 26,000,000 Term loan, maturing December 1, 2009 25,967,500 ------------------------------------------------------------------------------ $ 379,977,412 ------------------------------------------------------------------------------ Casinos & Gaming -- 2.1% -------------------------------------------------------------------------------- ALLIANCE GAMING CORPORATION $ 18,750,000 Term loan, maturing November 30, 2006 $ 18,906,244 ARGOSY GAMING COMPANY 9,900,000 Term loan, maturing June 30, 2008 9,988,684 AZTAR CORPORATION 15,229,492 Term loan, maturing June 30, 2005 15,219,974 BOYD GAMING CORPORATION 6,750,000 Term loan, maturing June 24, 2008 6,783,750 ISLE OF CAPRI CASINOS 4,488,750 Term loan, maturing April 25, 2008 4,522,416 MANDALAY RESORT GROUP 23,731,844 Term loan, maturing August 18, 2006 23,813,434 MARINA DISTRICT FINANCE COMPANY 1,471,864 Term loan, maturing December 31, 2007 1,477,384 PARK PLACE ENTERTAINMENT CORPORATION 8,638,528 Revolving loan, maturing December 31, 2003 8,481,954 VENETIAN CASINO RESORT, LLC/LAS VEGAS SANDS, INC 12,500,000 Term loan, maturing June 4, 2008 12,687,500 ------------------------------------------------------------------------------ $ 101,881,340 ------------------------------------------------------------------------------ Chemicals -- 6.4% ------------------------------------------------------------------------------ AOC,LLC. $ 20,866,990 Term loan, maturing September 30, 2006 $ 20,866,990 ARTEVA B.V. (KOSA) 3,654,166 Term loan, maturing December 31, 2005 3,508,000 23,406,455 Term loan, maturing December 31, 2006 23,187,020 AVECIA INVESTMENTS LIMITED 2,761,119 Term loan, maturing June 30, 2007 2,764,570 6,063,280 Term loan, maturing June 30, 2008 6,070,859 CP KELCO U.S., INC. 10,053,760 Term loan, maturing March 31, 2008 9,086,085 3,358,039 Term loan, maturing September 30, 2008 3,034,828 EQUISTAR CHEMICALS, L.P. 14,656,787 Term loan, maturing August 31, 2007 14,745,769 FOAMEX L.P. 886,366 Term loan, maturing June 30, 2005 887,252 805,790 Term loan, maturing June 30, 2006 806,596 1,278,462 Term loan, maturing June 30, 2007 1,280,380 GEO SPECIALTY CHEMICALS, INC. 4,596,429 Term loan, maturing December 31, 2007 4,449,917 GEORGIA GULF CORPORATION 13,846,473 Term loan, maturing December 31, 2006 13,938,787 HUNTSMAN CORPORATION 1,307,993 Term loan, maturing September 30, 2003 1,159,208 24,529,725 Term loan, maturing December 31, 2004 21,855,985 4,840,689 Term loan, maturing December 31, 2005 4,290,061 HUNTSMAN INT'L 3,417,721 Term loan, maturing June 30, 2006 3,390,486 23,399,628 Term loan, maturing June 30, 2007 23,503,218 23,399,628 Term loan, maturing June 30, 2008 23,503,218 IMC GLOBAL, INC 857,143 Revolving loan, maturing May 31, 2005 810,000 14,349,848 Term loan, maturing November 17, 2006 14,455,678 LYONDELL PETROCHEMICAL COMPANY 49,063,876 Term loan, maturing June 30, 2007 49,917,784 MESSER GRIESHAM GMBH 10,924,711 Term loan, maturing April 30, 2009 11,035,094 12,144,356 Term loan, maturing April 30, 2010 12,267,063 MILLENIUM CHEMICALS INC. 1,713,043 Term loan, maturing June 30, 2006 1,719,896 NOVEON 10,890,000 Term loan, maturing September 30, 2008 10,932,787 POLYMER GROUP, INC. 30,166,725 Term loan, maturing December 20, 2005 28,098,160 6,402,500 Term loan, maturing December 20, 2006 5,964,998 STERLING PULP CHEMICALS (SASK) LTD. 4,336,355 Term loan, maturing June 30, 2005 4,244,208 ------------------------------------------------------------------------------ $ 321,774,897 ------------------------------------------------------------------------------ Coal -- 0.1% ------------------------------------------------------------------------------ ARCH WESTERN RESOURCES, LLC. $ 6,000,000 Term loan, maturing April 30, 2008 $ 6,060,000 ------------------------------------------------------------------------------ $ 6,060,000 ------------------------------------------------------------------------------ Commercial Services -- 4.7% ------------------------------------------------------------------------------ ADVANSTAR COMMUNICATIONS INC. $ 4,950,000 Term loan, maturing November 17, 2006 $ 4,851,000 19,144,286 Term loan, maturing November 17, 2007 18,876,266 AMERICAN MARKETING INDUSTRIES, INC. 5,560,972 Term loan, maturing November 30, 2002* 2,224,389 6,318,855 Term loan, maturing November 30, 2003* 2,527,542 6,477,919 Term loan, maturing November 30, 2004* 2,591,168 5,320,564 Term loan, maturing November 16, 2005* 2,128,225 ANTHONY CRANE RENTAL, L.P. 22,873,187 Term loan, maturing July 20, 2006 17,412,214 BRICKMAN HOLDINGS CORP 7,294,567 Term loan, maturing January 14, 2006 7,276,331 CATERAIR INTERNATIONAL CORPORATION 4,949,839 Term loan, maturing March 1, 2007 4,689,972 COINMACH LAUNDRY CORPORATION 3,428,571 Term loan, maturing July 25, 2008 3,424,285 9,405,000 Term loan, maturing July 25, 2009 9,499,050 CORRECTIONS CORPORATION OF AMERICA 7,600,000 Term loan, maturing May 31, 2007 7,625,331 17,955,000 Term loan, maturing May 31, 2008 18,123,328 ENVIRONMENTAL SYSTEMS PRODUCTS HLDGS, INC. 11,766,469 Term loan, maturing December 31, 2004 10,942,817 6,108,142 Term loan, maturing December 31, 2004 4,527,660 ERICKSON AIR-CRANE CO. 8,203,692 Term loan, maturing December 31, 2004 7,629,434 METOKOTE CORPORATION 9,262,500 Term loan, maturing November 2, 2005 8,706,750 MSX INTERNATIONAL, INC. 20,265,726 Term loan, maturing December 31, 2006 20,178,337 NATIONSRENT, INC. 18,640,769 Term loan, maturing September 30, 2006 7,805,822 PANAVISION INTERNATIONAL, L.P. 308,609 Term loan, maturing March 31, 2004 280,835 580,274 Revolving loan, maturing May 31, 2004 528,049 21,528,622 Term loan, maturing March 31, 2005 19,644,867 PSI ACQUISITION CORPORATION 11,354,251 Term loan, maturing September 30, 2003 11,013,623 SC INTERNATIONAL SERVICES, INC. 18,767,367 Term loan, maturing March 1, 2007 17,782,080 SERVICE PARTNERS 1,900,000 Term loan, maturing February 28, 2006 1,862,000 1,000,000 Term loan, maturing February 28, 2007 1,001,250 VOLUME SERVICES, INC. 20,408,563 Term loan, maturing December 31, 2002 20,281,009 ------------------------------------------------------------------------------ $ 233,383,634 ------------------------------------------------------------------------------ Communications Equipment -- 1.3% ------------------------------------------------------------------------------ AMPHENOL CORPORATION $ 3,678,128 Term loan, maturing May 19, 2004 $ 3,618,818 45,411,890 Term loan, maturing May 19, 2005 45,213,213 SUPERIOR TELECOM, INC. 2,393,103 Revolving loan, maturing November 27, 2005 1,298,259 993,825 Term loan, maturing November 27, 2005 551,573 20,690,250 Term loan, maturing November 27, 2006 11,405,500 TELEX COMMUNICATIONS, INC. 1,476,147 Term loan, maturing November 6, 2004 1,315,030 ------------------------------------------------------------------------------ $ 63,402,393 ------------------------------------------------------------------------------ Construction Materials -- 0.6% ------------------------------------------------------------------------------ FORMICA CORPORATION $ 8,793,297 Term loan, maturing April 30, 2006 $ 8,060,525 PANOLAM INDUSTRIES, INC. 13,844,211 Term loan, maturing December 31, 2006 13,152,001 TRUSEAL TECHNOLOGIES, INC. 6,257,000 Term loan, maturing July 1, 2004 6,257,000 U.S. AGGREGATES, INC. 2,792,313 Term loan, maturing March 31, 2006* 1,396,157 ------------------------------------------------------------------------------ $ 28,865,683 ------------------------------------------------------------------------------ Containers & Packaging - Metal & Glass -- 1.0% ------------------------------------------------------------------------------ BALL CORPORATION $ 20,161,845 Term loan, maturing March 10, 2006 $ 20,142,953 CONSOLIDATED CONTAINER HOLDINGS LLC 15,538,479 Term loan, maturing June 30, 2007 14,858,671 IMPRESS METAL PACKAGING HOLDINGS B.V. 12,956,118 Term loan, maturing December 31, 2006 12,891,337 ------------------------------------------------------------------------------ $ 47,892,961 ------------------------------------------------------------------------------ Containers & Packaging - Paper -- 4.3% ------------------------------------------------------------------------------ BLUE RIDGE PAPER PRODUCTS, INC. $ 2,203,319 Revolving loan, maturing March 31, 2005 $ 2,119,160 1,090,704 Term loan, maturing March 31, 2005 1,047,674 10,059,544 Term loan, maturing March 31, 2006 10,059,544 GRAPHIC PACKAGING CORPORATION 497,500 Term loan, maturing February 28, 2009 503,097 GREIF BROS. CORPORATION 5,026,898 Term loan, maturing February 28, 2008 5,059,216 IMPAXX, INC. 2,283,333 Term loan, maturing December 31, 2005 1,461,333 5,252,500 Term loan, maturing December 31, 2006 3,361,600 JEFFERSON SMURFIT CORPORATION 29,624,074 Term loan, maturing March 31, 2005 29,364,863 30,000,000 Term loan, maturing March 31, 2007 30,067,980 PACKAGING DYNAMICS, LLC. 16,352,583 Term loan, maturing November 20, 2008 16,107,295 PORT TOWNSEND PAPER CORPORATION 7,268,304 Term loan, maturing March 16, 2007 7,104,767 PRINTPACK HOLDINGS, INC. 2,493,750 Term loan, maturing April 30, 2009 2,524,922 RIVERWOOD INTERNATIONAL CORPORATION 766,667 Revolving loan, maturing December 31, 2005 746,063 22,000,000 Term loan, maturing December 31, 2006 22,110,000 24,000,000 Term loan, maturing March 31, 2007 24,150,000 STONE CONTAINER CORPORATION 18,380,945 Term loan, maturing October 1, 2004 18,435,518 9,888,111 Term loan, maturing December 31, 2006 9,909,301 17,177,313 Term loan, maturing December 31, 2006 17,214,124 STRONGHAVEN, INC. 9,933,643 Term loan, maturing May 15, 2004 9,536,297 ------------------------------------------------------------------------------ $ 210,882,754 ------------------------------------------------------------------------------ Containers & Packaging - Plastics -- 1.2% ------------------------------------------------------------------------------ CROWN CORK & SEAL COMPANY, INC. $ 15,400,000 Term loan, maturing August 4, 2002 $ 15,332,625 GRAHAM PACKAGING COMPANY 618,848 Term loan, maturing January 31, 2006 617,011 4,096,446 Term loan, maturing January 31, 2007 4,084,284 2,286,953 Term loan, maturing January 31, 2008 2,279,396 IPC, INC. 1,193,997 Revolving loan, maturing September 30, 2003 1,191,012 281,866 Term loan, maturing September 30, 2003 281,161 21,152,175 Term loan, maturing September 30, 2004 21,125,735 LLS CORP. 5,000,000 Term loan, maturing July 31, 2006* 2,908,335 TEKNI-PLEX, INC. 10,026,579 Term loan, maturing June 30, 2008 10,068,360 ------------------------------------------------------------------------------ $ 57,887,919 ------------------------------------------------------------------------------ Educational Services -- 0.7% ------------------------------------------------------------------------------ JOSTENS, INC. $ 8,010,116 Term loan, maturing May 31, 2008 $ 8,065,186 KINDERCARE LEARNING CENTERS, INC. 2,479,167 Revolving loan, maturing February 13, 2005 2,276,700 8,047,490 Term loan, maturing February 13, 2006 7,826,184 WEEKLY READER CORPORATION 14,344,375 Term loan, maturing September 30, 2007 14,344,375 ------------------------------------------------------------------------------ $ 32,512,445 ------------------------------------------------------------------------------ Electronic Equipment & Instruments -- 0.8% ------------------------------------------------------------------------------ HUGHES ELECTRONICS CORPORATION $ 22,000,000 Term loan, maturing December 5, 2002 $ 22,089,386 JUNO LIGHTING, INC. 7,041,444 Term loan, maturing November 30, 2006 7,006,237 KNOWLES ELECTRONICS, INC. 13,263,750 Term loan, maturing June 29, 2007 12,600,563 ------------------------------------------------------------------------------ $ 41,696,186 ------------------------------------------------------------------------------ Entertainment -- 3.8% ------------------------------------------------------------------------------ AMFAC RESORTS, INC. $ 9,386,115 Term loan, maturing September 30, 2003 $ 9,362,650 9,386,115 Term loan, maturing September 30, 2004 9,362,650 BLOCKBUSTER ENTERTAINMENT CORP. 53,179,487 Term loan, maturing July 1, 2004 52,531,389 DREAMWORKS FILM TRUST 15,280,000 Term loan, maturing December 31, 2006 15,342,083 INTERVAL 2,603,050 Term loan, maturing December 16, 2005 2,590,035 5,652,904 Term loan, maturing December 15, 2006 5,624,640 KSL RECREATION GROUP, INC. 3,387,273 Revolving loan, maturing April 30, 2005 3,313,881 7,904,232 Term loan, maturing April 30, 2005 7,886,115 7,904,232 Term loan, maturing April 30, 2006 7,895,585 METRO-GOLDWYN-MAYER STUDIOS INC. 5,000,000 Term loan, maturing June 11, 2007 5,000,000 37,500,000 Term loan, maturing June 11, 2008 37,746,111 SIX FLAGS THEME PARKS INC. 30,023,125 Term loan, maturing September 30, 2005 30,212,841 ------------------------------------------------------------------------------ $ 186,867,980 ------------------------------------------------------------------------------ Environmental Services -- 0.7% ------------------------------------------------------------------------------ ALLIED WASTE INDUSTRIES, INC. $ 3,626,195 Term loan, maturing July 30, 2005 $ 3,562,131 9,961,451 Term loan, maturing July 30, 2006 9,895,526 14,199,028 Term loan, maturing July 30, 2007 14,105,058 INTERNATIONAL TECHNOLOGY CORPORATION 12,717,743 Term loan, maturing June 11, 2004* 2,098,428 PHILIPS ENVIRONMENTAL SERVICES 839,238 Term loan (PIK), maturing April 21, 2005 373,460 1,175,921 Term loan, maturing April 21, 2005 523,285 SAFETY-KLEEN SERVICES, INC. 14,771,401 Term loan, maturing April 3, 2006* 4,929,217 ------------------------------------------------------------------------------ $ 35,487,105 ------------------------------------------------------------------------------ Financials -- 0.2% ------------------------------------------------------------------------------ ALTAMIRA MANAGEMENT LTD. $ 9,490,647 Term loan, maturing September 30, 2004 $ 8,968,661 ------------------------------------------------------------------------------ $ 8,968,661 ------------------------------------------------------------------------------ Food, Beverages & Tobacco -- 2.2% ------------------------------------------------------------------------------ AMERICAN SEAFOOD HOLDINGS INC. $ 1,863,281 Term loan, maturing September 30, 2007 $ 1,857,071 5,589,844 Term loan, maturing March 31, 2009 5,631,768 AURORA FOODS, INC. 2,257,143 Revolving loan, maturing September 30, 2005 2,039,329 4,565,196 Term loan, maturing September 30, 2006 4,194,274 3,423,280 Term loan, maturing September 30, 2007 3,187,074 COTT CORPORATION 1,893,109 Term loan, maturing December 31, 2006 1,904,151 DEL MONTE CORPORATION 6,989,680 Term loan, maturing March 31, 2008 7,046,471 EAGLE FAMILY FOODS, INC 5,335,400 Term loan, maturing December 31, 2005 5,148,661 FLOWERS FOODS, INC. 9,405,000 Term loan, maturing June 30, 2006 9,480,240 INTERSTATE BRANDS CORPORATIONS 4,625,000 Term loan, maturing July 19, 2006 4,625,962 11,661,875 Term loan, maturing July 19, 2007 11,756,628 9,000,000 Term loan, maturing July 19, 2008 9,073,125 MICHAEL FOODS, INC. 1,877,013 Term loan, maturing March 30, 2008 1,895,314 NEW WORLD PASTA 5,335,428 Term loan, maturing January 28, 2006 5,347,934 NUTRA SWEET 3,500,000 Term loan, maturing June 30, 2008 3,504,375 5,676,111 Term loan, maturing June 30, 2007 5,697,396 PABST BREWING COMPANY 2,451,309 Revolving loan, maturing April 30, 2004 2,365,513 6,407,139 Term loan, maturing April 30, 2004 6,038,728 SUIZA FOOD CORPORATION 4,331,250 Term loan, maturing July 15, 2007 4,339,371 15,461,250 Term loan, maturing July 15, 2008 15,561,501 ------------------------------------------------------------------------------ $ 110,694,886 ------------------------------------------------------------------------------ Funeral Service -- 0.3% ------------------------------------------------------------------------------ CORNERSTONE FAMILY SERVICES, INC. $ 8,672,737 Term loan, maturing March 31, 2007 $ 7,935,554 PRIME SUCCESSION, INC. 14,242,033 Term loan, maturing August 1, 2003 7,833,118 ------------------------------------------------------------------------------ $ 15,768,672 ------------------------------------------------------------------------------ Health Care - Equipment & Supplies -- 0.6% ------------------------------------------------------------------------------ ADVANCE MEDICAL OPTICS, INC. $ 4,250,000 Term loan, maturing June 30, 2008 $ 4,267,188 CIRCON CORPORATION 2,481,688 Term loan, maturing October 31, 2006 2,329,233 CONMED CORPORATION 7,049,397 Term loan, maturing December 30, 2004 7,002,032 1,276,933 Term loan, maturing December 31, 2005 1,265,227 LEINER HEALTH PRODUCTS INC. 7,800,911 Term loan, maturing March 31, 2004 7,332,856 MAXXIM MEDICAL, INC. 4,185,957 Term loan, maturing October 31, 2007 3,364,704 4,185,957 Term loan, maturing October 31, 2008 3,416,694 NUTRAMAX PRODUCTS, INC. 452,637 Note claim, maturing July 3, 2003 452,637 SYBRON DENTAL MANAGEMENT 1,000,000 Term loan, maturing June 6, 2009 1,010,625 ------------------------------------------------------------------------------ $ 30,441,196 ------------------------------------------------------------------------------ Health Care - Providers & Services -- 3.5% ------------------------------------------------------------------------------ ALLIANCE IMAGING, INC. $ 10,500,000 Term loan, maturing June 10, 2008 $ 10,530,629 AMERISOURCE BERGEN CORPORATION 14,500,000 Term loan, maturing March 31, 2005 14,318,750 CAREMARK RX, INC 1,870,313 Term loan, maturing March 31, 2006 1,878,106 COMMUNITY HEALTH SYSTEMS, INC. 11,505,016 Term loan, maturing December 31, 2003 11,556,248 11,505,016 Term loan, maturing December 31, 2004 11,558,043 7,248,387 Term loan, maturing December 31, 2005 7,280,098 CONCENTRA MANAGED CARE, INC. 12,917,301 Term loan, maturing December 31, 2005 12,984,575 9,077,839 Term loan, maturing December 31, 2006 9,124,363 DAVITA, INC 17,916,882 Term loan, maturing March 31, 2009 17,996,666 EXPRESS SCRIPTS, INC. 3,006,791 Term loan, maturing March 31, 2006 2,987,999 3,000,000 Term loan, maturing March 31, 2007 3,014,064 FHC HEALTH SYSTEMS, INC. 7,940,309 Term loan, maturing April 30, 2005 7,821,205 7,940,309 Term loan, maturing April 30, 2006 7,821,205 INTEGRATED HEALTH SERVICES, INC. 1,299,701 Revolving loan, maturing March 26, 2007* 128,345 1,234,241 Term loan, maturing March 26, 2008* 138,081 3,880,067 Term loan, maturing March 26, 2008* 434,082 MAGELLAN HEALTH SERVICES, INC. 2,207,123 Term loan, maturing February 12, 2005 2,190,017 2,207,123 Term loan, maturing February 12, 2006 2,190,017 MEDIQ/PRN LIFE SUPPORT SERVICES, INC. 13,083,175 Term loan, maturing May 29, 2006 12,036,521 NATIONAL MEDICAL CARE 13,630,000 Term loan, maturing September 30, 2003 13,459,625 ROTECH HEALTHCARE, INC. 4,488,750 Term loan, maturing March 31, 2008 4,540,182 TEAM HEALTH 6,000,000 Term loan, maturing October 31, 2007 5,992,500 4,000,000 Term loan, maturing October 31, 2008 4,022,500 TRIAD HOSPITALS HOLDINGS, INC. 7,446,796 Term loan, maturing March 31, 2008 7,525,456 ------------------------------------------------------------------------------ $ 171,529,277 ------------------------------------------------------------------------------ Hotels -- 1.0% ------------------------------------------------------------------------------ EXTENDED STAY AMERICA $ 15,463,327 Term loan, maturing December 31, 2007 $ 15,563,189 STARWOOD HOTELS & Resorts 4,837,500 Term loan, maturing February 23, 2003 4,825,406 WYNDHAM INTERNATIONAL, INC. 5,000,000 Term loan, maturing June 30, 2004 4,553,125 22,819,491 Term loan, maturing June 30, 2006 20,416,325 ------------------------------------------------------------------------------ $ 45,358,045 ------------------------------------------------------------------------------ Household Furnish & Appliances -- 1.3% ------------------------------------------------------------------------------ GOODMAN MANUFACTURING COMPANY, L.P. $ 2,360,073 Term loan, maturing September 30, 2003 $ 2,334,997 10,928,574 Term loan, maturing July 31, 2005 10,853,440 SEALY MATTRESS COMPANY 11,203,993 Term loan, maturing December 15, 2004 11,223,835 8,523,931 Term loan, maturing December 15, 2005 8,539,027 11,170,035 Term loan, maturing December 15, 2006 11,189,817 SIMMONS COMPANY 4,998,574 Term loan, maturing October 30, 2005 5,013,155 7,793,079 Term loan, maturing October 30, 2006 7,822,303 SLEEPMASTER, LLC 5,652,495 Term loan, maturing December 31, 2006 5,058,983 THE BOYDS COLLECTION, LTD. 3,852,691 Term loan, maturing April 21, 2005 3,640,343 ------------------------------------------------------------------------------ $ 65,675,900 ------------------------------------------------------------------------------ Household Products -- 1.3% ------------------------------------------------------------------------------ CHURCH & Dwight Co. Inc. $ 7,250,000 Term loan, maturing September 30, 2007 $ 7,330,917 SAMSONITE CORPORATION 18,060,636 Term loan, maturing June 24, 2006 16,976,997 THE IMPERIAL DECOR HOME GROUP, INC. 1,417,283 Medium term note, maturing April 4, 2006 992,098 THE SCOTTS COMPANY 12,700,962 Term loan, maturing December 31, 2007 12,781,930 UNITED INDUSTRIES CORPORATION 14,009,693 Term loan, maturing January 20, 2006 14,088,497 WERNER HOLDING CO. 6,946,655 Term loan, maturing November 30, 2004 6,903,238 4,193,490 Term loan, maturing November 30, 2005 4,168,593 ------------------------------------------------------------------------------ $ 63,242,270 ------------------------------------------------------------------------------ Insurance -- 0.6% ------------------------------------------------------------------------------ WHITE MOUNTAINS INSURANCE GROUP, LTD. $ 10,449,424 Term loan, maturing March 31, 2006 $ 10,475,548 WILLIS CORROON CORPORATION 11,815,211 Term loan, maturing February 19, 2007 11,761,062 5,983,867 Term loan, maturing February 19, 2008 5,966,412 ------------------------------------------------------------------------------ $ 28,203,022 ------------------------------------------------------------------------------ Leisure -- 0.7% ------------------------------------------------------------------------------ NEW ENGLAND SPORTS VENTURES, LLC $ 769,231 Revolving loan, maturing February 28, 2005 $ 767,308 32,000,000 Term loan, maturing February 28, 2005 32,000,000 ------------------------------------------------------------------------------ $ 32,767,308 ------------------------------------------------------------------------------ Leisure Equipment & Products -- 0.2% ------------------------------------------------------------------------------ BELL SPORTS, INC. $ 12,586,647 Term loan, maturing March 30, 2007 $ 10,950,382 ------------------------------------------------------------------------------ $ 10,950,382 ------------------------------------------------------------------------------ Machinery -- 1.0% ------------------------------------------------------------------------------ FLOWSERVE CORPORATION $ 6,396,491 Term loan, maturing June 30, 2007 $ 6,428,473 24,000,000 Term loan, maturing June 30, 2009 24,296,256 THE MANITOWOC COMPANY 10,197,000 Term loan, maturing June 30, 2007 10,262,006 THERMADYNE MFG LLC 2,480,805 Term loan, maturing May 22, 2004 2,288,543 2,453,971 Term loan, maturing May 22, 2005 2,253,562 2,453,971 Term loan, maturing May 22, 2006 2,253,562 ------------------------------------------------------------------------------ $ 47,782,402 ------------------------------------------------------------------------------ Manufacturing -- 4.8% ------------------------------------------------------------------------------ ADVANCED GLASSFIBER YARNS LLC $ 16,554,014 Term loan, maturing September 30, 2005 $ 14,087,466 ALLIANCE LAUNDRY HOLDINGS LLC. 6,351,312 Term loan, maturing September 30, 2004 6,335,433 BLOUNT INTERNATIONAL INC. 1,067,778 Term loan, maturing July 31, 2006 1,057,434 CHART INDUSTRIES, INC. 18,873,162 Term loan, maturing March 31, 2006 13,777,408 CITATION CORPORATION 12,863,459 Term loan, maturing December 1, 2007 11,448,478 DAYTON SUPERIOR CORPORATION 1,320,863 Term loan, maturing September 29, 2005 1,323,339 DRESSER, INC. 11,532,256 Term loan, maturing March 31, 2007 11,607,943 GENTEK, INC. 21,285,526 Term loan, maturing April 30, 2007 16,772,995 11,296,238 Term loan, maturing October 30, 2007 8,901,435 JOAN FABRICS CORPORATION 350,449 Term loan, maturing September 30, 2004 334,679 2,121,271 Term loan, maturing June 30, 2005 2,025,814 1,323,458 Term loan, maturing June 30, 2006 1,263,903 JOHNSONDIVERSEY, INC. 7,000,000 Term loan, maturing November 30, 2008 7,017,500 8,500,000 Term loan, maturing November 30, 2009 8,597,903 MATTHEW WARREN, INC. 7,628,627 Term loan, maturing May 31, 2005 7,137,864 2,754,667 Term loan, maturing May 31, 2006 2,612,585 MOTOR COACH INDUSTRIES 11,644,992 Term loan, maturing June 15, 2006 10,509,606 MUELLER GROUP, INC. 21,000,000 Term loan, maturing May 31, 2008 21,137,823 OSHKOSH TRUCK CORPORATION 1,556,250 Term loan, maturing January 31, 2007 1,569,478 POLYPORE INCORPORATED 2,812,807 Term loan, maturing December 31, 2006 2,826,871 12,468,750 Term loan, maturing December 31, 2007 12,554,473 SPX CORPORATION 41,612,574 Term loan, maturing December 31, 2006 41,776,445 3,447,015 Term loan, maturing December 31, 2008 3,461,616 SYNTHETIC INDUSTRIES, INC. 13,837,857 Term loan, maturing December 30, 2007 13,440,017 TOKHEIM CORPORATION 3,028,525 Revolving loan, maturing December 5, 2005 3,028,525 11,354,291 Term loan, maturing December 5, 2005* -- 3,967,092 Term loan, maturing December 5, 2005 3,649,725 7,669,537 Term loan, maturing December 5, 2005 5,368,676 TRIMAS CORPORATION 4,500,000 Term loan, maturing December 31, 2009 4,550,625 ------------------------------------------------------------------------------ $ 238,176,059 ------------------------------------------------------------------------------ Metals & Mining -- 1.2% ------------------------------------------------------------------------------ BETTER MINERALS AND AGGREGATES $ 4,712,486 Term loan, maturing June 30, 2006 $ 4,647,689 COMPASS MINERALS GROUP, INC 1,107,407 Term loan, maturing November 28, 2009 1,117,559 HANDY & HARMAN 17,768,212 Term loan, maturing December 31, 2006 17,751,563 ISPAT INLAND, LP 500,000 Term loan, maturing July 16, 2005 322,500 498,701 Term loan, maturing July 16, 2006 321,662 NEENAH FOUNDRY COMPANY 24,208,969 Term loan, maturing September 30, 2005 22,877,477 STILLWATER MINING COMPANY 13,530,917 Term loan, maturing June 30, 2007 13,632,399 ------------------------------------------------------------------------------ $ 60,670,849 ------------------------------------------------------------------------------ Miscellaneous -- 0.5% ------------------------------------------------------------------------------ AMSCAN HOLDINGS, INC. $ 16,627,489 Term loan, maturing December 31, 2004 $ 16,211,802 BMK, INC. 4,643,809 Term loan, maturing June 30, 2004* 2,136,152 SOTHEBY'S HOLDINGS, INC 5,750,000 Term loan, maturing August 11, 2002 5,714,063 WEIGHT WATCHERS INTERNATIONAL, INC. 1,646,830 Term loan, maturing December 31, 2007 1,663,298 975,899 Term loan, maturing December 31, 2008 985,658 ------------------------------------------------------------------------------ $ 26,710,973 ------------------------------------------------------------------------------ Office Equipment & Supplies -- 0.3% ------------------------------------------------------------------------------ IDENTITY GROUP, INC. $ 6,335,000 Term loan, maturing April 30, 2007 $ 3,991,050 IRON MOUNTAIN INCORPORATED 7,500,000 Term loan, maturing February 15, 2008 7,581,248 OFFICE MAX 5,000,002 Revolving loan, maturing November 30, 2003 4,975,001 ------------------------------------------------------------------------------ $ 16,547,299 ------------------------------------------------------------------------------ Oil & Gas -- 0.7% ------------------------------------------------------------------------------ EPN HOLDING COMPANY, L.P. $ 8,091,253 Term loan, maturing April 30, 2005 $ 8,091,253 TESORO PETROLEUM CORP 7,460,554 Term loan, maturing December 31, 2007 7,439,105 THE PREMCOR REFINING GROUP, INC. 21,000,000 Term loan, maturing August 23, 2003 21,039,375 ------------------------------------------------------------------------------ $ 36,569,733 ------------------------------------------------------------------------------ Paper & Forest Products -- 0.4% ------------------------------------------------------------------------------ ALABAMA RIVER & NEWSPRINT $ 15,703,150 Term loan, maturing December 31, 2002 $ 14,917,992 Bear Island Paper Company, LLC 7,140,533 Term loan, maturing December 31, 2005 7,033,425 ------------------------------------------------------------------------------ $ 21,951,417 ------------------------------------------------------------------------------ Personal Products -- 0.7% ------------------------------------------------------------------------------ AM COSMETICS, INC. $ 3,216,797 Revolving loan, maturing May 30, 2004* $ 3,216,797 1,831,215 Term loan, maturing May 30, 2004* 128,185 3,662,430 Term loan, maturing May 30, 2006* 256,370 ARMKEL, LLC 1,471,294 Term loan, maturing March 31, 2009 1,488,307 MARY KAY COSMETICS, INC. 14,236,690 Term loan, maturing December 6, 2002 14,275,243 PLAYTEX PRODUCTS, INC. 12,450,000 Term loan, maturing May 31, 2009 12,558,937 REVLON CONSUMER PRODUCTS CORPORATION 1,500,000 Term loan, maturing May 30, 2005 1,486,563 ------------------------------------------------------------------------------ $ 33,410,402 ------------------------------------------------------------------------------ Publishing & Printing -- 2.8% ------------------------------------------------------------------------------ AMERICAN MEDIA OPERATIONS INC. $ 1,721,143 Term loan, maturing April 1, 2006 $ 1,708,235 18,468,154 Term loan, maturing April 1, 2008 18,722,092 DIMAC CORPORATION 788,098 Term loan, maturing September 30, 2002* 299,477 274,435 Term loan, maturing September 1, 2003* -- 2,187,421 Term loan, maturing January 1, 2005* 481,233 2,461,928 Term loan, maturing March 1, 2006* -- JOURNAL REGISTER COMPANY 25,846,955 Term loan, maturing September 30, 2006 25,685,411 LIBERTY GROUP OPERATING, INC. 11,219,899 Term loan, maturing April 30, 2007 11,219,899 MERRILL CORPORATION 930,040 Term loan, maturing November 15, 2006 869,588 11,072,170 Term loan, maturing November 15, 2007 10,352,479 MORRIS COMMUNICATIONS CORPORATION 13,000,000 Term loan, maturing September 30, 2009 13,067,028 R.H. DONNELLEY INC. 4,761,530 Term loan, maturing December 5, 2005 4,751,612 5,575,530 Term loan, maturing December 5, 2006 5,563,916 THE MCCLATCHY COMPANY 8,930,481 Term loan, maturing September 10, 2005 8,818,850 13,626,662 Term loan, maturing September 10, 2007 13,682,027 THE READER'S DIGEST ASSOCIATION, INC. 7,000,000 Term loan, maturing May 20, 2008 7,046,669 THE SHERIDAN GROUP, INC. 7,420,679 Term loan, maturing January 30, 2005 7,420,679 TRANSWESTERN PUBLISHING COMPANY LLC 7,905,776 Term loan, maturing June 27, 2008 7,984,834 ------------------------------------------------------------------------------ $ 137,674,029 ------------------------------------------------------------------------------ Real Estate -- 5.0% ------------------------------------------------------------------------------ 125 WEST 55TH STREET $ 10,895,238 Term loan, maturing June 9, 2004 $ 10,895,238 622 THIRD AVE COMPANY LLC 18,500,000 Term loan, maturing September 30, 2004 18,500,000 AGBRI OCTAGON 17,461,327 Term loan, maturing May 31, 2004 17,330,367 AIMCO PROPERTIES, L.P. 10,885,017 Term loan, maturing February 28, 2004 10,830,592 AMERICAN SKIING COMPANY RESORT PROPERTIES, INC. 6,480,000 Term loan, maturing December 31, 2002* 6,253,200 AMERICAN TOWER, L.P. 2,000,000 Term loan, maturing December 31, 2006 1,742,308 4,250,000 Term loan, maturing December 31, 2007 3,740,663 AP-KNIGHT LP 9,649,131 Term loan, maturing December 31, 2004 9,637,069 CRESCENT REAL ESTATE EQUITIES, L.P. 22,250,000 Term loan, maturing May 31, 2005 22,277,813 FFD DEVELOPMENT COMPANY, LLC 3,240,000 Revolving loan, maturing April 2, 2004 3,223,800 ISTAR PREFERRED HOLDINGS LLC 12,000,000 Term loan, maturing July 20, 2006 11,640,000 ISTAR WALDEN 13,000,000 Term loan, maturing June 30, 2003 12,610,000 LENNAR CORPORATION 23,883,001 Term loan, maturing May 2, 2007 23,978,533 MERISTAR INVESTMENT PARTNERS, L.P. 5,250,193 Term loan, maturing September 30, 2002 5,263,318 9,259,974 Term loan, maturing March 31, 2003 9,283,124 NEWKIRK MASTER, L.P. 11,940,000 Term loan, maturing December 31, 2004 12,089,250 OLY HIGHTOP PARENT 33,331,964 Term loan, maturing March 31, 2006 33,331,964 SPECTRASITE COMMUNICATIONS, INC. 2,750,000 Term loan, maturing December 31, 2007 2,507,313 STRATEGIC HOTEL CAPITAL, LLC 11,974,957 Term loan, maturing April 30, 2004 11,907,597 WESTFIELD AMERICA LIMITED PARTNERSHIP 20,000,000 Term loan, maturing May 3, 2005 20,000,000 ------------------------------------------------------------------------------ $ 247,042,149 ------------------------------------------------------------------------------ Retail - Food & Drug -- 4.2% ------------------------------------------------------------------------------ DOMINO'S INC. $ 9,544,760 Term loan, maturing December 21, 2006 $ 9,628,277 9,583,215 Term loan, maturing December 21, 2007 9,667,068 DUANE READE INC. 5,346,203 Term loan, maturing February 15, 2007 5,372,934 FLEMING COMPANIES, INC. 2,327,273 Revolving loan, maturing June 18, 2008 2,309,842 33,250,000 Term loan, maturing June 18, 2008 33,301,970 PATHMARK STORES, INC. 4,870,800 Term loan, maturing July 15, 2007 4,895,154 RITE AID CORPORATION 87,697,475 Term loan, maturing June 27, 2005 86,820,500 5,152,846 Term loan, maturing June 27, 2005 5,093,269 ROUNDY'S, INC. 3,500,000 Term loan, maturing June 6, 2009 3,519,688 SDM CORPORATION 26,205,882 Term loan, maturing February 4, 2009 26,369,669 WINN-DIXIE STORES 18,540,707 Term loan, maturing March 28, 2007 18,665,857 ------------------------------------------------------------------------------ $ 205,644,228 ------------------------------------------------------------------------------ Retail - Specialty -- 1.3% ------------------------------------------------------------------------------ ADVANCE STORES COMPANY, INC. $ 600,710 Term loan, maturing November 30, 2006 $ 599,333 9,976,263 Term loan, maturing November 30, 2007 10,026,145 CHARMING SHOPPES, INC. 143,786 Revolving loan, maturing August 31, 2004 143,451 CSK AUTO, INC. 9,500,000 Term loan, maturing December 21, 2004 9,555,414 JO-ANN STORES, INC. 9,000,000 Term loan, maturing April 30, 2005 8,955,000 MALL OF AMERICA KAY-BEE TOY, INC. 3,947,370 Revolving loan, maturing December 7, 2005 3,927,633 PETRO STOPPING CENTERS, L.P. 5,024,581 Term loan, maturing July 31, 2006 4,999,458 THE SPORTS AUTHORITY, INC. 15,381,353 Revolving loan, maturing September 30, 2003 15,342,900 TRAVELCENTERS OF AMERICA, INC. 9,975,000 Term loan, maturing November 8, 2008 10,046,700 ------------------------------------------------------------------------------ $ 63,596,034 ------------------------------------------------------------------------------ Retail Stores - General Merchandise -- 1.1% ------------------------------------------------------------------------------ AMES MERCHANDISING CORPORATION $ 24,780,000 Term loan, maturing March 31, 2004 $ 24,749,025 KMART CORPORATION 7,592,236 Revolving loan, maturing December 6, 2002* 5,136,148 6,500,000 DIP loan, maturing April 22, 2004 6,551,188 SHOPKO STORES, INC. 15,500,000 Term loan, maturing March 12, 2004 15,519,375 ------------------------------------------------------------------------------ $ 51,955,736 ------------------------------------------------------------------------------ Road & Rail -- 0.4% ------------------------------------------------------------------------------ I & M RAIL LINK, LLC $ 8,080,000 Term loan, maturing March 31, 2004* $ 4,686,400 KANSAS CITY SOUTHERN INDUSTRIES, INC. 1,700,000 Term loan, maturing June 12, 2008 1,706,139 RAILAMERICA AUSTRALIA FINANCE PTY. LTD. 2,400,000 Term loan, maturing May 31, 2009 2,426,501 RAILAMERICA CANADA CORP. 2,000,000 Term loan, maturing May 31, 2009 2,022,084 RAILAMERICA TRANSPORTATION CORP. 10,600,000 Term loan, maturing May 31, 2009 10,717,045 ------------------------------------------------------------------------------ $ 21,558,169 ------------------------------------------------------------------------------ Shipping Lines -- 0.0% ------------------------------------------------------------------------------ AMERICAN COMMERCIAL LINES $ 247,886 Term loan, maturing July 30, 2006 $ 240,228 697,470 Term loan, maturing June 30, 2007 675,923 ------------------------------------------------------------------------------ $ 916,151 ------------------------------------------------------------------------------ Telecommunications - Wireline -- 1.7% ------------------------------------------------------------------------------ ALEC HOLDINGS, INC. $ 12,252,884 Term loan, maturing November 30, 2006 $ 12,201,827 7,992,616 Term loan, maturing November 30, 2007 7,959,310 BROADWING INC. 3,794,000 Term loan, maturing December 31, 2004 3,395,630 34,217,510 Term loan, maturing December 31, 2005 31,095,163 FAIRPOINT COMMUNICATIONS, INC. 4,401,923 Term loan, maturing March 31, 2006 4,297,377 24,044,886 Term loan, maturing March 31, 2007 23,473,820 ------------------------------------------------------------------------------ $ 82,423,127 ------------------------------------------------------------------------------ Telecommunications - Wireless -- 2.2% ------------------------------------------------------------------------------ AMERICAN CELLULAR CORPORATION $ 2,131,547 Term loan, maturing March 31, 2007 $ 1,574,680 4,166,266 Term loan, maturing March 31, 2008 3,077,829 CENTENNIAL CELLULAR CORP. 1,900,000 Term loan, maturing November 30, 2005 1,357,708 3,324,090 Term loan, maturing November 30, 2006 2,395,838 6,537,713 Term loan, maturing November 30, 2007 4,712,057 CRICKET COMMUNICATIONS, INC. 3,200,000 Term loan, maturing June 30, 2007 1,128,000 MICROCELL CONNEXIONS 7,980,890 Term loan, maturing December 30, 2005 4,918,223 7,755,128 Term loan, maturing March 1, 2006 5,014,985 NEXTEL COMMUNICATIONS, INC. 50,100,000 Term loan, maturing March 31, 2009 38,875,696 SYGNET OPERATING COMPANY (DOBSON) 11,198,665 Term loan, maturing March 31, 2007 10,045,203 10,800,592 Term loan, maturing December 23, 2007 9,688,131 TELIGENT, INC. 2,812,500 Term loan, maturing June 30, 2006* 82,032 WESTERN WIRELESS 20,000,000 Term loan, maturing September 30, 2007 14,550,000 13,770,000 Term loan, maturing September 30, 2008 10,052,100 WINSTAR COMMUNICATIONS, INC. 7,330,337 DIP loan, maturing September 30, 2002* 1,392,764 ------------------------------------------------------------------------------ $ 108,865,246 ------------------------------------------------------------------------------ Textiles & Apparel -- 0.2% ------------------------------------------------------------------------------ CLUETT AMERICAN CORP $ 5,883,374 Term loan, maturing May 18, 2005 $ 5,706,873 WALLS INDUSTRIES, INC. 4,400,047 Term loan, maturing February 28, 2005 3,520,038 6,313,104 Term loan, maturing February 28, 2006 5,050,483 ------------------------------------------------------------------------------ $ 14,277,394 ------------------------------------------------------------------------------ Theaters -- 0.3% ------------------------------------------------------------------------------ HOLLYWOOD THEATER HOLDINGS, INC. $ 8,214,054 Term loan, maturing March 31, 2006 $ 7,310,508 LOEWS CINEPLEX ENTERTAINMENT CORPORATION 4,760,795 Term loan, maturing December 5, 2002 4,754,844 2,720,455 Term loan, maturing March 31, 2007 2,717,054 REGAL CINEMAS INC. 1,950,000 Term loan, maturing December 31, 2007 1,971,938 ------------------------------------------------------------------------------ $ 16,754,344 ------------------------------------------------------------------------------ Utilities -- 0.0% ------------------------------------------------------------------------------ MICHIGAN ELECTRIC TRANSMISSION COMPANY, LLC $ 1,000,000 Term loan, maturing June 30, 2007 $ 1,009,375 ------------------------------------------------------------------------------ $ 1,009,375 ------------------------------------------------------------------------------ Total Senior Floating Rate Loan Interests (identified cost $4,511,555,982) $4,242,561,243 ------------------------------------------------------------------------------ CORPORATE BONDS & NOTES -- 1.3% PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE ------------------------------------------------------------------------------ Airlines -- 0.0% ------------------------------------------------------------------------------ DELTA AIR LINES $ 3,000 7.70%, 12/15/05 $ 2,812,245 ------------------------------------------------------------------------------ $ 2,812,245 ------------------------------------------------------------------------------ Auto Components -- 0.0% -------------------------------------------------------------------------------- KEY PLASTICS $ 828 Jr. Secured Sub. Notes 4.009%, 4/26/07 $ 628,239 1,691 Sr. Secured Sub. Notes 7.009%, 4/26/07 1,691,136 ------------------------------------------------------------------------------ $ 2,319,375 ------------------------------------------------------------------------------ Banks & Money Services -- 0.7% ------------------------------------------------------------------------------ FORD MOTOR CREDIT CORP. $ 25,000 6.875%, 2/1/06 $ 25,596,750 GENERAL MOTORS ACCEPTANCE CORP. 15,000 6.75%, 1/15/06 15,585,315 ------------------------------------------------------------------------------ $ 41,182,065 ------------------------------------------------------------------------------ Business Services - Miscellaneous -- 0.1% ------------------------------------------------------------------------------ CENDANT CORP. $ 3,000 6.875%, 8/15/06 $ 3,019,917 SERVICEMASTER 1,404 8.45%, 4/15/05 1,556,877 ------------------------------------------------------------------------------ $ 4,576,794 ------------------------------------------------------------------------------ Containers and Packaging -- 0.1% ------------------------------------------------------------------------------ TENNECO PACKAGING $ 3,000 7.20%, 12/15/05 $ 3,172,431 ------------------------------------------------------------------------------ $ 3,172,431 ------------------------------------------------------------------------------ Electronics -- 0.1% ------------------------------------------------------------------------------ PINNACLE PARTNER $ 3,000 8.83%, 8/15/04 $ 3,047,766 ------------------------------------------------------------------------------ $ 3,047,766 ------------------------------------------------------------------------------ Medical Products -- 0.1% ------------------------------------------------------------------------------ BOSTON SCIENTIFIC $ 3,000 6.625%, 3/15/05 $ 3,144,558 ------------------------------------------------------------------------------ $ 3,144,558 ------------------------------------------------------------------------------ Metals -- 0.0% ------------------------------------------------------------------------------ PHILLIPS SERVICES CORP. $ 5 6.00%, 4/15/10* $ -- ------------------------------------------------------------------------------ $ -- ------------------------------------------------------------------------------ Personal Products -- 0.0% ------------------------------------------------------------------------------ AM COSMETICS, INC. $ 4,964,271 0.00%, 5/30/07* $ -- ------------------------------------------------------------------------------ $ -- ------------------------------------------------------------------------------ Telecommunications -- 0.1% ------------------------------------------------------------------------------ AT&T CANADA, INC. $ 5,000 7.625%, 6/15/05 $ 625,000 COX COMMUNICATIONS, INC. 3,000 6.875%, 6/15/05 2,982,456 ------------------------------------------------------------------------------ $ 3,607,456 ------------------------------------------------------------------------------ Waste Disposal -- 0.1% ------------------------------------------------------------------------------ WASTE MANAGEMENT, INC. $ 3,000 6.50%, 5/15/04 $ 3,098,559 ------------------------------------------------------------------------------ $ 3,098,559 ------------------------------------------------------------------------------ Total Corporate Bonds & Notes (identified cost, $69,995,494) $ 66,961,249 ------------------------------------------------------------------------------ COMMON STOCKS, PREFERRED STOCKS AND WARRANTS -- 0.1% SHARES/RIGHTS SECURITY VALUE ------------------------------------------------------------------------------ 52,190 AM Cosmetics Common Stock* $ -- 583 AM Cosmetics Preferred Stock (Series E)* -- 337,372 American Marketing Industries Holdings, Inc.* -- 505,552 Carlyle-Key Partners, L.P.* 505,552 608 Classic Cable Common Stock Warrants* -- 33,278 Environmental Systems Products Holdings Common Stock* -- 5,764 Environmental Systems Products Holdings Preferred (Series A)* 547,541 510,222 IHDG Realty Common Stock* -- 510,222 Imperial Home Decor Group Holding Common Stock* -- 126 KAC Mezzanine Holdings Co. Warrants Class A* -- 115 KAC Mezzanine Holdings Co. Warrants Class B* -- 217 Key Plastics LLC Preferred Stock (Series A)* 217,432 331 Leiner Health Products, Inc. Preferred Stock* -- 32,910 MEDIQ Incorporated Preferred Stock (Series A)* -- 150,365 Philips Services Corporation Common Stock 99,139 34,364 Professional Services Industries Holdings, Inc.* -- 138,509 Rotech Healthcare* 4,120,643 297,015 Safelite Glass Corporation Common Stock* 1,559,329 20,048 Safelite Realty Corporation Common Stock* -- 1,083,156 Stronghaven, Inc. Warrants* -- 879 Tokheim Corporation Preferred Stock (Series A)* -- 59,602 Tokheim Corporation Stock Warrants* -- ------------------------------------------------------------------------------ TOTAL COMMON STOCKS, PREFERRED STOCKS AND WARRANTS (IDENTIFIED COST $6,906,731) $ 7,049,636 ------------------------------------------------------------------------------ COMMERCIAL PAPER -- 10.9% PRINCIPAL AMOUNT (000'S OMITTED) SECURITY VALUE ------------------------------------------------------------------------------ $ 51,092 American Express Credit Corp. 1.75%, 7/10/02 $ 51,069,647 31,391 Ciesco 1.79%, 7/19/02 31,362,905 55,000 Corporate Asset Funding 1.76%, 7/11/02 54,973,111 50,000 Corporate Asset Funding 1.77%, 7/29/02 49,931,167 28,127 Corporate Receivables Corp. 1.97%, 7/01/02 28,127,000 50,000 CXC, Inc. 1.97%, 7/01/02 50,000,000 50,000 CXC, Inc. 1.78%, 7/22/02 49,948,083 97,119 Federal Home Loan Bank Discount Note 1.88%, 7/01/02 97,119,000 50,000 Federal Home Loan Mortgage Corp. Discount Note 1.73%, 7/19/02 49,956,750 25,655 Household Finance Corp. 1.75%, 7/15/02 25,637,540 49,586 Unilever Capital Corp. 1.99%, 7/01/02 49,586,000 ------------------------------------------------------------------------------ Total Commercial Paper (at amortized cost, $537,711,203) $ 537,711,203 ------------------------------------------------------------------------------ Total Investments -- 98.1% (identified cost, $5,126,169,410) $4,854,283,331 ------------------------------------------------------------------------------ Other Assets, Less Liabilities -- 1.9% $ 92,562,073 ------------------------------------------------------------------------------ Net Assets -- 100.0% $4,946,845,404 ------------------------------------------------------------------------------ (1) Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at the election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, it is anticipated that the senior floating rate interests will have an expected average life of appoximately three years. * Non-income producing security. Note: At June 30, 2002, the Portfolio had unfunded commitments amounting to $145,673,548 under various credit agreements (unaudited). See notes to financial statements SENIOR DEBT PORTFOLIO AS OF JUNE 30, 2002 FINANCIAL STATEMENTS STATEMENT OF ASSETS AND LIABILITIES As of June 30, 2002 (Expressed in United States Dollars) Assets ------------------------------------------------------------------------------- Investments, at value (identified cost, $5,126,169,410) $ 4,854,283,331 Cash 78,749,540 Receivable for investments sold 116,613 Interest receivable 17,436,853 Prepaid expenses 468,377 ------------------------------------------------------------------------------- Total assets $ 4,951,054,714 ------------------------------------------------------------------------------- Liabilities ------------------------------------------------------------------------------- Payable for open swap contracts $ 3,780,761 Deferred facility fee income 73,033 Payable to affiliate for Trustees' fees 3,630 Accrued expenses 351,886 ------------------------------------------------------------------------------- Total liabilities $ 4,209,310 ------------------------------------------------------------------------------- Net assets applicable to investors' interest in Portfolio $ 4,946,845,404 ------------------------------------------------------------------------------- Sources of Net Assets ------------------------------------------------------------------------------- Net proceeds from capital contributions and withdrawals $ 5,222,512,244 Net unrealized depreciation (computed on the basis of identified cost) (275,666,840) ------------------------------------------------------------------------------- Total $ 4,946,845,404 ------------------------------------------------------------------------------- See notes to financial statements STATEMENT OF OPERATIONS For the Six Months Ended June 30, 2002 (Expressed in United States Dollars) Investment Income ------------------------------------------------------------------------------- Interest $ 139,621,994 Facility fees earned 301,659 ------------------------------------------------------------------------------- Total investment income $ 139,923,653 ------------------------------------------------------------------------------- Expenses ------------------------------------------------------------------------------- Investment adviser fee $ 11,542,299 Trustees' fees and expenses 12,894 Legal and accounting services 515,298 Custodian fee 371,843 Interest expense 297,478 Miscellaneous 128,826 ------------------------------------------------------------------------------- Total expenses $ 12,868,638 ------------------------------------------------------------------------------- Net investment income $ 127,055,015 ------------------------------------------------------------------------------- Realized and Unrealized Gain (Loss) ------------------------------------------------------------------------------- Net realized gain (loss) -- Investment transactions (identified cost basis) $ (105,769,044) ------------------------------------------------------------------------------- Net realized loss $ (105,769,044) ------------------------------------------------------------------------------- Change in unrealized appreciation (depreciation) -- Investments (identified cost basis) $ 60,722,278 Interest rate swap contracts (1,435,850) ------------------------------------------------------------------------------- Net change in unrealized appreciation (depreciation) $ 59,286,428 ------------------------------------------------------------------------------- Net realized and unrealized loss $ (46,482,616) ------------------------------------------------------------------------------- Net increase in net assets from operations $ 80,572,399 ------------------------------------------------------------------------------- See notes to financial statements SENIOR DEBT PORTFOLIO AS OF JUNE 30, 2002 FINANCIAL STATEMENTS STATEMENTS OF CHANGES IN NET ASSETS (Expressed in United States Dollars) INCREASE (DECREASE) SIX MONTHS ENDED YEAR ENDED IN NET ASSETS JUNE 30, 2002 DECEMBER 31, 2001 ------------------------------------------------------------------------------- From operations -- Net investment income $ 127,055,015 $ 492,628,551 Net realized loss (105,769,044) (249,556,701) Net change in unrealized appreciation (depreciation) 59,286,428 1,083,118 ----------------------------------------------------------------------------- Net increase in net assets from operations $ 80,572,399 $ 244,154,968 ----------------------------------------------------------------------------- Capital transactions -- Contributions $ 118,743,480 $ 538,735,738 Withdrawals (982,544,129) (3,074,603,727) ----------------------------------------------------------------------------- Net decrease in net assets from capital transactions $ (863,800,649) $(2,535,867,989) ----------------------------------------------------------------------------- Net decrease in net assets $ (783,228,250) $(2,291,713,021) ----------------------------------------------------------------------------- Net Assets ----------------------------------------------------------------------------- At beginning of period $5,730,073,654 $ 8,021,786,675 ----------------------------------------------------------------------------- At end of period $4,946,845,404 $ 5,730,073,654 ----------------------------------------------------------------------------- See notes to financial statements STATEMENT OF CASH FLOWS (Expressed in United States Dollars) SIX MONTHS ENDED INCREASE (DECREASE) IN CASH JUNE 30, 2002 -------------------------------------------------------------------------------- Cash flows from (used for) operating activities -- Purchase of loan interests $(1,067,729,909) Proceeds from sales and principal repayments 1,772,926,208 Interest received 147,531,376 Interest paid (342,075) Decrease in prepaid expenses 107,448 Operating expenses paid (12,841,587) Net decrease in short-term investments 59,762,143 -------------------------------------------------------------------------------- Net cash from operating activities $ 899,413,604 -------------------------------------------------------------------------------- Cash flows from (used for) financing activities -- Proceeds from capital contributions $ 118,743,480 Payments for capital withdrawals (982,544,129) -------------------------------------------------------------------------------- Net cash used for financing activities $ (863,800,649) -------------------------------------------------------------------------------- Net increase in cash $ 35,612,955 -------------------------------------------------------------------------------- Cash at beginning of period $ 43,136,585 -------------------------------------------------------------------------------- Cash at end of period $ 78,749,540 -------------------------------------------------------------------------------- Reconciliation of Net Increase in Net Assets From Operations to Net Cash From Operating Activities -------------------------------------------------------------------------------- Net increase in net assets from operations $ 80,572,399 Decrease in receivable for investments sold 671,935 Decrease in interest receivable 11,824,619 Decrease in prepaid expenses 107,448 Decrease in payable to affiliate (5,015) Decrease in deferred facility fee income (301,659) Decrease in accrued expenses (310,009) Increase in payable for open Swap contracts 1,435,850 Net decrease in investments 805,418,036 -------------------------------------------------------------------------------- Net cash from operating activities $ 899,413,604 -------------------------------------------------------------------------------- See notes to financial statements SENIOR DEBT PORTFOLIO AS OF JUNE 30, 2002 FINANCIAL STATEMENTS
SUPPLEMENTARY DATA (EXPRESSED IN UNITED STATES DOLLARS) YEAR ENDED DECEMBER 31, SIX MONTHS ENDED -------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA: JUNE 30, 2002 2001 2000 1999 1998 1997 -------------------------------------------------------------------------------------------------------------------------------- Ratios (As a percentage of average daily net assets): Operating expenses 0.47%(1) 0.47% 0.44% 0.56% 0.93% 0.94% Interest expense 0.01%(1) 0.01% 0.01% 0.01% 0.01% 0.02% Net investment income 4.71%(1) 7.04% 8.62% 7.32% 7.12% 7.12% Portfolio Turnover 23% 33% 47% 64% 56% 81% -------------------------------------------------------------------------------------------------------------------------------- Total Return(2) 1.37% 3.35% -- -- -- -- -------------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (000's omitted) $4,946,845 $5,730,074 $8,021,787 $9,386,851 $6,430,334 $4,035,072 -------------------------------------------------------------------------------------------------------------------------------- (1) Annualized. (2) Total return is required to be disclosed for fiscal years beginning after December 15, 2000.
See notes to financial statements SENIOR DEBT PORTFOLIO NOTES TO FINANCIAL STATEMENTS (EXPRESSED IN UNITED STATES DOLLARS) 1 Significant Accounting Policies ------------------------------------------------------------------------------- Senior Debt Portfolio (the Portfolio) is registered under the Investment Company Act of 1940 as a non-diversified, closed-end investment company which was organized as a trust under the laws of the State of New York on May 1, 1992. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. The following is a summary of significant accounting policies of the Portfolio. The policies are in conformity with accounting principles generally accepted in the United States of America. A Investment Valuation -- The Portfolio's investments are primarily in interests in senior floating-rate loans (Senior Loans). Certain senior loans are deemed to be liquid if reliable market quotations are readily available for them. Liquid Senior Loans are valued on the basis of prices furnished by a pricing service. Other Senior Loans are valued at fair value by the Portfolio's investment adviser, Boston Management and Research (BMR), under procedures established by the Trustees as permitted by Section 2(a)(41) of the Investment Company Act of 1940. Such procedures include the consideration of relevant factors, data and information relating to fair value, including (i) the characteristics of and fundamental analytical data relating to the Senior Loan, including the cost, size, current interest rate, period until next interest rate reset, maturity and base lending rate of the Senior Loan, the terms and conditions of the Senior Loan and any related agreements, and the position of the Senior Loan in the Borrower's debt structure; (ii) the nature, adequacy and value of the collateral, including the Portfolio's rights, remedies and interests with respect to the collateral; (iii) the creditworthiness of the Borrower, based on an evaluation of its financial condition, financial statements and information about the Borrower's business, cash flows, capital structure and future prospects; (iv) information relating to the market for the Senior Loan including price quotations for and trading in the Senior Loan, and interests in similar Senior Loans and the market environment and investor attitudes towards the Senior Loan and interests in similar Senior Loans; (v) the reputation and financial condition of the agent and any intermediate participant in the Senior Loan; and (vi) general economic and market conditions affecting the fair value of the Senior Loan. Portfolio securities (other than short-term obligations, but including listed issues) may be valued on the basis of prices furnished by one or more pricing services which determine prices for normal, institutional-size trading units of such securities which may use market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. In certain circumstances, portfolio securities will be valued at the last sales price on the exchange that is the primary market for such securities, or the last quoted bid price for those securities for which the over-the-counter market is the primary market or for listed securities in which there were no sales during the day. The value of interest rate swaps 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 Portfolio was 60 days or less or are valued at amortized cost using their value on the 61st day prior to maturity, if their original term to maturity when acquired by the Portfolio was more than 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. Facility fees received are recognized as income over the expected term of the loan. The Portfolio adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies, as revised, effective for fiscal years beginning after December 15, 2000. As required, the Portfolio accretes market discounts on debt securities. C Income Taxes -- The Portfolio is treated as a partnership for federal tax purposes. No provision is made by the Portfolio for federal or state taxes on any taxable income of the Portfolio because each investor in the Portfolio is ultimately responsible for the payment of any taxes. Since at least one of the Portfolio's investors is a regulated investment company that invests all or substantially all of its assets in the Portfolio, the Portfolio normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order for its investors to satisfy them. The Portfolio will allocate at least annually among its investors each investor's distributive share of the Portfolio's net investment income, net realized capital gains, and any other items of income, gain, loss, deduction or credit. Withholding taxes on foreign dividends and capital gains have been provided for in accordance with the Portfolio's understanding of the applicable countries' tax rules and rates. D Interest Rate Swaps -- The Portfolio may use interest rate swaps for risk management purposes and not as a speculative investment. Pursuant to these agreements the Portfolio receives quarterly payments at a rate equal to a predetermined three-month LIBOR. In exchange, the Portfolio makes semi- annual payments at a predetermined fixed rate of interest. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains and losses. The value of the swap is determined by changes in the relationship between two rates of interest. The Portfolio is exposed to credit loss in the event of non-performance by the swap counterparty. The Portfolio does not anticipate non-performance by the counterparty. Risk may also arise from the unanticipated movements in value of interest rates. E Other -- Investment transactions are accounted for on a trade date basis. F Use of Estimates -- The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenue and expense during the reporting period. Actual results could differ from those estimates. 2 Investment Adviser Fee and Other Transactions with Affiliates -------------------------------------------------------------------------------- The investment advisory fee is paid to BMR as compensation for investment advisory services rendered to the Portfolio. The fee is computed at a monthly rate of 19/240 of 1% (0.95% annually) of the Portfolio's average daily gross assets up to and including $1 billion and at reduced rates as daily gross assets exceed that level. Effective May 1, 1999, the Trustees of the Portfolio voted to accept a waiver of BMR's compensation so that the aggregate advisory fees paid by the Portfolio under the advisory agreement during any fiscal year will not exceed, on an annual basis, 0.50% of average daily gross assets of the Portfolio up to and including $1 billion and at reduced rates as daily gross assets exceed that level. For the six months ended June 30, 2002, the effective annual rate, based on average daily gross assets, was 0.43% and amounted to $11,542,299. Except as to Trustees of the Portfolio who are not members of BMR's organization, officers and Trustees receive remuneration for their services to the Portfolio out of such investment adviser fee. Certain officers and Trustees of the Portfolio are officers of BMR. Trustees of the Portfolio that are not affiliated with the Investment Adviser may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the six months ended June 30, 2002, no significant amounts have been deferred. During the six months ended June 30, 2002 the Portfolio engaged in purchase and sale transactions with other funds that also utilize BMR, or an affiliate of BMR, as an investment adviser. These purchase and sale transactions complied with Rule 17a-7 under the Investment Company Act of 1940 and amounted to $1,960,627 and $20,469,348, respectively. 3 Investments -------------------------------------------------------------------------------- The Portfolio invests primarily in Senior Loans. The ability of the issuers of the Senior Loans to meet their obligations may be affected by economic developments in a specific industry. The cost of purchases and the proceeds from principal repayments and sales of Senior Loans for the six months ended June 30, 2002 aggregated $1,067,729,909 and $1,772,926,208, respectively. 4 Short-Term Debt and Credit Agreements -------------------------------------------------------------------------------- The Portfolio participates with other portfolios managed by BMR in a $600 million unsecured line of credit with a group of banks to permit the Portfolio to invest in accordance with its investment practices. Interest is charged under the credit agreement at the bank's base rate or at an amount above LIBOR. Interest expense includes a commitment fee of $297,478 which is computed at the annual rate of 0.10% of the credit agreement. There were no significant borrowings under this agreement during the six months ended June 30, 2002. As of June 30, 2002, the Portfolio had no borrowings outstanding. 5 Financial Instruments -------------------------------------------------------------------------------- The Portfolio may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities and to assist in managing exposure to various market risks. These financial instruments include written options, financial futures contracts and interest rate swaps and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Portfolio has in particular classes of financial instruments and does not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. The Portfolio has entered into an interest rate swap agreement with Morgan Guaranty Trust Company of New York whereby the Portfolio makes monthly payments at a fixed rate of 5.655% on the notional amount of $57,000,000. In exchange, the Portfolio receives payments equal to LIBOR on the same notional amount. The value of the contract, which terminates at February 1, 2006, is recorded as a payable for open swap contracts of $3,780,761 at June 30, 2002. 6 Federal Income Tax Basis of Unrealized Appreciation (Depreciation) -------------------------------------------------------------------------------- The cost and unrealized appreciation/depreciation in the value of the investments owned at June 30, 2002, as computed on a federal income tax basis, were as follows: Aggregate cost $5,126,169,410 ------------------------------------------------------------------------- Gross unrealized appreciation $ 14,250,842 Gross unrealized depreciation (286,136,921) ------------------------------------------------------------------------- Net unrealized depreciation $ (271,886,079) ------------------------------------------------------------------------- SENIOR DEBT PORTFOLIO AS OF JUNE 30, 2002 INDEPENDENT AUDITORS' REPORT To the Trustees and Investors of Senior Debt Portfolio: -------------------------------------------------------------------------------- We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of Senior Debt Portfolio (the Portfolio) as of June 30, 2002, the related statements of operations and cash flows for the six months then ended, the statements of changes in net assets for the six months ended June 30, 2002 and the year ended December 31, 2001, and the supplementary data for the six months ended June 30, 2002 and each of the years in the five-year period ended December 31, 2001. These financial statements and supplementary data are the responsibility of the Portfolio's management. Our responsibility is to express an opinion on these financial statements and supplementary data based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and supplementary data are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities and Senior Loans owned at June 30, 2002 by correspondence with the custodian and selling or agent banks; where replies were not received from selling or agent banks, we performed other auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, such financial statements and supplementary data present fairly, in all material respects, the financial position of Senior Debt Portfolio as of June 30, 2002, and the results of its operations, its cash flows, the changes in its net assets and its supplemental data for the respective stated periods, in conformity with accounting principles generally accepted in the United States of America. DELOITTE & TOUCHE LLP Boston, Massachusetts August 23, 2002 EATON VANCE INSTITUTIONAL SENIOR FLOATING-RATE FUND AS OF JUNE 30, 2002 INVESTMENT MANAGEMENT EATON VANCE INSTITUTIONAL SENIOR FLOATING-RATE FUND OFFICERS TRUSTEES James B. Hawkes Jessica M. Bibliowicz President and Trustee President and Chief Executive Officer National Financial Partners Scott H. Page Vice President Donald R. Dwight President, Dwight Partners, Inc. Payson F. Swaffield Vice President Samuel L. Hayes, III Jacob H. Schiff Professor of Investment Banking Emeritus, Harvard University James L. O'Connor Graduate School of Business Administration Treasurer Norton H. Reamer Alan R. Dynner President, Unicorn Corporation Secretary Chairman, Hellman, Jordan Management Co., Inc. Advisory Director of Berkshire Capital Corporation Lynn A. Stout Professor of Law, UCLA School of Law Jack L. Treynor Investment Adviser and Consultant SENIOR DEBT PORTFOLIO OFFICERS TRUSTEES James B. Hawkes Jessica M. Bibliowicz President and Trustee President and Chief Executive Officer, National Financial Partners Scott H. Page Vice President and Donald R. Dwight Co-Portfolio Manager President, Dwight Partners, Inc. Payson F. Swaffield Samuel L. Hayes, III Vice President and Jacob H. Schiff Professor of Investment Banking Co-Portfolio Manager Emeritus, Harvard University Graduate School of Business Administration James L. O'Connor Treasurer Norton H. Reamer President, Unicorn Corporation Chairman, Hellman, Jordan Management Co., Inc. Alan R. Dynner Advisory Director of Berkshire Capital Corporation Secretary Lynn A. Stout Professor of Law, UCLA School of Law Jack L. Treynor Investment Adviser and Consultant INVESTMENT ADVISER OF SENIOR DEBT PORTFOLIO BOSTON MANAGEMENT AND RESEARCH THE EATON VANCE BUILDING 255 STATE STREET BOSTON, MA 02109 ADMINISTRATOR OF EATON VANCE INSTITUTIONAL SENIOR FLOATING-RATE FUND EATON VANCE MANAGEMENT THE EATON VANCE BUILDING 255 STATE STREET BOSTON, MA 02109 PRINCIPAL UNDERWRITER EATON VANCE DISTRIBUTORS, INC. THE EATON VANCE BUILDING 255 STATE STREET BOSTON, MA 02109 (617) 482-8260 CUSTODIAN INVESTORS BANK & TRUST COMPANY 200 CLARENDON STREET BOSTON, MA 02116 TRANSFER AGENT PFPC INC. ATTN: EATON VANCE FUNDS P.O. BOX 9653 PROVIDENCE, RI 02940-9653 (800) 262-1122 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 INSTITUTIONAL SENIOR FLOATING-RATE FUND THE EATON VANCE BUILDING 255 STATE STREET BOSTON, MA 02109 This report must be preceded or accompanied by a current prospectus which contains more complete information on the Fund, including its expenses. Please read the prospectus carefully before you invest or send money. 168-8/02 I-SFRSRC