FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-09013
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Eaton Vance Senior Income Trust
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(Exact Name of Registrant as Specified in Charter)
The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
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(Address of Principal Executive Offices)
Alan R. Dynner
The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
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(Name and Address of Agent for Services)
(617) 482-8260
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(Registrant's Telephone Number)
June 30
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Date of Fiscal Year End
December 31, 2003
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Date of Reporting Period
ITEM 1. REPORTS TO STOCKHOLDERS
[EATON VANCE(R) MANAGED INVESTMENTS LOGO]
[GRAPHIC]
SEMIANNUAL REPORT DECEMBER 31, 2003
[GRAPHIC]
EATON VANCE SENIOR INCOME TRUST
[GRAPHIC]
EATON VANCE FUNDS
EATON VANCE MANAGEMENT
BOSTON MANAGEMENT AND RESEARCH
EATON VANCE DISTRIBUTORS, INC.
PRIVACY NOTICE
The Eaton Vance organization is committed to ensuring your financial privacy.
This notice is being sent to comply with privacy regulations of the Securities
and Exchange Commission. Each of the above financial institutions has in effect
the following policy with respect to nonpublic personal information about its
customers:
- Only such information received from you, through application forms or
otherwise, and information about your Eaton Vance fund transactions will be
collected.
- None of such information about you (or former customers) will be disclosed to
anyone, except as permitted by law (which includes disclosure to employees
necessary to service your account).
- Policies and procedures (including physical, electronic and procedural
safeguards) are in place that are designed to protect the confidentiality of
such information.
For more information about Eaton Vance's privacy policies, call: 1-800-262-1122.
IMPORTANT NOTICE
REGARDING DELIVERY OF
SHAREHOLDER DOCUMENTS
The Securities and Exchange Commission permits funds to deliver only one copy of
shareholder documents, including prospectuses, proxy statements and shareholder
reports, to fund investors with multiple accounts at the same residential or
post office box address. This practice is often called "householding" and it
helps eliminate duplicate mailings to shareholders.
EATON VANCE, OR YOUR FINANCIAL ADVISER, MAY HOUSEHOLD THE MAILING OF YOUR
DOCUMENTS INDEFINITELY UNLESS YOU INSTRUCT EATON VANCE, OR YOUR FINANCIAL
ADVISER, OTHERWISE.
If you would prefer that your Eaton Vance documents not be householded, please
contact Eaton Vance at 1-800-262-1122, or contact your financial adviser.
Your instructions that householding not apply to delivery of your Eaton Vance
documents will be effective within 30 days of receipt by Eaton Vance or your
financial adviser.
From time to time, funds are required to vote proxies related to the securities
held by the funds. The Eaton Vance Funds or their underlying Portfolios vote
proxies according to a set of policies and procedures approved by the Funds' and
Portfolios' Boards. You may obtain a description of these policies and
procedures without charge, upon request, by calling 1-800-262-1122. This
description is also available on the Securities and Exchange Commission's
website at http://www.sec.gov.
EATON VANCE SENIOR INCOME TRUST AS OF DECEMBER 31, 2003
INVESTMENT UPDATE
INVESTMENT ENVIRONMENT
THE LOAN MARKET
- The loan market - and the Trust - performed well in 2003, as a stronger
economy generated strong impressive profit growth. Not surprisingly, credit
conditions made a turn for the better, as balance sheets improved. Reflecting
that trend, loan default rates were significantly lower than a year ago.
- The loan market was characterized by strong investor demand that surpassed new
loan supply. While merger and acquisition activity has resulted in some new
deals, strong technicals within the loan market have caused a slight decline
in interest rate spreads. Nonetheless, loans continued to provide a yield
advantage over most short-term fixed-income vehicles.
- The Federal Reserve's benchmark Federal Funds rate remained at a 45-year low.
However, by year-end, a stronger economy led to growing speculation about the
possibility of a reversal in policy and future rate increases. Floating-rate
loans would benefit if there is an uptick in rates.
THE TRUST
PERFORMANCE
- Based on the Trust's December 2003 monthly dividend of $0.036 and a closing
share price of $9.22, the Trust had a market yield of 4.69%.(1) The Trust's
market yield represented a yield advantage over many other income-producing
vehicles.
THE TRUST'S INVESTMENTS
- Diversification has remained a primary theme.(2) The Trust has maintained an
exposure to a range of industries, including cyclical and defensive sectors.
At December 31, 2003, the Trust included 261 borrowers, representing 48
industries, with no single sector accounting for as much as 10% of the Trust.
The average exposure to a single issuer as a percentage of the Trust's total
net assets was just 0.33%. High-yield corporate bonds constituted 12.0% of the
Trust's net assets. The Trust had leverage (borrowing and auction preferred
shares) of $203 million at December 31, 2003, representing 39.2% of the
Trust's total assets.
- The Trust's largest sector weighting was printing and publishing companies.
Overall, the sector held up very well during the economic downturn in
2001-2002 and has historically benefited from an economic recovery. The Trust
had several investments in newspaper companies whose revenues are based on
local advertising expenditures. Local ad spending has tended to be more stable
in economic downturns than national advertising. In addition, newspaper
companies have benefited from a consolidation trend within the sector, with
larger chains buying smaller newspaper companies.
- In the cable television area, the Trust had investments in several of the
nation's leading cable and satellite broadcasting services. For example, one
company registered 20% revenue growth in 2003, driven by strong subscriber
growth and an impressive increase in per-subscriber revenues.
- Within the chemical sector, the Trust had investments in both specialty and
commodity chemical producers. One such company is one of the largest
manufacturers of base commodity chemicals, such as ethylene, propylene and
polyurethene, key inputs used in the manufacture of plastics. Other companies
create chemicals used in textile manufacture and polymers used in paints,
coatings and adhesives.
- While no sectors specifically hurt performance, the Trust had an
underweighting in the distressed technology and telecom sectors. These sectors
declined sharply during last year's market decline and, not surprisingly,
rallied more sharply than the broad market as the economy rebounded in 2003.
The views expressed in this report are those of the portfolio managers and are
current only through the end of the period of the report as stated on the cover.
These views are subject to change at any time based upon market or other
conditions, and Eaton Vance disclaims any responsibility to update such views.
These views may not be relied on as investment advice and, because investment
decisions for an Eaton Vance fund are based on many factors, may not be relied
on as an indication of trading intent on behalf of any Eaton Vance fund.
FUND INFORMATION
as of December 31, 2003
PERFORMANCE(3)
AVERAGE ANNUAL TOTAL RETURN (BY SHARE PRICE, NYSE)
One Year 25.36%
Five Years 7.70
Life of Fund (10/30/98) 6.52
AVERAGE ANNUAL TOTAL RETURN (AT NET ASSET VALUE)
One Year 12.52%
Five Years 5.13
Life of Fund (10/30/98) 5.29
FIVE LARGEST SECTOR WEIGHTINGS(4)
Printing & Publishing 9.2%
Cable Television 8.5%
Chemicals 7.2%
Casinos & Gaming 7.2%
Health Care - Providers/Services 6.9%
(1) The Trust's market yield is calculated by dividing the most recent dividend
per share by the share market price at the end of the period and annualizing the
result. (2) The Trust is a non-diversified investment. (3) Returns are
historical and are calculated by determining the percentage change in market
value or net asset value with all distributions reinvested. (4) Five Largest
Sector Weightings account for 39.0% of the Trust's net assets, determined by
dividing the total market value of the holdings by the net assets of the Trust.
Five Largest Sector Weightings refer only to senior floating-rate loan portion
of the Trust and are subject to change.
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Performance is for the stated time period
only; due to market volatility, the Fund's current performance may be lower or
higher.
Shares of the Trust are not insured by the FDIC and are not deposits or other
obligations of, or guaranteed by, any depository institution. Shares are subject
to investment risks, including possible loss of principal invested. Yield will
change.
2
EATON VANCE SENIOR INCOME TRUST AS OF DECEMBER 31, 2003
PORTFOLIO OF INVESTMENTS
SENIOR, FLOATING RATE INTERESTS -- 142.8%(1)
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
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ADVERTISING -- 1.5%
LAMAR MEDIA CORP.
$ 4,500,000 Term Loan, Maturing June 30, 2010 $ 4,547,812
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$ 4,547,812
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AEROSPACE & DEFENSE -- 2.1%
ALLIANT TECHSYSTEMS, INC.
$ 3,027,960 Term Loan, Maturing April 20, 2009 $ 3,063,117
TRANSDIGM, INC.
1,995,000 Term Loan, Maturing July 22, 2010 2,018,691
UNITED DEFENSE INDUSTRIES, INC.
1,630,660 Term Loan, Maturing October 6, 2005 1,638,814
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$ 6,720,622
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AUTO COMPONENTS -- 5.9%
ACCURIDE CORP.
$ 1,920,000 Term Loan, Maturing September 30, 2004 $ 1,942,401
COLLINS & AIKMAN
628,573 Term Loan, Maturing December 31, 2004 625,430
435,408 Term Loan, Maturing December 31, 2005 435,844
DURA OPERATING CORP.
989,950 Term Loan, Maturing March 31, 2007 997,529
EXIDE CORP.
2,000,000 DIP Loan, Maturing February 15, 2004 1,970,000
508,349 Term Loan, Maturing March 18, 2005(2) 370,247
253,920 Revolving Loan, Maturing March 18, 2005(2) 184,938
58,470 Term Loan, Maturing March 18, 2005(2) 42,585
FEDERAL-MOGUL CORP.
750,000 Term Loan, Maturing February 24, 2004 654,844
763,183 Term Loan, Maturing February 24, 2004 761,275
1,500,000 Term Loan, Maturing February 24, 2005 1,318,125
HLI OPERATING CO., INC.
2,244,375 Term Loan, Maturing June 3, 2009 2,279,443
J.L. FRENCH AUTOMOTIVE CASTINGS, INC.
442,643 Term Loan, Maturing November 30, 2006 429,640
METALDYNE, INC.
1,319,849 Term Loan, Maturing December 31, 2009 1,314,488
THE GOODYEAR TIRE & RUBBER CO.
1,000,000 Term Loan, Maturing March 31, 2006 1,008,750
TRW AUTOMOTIVE HOLDINGS CORP.
4,000,000 Term Loan, Maturing February 28, 2011 4,036,668
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$ 18,372,207
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BROADCAST MEDIA -- 6.0%
BLOCK COMMUNICATIONS
$ 937,405 Term Loan, Maturing November 30, 2009 $ 946,194
CANWEST MEDIA, INC.
2,984,615 Term Loan, Maturing May 15, 2009 3,016,327
CUMULUS MEDIA, INC.
1,985,000 Term Loan, Maturing March 28, 2010 2,009,812
DISCOVERY COMMUNICATIONS, INC.
449,557 Revolving Loan, Maturing December 31, 2004 424,831
1,000,000 Term Loan, Maturing December 31, 2005 999,375
EMMIS COMMUNICATION CORP.
1,496,250 Term Loan, Maturing August 31, 2009 1,515,992
GRAY TELEVISION, INC.
1,000,000 Term Loan, Maturing December 31, 2010 1,010,875
LIN TELEVISION CORP.
773,571 Term Loan, Maturing December 31, 2007 781,031
696,429 Term Loan, Maturing December 31, 2007 702,813
PANAMSAT CORP.
538,462 Term Loan, Maturing September 30, 2010 544,631
PAXSON COMMUNICATIONS CORP.
1,684,542 Term Loan, Maturing June 30, 2006 1,691,912
SINCLAIR TELEVISION GROUP, INC.
3,158,350 Term Loan, Maturing December 31, 2009 3,186,267
SUSQUEHANNA MEDIA CO.
1,520,000 Term Loan, Maturing June 30, 2007 1,527,600
491,250 Term Loan, Maturing June 30, 2008 496,162
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$ 18,853,822
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CABLE TELEVISION -- 8.5%
ADELPHIA
$ 3,927,591 DIP Loan, Maturing June 25, 2004 $ 3,963,595
BRESNAN COMMUNICATIONS, LLC
1,000,000 Term Loan, Maturing September 30, 2010 1,008,125
CHARTER COMMUNICATIONS OPERATING, LLC
6,238,875 Term Loan, Maturing March 18, 2008 6,047,423
CHARTER COMMUNICATIONS VIII
2,940,000 Term Loan, Maturing February 2, 2008 2,851,538
CLASSIC CABLE, INC.
490,018 Term Loan, Maturing January 16, 2006 477,768
219,402 Term Loan, Maturing January 16, 2008 213,917
41,708 Revolving Loan, Maturing January 16, 2008 40,666
CSG SYSTEMS INTL, INC.
665,134 Term Loan, Maturing December 31, 2006 659,314
613,454 Term Loan, Maturing December 31, 2007 611,153
DIRECTTV HOLDINGS, LLC
4,000,000 Term Loan, Maturing March 6, 2010(3) 4,027,252
See notes to financial statements.
3
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
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CABLE TELEVISION (CONTINUED)
INSIGHT MIDWEST HOLDINGS, LLC
$ 1,500,000 Term Loan, Maturing December 31, 2009 $ 1,506,562
2,000,000 Term Loan, Maturing December 31, 2009 2,008,594
MCC IOWA, LLC
850,000 Term Loan, Maturing September 30, 2010 855,254
MEDIACOM SOUTHEAST
773,333 Revolving Loan, Maturing March 31, 2008 775,266
1,477,500 Term Loan, Maturing September 30, 2008 1,481,194
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$ 26,527,621
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CASINOS AND GAMING -- 7.2%
ALLIANCE GAMING CORP.
$ 3,000,000 Term Loan, Maturing September 5, 2009 $ 3,032,499
AMERISTAR CASINOS, INC.
1,480,856 Term Loan, Maturing December 31, 2006 1,489,186
ARGOSY GAMING CO.
2,900,379 Term Loan, Maturing June 30, 2008 2,916,693
AZTAR CORP.
2,423,858 Term Loan, Maturing June 30, 2005 2,434,462
BOYD GAMING CORP.
2,460,031 Term Loan, Maturing June 24, 2008 2,474,177
ISLE OF CAPRI CASINOS
3,689,312 Term Loan, Maturing April 25, 2008 3,719,000
MARINA DISTRICT FINANCE CO.
101,695 Revolving Loan, Maturing December 31, 2007 99,153
1,290,254 Term Loan, Maturing December 31, 2007(3) 1,307,189
MGM MIRAGE
1,000,000 Term Loan, Maturing November 24, 2008 1,003,438
PENN NATIONAL GAMING, INC.
1,003,420 Term Loan, Maturing July 31, 2006(3) 1,015,806
SCIENTIFIC GAMES CORP.
1,000,000 Term Loan, Maturing December 31, 2009 1,013,750
VENETIAN CASINO RESORT, LLC/LAS VEGAS SANDS, INC
983,766 Term Loan, Maturing June 4, 2008 996,882
VENETIAN CASINO RESORT, LLC/LAS VEGAS SANDS, INC.
966,667 Term Loan, Maturing June 4, 2007 967,875
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$ 22,470,110
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CHEMICALS -- 7.2%
ARTEVA B.V. (KOSA)
$ 1,775,345 Term Loan, Maturing December 31, 2006 $ 1,770,907
AVECIA INVESTMENTS, LTD.
345,328 Term Loan, Maturing June 30, 2007 331,515
212,644 Term Loan, Maturing June 30, 2008 204,138
CP KELCO U.S., INC.
$ 1,031,122 Term Loan, Maturing March 31, 2008 $ 1,038,211
339,690 Term Loan, Maturing September 30, 2008 342,025
GEORGIA GULF CORP.
1,000,000 Term Loan, Maturing December 2, 2010 1,009,063
HUNTSMAN INTERNATIONAL
1,154,381 Term Loan, Maturing June 30, 2007 1,160,442
1,154,381 Term Loan, Maturing June 30, 2008 1,160,635
HUNTSMAN, LLC
796,156 Term Loan, Maturing March 31, 2007 749,979
1,051,580 Term Loan, Maturing March 31, 2007 990,588
IMC GLOBAL, INC.
2,921,802 Term Loan, Maturing November 17, 2006 2,955,403
MESSER GRIESHAM GmbH
2,446,830 Term Loan, Maturing April 30, 2009 2,470,024
412,894 Term Loan, Maturing April 30, 2010 416,808
NALCO CO.
4,000,000 Term Loan, Maturing November 4, 2010 4,020,500
NOVEON
1,500,000 Term Loan, Maturing December 31, 2009 1,515,937
POLYMER GROUP, INC.
2,072,086 Term Loan, Maturing December 31, 2006 2,075,972
WESTLAKE CHEMICAL CORP.
497,500 Term Loan, Maturing July 31, 2010 503,874
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$ 22,716,021
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COAL -- 0.2%
PEABODY ENERGY CORP.
$ 744,375 Term Loan, Maturing March 31, 2010 $ 752,827
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$ 752,827
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COMMERCIAL SERVICES -- 4.4%
ADVANSTAR COMMUNICATIONS INC.
$ 298,128 Term Loan, Maturing November 17, 2007 $ 298,128
ANTHONY CRANE RENTAL, L.P.
1,221,828 Term Loan, Maturing July 20, 2006(3) 657,344
COINMACH LAUNDRY CORP.
3,820,508 Term Loan, Maturing July 25, 2009 3,842,793
CORRECTIONS CORPORATION OF AMERICA
984,773 Term Loan, Maturing March 31, 2008 996,467
ENVIRONMENTAL SYSTEMS PRODUCTS HLDGS, INC.
973,324 Term Loan, Maturing December 12, 2008 979,407
GATE GOURMET BORROWER, LLC
1,980,000 Term Loan, Maturing December 31, 2008 1,951,537
See notes to financial statements.
4
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
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COMMERCIAL SERVICES (CONTINUED)
IDENTITY NOW HOLDINGS, LLC
$ 452,315 Term Loan, Maturing November 30, 2006(3) $ 339,236
INTERLINE BRANDS, INC.
1,462,500 Term Loan, Maturing November 30, 2009 1,470,270
LANGUAGE LINE, LLC
500,000 Term Loan, Maturing December 31, 2008 502,812
METOKOTE CORP.
505,414 Term Loan, Maturing November 2, 2005 500,992
PANAVISION INTERNATIONAL, L.P.
2,384,819 Term Loan, Maturing March 31, 2005 2,360,971
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$ 13,899,957
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COMMUNICATIONS EQUIPMENT -- 0.7%
AMPHENOL CORP.
$ 2,045,000 Term Loan, Maturing May 6, 2010 $ 2,061,403
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$ 2,061,403
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CONSTRUCTION MATERIALS -- 0.6%
FORMICA CORP.
$ 116,457 Term Loan, Maturing May 1, 2004 $ 113,108
344,505 Revolving Loan, Maturing May 1, 2004 334,600
799,878 Term Loan, Maturing April 30, 2006 776,882
PANOLAM INDUSTRIES, INC.
612,439 Term Loan, Maturing December 31, 2006 612,439
TAPCO INTERNATIONAL CORP.
1,515 Term Loan, Maturing June 23, 2007 1,518
910 Term Loan, Maturing June 23, 2008 912
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$ 1,839,459
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CONTAINERS AND PACKAGING-METAL AND GLASS -- 2.3%
OWENS-ILLINOIS, INC.
$ 1,000,000 Term Loan, Maturing April 1, 2007 $ 1,005,625
1,500,000 Term Loan, Maturing April 1, 2008 1,514,374
SILGAN HOLDINGS, INC.
4,585,784 Term Loan, Maturing December 31, 2008 4,623,044
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$ 7,143,043
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CONTAINERS AND PACKAGING-PAPER -- 5.5%
GRAPHIC PACKAGING INTERNATIONAL, INC.
$ 4,975,000 Term Loan, Maturing August 8, 2009 $ 5,041,541
GREIF BROS. CORP.
757,956 Term Loan, Maturing August 31, 2008 762,017
IMPAXX, INC.
807,333 Term Loan, Maturing December 31, 2005(3) 557,060
JEFFERSON SMURFIT CORP.
$ 2,745,454 Term Loan, Maturing March 31, 2007 $ 2,764,044
PORT TOWNSEND PAPER CORP.
972,500 Term Loan, Maturing March 16, 2007 904,425
PRINTPACK HOLDINGS, INC.
3,456,171 Term Loan, Maturing April 30, 2009(3) 3,469,132
STONE CONTAINER CORP.
3,230,082 Term Loan, Maturing June 30, 2009 3,255,115
547,283 Term Loan, Maturing June 30, 2009 551,524
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$ 17,304,858
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CONTAINERS AND PACKAGING-PLASTICS -- 2.1%
BERRY PLASTICS CORP.
$ 1,973,766 Term Loan, Maturing July 22, 2010 $ 1,993,503
CONSOLIDATED CONTAINER HOLDINGS, LLC
492,371 Term Loan, Maturing June 30, 2007 469,394
CROWN CORK AND SEAL CO., INC.
3,562,500 Term Loan, Maturing September 15, 2008 3,606,586
TEKNI-PLEX, INC.
369,279 Term Loan, Maturing March 31, 2006 369,355
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$ 6,438,838
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EDUCATIONAL SERVICES -- 1.1%
JOSTENS, INC.
$ 1,500,000 Term Loan, Maturing July 15, 2010 $ 1,514,962
KNOWLEDGE LEARNING CORP.
1,000,000 Term Loan, Maturing May 15, 2010 1,000,000
WEEKLY READER CORP.
955,337 Term Loan, Maturing September 30, 2007 957,725
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$ 3,472,687
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ENTERTAINMENT -- 3.6%
AMF BOWLING WORLDWIDE, INC.
$ 849,633 Term Loan, Maturing February 28, 2008 $ 852,111
AMFAC RESORTS, INC.
1,136,724 Term Loan, Maturing September 30, 2003 1,135,303
1,136,724 Term Loan, Maturing September 30, 2004 1,135,303
HOLLYWOOD ENTERTAINMENT CORP.
725,000 Term Loan, Maturing March 31, 2008 730,097
SIX FLAGS THEME PARKS, INC.
2,500,000 Term Loan, Maturing June 30, 2009 2,500,222
UNIVERSAL CITY DEVELOPMENT PARTNERS, L.P.
1,429,141 Term Loan, Maturing June 30, 2007 1,434,947
See notes to financial statements.
5
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
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ENTERTAINMENT (CONTINUED)
VIVENDI UNIVERSAL ENTERTAINMENT, LLP
$ 3,500,000 Term Loan, Maturing June 30, 2008 $ 3,528,875
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$ 11,316,858
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ENVIRONMENTAL SERVICES -- 2.5%
ALLIED WASTE INDUSTRIES, INC.
$ 500,000 Term Loan, Maturing January 15, 2010 $ 506,302
3,456,250 Term Loan, Maturing July 15, 2010 3,502,190
CASELLA WASTE SYSTEMS, INC.
1,650,000 Term Loan, Maturing January 24, 2010 1,664,850
IESI CORP.
500,000 Term Loan, Maturing September 30, 2010 505,937
STERICYCLE, INC.
623,421 Term Loan, Maturing November 10, 2006 628,486
WASTE CONNECTIONS
1,000,000 Term Loan, Maturing October 22, 2010 1,012,813
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$ 7,820,578
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FOOD, BEVERAGES AND TOBACCO -- 6.9%
AMERICAN SEAFOOD HOLDINGS, INC.
$ 434,316 Term Loan, Maturing September 30, 2007 $ 432,687
774,926 Term Loan, Maturing March 31, 2009 778,074
AURORA FOODS, INC.
449,551 Term Loan, Maturing September 30, 2006 458,472
2,019,830 Term Loan, Maturing September 30, 2006 2,059,912
247,780 Term Loan, Maturing March 31, 2007 252,697
DEAN FOODS CO.
1,492,499 Term Loan, Maturing July 15, 2008 1,508,434
DEL MONTE CORP.
2,310,243 Term Loan, Maturing December 20, 2010 2,339,361
DR. PEPPER/SEVEN UP BOTTLING GROUP, INC
1,500,000 Term Loan, Maturing December 19, 2010 1,517,187
DS WATERS ENTERPRISES, L.P.
1,000,000 Term Loan, Maturing November 7, 2009 1,015,417
EAGLE FAMILY FOODS, INC
225,011 Term Loan, Maturing December 31, 2005 217,136
INTERSTATE BRANDS CORP.
2,927,444 Term Loan, Maturing July 19, 2007 2,939,519
492,500 Term Loan, Maturing July 19, 2007 493,500
MERISANT CO.
917,476 Term Loan, Maturing January 31, 2010 926,938
MICHAEL FOODS, INC.
500,000 Term Loan, Maturing November 20, 2011 510,625
NUTRA SWEET
1,350,000 Term Loan, Maturing June 30, 2008 1,331,437
PINNACLE FOODS HOLDINGS CORP.
$ 330,275 Term Loan, Maturing November 25, 2010 $ 330,585
REDDY ICE GROUP, INC.
997,500 Term Loan, Maturing July 31, 2009 1,008,514
SEMINIS VEGETABLE SEEDS, INC.
997,500 Term Loan, Maturing September 30, 2009 1,010,592
SOUTHERN WINE & SPIRITS OF AMERICA, INC.
2,465,053 Term Loan, Maturing June 28, 2008 2,490,732
--------------------------------------------------------------------------------------
$ 21,621,819
--------------------------------------------------------------------------------------
FUNERAL SERVICE -- 0.1%
ALDERWOODS GROUP
$ 447,075 Term Loan, Maturing September 28, 2008 $ 453,641
--------------------------------------------------------------------------------------
$ 453,641
--------------------------------------------------------------------------------------
HEALTH CARE-EQUIPMENT AND SUPPLIES -- 2.3%
CONMED CORP.
$ 2,329,335 Term Loan, Maturing December 31, 2007(3) $ 2,352,629
EMPI CORP.
500,000 Term Loan, Maturing November 24, 2009 506,250
FISHER SCIENTIFIC INTERNATIONAL, LLC
1,060,622 Term Loan, Maturing March 31, 2010 1,066,588
KINETIC CONCEPTS, INC.
497,500 Term Loan, Maturing October 3, 2009 503,719
254,881 Term Loan, Maturing March 31, 2004 255,518
QUINTILES TRANSNATIONAL CORP.
1,496,250 Term Loan, Maturing September 25, 2009 1,513,083
SYBRON DENTAL MANAGEMENT
1,095,099 Term Loan, Maturing June 6, 2009 1,101,533
--------------------------------------------------------------------------------------
$ 7,299,320
--------------------------------------------------------------------------------------
HEALTH CARE-PROVIDERS & SERVICES -- 6.9%
ALARIS MEDICAL SYSTEMS, INC
$ 816,778 Term Loan, Maturing June 30, 2009 $ 826,375
ALLIANCE IMAGING, INC.
1,806,425 Term Loan, Maturing June 10, 2008 1,796,264
AMERISOURCE BERGEN CORP.
3,000,000 Term Loan, Maturing March 31, 2005 3,009,375
CAREMARK RX, INC
989,924 Term Loan, Maturing March 31, 2006 995,803
COMMUNITY HEALTH SYSTEMS, INC.
3,456,250 Term Loan, Maturing July 5, 2010 3,492,973
See notes to financial statements.
6
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
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HEALTH CARE-PROVIDERS & SERVICES (CONTINUED)
CONCENTRA OPERATING CORP.
$ 995,000 Term Loan, Maturing June 30, 2009 $ 1,006,194
CROSS COUNTRY HEALTHCARE, INC.
745,570 Term Loan, Maturing June 5, 2009 756,753
DAVITA, INC.
2,983,838 Term Loan, Maturing March 31, 2009 3,003,553
EXPRESS SCRIPTS, INC.
500,000 Term Loan, Maturing March 31, 2008 504,063
FHC HEALTH SYSTEMS, INC.
348,214 Term Loan, Maturing December 18, 2009 350,826
FRESENIUS MEDICAL CARE HOLDINGS, INC.
2,487,500 Term Loan, Maturing February 21, 2010 2,517,039
MAGELLAN HEALTH SERVICES, INC.
276,396 Term Loan, Maturing February 12, 2005 277,259
276,396 Term Loan, Maturing February 12, 2006 277,259
TEAM HEALTH
1,427,847 Term Loan, Maturing October 31, 2008 1,421,600
TRIAD HOSPITALS HOLDINGS, INC.
1,516,684 Term Loan, Maturing March 31, 2008 1,532,166
--------------------------------------------------------------------------------------
$ 21,767,502
--------------------------------------------------------------------------------------
HOTELS -- 1.1%
EXTENDED STAY AMERICA
$ 2,362,343 Term Loan, Maturing December 31, 2007 $ 2,387,739
VAIL RESORTS, INC.
988,766 Term Loan, Maturing December 10, 2008 999,684
--------------------------------------------------------------------------------------
$ 3,387,423
--------------------------------------------------------------------------------------
HOUSEHOLD FURNISHING & APPLIANCES -- 0.9%
SEALY MATTRESS CO.
$ 808,107 Term Loan, Maturing December 15, 2004 $ 809,319
382,446 Term Loan, Maturing December 15, 2005 383,019
488,920 Term Loan, Maturing December 15, 2006 489,653
TEMPUR-PEDIC, INC.
995,000 Term Loan, Maturing June 30, 2009 1,001,841
--------------------------------------------------------------------------------------
$ 2,683,832
--------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 2.5%
CENTRAL GARDEN & PET CO.
$ 498,747 Term Loan, Maturing May 19, 2009 $ 502,176
CHURCH & DWIGHT CO. INC.
1,263,339 Term Loan, Maturing September 30, 2007 1,279,604
RAYOVAC CORP.
2,378,879 Term Loan, Maturing September 30, 2009 2,397,215
THE SCOTTS CO.
$ 1,500,000 Term Loan, Maturing September 30, 2010 $ 1,519,286
UNITED INDUSTRIES CORP.
1,123,670 Term Loan, Maturing January 20, 2006 1,132,098
WERNER HOLDING CO.
958,333 Term Loan, Maturing June 11, 2009 861,702
--------------------------------------------------------------------------------------
$ 7,692,081
--------------------------------------------------------------------------------------
INSURANCE -- 1.9%
HILB, ROGAL & HOBBS CO.
$ 3,352,703 Term Loan, Maturing June 30, 2007 $ 3,388,325
INFINITY PROPERTY AND CASUALTY CORP.
1,417,375 Term Loan, Maturing June 30, 2010 1,429,777
U.S.I. HOLDINGS CORP.
997,500 Term Loan, Maturing August 11, 2008 1,005,812
--------------------------------------------------------------------------------------
$ 5,823,914
--------------------------------------------------------------------------------------
LEISURE -- 1.3%
NEW ENGLAND SPORTS VENTURES, LLC
$ 4,000,000 Term Loan, Maturing February 28, 2005 $ 4,000,000
--------------------------------------------------------------------------------------
$ 4,000,000
--------------------------------------------------------------------------------------
LEISURE, EQUIPMENT & PRODUCTS -- 0.3%
BELL SPORTS, INC.
$ 934,936 Term Loan, Maturing March 30, 2007 $ 855,466
--------------------------------------------------------------------------------------
$ 855,466
--------------------------------------------------------------------------------------
MACHINERY -- 1.7%
COLFAX CORP.
$ 709,844 Term Loan, Maturing May 30, 2009 $ 713,393
FLOWSERVE CORP.
2,327,364 Term Loan, Maturing June 30, 2009 2,345,857
REXNORD CORP.
1,379,167 Term Loan, Maturing November 30, 2009 1,389,726
THE MANITOWOC CO.
252,996 Term Loan, Maturing June 30, 2007 254,854
THERMADYNE HOLDINGS CORP.
652,324 Term Loan, Maturing March 31, 2008 645,637
--------------------------------------------------------------------------------------
$ 5,349,467
--------------------------------------------------------------------------------------
MANUFACTURING -- 6.4%
ADVANCED GLASSFIBER YARNS, LLC
$ 1,015,859 Term Loan, Maturing September 30, 2005(2) $ 731,419
See notes to financial statements.
7
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
--------------------------------------------------------------------------------------
MANUFACTURING (CONTINUED)
AMSCAN HOLDINGS, INC.
$ 987,525 Term Loan, Maturing June 15, 2007 $ 993,285
AMSTED INDUSTRIES, INC.
1,990,000 Term Loan, Maturing October 15, 2010 2,002,748
INGRAM INDUSTRIES, INC.
416,682 Term Loan, Maturing June 30, 2008 419,807
JOHNSONDIVERSEY, INC.
227,424 Term Loan, Maturing November 30, 2008 228,312
1,284,959 Term Loan, Maturing November 30, 2009 1,299,148
MOTOR COACH INDUSTRIES
468,162 Term Loan, Maturing June 15, 2006 381,552
MUELLER GROUP, INC.
2,959,975 Term Loan, Maturing May 31, 2008 2,971,075
NATIONAL WATERWORKS, INC.
1,469,388 Term Loan, Maturing November 22, 2009 1,484,082
POLYPORE, INC.
1,657,283 Term Loan, Maturing December 31, 2006 1,673,856
ROPER INDUSTRIES, INC.
500,000 Term Loan, Maturing December 29, 2008(3) 500,000
SPX CORP.
3,007,091 Term Loan, Maturing September 30, 2009 3,039,983
SYNTHETIC INDUSTRIES, INC.
977,500 Term Loan, Maturing December 30, 2007 855,313
TRIMAS CORP.
2,176,144 Term Loan, Maturing December 31, 2009 2,183,534
WALTER INDUSTRIES, INC.
1,129,352 Term Loan, Maturing April 17, 2010 1,136,058
--------------------------------------------------------------------------------------
$ 19,900,172
--------------------------------------------------------------------------------------
METALS & MINING -- 1.0%
COMPASS MINERALS GROUP, INC
$ 1,119,577 Term Loan, Maturing November 28, 2009 $ 1,130,073
HANDY & HARMAN
796,139 Term Loan, Maturing December 31, 2006 796,139
STEEL DYNAMICS, INC.
342,370 Term Loan, Maturing March 26, 2008 346,365
STILLWATER MINING CO.
951,494 Term Loan, Maturing June 30, 2007 951,494
--------------------------------------------------------------------------------------
$ 3,224,071
--------------------------------------------------------------------------------------
MISCELLANEOUS -- 0.9%
LAIDLAW INTERNATIONAL, INC.
$ 993,515 Term Loan, Maturing June 19, 2009 $ 1,002,674
WEIGHT WATCHERS INTERNATIONAL, INC.
1,587,237 Term Loan, Maturing December 31, 2007 1,603,903
$ 203,763 Term Loan, Maturing December 31, 2007 $ 205,737
--------------------------------------------------------------------------------------
$ 2,812,314
--------------------------------------------------------------------------------------
OFFICE EQUIPMENT AND SUPPLIES -- 1.8%
GENERAL BINDING CORP.
$ 490,000 Term Loan, Maturing January 15, 2008 $ 490,000
IRON MOUNTAIN, INC.
4,975,000 Term Loan, Maturing February 15, 2008 5,024,307
--------------------------------------------------------------------------------------
$ 5,514,307
--------------------------------------------------------------------------------------
OIL & GAS -- 2.9%
CITGO PETROLEUM CO.
$ 1,000,000 Term Loan, Maturing February 27, 2006 $ 1,040,000
CUMBERLAND FARMS, INC.
1,982,395 Term Loan, Maturing September 8, 2008 1,994,785
SPRAGUE ENERGY CORP.
534,426 Revolving Loan, Maturing August 10, 2007 533,090
THE PREMCOR REFINING GROUP, INC.
3,000,000 Term Loan, Maturing February 11, 2006 3,032,814
WILLIAMS PRODUCTION RMT CO.
2,487,500 Term Loan, Maturing May 30, 2007 2,521,703
--------------------------------------------------------------------------------------
$ 9,122,392
--------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 0.5%
BUCKEYE TECHNOLOGIES, INC.
$ 1,496,250 Term Loan, Maturing April 15, 2010 $ 1,502,796
--------------------------------------------------------------------------------------
$ 1,502,796
--------------------------------------------------------------------------------------
PERSONAL PRODUCTS -- 2.0%
ARMKEL, LLC
$ 1,421,344 Term Loan, Maturing March 31, 2009 $ 1,435,303
MARY KAY COSMETICS, INC.
930,546 Term Loan, Maturing September 30, 2007 937,137
PLAYTEX PRODUCTS, INC.
3,942,475 Term Loan, Maturing May 31, 2009 3,948,637
--------------------------------------------------------------------------------------
$ 6,321,077
--------------------------------------------------------------------------------------
PUBLISHING & PRINTING -- 9.2%
AMERICAN MEDIA OPERATIONS, INC.
$ 222,779 Term Loan, Maturing April 1, 2006 $ 222,500
1,190,840 Term Loan, Maturing April 1, 2007 1,202,004
947,210 Term Loan, Maturing April 1, 2008 956,564
See notes to financial statements.
8
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
--------------------------------------------------------------------------------------
PUBLISHING & PRINTING (CONTINUED)
DEX MEDIA EAST, LLC
$ 1,871,575 Term Loan, Maturing November 8, 2008 $ 1,883,662
2,053,889 Term Loan, Maturing May 8, 2009 2,075,071
DEX MEDIA WEST, LLC
1,257,899 Term Loan, Maturing September 9, 2009 1,266,547
2,516,175 Term Loan, Maturing March 9, 2010 2,547,627
HOLLINGER INTERNATIONAL PUBLISHING, INC.
493,750 Term Loan, Maturing September 30, 2009 501,465
JOURNAL REGISTER CO.
2,548,287 Term Loan, Maturing September 30, 2006 2,536,344
LIBERTY GROUP OPERATING, INC.
1,435,128 Term Loan, Maturing April 30, 2007 1,447,686
MERRILL CORP.
175,662 Term Loan, Maturing November 15, 2006 175,662
1,428,800 Term Loan, Maturing November 15, 2007 1,428,800
MOORE HOLDINGS U.S.A. INC.
1,492,500 Term Loan, Maturing March 15, 2010 1,499,497
MORRIS PUBLISHING GROUP, LLC
2,000,000 Term Loan, Maturing March 31, 2011 2,018,750
R.H. DONNELLEY, INC.
892,549 Term Loan, Maturing December 31, 2008 899,150
1,980,173 Term Loan, Maturing June 30, 2010 2,008,087
SUN MEDIA CORP.
2,633,723 Term Loan, Maturing February 7, 2009 2,645,245
THE READER'S DIGEST ASSOCIATION, INC.
1,283,638 Term Loan, Maturing May 20, 2008 1,289,024
TRANSWESTERN PUBLISHING CO., LLC
2,282,891 Term Loan, Maturing June 27, 2008 2,302,510
--------------------------------------------------------------------------------------
$ 28,906,195
--------------------------------------------------------------------------------------
REAL ESTATE -- 6.4%
AGBRI OCTAGON
$ 1,193,456 Term Loan, Maturing May 31, 2004 $ 1,184,505
AIMCO PROPERTIES, L.P.
1,423,351 Term Loan, Maturing February 28, 2004 1,437,584
2,500,000 Term Loan, Maturing May 30, 2008 2,526,563
AP-KNIGHT, LP
1,513,608 Term Loan, Maturing December 31, 2004 1,511,716
CONCORDIA PROPERTIES, LLC
1,000,000 Term Loan, Maturing January 31, 2006 1,000,625
CRESCENT REAL ESTATE EQUITIES, L.P.
480,389 Term Loan, Maturing May 31, 2005 480,389
FAIRFIELD RESORTS, INC.
392,727 Revolving Loan, Maturing March 21, 2006 390,764
1,200,000 Term Loan, Maturing March 21, 2006 1,194,000
GGP LIMITED PARTNERSHIP
$ 1,000,000 Term Loan, Maturing April 30, 2008 $ 1,006,250
MACERICH PARTNERSHIP, L.P.
1,968,000 Term Loan, Maturing July 15, 2005 1,977,840
NEWKIRK MASTER, L.P.
499,293 Term Loan, Maturing November 24, 2006 508,030
NEWKIRK TENDER HOLDINGS, LLC
2,000,000 Term Loan, Maturing May 25, 2006 2,020,000
OLY HIGHTOP PARENT
1,535,810 Term Loan, Maturing March 31, 2006 1,539,649
THE WOODLANDS COMMERCIAL PROPERTIES CO., L.P.
1,866,667 Term Loan, Maturing November 26, 2005 1,878,333
TOWER FINANCING I, LLC
1,500,000 Term Loan, Maturing July 9, 2008 1,501,875
--------------------------------------------------------------------------------------
$ 20,158,123
--------------------------------------------------------------------------------------
RESTAURANTS -- 1.2%
AFC ENTERPRISES, INC.
$ 1,209,525 Term Loan, Maturing May 23, 2009 $ 1,212,247
BUFFETS, INC.
1,702,297 Term Loan, Maturing June 30, 2009 1,709,745
JACK IN THE BOX, INC.
744,375 Term Loan, Maturing July 22, 2007 750,888
--------------------------------------------------------------------------------------
$ 3,672,880
--------------------------------------------------------------------------------------
RETAIL-FOOD AND DRUG -- 5.8%
DOMINO'S, INC.
$ 3,520,913 Term Loan, Maturing June 25, 2010 $ 3,561,626
FLEMING COMPANIES, INC.
1,447,662 Term Loan, Maturing June 18, 2008 1,437,408
GIANT EAGLE, INC.
2,880,101 Term Loan, Maturing August 6, 2009 2,899,303
RITE AID CORP.
6,000,000 Term Loan, Maturing April 30, 2008 6,124,500
ROUNDY'S, INC.
2,462,500 Term Loan, Maturing June 6, 2009 2,482,508
THE PANTRY, INC.
1,696,525 Term Loan, Maturing March 31, 2007 1,717,732
--------------------------------------------------------------------------------------
$ 18,223,077
--------------------------------------------------------------------------------------
RETAIL-MULTILINE -- 1.4%
KMART CORP.
$ 3,000,000 Term Loan, Maturing May 6, 2006 $ 3,018,750
See notes to financial statements.
9
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
--------------------------------------------------------------------------------------
RETAIL-MULTILINE (CONTINUED)
RENT-A-CENTER, INC.
$ 1,493,747 Term Loan, Maturing May 28, 2009 $ 1,509,385
--------------------------------------------------------------------------------------
$ 4,528,135
--------------------------------------------------------------------------------------
RETAIL-SPECIALTY -- 5.0%
ADVANCE STORES CO., INC.
$ 557,636 Term Loan, Maturing November 30, 2006 $ 563,735
2,173,217 Term Loan, Maturing November 30, 2007 2,195,630
BARNES & NOBLE, INC.
2,000,000 Term Loan, Maturing November 15, 2004(3) 1,980,000
CSK AUTO, INC.
2,487,500 Term Loan, Maturing June 20, 2009 2,504,602
JO-ANN STORES, INC.
2,500,000 Term Loan, Maturing April 30, 2005 2,487,500
ORIENTAL TRADING CO.
1,950,000 Term Loan, Maturing August 4, 2010 1,968,281
PETCO ANIMAL SUPPLIES, INC.
497,491 Term Loan, Maturing October 2, 2008 503,710
TRAVELCENTERS OF AMERICA, INC.
3,310,188 Term Loan, Maturing November 30, 2008 3,336,051
--------------------------------------------------------------------------------------
$ 15,539,509
--------------------------------------------------------------------------------------
ROAD AND RAIL -- 0.7%
KANSAS CITY SOUTHERN INDUSTRIES, INC.
$ 693,512 Term Loan, Maturing June 12, 2008 $ 696,979
RAILAMERICA, INC.
113,333 Term Loan, Maturing May 31, 2009 114,453
158,400 Term Loan, Maturing May 31, 2009 159,964
699,600 Term Loan, Maturing May 31, 2009 706,509
SIRVA WORLDWIDE, INC.
488,235 Term Loan, Maturing December 31, 2010 488,540
--------------------------------------------------------------------------------------
$ 2,166,445
--------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 0.6%
AMI SEMICONDUCTOR
$ 498,750 Term Loan, Maturing September 30, 2008 $ 504,049
FAIRCHILD SEMICONDUCTOR CORP.
1,492,500 Term Loan, Maturing June 19, 2008 1,506,492
--------------------------------------------------------------------------------------
$ 2,010,541
--------------------------------------------------------------------------------------
TELECOMMUNICATIONS-WIRELESS -- 3.2%
AMERICAN TOWER, L.P.
$ 229,142 Term Loan, Maturing December 31, 2006 $ 229,729
455,626 Term Loan, Maturing December 31, 2007 458,664
CRICKET COMMUNICATIONS, INC.
$ 300,000 Term Loan, Maturing June 30, 2007(2) $ 192,750
CROWN CASTLE OPERATING CO.
997,500 Term Loan, Maturing September 15, 2007 1,013,442
DOBSON CELLULAR SYSTEMS, INC.
1,496,250 Term Loan, Maturing March 31, 2010 1,517,292
NEXTEL COMMUNICATIONS, INC.
4,000,000 Term Loan, Maturing December 15, 2010 4,024,064
SPECTRASITE COMMUNICATIONS, INC.
1,339,459 Term Loan, Maturing June 30, 2006 1,358,212
508,277 Term Loan, Maturing June 30, 2007 510,236
WESTERN WIRELESS
749,062 Term Loan, Maturing September 30, 2008 750,266
WINSTAR COMMUNICATIONS, INC.
243,317 DIP Loan, Maturing June 30, 2003(2)(3) 17,908
--------------------------------------------------------------------------------------
$ 10,072,563
--------------------------------------------------------------------------------------
TELECOMMUNICATIONS-WIRELINE -- 1.7%
CINCINNATI BELL, INC.
$ 1,645,875 Term Loan, Maturing June 30, 2008 $ 1,666,964
QWEST CORP.
3,500,000 Term Loan, Maturing June 4, 2007 3,692,500
--------------------------------------------------------------------------------------
$ 5,359,464
--------------------------------------------------------------------------------------
TEXTILES AND APPAREL -- 0.2%
ST. JOHN KNITS INTERNATIONAL, INC.
$ 249,443 Term Loan, Maturing July 31, 2007 $ 250,145
496,667 Term Loan, Maturing July 31, 2007 498,141
--------------------------------------------------------------------------------------
$ 748,286
--------------------------------------------------------------------------------------
THEATERS -- 2.6%
CINEMARK USA, INC.
$ 3,283,500 Term Loan, Maturing March 31, 2009 $ 3,325,227
HOLLYWOOD THEATER HOLDINGS, INC.
847,513 Term Loan, Maturing March 31, 2006(3) 794,543
LOEWS CINEPLEX ENTERTAINMENT CORP.
846,818 Term Loan, Maturing December 5, 2002 846,818
360,543 Term Loan, Maturing September 30, 2006 361,744
REGAL CINEMAS, INC.
2,829,031 Term Loan, Maturing June 30, 2009 2,862,625
--------------------------------------------------------------------------------------
$ 8,190,957
--------------------------------------------------------------------------------------
See notes to financial statements.
10
PRINCIPAL
AMOUNT BORROWER/TRANCHE DESCRIPTION VALUE
--------------------------------------------------------------------------------------
UTILITY -- 2.0%
CENTERPOINT ENERGY, INC.
$ 3,989,189 Term Loan, Maturing October 7, 2006 $ 4,038,057
NRG ENERGY, INC.
312,500 Term Loan, Maturing June 23, 2010 320,313
1,187,500 Term Loan, Maturing June 23, 2010 1,217,188
NUI UTILITIES, INC.
133,197 Term Loan, Maturing November 24, 2004 134,862
679,303 Term Loan, Maturing November 24, 2004 686,521
--------------------------------------------------------------------------------------
$ 6,396,941
--------------------------------------------------------------------------------------
TOTAL SENIOR, FLOATING RATE INTERESTS
(IDENTIFIED COST $446,121,158) $ 447,563,433
--------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES -- 12.0%
PRINCIPAL
AMOUNT
(000'S OMITTED) SECURITY VALUE
--------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 0.0%
BE AEROSPACE, INC., SR. NOTES
$ 35 8.50%, 10/1/10(4) $ 37,712
GENCORP, INC., SR. SUB. NOTES
10 9.50%, 8/15/13(4) 10,425
K&F INDUSTRIES, SR. SUB. NOTES
25 9.625%, 12/15/10 28,156
--------------------------------------------------------------------------------------
$ 76,293
--------------------------------------------------------------------------------------
AIRLINES -- 0.9%
AMERICAN AIRLINES
$ 895 7.80%, 10/1/06 $ 810,061
15 8.608%, 4/1/11 13,678
20 7.858%, 10/1/11 20,321
AMR CORP., DEBS.
210 9.00%, 8/1/12 179,550
CONTINENTAL AIRLINES
200 7.434%, 9/15/04 196,389
7 7.08%, 11/1/04 6,770
332 7.033%, 6/15/11 286,212
DELTA AIR LINES
125 7.779%, 11/18/05 115,146
20 7.70%, 12/15/05 18,975
23 7.779%, 1/2/12 20,920
DUNLOP STAND AERO HOLDINGS, SR. NOTES
845 11.875%, 5/15/09(4) 908,375
NORTHWEST AIRLINES, INC.
$ 200 8.875%, 6/1/06 $ 182,500
NORTHWEST AIRLINES, INC., SR. NOTES
20 9.875%, 3/15/07 18,300
--------------------------------------------------------------------------------------
$ 2,777,197
--------------------------------------------------------------------------------------
APPAREL -- 0.1%
GFSI, INC., SR. SUB. NOTES
$ 45 9.625%, 3/1/07 $ 41,681
J CREW OPERATING CORP., SR. SUB. NOTES
80 10.375%, 10/15/07 82,100
PERRY ELLIS INTERNATIONAL, INC., SR. SUB. NOTES
60 8.875%, 9/15/13(4) 63,450
PHILLIPS VAN-HEUSEN, SR. NOTES
100 8.125%, 5/1/13 106,750
TROPICAL SPORTSWEAR INTERNATIONAL
50 11.00%, 6/15/08 40,750
WILLIAM CARTER, SERIES B
104 10.875%, 8/15/11 120,640
--------------------------------------------------------------------------------------
$ 455,371
--------------------------------------------------------------------------------------
AUTO AND PARTS -- 0.5%
CSK AUTO, INC.
$ 420 12.00%, 6/15/06 $ 484,050
DANA CORP.
175 10.125%, 3/15/10 204,750
KEY PLASTICS, JR. SECURED SUB. NOTES (PIK)
44 4.009%, 4/26/07(2)(3) 44,009
KEY PLASTICS, SR. SECURED SUB. NOTES
118 7.009%, 4/26/07(2)(3) 118,465
KEYSTONE AUTOMOTIVE, SR. SUB. NOTES
30 9.75%, 11/1/13(4) 31,537
METALDYNE CORP.
90 10.00%, 11/1/13(4) 91,350
REXNORD CORP.
65 10.125%, 12/15/12 71,500
TENNECO AUTOMOTIVE, INC.
200 10.25%, 7/15/13(4) 228,500
TENNECO AUTOMOTIVE, INC., SERIES B
100 11.625%, 10/15/09 108,500
5 10.25%, 7/15/13 5,712
TRW AUTOMOTIVE, INC., SR. SUB. NOTES
100 11.00%, 2/15/13 118,250
See notes to financial statements.
11
PRINCIPAL
AMOUNT
(000'S OMITTED) SECURITY VALUE
--------------------------------------------------------------------------------------
AUTO AND PARTS (CONTINUED)
UNITED COMPONENTS, INC., SR. SUB. NOTES
$ 65 9.375%, 6/15/13 $ 71,337
--------------------------------------------------------------------------------------
$ 1,577,960
--------------------------------------------------------------------------------------
BROADCASTING AND CABLE -- 1.2%
ADELPHIA COMMUNICATIONS CORP., SR. NOTES
$ 270 9.25%, 10/1/02(2) $ 251,100
AVALON CABLE, LLC, SR. DISC. NOTES
82 11.875%, 12/1/08 86,843
CHARTER COMMUNICATION HOLDINGS, SR. DISC. NOTES
265 13.50%, 1/15/11 198,750
45 0.00%, 5/15/11 30,375
CHARTER COMMUNICATION HOLDINGS, SR. NOTES
15 8.25%, 4/1/07 14,175
200 8.625%, 4/1/09 175,500
85 10.00%, 4/1/09 76,075
45 10.75%, 10/1/09 41,512
CSC HOLDINGS, INC., SR. SUB. NOTES
40 9.875%, 2/15/13 42,000
180 10.50%, 5/15/16 207,000
DEX MEDIA EAST LLC
80 9.875%, 11/15/09 92,000
DEX MEDIA WEST LLC, SR. SUB. NOTES
190 9.875%, 8/15/13(4) 221,825
DIRECTV HOLDINGS, SR. NOTES
60 8.375%, 3/15/13 69,900
ECHOSTAR DBS CORP., SR. NOTES
7 9.125%, 1/15/09 7,866
GENERAL CABLE CORP., SR. NOTES
50 9.50%, 11/15/10(4) 52,750
INSIGHT COMMUNICATIONS, SR. DISC. NOTES
145 12.25%, 2/15/11 124,700
LBI MEDIA, INC., SR. DISC. NOTES
80 11.00%, 10/15/13(4) 52,200
MUZAK LLC/MUZAK FINANCE, SR. NOTES
25 10.00%, 2/15/09 26,750
NEXSTAR FINANCE HOLDINGS LLC, INC., SR. DISC. NOTES
195 11.375%, 4/1/13 143,569
NEXTMEDIA OPERATING, INC.
65 10.75%, 7/1/11 74,100
PAXSON COMMUNICATIONS
35 10.75%, 7/15/08 38,369
65 12.25%, 1/15/09 57,362
PEGASUS COMMUNICATIONS
1,000 9.75%, 12/1/06 907,500
PEGASUS SATTELITE, SR. NOTES
$ 530 12.375%, 8/1/06 $ 501,512
SINCLAIR BROADCAST GROUP
40 4.875%, 7/15/18 44,150
YOUNG BROADCASTING, INC., SR. SUB. NOTES
65 8.75%, 1/15/14(4) 66,137
--------------------------------------------------------------------------------------
$ 3,604,020
--------------------------------------------------------------------------------------
BUILDING MATERIALS -- 0.0%
NORTEK HOLDINGS, INC., SR. NOTES, (0% UNTIL 2007)
$ 135 10.00%, 5/15/11(4) $ 98,212
--------------------------------------------------------------------------------------
$ 98,212
--------------------------------------------------------------------------------------
BUSINESS SERVICES-MISCELLANEOUS -- 0.9%
ADVANSTAR COMMUNICATIONS
$ 1,496 Variable Rate, 8.63%, 8/15/08 $ 1,578,544
145 10.75%, 8/15/10(4) 157,687
40 10.75%, 8/15/10(4) 43,500
COINMACH CORP., SR. NOTES
40 9.00%, 2/1/10 43,600
JSG FUNDING PLC, SR. NOTES
250 9.625%, 10/1/12 281,250
NORCROSS SAFETY PRODUCTS, SR. SUB. NOTES
150 9.875%, 8/15/11(4) 165,375
R.H. DONNELLEY FINANCE CORP.
40 10.875%, 12/15/12 47,650
R.H. DONNELLEY FINANCE CORP., SR. NOTES
30 8.875%, 12/15/10(4) 33,900
R.H. DONNELLEY FINANCE CORP., SR. SUB. NOTES
190 10.875%, 12/15/12(4) 226,337
SENSUS METERING SYSTEMS, SR. SUB. NOTES
65 8.625%, 12/15/13(4) 67,031
STRATUS TECHNOLOGIES, INC., SR. NOTES
115 10.375%, 12/1/08(4) 122,619
UNIVERSAL CITY DEVELOPMENT, SR. NOTES
15 11.75%, 4/1/10(4) 17,625
WILLIAMS SCOTSMAN, INC.
45 10.00%, 8/15/08 49,556
--------------------------------------------------------------------------------------
$ 2,834,674
--------------------------------------------------------------------------------------
CHEMICALS -- 0.6%
AVECIA GROUP, PLC
$ 500 11.00%, 7/1/09 $ 452,500
See notes to financial statements.
12
PRINCIPAL
AMOUNT
(000'S OMITTED) SECURITY VALUE
--------------------------------------------------------------------------------------
CHEMICALS (CONTINUED)
EQUISTAR CHEMICAL
$ 110 10.625%, 5/1/11 $ 122,100
HERCULES, INC.
30 11.125%, 11/15/07 36,075
HMP EQUITY HOLDINGS CORP., SR. DISC. NOTES
125 0.00%, 5/15/08(4) 76,875
HUNTSMAN CO., LLC
55 11.625%, 10/15/10(4) 56,375
HUNTSMAN CO., LLC, SR. NOTES
80 9.875%, 3/1/09(4) 88,000
KRATON POLYMERS LLC, SR. SUB NOTES
55 8.125%, 1/15/14(4) 57,475
LYONDELL CHEMICAL CO.
40 9.50%, 12/15/08 42,000
75 9.50%, 12/15/08 78,750
170 11.125%, 7/15/12 189,550
METHANEX CORP., SR. NOTES
120 8.75%, 8/15/12 134,400
NALCO COMPANY, SR. NOTES
100 7.75%, 11/15/11(4) 107,500
NALCO COMPANY, SR. SUB. NOTES
100 8.875%, 11/15/13(4) 106,500
OM GROUP, INC.
200 9.25%, 12/15/11 209,000
--------------------------------------------------------------------------------------
$ 1,757,100
--------------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 0.2%
FEDDERS NORTH AMERICA
$ 45 9.375%, 8/15/07 $ 45,450
HOCKEY CO.
325 11.25%, 4/15/09 372,531
JOSTENS HOLDING CORP., SR. DISC. NOTES, (0%
UNTIL 2008)
45 10.25%, 12/1/13(4) 28,462
NORCRAFT COMPANIES, SR. SUB. NOTES
25 9.00%, 11/1/11(4) 27,125
--------------------------------------------------------------------------------------
$ 473,568
--------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING -- 0.3%
CROWN EURO HOLDINGS SA
$ 65 9.50%, 3/1/11 $ 73,937
340 10.875%, 3/1/13 401,625
GRAHAM PACKAGING CO.
35 8.75%, 1/15/08 35,962
JEFFERSON SMURFIT
$ 170 8.25%, 10/1/12 $ 185,300
OWENS-BROCKWAY GLASS CONTAINER
185 8.25%, 5/15/13 199,569
--------------------------------------------------------------------------------------
$ 896,393
--------------------------------------------------------------------------------------
DRUGS -- 0.0%
VALEANT PHARMACEUTICALS, SR. NOTES
$ 85 7.00%, 12/15/11(4) $ 87,975
--------------------------------------------------------------------------------------
$ 87,975
--------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 0.0%
RAYOVAC CORP., SR. SUB. NOTES
$ 60 8.50%, 10/1/13 $ 63,900
--------------------------------------------------------------------------------------
$ 63,900
--------------------------------------------------------------------------------------
ELECTRONIC COMPONENTS -- 0.0%
DANKA BUSINESS SYSTEMS
$ 25 11.00%, 6/15/10 $ 24,937
HEXCEL CORP.
35 9.875%, 10/1/08 39,637
--------------------------------------------------------------------------------------
$ 64,574
--------------------------------------------------------------------------------------
ELECTRONIC COMPONENTS-SEMICONDUCTORS -- 0.0%
CHIPPAC INTERNATIONAL LTD.
$ 90 12.75%, 8/1/09 $ 99,900
--------------------------------------------------------------------------------------
$ 99,900
--------------------------------------------------------------------------------------
ENERGY SERVICES -- 0.0%
HORNBECK LEEVAC MARINE SERVICE, SR. NOTES
$ 80 10.625%, 8/1/08 $ 88,800
TRICO MARINE SERVICES
45 8.875%, 5/15/12 33,075
--------------------------------------------------------------------------------------
$ 121,875
--------------------------------------------------------------------------------------
ENTERTAINMENT -- 0.5%
EQUINOX HOLDINGS, INC., SR. NOTES
$ 50 9.00%, 12/15/09(4) $ 51,875
GAYLORD ENTERTAINMENT CO., SR. NOTES
40 8.00%, 11/15/13(4) 42,400
HOLLYWOOD ENTERTAINMENT
200 9.625%, 3/15/11 216,000
See notes to financial statements.
13
PRINCIPAL
AMOUNT
(000'S OMITTED) SECURITY VALUE
--------------------------------------------------------------------------------------
ENTERTAINMENT (CONTINUED)
IMAX CORP.
$ 55 9.625%, 12/1/10(4) $ 58,094
INTRAWEST CORP., SR. NOTES
125 7.50%, 10/15/13(4) 130,625
PREMIER PARKS, INC.
20 9.75%, 6/15/07 20,975
ROYAL CARIBBEAN CRUISES, SR. NOTES
165 8.00%, 5/15/10 180,675
345 8.75%, 2/2/11 391,575
SIX FLAGS, INC., SR. NOTES
30 9.50%, 2/1/09 31,575
240 8.875%, 2/1/10 247,500
15 9.75%, 4/15/13 15,862
80 9.625%, 6/1/14(4) 84,000
--------------------------------------------------------------------------------------
$ 1,471,156
--------------------------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 0.0%
ALLIED WASTE INDUSTRIES, SERIES B
$ 85 9.25%, 9/1/12 $ 96,900
--------------------------------------------------------------------------------------
$ 96,900
--------------------------------------------------------------------------------------
FOODS -- 0.5%
AMERICAN SEAFOOD GROUP LLC
$ 400 10.125%, 4/15/10 $ 477,500
B&G FOODS, INC.
75 9.625%, 8/1/07 77,719
BURNS PHILIP CAPITAL, SR. SUB NOTES
180 10.75%, 2/15/11(4) 197,100
DOANE PET CARE CO.
70 10.75%, 3/1/10 72,800
DOLE FOODS CO., SR. NOTES
130 8.875%, 3/15/11 143,325
LAND O LAKES, INC.
105 9.00%, 12/15/10(4) 106,312
LUIGINO'S, INC., SR. SUB. NOTES
130 10.00%, 2/1/06 133,900
MICHAEL FOODS, SR. SUB. NOTES
95 8.00%, 11/15/13(4) 99,512
NEW WORLD PASTA COMPANY
165 9.25%, 2/15/09 43,725
PINNACLE FOODS HOLDINGS CORP., SR. SUB. NOTES
40 8.25%, 12/1/13 41,600
SEMINIS VEGETABLE SEEDS, SR. SUB. NOTES
50 10.25%, 10/1/13(4) 54,000
UNITED AGRICULTURAL PRODUCTS, SR. NOTES
$ 55 8.25%, 12/15/11(4) $ 56,787
--------------------------------------------------------------------------------------
$ 1,504,280
--------------------------------------------------------------------------------------
FURNITURE AND APPLIANCES -- 0.0%
HOME INTERIORS & GIFTS
$ 60 10.125%, 6/1/08 $ 60,975
--------------------------------------------------------------------------------------
$ 60,975
--------------------------------------------------------------------------------------
GAMING -- 0.5%
CHUKCHANSI EDA, SR. NOTES
$ 230 14.50%, 6/15/09(4) $ 280,600
INN OF THE MOUNTAIN GODS, SR. NOTES
165 12.00%, 11/15/10(4) 176,138
PENN NATIONAL GAMING, INC., SR. SUB NOTES
620 11.125%, 3/1/08 699,050
WATERFORD GAMING LLC, SR. NOTES
449 8.625%, 9/15/12(4) 478,185
--------------------------------------------------------------------------------------
$ 1,633,973
--------------------------------------------------------------------------------------
HEALTH SERVICES -- 0.2%
ARDENT HEALTH SERVICES, SR. SUB. NOTES
$ 125 10.00%, 8/15/13(4) $ 136,875
NATIONAL NEPHROLOGY ASSOCIATION, SR. SUB. NOTES
65 9.00%, 11/1/11(4) 68,413
PACIFICARE HEALTH SYSTEM
146 10.75%, 6/1/09 173,010
QUINTILES TRANSNATIONAL, SR. SUB. NOTES
260 10.00%, 10/1/13(4) 282,100
ROTECH HEALTHCARE, INC.
15 9.50%, 4/1/12 15,750
--------------------------------------------------------------------------------------
$ 676,148
--------------------------------------------------------------------------------------
INSTRUMENTS-CONTROLS -- 0.3%
WESCO DISTRIBUTION, INC.
$ 1,000 9.125%, 6/1/08 $ 1,040,000
--------------------------------------------------------------------------------------
$ 1,040,000
--------------------------------------------------------------------------------------
INVESTMENT SERVICES -- 0.1%
BOMBARDIER RECREATIONAL, SR. SUB. NOTES
$ 55 8.375%, 12/15/13(4) $ 57,750
COUCHE-TARD US, SR. SUB. NOTES
80 7.50%, 12/15/13(4) 84,200
See notes to financial statements.
14
PRINCIPAL
AMOUNT
(000'S OMITTED) SECURITY VALUE
--------------------------------------------------------------------------------------
INVESTMENT SERVICES (CONTINUED)
INTERLINE BRANDS, INC., SR. SUB. NOTES
$ 50 11.50%, 5/15/11 $ 55,375
POSTER FINANCIAL GROUP
50 8.75%, 12/1/11(4) 51,250
TABLETOP HOLDINGS, INC., SR. SUB. NOTES
145 0.00%, 5/15/14(4) 80,475
--------------------------------------------------------------------------------------
$ 329,050
--------------------------------------------------------------------------------------
LODGING -- 0.1%
FELCOR LODGING
$ 90 10.00%, 9/15/08 $ 97,650
HOST MARRIOTT L.P.
25 9.25%, 10/1/07 28,063
HOST MARRIOTT L.P., SERIES I
30 9.50%, 1/15/07 33,525
WYNN RESORTS
55 6.00%, 7/15/15(4) 81,675
--------------------------------------------------------------------------------------
$ 240,913
--------------------------------------------------------------------------------------
LODGING AND GAMING -- 0.7%
AMERISTAR CASINOS, INC.
$ 150 10.75%, 2/15/09 $ 173,250
HOLLYWOOD CASINO SHREVEPORT, 1ST MTG. NOTES
205 13.00%, 8/1/06(2) 145,550
KERZNER INTERNATIONAL, SR. SUB. NOTES
210 8.875%, 8/15/11 230,475
MAJESTIC STAR LLC
365 9.50%, 10/15/10(4) 375,950
MANDALAY RESORT GROUP, SR. SUB. NOTES
60 10.25%, 8/1/07 69,600
MGM GRAND, INC.
220 9.75%, 6/1/07 251,900
MTR GAMING GROUP, SERIES B
110 9.75%, 4/1/10 118,250
VENETIAN CASINO/LAS VEGAS SANDS
645 11.00%, 6/15/10 751,425
--------------------------------------------------------------------------------------
$ 2,116,400
--------------------------------------------------------------------------------------
MACHINERY -- 0.2%
CASE NEW HOLLAND, INC., SR. NOTES
$ 110 9.25%, 8/1/11(4) $ 123,750
FLOWSERVE CORP.
5 12.25%, 8/15/10 5,825
MANITOWOC CO., INC. (THE)
$ 45 10.50%, 8/1/12 $ 51,469
TEREX CORP.
120 10.375%, 4/1/11 135,000
150 9.25%, 7/15/11 165,750
--------------------------------------------------------------------------------------
$ 481,794
--------------------------------------------------------------------------------------
MANUFACTURING -- 0.3%
AMSTED INDUSTRIES, INC., SR. NOTES
$ 500 10.25%, 10/15/11(4) $ 555,000
DRESSER, INC.
110 9.375%, 4/15/11 120,175
FOAMEX L.P./CAPITAL CORP.
65 10.75%, 4/1/09 62,238
GREY WOLF, INC., SR. NOTES
18 8.875%, 7/1/07 18,630
JACUZZI BRANDS, INC., SR. NOTES
10 9.625%, 7/1/10(4) 11,050
OXFORD INDUSTRIES, INC., SR. NOTES
90 8.875%, 6/1/11(4) 98,888
TEKNI-PLEX, INC.
55 8.75%, 11/15/13(4) 57,613
TEKNI-PLEX, INC., SERIES B
15 12.75%, 6/15/10 16,425
--------------------------------------------------------------------------------------
$ 940,019
--------------------------------------------------------------------------------------
MEDICAL PRODUCTS -- 0.1%
MEDQUEST, INC.
$ 205 11.875%, 8/15/12 $ 224,988
--------------------------------------------------------------------------------------
$ 224,988
--------------------------------------------------------------------------------------
MEDICAL SERVICES -- 0.1%
MAGELLAN HEALTH SERVICES, SR. NOTES
$ 170 9.375%, 11/15/07(4) $ 179,350
--------------------------------------------------------------------------------------
$ 179,350
--------------------------------------------------------------------------------------
NETWORKING PRODUCTS -- 0.1%
LUCENT TECHNOLOGIES, INC., DEBS.
$ 120 6.50%, 1/15/28 $ 94,500
125 6.45%, 3/15/29 98,906
--------------------------------------------------------------------------------------
$ 193,406
--------------------------------------------------------------------------------------
See notes to financial statements.
15
PRINCIPAL
AMOUNT
(000'S OMITTED) SECURITY VALUE
--------------------------------------------------------------------------------------
OIL AND GAS-EQUIPMENT AND SERVICES -- 0.9%
ANR PIPELINE CO.
$ 70 8.875%, 3/15/10 $ 79,100
DYNEGY HOLDINGS, INC., SR. NOTES
195 6.875%, 4/1/11 180,619
15 8.75%, 2/15/12 15,206
5 10.125%, 7/15/13(4) 5,775
GULFTERRA ENERGY PARTNER, SERIES B
106 8.50%, 6/1/10(4) 120,840
HANOVER COMPRESS CO., SR. NOTES
70 8.625%, 12/15/10 73,150
PARKER DRILLING CO., SR. NOTES
30 9.625%, 10/1/13(4) 31,350
PORT ARTHUR FINANCE CORP.
347 12.50%, 1/15/09 413,648
PREMCOR REFINING GROUP, SR. NOTES
210 9.50%, 2/1/13 240,450
PREMCOR REFINING GROUP, SR. SUB. NOTES
40 7.75%, 2/1/12(4) 41,400
SESI, LLC
585 8.875%, 5/15/11 640,575
SOUTHERN NATURAL GAS
50 8.875%, 3/15/10 56,500
150 8.00%, 3/1/32 155,625
TRANSMONTAIGNE, INC., SR. SUB. NOTES
225 9.125%, 6/1/10(4) 242,438
WILLIAMS COS., INC. (THE)
180 7.875%, 1/15/06 187,200
WILLIAMS COS., INC., (THE) SR. NOTES
175 8.625%, 6/1/10 197,313
--------------------------------------------------------------------------------------
$ 2,681,189
--------------------------------------------------------------------------------------
OIL AND GAS-EXPLORATION AND PRODUCTION -- 0.7%
COMSTOCK RESOURCES, INC.
$ 75 11.25%, 5/1/07 $ 81,000
CONTINENTAL RESOURCES
525 10.25%, 8/1/08 530,250
EL PASO CORP., SR. NOTES
325 7.00%, 5/15/11 301,438
GREY WOLF, INC., SERIES C
15 8.875%, 7/1/07 15,525
GULFTERRA ENERGY PARTNERS
41 10.625%, 12/1/12 51,045
NORTHWEST PIPELINE CORP.
70 8.125%, 3/1/10 78,050
PLAINS E&P CO.
$ 115 8.75%, 7/1/12 $ 126,931
WESTERN NATURAL GAS
1,000 10.00%, 6/15/09 1,080,000
--------------------------------------------------------------------------------------
$ 2,264,239
--------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 0.2%
GEORGIA-PACIFIC CORP.
$ 120 9.50%, 12/1/11 $ 139,800
180 9.375%, 2/1/13 207,900
55 9.50%, 5/15/22 57,475
LONGVIEW FIBRE CO., SR. SUB. NOTES
225 10.00%, 1/15/09 248,063
MILLAR WESTERN FOREST, SR. NOTES
30 7.75%, 11/15/13 31,275
--------------------------------------------------------------------------------------
$ 684,513
--------------------------------------------------------------------------------------
PRINTING AND BUSINESS PRODUCTS -- 0.1%
XEROX CAPITAL TRUST
$ 350 8.00%, 2/1/27 $ 345,625
--------------------------------------------------------------------------------------
$ 345,625
--------------------------------------------------------------------------------------
PUBLISHING -- 0.1%
AMERICAN MEDIA OPERATIONS, INC., SERIES B
$ 15 10.25%, 5/1/09 $ 16,069
CANWEST MEDIA, INC., SR. SUB. NOTES
120 10.625%, 5/15/11 137,700
CBD MEDIA/CBD FINANCE, SR. SUB. NOTES
30 8.625%, 6/1/11(4) 33,150
LIBERTY GROUP OPERATING
110 9.375%, 2/1/08 111,650
--------------------------------------------------------------------------------------
$ 298,569
--------------------------------------------------------------------------------------
RETAIL -- 0.0%
PCA LLC/PCA FINANCE CORP., SR. NOTES
$ 35 11.875%, 8/1/09 $ 38,500
--------------------------------------------------------------------------------------
$ 38,500
--------------------------------------------------------------------------------------
RETAIL-APPAREL -- 0.0%
MOTHERS WORK, INC.
$ 50 11.25%, 8/1/10 $ 55,813
--------------------------------------------------------------------------------------
$ 55,813
--------------------------------------------------------------------------------------
See notes to financial statements.
16
PRINCIPAL
AMOUNT
(000'S OMITTED) SECURITY VALUE
--------------------------------------------------------------------------------------
RETAIL-FOOD AND DRUG -- 0.0%
GENERAL NUTRITION CENTER, SR. SUB. NOTES
$ 45 8.50%, 12/1/10(4) $ 46,350
--------------------------------------------------------------------------------------
$ 46,350
--------------------------------------------------------------------------------------
RETAIL-GENERAL -- 0.0%
SHOPKO STORES, SR. NOTES
$ 95 9.25%, 3/15/22 $ 90,725
--------------------------------------------------------------------------------------
$ 90,725
--------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 0.1%
AMI SEMICONDUCTOR, INC.
$ 121 10.75%, 2/1/13 $ 144,898
AMKOR TECHNOLOGIES, INC.
30 5.75%, 6/1/06 30,450
AMKOR TECHNOLOGIES, INC., SR. NOTES
10 9.25%, 2/15/08 11,400
AMKOR TECHNOLOGIES, INC., SR. SUB. NOTES
65 10.50%, 5/1/09 69,713
ON SEMICONDUCTOR CORP.
35 13.00%, 5/15/08 40,863
SCG HOLDING & SEMICONDUCTOR CORP.
20 12.00%, 8/1/09 21,600
--------------------------------------------------------------------------------------
$ 318,924
--------------------------------------------------------------------------------------
TELECOMMUNICATION EQUIPMENT -- 0.1%
MARCONI CORP. PLC, SERIES A
$ 80 8.00%, 4/30/08(4) $ 81,436
NORTEL NETWORKS LTD.
130 4.25%, 9/1/08 123,663
--------------------------------------------------------------------------------------
$ 205,099
--------------------------------------------------------------------------------------
TRANSPORTATION -- 0.1%
OMI CORP., SR. NOTES
$ 95 7.625%, 12/1/13(4) $ 96,306
PETROLEUM HELICOPTERS, SERIES B
15 9.375%, 5/1/09 16,013
QUALITY DISTRIBUTION
70 9.00%, 11/15/10(4) 73,588
--------------------------------------------------------------------------------------
$ 185,907
--------------------------------------------------------------------------------------
UTILITIES -- 0.3%
AES CORP.
$ 26 10.00%, 7/15/05(4) $ 26,613
AES CORP., SR. NOTES
$ 15 9.375%, 9/15/10 $ 16,706
25 8.75%, 5/15/13(4) 28,063
15 9.00%, 5/15/15(4) 17,025
AES CORP., SR. SUB. DEBS.
80 8.875%, 11/1/27 72,400
AES CORP., SR. SUB. NOTES
35 8.50%, 11/1/07 35,700
ILLINOIS POWER
80 7.50%, 6/15/09 88,400
NATIONAL WATERWORKS, INC.
115 10.50%, 12/1/12 129,088
NRG ENERGY, INC.
205 8.00%, 12/15/13(4) 216,531
ORION POWER HOLDINGS, INC., SR. NOTES
380 12.00%, 5/1/10 463,600
--------------------------------------------------------------------------------------
$ 1,094,126
--------------------------------------------------------------------------------------
UTILITY-ELECTRIC POWER GENERATION -- 0.1%
CALPINE CANADA ENERGY FINANCE, SR. NOTES
$ 240 8.50%, 5/1/08 $ 192,600
CALPINE CORP., SR. NOTES
60 8.25%, 8/15/05 58,350
75 7.625%, 4/15/06 66,750
25 8.50%, 7/15/10(4) 24,500
25 8.50%, 2/15/11 19,906
RELIANT RESOURCES, INC.
55 9.25%, 7/15/10(4) 58,575
RELIANT RESOURCES, INC., SR. NOTES
15 9.50%, 7/15/13(4) 16,125
--------------------------------------------------------------------------------------
$ 436,806
--------------------------------------------------------------------------------------
WIRELESS COMMUNICATION SERVICES -- 0.6%
AMERICAN TOWER CORP., SR. NOTES
$ 390 9.375%, 2/1/09 $ 417,300
CENTENNIAL CELL/COMMUNICATION
125 10.125%, 6/15/13(4) 137,813
CROWN CASTLE INTERNATIONAL CORP.
2 6.25%, 8/15/12 104,400
CROWN CASTLE INTERNATIONAL CORP., SR. NOTES
150 9.50%, 8/1/11 164,250
INSIGHT MIDWEST/INSIGHT CAPITAL, SR. NOTES
95 10.50%, 11/1/10 103,788
LEVEL 3 FINANCING, INC., SR. NOTES
270 10.75%, 10/15/11(4) 286,875
NEXTEL COMMUNICATIONS, INC., SR. NOTES
10 7.375%, 8/1/15 10,800
See notes to financial statements.
17
PRINCIPAL
AMOUNT
(000'S OMITTED) SECURITY VALUE
--------------------------------------------------------------------------------------
WIRELESS COMMUNICATION SERVICES (CONTINUED)
NEXTEL PARTNERS, INC., SR. NOTES
$ 116 12.50%, 11/15/09 $ 135,140
175 11.00%, 3/15/10 194,250
25 11.00%, 3/15/10 27,750
70 8.125%, 7/1/11 74,900
SBA TELECOMMUNICATIONS, SR. DISC. NOTES
90 0.00%, 12/19/11(4) 63,900
UBIQUITEL OPERATING CO.
23 14.00%, 5/15/10 17,365
WESTERN WIRELESS CORP., SR. NOTES
55 9.25%, 7/15/13 58,300
--------------------------------------------------------------------------------------
$ 1,796,831
--------------------------------------------------------------------------------------
WIRELINE COMMUNICATION SERVICES -- 0.3%
ACCEPTANCE ESCROW CORP., SR. NOTES
$ 130 10.00%, 8/1/11(4) $ 145,600
CINCINNATI BELL, INC., SR. SUB. NOTES
65 8.375%, 1/15/14(4) 70,200
EMBRATEL
105 11.00%, 12/15/08(4) 108,150
QWEST SERVICES CORP.
493 13.50%, 12/15/10(4) 601,460
--------------------------------------------------------------------------------------
$ 925,410
--------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES
(IDENTIFIED COST $35,001,625) $ 37,646,990
--------------------------------------------------------------------------------------
COMMON STOCKS, PREFERRED STOCKS AND
WARRANTS -- 2.9%
SHARES/RIGHTS SECURITY VALUE
--------------------------------------------------------------------------------------
210 American Tower Corp., Warrants(2)(3) $ 26,355
32,537 Carlyle-Key Partners(2)(3) 32,537
2,535 CSC Holdings, Inc. Preferred, Series M(2) 266,809
2,992 Enviromental Systems Products Common(2)(3) 12,028
10,443 Hayes Lemmerz International Common(2) 189,122
35 Hayes Lemmerz International Preferred,
Series A(2)(3) 2,480
10 Identity Now Holdings Common(2)(3) 0
9 Kac Mezz Holdings, Class A, Warrants(2)(3) 0
8 Kac Mezz Holdings, Class B, Warrants(2)(3) 0
15 Key Plastics LLC Preferred Stock (Series A)(2)(3) 15,231
8 Knowledge Universe, Inc. Common(2) 8,000
20 Lucent Technologies Capital Trust I Preferred
Shares 21,250
45,548 Thermadyne Holdings Corp. Common(2) 560,240
925,000 Van Kampen Senior Income Trust 7,982,750
1,790 Williams Cos., Inc. (The) Preferred(2)(4) 116,574
--------------------------------------------------------------------------------------
TOTAL COMMON STOCKS AND WARRANTS
(IDENTIFIED COST, $7,913,887) $ 9,233,376
--------------------------------------------------------------------------------------
COMMERCIAL PAPER -- 1.6%
PRINCIPAL
AMOUNT
(000'S OMITTED) SECURITY VALUE
--------------------------------------------------------------------------------------
BANKS AND MONEY SERVICES -- 1.6%
BARTON CAPITAL CORP.
$ 5,000 1.08%, 1/23/04 $ 4,996,550
--------------------------------------------------------------------------------------
$ 4,996,550
--------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER
(IDENTIFIED COST $4,996,550) $ 4,996,550
--------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 1.9%
PRINCIPAL MATURITY
AMOUNT DATE BORROWER RATE AMOUNT
--------------------------------------------------------------------------------------
Investors Bank and
$ 5,804,000 01/02/04 Trust Time Deposit 1.01% $ 5,804,000
--------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS
(AT AMORTIZED COST) $ 5,804,000
--------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 161.2%
(IDENTIFIED COST $499,837,220) $ 505,244,349
--------------------------------------------------------------------------------------
OTHER ASSETS, LESS LIABILITIES -- (26.1)% $ (81,738,148)
AUCTION PREFERRED SHARES PLUS CUMULATIVE
UNPAID DIVIDENDS -- (35.1)% $ (110,013,134)
NET ASSETS APPLICABLE TO
COMMON SHARES 100.0% $ 313,493,067
--------------------------------------------------------------------------------------
PIK - Payment-In-Kind.
(1) Senior floating-rate interests often require prepayments from excess cash
flows or permit the borrower to repay at its election. The degree to which
borrowers repay, whether as a contractual requirement or at their election,
cannot be predicted with accuracy. As a result, the actual remaining
maturity may be substantially less than the stated maturities shown.
However, it is anticipated that the senior floating-rate interests will
have an expected average life of approximately two to four years.
(2) Non-income producing security.
(3) Security valued at fair value using methods determined in good faith by or
at the direction of the Trustees.
(4) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
Note: At December 31, 2003, the Trust had unfunded commitments amounting to
$9,483,606 under various revolving credit agreements.
See notes to financial statements.
18
EATON VANCE SENIOR INCOME TRUST AS OF DECEMBER 31, 2003
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2003
ASSETS
Investments, at value (identified cost, $499,837,220) $ 505,244,349
Cash 9,971,142
Receivable for investments sold 590,059
Dividends and interest receivable 2,433,532
Prepaid expenses 76,968
--------------------------------------------------------------------------------------------------
TOTAL ASSETS $ 518,316,050
--------------------------------------------------------------------------------------------------
LIABILITIES
Demand note payable $ 93,000,000
Dividends payable 1,339,379
Miscellaneous liabilities 199,888
Payable to affiliate for Trustees' fees 3,125
Payable to affiliate 17,039
Accrued expenses:
Interest 141,917
Operating expenses 108,501
--------------------------------------------------------------------------------------------------
TOTAL LIABILITIES $ 94,809,849
--------------------------------------------------------------------------------------------------
AUCTION PREFERRED SHARES (4,400 SHARES OUTSTANDING) AT LIQUIDATION VALUE PLUS
CUMULATIVE UNPAID DIVIDENDS 110,013,134
--------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHARES $ 313,493,067
--------------------------------------------------------------------------------------------------
SOURCES OF NET ASSETS
Common Shares, $0.01 par value, unlimited number of shares
authorized, 36,199,885 shares issued and outstanding $ 361,999
Additional paid-in capital 359,027,479
Accumulated net realized loss (computed on the basis of identified cost) (51,351,005)
Accumulated undistributed net investment income 47,465
Net unrealized appreciation (computed on the basis of identified cost) 5,407,129
--------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHARES $ 313,493,067
--------------------------------------------------------------------------------------------------
NET ASSET VALUE PER COMMON SHARE
($313,493,067 / 36,199,885 COMMON SHARES ISSUED AND OUTSTANDING) $ 8.66
--------------------------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2003
INVESTMENT INCOME
Interest $ 12,773,391
Dividends 201,991
Miscellaneous 53,260
--------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME $ 13,028,642
--------------------------------------------------------------------------------------------------
EXPENSES
Investment adviser fee $ 2,264,832
Administration fee 666,127
Trustees' fees and expenses 6,650
Interest 861,264
Preferred shares remarketing agent fee 146,098
Legal and accounting services 109,368
Custodian fee 99,979
Transfer and dividend disbursing agent fees 39,820
Printing and postage 26,700
Miscellaneous 49,458
--------------------------------------------------------------------------------------------------
TOTAL EXPENSES $ 4,270,296
--------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 8,758,346
--------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) --
Investment transactions (identified cost basis) $ (3,300,466)
--------------------------------------------------------------------------------------------------
NET REALIZED LOSS $ (3,300,466)
--------------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 10,657,697
--------------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) $ 10,657,697
--------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN $ 7,357,231
--------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS $ (623,458)
--------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 15,492,119
--------------------------------------------------------------------------------------------------
See notes to financial statements.
19
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) SIX MONTHS ENDED YEAR ENDED
IN NET ASSETS DECEMBER 31, 2003 JUNE 30, 2003
-------------------------------------------------------------------------------------------
From operations--
Net investment income $ 8,758,346 $ 20,461,831
Net realized loss (3,300,466) (7,499,972)
Net change in unrealized
appreciation (depreciation) 10,657,697 10,329,958
Distributions to preferred shareholders (623,458) (1,607,603)
-------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 15,492,119 $ 21,684,214
-------------------------------------------------------------------------------------------
Distributions to common shareholders--
From net investment income $ (9,789,288) $ (18,804,935)
-------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO COMMON SHAREHOLDERS $ (9,789,288) $ (18,804,935)
-------------------------------------------------------------------------------------------
Capital share transactions--
Reinvestment of distributions to shareholders $ 1,351,785 $ 800,067
-------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE
TRANSACTIONS $ 1,351,785 $ 800,067
-------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS $ 7,054,616 $ 3,679,346
-------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO
COMMON SHARES
At beginning of period $ 306,438,451 $ 302,759,105
-------------------------------------------------------------------------------------------
AT END OF PERIOD $ 313,493,067 $ 306,438,451
-------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED
NET INVESTMENT INCOME INCLUDED
IN NET ASSETS APPLICABLE TO
COMMON SHARES
AT END OF PERIOD $ 47,465 $ 1,701,865
-------------------------------------------------------------------------------------------
STATEMENT OF CASH FLOWS
SIX MONTHS ENDED
INCREASE (DECREASE) IN CASH DECEMBER 31, 2003
-------------------------------------------------------------------------------
Cash Flows From (Used For) Operating Activities --
Purchases of loan interests and corporate bonds $ (169,739,689)
Proceeds from sales and principal repayments 196,830,945
Interest and dividends received 12,759,108
Payable to affiliate 17,039
Miscellaneous income paid (12,508)
Interest paid (880,969)
Prepaid expenses (12,104)
Operating expenses paid (3,422,711)
Net decrease in short-term investments 2,665,800
-------------------------------------------------------------------------------
NET CASH FROM OPERATING ACTIVITIES $ 38,204,911
-------------------------------------------------------------------------------
Cash Flows From (Used For) Financing Activities --
Cash distributions paid (excluding
reinvestments of $1,351,785) (7,726,180)
Net decrease in amounts due under commercial paper program (25,000,000)
-------------------------------------------------------------------------------
NET CASH USED FOR FINANCING ACTIVITIES $ (32,726,180)
-------------------------------------------------------------------------------
NET INCREASE IN CASH $ 5,478,731
-------------------------------------------------------------------------------
CASH AT BEGINNING OF PERIOD $ 4,492,411
-------------------------------------------------------------------------------
CASH AT END OF PERIOD $ 9,971,142
-------------------------------------------------------------------------------
RECONCILIATION OF NET INCREASE IN NET ASSETS
FROM OPERATIONS TO NET CASH USED FOR
OPERATING ACTIVITIES
Net increase in net assets from operations $ 16,115,577
Increase in receivable for investments sold (341,942)
Decrease in dividends and interest receivable 176,158
Increase in prepaid expenses (12,104)
Decrease in miscellaneous liability (65,768)
Increase in payable to affiliate 17,039
Decrease in payable for Trustees' fees (1,365)
Decrease in accrued expenses (32,019)
Net decrease in investments 22,349,335
-------------------------------------------------------------------------------
NET CASH FROM OPERATING ACTIVITIES $ 38,204,911
-------------------------------------------------------------------------------
See notes to financial statements.
20
FINANCIAL HIGHLIGHTS
YEAR ENDED JUNE 30,(1)
SIX MONTHS ENDED --------------------------------------------------------------
DECEMBER 31, 2003 2003(1) 2002(1)(2) 2001(1) 2000 1999(1)(3)
--------------------------------------------------------------------------------------------------------------------------------
Net asset value -- Beginning of period $ 8.500 $ 8.420 $ 8.860 $ 9.810 $ 10.09 $ 10.000
--------------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS
Net investment income $ 0.242 $ 0.569 $ 0.687 $ 0.872 $ 0.868 $ 0.539
Net realized and unrealized gain (loss) 0.206 0.079 (0.420) (0.908) (0.271) 0.036
Distribution to preferred shareholders (0.017) (0.045) (0.076) -- -- --
--------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM OPERATIONS $ 0.431 $ 0.603 $ 0.191 $ (0.036) $ 0.597 $ 0.575
--------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income $ (0.271) $ (0.523) $ (0.631) $ (0.882) $ (0.877) $ (0.465)
--------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO COMMON SHAREHOLDERS $ (0.271) $ (0.523) $ (0.631) $ (0.882) $ (0.877) $ (0.465)
--------------------------------------------------------------------------------------------------------------------------------
Offering costs charged to paid-in capital $ -- $ -- $ -- $ (0.001) $ -- $ (0.020)
--------------------------------------------------------------------------------------------------------------------------------
Preferred Shares underwriting discounts $ -- $ -- $ -- $ (0.031) $ -- $ --
--------------------------------------------------------------------------------------------------------------------------------
Net asset value -- End of period (Common Shares) $ 8.660 $ 8.500 $ 8.420 $ 8.860 $ 9.810 $ 10.090
---------------------------------------------------------------------------------------------------------------------------------
MARKET VALUE -- END OF PERIOD (COMMON SHARES) $ 9.220 $ 8.920 $ 7.760 $ 8.940 $ 9.313 $ 10.000
--------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(4) 6.19% 23.03% (6.18)% 5.65% 2.00% 4.93%
--------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA+,++
Net assets applicable to common shares, end of
period (000's omitted) $ 313,493 $ 306,438 $ 302,759 $ 317,597 $ 349,803 $ 359,705
Ratios (As a percentage of average net assets
attibutable to common shares):
Net expenses(5) 2.18%(6) 2.22% 2.28% 1.89% 1.84% 1.65%(6)
Interest expense 0.55%(6) 0.72% 0.85% 2.50% 2.41% 2.02%(6)
Total expenses(5) 2.73%(6) 2.94% 3.13% 4.39% 4.25% 3.67%(6)
Net investment income(5) 5.61%(6) 6.92% 8.01% 9.37% 8.73% 8.17%(6)
Portfolio Turnover 34% 56% 69% 37% 63% 27%
--------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Trust may reflect a reduction of the
investment adviser fee and the administration fee. Had such actions not
been taken, the ratios and net investment income per share would have been
as follows:
Ratios (As a percentage of average net assets applicable to common shares):
Expenses 1.97%(6)
Interest expense 2.02%(6)
Net investment income 7.85%(6)
Net investment income per share $ 0.518
--------------------------------------------------------------------------------------------------------------------------------
++ The ratios reported above are based on net assets attributable solely to
common shares. The ratios based on net assets, including amounts related to
preferred shares since the initial offering of preferred shares, are as
follows:
Ratios (As a percentage of average total net
assets):
Net Expenses(5) 1.61%(6) 1.62% 1.68% 1.88%
Interest expense 0.41%(6) 0.52% 0.63% 2.50%
Total expenses(5) 2.02%(6) 2.14% 2.31% 4.38%
Net investment income(5) 4.14%(6) 5.05% 5.90% 9.33%
--------------------------------------------------------------------------------------------------------------------------------
Senior Securities:
Total preferred shares outstanding 4,400 4,400 4,400 4,400 -- --
Asset coverage per preferred share(7) $ 96,251 $ 94,649 $ 93,814 $ 97,192 $ -- $ --
Involuntary liquidation preference per
preferred share(8) $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ -- $ --
Approximate market value per preferred
share(8) $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ -- $ --
--------------------------------------------------------------------------------------------------------------------------------
(1) Net investment income per share was computed using average shares
outstanding.
(2) The Trust has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies and began using the interest
method to amortize premiums on fixed-income securities. The effect of this
change for the year ended June 30, 2002 was to increase net investment
income per share by $0.001, increase net realized and unrealized losses per
share by $0.001, and increase the ratio of net investment income to average
net assets attributable to common shares by less than 0.01%. Per share data
and ratios for the periods prior to July 1, 2001 have not been restated to
reflect this change in presentation.
(3) For the period from the start of business, October 30, 1998, to June 30,
1999.
(4) Returns are historical and are calculated by determining the percentage
change in market value with all distributions reinvested. Total return is
not computed on an annualized basis.
(5) Ratios do not reflect the effect of dividend payments to preferred
shareholders. Ratios to average net assets attributable to common shares
reflect the Trust's leveraged capital structure.
(6) Annualized.
(7) Calculated by subtracting the Trust's total liabilities (not including the
preferred shares) from the Trust's total assets, and dividing this by the
number of preferred shares outstanding.
(8) Plus accumulated and unpaid dividends.
See notes to financial statements.
21
EATON VANCE SENIOR INCOME TRUST AS OF DECEMBER 31, 2003
NOTES TO FINANCIAL STATEMENTS
1 SIGNIFICANT ACCOUNTING POLICIES
Eaton Vance Senior Income Trust (the Trust) is an entity commonly known as a
Massachusetts business trust and is registered under the Investment Company
Act of 1940 as a non-diversified closed-end management investment company.
The Trust's investment objective is to provide a high level of current income
consistent with the preservation of capital, by investing primarily in
senior, floating rate loans. The following is a summary of significant
accounting policies consistently followed by the Trust in the preparation of
its financial statements. The policies are in conformity with accounting
principles generally accepted in the United States of America.
Certain prior year amounts have been reclassified for presentation purposes.
A INVESTMENT VALUATIONS -- The Trust's investments are primarily in interests
in senior floating rate loans (Senior Loans). Certain Senior Loans are deemed
liquid because reliable market quotations are readily available for them.
Liquid loans are valued on the basis of prices furnished by a pricing
service. Other Senior Loans are valued at fair value by the Trust's
investment adviser, Eaton Vance Management (EVM), under procedures
established by the Trustees as permitted by Section 2(a)(41) of the
Investment Company Act of 1940. Such procedures include the consideration of
relevant factors, data and information relating to fair value, including (i)
the characteristics of and fundamental analytical data relating to the Senior
Loan, including the cost, size, current interest rate, period until next
interest rate reset, maturity and base lending rate of the Senior Loan, the
terms and conditions of the Senior Loan and any related agreements and the
position of the loan in the borrower's debt structure; (ii) the nature,
adequacy and value of the collateral, including the Trust's rights, remedies
and interests with respect to the collateral; (iii) the creditworthiness of
the Borrower, based on evaluations of its financial condition, financial
statements and information about the Borrower's business, cash flows, capital
structure and future prospects; (iv) information relating to the market for
the Senior Loan including price quotations for and trading in the Senior Loan
and interests in similar loans and the market environment and investor
attitudes towards the Senior Loan and interests in similar loans; (v) the
experience, reputation, stability and financial condition of the agent and
any intermediate participant in the loan; and (vi) general economic and
market conditions affecting the fair value of the Senior Loan. Non-loan
portfolio holdings (other than short-term obligations, but including listed
issues) may be valued on the basis of prices furnished by one or more pricing
services which determine prices for normal, institutional-size trading units
of such securities using market information, transactions for comparable
securities and various relationships between securities which are generally
recognized by institutional traders. In certain circumstances, portfolio
securities will be valued at the last sales price on the exchange that is the
primary market for such securities, or the average of the last quoted bid
price for those securities for which the over-the-counter market is the
primary market or for listed securities in which there were no sales during
the day. Marketable securities listed in the NASDAQ National Market System
are valued at the NASDAQ official closing price. The value of interest rate
swaps will be based upon a dealer quotation. Short-term obligations which
mature in 60 days or less are valued at amortized cost, if their original
term to maturity when acquired by the Trust was 60 days or less or are valued
at amortized cost using their value on the 61st day prior to maturity, if
their original term to maturity when acquired by the Trust was more then 60
days, unless in each case this is determined not to represent fair value.
Repurchase agreements are valued at cost plus accrued interest. Other
portfolio securities for which there are no quotations or valuations are
valued at fair value as determined in good faith by or on behalf of the
Trustees.
B INCOME -- Interest income from Senior Loans is recorded on the accrual
basis at the then-current interest rate, while all other interest income is
determined on the basis of interest accrued, adjusted for amortization of
premium or discount. Facility fees received are recognized as income over the
expected term of the loan. Dividend income is recorded on the ex-dividend
date for dividends received in cash and/or securities.
C FEDERAL TAXES -- The Trust's policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders each year all of its taxable income, including any
net realized gain on investments. Accordingly, no provision for federal
income or excise tax is necessary. At June 30, 2003, the Trust , for federal
income tax purposes, had a capital loss carryover of $43,194,563, which will
expire on June 30, 2009 ($1,925,241), June 30, 2010 ($27,557,475) and June
30, 2011 ($13,711,847). These amounts will reduce the Trust's taxable income
arising from future net realized gain on investments, if any , to the extent
permitted by the Internal Revenue Code and thus will reduce the amount of the
distributions to shareholders which would otherwise be necessary to relieve
the Trust of any liability for federal income or excise tax.
22
Additionally, at June 30, 2003, the Trust had net capital losses of
$3,925,789 attributable to security transactions incurred after October 31,
2002. These are treated as arising on the first day of the Trust's current
taxable year.
D EXPENSE REDUCTION -- Investors Bank & Trust Company (IBT) serves as
custodian of the Trust. Pursuant to the custodian agreement, IBT receives a
fee reduced by credits which are determined based on the average daily cash
balances the Trust maintains with IBT. All significant credit balances used
to reduce the Trust's custodian fees are reported as a reduction of expenses
on the Statement of Operations.
E USE OF ESTIMATES -- The preparation of financial statements in conformity
with accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the
reported amounts of assets and liabilities at the date of the financial
statements and the reported amounts of income and expense during the
reporting period. Actual results could differ from those estimates.
F INDEMNIFICATIONS -- Under the Trust's organizational documents, its
officers and Trustees may be indemnified against certain liabilities and
expenses arising out of the performance of their duties to the Fund and
shareholders are indemnified against personal liability for obligations of
the Trust. Additionally, in the normal course of business, the Fund enters
into agreements with service providers that may contain indemnification
clauses. The Fund's maximum exposure under these arrangements is unknown as
this would involve future claims that may be made against the Fund that have
not yet occurred.
G OTHER -- Investment transactions are accounted for on the date the
investments are purchased or sold. Gains and losses on securities sold are
determined on the basis of identified cost.
2 AUCTION PREFERRED SHARES (APS)
The Trust issued 2,200 shares of Auction Preferred Shares Series A and 2,200
shares of Auction Preferred Shares Series B on June 27, 2001 in a public
offering. The underwriting discount and other offering costs were recorded as
a reduction to paid in capital. Dividends on the APS, which accrue daily, are
paid cumulative at a rate which was established at the offering of the APS
and have been reset every 7 days thereafter by an auction. Dividend rates at
December 31, 2003 were 1.40% and 1.20% for Series A and Series B Shares,
respectively. Series A and Series B are identical in all respects except for
the dates of reset for the dividend rates.
The APS are redeemable at the option of the Trust, at a redemption price
equal to $25,000 per share, plus accumulated and unpaid dividends on any
dividend payment date. The APS are also subject to mandatory redemption at a
redemption price equal to $25,000 per share, plus accumulated and unpaid
dividends, if the Trust is in default on its asset maintenance requirements
with respect to the APS. If the dividends on the APS shall remain unpaid in
an amount equal to two full years' dividends, the holders of the APS as a
class have the right to elect a majority of the Board of Trustees. In
general, the holders of the APS and the common shares have equal voting
rights of one vote per share, except that the holders of the APS, as a
separate class, have the right to elect at least two members of the Board of
Trustees. The APS have a liquidation preference of $25,000 per share, plus
accumulated and unpaid dividends. The Trust is required to maintain certain
asset coverage with respect to the APS as defined in the Trust's By-Laws. The
Trust pays annual fees equivalent to 0.25% of the preferred shares'
liquidation value for the remarketing efforts associated with the preferred
auctions.
3 DISTRIBUTIONS TO SHAREHOLDERS
The Trust intends to make monthly distributions to common shareholders of net
investment income, after payment of any dividends on any outstanding
preferred shares. Distributions are recorded on the ex-dividend date.
Distributions to preferred shareholders are recorded daily and are payable at
the end of each dividend period. Each dividend payment period for the Auction
Preferred Shares is generally seven days. The applicable dividend rate for
the Auction Preferred Shares on December 31, 2003 was 1.40% and 1.20%, for
Series A and Series B Shares, respectively. For the six months ended December
31, 2003, the Trust paid dividends to Auction Preferred shareholders
amounting to $312,033 and $311,425 for Series A and Series B Shares,
respectively, representing an average APS dividend rate for such period of
1.11% and 1.10%, respectively.
4 COMMON SHARES OF BENEFICIAL INTEREST
The Agreement and Declaration of Trust permits the Trustees to issue an
unlimited number of full and fractional $0.01 par value common shares of
beneficial interest. Transactions in common shares were as follows:
SIX MONTHS ENDED
DECEMBER 31, YEAR ENDED
2003 JUNE 30,
(UNAUDITED) 2003
----------------------------------------------------------------------------
Issued to shareholders electing to receive
payments of distributions in Fund shares 156,007 95,799
---------------------------------------------------------------------------
NET INCREASE 156,007 95,799
---------------------------------------------------------------------------
23
5 INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES
The investment adviser fee, computed at a monthly rate of 17/240 of 1% (0.85%
annually) of the Trust's average weekly gross assets, was earned by EVM as
compensation for management and investment advisory services rendered to the
Trust. For the six months ended December 31, 2003, the fee was equivalent to
0.85% (annualized) of the Trust's average weekly gross assets and amounted to
$2,264,832. Except for Trustees of the Trust who are not members of EVM's
organization, officers and Trustees receive remuneration for their services
to the Trust out of such investment adviser fee. EVM also serves as the
administrator of the Trust. An administration fee, computed at the monthly
rate of 1/48 of 1% (0.25% annually) of the average weekly gross assets of the
Trust, is paid to EVM for managing and administering business affairs of the
Trust. For the six months ended December 31, 2003, the fee was equivalent to
0.25% of the Trust's average weekly gross assets for such period and amounted
to $666,127.
Certain officers and Trustees of the Trust are officers of the above
organization.
During the six months ended December 31, 2003, the Trust engaged in purchase
transactions with other funds that also utilize EVM, or an affiliate of EVM,
as an investment adviser. These purchases transactions complied with Rule
17-a7 under the Investment Company Act of 1940 and amounted to $2,000,000.
6 INVESTMENT TRANSACTIONS
The Trust invests primarily in Senior Loans. The ability of the issuers of
the Senior Loans held by the Trust to meet their obligations may be affected
by economic developments in a specific industry. The cost of purchases and
the proceeds from principal repayments and sales of Senior Loans, corporate
bonds and equities aggregated $169,739,689 and $197,135,202, respectively,
for the six months ended December 31, 2003.
7 SHORT-TERM DEBT AND CREDIT AGREEMENTS
The Trust has entered into a revolving credit agreement that will allow the
Trust to borrow $120 million to support the issuance of commercial paper and
to permit the Trust to invest in accordance with its investment practices.
Interest is charged under the revolving credit agreement at the bank's base
rate or at an amount above either the bank's adjusted certificate of deposit
rate or federal funds effective rate. Interest expense includes commercial
paper program fees of approximately $169,000 and a commitment fee of
approximately $92,000 which is computed at the annual rate of 0.15% on the
unused portion of the revolving credit agreement. There were no significant
borrowings under this agreement during the period. As of December 31, 2003,
the Trust had commercial paper outstanding of $93,000,000, at an interest
rate of 1.07%. Maximum and average borrowings for the six months ended
December 31, 2003 were $118,000,000 and $110,282,609, respectively, and the
average interest rate was 1.08%.
8 FEDERAL INCOME TAX BASIS OF UNREALIZED APPRECIATION (DEPRECIATION)
The cost and unrealized appreciation (depreciation) in value of the
investment securities at December 31, 2003, as computed on a federal income
tax basis, were as follows:
AGGREGATE COST $ 499,850,210
--------------------------------------------------------
Gross unrealized appreciation $ 8,456,432
Gross unrealized depreciation (3,062,293)
--------------------------------------------------------
NET UNREALIZED APPRECIATION $ 5,394,139
--------------------------------------------------------
9 ANNUAL MEETING OF SHAREHOLDERS (UNAUDITED)
The Trust held its Annual Meeting of Shareholders on October 17, 2003. The
following action was taken by the shareholders:
ITEM 1: The election of Norton H. Reamer and Samuel L. Hayes, III as Trustees
of the Trust for a three-year term expiring in 2006. Mr. Hayes was designated
the Nominee to be elected solely by APS shareholders:
NOMINEE FOR TRUSTEE NUMBER OF SHARES
ELECTED BY ALL SHAREHOLDERS FOR WITHHELD
-----------------------------------------------------
Norton H. Reamer 33,436,525 718,469
NOMINEE FOR TRUSTEE NUMBER OF SHARES
ELECTED BY APS SHAREHOLDERS FOR WITHHELD
-----------------------------------------------------
Samuel L. Hayes 4,391 1
24
EATON VANCE SENIOR INCOME TRUST AS OF DECEMBER 31, 2003
INDEPENDENT AUDITORS' REPORT
TO THE TRUSTEES AND INVESTORS
OF EATON VANCE SENIOR INCOME TRUST
We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments, of Eaton Vance Senior Income Trust (the Trust) as
of December 31, 2003, 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 December 31, 2003 and for the year ended June 30, 2003, and the
financial highlights for the six months ended December 31, 2003 and for each of
the years in the five-year period ended June 30, 2003. These financial
statements and financial highlights are the responsibility of the Trust's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. Our
procedures included confirmation of securities and Senior Loans owned at
December 31, 2003 by correspondence with the custodian, brokers and selling or
agent banks; where replies were not received from brokers and selling or agent
banks, we performed other auditing procedures. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights, referred to
above, present fairly, in all material respects, the financial position of Eaton
Vance Senior Income Trust at December 31, 2003, and the results of its
operations, the changes in its net assets, its cash flows and its financial
highlights for the respective stated periods in conformity with accounting
principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 13, 2004
25
EATON VANCE SENIOR INCOME TRUST
DIVIDEND REINVESTMENT PLAN
The Trust offers a dividend reinvestment plan (the Plan) pursuant to which
shareholders automatically have dividends and capital gains distributions
reinvested in common shares (the Shares) of the Trust unless they elect
otherwise through their investment dealer. On the distribution payment date, if
the net asset value per Share is equal to or less than the market price per
Share plus estimated brokerage commissions then new Shares will be issued. The
number of Shares shall be determined by the greater of the net asset value per
Share or 95% of the market price. Otherwise, Shares generally will be purchased
on the open market by the Plan Agent. Distributions subject to income tax (if
any) are taxable whether or not shares are reinvested.
If your shares are in the name of a brokerage firm, bank, or other nominee, you
can ask the firm or nominee to participate in the Plan on your behalf. If the
nominee does not offer the Plan, you will need to request that your shares be
re-registered in your name with the Trust's transfer agent, PFPC Inc. or you
will not be able to participate.
The Plan Agent's service fee for handling distributions will be paid by the
Trust. Each participant will be charged their pro rata share of brokerage
commissions on all open-market purchases.
Plan participants may withdraw from the Plan at any time by writing to the Plan
Agent at the address noted on the following page. If you withdraw, you will
receive shares in your name for all Shares credited to your account under the
Plan. If a participant elects by written notice to the Plan Agent to have the
Plan Agent sell part or all of his or her Shares and remit the proceeds, the
Plan Agent is authorized to deduct a $5.00 fee plus brokerage commissions from
the proceeds.
If you wish to participate in the Plan and your shares are held in your own
name, you may complete the form on the following page and deliver it to the Plan
Agent.
Any inquires regarding the Plan can be directed to the Plan Agent, PFPC Inc. at
1-800-331-1710.
26
EATON VANCE SENIOR INCOME TRUST
APPLICATION FOR PARTICIPATION IN DIVIDEND REINVESTMENT PLAN
This form is for shareholders who hold their common shares in their own names.
If your common shares are held in the name of a brokerage firm, bank, or other
nominee, you should contact your nominee to see if it will participate in the
Plan on your behalf. If you wish to participate in the Plan, but your brokerage
firm, bank, or nominee is unable to participate on your behalf, you should
request that your common shares be re-registered in your own name which will
enable your participation in the Plan.
The following authorization and appointment is given with the understanding that
I may terminate it at any time by terminating my participation in the Plan as
provided in the terms and conditions of the Plan.
----------------------------------------
Please print exact name on account:
----------------------------------------
Shareholder signature Date
----------------------------------------
Shareholder signature Date
Please sign exactly as your common
shares are registered. All persons whose
names appear on the share certificate
must sign.
YOU SHOULD NOT RETURN THIS FORM IF YOU WISH TO RECEIVE YOUR DIVIDENDS AND
DISTRIBUTIONS IN CASH. THIS IS NOT A PROXY.
THE AUTHORIZATION FORM, WHEN SIGNED, SHOULD BE MAILED TO THE FOLLOWING ADDRESS:
Eaton Vance Senior Income Trust
c/o PFPC Inc.
P.O. Box 43027
Providence, RI 02940-3027
800-331-1710
NUMBER OF EMPLOYEES
The Trust is organized as a Massachusetts business trust and is registered under
the Investment Company Act of 1940, as amended, as a closed-end, nondiversified,
management investment company and has no employees.
NUMBER OF SHAREHOLDERS
As of December 31, 2003, our records indicate that there were 284 registered
shareholders for and approximately 17,200 shareholders owning the Trust shares
in street name, such as through brokers, banks, and financial intermediaries.
If you are a street name shareholder and wish to receive our reports directly,
which contain important information about the Trust, please write or call:
Eaton Vance Distributors, Inc.
The Eaton Vance Building
255 State Street
Boston, MA 02109
1-800-225-6265
NEW YORK STOCK EXCHANGE SYMBOL
The New York Stock Exchange Symbol is EVF
27
EATON VANCE SENIOR INCOME TRUST
INVESTMENT MANAGEMENT
EATON VANCE SENIOR INCOME TRUST
OFFICERS
James B. Hawkes
President, Chief Executive
Officer and Trustee
Scott H. Page
Vice President and
Co-Portfolio Manager
John P. Redding
Vice President
Co-Portfolio Manager
Payson F. Swaffield
Vice President and
Co-Portfolio Manager
Michael W. Weilheimer
Vice President
James L. O'Connor
Treasurer
Alan R. Dynner
Secretary
TRUSTEES
Jessica M. Bibliowicz
Samuel L. Hayes, III
William H. Park
Ronald A. Pearlman
Norton H. Reamer
Lynn A. Stout
28
This Page Intentionally Left Blank
INVESTMENT ADVISER AND ADMINISTRATOR OF EATON VANCE SENIOR INCOME TRUST
EATON VANCE MANAGEMENT
The Eaton Vance Building
255 State Street
Boston, MA 02109
CUSTODIAN
INVESTORS BANK & TRUST COMPANY
200 Clarendon Street
Boston, MA 02116
TRANSFER AGENT
PFPC INC.
P.O. Box 43027
Providence, RI 02940-3027
1-800-331-1710
EATON VANCE SENIOR INCOME TRUST
THE EATON VANCE BUILDING
255 STATE STREET
BOSTON, MA 02109
171-2/04 SITSRC
ITEM 2. CODE OF ETHICS
The registrant has adopted a code of ethics applicable to its Principal
Executive Officer, Principal Financial Officer and Principal Accounting Officer.
The registrant undertakes to provide a copy of such code of ethics to any person
upon request, without charge, by calling 1-800-262-1122.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
The registrant's Board has designated William H. Park, Samuel L. Hayes, III and
Norton H. Reamer, each an independent trustee, as its audit committee financial
experts. Mr. Park is a certified public accountant who is the President and
Chief Executive Officer of Prizm Capital Management, LLC (a fixed income
investment management firm). Previously, he served as Executive Vice President
and Chief Financial Officer of United Asset Management Corporation ("UAM") (a
holding company
owning institutional investment management firms). Mr. Hayes is the Jacob H.
Schiff Professor of Investment Banking Emeritus of the Harvard University
Graduate School of Business Administration. Mr. Reamer is the President, Chief
Executive Officer and a Director of Asset Management Finance Corp. (a specialty
finance company serving the investment management industry) and is President of
Unicorn Corporation (an investment and financial advisory services company).
Formerly, Mr. Reamer was Chairman of Hellman, Jordan Management Co., Inc. (an
investment management company) and Advisory Director of Berkshire Capital
Corporation (an investment banking firm), Chairman of the Board of UAM and
Chairman, President and Director of the UAM Funds (mutual funds).
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
Not required in this filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not required in this filing.
ITEM 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES
The registrant's Board has adopted a proxy voting policy and procedure (the
"Fund Policy"), pursuant to which the Trustees have delegated proxy voting
responsibility to the registrant's investment adviser and adopted the investment
adviser's proxy voting policies and procedures (the "Policies") which are
described below. The Trustees will review the registrant's proxy voting records
from time to time and will annually consider approving the Policies for the
upcoming year. In the event that a conflict of interest arises between the
registrant's shareholders and the investment adviser, the administrator, or any
of their affiliates or any affiliate of the registrant, the investment adviser
will generally refrain from voting the proxies related to the companies giving
rise to such conflict until it consults with the Board's Special Committee
except as contemplated under the Fund Policy. The Special Committee will
instruct the investment adviser on the appropriate course of action.
The Policies are designed to promote accountability of a company's management to
its shareholders and to align the interests of management with those
shareholders. The investment adviser will generally support company management
on proposals relating to environmental and social policy issues and on matters
regarding the state of organization of the company. On all other matters, the
investment adviser will take management's proposals under advisement but will
consider each matter in light of the guidelines set forth in the Policies.
Except in the instance of routine matters related to corporate administration
which are not expected to have a significant economic impact on the company or
its shareholders (on which the investment adviser will routinely vote with
management), the investment adviser will review each matter on a case-by-case
basis and reserves the right to deviate from the Policies guidelines when it
believes the situation warrants such a deviation. The Policy includes voting
guidelines for matters relating to, among other things, the election of
directors, approval of independent auditors, executive compensation, corporate
structure and anti-takeover defenses. The investment
adviser may abstain from voting from time to time where it determines that the
costs associated with voting a proxy outweighs the benefits derived from
exercising the right to vote.
In addition, the investment adviser will monitor situations that may result in a
conflict of interest between the registrant's shareholders and the investment
adviser, the administrator, or any of their affiliates or any affiliate of the
registrant by maintaining a list of significant existing and prospective
corporate clients. The investment adviser's personnel responsible for reviewing
and voting proxies on behalf of the registrant will report any proxy received or
expected to be received from a company included on that list to the investment
adviser's general counsel or chief equity investment officer. The general
counsel or chief equity investment officer will determine if a conflict exists.
If a conflict does exist, the proxy will either be voted strictly in accordance
with the Policy or the investment adviser will seek instruction on how to vote
from the Board.
Effective August 31, 2004, information on how the registrant voted proxies
relating to portfolio securities during the 12 month period ended June 30, 2004
will be available (1) without charge, upon request, by calling 1-800-262-1122,
and (2) on the Securities and Exchange Commission's website at
http://www.sec.gov.
ITEM 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES
(a) It is the conclusion of the registrant's principal executive officer and
principal financial officer that the effectiveness of the registrant's current
disclosure controls and procedures (such disclosure controls and procedures
having been evaluated within 90 days of the date of this filing) provide
reasonable assurance that the information required to be disclosed by the
registrant has been recorded, processed, summarized and reported within the time
period specified in the Commission's rules and forms and that the information
required to be disclosed by the registrant has been accumulated and communicated
to the registrant's principal executive officer and principal financial officer
in order to allow timely decisions regarding required disclosure.
(b) There have been no significant changes in the registrant's internal controls
or in other factors that could significantly affect these controls subsequent to
the date of their evaluation, including any corrective actions with regard to
significant deficiencies and material weaknesses.
ITEM 10. EXHIBITS
(a)(1) Registrant's Code of Ethics - Not applicable (please see Item 2).
(a)(2)(i) Treasurer's Section 302 certification.
(a)(2)(ii) President's Section 302 certification.
(b) Combined Section 906 certification.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
EATON VANCE SENIOR INCOME TRUST
By: /s/ James B. Hawkes
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James B. Hawkes
President
Date: February 11, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ James L. O'Connor
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James L. O'Connor
Treasurer
Date: February 11, 2004
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By: /s/ James B. Hawkes
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James B. Hawkes
President
Date: February 11, 2004
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