Eaton Vance Senior Floating Rate Trust Fund
Table of Contents

 
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
Form N-Q
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
 
811-21411
Investment Company Act File Number
 
Eaton Vance Senior Floating-Rate Trust
(Exact Name of Registrant as Specified in Charter)
 
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
 
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
 
(617) 482-8260
(Registrant’s Telephone Number, Including Area Code)
 
October 31
Date of Fiscal Year End
 
July 31, 2009
Date of Reporting Period
 


TABLE OF CONTENTS

Item 1. Schedule of Investments
Item 2. Controls and Procedures
Signatures
EX-99.CERT Section 302 Certification


Table of Contents

 
Item 1. Schedule of Investments


Table of Contents

Eaton Vance Senior Floating-Rate Trust as of July 31, 2009
 
PORTFOLIO OF INVESTMENTS (Unaudited)
 
Senior Floating-Rate Interests — 146.3%(1)
 
                     
Principal
           
Amount*
           
(000’s omitted)     Borrower/Tranche Description   Value  
Aerospace and Defense — 2.9%
           
ACTS Aero Technical Support & Service, Inc.
       
      709    
Term Loan, 0.00%, Maturing October 5, 2014(2)
  $ 161,381  
           
AWAS Capital, Inc.
       
      684    
Term Loan, 2.38%, Maturing March 22, 2013
    608,657  
           
DAE Aviation Holdings, Inc.
       
      408    
Term Loan, 4.24%, Maturing July 31, 2014
    339,050  
      416    
Term Loan, 4.24%, Maturing July 31, 2014
    345,686  
           
Evergreen International Aviation
       
      1,370    
Term Loan, 11.50%, Maturing October 31, 2011
    840,020  
           
Hawker Beechcraft Acquisition
       
      4,342    
Term Loan, 2.39%, Maturing March 26, 2014
    2,969,059  
      256    
Term Loan, 2.60%, Maturing March 26, 2014
    175,235  
           
Hexcel Corp.
       
      825    
Term Loan, 6.50%, Maturing May 21, 2014
    828,438  
           
IAP Worldwide Services, Inc.
       
      884    
Term Loan, 9.25%, Maturing December 30, 2012(3)
    632,200  
           
Spirit AeroSystems, Inc.
       
      1,585    
Term Loan, 2.26%, Maturing December 31, 2011
    1,549,661  
           
TransDigm, Inc.
       
      1,625    
Term Loan, 2.41%, Maturing June 23, 2013
    1,577,604  
           
Vought Aircraft Industries, Inc.
       
      914    
Term Loan, 7.50%, Maturing December 17, 2011
    897,865  
      216    
Term Loan, 7.50%, Maturing December 22, 2011
    213,823  
           
Wesco Aircraft Hardware Corp.
       
      1,143    
Term Loan, 2.54%, Maturing September 29, 2013
    1,028,768  
                     
                $ 12,167,447  
                     
Air Transport — 1.6%
           
Airport Development and Investment, Ltd.
       
GBP
    783    
Term Loan - Second Lien, 5.05%, Maturing April 7, 2011
  $ 733,673  
           
Delta Air Lines, Inc.
       
      750    
Term Loan, 2.23%, Maturing April 30, 2012
    592,500  
      1,176    
Term Loan - Second Lien, 3.55%, Maturing April 30, 2014
    808,991  
           
Northwest Airlines, Inc.
       
      4,917    
Term Loan, 2.29%, Maturing December 31, 2010
    4,698,648  
                     
                $ 6,833,812  
                     
Automotive — 6.2%
           
Accuride Corp.
       
      1,958    
Term Loan, 3.00%, Maturing January 31, 2012
  $ 1,806,224  
           
Adesa, Inc.
       
      2,544    
Term Loan, 2.54%, Maturing October 18, 2013
    2,372,098  
           
Affina Group, Inc.
       
      1,326    
Term Loan, 3.49%, Maturing November 30, 2011
    1,219,865  
           
Allison Transmission, Inc.
       
      1,898    
Term Loan, 3.06%, Maturing September 30, 2014
    1,655,292  
           
CSA Acquisition Corp.
       
      353    
Term Loan, 3.13%, Maturing December 23, 2011
    248,862  
      882    
Term Loan, 3.13%, Maturing December 23, 2011
    621,644  
      483    
Term Loan, 3.13%, Maturing December 23, 2012
    337,750  
           
Dayco Products, LLC
       
      1,728    
Term Loan, 0.00%, Maturing June 21, 2011(2)
    486,127  
 
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Table of Contents

                     
Principal
           
Amount*
           
(000’s omitted)     Borrower/Tranche Description   Value  
           
Delphi Corp.
       
      1,361    
DIP Loan, 0.00%, Maturing September 30, 2009(2)
  $ 648,914  
      139    
DIP Loan, 10.50%, Maturing September 30, 2009
    66,087  
           
Federal-Mogul Corp.
       
      1,489    
Term Loan, 2.24%, Maturing December 27, 2014
    1,127,790  
      3,128    
Term Loan, 2.23%, Maturing December 27, 2015
    2,369,145  
           
Ford Motor Co.
       
      2,225    
Term Loan, 3.50%, Maturing December 15, 2013
    1,899,897  
           
Goodyear Tire & Rubber Co.
       
      5,400    
Term Loan - Second Lien, 2.04%, Maturing April 30, 2010
    5,004,002  
           
HLI Operating Co., Inc.
       
      531    
DIP Loan, 26.00%, Maturing November 30, 2009(3)
    509,940  
EUR
    109    
Term Loan, 3.56%, Maturing May 30, 2014
    11,662  
EUR
    1,853    
Term Loan, 9.50%, Maturing May 30, 2014
    201,392  
           
Keystone Automotive Operations, Inc.
       
      1,327    
Term Loan, 3.79%, Maturing January 12, 2012
    630,253  
           
LKQ Corp.
       
      945    
Term Loan, 2.55%, Maturing October 12, 2014
    926,106  
           
TriMas Corp.
       
      234    
Term Loan, 2.62%, Maturing August 2, 2011
    211,523  
      1,975    
Term Loan, 2.65%, Maturing August 2, 2013
    1,782,442  
           
TRW Automotive, Inc.
       
      997    
Term Loan, 6.31%, Maturing February 2, 2014
    949,453  
           
United Components, Inc.
       
      1,137    
Term Loan, 3.21%, Maturing June 30, 2010
    1,003,537  
                     
                $ 26,090,005  
                     
Beverage and Tobacco — 0.3%
           
Culligan International Co.
       
EUR
    975    
Term Loan - Second Lien, 5.48%, Maturing May 31, 2013
  $ 358,997  
           
Southern Wine & Spirits of America, Inc.
       
      1,000    
Term Loan, Maturing May 31, 2012(4)
    967,500  
                     
                $ 1,326,497  
                     
Brokers, Dealers and Investment Houses — 0.2%
           
AmeriTrade Holding Corp.
       
      730    
Term Loan, 1.79%, Maturing December 31, 2012
  $ 709,362  
                     
                $ 709,362  
                     
Building and Development — 3.2%
           
Beacon Sales Acquisition, Inc.
       
      1,143    
Term Loan, 2.56%, Maturing September 30, 2013
  $ 1,040,130  
           
Brickman Group Holdings, Inc.
       
      1,186    
Term Loan, 2.34%, Maturing January 23, 2014
    1,089,421  
           
Epco/Fantome, LLC
       
      1,342    
Term Loan, 2.91%, Maturing November 23, 2010
    1,026,630  
           
Forestar USA Real Estate Group, Inc.
       
      1,550    
Revolving Loan, 0.38%, Maturing December 1, 2010(5)
    1,278,467  
      1,205    
Term Loan, 4.91%, Maturing December 1, 2010
    993,771  
           
Hovstone Holdings, LLC
       
      907    
Term Loan, 5.50%, Maturing September 25, 2009(3)(6)
    364,778  
           
LNR Property Corp.
       
      1,026    
Term Loan, 3.81%, Maturing July 3, 2011
    625,749  
           
Metroflag Bp, LLC
       
      500    
Term Loan - Second Lien, 0.00%, Maturing October 2, 2009(2)
    5,250  
           
Mueller Water Products, Inc.
       
      1,831    
Term Loan, 6.03%, Maturing May 24, 2014
    1,687,975  
           
NCI Building Systems, Inc.
       
      553    
Term Loan, 2.91%, Maturing June 18, 2010
    479,781  
           
November 2005 Land Investors
       
      305    
Term Loan, 0.00%, Maturing May 9, 2011(2)(3)
    129,557  
 
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Table of Contents

                     
Principal
           
Amount*
           
(000’s omitted)     Borrower/Tranche Description   Value  
           
Panolam Industries Holdings, Inc.
       
      1,000    
Term Loan, 5.00%, Maturing September 30, 2012
  $ 737,713  
           
Re/Max International, Inc.
       
      634    
Term Loan, 3.91%, Maturing December 17, 2012
    583,737  
      1,955    
Term Loan, 8.01%, Maturing December 17, 2012
    1,769,329  
           
Realogy Corp.
       
      321    
Term Loan, 3.28%, Maturing September 1, 2014
    248,390  
      677    
Term Loan, 3.31%, Maturing September 1, 2014
    524,638  
           
South Edge, LLC
       
      788    
Term Loan, 0.00%, Maturing October 31, 2009(2)
    196,875  
           
Wintergames Acquisition ULC
       
      885    
Term Loan, 7.79%, Maturing October 31, 2009
    698,010  
                     
                $ 13,480,201  
                     
Business Equipment and Services — 11.9%
           
ACCO Brands Corp.
       
      1,014    
Term Loan, 7.75%, Maturing August 17, 2012
  $ 930,306  
           
Activant Solutions, Inc.
       
      1,170    
Term Loan, 2.48%, Maturing May 1, 2013
    1,059,118  
           
Affiliated Computer Services
       
      796    
Term Loan, 2.29%, Maturing March 20, 2013
    782,388  
      707    
Term Loan, 2.29%, Maturing March 20, 2013
    694,590  
           
Affinion Group, Inc.
       
      2,379    
Term Loan, 2.79%, Maturing October 17, 2012
    2,267,123  
           
Allied Barton Security Service
       
      993    
Term Loan, 6.75%, Maturing February 21, 2015
    998,033  
           
Education Management, LLC
       
      4,642    
Term Loan, 2.38%, Maturing June 1, 2013
    4,456,292  
           
Info USA, Inc.
       
      274    
Term Loan, 2.60%, Maturing February 14, 2012
    261,220  
           
Intergraph Corp.
       
      1,000    
Term Loan, 2.66%, Maturing May 29, 2014
    951,875  
      1,000    
Term Loan - Second Lien, 6.43%, Maturing November 29, 2014
    915,000  
           
iPayment, Inc.
       
      2,489    
Term Loan, 2.46%, Maturing May 10, 2013
    2,034,452  
           
Kronos, Inc.
       
      1,042    
Term Loan, 2.60%, Maturing June 11, 2014
    967,315  
           
Language Line, Inc.
       
      1,880    
Term Loan, 3.85%, Maturing June 11, 2011
    1,828,522  
           
Mitchell International, Inc.
       
      1,000    
Term Loan - Second Lien, 5.88%, Maturing March 28, 2015
    600,000  
           
N.E.W. Holdings I, LLC
       
      1,906    
Term Loan, 2.80%, Maturing May 22, 2014
    1,767,885  
           
Protection One, Inc.
       
      889    
Term Loan, 2.54%, Maturing March 31, 2012
    849,065  
           
Quantum Corp.
       
      199    
Term Loan, 4.10%, Maturing July 12, 2014
    177,285  
           
Quintiles Transnational Corp.
       
      997    
Term Loan, 2.48%, Maturing March 31, 2013
    946,715  
      1,700    
Term Loan - Second Lien, 4.29%, Maturing March 31, 2014
    1,589,500  
           
Sabre, Inc.
       
      6,057    
Term Loan, 2.67%, Maturing September 30, 2014
    4,898,839  
           
Serena Software, Inc.
       
      477    
Term Loan, 2.63%, Maturing March 10, 2013
    440,032  
           
Sitel (Client Logic)
       
      1,867    
Term Loan, 5.96%, Maturing January 29, 2014
    1,390,807  
           
Solera Holdings, LLC
       
EUR
    738    
Term Loan, 3.06%, Maturing May 15, 2014
    915,533  
 
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Table of Contents

                     
Principal
           
Amount*
           
(000’s omitted)     Borrower/Tranche Description   Value  
           
SunGard Data Systems, Inc.
       
      244    
Term Loan, 2.45%, Maturing February 11, 2013
  $ 231,343  
      6,879    
Term Loan, 4.35%, Maturing February 28, 2016
    6,607,643  
           
TDS Investor Corp.
       
      3,178    
Term Loan, 2.90%, Maturing August 23, 2013
    2,706,057  
      437    
Term Loan, 3.10%, Maturing August 23, 2013
    372,118  
EUR
    1,054    
Term Loan, 3.62%, Maturing August 23, 2013
    1,172,020  
           
Ticketmaster
       
      1,750    
Term Loan, 3.60%, Maturing July 22, 2014
    1,697,500  
           
Transaction Network Services, Inc.
       
      505    
Term Loan, 9.50%, Maturing May 4, 2012
    508,183  
           
Valassis Communications, Inc.
       
      460    
Term Loan, 2.04%, Maturing March 2, 2014
    438,510  
      1,794    
Term Loan, 2.04%, Maturing March 2, 2014
    1,708,921  
           
VWR International, Inc.
       
      1,000    
Term Loan, 2.79%, Maturing June 28, 2013
    917,917  
           
West Corp.
       
      2,379    
Term Loan, 2.67%, Maturing October 24, 2013
    2,259,904  
                     
                $ 50,342,011  
                     
Cable and Satellite Television — 10.9%
           
Atlantic Broadband Finance, LLC
       
      2,582    
Term Loan, 6.75%, Maturing June 8, 2013
  $ 2,586,050  
      96    
Term Loan, 2.85%, Maturing September 1, 2013
    95,309  
           
Bragg Communications, Inc.
       
      2,112    
Term Loan, 3.17%, Maturing August 31, 2014
    2,070,127  
           
Bresnan Broadband Holdings, LLC
       
      499    
Term Loan, 2.52%, Maturing March 29, 2014
    480,359  
      1,200    
Term Loan - Second Lien, 4.81%, Maturing March 29, 2014
    1,116,000  
           
Cequel Communications, LLC
       
      1,492    
Term Loan, 2.30%, Maturing November 5, 2013
    1,429,637  
      3,931    
Term Loan, 6.31%, Maturing May 5, 2014 (3)
    3,562,637  
      1,550    
Term Loan - Second Lien, 4.81%, Maturing May 5, 2014
    1,389,188  
           
Charter Communications Operating, Inc.
       
      6,870    
Term Loan, 6.25%, Maturing April 28, 2013
    6,433,336  
           
CSC Holdings, Inc.
       
      2,930    
Term Loan, 2.04%, Maturing March 29, 2013
    2,837,664  
           
CW Media Holdings, Inc.
       
      614    
Term Loan, 3.85%, Maturing February 15, 2015
    530,396  
           
Foxco Acquisition Sub., LLC
       
      582    
Term Loan, 7.25%, Maturing July 2, 2015
    463,801  
           
Insight Midwest Holdings, LLC
       
      3,594    
Term Loan, 2.31%, Maturing April 6, 2014
    3,412,090  
           
MCC Iowa, LLC
       
      5,748    
Term Loan, 2.02%, Maturing January 31, 2015
    5,422,338  
           
Mediacom Illinois, LLC
       
      3,702    
Term Loan, 2.02%, Maturing January 31, 2015
    3,483,409  
           
NTL Investment Holdings, Ltd.
       
GBP
    127    
Term Loan, 3.89%, Maturing March 30, 2012
    197,366  
GBP
    703    
Term Loan, 3.81%, Maturing September 3, 2012
    1,089,472  
           
ProSiebenSat.1 Media AG
       
EUR
    410    
Term Loan, 3.53%, Maturing March 2, 2015
    221,086  
EUR
    11    
Term Loan, 3.14%, Maturing June 26, 2015
    12,223  
EUR
    273    
Term Loan, 3.14%, Maturing June 26, 2015
    301,196  
EUR
    410    
Term Loan, 3.78%, Maturing March 2, 2016
    221,086  
EUR
    358    
Term Loan, 8.15%, Maturing March 2, 2017(3)
    24,737  
EUR
    520    
Term Loan - Second Lien, 4.90%, Maturing September 2, 2016
    66,698  
           
UPC Broadband Holding B.V.
       
      1,264    
Term Loan, 2.06%, Maturing December 31, 2014
    1,209,644  
      686    
Term Loan, 3.81%, Maturing December 31, 2016
    670,979  
 
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Table of Contents

                     
Principal
           
Amount*
           
(000’s omitted)     Borrower/Tranche Description   Value  
EUR
    2,353    
Term Loan, 4.52%, Maturing December 31, 2016
  $ 3,019,960  
EUR
    1,697    
Term Loan, 4.77%, Maturing December 31, 2017
    2,179,700  
           
Virgin Media Investment Holding
       
GBP
    240    
Term Loan, 5.31%, Maturing March 30, 2012
    371,094  
           
YPSO Holding SA
       
EUR
    209    
Term Loan, 3.44%, Maturing July 28, 2014
    221,576  
EUR
    249    
Term Loan, 3.44%, Maturing July 28, 2014
    264,336  
EUR
    542    
Term Loan, 3.44%, Maturing July 28, 2014
    574,154  
                     
                $ 45,957,648  
                     
Chemicals and Plastics — 7.3%
           
Ashland, Inc.
       
      786    
Term Loan, 7.65%, Maturing November 20, 2014
  $ 800,938  
           
AZ Chem US, Inc.
       
      500    
Term Loan - Second Lien, 6.00%, Maturing February 28, 2014
    357,500  
           
Brenntag Holding GmbH and Co. KG
       
      1,493    
Term Loan, 2.29%, Maturing December 23, 2013
    1,422,369  
      365    
Term Loan, 2.33%, Maturing December 23, 2013
    347,290  
      1,000    
Term Loan - Second Lien, 4.29%, Maturing December 23, 2015
    827,500  
           
Celanese Holdings, LLC
       
      4,130    
Term Loan, 2.35%, Maturing April 2, 2014
    3,921,504  
           
First Chemical Holding
       
EUR
    965    
Term Loan, 4.56%, Maturing December 18, 2014
    511,340  
           
Georgia Gulf Corp.
       
      654    
Term Loan, 9.02%, Maturing October 3, 2013
    607,144  
           
Hexion Specialty Chemicals, Inc.
       
      490    
Term Loan, 2.88%, Maturing May 5, 2012
    352,800  
      957    
Term Loan, 2.88%, Maturing May 5, 2013
    722,754  
      4,407    
Term Loan, 2.88%, Maturing May 5, 2013
    3,327,160  
           
Huntsman International, LLC
       
      2,500    
Term Loan, 2.04%, Maturing August 16, 2012
    2,323,750  
           
INEOS Group
       
      2,295    
Term Loan, 7.50%, Maturing December 14, 2013
    1,778,344  
      2,200    
Term Loan, 8.00%, Maturing December 14, 2014
    1,704,692  
EUR
    750    
Term Loan - Second Lien, 7.71%, Maturing December 14, 2012
    632,298  
           
ISP Chemco, Inc.
       
      1,561    
Term Loan, 2.06%, Maturing June 4, 2014
    1,458,376  
           
Kranton Polymers, LLC
       
      2,751    
Term Loan, 2.63%, Maturing May 12, 2013
    2,303,898  
           
MacDermid, Inc.
       
EUR
    726    
Term Loan, 2.75%, Maturing April 12, 2014
    731,237  
           
Millenium Inorganic Chemicals
       
      313    
Term Loan, 2.85%, Maturing April 30, 2014
    233,313  
      975    
Term Loan - Second Lien, 6.35%, Maturing October 31, 2014
    609,375  
           
Momentive Performance Material
       
      1,682    
Term Loan, 2.56%, Maturing December 4, 2013
    1,329,882  
           
Nalco Co.
       
      500    
Term Loan, 6.50%, Maturing May 6, 2016
    506,875  
           
Rockwood Specialties Group, Inc.
       
      3,210    
Term Loan, 6.00%, Maturing May 15, 2014
    3,249,969  
           
Schoeller Arca Systems Holding
       
EUR
    145    
Term Loan, 4.33%, Maturing November 16, 2015
    113,293  
EUR
    412    
Term Loan, 4.33%, Maturing November 16, 2015
    323,020  
EUR
    443    
Term Loan, 4.33%, Maturing November 16, 2015
    347,601  
                     
                $ 30,844,222  
                     
Clothing/Textiles — 0.4%
           
Hanesbrands, Inc.
       
      850    
Term Loan - Second Lien, 4.25%, Maturing March 5, 2014
  $ 818,833  
           
St. John Knits International, Inc.
       
      505    
Term Loan, 10.00%, Maturing March 23, 2012
    378,397  
 
5


Table of Contents

                     
Principal
           
Amount*
           
(000’s omitted)     Borrower/Tranche Description   Value  
           
The William Carter Co.
       
      622    
Term Loan, 1.81%, Maturing July 14, 2012
  $ 606,556  
                     
                $ 1,803,786  
                     
Conglomerates — 4.6%
           
Amsted Industries, Inc.
       
      1,680    
Term Loan, 2.53%, Maturing October 15, 2010
  $ 1,576,037  
           
Blount, Inc.
       
      249    
Term Loan, 2.06%, Maturing August 9, 2010
    233,946  
           
Doncasters (Dunde HoldCo 4 Ltd.)
       
      428    
Term Loan, 2.79%, Maturing July 13, 2015
    298,517  
      428    
Term Loan, 3.29%, Maturing July 13, 2015
    298,517  
GBP
    500    
Term Loan - Second Lien, 5.09%, Maturing January 13, 2016
    390,468  
           
GenTek, Inc.
       
      496    
Term Loan, 2.54%, Maturing February 25, 2011
    459,368  
           
Jarden Corp.
       
      988    
Term Loan, 2.35%, Maturing January 24, 2012
    966,452  
      1,753    
Term Loan, 2.35%, Maturing January 24, 2012
    1,714,909  
           
Johnson Diversey, Inc.
       
      1,605    
Term Loan, 3.02%, Maturing December 16, 2011
    1,570,457  
           
Manitowoc Company, Inc. (The)
       
      1,742    
Term Loan, 7.50%, Maturing August 21, 2014
    1,584,221  
           
Polymer Group, Inc.
       
      2,287    
Term Loan, 2.67%, Maturing November 22, 2012
    2,166,970  
           
RBS Global, Inc.
       
      786    
Term Loan, 2.31%, Maturing July 19, 2013
    707,554  
      3,785    
Term Loan, 2.96%, Maturing July 19, 2013
    3,444,201  
           
RGIS Holdings, LLC
       
      2,710    
Term Loan, 3.04%, Maturing April 30, 2014
    2,317,320  
      136    
Term Loan, 3.10%, Maturing April 30, 2014
    115,866  
           
US Investigations Services, Inc.
       
      1,000    
Term Loan, 3.36%, Maturing February 21, 2015
    895,625  
           
Vertrue, Inc.
       
      822    
Term Loan, 3.60%, Maturing August 16, 2014
    657,781  
                     
                $ 19,398,209  
                     
Containers and Glass Products — 4.5%
           
Berry Plastics Corp.
       
      1,995    
Term Loan, 2.30%, Maturing April 3, 2015
  $ 1,701,149  
           
Consolidated Container Co.
       
      1,000    
Term Loan - Second Lien, 5.79%, Maturing September 28, 2014
    730,000  
           
Crown Americas, Inc.
       
      606    
Term Loan, 2.04%, Maturing November 15, 2012
    593,367  
           
Graham Packaging Holdings Co.
       
      1,192    
Term Loan, 2.56%, Maturing October 7, 2011
    1,151,386  
      1,948    
Term Loan, 6.75%, Maturing April 5, 2014
    1,947,750  
           
Graphic Packaging International, Inc.
       
      4,476    
Term Loan, 2.52%, Maturing May 16, 2014
    4,269,558  
      478    
Term Loan, 3.26%, Maturing May 16, 2014
    461,430  
           
JSG Acquisitions
       
      1,845    
Term Loan, 2.42%, Maturing December 31, 2013
    1,771,778  
      1,845    
Term Loan, 2.67%, Maturing December 13, 2014
    1,771,777  
           
Owens-Brockway Glass Container
       
      1,556    
Term Loan, 1.79%, Maturing June 14, 2013
    1,499,535  
 
6


Table of Contents

                     
Principal
           
Amount*
           
(000’s omitted)     Borrower/Tranche Description   Value  
           
Smurfit-Stone Container Corp.
       
      487    
Revolving Loan, 3.05%, Maturing December 31, 2009
  $ 463,102  
      1,470    
Term Loan, 2.89%, Maturing November 1, 2009
    1,396,274  
      191    
Term Loan, 2.57%, Maturing November 1, 2011
    181,156  
      336    
Term Loan, 2.57%, Maturing November 1, 2011
    317,261  
      633    
Term Loan, 2.57%, Maturing November 1, 2011
    599,171  
      295    
Term Loan, 4.50%, Maturing November 1, 2011
    278,781  
                     
                $ 19,133,475  
                     
Cosmetics/Toiletries — 0.6%
           
American Safety Razor Co.
       
      489    
Term Loan, 2.71%, Maturing July 31, 2013
  $ 464,820  
      900    
Term Loan - Second Lien, 6.54%, Maturing July 31, 2014
    648,000  
           
KIK Custom Products, Inc.
       
      975    
Term Loan - Second Lien, 5.29%, Maturing November 30, 2014
    446,062  
           
Prestige Brands, Inc.
       
      1,158    
Term Loan, 2.54%, Maturing April 7, 2011
    1,137,507  
                     
                $ 2,696,389  
                     
Drugs — 0.8%
           
Graceway Pharmaceuticals, LLC
       
      696    
Term Loan, 3.04%, Maturing May 3, 2012
  $ 555,062  
      275    
Term Loan, 8.54%, Maturing November 3, 2013
    68,750  
      2,000    
Term Loan - Second Lien, 6.79%, Maturing May 3, 2013
    800,000  
           
Pharmaceutical Holdings Corp.
       
      340    
Term Loan, 3.56%, Maturing January 30, 2012
    311,320  
           
Warner Chilcott Corp.
       
      444    
Term Loan, 2.29%, Maturing January 18, 2012
    432,862  
      1,265    
Term Loan, 2.46%, Maturing January 18, 2012
    1,234,249  
                     
                $ 3,402,243  
                     
Ecological Services and Equipment — 1.4%
           
Blue Waste B.V. (AVR Acquisition)
       
EUR
    1,000    
Term Loan, 2.79%, Maturing April 1, 2015
  $ 1,275,643  
           
Cory Environmental Holdings
       
GBP
    500    
Term Loan - Second Lien, 5.49%, Maturing September 30, 2014
    522,016  
           
Environmental Systems Products Holdings, Inc.
       
      1,064    
Term Loan - Second Lien, 13.50%, Maturing December 12, 2010
    818,186  
           
Kemble Water Structure, Ltd.
       
GBP
    1,250    
Term Loan - Second Lien, 5.63%, Maturing October 13, 2013
    1,363,206  
           
Sensus Metering Systems, Inc.
       
      2,074    
Term Loan, 7.00%, Maturing June 3, 2013
    2,053,174  
                     
                $ 6,032,225  
                     
Electronics/ Electrical — 4.1%
           
Aspect Software, Inc.
       
      889    
Term Loan, 3.31%, Maturing July 11, 2011
  $ 773,088  
      1,800    
Term Loan - Second Lien, 7.38%, Maturing July 11, 2013
    976,500  
           
FCI International S.A.S.
       
      207    
Term Loan, 3.41%, Maturing November 1, 2013
    140,650  
      207    
Term Loan, 3.41%, Maturing November 1, 2013
    140,650  
      215    
Term Loan, 3.41%, Maturing November 1, 2013
    146,096  
      215    
Term Loan, 3.41%, Maturing November 1, 2013
    146,096  
           
Freescale Semiconductor, Inc.
       
      2,992    
Term Loan, 2.06%, Maturing December 1, 2013
    2,222,832  
           
Infor Enterprise Solutions Holdings
       
      1,510    
Term Loan, 4.04%, Maturing July 28, 2012
    1,298,621  
      2,894    
Term Loan, 4.04%, Maturing July 28, 2012
    2,489,023  
      500    
Term Loan, 5.79%, Maturing March 2, 2014
    277,500  
      183    
Term Loan - Second Lien, 6.54%, Maturing March 2, 2014
    96,250  
      317    
Term Loan - Second Lien, 6.54%, Maturing March 2, 2014
    174,167  
 
7


Table of Contents

                     
Principal
           
Amount*
           
(000’s omitted)     Borrower/Tranche Description   Value  
           
Network Solutions, LLC
       
      672    
Term Loan, 2.84%, Maturing March 7, 2014
  $ 586,334  
           
Open Solutions, Inc.
       
      2,053    
Term Loan, 2.63%, Maturing January 23, 2014
    1,463,703  
           
Sensata Technologies Finance Co.
       
      2,736    
Term Loan, 2.25%, Maturing April 27, 2013
    2,305,638  
           
Spectrum Brands, Inc.
       
      105    
Term Loan, 2.60%, Maturing March 30, 2013
    96,141  
      2,084    
Term Loan, 6.25%, Maturing March 30, 2013
    1,910,256  
           
VeriFone, Inc.
       
      705    
Term Loan, 3.04%, Maturing October 31, 2013
    673,514  
           
Vertafore, Inc.
       
      1,207    
Term Loan, 3.16%, Maturing January 31, 2012
    1,152,764  
                     
                $ 17,069,823  
                     
Equipment Leasing — 0.4%
           
AWAS Capital, Inc.
       
      1,630    
Term Loan - Second Lien, 6.63%, Maturing March 22, 2013
  $ 745,732  
           
Hertz Corp.
       
      1,078    
Term Loan, 2.05%, Maturing December 21, 2012
    1,020,546  
      15    
Term Loan, 2.36%, Maturing December 21, 2012
    14,015  
                     
                $ 1,780,293  
                     
Farming/ Agriculture — 0.7%
           
BF Bolthouse HoldCo, LLC
       
      1,150    
Term Loan - Second Lien, 5.79%, Maturing December 16, 2013
  $ 999,063  
           
Central Garden & Pet Co.
       
      1,858    
Term Loan, 1.79%, Maturing February 28, 2014
    1,727,781  
                     
                $ 2,726,844  
                     
Financial Intermediaries — 2.1%
           
Citco III, Ltd.
       
      2,612    
Term Loan, 2.85%, Maturing June 30, 2014
  $ 1,828,333  
           
Grosvenor Capital Management
       
      1,429    
Term Loan, 2.31%, Maturing December 5, 2013
    1,236,130  
           
Jupiter Asset Management Group
       
GBP
    405    
Term Loan, 3.11%, Maturing June 30, 2015
    512,280  
           
LPL Holdings, Inc.
       
      4,001    
Term Loan, 2.19%, Maturing December 18, 2014
    3,670,471  
           
Nuveen Investments, Inc.
       
      1,359    
Term Loan, 3.39%, Maturing November 2, 2014
    1,108,260  
           
Oxford Acquisition III, Ltd.
       
      898    
Term Loan, 2.50%, Maturing May 24, 2014
    480,661  
           
RJO Holdings Corp. (RJ O’Brien)
       
      450    
Term Loan, 3.30%, Maturing July 31, 2014
    198,210  
                     
                $ 9,034,345  
                     
Food Products — 4.1%
           
Acosta, Inc.
       
      3,009    
Term Loan, 2.54%, Maturing July 28, 2013
  $ 2,862,143  
           
Advantage Sales & Marketing, Inc.
       
      1,687    
Term Loan, 2.31%, Maturing March 29, 2013
    1,611,694  
           
Dean Foods Co.
       
      3,389    
Term Loan, 1.97%, Maturing April 2, 2014
    3,269,274  
           
Dole Food Company, Inc.
       
      108    
Term Loan, 7.37%, Maturing April 12, 2013
    108,724  
      188    
Term Loan, 8.00%, Maturing April 12, 2013
    190,060  
      702    
Term Loan, 8.00%, Maturing April 12, 2013
    708,181  
           
Pinnacle Foods Finance, LLC
       
      4,712    
Term Loan, 3.06%, Maturing April 2, 2014
    4,311,578  
 
8


Table of Contents

                     
Principal
           
Amount*
           
(000’s omitted)     Borrower/Tranche Description   Value  
           
Provimi Group SA
       
      205    
Term Loan, 2.54%, Maturing June 28, 2015
  $ 161,262  
      252    
Term Loan, 2.54%, Maturing June 28, 2015
    198,453  
EUR
    265    
Term Loan, 2.79%, Maturing June 28, 2015
    297,289  
EUR
    439    
Term Loan, 2.79%, Maturing June 28, 2015
    491,683  
EUR
    457    
Term Loan, 2.79%, Maturing June 28, 2015
    512,341  
EUR
    598    
Term Loan, 2.79%, Maturing June 28, 2015
    670,219  
EUR
    24    
Term Loan - Second Lien, 4.79%, Maturing June 28, 2015
    12,695  
EUR
    697    
Term Loan - Second Lien, 2.28%, Maturing December 28, 2016(5)
    366,148  
      148    
Term Loan - Second Lien, 4.54%, Maturing December 28, 2016
    54,601  
           
Reddy Ice Group, Inc.
       
      1,970    
Term Loan, 2.04%, Maturing August 9, 2012
    1,592,416  
                     
                $ 17,418,761  
                     
Food Service — 3.5%
           
AFC Enterprises, Inc.
       
      417    
Term Loan, 2.63%, Maturing May 11, 2011
  $ 412,585  
           
Aramark Corp.
       
      358    
Term Loan, 1.73%, Maturing January 26, 2014
    340,936  
      5,642    
Term Loan, 2.47%, Maturing January 26, 2014
    5,366,564  
GBP
    975    
Term Loan, 3.33%, Maturing January 27, 2014
    1,514,681  
           
Buffets, Inc.
       
      983    
Term Loan, 15.29%, Maturing April 30, 2012
    950,780  
      106    
Term Loan, 7.85%, Maturing November 1, 2013(3)
    49,649  
      499    
Term Loan - Second Lien, 19.12%, Maturing November 1, 2013(3)
    233,229  
           
CBRL Group, Inc.
       
      1,655    
Term Loan, 2.52%, Maturing April 27, 2013
    1,579,862  
           
NPC International, Inc.
       
      350    
Term Loan, 2.22%, Maturing May 3, 2013
    322,199  
           
OSI Restaurant Partners, LLC
       
      186    
Term Loan, 3.05%, Maturing May 9, 2013
    142,554  
      2,146    
Term Loan, 2.63%, Maturing May 9, 2014
    1,646,711  
           
QCE Finance, LLC
       
      1,216    
Term Loan, 2.88%, Maturing May 5, 2013
    927,319  
      950    
Term Loan - Second Lien, 6.35%, Maturing November 5, 2013
    498,750  
           
Sagittarius Restaurants, LLC
       
      354    
Term Loan, 10.25%, Maturing March 29, 2013
    297,561  
           
Selecta
       
EUR
    741    
Term Loan - Second Lien, 5.34%, Maturing December 28, 2015
    303,743  
                     
                $ 14,587,123  
                     
Food/Drug Retailers — 4.4%
           
General Nutrition Centers, Inc.
       
      4,836    
Term Loan, 2.73%, Maturing September 16, 2013
  $ 4,421,735  
           
Iceland Foods Group, Ltd.
       
GBP
    267    
Term Loan, 2.36%, Maturing May 2, 2014
    436,108  
GBP
    1,250    
Term Loan, 3.11%, Maturing May 2, 2015
    2,042,821  
           
Pantry, Inc. (The)
       
      224    
Term Loan, 1.79%, Maturing May 15, 2014
    209,947  
      777    
Term Loan, 1.79%, Maturing May 15, 2014
    729,235  
           
Rite Aid Corp.
       
      6,320    
Term Loan, 2.05%, Maturing June 1, 2014
    5,259,820  
      1,067    
Term Loan, 6.00%, Maturing June 4, 2014
    964,245  
      1,000    
Term Loan, 9.50%, Maturing June 4, 2014
    1,030,000  
           
Roundy’s Supermarkets, Inc.
       
      3,340    
Term Loan, 3.05%, Maturing November 3, 2011
    3,253,944  
                     
                $ 18,347,855  
                     
Forest Products — 2.9%
           
Appleton Papers, Inc.
       
      1,822    
Term Loan, 6.50%, Maturing June 5, 2014
  $ 1,594,012  
 
9


Table of Contents

                     
Principal
           
Amount*
           
(000’s omitted)     Borrower/Tranche Description   Value  
           
Georgia-Pacific Corp.
       
      1,084    
Term Loan, 2.31%, Maturing December 20, 2012
  $ 1,048,709  
      5,978    
Term Loan, 2.59%, Maturing December 20, 2012
    5,783,964  
      1,571    
Term Loan, 3.77%, Maturing December 23, 2014
    1,537,326  
           
Newpage Corp.
       
      1,758    
Term Loan, 4.06%, Maturing December 5, 2014
    1,528,318  
           
Xerium Technologies, Inc.
       
      1,215    
Term Loan, 6.10%, Maturing May 18, 2012
    783,956  
                     
                $ 12,276,285  
                     
Healthcare — 16.1%
           
Accellent, Inc.
       
      2,264    
Term Loan, 3.17%, Maturing November 22, 2012
  $ 2,060,017  
           
Alliance Imaging, Inc.
       
      480    
Term Loan, 3.14%, Maturing December 29, 2011
    465,023  
           
American Medical Systems
       
      860    
Term Loan, 2.56%, Maturing July 20, 2012
    834,463  
           
AMN Healthcare, Inc.
       
      179    
Term Loan, 2.35%, Maturing November 2, 2011
    168,855  
           
AMR HoldCo, Inc.
       
      1,093    
Term Loan, 2.30%, Maturing February 10, 2012
    1,046,809  
           
Biomet, Inc.
       
      1,783    
Term Loan, 3.58%, Maturing December 26, 2014
    1,693,788  
EUR
    1,204    
Term Loan, 3.98%, Maturing December 26, 2014
    1,637,385  
           
Bright Horizons Family Solutions, Inc.
       
      940    
Term Loan, 7.50%, Maturing May 15, 2015
    889,713  
           
Cardinal Health 409, Inc.
       
      4,204    
Term Loan, 2.54%, Maturing April 10, 2014
    3,601,695  
           
Carestream Health, Inc.
       
      2,669    
Term Loan, 2.29%, Maturing April 30, 2013
    2,465,639  
      1,000    
Term Loan - Second Lien, 5.54%, Maturing October 30, 2013
    666,563  
           
Carl Zeiss Vision Holding GmbH
       
      1,300    
Term Loan, 2.79%, Maturing March 23, 2015
    643,500  
           
Community Health Systems, Inc.
       
      475    
Term Loan, 2.54%, Maturing July 25, 2014
    447,628  
      9,313    
Term Loan, 2.90%, Maturing July 25, 2014
    8,772,029  
           
Concentra, Inc.
       
      612    
Term Loan - Second Lien, 6.85%, Maturing June 25, 2015(3)
    418,922  
           
ConMed Corp.
       
      464    
Term Loan, 1.79%, Maturing April 13, 2013
    422,366  
           
Convatec Cidron Healthcare
       
EUR
    746    
Term Loan, 5.01%, Maturing July 30, 2016
    1,033,210  
           
CRC Health Corp.
       
      484    
Term Loan, 2.85%, Maturing February 6, 2013
    391,893  
      486    
Term Loan, 2.85%, Maturing February 6, 2013
    393,863  
           
Dako EQT Project Delphi
       
      500    
Term Loan - Second Lien, 4.35%, Maturing December 12, 2016
    210,834  
           
DaVita, Inc.
       
      548    
Term Loan, 1.88%, Maturing October 5, 2012
    526,077  
           
DJO Finance, LLC
       
      788    
Term Loan, 3.41%, Maturing May 15, 2014
    738,094  
           
Fenwal, Inc.
       
      500    
Term Loan - Second Lien, 5.92%, Maturing August 28, 2014
    341,250  
           
Fresenius Medical Care Holdings
       
      493    
Term Loan, 1.97%, Maturing March 31, 2013
    478,148  
           
Hanger Orthopedic Group, Inc.
       
      703    
Term Loan, 2.29%, Maturing May 30, 2013
    657,438  
           
HCA, Inc.
       
      9,547    
Term Loan, 2.85%, Maturing November 18, 2013
    8,979,719  
 
10


Table of Contents

                     
Principal
           
Amount*
           
(000’s omitted)     Borrower/Tranche Description   Value  
           
Health Management Association, Inc.
       
      4,651    
Term Loan, 2.35%, Maturing February 28, 2014
  $ 4,330,577  
           
HealthSouth Corp.
       
      2,294    
Term Loan, 2.54%, Maturing March 10, 2013
    2,192,215  
           
Iasis Healthcare, LLC
       
      78    
Term Loan, 2.28%, Maturing March 14, 2014
    73,033  
      289    
Term Loan, 2.29%, Maturing March 14, 2014
    271,133  
      836    
Term Loan, 2.29%, Maturing March 14, 2014
    783,498  
           
Ikaria Acquisition, Inc.
       
      488    
Term Loan, 2.65%, Maturing March 28, 2013
    444,267  
           
IM U.S. Holdings, LLC
       
      985    
Term Loan, 2.42%, Maturing June 26, 2014
    948,810  
      625    
Term Loan - Second Lien, 4.54%, Maturing June 26, 2015
    582,031  
           
Invacare Corp.
       
      513    
Term Loan, 2.54%, Maturing February 12, 2013
    461,250  
           
LifePoint Hospitals, Inc.
       
      2,022    
Term Loan, 2.30%, Maturing April 15, 2012
    1,943,425  
           
MultiPlan Merger Corp.
       
      1,042    
Term Loan, 2.81%, Maturing April 12, 2013
    994,006  
      1,457    
Term Loan, 2.81%, Maturing April 12, 2013
    1,390,025  
           
Mylan, Inc.
       
      1,582    
Term Loan, 3.81%, Maturing October 2, 2014
    1,541,184  
           
National Mentor Holdings, Inc.
       
      62    
Term Loan, 2.44%, Maturing June 29, 2013
    52,873  
      1,007    
Term Loan, 2.60%, Maturing June 29, 2013
    864,554  
           
National Renal Institutes, Inc.
       
      819    
Term Loan, 5.63%, Maturing March 31, 2013(3)
    594,082  
           
Physiotherapy Associates, Inc.
       
      748    
Term Loan, 7.50%, Maturing June 27, 2013
    489,942  
           
RadNet Management, Inc.
       
      1,036    
Term Loan, 4.59%, Maturing November 15, 2012
    958,536  
           
ReAble Therapeutics Finance, LLC
       
      2,514    
Term Loan, 2.47%, Maturing November 16, 2013
    2,451,305  
           
Renal Advantage, Inc.
       
      1    
Term Loan, 3.09%, Maturing October 5, 2012
    781  
           
Select Medical Holdings Corp.
       
      3,105    
Term Loan, 2.72%, Maturing February 24, 2012
    2,968,168  
           
Sunrise Medical Holdings, Inc.
       
      416    
Term Loan, 6.31%, Maturing May 13, 2010
    238,956  
           
TZ Merger Sub., Inc. (TriZetto)
       
      748    
Term Loan, 7.50%, Maturing July 24, 2015
    733,153  
           
Vanguard Health Holding Co., LLC
       
      2,139    
Term Loan, 2.54%, Maturing September 23, 2011
    2,070,724  
           
Viant Holdings, Inc.
       
      505    
Term Loan, 2.85%, Maturing June 25, 2014
    439,720  
                     
                $ 67,803,169  
                     
Home Furnishings — 1.6%
           
Hunter Fan Co.
       
      428    
Term Loan, 2.81%, Maturing April 16, 2014
  $ 272,654  
           
Interline Brands, Inc.
       
      525    
Term Loan, 1.98%, Maturing June 23, 2013
    474,928  
      936    
Term Loan, 1.98%, Maturing June 23, 2013
    846,664  
           
National Bedding Co., LLC
       
      1,472    
Term Loan, 2.31%, Maturing August 31, 2011
    1,284,624  
      2,050    
Term Loan - Second Lien, 5.31%, Maturing August 31, 2012
    1,359,833  
           
Simmons Co.
       
      2,799    
Term Loan, 10.50%, Maturing December 19, 2011
    2,659,411  
      1,047    
Term Loan, 8.22%, Maturing February 15, 2012(3)
    31,411  
                     
                $ 6,929,525  
                     
 
11


Table of Contents

                     
Principal
           
Amount*
           
(000’s omitted)     Borrower/Tranche Description   Value  
Industrial Equipment — 3.8%
           
Brand Energy and Infrastructure Services, Inc.
       
      786    
Term Loan, 3.67%, Maturing February 7, 2014
  $ 735,892  
           
CEVA Group PLC U.S.
       
      2,240    
Term Loan, 3.29%, Maturing January 4, 2014
    1,672,801  
      3,474    
Term Loan, 3.29%, Maturing January 4, 2014
    2,594,004  
      1,006    
Term Loan, 3.60%, Maturing January 4, 2014
    722,423  
           
EPD Holdings (Goodyear Engineering Products)
       
      146    
Term Loan, 2.55%, Maturing July 13, 2014
    99,423  
      1,021    
Term Loan, 2.55%, Maturing July 13, 2014
    694,198  
      775    
Term Loan - Second Lien, 6.05%, Maturing July 13, 2015
    308,062  
           
FR Brand Acquisition Corp.
       
      733    
Term Loan, 2.60%, Maturing February 7, 2014
    679,973  
           
Generac Acquisition Corp.
       
      1,744    
Term Loan, 2.81%, Maturing November 7, 2013
    1,369,277  
      500    
Term Loan - Second Lien, 6.31%, Maturing April 7, 2014
    282,500  
           
Gleason Corp.
       
      138    
Term Loan, 2.42%, Maturing June 30, 2013
    129,412  
      568    
Term Loan, 2.42%, Maturing June 30, 2013
    531,457  
           
Jason, Inc.
       
      399    
Term Loan, 5.35%, Maturing April 30, 2010
    199,261  
           
John Maneely Co.
       
      2,672    
Term Loan, 3.63%, Maturing December 8, 2013
    2,092,513  
           
KION Group GmbH
       
      250    
Term Loan, 2.29%, Maturing December 23, 2014
    156,250  
      250    
Term Loan, 2.79%, Maturing December 23, 2015
    156,250  
           
Polypore, Inc.
       
      2,965    
Term Loan, 2.56%, Maturing July 3, 2014
    2,801,452  
           
Sequa Corp.
       
      794    
Term Loan, 3.84%, Maturing November 30, 2014
    649,376  
           
TFS Acquisition Corp.
       
      681    
Term Loan, 5.10%, Maturing August 11, 2013
    314,847  
                     
                $ 16,189,371  
                     
Insurance — 3.3%
           
AmWINS Group, Inc.
       
      987    
Term Loan, 3.14%, Maturing June 8, 2013
  $ 635,642  
      500    
Term Loan - Second Lien, 6.11%, Maturing June 8, 2014
    200,000  
           
Applied Systems, Inc.
       
      1,231    
Term Loan, 2.79%, Maturing September 26, 2013
    1,138,917  
           
CCC Information Services Group, Inc.
       
      1,563    
Term Loan, 2.54%, Maturing February 10, 2013
    1,501,524  
           
Conseco, Inc.
       
      3,434    
Term Loan, 6.50%, Maturing October 10, 2013
    2,506,598  
           
Crawford & Company
       
      1,211    
Term Loan, 3.10%, Maturing October 31, 2013
    1,041,890  
           
Crump Group, Inc.
       
      838    
Term Loan, 3.29%, Maturing August 4, 2014
    678,422  
           
Getty Images, Inc.
       
      1,987    
Term Loan, 6.25%, Maturing July 2, 2015
    2,007,215  
           
Hub International Holdings, Inc.
       
      498    
Term Loan, 2.79%, Maturing June 13, 2014
    459,319  
      2,217    
Term Loan, 2.79%, Maturing June 13, 2014
    2,043,990  
           
U.S.I. Holdings Corp.
       
      1,813    
Term Loan, 3.35%, Maturing May 4, 2014
    1,541,050  
                     
                $ 13,754,567  
                     
Leisure Goods/Activities/ Movies — 8.2%
           
24 Hour Fitness Worldwide, Inc.
       
      1,621    
Term Loan, 2.94%, Maturing June 8, 2012
  $ 1,401,787  
 
12


Table of Contents

                     
Principal
           
Amount*
           
(000’s omitted)     Borrower/Tranche Description   Value  
           
AMC Entertainment, Inc.
       
      3,797    
Term Loan, 1.79%, Maturing January 26, 2013
  $ 3,612,453  
           
AMF Bowling Worldwide, Inc.
       
      1,000    
Term Loan - Second Lien, 6.55%, Maturing December 8, 2013
    525,000  
           
Bombardier Recreational Products
       
      1,823    
Term Loan, 3.30%, Maturing June 28, 2013
    1,303,291  
           
Butterfly Wendel US, Inc.
       
      280    
Term Loan, 3.05%, Maturing June 22, 2013
    166,816  
      280    
Term Loan, 2.80%, Maturing June 22, 2014
    166,870  
           
Carmike Cinemas, Inc.
       
      893    
Term Loan, 4.10%, Maturing May 19, 2012
    843,512  
      720    
Term Loan, 4.49%, Maturing May 19, 2012
    680,212  
           
Cedar Fair, L.P.
       
      1,426    
Term Loan, 2.29%, Maturing August 30, 2012
    1,397,380  
           
Cinemark, Inc.
       
      3,514    
Term Loan, 2.23%, Maturing October 5, 2013
    3,376,564  
           
Deluxe Entertainment Services
       
      1,030    
Term Loan, 2.67%, Maturing January 28, 2011
    937,003  
      59    
Term Loan, 2.85%, Maturing January 28, 2011
    53,740  
      104    
Term Loan, 2.85%, Maturing January 28, 2011
    94,808  
           
Easton-Bell Sports, Inc.
       
      1,228    
Term Loan, 2.26%, Maturing March 16, 2012
    1,138,708  
           
Fender Musical Instruments Corp.
       
      332    
Term Loan, 2.54%, Maturing June 9, 2014
    252,478  
      654    
Term Loan, 2.85%, Maturing June 9, 2014
    497,359  
           
Mega Blocks, Inc.
       
      1,584    
Term Loan, 9.75%, Maturing July 26, 2012
    629,640  
           
Metro-Goldwyn-Mayer Holdings, Inc.
       
      4,811    
Term Loan, 3.54%, Maturing April 8, 2012
    2,790,380  
           
National CineMedia, LLC
       
      2,750    
Term Loan, 2.38%, Maturing February 13, 2015
    2,591,875  
           
Regal Cinemas Corp.
       
      4,174    
Term Loan, 4.35%, Maturing November 10, 2010
    4,146,118  
           
Revolution Studios Distribution Co., LLC
       
      1,006    
Term Loan, 4.04%, Maturing December 21, 2014
    915,167  
      800    
Term Loan - Second Lien, 7.29%, Maturing June 21, 2015
    460,000  
           
Six Flags Theme Parks, Inc.
       
      1,105    
Term Loan, 2.66%, Maturing April 30, 2015
    1,078,482  
           
Southwest Sports Group, LLC
       
      1,875    
Term Loan, 6.75%, Maturing December 22, 2010
    1,664,062  
           
Universal City Development Partners, Ltd.
       
      1,721    
Term Loan, 6.00%, Maturing June 9, 2011
    1,693,374  
           
Zuffa, LLC
       
      2,346    
Term Loan, 2.38%, Maturing June 20, 2016
    2,052,397  
                     
                $ 34,469,476  
                     
Lodging and Casinos — 2.1%
           
Ameristar Casinos, Inc.
       
      1,062    
Term Loan, 3.76%, Maturing November 10, 2012
  $ 1,034,963  
           
Harrah’s Operating Co.
       
      1,326    
Term Loan, 3.50%, Maturing January 28, 2015
    1,066,087  
           
LodgeNet Entertainment Corp.
       
      2,052    
Term Loan, 2.59%, Maturing April 4, 2014
    1,769,962  
           
New World Gaming Partners, Ltd.
       
      204    
Term Loan, 3.10%, Maturing June 30, 2014
    133,395  
      1,006    
Term Loan, 3.10%, Maturing June 30, 2014
    658,616  
           
Penn National Gaming, Inc.
       
      370    
Term Loan, 2.08%, Maturing October 3, 2012
    363,145  
 
13


Table of Contents

                     
Principal
           
Amount*
           
(000’s omitted)     Borrower/Tranche Description   Value  
           
Venetian Casino Resort/ Las Vegas Sands, Inc.
       
      856    
Term Loan, 2.09%, Maturing May 14, 2014
  $ 678,229  
      3,391    
Term Loan, 2.09%, Maturing May 23, 2014
    2,685,514  
           
Wimar OpCo, LLC
       
      1,883    
Term Loan, 0.00%, Maturing January 3, 2012(2)
    555,576  
                     
                $ 8,945,487  
                     
Nonferrous Metals/Minerals — 2.0%
           
Alpha Natural Resources, LLC
       
      816    
Term Loan, 2.13%, Maturing October 26, 2012
  $ 807,778  
           
Euramax International, Inc.
       
      307    
Term Loan, 10.00%, Maturing June 29, 2013(3)
    115,755  
      296    
Term Loan, 14.00%, Maturing June 29, 2013(3)
    111,571  
           
Murray Energy Corp.
       
      851    
Term Loan, 6.94%, Maturing January 28, 2010
    825,310  
           
Noranda Aluminum Acquisition
       
      2,092    
Term Loan, 2.29%, Maturing May 18, 2014
    1,474,761  
           
Novelis, Inc.
       
      620    
Term Loan, 2.29%, Maturing June 28, 2014
    557,365  
      1,364    
Term Loan, 2.43%, Maturing June 28, 2014
    1,226,228  
           
Oxbow Carbon and Mineral Holdings
       
      296    
Term Loan, 2.29%, Maturing May 8, 2014
    272,642  
      3,107    
Term Loan, 2.41%, Maturing May 8, 2014
    2,858,875  
                     
                $ 8,250,285  
                     
Oil and Gas — 2.9%
           
Atlas Pipeline Partners, L.P.
       
      937    
Term Loan, 6.75%, Maturing July 20, 2014
  $ 908,547  
           
Big West Oil, LLC
       
      315    
Term Loan, 4.50%, Maturing May 1, 2014
    283,481  
      399    
Term Loan, 4.50%, Maturing May 1, 2014
    358,875  
           
Dresser, Inc.
       
      1,432    
Term Loan, 3.10%, Maturing May 4, 2014
    1,337,652  
      1,000    
Term Loan - Second Lien, 6.04%, Maturing May 4, 2015
    770,833  
           
Dynegy Holdings, Inc.
       
      187    
Term Loan, 1.79%, Maturing April 2, 2013
    181,508  
      2,310    
Term Loan, 1.79%, Maturing April 2, 2013
    2,241,001  
           
Enterprise GP Holdings, L.P.
       
      1,114    
Term Loan, 2.68%, Maturing October 31, 2014
    1,090,779  
           
Hercules Offshore, Inc.
       
      1,000    
Term Loan, Maturing July 6, 2013(4)
    925,000  
           
Niska Gas Storage
       
      61    
Term Loan, 2.04%, Maturing May 13, 2011
    57,982  
      41    
Term Loan, 2.04%, Maturing May 13, 2011
    39,276  
      594    
Term Loan, 2.04%, Maturing May 12, 2013
    563,970  
           
Precision Drilling Corp.
       
      1,000    
Term Loan, 4.30%, Maturing December 23, 2013
    985,000  
           
Targa Resources, Inc.
       
      939    
Term Loan, 2.29%, Maturing October 31, 2012
    922,746  
      1,366    
Term Loan, 2.60%, Maturing October 31, 2012
    1,342,917  
                     
                $ 12,009,567  
                     
Publishing — 9.1%
           
American Media Operations, Inc.
       
      4,199    
Term Loan, 10.00%, Maturing January 31, 2013(3)
  $ 3,366,247  
           
Aster Zweite Beteiligungs GmbH
       
      775    
Term Loan, 4.01%, Maturing September 27, 2013
    508,594  
           
CanWest MediaWorks, Ltd.
       
      786    
Term Loan, 4.75%, Maturing July 10, 2014
    412,650  
           
Dex Media West, LLC
       
      1,709    
Term Loan, 7.00%, Maturing October 24, 2014
    1,392,023  
 
14


Table of Contents

                     
Principal
           
Amount*
           
(000’s omitted)     Borrower/Tranche Description   Value  
           
GateHouse Media Operating, Inc.
       
      2,078    
Term Loan, 2.29%, Maturing August 28, 2014
  $ 525,503  
      872    
Term Loan, 2.30%, Maturing August 28, 2014
    220,425  
      675    
Term Loan, 2.55%, Maturing August 28, 2014
    170,678  
           
Idearc, Inc.
       
      7,082    
Term Loan, 0.00%, Maturing November 17, 2014(2)
    3,269,524  
           
Laureate Education, Inc.
       
      349    
Term Loan, 3.75%, Maturing August 17, 2014
    308,663  
      2,332    
Term Loan, 3.75%, Maturing August 17, 2014
    2,062,441  
           
Local Insight Regatta Holdings, Inc.
       
      1,635    
Term Loan, 6.25%, Maturing April 23, 2015
    1,013,688  
           
MediaNews Group, Inc.
       
      703    
Term Loan, 6.79%, Maturing August 2, 2013
    142,943  
           
Merrill Communications, LLC
       
      1,225    
Term Loan, 8.50%, Maturing December 24, 2012
    882,223  
      1,001    
Term Loan - Second Lien, 14.75%, Maturing November 15, 2013(3)
    530,530  
           
Nebraska Book Co., Inc.
       
      1,373    
Term Loan, 9.25%, Maturing March 4, 2011
    1,359,397  
           
Nelson Education, Ltd.
       
      491    
Term Loan, 3.10%, Maturing July 5, 2014
    358,613  
           
Nielsen Finance, LLC
       
      5,950    
Term Loan, 2.30%, Maturing August 9, 2013
    5,548,174  
      1,000    
Term Loan, 0.00%, Maturing May 1, 2016(4)
    943,750  
           
PagesJaunes Group, SA
       
EUR
    500    
Term Loan, 4.90%, Maturing April 10, 2016
    241,707  
           
Philadelphia Newspapers, LLC
       
      708    
Term Loan, 0.00%, Maturing June 29, 2013(2)
    155,777  
           
R.H. Donnelley Corp.
       
      2,645    
Term Loan, 6.75%, Maturing June 30, 2010
    2,040,910  
           
Reader’s Digest Association, Inc. (The)
       
      6,710    
Term Loan, 2.64%, Maturing March 2, 2014
    3,321,686  
           
SGS International, Inc.
       
      634    
Term Loan, 2.92%, Maturing December 30, 2011
    576,551  
           
Source Interlink Companies, Inc.
       
      916    
Term Loan, 10.75%, Maturing June 18, 2013
    755,668  
      458    
Term Loan, 15.00%, Maturing June 18, 2013(3)
    82,436  
           
Trader Media Corp.
       
GBP
    1,315    
Term Loan, 2.89%, Maturing March 23, 2015
    1,563,104  
           
Tribune Co.
       
      1,547    
Term Loan, 0.00%, Maturing April 10, 2010(2)
    632,900  
      1,935    
Term Loan, 0.00%, Maturing May 17, 2014(2)
    797,864  
      2,990    
Term Loan, 0.00%, Maturing May 17, 2014(2)
    1,153,466  
           
Xsys, Inc.
       
      1,801    
Term Loan, 4.01%, Maturing September 27, 2013
    1,181,665  
      1,828    
Term Loan, 4.01%, Maturing September 27, 2014
    1,199,842  
           
Yell Group, PLC
       
      2,600    
Term Loan, 3.29%, Maturing February 10, 2013
    1,573,000  
                     
                $ 38,292,642  
                     
Radio and Television — 5.3%
           
Block Communications, Inc.
       
      820    
Term Loan, 2.60%, Maturing December 22, 2011
  $ 713,618  
           
Citadel Broadcasting Corp.
       
      1,000    
Term Loan, 2.34%, Maturing June 12, 2014
    567,500  
           
CMP KC, LLC
       
      959    
Term Loan, 6.25%, Maturing May 5, 2013(6)
    275,143  
           
CMP Susquehanna Corp.
       
      1,574    
Term Loan, 2.31%, Maturing May 5, 2013
    858,098  
           
Discovery Communications, Inc.
       
      998    
Term Loan, 5.25%, Maturing May 14, 2014
    1,013,709  
 
15


Table of Contents

                     
Principal
           
Amount*
           
(000’s omitted)     Borrower/Tranche Description   Value  
           
Emmis Operating Co.
       
      762    
Term Loan, 2.60%, Maturing November 2, 2013
  $ 508,057  
           
Gray Television, Inc.
       
      1,086    
Term Loan, 3.81%, Maturing January 19, 2015
    693,689  
           
HIT Entertainment, Inc.
       
      750    
Term Loan, 3.26%, Maturing March 20, 2012
    609,647  
           
Intelsat Corp.
       
      2,447    
Term Loan, 2.80%, Maturing January 3, 2014
    2,340,215  
      2,447    
Term Loan, 2.80%, Maturing January 3, 2014
    2,340,215  
      2,447    
Term Loan, 2.80%, Maturing January 3, 2014
    2,340,927  
           
Ion Media Networks, Inc.
       
      332    
DIP Loan, 10.17%, Maturing May 29, 2010(5)
    327,926  
      2,500    
Term Loan, 0.00%, Maturing January 15, 2012(2)
    675,000  
           
NEP II, Inc.
       
      611    
Term Loan, 2.54%, Maturing February 16, 2014
    537,617  
           
Nexstar Broadcasting, Inc.
       
      1,667    
Term Loan, 2.24%, Maturing October 1, 2012
    1,254,632  
      1,763    
Term Loan, 2.35%, Maturing October 1, 2012
    1,326,588  
           
NextMedia Operating, Inc.
       
      68    
Term Loan, 8.25%, Maturing November 15, 2012
    45,854  
      153    
Term Loan, 8.25%, Maturing November 15, 2012
    103,172  
           
Raycom TV Broadcasting, LLC
       
      875    
Term Loan, 1.81%, Maturing June 25, 2014
    656,250  
           
SFX Entertainment
       
      1,046    
Term Loan, 3.72%, Maturing June 21, 2013
    978,416  
           
Sirius Satellite Radio, Inc.
       
      491    
Term Loan, 2.56%, Maturing December 19, 2012
    433,528  
           
Univision Communications, Inc.
       
      4,200    
Term Loan, 2.54%, Maturing September 29, 2014
    3,401,126  
           
Young Broadcasting, Inc.
       
      709    
Term Loan, 0.00%, Maturing November 3, 2012(2)
    354,638  
                     
                $ 22,355,565  
                     
Rail Industries — 0.4%
           
Kansas City Southern Railway Co.
       
      1,964    
Term Loan, 2.30%, Maturing April 26, 2013
  $ 1,826,752  
                     
                $ 1,826,752  
                     
Retailers (Except Food and Drug) — 3.3%
           
American Achievement Corp.
       
      211    
Term Loan, 6.26%, Maturing March 25, 2011
  $ 181,583  
           
Amscan Holdings, Inc.
       
      489    
Term Loan, 2.88%, Maturing May 25, 2013
    431,322  
           
Cumberland Farms, Inc.
       
      1,525    
Term Loan, 2.44%, Maturing September 29, 2013
    1,392,003  
           
Educate, Inc.
       
      500    
Term Loan - Second Lien, 5.85%, Maturing June 14, 2014
    435,000  
           
FTD, Inc.
       
      1,369    
Term Loan, 6.75%, Maturing July 31, 2014
    1,339,896  
           
Harbor Freight Tools USA, Inc.
       
      420    
Term Loan, 9.75%, Maturing July 15, 2010
    406,289  
           
Josten’s Corp.
       
      1,510    
Term Loan, 2.64%, Maturing October 4, 2011
    1,468,223  
           
Orbitz Worldwide, Inc.
       
      1,159    
Term Loan, 3.51%, Maturing July 25, 2014
    843,427  
           
Oriental Trading Co., Inc.
       
      2,530    
Term Loan, 9.75%, Maturing July 31, 2013
    1,796,507  
      1,125    
Term Loan - Second Lien, 6.29%, Maturing January 31, 2013
    196,875  
           
Rover Acquisition Corp.
       
      2,194    
Term Loan, 2.72%, Maturing October 26, 2013
    2,110,388  
 
16


Table of Contents

                     
Principal
           
Amount*
           
(000’s omitted)     Borrower/Tranche Description   Value  
           
Savers, Inc.
       
      333    
Term Loan, 3.06%, Maturing August 11, 2012
  $ 318,222  
      365    
Term Loan, 3.06%, Maturing August 11, 2012
    348,173  
           
Yankee Candle Company, Inc. (The)
       
      2,958    
Term Loan, 2.29%, Maturing February 6, 2014
    2,706,928  
                     
                $ 13,974,836  
                     
Steel — 0.5%
           
Algoma Acquisition Corp.
       
      1,534    
Term Loan, 2.79%, Maturing June 20, 2013
  $ 1,273,428  
           
Niagara Corp.
       
      1,989    
Term Loan, 7.25%, Maturing June 29, 2014
    1,014,607  
                     
                $ 2,288,035  
                     
Surface Transport — 0.6%
           
Gainey Corp.
       
      1,217    
Term Loan, 0.00%, Maturing April 20, 2012(2)
  $ 131,887  
           
Oshkosh Truck Corp.
       
      1,794    
Term Loan, 6.62%, Maturing December 6, 2013
    1,781,722  
           
Swift Transportation Co., Inc.
       
      804    
Term Loan, 3.56%, Maturing May 10, 2014
    624,471  
                     
                $ 2,538,080  
                     
Telecommunications — 4.6%
           
Alaska Communications Systems Holdings, Inc.
       
      985    
Term Loan, 2.35%, Maturing February 1, 2012
  $ 940,083  
           
Asurion Corp.
       
      1,900    
Term Loan, 3.58%, Maturing July 13, 2012
    1,834,687  
      1,000    
Term Loan - Second Lien, 6.79%, Maturing January 13, 2013
    904,167  
           
Centennial Cellular Operating Co., LLC
       
      4,446    
Term Loan, 2.60%, Maturing February 9, 2011
    4,433,051  
           
CommScope, Inc.
       
      1,338    
Term Loan, 3.10%, Maturing November 19, 2014
    1,309,424  
           
Intelsat Subsidiary Holding Co.
       
      948    
Term Loan, 2.80%, Maturing July 3, 2013
    903,149  
           
Iowa Telecommunications Services
       
      1,616    
Term Loan, 2.31%, Maturing November 23, 2011
    1,539,240  
           
IPC Systems, Inc.
       
      500    
Term Loan - Second Lien, 5.56%, Maturing May 31, 2015
    255,000  
           
Macquarie UK Broadcast Ventures, Ltd.
       
GBP
    755    
Term Loan, 2.59%, Maturing December 26, 2014
    1,052,946  
           
NTelos, Inc.
       
      1,154    
Term Loan, 2.54%, Maturing August 24, 2011
    1,146,561  
           
Palm, Inc.
       
      761    
Term Loan, 3.79%, Maturing April 24, 2014
    639,607  
           
Stratos Global Corp.
       
      977    
Term Loan, 3.10%, Maturing February 13, 2012
    947,205  
           
Trilogy International Partners
       
      850    
Term Loan, 4.10%, Maturing June 29, 2012
    578,000  
           
Windstream Corp.
       
      3,028    
Term Loan, 1.98%, Maturing July 17, 2013
    2,937,265  
                     
                $ 19,420,385  
                     
Utilities — 3.5%
           
AEI Finance Holding, LLC
       
      270    
Term Loan, 3.29%, Maturing March 30, 2012
  $ 229,963  
      1,879    
Term Loan, 3.60%, Maturing March 30, 2014
    1,602,120  
           
Astoria Generating Co.
       
      1,000    
Term Loan - Second Lien, 4.10%, Maturing August 23, 2013
    905,833  
           
BRSP, LLC
       
      1,000    
Term Loan, 7.50%, Maturing June 24, 2014
    942,500  
 
17


Table of Contents

                     
Principal
           
Amount*
           
(000’s omitted)     Borrower/Tranche Description   Value  
           
Calpine Corp.
       
      2,992    
DIP Loan, 3.48%, Maturing March 29, 2014
  $ 2,754,261  
           
Electricinvest Holding Co.
       
GBP
    480    
Term Loan, 5.08%, Maturing October 24, 2012
    517,973  
EUR
    477    
Term Loan - Second Lien, 5.08%, Maturing October 24, 2012
    440,879  
           
NRG Energy, Inc.
       
      1,046    
Term Loan, Maturing June 1, 2014(4)
    994,515  
      1,954    
Term Loan, Maturing June 1, 2014(4)
    1,857,735  
           
Pike Electric, Inc.
       
      146    
Term Loan, 1.81%, Maturing July 1, 2012
    132,347  
      340    
Term Loan, 1.81%, Maturing December 10, 2012
    307,493  
           
TXU Texas Competitive Electric Holdings Co., LLC
       
      1,335    
Term Loan, 3.80%, Maturing October 10, 2014
    1,029,923  
      3,823    
Term Loan, 3.80%, Maturing October 10, 2014
    2,961,413  
                     
                $ 14,676,955  
                     
         
Total Senior Floating-Rate Interests
(identified cost $716,320,836)
  $ 617,183,558  
         
 
Corporate Bonds & Notes — 7.4%
 
                     
Principal
           
Amount
           
(000’s omitted)*     Security   Value  
Aerospace and Defense — 0.0%
           
Alion Science and Technologies Corp.
       
      145    
10.25%, 2/1/15
  $ 78,300  
           
Hawker Beechcraft Acquisition
       
      125    
9.75%, 4/1/17
    63,125  
                     
                $ 141,425  
                     
Air Transport — 0.0%
           
Continental Airlines
       
      194    
7.033%, 6/15/11
  $ 152,904  
                     
                $ 152,904  
                     
Automotive — 0.1%
           
Altra Industrial Motion, Inc.
       
      335    
9.00%, 12/1/11
  $ 332,488  
           
Commercial Vehicle Group, Inc., Sr. Notes
       
      100    
8.00%, 7/1/13
    57,500  
           
Tenneco, Inc., Sr. Notes
       
      40    
8.125%, 11/15/15
    36,500  
                     
                $ 426,488  
                     
Broadcast Radio and Television — 0.0%
           
Warner Music Group, Sr. Sub. Notes
       
      65    
7.375%, 4/15/14
  $ 59,150  
                     
                $ 59,150  
                     
Brokers, Dealers and Investment Houses — 0.0%
           
Nuveen Investments, Inc., Sr. Notes
       
      25    
10.50%, 11/15/15(7)
  $ 17,875  
                     
                $ 17,875  
                     
Building and Development — 0.5%
           
Grohe Holding GmbH, Variable Rate
       
EUR
    2,000    
3.871%, 1/15/14(8)
  $ 2,023,925  
 
18


Table of Contents

                     
Principal
           
Amount
           
(000’s omitted)*     Security   Value  
           
Panolam Industries International, Sr. Sub. Notes
       
      425    
10.75%, 10/1/13(2)
  $ 23,375  
           
Texas Industries, Inc., Sr. Notes
       
      115    
7.25%, 7/15/13(7)
    106,375  
                     
                $ 2,153,675  
                     
Business Equipment and Services — 0.4%
           
Affinion Group, Inc.
       
      95    
10.125%, 10/15/13
  $ 94,525  
      205    
11.50%, 10/15/15
    190,650  
           
Ceridian Corp., Sr. Notes
       
      275    
11.25%, 11/15/15(7)
    235,813  
           
Education Management, LLC, Sr. Notes
       
      390    
8.75%, 6/1/14
    393,412  
           
MediMedia USA, Inc., Sr. Sub. Notes
       
      170    
11.375%, 11/15/14(7)
    97,750  
           
Ticketmaster Entertainment, Inc.
       
      185    
10.75%, 7/28/16
    172,975  
           
West Corp.
       
      380    
9.50%, 10/15/14
    362,900  
                     
                $ 1,548,025  
                     
Cable and Satellite Television — 0.1%
           
Kabel Deutschland GmbH
       
      190    
10.625%, 7/1/14
  $ 199,975  
           
Mediacom Broadband Corp., Sr. Notes
       
      120    
8.50%, 10/15/15
    114,600  
           
National Cable PLC
       
      40    
8.75%, 4/15/14
    40,600  
                     
                $ 355,175  
                     
Chemicals and Plastics — 0.1%
           
CII Carbon, LLC
       
      185    
11.125%, 11/15/15(7)
  $ 148,925  
           
Nova Chemicals Corp., Sr. Notes, Variable Rate
       
      195    
4.538%, 11/15/13
    175,500  
           
Reichhold Industries, Inc., Sr. Notes
       
      445    
9.00%, 8/15/14(7)
    173,550  
           
Wellman Holdings, Inc., Sr. Sub. Notes
       
      438    
5.00%, 1/29/19(6)
    127,896  
                     
                $ 625,871  
                     
Clothing/Textiles — 0.2%
           
Levi Strauss & Co., Sr. Notes
       
      505    
9.75%, 1/15/15
  $ 515,100  
      75    
8.875%, 4/1/16
    74,812  
           
Perry Ellis International, Inc., Sr. Sub. Notes
       
      360    
8.875%, 9/15/13
    315,000  
                     
                $ 904,912  
                     
Conglomerates — 0.1%
           
RBS Global & Rexnord Corp.
       
      161    
9.50%, 8/1/14(7)
  $ 140,875  
      155    
11.75%, 8/1/16
    125,550  
                     
                $ 266,425  
                     
Containers and Glass Products — 0.6%
           
Berry Plastics Corp., Sr. Notes, Variable Rate
       
      2,000    
4.538%, 2/15/15
  $ 1,810,000  
           
Intertape Polymer US, Inc., Sr. Sub. Notes
       
      310    
8.50%, 8/1/14
    165,850  
 
19


Table of Contents

                     
Principal
           
Amount
           
(000’s omitted)*     Security   Value  
           
Pliant Corp., Sr. Notes
       
      345    
11.625%, 6/15/09(3)(9)
  $ 257,164  
           
Smurfit-Stone Container Corp., Sr. Notes
       
      45    
8.38%, 7/1/12(2)
    23,400  
      300    
8.00%, 3/15/17(2)
    152,250  
                     
                $ 2,408,664  
                     
Ecological Services and Equipment — 0.2%
           
Environmental Systems Product Holdings, Inc., Jr. Notes
       
      373    
18.00%, 3/31/15(3)(6)
  $ 298,205  
           
Waste Services, Inc., Sr. Sub. Notes
       
      440    
9.50%, 4/15/14
    434,500  
                     
                $ 732,705  
                     
Electronics/Electrical — 0.3%
           
Advanced Micro Devices, Inc., Sr. Notes
       
      220    
7.75%, 11/1/12
  $ 172,150  
           
Amkor Technologies, Inc., Sr. Notes
       
      50    
7.75%, 5/15/13
    48,750  
      190    
9.25%, 6/1/16
    194,750  
           
Avago Technologies Finance
       
      170    
10.125%, 12/1/13
    177,650  
      215    
11.875%, 12/1/15
    224,675  
           
NXP BV/NXP Funding, LLC, Variable Rate
       
      775    
3.259%, 10/15/13
    477,594  
                     
                $ 1,295,569  
                     
Equipment Leasing — 0.0%
           
Hertz Corp.
       
      25    
8.875%, 1/1/14
  $ 24,188  
                     
                $ 24,188  
                     
Financial Intermediaries — 0.1%
           
Ford Motor Credit Co., Sr. Notes
       
      230    
8.00%, 12/15/16
  $ 206,429  
                     
                $ 206,429  
                     
Food Products — 0.1%
           
ASG Consolidated, LLC/ASG Finance, Inc., Sr. Disc. Notes
       
      520    
11.50%, 11/1/11
  $ 481,000  
                     
                $ 481,000  
                     
Food Service — 0.1%
           
Aramark Services, Inc.
       
      50    
8.50%, 2/1/15
  $ 50,625  
           
El Pollo Loco, Inc.
       
      275    
11.75%, 11/15/13
    235,125  
           
NPC International, Inc., Sr. Sub. Notes
       
      320    
9.50%, 5/1/14
    304,000  
                     
                $ 589,750  
                     
Food/Drug Retailers — 0.2%
           
General Nutrition Center, Sr. Notes, Variable Rate
       
      665    
6.404%, 3/15/14(3)
  $ 590,187  
           
General Nutrition Center, Sr. Sub. Notes
       
      385    
10.75%, 3/15/15
    363,825  
                     
                $ 954,012  
                     
Forest Products — 0.1%
           
Jefferson Smurfit Corp., Sr. Notes
       
      90    
8.25%, 10/1/12(2)
  $ 45,900  
      75    
7.50%, 6/1/13(2)
    37,312  
 
20


Table of Contents

                     
Principal
           
Amount
           
(000’s omitted)*     Security   Value  
           
NewPage Corp.
       
      520    
10.00%, 5/1/12
  $ 234,000  
      165    
12.00%, 5/1/13
    48,675  
           
NewPage Corp., Variable Rate
       
      135    
7.278%, 5/1/12
    57,375  
           
Verso Paper Holdings, LLC/Verso Paper, Inc.
       
      225    
11.375%, 8/1/16
    77,625  
                     
                $ 500,887  
                     
Healthcare — 0.6%
           
Accellent, Inc.
       
      285    
10.50%, 12/1/13
  $ 264,338  
           
AMR HoldCo, Inc./EmCare HoldCo, Inc., Sr. Sub. Notes
       
      325    
10.00%, 2/15/15
    337,187  
           
DJO Finance, LLC/DJO Finance Corp.
       
      190    
10.875%, 11/15/14
    180,500  
           
HCA, Inc.
       
      70    
9.125%, 11/15/14
    72,275  
      115    
9.25%, 11/15/16
    120,175  
           
MultiPlan, Inc., Sr. Sub. Notes
       
      485    
10.375%, 4/15/16(7)
    468,025  
           
National Mentor Holdings, Inc.
       
      290    
11.25%, 7/1/14
    255,200  
           
Res-Care, Inc., Sr. Notes
       
      195    
7.75%, 10/15/13
    186,225  
           
US Oncology, Inc.
       
      265    
9.00%, 8/15/12
    270,631  
      515    
10.75%, 8/15/14
    512,425  
                     
                $ 2,666,981  
                     
Home Furnishings — 0.0%
           
Interline Brands, Inc., Sr. Sub. Notes
       
      115    
8.125%, 6/15/14
  $ 115,288  
                     
                $ 115,288  
                     
Industrial Equipment — 0.1%
           
Chart Industries, Inc., Sr. Sub. Notes
       
      195    
9.125%, 10/15/15
  $ 188,175  
           
ESCO Corp., Sr. Notes
       
      145    
8.625%, 12/15/13(7)
    134,125  
           
ESCO Corp., Sr. Notes, Variable Rate
       
      145    
4.504%, 12/15/13(7)
    122,525  
                     
                $ 444,825  
                     
Insurance — 0.0%
           
Alliant Holdings I, Inc.
       
      100    
11.00%, 5/1/15(7)
  $ 88,500  
                     
                $ 88,500  
                     
Leisure Goods/Activities/Movies — 0.3%
           
Bombardier, Inc.
       
      130    
8.00%, 11/15/14(7)
  $ 126,100  
           
HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital Corp., Variable Rate
       
      360    
0.00%, 4/1/12(2)(7)
    36  
           
Marquee Holdings, Inc., Sr. Disc. Notes
       
      665    
9.505%, 8/15/14
    548,625  
           
Royal Caribbean Cruises, Sr. Notes
       
      95    
7.00%, 6/15/13
    85,500  
      35    
6.875%, 12/1/13
    31,150  
      25    
7.25%, 6/15/16
    20,750  
      50    
7.25%, 3/15/18
    39,750  
 
21


Table of Contents

                     
Principal
           
Amount
           
(000’s omitted)*     Security   Value  
           
Universal City Development Partners, Sr. Notes
       
      240    
11.75%, 4/1/10
  $ 239,400  
                     
                $ 1,091,311  
                     
Lodging and Casinos — 0.8%
           
Buffalo Thunder Development Authority
       
      480    
9.375%, 12/15/14(2)(7)
  $ 73,200  
           
CCM Merger, Inc.
       
      325    
8.00%, 8/1/13(7)
    251,875  
           
Chukchansi EDA, Sr. Notes, Variable Rate
       
      280    
4.913%, 11/15/12(7)
    192,500  
           
Fontainebleau Las Vegas Casino, LLC
       
      485    
10.25%, 6/15/15(2)(7)
    16,975  
           
Galaxy Entertainment Finance
       
      300    
9.875%, 12/15/12(7)
    286,500  
           
Greektown Holdings, LLC, Sr. Notes
       
      95    
10.75%, 12/1/13(2)(7)
    14,725  
           
Host Hotels and Resorts, LP, Sr. Notes
       
      240    
6.75%, 6/1/16
    223,800  
           
Indianapolis Downs, LLC & Capital Corp., Sr. Notes
       
      85    
11.00%, 11/1/12(7)
    64,175  
           
Inn of the Mountain Gods, Sr. Notes
       
      500    
12.00%, 11/15/10(2)
    205,000  
           
Majestic HoldCo, LLC
       
      140    
12.50%, 10/15/11(2)(7)
    16  
           
MGM Mirage, Inc.
       
      20    
7.50%, 6/1/16
    14,700  
           
Mohegan Tribal Gaming Authority, Sr. Sub. Notes
       
      140    
8.00%, 4/1/12
    115,500  
      215    
7.125%, 8/15/14
    151,575  
      230    
6.875%, 2/15/15
    159,850  
           
OED Corp./Diamond Jo, LLC
       
      475    
8.75%, 4/15/12
    491,625  
           
Pinnacle Entertainment, Inc., Sr. Sub. Notes
       
      60    
7.50%, 6/15/15
    53,550  
           
Pokagon Gaming Authority, Sr. Notes
       
      102    
10.375%, 6/15/14(7)
    102,000  
           
San Pasqual Casino
       
      110    
8.00%, 9/15/13(7)
    94,050  
           
Seminole Hard Rock Entertainment, Variable Rate
       
      175    
3.129%, 3/15/14(7)
    132,125  
           
Tunica-Biloxi Gaming Authority, Sr. Notes
       
      310    
9.00%, 11/15/15(7)
    274,350  
           
Waterford Gaming, LLC, Sr. Notes
       
      289    
8.625%, 9/15/14(7)
    248,553  
           
Wynn Las Vegas, LLC
       
      110    
6.625%, 12/1/14
    102,575  
                     
                $ 3,269,219  
                     
Nonferrous Metals/Minerals — 0.2%
           
FMG Finance PTY, Ltd.
       
      675    
10.625%, 9/1/16(7)
  $ 700,312  
                     
                $ 700,312  
                     
Oil and Gas — 0.7%
           
Allis-Chalmers Energy, Inc., Sr. Notes
       
      335    
9.00%, 1/15/14
  $ 245,388  
           
Clayton Williams Energy, Inc.
       
      175    
7.75%, 8/1/13
    132,125  
           
Compton Pet Finance Corp.
       
      360    
7.625%, 12/1/13
    236,700  
 
22


Table of Contents

                     
Principal
           
Amount
           
(000’s omitted)*     Security   Value  
           
Denbury Resources, Inc., Sr. Sub. Notes
       
      50    
7.50%, 12/15/15
  $ 49,750  
           
El Paso Corp., Sr. Notes
       
      225    
9.625%, 5/15/12
    234,575  
           
Forbes Energy Services, Sr. Notes
       
      310    
11.00%, 2/15/15
    223,200  
           
OPTI Canada, Inc., Sr. Notes
       
      95    
7.875%, 12/15/14
    62,700  
      175    
8.25%, 12/15/14
    116,375  
           
Petrohawk Energy Corp., Sr. Notes
       
      295    
9.125%, 7/15/13
    307,537  
           
Petroleum Development Corp., Sr. Notes
       
      115    
12.00%, 2/15/18
    102,925  
           
Petroplus Finance, Ltd.
       
      465    
7.00%, 5/1/17(7)
    399,900  
           
Quicksilver Resources, Inc.
       
      290    
7.125%, 4/1/16
    245,050  
           
SandRidge Energy, Inc., Sr. Notes
       
      225    
8.00%, 6/1/18(7)
    205,875  
           
SemGroup, L.P., Sr. Notes
       
      540    
8.75%, 11/15/15(2)(7)
    18,900  
           
SESI, LLC, Sr. Notes
       
      60    
6.875%, 6/1/14
    57,000  
           
Stewart & Stevenson, LLC, Sr. Notes
       
      335    
10.00%, 7/15/14
    293,125  
                     
                $ 2,931,125  
                     
Publishing — 0.2%
           
Dex Media West/Finance, Series B
       
      112    
9.875%, 8/15/13(2)
  $ 21,000  
           
Harland Clarke Holdings
       
      35    
9.50%, 5/15/15
    28,262  
           
Local Insight Regatta Holdings, Inc.
       
      90    
11.00%, 12/1/17
    25,650  
           
Nielsen Finance, LLC
       
      515    
10.00%, 8/1/14
    520,150  
      70    
12.50%, (0.00% until 2011), 8/1/16
    51,275  
           
Reader’s Digest Association, Inc. (The), Sr. Sub. Notes
       
      455    
9.00%, 2/15/17(2)
    29,575  
                     
                $ 675,912  
                     
Rail Industries — 0.2%
           
American Railcar Industry, Sr. Notes
       
      175    
7.50%, 3/1/14
  $ 161,000  
           
Kansas City Southern Mexico, Sr. Notes
       
      280    
7.625%, 12/1/13
    253,400  
      100    
7.375%, 6/1/14
    88,500  
      190    
8.00%, 6/1/15
    185,250  
                     
                $ 688,150  
                     
Retailers (Except Food and Drug) — 0.3%
           
Amscan Holdings, Inc., Sr. Sub. Notes
       
      400    
8.75%, 5/1/14
  $ 360,000  
           
Neiman Marcus Group, Inc.
       
      561    
9.00%, 10/15/15
    418,242  
      165    
10.375%, 10/15/15
    119,625  
           
Sally Holdings, LLC
       
      10    
9.25%, 11/15/14
    10,350  
 
23


Table of Contents

                     
Principal
           
Amount
           
(000’s omitted)*     Security   Value  
           
Sally Holdings, LLC, Sr. Notes
       
      20    
10.50%, 11/15/16
  $ 20,700  
           
Yankee Acquisition Corp., Series B
       
      545    
8.50%, 2/15/15
    490,500  
                     
                $ 1,419,417  
                     
Steel — 0.1%
           
RathGibson, Inc., Sr. Notes
       
      445    
11.25%, 2/15/14(2)
  $ 160,200  
           
Steel Dynamics, Inc., Sr. Notes
       
      60    
7.375%, 11/1/12
    59,850  
                     
                $ 220,050  
                     
Surface Transport — 0.0%
           
CEVA Group, PLC, Sr. Notes
       
      210    
10.00%, 9/1/14(7)
  $ 156,450  
                     
                $ 156,450  
                     
Telecommunications — 0.5%
           
Digicel Group, Ltd., Sr. Notes
       
      300    
9.25%, 9/1/12(7)
  $ 301,500  
      882    
9.125%, 1/15/15(7)
    771,750  
           
Qwest Corp., Sr. Notes, Variable Rate
       
      925    
3.879%, 6/15/13
    874,125  
           
Windstream Corp., Sr. Notes
       
      190    
8.125%, 8/1/13
    192,850  
      60    
8.625%, 8/1/16
    61,200  
                     
                $ 2,201,425  
                     
Utilities — 0.2%
           
AES Corp.
       
      55    
8.00%, 10/15/17
  $ 54,175  
           
Edison Mission Energy, Sr. Notes
       
      25    
7.50%, 6/15/13
    22,938  
           
NGC Corp.
       
      390    
7.625%, 10/15/26
    251,550  
           
NRG Energy, Inc.
       
      165    
7.25%, 2/1/14
    162,525  
      355    
7.375%, 1/15/17
    343,462  
           
Reliant Energy, Inc., Sr. Notes
       
      20    
7.625%, 6/15/14
    18,700  
                     
                $ 853,350  
                     
         
Total Corporate Bonds & Notes
(identified cost $39,206,655)
 
$
31,367,444  
         
 
24


Table of Contents

Asset-Backed Securities — 0.1%
 
                     
Principal
           
Amount
           
(000’s omitted)     Security   Value  
$
    547    
Alzette European CLO SA, Series 2004-1A, Class E2, 7.13%, 12/15/20(10)
  $ 32,808  
      686    
Avalon Capital Ltd. 3, Series 1A, Class D, 2.559%, 2/24/19(7)(10)
    27,441  
      837    
Babson Ltd., Series 2005-1A, Class C1, 3.081%, 4/15/19(7)(10)
    66,951  
      1,000    
Bryant Park CDO Ltd., Series 2005-1A, Class C, 3.181%, 1/15/19(7)(10)
    30,000  
      1,000    
Carlyle High Yield Partners, Series 2004-6A, Class C, 3.406%, 8/11/16(7)(10)
    100,000  
      871    
Centurion CDO 8 Ltd., Series 2005-8A, Class D, 6.129%, 3/8/17(10)
    52,267  
      750    
Centurion CDO 9 Ltd., Series 2005-9A, Class D1, 5.264%, 7/17/19(10)
    45,000  
      750    
Comstock Funding Ltd., Series 2006-1A, Class D, 4.918%, 5/30/20(7)(10)
    22,500  
      1,500    
Dryden Leveraged Loan, Series 2004-6A, Class C1, 3.041%, 7/30/16(7)(10)
    45,000  
      1,000    
First CLO Ltd., Series 2004-1A1, Class C, 2.804%, 7/27/16(7)(10)
    100,000  
      1,000    
Schiller Park CLO Ltd., Series 2007-1A, Class D, 2.254%, 4/25/21(7)(10)
    100,000  
                     
         
Total Asset-Backed Securities
(identified cost $9,703,909)
 
$
621,967  
         
 
Common Stocks — 0.1%
 
                     
Shares     Security   Value  
Air Transport — 0.0%
      1,535    
Delta Air Lines, Inc.(11)
  $ 10,638  
                     
                $ 10,638  
                     
Building and Development — 0.0%
      508    
United Subcontractors, Inc.(6)(11)
  $ 64,949  
                     
                $ 64,949  
                     
Chemicals and Plastics — 0.1%
      438    
Wellman Holdings, Inc.(6)(11)
  $ 109,394  
                     
                $ 109,394  
                     
Ecological Services and Equipment — 0.0%
      6,211    
Environmental Systems Products Holdings, Inc.(6)(11)(12)
  $ 53,601  
                     
                $ 53,601  
                     
Food Service — 0.0%
      23,029    
Buffets, Inc.(11)
  $ 31,665  
                     
                $ 31,665  
                     
Nonferrous Metals/Minerals — 0.0%
      701    
Euramax International, Inc.(6)(11)
  $ 0  
                     
                $ 0  
                     
Publishing — 0.0%
      2,290    
Source Interlink Companies, Inc.(6)(11)
  $ 32,518  
                     
                $ 32,518  
                     
         
Total Common Stocks
(identified cost $258,207)
 
$
302,765  
         
 
25


Table of Contents

Convertible Preferred Stocks — 0.0%
 
                     
Shares     Security   Value  
Telecommunications — 0.0%
      484    
Crown Castle International Corp., 6.25%(3)
  $ 24,563  
                     
                $ 24,563  
                     
         
Total Convertible Preferred Stocks
(identified cost $23,003)
 
$
24,563  
         
 
Preferred Stocks — 0.1%
                     
Shares     Security   Value  
Ecological Services and Equipment — 0.1%
      2,845    
Environmental Systems Products Holdings, Inc.,
Series A(6)(11)(12)
    252,949  
                     
                $ 252,949  
                     
         
Total Preferred Stocks
(identified cost $49,788)
 
$
252,949  
         
 
Miscellaneous — 0.0%
                     
Shares     Security   Value  
Air Transport — 0.0%
      1,000,000    
Delta Air Lines, Inc., Escrow Certificate(11)
    11,100  
                     
                $ 11,100  
                     
Oil and Gas — 0.0%
      105,000    
VeraSun Energy Corp., Escrow Certificate(6)(11)
  $ 0  
                     
                $ 0  
                     
         
Total Miscellaneous
(identified cost $0)
 
$
11,100  
         
 
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Short-Term Investments — 1.6%
 
                     
Interest
           
(000’s omitted)     Description   Value  
$
    6,693    
Cash Management Portfolio, 0.00%(13)
  $ 6,692,862  
                     
                $ 6,692,862  
                     
         
Total Short-Term Investments
(identified cost $6,692,862)
 
$
6,692,862  
         
         
Total Investments — 155.6%
(identified cost $772,255,260)
 
$
656,457,208  
         
         
Less Unfunded Loan Commitments — (0.5)%
  $ (2,179,602 )
         
         
Net Investments — 155.1%
(identified cost $770,075,658)
 
$
654,277,606  
         
         
Other Assets, Less Liabilities — (24.0)%
  $ (101,234,219 )
         
         
Auction Preferred Shares Plus Cumulative Unpaid Dividends — (31.1)%
  $ (131,312,055 )
         
         
Net Assets Applicable to Common Shares — 100.0%
  $ 421,731,332  
         
 
The percentage shown for each investment category in the Portfolio of Investments is based on net assets applicable to common shares.
 
             
DIP
  -   Debtor in Possession
         
EUR
  -   Euro
         
GBP
  -   British Pound Sterling
         
*       In U.S. dollars unless otherwise indicated.
         
(1)
      Senior floating-rate interests (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their 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, Senior Loans will have an expected average life of approximately two to four years. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility and includes commitment fees on unfunded loan commitments, if any. Senior Loans typically have rates of interest which are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base rates are primarily the London Interbank Offered Rate (“LIBOR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.
         
(2)
      Defaulted security. Currently the issuer is in default with respect to interest payments.
         
(3)
      Represents a payment-in-kind security which may pay all or a portion of interest/dividends in additional par/shares.
         
(4)
      This Senior Loan will settle after July 31, 2009, at which time the interest rate will be determined.
         
(5)
      Unfunded or partially unfunded loan commitments. The Trust may enter into certain credit agreements all or a portion of which may be unfunded. The Trust is obligated to fund these commitments at the borrower’s discretion.
         
(6)
      Security valued at fair value using methods determined in good faith by or at the direction of the Trustees.
         
(7)
      Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2009, the aggregate value of these securities is $6,788,172 or 1.6% of the Trust’s net assets applicable to common shares.
         
(8)
      Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
         
(9)
      Defaulted security.
         
(10)
      Variable rate security. The stated interest rate represents the rate in effect at July 31, 2009.
         
(11)
      Non-income producing security.
         
(12)
      Restricted security.
         
(13)
      Affiliated investment company available to Eaton Vance portfolios and funds which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of July 31, 2009. Net income allocated from the investment in Cash Management Portfolio for the fiscal year to date ended July 31, 2009 was $30,405.
 
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A summary of financial instruments outstanding at July 31, 2009 is as follows:
 
Forward Foreign Currency Exchange Contracts
 
Sales
 
                 
Settlement
          Net Unrealized
 
Date   Deliver   In Exchange For   Depreciation  
8/28/09
  British Pound Sterling
7,710,539
  United States Dollar
12,610,278
  $ (269,077 )
8/31/09
  Euro
15,084,034
  United States Dollar
21,130,469
    (370,109 )
                 
            $ (639,186 )
                 
 
At July 31, 2009, the Trust had sufficient cash and/or securities to cover commitments under these contracts.
 
The Trust is subject to foreign exchange risk in the normal course of pursuing its investment objectives. Because the Trust holds foreign currency denominated investments, the value of these investments and related receivables and payables may change due to future changes in foreign currency exchange rates. To hedge against this risk, the Trust may enter into forward foreign currency exchange contracts. The Trust may also enter into such contracts to hedge the currency risk of investments it anticipates purchasing.
 
At July 31, 2009, the aggregate fair value of derivative instruments (not accounted for as hedging instruments under Financial Accounting Standards Board (FASB) Statement of Financial Accounting Standards No. 133) in a liability position and whose primary underlying risk exposure is foreign exchange risk was $639,186.
 
The cost and unrealized appreciation (depreciation) of investments of the Trust at July 31, 2009, as determined on a federal income tax basis, were as follows:
 
         
Aggregate cost
  $ 770,191,562  
         
Gross unrealized appreciation
  $ 7,038,623  
Gross unrealized depreciation
    (122,952,579 )
         
Net unrealized depreciation
  $ (115,913,956 )
         
 
Restricted Securities
 
At July 31, 2009, the Trust owned the following securities (representing less than 0.1% of net assets applicable to common shares) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Trust has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.
 
                                 
    Date of
                   
Description   Acquisition     Shares     Cost     Value  
Common Stocks
                               
Environmental Systems Products Holdings, Inc.
    10/25/07       6,211     $ 0(1 )   $ 53,601  
                                 
Preferred Stocks
                               
Environmental Systems Products Holdings, Inc., Series A
    10/25/07       2,845     $ 49,788     $ 252,949  
                                 
Total Restricted Securities
                  $ 49,788     $ 306,550  
                                 
 
(1) Less than $0.50.
 
The Trust adopted FASB Statement of Financial Accounting Standards No. 157 (FAS 157), “Fair Value Measurements”, effective November 1, 2008. FAS 157 established a three-tier hierarchy to prioritize the assumptions, referred to as inputs, used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
 
  •   Level 1 — quoted prices in active markets for identical investments
 
  •   Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
 
  •   Level 3 — significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)
 
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
 
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At July 31, 2009, the inputs used in valuing the Trust’s investments, which are carried at value, were as follows:
 
                                 
    Quoted Prices in
                   
    Active Markets for
    Significant Other
    Significant
       
    Identical Assets     Observable Inputs     Unobservable Inputs        
       
Asset Description
  (Level 1)     (Level 2)     (Level 3)     Total  
Senior Floating-Rate Interests (Less Unfunded Loan Commitments)
  $     $ 614,364,035     $ 639,921     $ 615,003,956  
Corporate Bonds & Notes
          30,941,343       426,101       31,367,444  
Asset-Backed Securities
          621,967             621,967  
Common Stocks
          42,303       260,462       302,765  
Convertible Preferred Stocks
    24,563                   24,563  
Preferred Stocks
                252,949       252,949  
Miscellaneous
          11,100       0       11,100  
Short-Term Investments
    6,692,862                   6,692,862  
                                 
Total Investments
  $ 6,717,425     $ 645,980,748     $ 1,579,433     $ 654,277,606  
                                 
                                 
Liability Description
                       
Forward Foreign Currency Exchange Contracts
  $     $ (639,186 )   $     $ (639,186 )
                                 
Total
  $     $ (639,186 )         $ (639,186 )
                                 
 
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
 
                                         
    Investments in
                         
    Senior
    Investments in
                   
    Floating-Rate
    Corporate
    Investments in
    Investments in
       
    Interests     Bonds & Notes     Common Stocks     Preferred Stocks     Total  
Balance as of October 31, 2008
  $ 659,148     $ 269,280     $ 0     $ 65,350     $ 993,778  
Realized gains (losses)
    (803,059 )                       (803,059 )
Change in net unrealized appreciation (depreciation)
    (191,353 )     20,698       31,040       187,599       47,984  
Net purchases (sales)
    (48,137 )     124,917       229,422             306,202  
Accrued discount (premium)
    6,225       11,206                   17,431  
Net transfers to (from) Level 3
    1,017,097                         1,017,097  
                                         
Balance as of July 31, 2009
  $ 639,921     $ 426,101     $ 260,462     $ 252,949     $ 1,579,433  
                                         
                                         
Change in net unrealized appreciation (depreciation) on investments still held as of July 31, 2009
  $ (584,309 )   $ 20,698     $ 31,040     $ 187,599     $ (344,972 )
                                         
 
For information on the Trust’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Trust’s most recent financial statements included in its semiannual or annual report to shareholders.
 
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Item 2. 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 on this Form N-Q 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 on this Form N-Q has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
 
(b) There have been no changes in the registrant’s internal controls over financial reporting during the fiscal quarter for which the report is being filed that have materially affected, or are reasonably likely to materially affect the registrant’s internal control over financial reporting.


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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 Floating-Rate Trust
 
         
By:
  /s/ Scott H. Page    
         
    Scott H. Page    
    President    
         
Date:
  September 25, 2009    
 
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/ Scott H. Page    
         
    Scott H. Page    
    President    
         
Date:
  September 25, 2009    
         
By:
  /s/ Barbara E. Campbell    
         
    Barbara E. Campbell    
    Treasurer    
         
Date:
  September 25, 2009