Eaton Vance Senior Income Trust
 
 
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
811-09013
Investment Company Act File Number
Eaton Vance Senior Income 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)
June 30
Date of Fiscal Year End
September 30, 2011
Date of Reporting Period
 
 

 


 

Item 1. Schedule of Investments

 


 

Eaton Vance
Senior Income Trust
September 30, 2011
 
PORTFOLIO OF INVESTMENTS (Unaudited)
 
Senior Floating-Rate Interests — 138.0%(1)
 
                     
    Principal
       
    Amount*
       
Borrower/Tranche Description   (000’s omitted)     Value  
Aerospace and Defense — 2.7%
                   
Booz Allen Hamilton, Inc.
                   
Term Loan, 4.00%, Maturing August 3, 2017
        249     $ 247,623  
DAE Aviation Holdings, Inc.
                   
Term Loan, 5.26%, Maturing July 31, 2014
        700       655,577  
Term Loan, 5.26%, Maturing July 31, 2014
        731       684,073  
Ducommun, Inc.
                   
Term Loan, 5.50%, Maturing June 28, 2017
        274       268,140  
Dundee Holdco 4, Ltd.
                   
Term Loan, 4.24%, Maturing May 15, 2015
        206       177,251  
Term Loan, 4.74%, Maturing May 13, 2016
        206       177,251  
Term Loan - Second Lien, 7.33%, Maturing January 13, 2016
  EUR     417       486,490  
IAP Worldwide Services, Inc.
                   
Term Loan, 9.25%, Maturing December 28, 2012
        918       901,229  
Sequa Corp.
                   
Term Loan, 3.50%, Maturing December 3, 2014
        397       376,805  
Spirit AeroSystems, Inc.
                   
Term Loan, 3.48%, Maturing September 30, 2016
        603       598,798  
TASC, Inc.
                   
Term Loan, 4.50%, Maturing December 18, 2015
        747       717,861  
TransDigm, Inc.
                   
Term Loan, 4.00%, Maturing February 14, 2017
        1,092       1,069,233  
Wyle Services Corp.
                   
Term Loan, 5.75%, Maturing March 27, 2017
        415       398,276  
                     
                $ 6,758,607  
                     
Air Transport — 0.7%
                   
Evergreen International Aviation, Inc.
                   
Term Loan, 11.50%, Maturing July 5, 2016
        450     $ 414,000  
Orbitz Worldwide, Inc.
                   
Term Loan, 3.27%, Maturing July 25, 2014
        1,473       1,293,600  
                     
                $ 1,707,600  
                     
Automotive — 5.8%
                   
Allison Transmission, Inc.
                   
Term Loan, 2.98%, Maturing August 7, 2014
        2,410     $ 2,275,170  
Chrysler Group, LLC
                   
Term Loan, 6.00%, Maturing May 24, 2017
        2,614       2,301,740  
Delphi Corp.
                   
Term Loan, 3.50%, Maturing March 31, 2017
        984       974,947  
Federal-Mogul Corp.
                   
Term Loan, 2.16%, Maturing December 29, 2014
        2,215       2,046,831  
Term Loan, 2.17%, Maturing December 28, 2015
        579       535,045  
Goodyear Tire & Rubber Co.
                   
Term Loan - Second Lien, 1.94%, Maturing April 30, 2014
        2,300       2,226,688  
HHI Holdings, LLC
                   
Term Loan, 7.00%, Maturing March 21, 2017
        249       237,556  
Metaldyne, LLC
                   
Term Loan, 5.25%, Maturing May 18, 2017
        771       747,991  
SRAM, LLC
                   
Term Loan, 4.76%, Maturing June 7, 2018
        667       643,838  
Tomkins, LLC
                   
Term Loan, 4.25%, Maturing September 21, 2016
        969       952,822  
 
1


 

                     
    Principal
       
    Amount*
       
Borrower/Tranche Description   (000’s omitted)     Value  
TriMas Corp.
                   
Term Loan, 4.25%, Maturing June 21, 2017
        524     $ 514,523  
Veyance Technologies, Inc.
                   
Term Loan, 2.74%, Maturing July 31, 2014
        101       90,894  
Term Loan, 2.74%, Maturing July 31, 2014
        706       634,604  
Term Loan - Second Lien, 5.99%, Maturing July 31, 2015
        425       353,813  
                     
                $ 14,536,462  
                     
Beverage and Tobacco — 0.0%(2)
                   
Maine Beverage Co., LLC
                   
Term Loan, 2.00%, Maturing March 31, 2013
        102     $ 97,500  
                     
                $ 97,500  
                     
Building and Development — 1.3%
                   
Armstrong World Industries, Inc.
                   
Term Loan, 4.00%, Maturing March 9, 2018
        323     $ 314,482  
Beacon Sales Acquisition, Inc.
                   
Term Loan, 2.24%, Maturing September 30, 2013
        334       317,394  
Goodman Global Holdings, Inc.
                   
Term Loan, 5.75%, Maturing October 28, 2016
        838       831,991  
November 2005 Land Investors, LLC
                   
Term Loan, 0.00%, Maturing March 29, 2013(3)(4)
        152       22,863  
Panolam Industries Holdings, Inc.
                   
Term Loan, 8.25%, Maturing December 31, 2013
        458       412,409  
RE/MAX International, Inc.
                   
Term Loan, 5.50%, Maturing April 15, 2016
        872       859,330  
South Edge, LLC
                   
Term Loan, 0.00%, Maturing October 31, 2009(5)
        422       411,328  
                     
                $ 3,169,797  
                     
Business Equipment and Services — 13.2%
                   
Acosta, Inc.
                   
Term Loan, 4.75%, Maturing March 1, 2018
        648     $ 626,249  
Acxiom Corp.
                   
Term Loan, 3.28%, Maturing March 15, 2015
        403       394,694  
Advantage Sales & Marketing, Inc.
                   
Term Loan, 5.25%, Maturing December 18, 2017
        918       888,799  
Affinion Group, Inc.
                   
Term Loan, 5.00%, Maturing October 10, 2016
        2,294       2,092,036  
Allied Security Holdings, LLC
                   
Term Loan, 5.00%, Maturing February 3, 2017
        498       490,038  
Altegrity, Inc.
                   
Term Loan, 7.75%, Maturing February 20, 2015
        372       364,366  
Term Loan, 2.98%, Maturing February 21, 2015
        786       707,048  
Audatex North America, Inc.
                   
Term Loan, 3.31%, Maturing May 16, 2014
  EUR     406       532,730  
BAR/BRI Review Courses, Inc.
                   
Term Loan, 6.00%, Maturing June 16, 2017
        375       365,625  
Brand Energy and Infrastructure Services, Inc.
                   
Term Loan, 2.62%, Maturing February 7, 2014
        455       415,184  
Term Loan, 3.62%, Maturing February 7, 2014
        389       348,894  
Brickman Group Holdings, Inc.
                   
Term Loan, 7.25%, Maturing October 14, 2016
        571       564,981  
Brock Holdings III, Inc.
                   
Term Loan, 6.00%, Maturing March 16, 2017
        597       559,688  
ClientLogic Corp.
                   
Term Loan, 8.11%, Maturing January 30, 2014
  EUR     586       776,661  
Term Loan, 7.00%, Maturing January 30, 2017
        303       286,436  
DynCorp International, LLC
                   
Term Loan, 6.30%, Maturing July 5, 2016
        407       401,234  
 
2


 

                     
    Principal
       
    Amount*
       
Borrower/Tranche Description   (000’s omitted)     Value  
Fidelity National Information Services, Inc.
                   
Term Loan, 5.25%, Maturing July 18, 2016
        1,188     $ 1,189,485  
IMS Health, Inc.
                   
Term Loan, 4.50%, Maturing August 25, 2017
        864       850,029  
KAR Auction Services, Inc.
                   
Term Loan, 5.00%, Maturing May 19, 2017
        1,446       1,403,888  
Kronos, Inc.
                   
Term Loan, 2.12%, Maturing June 11, 2014
        546       521,006  
Language Line, LLC
                   
Term Loan, 6.25%, Maturing June 20, 2016
        1,071       1,017,349  
Meritas, LLC
                   
Term Loan, 7.50%, Maturing July 28, 2017
        414       399,872  
Mitchell International, Inc.
                   
Term Loan - Second Lien, 5.63%, Maturing March 30, 2015
        500       462,500  
MSCI, Inc.
                   
Term Loan, 3.75%, Maturing March 14, 2017
        1,439       1,437,690  
N.E.W. Holdings I, LLC
                   
Term Loan, 6.00%, Maturing March 23, 2016
        788       762,891  
Protection One Alarm Monitoring, Inc.
                   
Term Loan, 6.00%, Maturing June 4, 2016
        741       730,125  
Quantum Corp.
                   
Term Loan, 3.74%, Maturing July 14, 2014
        27       26,601  
Quintiles Transnational Corp.
                   
Term Loan, 5.00%, Maturing June 8, 2018
        2,170       2,052,044  
Res-Care, Inc.
                   
Term Loan, 7.25%, Maturing December 22, 2016
        422       409,158  
Sabre, Inc.
                   
Term Loan, 2.24%, Maturing September 30, 2014
        2,590       2,184,571  
Sensus USA, Inc.
                   
Term Loan, 4.75%, Maturing May 9, 2017
        348       335,191  
Softlayer Technologies, Inc.
                   
Term Loan, 7.25%, Maturing November 5, 2016
        323       314,498  
SunGard Data Systems, Inc.
                   
Term Loan, 1.98%, Maturing February 28, 2014
        2,530       2,474,282  
Term Loan, 3.89%, Maturing February 26, 2016
        1,860       1,791,933  
SymphonyIRI Group, Inc.
                   
Term Loan, 5.00%, Maturing December 1, 2017
        424       412,279  
TransUnion, LLC
                   
Term Loan, 4.75%, Maturing February 12, 2018
        945       924,769  
Travelport, LLC
                   
Term Loan, 4.75%, Maturing August 21, 2015
        1,103       977,116  
Term Loan, 4.87%, Maturing August 21, 2015
        299       264,565  
Term Loan, 6.04%, Maturing August 21, 2015
  EUR     371       456,788  
U.S. Security Holdings, Inc.
                   
Term Loan, 1.50%, Maturing July 28, 2017(6)
        61       59,750  
Term Loan, 6.00%, Maturing July 28, 2017
        314       306,813  
West Corp.
                   
Term Loan, 4.57%, Maturing July 15, 2016
        360       348,910  
Term Loan, 4.57%, Maturing July 15, 2016
        1,023       992,654  
                     
                $ 32,921,420  
                     
Cable and Satellite Television — 6.3%
                   
Atlantic Broadband Finance, LLC
                   
Term Loan, 4.00%, Maturing March 8, 2016
        663     $ 641,885  
BBHI Acquisition, LLC
                   
Term Loan, 4.50%, Maturing December 14, 2017
        620       600,928  
Bragg Communications, Inc.
                   
Term Loan, 2.82%, Maturing August 31, 2014
        1,152       1,105,920  
Crown Media Holdings, Inc.
                   
Term Loan, 5.75%, Maturing July 14, 2018
        249       243,141  
 
3


 

                     
    Principal
       
    Amount*
       
Borrower/Tranche Description   (000’s omitted)     Value  
CSC Holdings, Inc.
                   
Term Loan, 3.23%, Maturing March 29, 2016
        1,950     $ 1,894,856  
Insight Midwest Holdings, LLC
                   
Term Loan, 1.98%, Maturing April 7, 2014
        1,744       1,716,914  
Kabel Deutschland GmbH
                   
Term Loan, 4.61%, Maturing June 15, 2018
  EUR     500       626,931  
Lavena Holdings 4 GmbH
                   
Term Loan, 4.20%, Maturing March 6, 2015
  EUR     521       525,321  
Term Loan, 4.45%, Maturing March 4, 2016
  EUR     521       525,321  
Term Loan, 8.83%, Maturing March 6, 2017(7)
  EUR     209       121,578  
Term Loan - Second Lien, 5.58%, Maturing September 2, 2016
  EUR     271       211,163  
MCC Iowa, LLC
                   
Term Loan, 1.95%, Maturing January 30, 2015
        796       734,859  
Mediacom Broadband, LLC
                   
Term Loan, 4.50%, Maturing October 23, 2017
        741       715,629  
Mediacom Illinois, LLC
                   
Term Loan, 1.95%, Maturing January 30, 2015
        1,881       1,713,448  
Term Loan, 5.50%, Maturing March 31, 2017
        980       961,625  
Mediacom, LLC
                   
Term Loan, 4.50%, Maturing October 23, 2017
        395       384,137  
NDS Finance, Ltd.
                   
Term Loan, 4.00%, Maturing March 12, 2018
        697       669,511  
UPC Financing Partnership
                   
Term Loan, 3.72%, Maturing December 30, 2016
        379       360,980  
Term Loan, 5.10%, Maturing December 31, 2016
  EUR     726       884,375  
Term Loan, 3.72%, Maturing December 29, 2017
        1,037       993,177  
                     
                $ 15,631,699  
                     
Chemicals and Plastics — 5.2%
                   
Arizona Chemical, Inc.
                   
Term Loan, 4.75%, Maturing November 21, 2016
        163     $ 160,118  
Ashland, Inc.
                   
Term Loan, 3.75%, Maturing August 23, 2018
        950       944,402  
General Chemical Corp.
                   
Term Loan, 5.00%, Maturing October 6, 2015
        284       275,140  
Houghton International, Inc.
                   
Term Loan, 6.75%, Maturing January 29, 2016
        421       417,368  
Huntsman International, LLC
                   
Term Loan, 1.77%, Maturing April 21, 2014
        229       218,498  
Term Loan, 2.52%, Maturing June 30, 2016
        855       802,019  
Term Loan, 2.80%, Maturing April 19, 2017
        625       589,181  
Ineos US Finance, LLC
                   
Term Loan, 7.50%, Maturing December 16, 2013
        790       783,127  
Term Loan, 8.00%, Maturing December 16, 2014
        791       783,608  
Momentive Specialty Chemicals, Inc.
                   
Term Loan, 4.00%, Maturing May 5, 2015
        479       447,631  
Term Loan, 4.00%, Maturing May 5, 2015
        725       683,096  
Term Loan, 4.13%, Maturing May 5, 2015
        324       305,547  
Nalco Co.
                   
Term Loan, 4.50%, Maturing October 5, 2017
        693       692,351  
Norit NV
                   
Term Loan, 7.50%, Maturing July 7, 2017
        625       609,375  
OM Group, Inc.
                   
Term Loan, 5.75%, Maturing August 2, 2017
        500       498,125  
Rockwood Specialties Group, Inc.
                   
Term Loan, 3.75%, Maturing February 9, 2018
        1,169       1,166,641  
Styron S.A.R.L.
                   
Term Loan, 6.00%, Maturing August 2, 2017
        1,687       1,537,928  
 
4


 

                     
    Principal
       
    Amount*
       
Borrower/Tranche Description   (000’s omitted)     Value  
Univar, Inc.
                   
Term Loan, 5.00%, Maturing June 30, 2017
        2,267     $ 2,126,896  
                     
                $ 13,041,051  
                     
Clothing/Textiles — 0.1%
                   
Phillips-Van Heusen Corp.
                   
Term Loan, 3.50%, Maturing May 6, 2016
        273     $ 273,040  
                     
                $ 273,040  
                     
Conglomerates — 3.9%
                   
Education Management, LLC
                   
Term Loan, 2.13%, Maturing June 3, 2013
        1,955     $ 1,830,281  
Financiere SPIE S.A.S.
                   
Term Loan, 6.11%, Maturing June 29, 2018
  EUR     1,000       1,256,015  
Jason, Inc.
                   
Term Loan, 8.25%, Maturing September 21, 2014
        46       45,331  
Term Loan, 8.25%, Maturing September 21, 2014
        115       114,882  
Rexnord Corp.
                   
Term Loan, 2.50%, Maturing July 19, 2013
        714       689,670  
Term Loan, 2.79%, Maturing July 19, 2013
        1,683       1,631,022  
RGIS Holdings, LLC
                   
Term Loan, 2.87%, Maturing April 30, 2014
        93       88,335  
Term Loan, 2.87%, Maturing April 30, 2014
        1,870       1,766,708  
Spectrum Brands, Inc.
                   
Term Loan, 5.00%, Maturing June 17, 2016
        1,120       1,108,323  
Walter Energy, Inc.
                   
Term Loan, 4.00%, Maturing April 2, 2018
        1,172       1,137,194  
                     
                $ 9,667,761  
                     
Containers and Glass Products — 2.8%
                   
Berry Plastics Corp.
                   
Term Loan, 2.23%, Maturing April 3, 2015
        955     $ 874,507  
BWAY Corp.
                   
Term Loan, 4.50%, Maturing February 23, 2018
        75       71,889  
Term Loan, 4.50%, Maturing February 23, 2018
        841       809,716  
Graphic Packaging International, Inc.
                   
Term Loan, 2.99%, Maturing May 16, 2014
        1,147       1,128,354  
Hilex Poly Co.
                   
Term Loan, 11.25%, Maturing November 16, 2015
        463       444,000  
Pelican Products, Inc.
                   
Term Loan, 5.00%, Maturing March 7, 2017
        397       385,586  
Reynolds Group Holdings, Inc.
                   
Term Loan, 6.50%, Maturing February 9, 2018
        905       879,192  
Term Loan, 6.50%, Maturing August 9, 2018
        2,425       2,353,261  
                     
                $ 6,946,505  
                     
Cosmetics/Toiletries — 0.8%
                   
Bausch & Lomb, Inc.
                   
Term Loan, 3.49%, Maturing April 24, 2015
        194     $ 187,084  
Term Loan, 3.59%, Maturing April 24, 2015
        794       767,608  
KIK Custom Products, Inc.
                   
Term Loan - Second Lien, 5.26%, Maturing November 28, 2014
        525       337,969  
Prestige Brands, Inc.
                   
Term Loan, 4.75%, Maturing March 24, 2016
        669       656,165  
                     
                $ 1,948,826  
                     
Drugs — 1.5%
                   
Aptalis Pharma, Inc.
                   
Term Loan, 5.50%, Maturing February 10, 2017
        794     $ 710,630  
Capsugel Healthcare, Ltd.
                   
Term Loan, 5.25%, Maturing August 1, 2018
        650       642,078  
 
5


 

                     
    Principal
       
    Amount*
       
Borrower/Tranche Description   (000’s omitted)     Value  
Endo Pharmaceuticals Holdings, Inc.
                   
Term Loan, 4.00%, Maturing June 18, 2018
        624     $ 622,151  
Graceway Pharmaceuticals, LLC
                   
Term Loan, 9.99%, Maturing November 3, 2013(7)
        175       742  
Term Loan - Second Lien, 0.00%, Maturing May 3, 2013(4)
        500       11,875  
Warner Chilcott Corp.
                   
Term Loan, 4.25%, Maturing March 15, 2018
        409       399,137  
Term Loan, 4.25%, Maturing March 15, 2018
        819       798,274  
WC Luxco S.A.R.L.
                   
Term Loan, 4.25%, Maturing March 15, 2018
        563       548,814  
                     
                $ 3,733,701  
                     
Electronics/Electrical — 7.6%
                   
Aeroflex, Inc.
                   
Term Loan, 4.25%, Maturing May 9, 2018
        349     $ 338,069  
Aspect Software, Inc.
                   
Term Loan, 6.25%, Maturing May 6, 2016
        763       759,558  
Attachmate Corp.
                   
Term Loan, 6.50%, Maturing April 27, 2017
        475       458,821  
Cinedigm Digital Funding I, LLC
                   
Term Loan, 5.25%, Maturing April 29, 2016
        290       278,711  
CommScope, Inc.
                   
Term Loan, 5.00%, Maturing January 14, 2018
        1,070       1,049,570  
Dealer Computer Services, Inc.
                   
Term Loan, 3.75%, Maturing April 20, 2018
        1,222       1,197,499  
DG FastChannel, Inc.
                   
Term Loan, 5.75%, Maturing July 26, 2018
        823       818,823  
Eagle Parent, Inc.
                   
Term Loan, 5.00%, Maturing May 16, 2018
        1,322       1,236,604  
Edwards (Cayman Island II), Ltd.
                   
Term Loan, 5.50%, Maturing May 31, 2016
        620       574,564  
FCI International S.A.S.
                   
Term Loan, 3.62%, Maturing November 1, 2013
        83       80,846  
Term Loan, 3.62%, Maturing November 1, 2013
        83       80,846  
Term Loan, 3.62%, Maturing November 1, 2013
        86       83,977  
Term Loan, 3.62%, Maturing November 1, 2013
        86       83,977  
Freescale Semiconductor, Inc.
                   
Term Loan, 4.47%, Maturing December 1, 2016
        1,278       1,174,050  
Infor Enterprise Solutions Holdings
                   
Term Loan, 5.74%, Maturing March 3, 2014
        250       190,000  
Term Loan, 4.99%, Maturing July 28, 2015
        481       431,459  
Term Loan, 5.99%, Maturing July 28, 2015
        372       346,189  
Term Loan, 5.99%, Maturing July 28, 2015
        713       663,886  
Term Loan - Second Lien, 6.49%, Maturing March 3, 2014
        92       72,159  
Term Loan - Second Lien, 6.49%, Maturing March 3, 2014
        158       122,906  
Network Solutions, LLC
                   
Term Loan, 2.49%, Maturing March 7, 2014
        893       888,194  
NXP B.V.
                   
Term Loan, 4.50%, Maturing March 3, 2017
        1,368       1,287,748  
Open Solutions, Inc.
                   
Term Loan, 2.38%, Maturing January 23, 2014
        1,146       952,787  
Sensata Technologies Finance Co., LLC
                   
Term Loan, 4.00%, Maturing May 11, 2018
        1,796       1,752,857  
Serena Software, Inc.
                   
Term Loan, 4.34%, Maturing March 10, 2016
        715       655,757  
Shield Finance Co. S.A.R.L.
                   
Term Loan, 7.75%, Maturing June 15, 2016
        409       400,881  
Ship US Bidco, Inc.
                   
Term Loan, 6.01%, Maturing November 30, 2017
  GBP     500       747,538  
 
6


 

                     
    Principal
       
    Amount*
       
Borrower/Tranche Description   (000’s omitted)     Value  
SkillSoft Corp.
                   
Term Loan, 6.50%, Maturing May 26, 2017
        489     $ 481,244  
SS&C Technologies, Inc.
                   
Term Loan, 2.24%, Maturing November 23, 2012
        460       446,971  
Sunquest Information Systems, Inc.
                   
Term Loan, 6.25%, Maturing December 16, 2016
        374       367,516  
VeriFone, Inc.
                   
Term Loan, 2.99%, Maturing October 31, 2013
        357       356,813  
Vertafore, Inc.
                   
Term Loan, 5.25%, Maturing July 29, 2016
        496       478,882  
                     
                $ 18,859,702  
                     
Equipment Leasing — 0.7%
                   
BakerCorp. International, Inc.
                   
Term Loan, 5.00%, Maturing June 1, 2018
        425     $ 411,365  
Delos Aircraft, Inc.
                   
Term Loan, 7.00%, Maturing March 17, 2016
        425       426,062  
International Lease Finance Corp.
                   
Term Loan, 6.75%, Maturing March 17, 2015
        1,000       1,003,333  
                     
                $ 1,840,760  
                     
Farming/Agriculture — 0.3%
                   
Earthbound Farm Holdings III, LLC
                   
Term Loan, 5.50%, Maturing December 21, 2016
        372     $ 362,883  
WM. Bolthouse Farms, Inc.
                   
Term Loan, 5.50%, Maturing February 11, 2016
        322       316,147  
                     
                $ 679,030  
                     
Financial Intermediaries — 6.2%
                   
AmWINS Group, Inc.
                   
Term Loan - Second Lien, 5.86%, Maturing June 8, 2014
        500     $ 457,187  
CB Richard Ellis Services, Inc.
                   
Term Loan, 3.49%, Maturing March 5, 2018
        346       332,136  
Term Loan, 3.73%, Maturing September 4, 2019
        327       314,263  
Citco III, Ltd.
                   
Term Loan, 6.25%, Maturing June 29, 2018
        848       807,601  
Fifth Third Processing Solutions, LLC
                   
Term Loan, 4.50%, Maturing November 3, 2016
        621       602,133  
First Data Corp.
                   
Term Loan, 2.98%, Maturing September 24, 2014
        245       214,657  
Term Loan, 2.98%, Maturing September 24, 2014
        992       870,418  
Term Loan, 2.98%, Maturing September 24, 2014
        1,000       878,625  
Term Loan, 4.23%, Maturing March 23, 2018
        1,020       842,207  
Grosvenor Capital Management Holdings, LLP
                   
Term Loan, 4.25%, Maturing December 5, 2016
        1,135       1,134,964  
HarbourVest Partners, LLC
                   
Term Loan, 6.25%, Maturing December 14, 2016
        573       570,542  
iPayment, Inc.
                   
Term Loan, 5.75%, Maturing May 8, 2017
        481       467,448  
LPL Holdings, Inc.
                   
Term Loan, 1.99%, Maturing June 28, 2013
        432       426,926  
Term Loan, 4.25%, Maturing June 25, 2015
        1,359       1,350,639  
Term Loan, 5.25%, Maturing June 28, 2017
        1,028       1,029,382  
Mercury Payment Systems Canada, LLC
                   
Term Loan, 6.50%, Maturing July 3, 2017
        324       322,567  
Mondrian Investment Partners, Ltd.
                   
Term Loan, 5.50%, Maturing July 12, 2018
        635       620,490  
Nuveen Investments, Inc.
                   
Term Loan, 3.32%, Maturing November 13, 2014
        1,209       1,114,540  
Term Loan, 5.82%, Maturing May 12, 2017
        1,412       1,315,696  
 
7


 

                     
    Principal
       
    Amount*
       
Borrower/Tranche Description   (000’s omitted)     Value  
RJO Holdings Corp.
                   
Term Loan, 6.23%, Maturing December 10, 2015(3)
        4     $ 3,053  
Term Loan, 6.23%, Maturing December 10, 2015(3)
        118       93,604  
RPI Finance Trust
                   
Term Loan, 4.00%, Maturing May 9, 2018
        1,771       1,757,283  
                     
                $ 15,526,361  
                     
Food Products — 4.7%
                   
Dean Foods Co.
                   
Term Loan, 1.87%, Maturing April 2, 2014
        1,292     $ 1,266,185  
Del Monte Foods Co.
                   
Term Loan, 4.50%, Maturing March 8, 2018
        2,344       2,175,055  
Dole Food Company, Inc.
                   
Term Loan, 5.05%, Maturing July 6, 2018
        489       482,360  
JBS USA Holdings, Inc.
                   
Term Loan, 4.25%, Maturing May 25, 2018
        499       478,800  
Michael Foods Group, Inc.
                   
Term Loan, 4.25%, Maturing February 23, 2018
        336       324,814  
NBTY, Inc.
                   
Term Loan, 4.25%, Maturing October 2, 2017
        1,015       985,259  
Pierre Foods, Inc.
                   
Term Loan, 7.00%, Maturing September 30, 2016
        619       606,375  
Pinnacle Foods Holdings Corp.
                   
Term Loan, 2.72%, Maturing April 2, 2014
        2,922       2,782,827  
Provimi Holding
                   
Term Loan, 2.11%, Maturing June 28, 2015
        120       118,626  
Term Loan, 2.11%, Maturing June 28, 2015
        147       145,984  
Term Loan, 3.23%, Maturing June 28, 2015
  EUR     17       22,141  
Term Loan, 3.23%, Maturing June 28, 2015
  EUR     155       205,563  
Term Loan, 3.23%, Maturing June 28, 2015
  EUR     230       305,174  
Term Loan, 3.23%, Maturing June 28, 2015
  EUR     251       333,974  
Term Loan - Second Lien, 4.49%, Maturing December 28, 2016
        119       117,375  
Term Loan - Second Lien, 5.61%, Maturing December 28, 2016
  EUR     19       25,653  
Term Loan - Second Lien, 5.61%, Maturing December 28, 2016
  EUR     265       351,336  
Solvest, Ltd.
                   
Term Loan, 5.06%, Maturing July 6, 2018
        907       894,602  
                     
                $ 11,622,103  
                     
Food Service — 5.6%
                   
Aramark Corp.
                   
Term Loan, 2.11%, Maturing January 27, 2014
        88     $ 85,816  
Term Loan, 2.24%, Maturing January 27, 2014
        1,081       1,052,496  
Term Loan, 2.95%, Maturing January 27, 2014
  GBP     478       703,660  
Term Loan, 3.49%, Maturing July 26, 2016
        157       152,468  
Term Loan, 3.62%, Maturing July 26, 2016
        2,386       2,318,371  
Buffets, Inc.
                   
Term Loan, 14.00%, Maturing April 21, 2015(7)
        618       355,113  
Term Loan, 9.62%, Maturing April 22, 2015(3)(7)
        67       35,652  
Burger King Corp.
                   
Term Loan, 4.50%, Maturing October 19, 2016
        2,382       2,303,096  
Denny’s, Inc.
                   
Term Loan, 5.25%, Maturing September 30, 2016
        955       953,352  
DineEquity, Inc.
                   
Term Loan, 4.25%, Maturing October 19, 2017
        791       770,107  
Dunkin’ Brands, Inc.
                   
Term Loan, 4.00%, Maturing November 23, 2017
        1,365       1,323,617  
NPC International, Inc.
                   
Term Loan, 2.00%, Maturing May 3, 2013
        141       137,335  
OSI Restaurant Partners, LLC
                   
Term Loan, 2.77%, Maturing June 14, 2013
        236       220,101  
Term Loan, 2.56%, Maturing June 14, 2014
        2,375       2,215,782  
 
8


 

                     
    Principal
       
    Amount*
       
Borrower/Tranche Description   (000’s omitted)     Value  
U.S. Foodservice, Inc.
                   
Term Loan, 2.74%, Maturing July 3, 2014
        1,003     $ 928,093  
Wendy’s/Arby’s Restaurants, LLC
                   
Term Loan, 5.00%, Maturing May 24, 2017
        399       397,873  
                     
                $ 13,952,932  
                     
Food/Drug Retailers — 5.6%
                   
Alliance Boots Holdings, Ltd.
                   
Term Loan, 3.62%, Maturing July 9, 2015
  GBP     1,775     $ 2,418,980  
General Nutrition Centers, Inc.
                   
Term Loan, 4.25%, Maturing March 2, 2018
        2,100       2,037,876  
Pantry, Inc. (The)
                   
Term Loan, 1.99%, Maturing May 15, 2014
        116       113,274  
Term Loan, 1.99%, Maturing May 15, 2014
        402       393,378  
Rite Aid Corp.
                   
Term Loan, 1.98%, Maturing June 4, 2014
        3,907       3,633,105  
Term Loan, 4.50%, Maturing March 2, 2018
        1,069       994,270  
Roundy’s Supermarkets, Inc.
                   
Term Loan, 7.00%, Maturing November 3, 2013
        2,943       2,858,845  
Supervalu, Inc.
                   
Term Loan, 4.50%, Maturing April 28, 2018
        1,642       1,521,012  
                     
                $ 13,970,740  
                     
Health Care — 15.6%
                   
1-800-Contacts, Inc.
                   
Term Loan, 7.70%, Maturing March 4, 2015
        450     $ 445,176  
Alere, Inc.
                   
Term Loan, 4.50%, Maturing June 30, 2017
        1,200       1,161,000  
Alliance Healthcare Services
                   
Term Loan, 7.25%, Maturing June 1, 2016
        534       487,257  
Ardent Medical Services, Inc.
                   
Term Loan, 6.50%, Maturing September 18, 2015
        350       339,500  
Aveta Holdings, LLC
                   
Term Loan, 8.50%, Maturing April 14, 2015
        255       249,999  
Term Loan, 8.50%, Maturing April 14, 2015
        255       249,999  
Biomet, Inc.
                   
Term Loan, 3.31%, Maturing March 25, 2015
        2,934       2,816,964  
Carestream Health, Inc.
                   
Term Loan, 5.00%, Maturing February 25, 2017
        771       648,999  
Carl Zeiss Vision Holding GmbH
                   
Term Loan, 4.00%, Maturing September 30, 2019(7)
        66       56,177  
Catalent Pharma Solutions
                   
Term Loan, 2.49%, Maturing April 10, 2014
        1,272       1,179,003  
Community Health Systems, Inc.
                   
Term Loan, 2.57%, Maturing July 25, 2014
        163       152,775  
Term Loan, 2.57%, Maturing July 25, 2014
        3,169       2,973,308  
Term Loan, 3.82%, Maturing January 25, 2017
        1,590       1,465,836  
ConMed Corp.
                   
Term Loan, 1.74%, Maturing April 12, 2013
        240       234,873  
ConvaTec, Inc.
                   
Term Loan, 5.75%, Maturing December 22, 2016
        347       333,046  
CRC Health Corp.
                   
Term Loan, 4.87%, Maturing November 16, 2015
        496       453,413  
DaVita, Inc.
                   
Term Loan, 4.50%, Maturing October 20, 2016
        1,489       1,471,071  
DJO Finance, LLC
                   
Term Loan, 3.24%, Maturing May 20, 2014
        357       339,168  
Drumm Investors, LLC
                   
Term Loan, 5.00%, Maturing May 4, 2018
        999       891,982  
Emdeon Business Services, LLC
                   
Term Loan, 2.24%, Maturing November 18, 2013
        847       842,495  
 
9


 

                     
    Principal
       
    Amount*
       
Borrower/Tranche Description   (000’s omitted)     Value  
Emergency Medical Services Corp.
                   
Term Loan, 5.25%, Maturing May 25, 2018
        748     $ 713,675  
Grifols, Inc.
                   
Term Loan, 6.00%, Maturing June 1, 2017
        1,047       1,029,570  
Hanger Orthopedic Group, Inc.
                   
Term Loan, 4.00%, Maturing December 1, 2016
        323       312,079  
HCA, Inc.
                   
Term Loan, 3.62%, Maturing March 31, 2017
        2,218       2,094,996  
Term Loan, 3.62%, Maturing May 1, 2018
        925       871,500  
Health Management Associates, Inc.
                   
Term Loan, 2.12%, Maturing February 28, 2014
        2,365       2,232,287  
Iasis Healthcare, LLC
                   
Term Loan, 5.00%, Maturing May 3, 2018
        846       791,833  
Immucor, Inc.
                   
Term Loan, 7.25%, Maturing August 17, 2018
        350       346,063  
inVentiv Health, Inc.
                   
Term Loan, 6.50%, Maturing August 4, 2016
        917       885,026  
Term Loan, 6.75%, Maturing May 15, 2018
        574       549,903  
Kindred Healthcare, Inc.
                   
Term Loan, 5.25%, Maturing June 1, 2018
        923       858,099  
Lifepoint Hospitals, Inc.
                   
Term Loan, 3.08%, Maturing April 15, 2015
        1,086       1,063,912  
MedAssets, Inc.
                   
Term Loan, 5.25%, Maturing November 16, 2016
        434       426,169  
Medpace, Inc.
                   
Term Loan, 6.50%, Maturing June 22, 2017
        424       404,860  
MultiPlan, Inc.
                   
Term Loan, 4.75%, Maturing August 26, 2017
        1,274       1,203,170  
Physiotherapy Associates, Inc.
                   
Term Loan, 7.50%, Maturing June 27, 2013
        341       337,952  
Prime Healthcare Services, Inc.
                   
Term Loan, 7.25%, Maturing April 22, 2015
        1,157       1,111,080  
RadNet Management, Inc.
                   
Term Loan, 5.75%, Maturing April 1, 2016
        1,042       1,005,289  
Renal Advantage Holdings, Inc.
                   
Term Loan, 5.75%, Maturing December 16, 2016
        372       371,490  
Select Medical Corp.
                   
Term Loan, 5.50%, Maturing May 25, 2018
        1,521       1,384,281  
Sunrise Medical Holdings, Inc.
                   
Term Loan, 6.75%, Maturing May 13, 2014
  EUR     120       149,297  
TriZetto Group, Inc. (The)
                   
Term Loan, 4.75%, Maturing May 2, 2018
        748       716,018  
Universal Health Services, Inc.
                   
Term Loan, 4.00%, Maturing November 15, 2016
        1,029       999,955  
Vanguard Health Holding Co., II, LLC
                   
Term Loan, 5.00%, Maturing January 29, 2016
        741       729,562  
VWR Funding, Inc.
                   
Term Loan, 2.74%, Maturing June 30, 2014
        1,476       1,385,069  
                     
                $ 38,765,176  
                     
Home Furnishings — 1.2%
                   
Hunter Fan Co.
                   
Term Loan, 2.73%, Maturing April 16, 2014
        191     $ 175,324  
National Bedding Co., LLC
                   
Term Loan, 3.88%, Maturing November 28, 2013
        954       941,067  
Term Loan - Second Lien, 5.31%, Maturing February 28, 2014
        350       331,187  
Oreck Corp.
                   
Term Loan - Second Lien, 3.85%, Maturing March 19, 2016(3)
        128       114,986  
Sofia III S.A.R.L.
                   
Term Loan, 2.50%, Maturing June 24, 2016
  EUR     387       413,927  
 
10


 

                     
    Principal
       
    Amount*
       
Borrower/Tranche Description   (000’s omitted)     Value  
Yankee Candle Company, Inc. (The)
                   
Term Loan, 2.24%, Maturing February 6, 2014
        1,184     $ 1,138,752  
                     
                $ 3,115,243  
                     
Industrial Equipment — 1.8%
                   
Alliance Laundry Systems, LLC
                   
Term Loan, 6.25%, Maturing September 30, 2016
        446     $ 441,158  
Butterfly Wendel US, Inc.
                   
Term Loan, 3.44%, Maturing June 23, 2014
        418       382,797  
Term Loan, 4.19%, Maturing June 22, 2015
        571       522,303  
Generac CCMP Acquisition Corp.
                   
Term Loan, 2.74%, Maturing November 11, 2013
        471       459,114  
Husky Injection Molding System, Ltd.
                   
Term Loan, Maturing June 30, 2018(8)
        500       486,459  
KION Group GmbH
                   
Term Loan, 3.74%, Maturing December 23, 2014(7)
        253       187,310  
Term Loan, 3.99%, Maturing December 23, 2015(7)
        253       187,310  
Manitowoc Company, Inc. (The)
                   
Term Loan, 4.25%, Maturing November 13, 2017
        349       341,852  
Polypore, Inc.
                   
Term Loan, 2.24%, Maturing July 3, 2014
        1,520       1,470,653  
                     
                $ 4,478,956  
                     
Insurance — 3.3%
                   
Applied Systems, Inc.
                   
Term Loan, 5.50%, Maturing December 8, 2016
        695     $ 679,118  
Asurion Corp.
                   
Term Loan, 5.50%, Maturing May 24, 2018
        2,841       2,693,322  
Term Loan - Second Lien, 9.00%, Maturing May 24, 2019
        550       527,828  
CCC Information Services Group, Inc.
                   
Term Loan, 5.50%, Maturing November 11, 2015
        721       708,751  
CNO Financial Group, Inc.
                   
Term Loan, 6.25%, Maturing September 30, 2016
        521       518,522  
Crawford & Company
                   
Term Loan, 5.00%, Maturing October 30, 2013
        606       601,368  
HUB International Holdings, Inc.
                   
Term Loan, 2.87%, Maturing June 13, 2014
        179       165,897  
Term Loan, 2.87%, Maturing June 13, 2014
        796       738,017  
Term Loan, 6.75%, Maturing June 13, 2014
        270       264,447  
Sedgwick CMS Holdings, Inc.
                   
Term Loan, Maturing December 30, 2016(8)
        500       475,625  
USI Holdings Corp.
                   
Term Loan, 2.74%, Maturing May 5, 2014
        910       863,575  
                     
                $ 8,236,470  
                     
Leisure Goods/Activities/Movies — 7.6%
                   
AMC Entertainment, Inc.
                   
Term Loan, 3.50%, Maturing December 16, 2016
        1,917     $ 1,831,608  
AMC Networks, Inc.
                   
Term Loan, 4.00%, Maturing December 31, 2018
        675       654,188  
Bombardier Recreational Products
                   
Term Loan, 2.75%, Maturing June 28, 2013
        975       932,766  
Bright Horizons Family Solutions, Inc.
                   
Term Loan, 4.24%, Maturing May 28, 2015
        457       441,106  
Carmike Cinemas, Inc.
                   
Term Loan, 5.50%, Maturing January 27, 2016
        994       976,779  
Cedar Fair, L.P.
                   
Term Loan, 4.00%, Maturing December 15, 2017
        1,447       1,427,738  
Cinemark USA, Inc.
                   
Term Loan, 3.51%, Maturing April 29, 2016
        1,901       1,865,966  
 
11


 

                     
    Principal
       
    Amount*
       
Borrower/Tranche Description   (000’s omitted)     Value  
Clubcorp Operations, Inc.
                   
Term Loan, 6.00%, Maturing November 9, 2016
        823     $ 795,829  
Dave & Buster’s, Inc.
                   
Term Loan, 5.50%, Maturing May 12, 2016
        494       482,641  
Deluxe Entertainment Services Group, Inc.
                   
Term Loan, 6.25%, Maturing May 11, 2013
        35       34,902  
Term Loan, 6.25%, Maturing May 11, 2013
        503       495,602  
HIT Entertainment, Inc.
                   
Term Loan, 5.51%, Maturing June 1, 2012
        576       560,599  
Live Nation Entertainment, Inc.
                   
Term Loan, 4.50%, Maturing November 7, 2016
        1,133       1,101,599  
National CineMedia, LLC
                   
Term Loan, 1.84%, Maturing February 13, 2015
        1,441       1,387,929  
Regal Cinemas Corp.
                   
Term Loan, 3.37%, Maturing August 23, 2017
        2,035       1,982,488  
Revolution Studios Distribution Co., LLC
                   
Term Loan, 3.99%, Maturing December 21, 2014
        504       373,038  
Term Loan - Second Lien, 7.24%, Maturing June 21, 2015(3)
        450       138,600  
SeaWorld Parks & Entertainment, Inc.
                   
Term Loan, 4.00%, Maturing August 17, 2017
        838       815,837  
Six Flags Theme Parks, Inc.
                   
Term Loan, 5.25%, Maturing June 30, 2016
        1,607       1,591,915  
Town Sports International, Inc.
                   
Term Loan, 7.00%, Maturing May 4, 2018
        517       500,318  
Zuffa, LLC
                   
Term Loan, 2.25%, Maturing June 19, 2015
        481       453,489  
                     
                $ 18,844,937  
                     
Lodging and Casinos — 3.3%
                   
Ameristar Casinos, Inc.
                   
Term Loan, 4.00%, Maturing April 13, 2018
        522     $ 506,051  
Caesars Entertainment Operating Co.
                   
Term Loan, 3.25%, Maturing January 28, 2015
        2,055       1,730,320  
Term Loan, 9.50%, Maturing October 31, 2016
        983       974,640  
Gala Group, Ltd.
                   
Term Loan, 5.69%, Maturing May 30, 2018
  GBP     825       1,042,529  
Herbst Gaming, Inc.
                   
Term Loan, 10.00%, Maturing December 31, 2015
        409       411,387  
Isle of Capri Casinos, Inc.
                   
Term Loan, 4.75%, Maturing November 1, 2013
        473       464,945  
Las Vegas Sands, LLC
                   
Term Loan, 2.74%, Maturing November 23, 2016
        292       273,532  
Term Loan, 2.74%, Maturing November 23, 2016
        1,157       1,083,585  
LodgeNet Entertainment Corp.
                   
Term Loan, 6.50%, Maturing April 4, 2014
        591       510,882  
Penn National Gaming, Inc.
                   
Term Loan, 3.75%, Maturing July 16, 2018
        574       569,022  
Tropicana Entertainment, Inc.
                   
Term Loan, 15.00%, Maturing March 8, 2013
        130       142,736  
VML US Finance, LLC
                   
Term Loan, 4.74%, Maturing May 25, 2012
        195       194,520  
Term Loan, 4.74%, Maturing May 27, 2013
        390       389,040  
                     
                $ 8,293,189  
                     
Nonferrous Metals/Minerals — 1.5%
                   
Fairmount Minerals, Ltd.
                   
Term Loan, 5.25%, Maturing March 15, 2017
        1,883     $ 1,857,356  
Noranda Aluminum Acquisition
                   
Term Loan, 1.99%, Maturing May 16, 2014
        44       42,989  
Novelis, Inc.
                   
Term Loan, 3.75%, Maturing March 10, 2017
        1,365       1,337,394  
 
12


 

                     
    Principal
       
    Amount*
       
Borrower/Tranche Description   (000’s omitted)     Value  
Oxbow Carbon and Mineral Holdings
                   
Term Loan, 3.86%, Maturing May 8, 2016
        519     $ 500,353  
                     
                $ 3,738,092  
                     
Oil and Gas — 2.8%
                   
Big West Oil, LLC
                   
Term Loan, 7.00%, Maturing March 31, 2016
        237     $ 236,250  
CITGO Petroleum Corp.
                   
Term Loan, 8.00%, Maturing June 24, 2015
        101       101,613  
Term Loan, 9.00%, Maturing June 23, 2017
        1,259       1,292,113  
Frac Tech International, LLC
                   
Term Loan, 6.25%, Maturing May 6, 2016
        1,058       1,041,619  
Gibson Energy
                   
Term Loan, 5.75%, Maturing June 14, 2018
        1,047       1,022,500  
MEG Energy Corp.
                   
Term Loan, 4.00%, Maturing March 16, 2018
        625       613,438  
Obsidian Natural Gas Trust
                   
Term Loan, 7.00%, Maturing November 2, 2015
        1,940       1,949,507  
Sheridan Production Partners I, LLC
                   
Term Loan, 6.50%, Maturing April 20, 2017
        52       51,410  
Term Loan, 6.50%, Maturing April 20, 2017
        86       84,168  
Term Loan, 6.50%, Maturing April 20, 2017
        648       635,193  
                     
                $ 7,027,811  
                     
Publishing — 5.7%
                   
Ascend Learning
                   
Term Loan, 7.01%, Maturing December 6, 2016
        546     $ 527,225  
Aster Zweite Beteiligungs GmbH
                   
Term Loan, 4.80%, Maturing December 31, 2014
        618       547,522  
Term Loan, 4.80%, Maturing December 30, 2016
        500       442,916  
Term Loan, 4.80%, Maturing December 30, 2016
        605       536,039  
Term Loan, 6.00%, Maturing December 30, 2016
  EUR     236       281,283  
Term Loan, 6.00%, Maturing December 30, 2016
  EUR     264       314,236  
GateHouse Media Operating, Inc.
                   
Term Loan, 2.24%, Maturing August 28, 2014(3)
        321       85,133  
Term Loan, 2.24%, Maturing August 28, 2014(3)
        717       189,912  
Term Loan, 2.49%, Maturing August 28, 2014(3)
        346       91,682  
Getty Images, Inc.
                   
Term Loan, 5.25%, Maturing November 7, 2016
        1,471       1,465,517  
Instant Web, Inc.
                   
Term Loan, 3.61%, Maturing August 7, 2014
        84       76,715  
Term Loan, 3.61%, Maturing August 7, 2014
        809       735,937  
Interactive Data Corp.
                   
Term Loan, 4.50%, Maturing February 12, 2018
        1,141       1,100,721  
Laureate Education, Inc.
                   
Term Loan, 5.25%, Maturing August 15, 2018
        2,339       2,121,050  
MediaNews Group, Inc.
                   
Term Loan, 8.50%, Maturing March 19, 2014
        60       59,155  
Merrill Communications, LLC
                   
Term Loan, 7.50%, Maturing December 24, 2012
        645       612,654  
Nelson Education, Ltd.
                   
Term Loan, 2.91%, Maturing July 3, 2014
        231       181,993  
Nielsen Finance, LLC
                   
Term Loan, 2.23%, Maturing August 9, 2013
        2,062       2,006,591  
Term Loan, 3.48%, Maturing May 2, 2016
        995       965,113  
Term Loan, 3.98%, Maturing May 2, 2016
        978       948,272  
SGS International, Inc.
                   
Term Loan, 3.74%, Maturing September 30, 2013
        261       258,545  
 
13


 

                     
    Principal
       
    Amount*
       
Borrower/Tranche Description   (000’s omitted)     Value  
Trader Media Corp., Ltd.
                   
Term Loan, 5.68%, Maturing December 1, 2017
  GBP     500     $ 676,390  
                     
                $ 14,224,601  
                     
Radio and Television — 3.6%
                   
Block Communications, Inc.
                   
Term Loan, 2.24%, Maturing December 21, 2012
        424     $ 419,884  
Clear Channel Communication
                   
Term Loan, Maturing January 28, 2016(8)
        1,000       714,625  
Cumulus Media, Inc.
                   
Term Loan, 5.75%, Maturing September 17, 2018
        2,625       2,483,906  
Foxco Acquisition Sub, LLC
                   
Term Loan, 4.75%, Maturing July 14, 2015
        296       282,059  
Gray Television, Inc.
                   
Term Loan, 3.73%, Maturing December 31, 2014
        348       332,685  
Miramax Film NY, LLC
                   
Term Loan, 7.75%, Maturing May 20, 2016
        419       419,493  
Mission Broadcasting, Inc.
                   
Term Loan, 5.00%, Maturing September 30, 2016
        260       255,410  
Nexstar Broadcasting, Inc.
                   
Term Loan, 5.00%, Maturing September 30, 2016
        407       399,494  
Raycom TV Broadcasting, LLC
                   
Term Loan, 4.50%, Maturing May 31, 2017
        449       426,431  
Tyrol Acquisition 2 SAS
                   
Term Loan, 5.36%, Maturing January 29, 2016
  EUR     500       532,550  
Term Loan, 5.36%, Maturing January 29, 2016
  EUR     500       532,551  
Univision Communications, Inc.
                   
Term Loan, 2.24%, Maturing September 29, 2014
        743       671,509  
Term Loan, 4.49%, Maturing March 31, 2017
        1,743       1,485,202  
                     
                $ 8,955,799  
                     
Retailers (Except Food and Drug) — 5.4%
                   
Amscan Holdings, Inc.
                   
Term Loan, 6.75%, Maturing December 4, 2017
        1,767     $ 1,733,563  
BJ’s Wholesale Club, Inc.
                   
Term Loan, Maturing September 27, 2018(8)
        975       944,009  
FTD, Inc.
                   
Term Loan, 4.75%, Maturing June 6, 2018
        648       635,408  
Harbor Freight Tools USA, Inc.
                   
Term Loan, 6.50%, Maturing December 22, 2017
        911       901,213  
J. Crew Operating Corp.
                   
Term Loan, 4.75%, Maturing March 7, 2018
        873       781,167  
Jo-Ann Stores, Inc.
                   
Term Loan, 4.75%, Maturing March 16, 2018
        1,423       1,326,656  
Michaels Stores, Inc.
                   
Term Loan, 2.55%, Maturing October 31, 2013
        1,574       1,509,099  
Neiman Marcus Group, Inc.
                   
Term Loan, 4.75%, Maturing May 16, 2018
        1,550       1,440,854  
PETCO Animal Supplies, Inc.
                   
Term Loan, 4.50%, Maturing November 24, 2017
        619       587,168  
Pilot Travel Centers, LLC
                   
Term Loan, 4.25%, Maturing March 30, 2018
        902       893,232  
Savers, Inc.
                   
Term Loan, 4.25%, Maturing March 3, 2017
        622       614,102  
Service Master Co.
                   
Term Loan, 2.74%, Maturing July 24, 2014
        45       42,081  
Term Loan, 2.74%, Maturing July 24, 2014
        450       422,566  
Visant Holding Corp.
                   
Term Loan, 5.25%, Maturing December 22, 2016
        695       639,170  
 
14


 

                     
    Principal
       
    Amount*
       
Borrower/Tranche Description   (000’s omitted)     Value  
Vivarte
                   
Term Loan - Second Lien, 4.84%, Maturing September 8, 2016
  EUR     13     $ 11,555  
Term Loan - Second Lien, 4.84%, Maturing September 8, 2016
  EUR     88       80,887  
Term Loan - Second Lien, 4.84%, Maturing September 8, 2016
  EUR     900       831,985  
                     
                $ 13,394,715  
                     
Steel — 0.5%
                   
JMC Steel Group, Inc.
                   
Term Loan, 4.75%, Maturing April 3, 2017
        348     $ 337,585  
Niagara Corp.
                   
Term Loan, 10.50%, Maturing June 29, 2014(3)(7)
        368       345,222  
SunCoke Energy, Inc.
                   
Term Loan, 4.00%, Maturing July 26, 2018
        499       495,009  
                     
                $ 1,177,816  
                     
Surface Transport — 1.1%
                   
Hertz Corp.
                   
Term Loan, 3.75%, Maturing March 9, 2018
        1,791     $ 1,703,316  
Swift Transportation Co., Inc.
                   
Term Loan, 6.00%, Maturing December 21, 2016
        1,048       1,021,715  
                     
                $ 2,725,031  
                     
Telecommunications — 6.0%
                   
Alaska Communications Systems Holdings, Inc.
                   
Term Loan, 5.50%, Maturing October 21, 2016
        918     $ 883,061  
Cellular South, Inc.
                   
Term Loan, 4.50%, Maturing July 27, 2017
        424       413,339  
Intelsat Jackson Holdings SA
                   
Term Loan, 5.25%, Maturing April 2, 2018
        5,187       5,006,534  
Macquarie UK Broadcast, Ltd.
                   
Term Loan, 2.94%, Maturing December 1, 2014
  GBP     414       529,352  
MetroPCS Wireless
                   
Term Loan, 4.00%, Maturing March 16, 2018
        3,057       2,944,969  
NTelos, Inc.
                   
Term Loan, 4.00%, Maturing August 7, 2015
        1,474       1,438,111  
SBA Finance
                   
Term Loan, 3.75%, Maturing June 29, 2018
        474       464,928  
Syniverse Technologies, Inc.
                   
Term Loan, 5.25%, Maturing December 21, 2017
        744       735,381  
Telesat Canada, Inc.
                   
Term Loan, 3.24%, Maturing October 31, 2014
        151       146,605  
Term Loan, 3.24%, Maturing October 31, 2014
        1,754       1,706,737  
Windstream Corp.
                   
Term Loan, 3.00%, Maturing December 17, 2015
        624       618,560  
                     
                $ 14,887,577  
                     
Utilities — 3.6%
                   
AES Corp.
                   
Term Loan, 4.25%, Maturing June 1, 2018
        1,294     $ 1,267,227  
Calpine Corp.
                   
Term Loan, 4.50%, Maturing April 2, 2018
        474       449,648  
Term Loan, 4.50%, Maturing April 2, 2018
        2,413       2,288,009  
Dynegy Holdings, Inc.
                   
Term Loan, 9.25%, Maturing August 4, 2016
        250       243,958  
Term Loan, 9.25%, Maturing August 4, 2016
        475       468,988  
EquiPower Resources Holdings, LLC
                   
Term Loan, 5.75%, Maturing January 26, 2018
        265       259,374  
NRG Energy, Inc.
                   
Term Loan, 4.00%, Maturing July 2, 2018
        2,244       2,195,279  
 
15


 

                     
    Principal
       
    Amount*
       
Borrower/Tranche Description   (000’s omitted)     Value  
Texas Competitive Electric Holdings Co., LLC
                   
Term Loan, 4.75%, Maturing October 10, 2017
        2,601     $ 1,751,578  
                     
                $ 8,924,061  
                     
                     
Total Senior Floating-Rate Interests
(identified cost $359,419,540)
              $ 343,675,071  
                     
 
Corporate Bonds & Notes — 8.2%
 
                     
    Principal
       
    Amount*
       
Security   (000’s omitted)     Value  
Automotive — 0.0%(2)
                   
American Axle & Manufacturing Holdings, Inc., Sr. Notes
                   
9.25%, 1/15/17(9)
        77     $ 80,465  
                     
                $ 80,465  
                     
Broadcast Radio and Television — 0.6%
                   
Entravision Communications Corp., Sr. Notes
                   
8.75%, 8/1/17(9)
        1,000     $ 942,500  
LBI Media, Inc., Sr. Disc. Notes
                   
11.00%, 10/15/13
        15       13,425  
XM Satellite Radio Holdings, Inc.
                   
13.00%, 8/1/14(9)
        485       545,625  
                     
                $ 1,501,550  
                     
Building and Development — 0.3%
                   
AMO Escrow Corp., Sr. Notes
                   
11.50%, 12/15/17(9)
        925     $ 841,750  
                     
                $ 841,750  
                     
Business Equipment and Services — 0.4%
                   
SunGard Data Systems, Inc., Sr. Notes
                   
10.625%, 5/15/15
        900     $ 942,750  
Ticketmaster Entertainment, Inc.
                   
10.75%, 8/1/16
        20       21,100  
                     
                $ 963,850  
                     
Chemicals and Plastics — 0.1%
                   
INEOS Group Holdings PLC, Sr. Sub. Notes
                   
8.50%, 2/15/16(9)
        180     $ 134,100  
                     
                $ 134,100  
                     
Conglomerates — 0.1%
                   
Education Management, LLC, Sr. Notes
                   
8.75%, 6/1/14
        210     $ 205,800  
RBS Global & Rexnord Corp.
                   
11.75%, 8/1/16
        90       92,250  
                     
                $ 298,050  
                     
Containers and Glass Products — 0.2%
                   
Berry Plastics Corp., Sr. Notes, Variable Rate
                   
4.999%, 2/15/15
        500     $ 465,000  
                     
                $ 465,000  
                     
Cosmetics/Toiletries — 0.1%
                   
Revlon Consumer Products Corp.
                   
9.75%, 11/15/15(9)
        165     $ 173,663  
                     
                $ 173,663  
                     
 
16


 

                     
    Principal
       
    Amount*
       
Security   (000’s omitted)     Value  
Electronics/Electrical — 0.1%
                   
NXP BV/NXP Funding, LLC, Variable Rate
                   
2.999%, 10/15/13
        370     $ 359,362  
                     
                $ 359,362  
                     
Equipment Leasing — 0.5%
                   
International Lease Finance Corp., Sr. Notes, MTN
                   
5.65%, 6/1/14
        1,000     $ 932,500  
6.75%, 9/1/16(9)
        175       176,313  
7.125%, 9/1/18(9)
        175       176,531  
                     
                $ 1,285,344  
                     
Financial Intermediaries — 0.7%
                   
First Data Corp., Sr. Notes
                   
7.375%, 6/15/19(9)
        500     $ 446,250  
Ford Motor Credit Co., LLC, Sr. Notes
                   
8.00%, 12/15/16
        125       136,801  
UPCB Finance II, Ltd., Sr. Notes
                   
6.375%, 7/1/20(9)
  EUR     500       579,442  
UPCB Finance III, Ltd., Sr. Notes
                   
6.625%, 7/1/20(9)
        600       567,000  
                     
                $ 1,729,493  
                     
Food Service — 0.1%
                   
NPC International, Inc., Sr. Sub. Notes
                   
9.50%, 5/1/14
        135     $ 133,313  
                     
                $ 133,313  
                     
Forest Products — 0.0%(2)
                   
Verso Paper Holdings, LLC/Verso Paper, Inc.
                   
11.375%, 8/1/16
        80     $ 58,400  
                     
                $ 58,400  
                     
Health Care — 0.1%
                   
Biomet, Inc.
                   
10.375%, 10/15/17(7)
        55     $ 56,650  
11.625%, 10/15/17
        280       291,900  
DJO Finance, LLC/DJO Finance Corp.
                   
10.875%, 11/15/14
        7       7,000  
                     
                $ 355,550  
                     
Industrial Equipment — 0.5%
                   
Chart Industries, Inc., Sr. Sub. Notes
                   
9.125%, 10/15/15
        105     $ 108,194  
Terex Corp., Sr. Notes
                   
10.875%, 6/1/16
        1,000       1,065,000  
                     
                $ 1,173,194  
                     
Insurance — 0.1%
                   
Alliant Holdings I, Inc.
                   
11.00%, 5/1/15(9)
        25     $ 25,563  
HUB International Holdings, Inc., Sr. Notes
                   
9.00%, 12/15/14(9)
        70       67,550  
USI Holdings Corp., Sr. Notes, Variable Rate
                   
4.161%, 11/15/14(9)
        35       30,625  
                     
                $ 123,738  
                     
 
17


 

                     
    Principal
       
    Amount*
       
Security   (000’s omitted)     Value  
Leisure Goods/Activities/Movies — 0.1%
                   
AMC Entertainment, Inc., Sr. Notes
                   
8.75%, 6/1/19
        60     $ 59,250  
Royal Caribbean Cruises, Sr. Notes
                   
7.00%, 6/15/13
        50       51,125  
6.875%, 12/1/13
        20       20,250  
7.25%, 6/15/16
        10       10,175  
7.25%, 3/15/18
        20       20,300  
                     
                $ 161,100  
                     
Lodging and Casinos — 0.7%
                   
Buffalo Thunder Development Authority
                   
9.375%, 12/15/49(4)(9)
        265     $ 97,388  
CCM Merger, Inc.
                   
8.00%, 8/1/13(9)
        30       28,500  
Inn of the Mountain Gods Resort & Casino, Sr. Notes
                   
1.25%, 11/30/20(7)(9)
        173       95,952  
8.75%, 11/30/20(9)
        74       71,410  
Mohegan Tribal Gaming Authority, Sr. Sub. Notes
                   
8.00%, 4/1/12
        85       56,525  
7.125%, 8/15/14
        120       60,600  
6.875%, 2/15/15
        115       55,775  
Peninsula Gaming, LLC
                   
10.75%, 8/15/17
        1,000       970,000  
Tunica-Biloxi Gaming Authority, Sr. Notes
                   
9.00%, 11/15/15(9)
        165       165,928  
Waterford Gaming, LLC, Sr. Notes
                   
8.625%, 9/15/14(3)(9)
        112       72,128  
                     
                $ 1,674,206  
                     
Nonferrous Metals/Minerals — 0.1%
                   
Cloud Peak Energy Resources, LLC/Cloud Peak Energy Finance Corp.
                   
8.50%, 12/15/19
        330     $ 344,850  
                     
                $ 344,850  
                     
Oil and Gas — 0.1%
                   
Petroleum Development Corp., Sr. Notes
                   
12.00%, 2/15/18
        65     $ 69,875  
Petroplus Finance, Ltd.
                   
7.00%, 5/1/17(9)
        85       69,275  
Quicksilver Resources, Inc., Sr. Notes
                   
11.75%, 1/1/16
        65       70,525  
SESI, LLC, Sr. Notes
                   
6.875%, 6/1/14
        30       30,225  
                     
                $ 239,900  
                     
Publishing — 0.7%
                   
Laureate Education, Inc.
                   
10.00%, 8/15/15(9)
        1,045     $ 1,029,325  
10.25%, 8/15/15(7)(9)
        626       619,626  
11.75%, 8/15/17(9)
        45       46,350  
                     
                $ 1,695,301  
                     
Rail Industries — 0.0%(2)
                   
American Railcar Industry, Sr. Notes
                   
7.50%, 3/1/14
        100     $ 98,500  
                     
                $ 98,500  
                     
 
18


 

                     
    Principal
       
    Amount*
       
Security   (000’s omitted)     Value  
Retailers (Except Food and Drug) — 0.9%
                   
Amscan Holdings, Inc., Sr. Sub. Notes
                   
8.75%, 5/1/14
        220     $ 217,250  
Sally Holdings, LLC, Sr. Notes
                   
9.25%, 11/15/14
        665       681,625  
10.50%, 11/15/16
        235       243,812  
Toys ‘‘R” Us
                   
10.75%, 7/15/17
        1,000       1,062,500  
                     
                $ 2,205,187  
                     
Steel — 0.0%(2)
                   
RathGibson, Inc., Sr. Notes
                   
11.25%, 2/15/14(3)(4)
        240     $ 24  
                     
                $ 24  
                     
Surface Transport — 0.0%(2)
                   
CEVA Group PLC, Sr. Notes
                   
11.50%, 4/1/18(9)
        95     $ 87,875  
Hertz Corp.
                   
8.875%, 1/1/14
        2       2,010  
                     
                $ 89,885  
                     
Telecommunications — 0.1%
                   
Intelsat Bermuda, Ltd.
                   
11.25%, 6/15/16
        205     $ 209,612  
                     
                $ 209,612  
                     
Utilities — 1.6%
                   
Calpine Corp., Sr. Notes
                   
7.50%, 2/15/21(9)
        2,375     $ 2,280,000  
7.875%, 1/15/23(9)
        1,700       1,649,000  
NGC Corp.
                   
7.625%, 10/15/26
        205       115,825  
Reliant Energy, Inc., Sr. Notes
                   
7.625%, 6/15/14
        10       9,825  
                     
                $ 4,054,650  
                     
                     
Total Corporate Bonds & Notes
(identified cost $21,367,689)
              $ 20,450,037  
                     
 
Asset-Backed Securities — 1.3%
 
                     
    Principal
       
    Amount
       
Security   (000’s omitted)     Value  
Alzette European CLO SA, Series 2004-1A, Class E2, 6.847%, 12/15/20(10)
  $     266     $ 211,931  
Avalon Capital Ltd. 3, Series 1A, Class D, 2.258%, 2/24/19(9)(10)
        295       200,112  
Babson Ltd., Series 2005-1A, Class C1, 2.199%, 4/15/19(9)(10)
        376       226,732  
Bryant Park CDO Ltd., Series 2005-1A, Class C, 2.299%, 1/15/19(9)(10)
        500       392,500  
Carlyle High Yield Partners, Series 2004-6A, Class C, 2.728%, 8/11/16(9)(10)
        500       351,961  
Centurion CDO 8 Ltd., Series 2005-8A, Class D, 5.836%, 3/8/17(10)
        492       323,587  
Centurion CDO 9 Ltd., Series 2005-9A, Class D1, 5.00%, 7/17/19(10)
        500       314,243  
Madison Park Funding Ltd., Series 2006-2A, Class D, 5.108%, 3/25/20(9)(10)
        1,000       685,599  
Schiller Park CLO Ltd., Series 2007-1A, Class D, 2.503%, 4/25/21(9)(10)
        1,000       616,658  
                     
                     
Total Asset-Backed Securities
(identified cost $4,900,279)
              $ 3,323,323  
                     
 
19


 

Common Stocks — 1.9%
 
                     
Security   Shares     Value  
Automotive — 0.3%
                   
Dayco Products, LLC(11)(12)
        10,159     $ 429,218  
Hayes Lemmerz International, Inc.(3)(11)(12)
        8,949       456,399  
                     
                $ 885,617  
                     
Building and Development — 0.1%
                   
Panolam Holdings Co.(3)(11)(13)
        131     $ 111,879  
United Subcontractors, Inc.(3)(11)(12)
        277       21,257  
                     
                $ 133,136  
                     
Diversified Manufacturing — 0.0%(2)
                   
MEGA Brands, Inc.(11)
        8,320     $ 68,527  
                     
                $ 68,527  
                     
Financial Intermediaries — 0.0%(2)
                   
RTS Investor Corp.(3)(11)(12)
        41     $ 9,042  
                     
                $ 9,042  
                     
Food Service — 0.0%
                   
Buffets, Inc.(3)(11)
        12,234     $ 0  
                     
                $ 0  
                     
Home Furnishings — 0.1%
                   
Oreck Corp.(3)(11)(12)
        2,275     $ 155,997  
Sanitec Europe Oy B Units(11)(12)
        26,249       140,668  
Sanitec Europe Oy E Units(3)(11)(12)
        25,787       0  
                     
                $ 296,665  
                     
Leisure Goods/Activities/Movies — 0.2%
                   
Metro-Goldwyn-Mayer Holdings, Inc.(11)(12)
        22,424     $ 409,238  
                     
                $ 409,238  
                     
Lodging and Casinos — 0.2%
                   
Greektown Superholdings, Inc.(11)
        45     $ 3,105  
Herbst Gaming, Inc.(3)(11)(12)
        23,498       119,606  
Shreveport Gaming Holdings, Inc.(3)(11)
        289       84  
Tropicana Entertainment, Inc.(11)(12)
        25,430       356,020  
                     
                $ 478,815  
                     
Nonferrous Metals/Minerals — 0.1%
                   
Euramax International, Inc.(11)(12)
        468     $ 137,328  
                     
                $ 137,328  
                     
Oil and Gas — 0.0%(2)
                   
SemGroup Corp.(11)
        750     $ 14,970  
                     
                $ 14,970  
                     
Publishing — 0.7%
                   
Ion Media Networks, Inc.(3)(11)(12)
        2,155     $ 1,724,000  
MediaNews Group, Inc.(3)(11)(12)
        5,771       109,364  
SuperMedia, Inc.(11)
        3,353       5,197  
                     
                $ 1,838,561  
                     
Steel — 0.2%
                   
KNIA Holdings, Inc.(3)(11)(12)
        6,269     $ 84,441  
RathGibson Acquisition Co., LLC(3)(11)(13)
        10,700       317,362  
                     
                $ 401,803  
                     
                     
Total Common Stocks
(identified cost $2,586,803)
              $ 4,673,702  
                     
 
20


 

Warrants — 0.0%(2)
 
                     
Security   Shares     Value  
Oil and Gas — 0.0%(2)
                   
SemGroup Corp., Expires 11/30/14(11)
        789     $ 3,235  
                     
                $ 3,235  
                     
Publishing — 0.0%
                   
Reader’s Digest Association, Inc. (The), Expires 2/14/19(3)(11)(12)
        781     $ 0  
                     
                $ 0  
                     
Retailers (Except Food and Drug) — 0.0%
                   
Oriental Trading Co., Inc., Expires 2/11/16(3)(11)(12)
        3,817     $ 0  
Oriental Trading Co., Inc., Expires 2/11/16(3)(11)(12)
        4,188       0  
                     
                $ 0  
                     
                     
Total Warrants
(identified cost $8)
              $ 3,235  
                     
 
Miscellaneous — 0.0%(2)
 
                     
Security   Shares     Value  
Business Equipment and Services — 0.0%(2)
                   
NCS Acquisition Corp., Escrow Certificate(11)
        20,000     $ 1,379  
                     
                $ 1,379  
                     
Cable and Satellite Television — 0.0%(2)
                   
Adelphia Recovery Trust(11)
        261,268     $ 1,568  
Adelphia, Inc., Escrow Certificate(11)
        270,000       769  
                     
                $ 2,337  
                     
                     
Total Miscellaneous
(identified cost $251,158)
              $ 3,716  
                     
 
Short-Term Investments — 9.1%
 
                     
    Interest/
       
    Principal
       
    Amount
       
Description   (000’s omitted)     Value  
Eaton Vance Cash Reserves Fund, LLC, 0.08%(14)
  $     16,426     $ 16,426,445  
State Street Bank and Trust Euro Time Deposit, 0.01%, 10/3/11
        6,313       6,312,863  
                     
                     
Total Short-Term Investments
(identified cost $22,739,308)
              $ 22,739,308  
                     
                     
Total Investments — 158.5%
(identified cost $411,264,785)
              $ 394,868,392  
                     
                     
Less Unfunded Loan Commitments — (0.0)%(2)
              $ (61,125 )
                     
                     
Net Investments — 158.5%
(identified cost $411,203,660)
              $ 394,807,267  
                     
                     
Other Assets, Less Liabilities — (14.3)%
              $ (35,697,687 )
                     
                     
Auction Preferred Shares Plus Cumulative Unpaid Dividends — (44.2)%
              $ (110,000,453 )
                     
                     
Net Assets Applicable to Common Shares — 100.0%
              $ 249,109,127  
                     
 
21


 

The percentage shown for each investment category in the Portfolio of Investments is based on net assets applicable to common shares.
 
             
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 lending 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)
      Amount is less than 0.05%.
         
(3)
      Security valued at fair value using methods determined in good faith by or at the direction of the Trustees.
         
(4)
      Currently the issuer is in default with respect to interest payments. For a variable rate security, interest rate has been adjusted to reflect non-accrual status.
         
(5)
      Defaulted matured security. For a variable rate security, interest rate has been adjusted to reflect non-accrual status.
         
(6)
      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.
         
(7)
      Represents a payment-in-kind security which may pay all or a portion of interest/dividends in additional par/shares.
         
(8)
      This Senior Loan will settle after September 30, 2011, at which time the interest rate will be determined.
         
(9)
      Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At September 30, 2011, the aggregate value of these securities is $13,573,696 or 5.4% of the Trust’s net assets applicable to common shares.
         
(10)
      Variable rate security. The stated interest rate represents the rate in effect at September 30, 2011.
         
(11)
      Non-income producing security.
         
(12)
      Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale.
         
(13)
      Restricted security.
         
(14)
      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 September 30, 2011. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended September 30, 2011 was $3,179.
 
A summary of open financial instruments at September 30, 2011 is as follows:
 
Forward Foreign Currency Exchange Contracts
 
Sales
 
                     
                Net Unrealized
 
Settlement
              Appreciation
 
Date
  Deliver   In Exchange For   Counterparty   (Depreciation)  
10/31/11
  Euro
4,967,245
  United States Dollar
7,114,958
  Deutsche Bank   $ 461,433  
10/31/11
  British Pound Sterling
719,468
  United States Dollar
1,174,903
  JPMorgan Chase Bank     53,264  
11/30/11
  Euro
4,661,478
  United States Dollar
6,743,434
  Citigroup Global Markets     500,173  
11/30/11
  British Pound Sterling
2,968,552
  United States Dollar
4,846,088
  JPMorgan Chase Bank     219,470  
12/30/11
  Euro
799,599
  United States Dollar
1,083,345
  HSBC Bank USA     12,434  
12/30/11
  British Pound Sterling
341,502
  United States Dollar
531,836
  Goldman Sachs, Inc.     (256 )
                     
                $ 1,246,518  
                     
 
At September 30, 2011, 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 objective. 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 enters into forward foreign currency exchange contracts. The Trust also enters into such contracts to hedge the currency risk of investments it anticipates purchasing.
 
At September 30, 2011, the aggregate fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in an asset position and in a liability position and whose primary underlying risk exposure is interest rate risk was $1,246,774 and $256, respectively.
 
22


 

The cost and unrealized appreciation (depreciation) of investments of the Trust at September 30, 2011, as determined on a federal income tax basis, were as follows:
 
         
Aggregate cost
  $ 411,227,724  
         
Gross unrealized appreciation
  $ 3,663,843  
Gross unrealized depreciation
    (20,084,300 )
         
Net unrealized depreciation
  $ (16,420,457 )
         
 
Restricted Securities
 
At September 30, 2011, the Trust owned the following securities (representing 0.2% 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
                               
Panolam Holdings Co. 
    12/30/09       131     $ 71,985     $ 111,879  
RathGibson Acquisition Co., LLC
    6/14/10       10,700       56,785       317,362  
                                 
Total Restricted Securities
                  $ 128,770     $ 429,241  
                                 
 
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is 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)
 
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
 
At September 30, 2011, the hierarchy of inputs used in valuing the Trust’s investments and open derivative instruments, which are carried at value, were as follows:
 
                                 
Asset Description   Level 1     Level 2     Level 3     Total  
   
Senior Floating-Rate Interests (Less Unfunded Loan Commitments)
  $     $ 342,493,240     $ 1,120,706     $ 343,613,946  
Corporate Bonds & Notes
          20,377,885       72,152       20,450,037  
Asset-Backed Securities
          3,323,323             3,323,323  
Common Stocks
    88,694       1,046,359       3,538,649       4,673,702  
Warrants
          3,235       0       3,235  
Miscellaneous
          3,716             3,716  
Short-Term Investments
          22,739,308             22,739,308  
 
 
Total Investments
  $ 88,694     $ 389,987,066     $ 4,731,507     $ 394,807,267  
 
 
Forward Foreign Currency Exchange Contracts
  $     $ 1,246,774     $     $ 1,246,774  
 
 
Total
  $ 88,694     $ 391,233,840     $ 4,731,507     $ 396,054,041  
 
 
                                 
Liability Description                        
   
Forward Foreign Currency Exchange Contracts
  $     $ (256 )   $     $ (256 )
 
 
Total
  $     $ (256 )   $     $ (256 )
 
 
 
23


 

 
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
 
                                 
    Investments
          Investments in
       
    in Senior
    Investments in
    Common Stocks,
       
    Floating-Rate
    Corporate
    Warrants and
       
    Interests     Bonds & Notes     Miscellaneous     Total  
Balance as of June 30, 2011
  $ 810,063     $ 185,452     $ 3,601,369     $ 4,596,884  
Realized gains (losses)
    (406,380 )     114,171       (52,007 )     (344,216 )
Change in net unrealized appreciation (depreciation)
    302,101       (24,941 )     (147,156 )     130,004  
                                 
Cost of purchases
    2,149       4,838             6,987  
Proceeds from sales
    (135,344 )     (207,658 )     (778 )     (343,780 )
Accrued discount (premium)
    1,362       290             1,652  
Transfers to Level 3*
    546,755             575,888       1,122,643  
Transfers from Level 3*
                (438,667 )     (438,667 )
                                 
Balance as of September 30, 2011
  $ 1,120,706     $ 72,152     $ 3,538,649     $ 4,731,507  
                                 
                                 
Change in net unrealized appreciation (depreciation) on investments still held as of September 30, 2011
  $ (139,404 )   $ 682     $ (199,942 )   $ (338,664 )
                                 
 
* Transfers are reflected at the value of the securities at the beginning of the period. Transfers from Level 2 to Level 3 were due to a reduction in the availability of significant observable inputs in determining the fair value of these investments. Transfers from Level 3 to Level 2 were due to increased market trading activity resulting in the availability of significant observable inputs in determining the fair value of these investments.
 
At September 30, 2011, the value of investments transferred between Level 1 and Level 2, if any, during the fiscal year to date then ended was not significant.
 
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.
 
24


 

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.

 


 

Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Eaton Vance Senior Income Trust
         
By:
  /s/ Scott H. Page    
 
 
 
Scott H. Page
   
 
  President    
 
       
Date:
  November 23, 2011    
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:
  November 23, 2011    
 
       
By:
  /s/ Barbara E. Campbell    
 
 
 
Barbara E. Campbell
   
 
  Treasurer    
 
       
Date:
  November 23, 2011