Eaton Vance Senior Floating Rate Trust
 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-21411
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)
October 31
Date of Fiscal Year End
April 30, 2012
Date of Reporting Period
 
 

 


 

Item 1. Reports to Stockholders

 


 

     
Eaton Vance
Senior Floating-Rate Trust (EFR)

Semiannual Report
April 30, 2012
 
(STOPWATCH GRAPHIC)

 
 
 
(EATON VANCE INVESTMENT MANAGERS LOGO)


 

 
 
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested.


 

Semiannual Report April 30, 2012
Eaton Vance
Senior Floating-Rate Trust
Table of Contents
         
Performance
    2  
 
Fund Profile
    3  
 
Endnotes and Additional Disclosures
    4  
 
Financial Statements
    5  
 
Board of Trustees’ Contract Approval
    36  
 
Officers and Trustees
    39  
 
Important Notices
    40  

 


 

Eaton Vance
Senior Floating-Rate Trust
April 30, 2012
Performance1,2
 
Portfolio Managers Scott H. Page, CFA, Craig P. Russ, and Peter M. Campo, CFA
                                         
% Average Annual Total Returns   Inception Date     Six Months     One Year     Five Years     Inception  
 
Fund at NAV
    11/28/2003       6.95 %     6.05 %     4.15 %     5.22 %
Fund at Market Price
          11.23       –0.55       4.05       5.40  
 
S&P/LSTA Leveraged Loan Index
    11/28/2003       4.53 %     2.92 %     4.55 %     5.11 %
                                         
% Premium/Discount to NAV                                        
 
 
                                    1.49 %
                                         
Distributions3                                        
 
Total Distributions per share for the period
                                  $ 0.513  
Distribution Rate at NAV
                                    6.77 %
Distribution Rate at Market Price
                                    6.68 %
                                         
% Total Leverage4                                        
 
Auction Preferred Shares (APS)
                                    15.88 %
Borrowings
                                    21.17  
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or market price (as applicable) with all distributions reinvested. Fund performance at market price will differ from its results at NAV due to factors such as changing perceptions about the Fund, market conditions, fluctuations in supply and demand for Fund shares, or changes in Fund distributions. Investment return and principal value will fluctuate so that shares, when sold, may be worth more or less than their original cost. Performance less than one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month end, please refer to www.eatonvance.com.

2


 

Eaton Vance
Senior Floating-Rate Trust
April 30, 2012
Fund Profile
 
                     
Top 10 Holdings (% of total investments)5
 
 
 
Top 10 Sectors (% of total investments)5
 
 
Intelsat Jackson Holdings S.A.
    1.2 %  
Health Care
    10.6 %
Rite Aid Corporation
    1.2    
Business Equipment and Services
    9.2  
Community Health Systems, Inc.
    1.0    
Electronics/Electrical
    5.9  
Calpine Corp. (corporate bond)
    1.0    
Leisure Goods/Activities/Movies
    4.9  
Aramark Corporation
    1.0    
Chemicals and Plastics
    4.8  
HCA, Inc.
    1.0    
Automotive
    4.4  
Asurion LLC
    1.0    
Financial Intermediaries
    4.3  
UPC Broadband Holding B.V./UPC Financing Partnership
    0.8    
Telecommunications
    4.1  
Chrysler Group LLC
    0.8    
Cable and Satellite Television
    3.8  
Telesat LLC
    0.8    
Retailers (Except Food and Drug)
    3.7  
     
Total
    9.8 %  
Total
    55.7 %
     
Credit Quality (% of loan holdings)6
 
(BAR CHART)
See Endnotes and Additional Disclosures in this report.

3


 

Eaton Vance
Senior Floating-Rate Trust
April 30, 2012
Endnotes and Additional Disclosures
 
 
1   S&P/LSTA Leveraged Loan Index is an unmanaged index of the institutional leveraged loan market. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index.
 
2   Performance results reflect the effects of leverage. Absent an expense waiver by the investment adviser, the returns would be lower.
 
3   The Distribution Rate is based on the Fund’s last regular distribution per share in the period (annualized) divided by the Fund’s NAV or market price at the end of the period. The Fund’s distributions may be composed of ordinary income, tax- exempt income, net realized capital gains and return of capital.
 
4   Leverage represents the liquidation value of the Fund’s APS and borrowings outstanding as a percentage of Fund net assets applicable to common shares plus APS and borrowings outstanding. Use of leverage creates an opportunity for income, but creates risks including greater price volatility. The cost of leverage rises and falls with changes in short-term interest rates. The Fund is required to maintain prescribed asset coverage for its APS and borrowings, which could be reduced if Fund asset values decline.
 
5   Excludes cash and cash equivalents.
 
6   Ratings are based on Moody’s, S&P or Fitch, as applicable. Credit ratings are based largely on the rating agency’s investment analysis at the time of rating and the rating assigned to any particular security is not necessarily a reflection of the issuer’s current financial condition. The rating assigned to a security by a rating agency does not necessarily reflect its assessment of the volatility of a security’s market value or of the liquidity of an investment in the security. If securities are rated differently by the rating agencies, the higher rating is applied.
 
    Fund profile subject to change due to active management.

4


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Portfolio of Investments (Unaudited)

                         
Senior Floating-Rate Interests — 145.1%(1)
 
        Principal
           
        Amount*
           
Borrower/Tranche Description       (000’s omitted)     Value      
 
 
 
Aerospace and Defense — 2.5%
 
Booz Allen Hamilton, Inc.
Term Loan, 3.75%, Maturing August 3, 2017
        470     $ 472,699      
DAE Aviation Holdings, Inc.
Term Loan, 5.47%, Maturing July 31, 2014
        882       882,022      
Term Loan, 5.47%, Maturing July 31, 2014
        925       925,181      
Ducommun Incorporated
Term Loan, 5.50%, Maturing June 28, 2017
        1,504       1,513,010      
IAP Worldwide Services, Inc.
Term Loan, 9.25%, Maturing December 28, 2012
        1,766       1,593,628      
Sequa Corporation
Term Loan, 3.72%, Maturing December 3, 2014
        794       787,493      
Term Loan, 6.25%, Maturing December 3, 2014
        249       250,934      
TASC, Inc.
Term Loan, 4.50%, Maturing December 18, 2015
        1,437       1,429,393      
Transdigm, Inc.
Term Loan, 4.00%, Maturing February 14, 2017
        823       825,338      
Term Loan, 4.00%, Maturing February 14, 2017
        3,118       3,127,183      
Wesco Aircraft Hardware Corp.
Term Loan, 4.25%, Maturing April 7, 2017
        389       390,479      
Wyle Services Corporation
Term Loan, 5.75%, Maturing March 27, 2017
        811       809,911      
 
 
                $ 13,007,271      
 
 
 
 
Air Transport — 0.3%
 
Evergreen International Aviation, Inc.
Term Loan, 11.50%, Maturing June 30, 2015
        833     $ 712,293      
Orbitz Worldwide, Inc.
Term Loan, 3.24%, Maturing July 25, 2014
        990       966,950      
 
 
                $ 1,679,243      
 
 
 
 
Automotive — 7.1%
 
Allison Transmission, Inc.
Term Loan, 2.74%, Maturing August 7, 2014
        3,670     $ 3,666,948      
Autoparts Holdings Limited
Term Loan, 6.50%, Maturing July 28, 2017
        398       393,771      
Chrysler Group LLC
Term Loan, 6.00%, Maturing May 24, 2017
        6,957       7,096,903      
Delphi Corporation
Term Loan, 3.50%, Maturing March 31, 2017
        1,831       1,838,799      
Federal-Mogul Corporation
Term Loan, 2.18%, Maturing December 29, 2014
        2,419       2,346,904      
Term Loan, 2.18%, Maturing December 28, 2015
        3,040       2,949,232      
Goodyear Tire & Rubber Company (The)
Term Loan - Second Lien, 4.75%, Maturing April 30, 2019
        6,650       6,564,800      
HHI Holdings LLC
Term Loan, 7.00%, Maturing March 21, 2017
        1,739       1,747,858      
Metaldyne Company LLC
Term Loan, 5.25%, Maturing May 18, 2017
        2,181       2,195,117      
SRAM, LLC
Term Loan, 4.78%, Maturing June 7, 2018
        1,252       1,269,597      
Term Loan - Second Lien, 8.50%, Maturing December 7, 2018
        500       504,681      
Tomkins LLC
Term Loan, 4.25%, Maturing September 29, 2016
        1,928       1,937,025      
TriMas Corporation
Term Loan, 4.25%, Maturing June 21, 2017
        1,019       1,021,339      
Veyance Technologies, Inc.
Term Loan, 2.74%, Maturing July 31, 2014
        235       227,308      
Term Loan, 2.74%, Maturing July 31, 2014
        1,638       1,587,005      
Term Loan - Second Lien, 5.50%, Maturing July 31, 2014
        325       325,000      
Term Loan - Second Lien, 5.99%, Maturing July 31, 2015
        1,275       1,201,687      
 
 
                $ 36,873,974      
 
 
 
 
Building and Development — 1.7%
 
Armstrong World Industries, Inc.
Term Loan, 4.00%, Maturing March 9, 2018
        894     $ 895,812      
Forestar Real Estate Group, Inc.
Revolving Loan, 0.51%, Maturing August 6, 2013(2)
        244       229,723      
Term Loan, 6.50%, Maturing August 6, 2015
        2,240       2,161,715      
Goodman Global, Inc.
Term Loan, 5.75%, Maturing October 28, 2016
        1,676       1,689,263      
NCI Building Systems, Inc.
Term Loan, 6.50%, Maturing April 18, 2014
        242       241,507      
Panolam Industries International, Inc.
Term Loan, 8.25%, Maturing December 31, 2013
        1,424       1,407,578      
RE/MAX International, Inc.
Term Loan, 5.50%, Maturing April 15, 2016
        1,681       1,683,318      
Realogy Corporation
Term Loan, 3.24%, Maturing October 10, 2013
        116       110,499      
Summit Materials Companies I, LLC
Term Loan, 6.00%, Maturing January 25, 2019
        475       479,453      
 
 
                $ 8,898,868      
 
 
 

 
See Notes to Financial Statements.
5


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Portfolio of Investments (Unaudited) — continued

                         
        Principal
           
        Amount*
           
Borrower/Tranche Description       (000’s omitted)     Value      
 
 
Business Equipment and Services — 14.9%
 
ACCO Brands Corporation
Term Loan, Maturing March 26, 2019(3)
        500     $ 502,344      
Acosta, Inc.
Term Loan, 4.75%, Maturing March 1, 2018
        2,231       2,233,830      
Advantage Sales & Marketing, Inc.
Term Loan, 5.25%, Maturing December 18, 2017
        2,226       2,227,256      
Affinion Group, Inc.
Term Loan, 5.00%, Maturing October 10, 2016
        4,589       4,370,673      
Allied Security Holdings, LLC
Term Loan, 5.25%, Maturing February 3, 2017
        569       571,147      
Altegrity, Inc.
Term Loan, 7.75%, Maturing February 20, 2015
        700       703,932      
Term Loan, 2.99%, Maturing February 21, 2015
        716       686,302      
BAR/BRI Review Courses, Inc.
Term Loan, 6.00%, Maturing June 16, 2017
        722       718,670      
Brand Energy & Infrastructure Services, Inc.
Term Loan, 2.50%, Maturing February 7, 2014
        2,667       2,445,418      
Term Loan, 3.74%, Maturing February 7, 2014
        732       679,915      
Brickman Group Holdings, Inc.
Term Loan, 7.25%, Maturing October 14, 2016
        1,125       1,138,507      
Brock Holdings III, Inc.
Term Loan, 6.01%, Maturing March 16, 2017
        1,105       1,103,634      
ClientLogic Corporation
Term Loan, 7.22%, Maturing January 30, 2017
        1,567       1,410,032      
DynCorp International LLC
Term Loan, 6.25%, Maturing July 7, 2016
        659       660,503      
Education Management LLC
Term Loan, 8.25%, Maturing March 29, 2018
        2,075       2,087,969      
EIG Investors Corp.
Term Loan, 7.75%, Maturing April 20, 2018
        1,125       1,129,219      
Expert Global Solutions, Inc.
Term Loan, 9.00%, Maturing April 3, 2018
        1,950       1,932,938      
Fidelity National Information Solutions, Inc.
Term Loan, 4.25%, Maturing July 18, 2016
        110       110,445      
Genesys Telecom Holdings, U.S., Inc.
Term Loan, 6.75%, Maturing January 31, 2019
        625       634,571      
Go Daddy Operating Company, LLC
Term Loan, 5.50%, Maturing December 17, 2018
        1,443       1,448,310      
IMS Health Incorporated
Term Loan, 4.50%, Maturing August 25, 2017
        1,274       1,280,931      
KAR Auction Services, Inc.
Term Loan, 5.00%, Maturing May 19, 2017
        2,829       2,846,892      
Kronos, Inc.
Term Loan, 5.22%, Maturing June 9, 2017
        999       1,001,053      
Term Loan, 6.25%, Maturing December 28, 2017
        823       832,196      
Term Loan, 10.58%, Maturing June 11, 2018
        1,000       1,022,500      
Language Line, LLC
Term Loan, 6.25%, Maturing June 20, 2016
        2,068       2,073,590      
Lawson Software, Inc.
Term Loan, 6.25%, Maturing April 5, 2018
        5,075       5,147,953      
Meritas LLC
Term Loan, 7.50%, Maturing July 28, 2017
        763       761,217      
Mitchell International, Inc.
Term Loan - Second Lien, 5.75%, Maturing March 30, 2015
        1,000       983,750      
Monitronics International, Inc.
Term Loan, 5.50%, Maturing March 16, 2018
        850       857,969      
MSCI, Inc.
Term Loan, 3.50%, Maturing March 14, 2017
        2,796       2,798,002      
Oz Management LP
Term Loan, Maturing November 15, 2016(3)
        1,325       1,152,750      
Quintiles Transnational Corp.
Term Loan, 5.00%, Maturing June 8, 2018
        4,293       4,310,003      
Sabre, Inc.
Term Loan, 2.24%, Maturing September 30, 2014
        5,921       5,711,652      
Sensus USA, Inc.
Term Loan, 4.75%, Maturing May 9, 2017
        668       669,642      
Term Loan - Second Lien, 8.50%, Maturing May 9, 2018
        1,000       998,750      
Softlayer Technologies, Inc.
Term Loan, 7.25%, Maturing November 5, 2016
        642       647,090      
Sungard Data Systems, Inc.
Term Loan, 3.95%, Maturing February 26, 2016
        4,742       4,758,481      
Term Loan, 3.99%, Maturing February 28, 2017
        1,547       1,553,780      
SymphonyIRI Group, Inc.
Term Loan, 5.00%, Maturing December 1, 2017
        819       820,348      
Trans Union, LLC
Term Loan, 4.75%, Maturing February 12, 2018
        2,878       2,913,564      
Travelport LLC
Term Loan, 4.97%, Maturing August 21, 2015
        2,856       2,612,781      
Term Loan, 4.97%, Maturing August 21, 2015
        553       505,657      
Term Loan, 5.18%, Maturing August 21, 2015
  EUR     741       854,189      
U.S. Security Holdings, Inc.
Term Loan, 6.00%, Maturing July 28, 2017
        118       118,667      
Term Loan, 6.00%, Maturing July 28, 2017
        604       606,307      

 
See Notes to Financial Statements.
6


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Portfolio of Investments (Unaudited) — continued

                         
        Principal
           
        Amount*
           
Borrower/Tranche Description       (000’s omitted)     Value      
 
 
Business Equipment and Services (continued)
 
                         
West Corporation
Term Loan, 4.49%, Maturing July 15, 2016
        681     $ 685,414      
Term Loan, 4.60%, Maturing July 15, 2016
        1,938       1,949,121      
 
 
                $ 77,269,864      
 
 
 
 
Cable and Satellite Television — 6.1%
 
Atlantic Broadband Finance, LLC
Term Loan, 5.25%, Maturing April 3, 2019
        1,300     $ 1,310,292      
Term Loan - Second Lien, 9.75%, Maturing October 3, 2019
        775       775,969      
BBHI Acquisition LLC
Term Loan, 4.50%, Maturing December 14, 2017
        1,234       1,239,583      
Bragg Communications Incorporated
Term Loan, 4.00%, Maturing February 28, 2018
        400       401,020      
Cequel Communications, LLC
Term Loan, 4.00%, Maturing February 14, 2019
        4,400       4,359,300      
Charter Communications Operating, LLC
Term Loan, 3.72%, Maturing September 6, 2016
        764       764,799      
Term Loan, 4.00%, Maturing May 15, 2019
        300       299,700      
Crown Media Holdings, Inc.
Term Loan, 5.75%, Maturing July 14, 2018
        477       479,699      
CSC Holdings, Inc.
Term Loan, 1.99%, Maturing March 29, 2016
        2,849       2,840,553      
Kabel Deutschland GMBH
Term Loan, 4.25%, Maturing February 1, 2019
        1,075       1,079,031      
Lavena Holdings 4 GmbH
Term Loan, 3.68%, Maturing March 6, 2015
  EUR     369       423,063      
Term Loan, 4.06%, Maturing March 4, 2016
  EUR     369       423,064      
Term Loan, 8.43%, Maturing March 6, 2017(4)
  EUR     398       361,346      
Term Loan - Second Lien, 5.18%, Maturing September 2, 2016
  EUR     520       536,499      
Mediacom Broadband LLC
Term Loan, 4.50%, Maturing October 23, 2017
        1,449       1,450,999      
Mediacom Illinois, LLC
Term Loan, 1.95%, Maturing January 30, 2015
        3,598       3,472,113      
Mediacom LLC
Term Loan, 4.50%, Maturing October 23, 2017
        811       810,056      
NDS Finance Limited
Term Loan, 4.00%, Maturing March 12, 2018
        1,337       1,338,171      
P7S1 Broadcasting Holding II B.V.
Term Loan, 3.52%, Maturing July 1, 2016
  EUR     1,781       2,230,458      
UPC Broadband Holding B.V.
Term Loan, 4.17%, Maturing December 31, 2016
  EUR     2,353       3,046,338      
Term Loan, 4.42%, Maturing December 29, 2017
  EUR     1,619       2,108,232      
UPC Financing Partnership
Term Loan, 3.74%, Maturing December 30, 2016
        409       408,860      
Term Loan, 3.74%, Maturing December 29, 2017
        1,264       1,257,840      
Term Loan, 4.75%, Maturing December 29, 2017
        375       376,875      
 
 
                $ 31,793,860      
 
 
 
 
Chemicals and Plastics — 6.6%
 
Ashland, Inc.
Term Loan, 3.75%, Maturing August 23, 2018
        1,940     $ 1,945,013      
AZ Chem US, Inc.
Term Loan, 7.25%, Maturing December 22, 2017
        2,135       2,174,800      
General Chemical Corporation
Term Loan, 5.00%, Maturing October 6, 2015
        555       557,281      
Harko C.V.
Term Loan, 5.75%, Maturing August 2, 2017
        522       526,293      
Houghton International, Inc.
Term Loan, 6.75%, Maturing January 29, 2016
        813       817,279      
Huntsman International, LLC
Term Loan, 2.55%, Maturing June 30, 2016
        846       839,964      
Term Loan, 2.85%, Maturing April 19, 2017
        1,547       1,540,001      
Ineos Holdings Limited
Term Loan, 9.00%, Maturing June 16, 2015
  EUR     1,250       1,745,630      
Ineos US Finance LLC
Term Loan, 8.00%, Maturing December 16, 2014
        302       313,988      
MacDermid, Inc.
Term Loan, 2.24%, Maturing April 11, 2014
        440       437,125      
Momentive Performance Materials, Inc.
Term Loan, 3.75%, Maturing May 29, 2015
        650       620,750      
Momentive Performance Materials USA Inc.
Term Loan, 3.75%, Maturing May 5, 2015
        3,127       3,017,134      
Momentive Specialty Chemicals, Inc.
Term Loan, 4.00%, Maturing May 5, 2015
        1,673       1,667,215      
Term Loan, 4.25%, Maturing May 5, 2015
        476       466,725      
Term Loan, 4.25%, Maturing May 5, 2015
        756       753,464      
Norit NV
Term Loan, 6.75%, Maturing July 7, 2017
        1,244       1,257,742      
Omnova Solutions Inc.
Term Loan, 5.75%, Maturing May 31, 2017
        988       992,437      
PolyOne Corp.
Term Loan, 5.00%, Maturing December 20, 2017
        499       501,867      
Rockwood Specialties Group, Inc.
Term Loan, 3.50%, Maturing February 9, 2018
        2,104       2,118,872      

 
See Notes to Financial Statements.
7


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Portfolio of Investments (Unaudited) — continued

                         
        Principal
           
        Amount*
           
Borrower/Tranche Description       (000’s omitted)     Value      
 
 
Chemicals and Plastics (continued)
 
                         
Schoeller Arca Systems Holding B.V.
Term Loan, 5.49%, Maturing November 16, 2015
  EUR     145     $ 133,913      
Term Loan, 5.49%, Maturing November 16, 2015
  EUR     412       381,811      
Term Loan, 5.49%, Maturing November 16, 2015
  EUR     443       410,866      
Solutia, Inc.
Term Loan, 3.50%, Maturing August 1, 2017
        2,077       2,078,863      
Sonneborn LLC
Term Loan, Maturing March 26, 2018(3)
        650       656,500      
Styron S.A.R.L, LLC
Term Loan, 6.00%, Maturing August 2, 2017
        2,864       2,676,713      
Taminco Global Chemical Corporation
Term Loan, 6.25%, Maturing February 15, 2019
        375       379,453      
Tronox Pigments (Netherlands) B.V.
Term Loan, 1.00%, Maturing February 8, 2018(2)
        337       338,028      
Term Loan, 4.25%, Maturing February 8, 2018
        1,238       1,240,042      
Univar, Inc.
Term Loan, 5.00%, Maturing June 30, 2017
        3,545       3,556,000      
 
 
                $ 34,145,769      
 
 
 
 
Clothing / Textiles — 0.2%
 
Phillips-Van Heusen Corporation
Term Loan, 3.50%, Maturing May 6, 2016
        544     $ 545,848      
Warnaco, Inc.
Term Loan, 3.75%, Maturing June 15, 2018
        496       497,491      
 
 
                $ 1,043,339      
 
 
 
 
Conglomerates — 2.1%
 
Jason Incorporated
Term Loan, 8.25%, Maturing September 21, 2014
        171     $ 171,206      
Term Loan, 7.75%, Maturing September 22, 2014
        224       222,781      
Term Loan, 8.25%, Maturing September 22, 2014
        69       68,428      
Rexnord Corporation
Term Loan, 5.00%, Maturing April 2, 2018
        3,267       3,301,565      
RGIS Holdings LLC
Term Loan, 2.49%, Maturing April 30, 2014
        120       119,107      
Term Loan, 2.49%, Maturing April 30, 2014
        2,400       2,382,150      
Spectrum Brands, Inc.
Term Loan, 5.00%, Maturing June 17, 2016
        2,267       2,277,821      
Walter Energy, Inc.
Term Loan, 4.00%, Maturing April 2, 2018
        2,190       2,192,943      
 
 
                $ 10,736,001      
 
 
 
 
Containers and Glass Products — 2.3%
 
Berry Plastics Corporation
Term Loan, 2.24%, Maturing April 3, 2015
        1,939     $ 1,895,153      
BWAY Corporation
Term Loan, 4.50%, Maturing February 23, 2018
        152       152,886      
Term Loan, 4.50%, Maturing February 23, 2018
        1,607       1,612,625      
Hilex Poly Co. LLC
Term Loan, 11.25%, Maturing November 16, 2015
        815       834,897      
Pelican Products, Inc.
Term Loan, 5.00%, Maturing March 7, 2017
        689       688,769      
Reynolds Group Holdings, Inc.
Term Loan, 6.50%, Maturing February 9, 2018
        2,767       2,809,820      
Term Loan, 6.50%, Maturing August 9, 2018
        2,781       2,824,089      
Sealed Air Corporation
Term Loan, 4.75%, Maturing October 3, 2018
        639       646,611      
TricorBraun, Inc.
Term Loan, Maturing May 10, 2018(3)
        625       621,875      
 
 
                $ 12,086,725      
 
 
 
 
Cosmetics / Toiletries — 0.5%
 
Bausch & Lomb, Inc.
Term Loan, 3.49%, Maturing April 24, 2015
        290     $ 289,762      
Term Loan, 3.67%, Maturing April 24, 2015
        1,185       1,185,884      
KIK Custom Products, Inc.
Term Loan - Second Lien, 5.24%, Maturing November 28, 2014
        975       665,438      
Prestige Brands, Inc.
Term Loan, 5.26%, Maturing January 31, 2019
        451       454,350      
 
 
                $ 2,595,434      
 
 
 
 
Drugs — 1.5%
 
Aptalis Pharma, Inc.
Term Loan, 5.50%, Maturing February 10, 2017
        500     $ 494,166      
Term Loan, 5.50%, Maturing February 10, 2017
        1,980       1,963,282      
Capsugel Holdings US, Inc.
Term Loan, 5.25%, Maturing August 1, 2018
        1,262       1,276,685      
Endo Pharmaceuticals Holdings, Inc.
Term Loan, 4.00%, Maturing June 18, 2018
        508       510,375      
Warner Chilcott Company, LLC
Term Loan, 4.25%, Maturing March 15, 2018
        798       800,898      
Warner Chilcott Corporation
Term Loan, 4.25%, Maturing March 15, 2018
        1,595       1,601,796      

 
See Notes to Financial Statements.
8


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Portfolio of Investments (Unaudited) — continued

                         
        Principal
           
        Amount*
           
Borrower/Tranche Description       (000’s omitted)     Value      
 
 
Drugs (continued)
 
                         
WC Luxco S.a.r.l.
Term Loan, 4.25%, Maturing March 15, 2018
        1,097     $ 1,101,235      
 
 
                $ 7,748,437      
 
 
 
 
Ecological Services and Equipment — 0.1%
 
Envirotest Systems Holding Corp.
Term Loan - Second Lien, 15.50%, Maturing September 12, 2014(5)
        339     $ 349,581      
Viking Consortium Borrower Limited
Term Loan - Second Lien, 6.83%, Maturing March 31, 2016(4)
  GBP     515       314,747      
 
 
                $ 664,328      
 
 
 
 
Electronics / Electrical — 9.5%
 
Aeroflex Incorporated
Term Loan, 4.25%, Maturing May 9, 2018
        1,973     $ 1,968,830      
Aspect Software, Inc.
Term Loan, 6.25%, Maturing May 6, 2016
        1,458       1,466,636      
Attachmate Corporation
Term Loan, 6.50%, Maturing April 27, 2017
        3,376       3,376,092      
Cinedigm Digital Funding I, LLC
Term Loan, 5.25%, Maturing April 29, 2016
        507       506,488      
CommScope, Inc.
Term Loan, 4.25%, Maturing January 12, 2018
        2,104       2,110,299      
Dealer Computer Services, Inc.
Term Loan, 3.75%, Maturing April 20, 2018
        1,908       1,910,385      
DG FastChannel, Inc.
Term Loan, 5.75%, Maturing July 26, 2018
        1,530       1,531,817      
Eagle Parent, Inc.
Term Loan, 5.00%, Maturing May 16, 2018
        2,581       2,587,759      
Edwards (Cayman Islands II) Limited
Term Loan, 5.50%, Maturing May 31, 2016
        497       496,859      
Term Loan, 5.50%, Maturing May 31, 2016
        1,234       1,232,832      
FCI International
Term Loan, 3.62%, Maturing November 1, 2013
        123       120,757      
Term Loan, 3.62%, Maturing November 1, 2013
        123       120,757      
Term Loan, 3.62%, Maturing November 1, 2013
        128       125,433      
Term Loan, 3.62%, Maturing November 1, 2013
        128       125,433      
Freescale Semiconductor, Inc.
Term Loan, 4.49%, Maturing December 1, 2016
        3,498       3,438,032      
Microsemi Corporation
Term Loan, 4.00%, Maturing February 2, 2018
        1,567       1,572,081      
NeuStar, Inc.
Term Loan, 5.00%, Maturing November 8, 2018
        945       955,884      
Nxp B.V.
Term Loan, 4.50%, Maturing March 3, 2017
        2,673       2,646,270      
Term Loan, 5.50%, Maturing March 3, 2017
        1,020       1,028,162      
Term Loan, 5.25%, Maturing March 19, 2019
        1,625       1,630,078      
Oberthur Technologies
Term Loan, 6.25%, Maturing March 30, 2019
        575       564,219      
Open Solutions, Inc.
Term Loan, 2.60%, Maturing January 23, 2014
        1,995       1,929,272      
Rocket Software, Inc.
Term Loan, 7.00%, Maturing February 8, 2018
        1,247       1,253,109      
Term Loan - Second Lien, 10.25%, Maturing February 8, 2019
        750       751,875      
Rovi Solutions Corporation
Term Loan, 4.00%, Maturing March 28, 2019
        825       826,526      
SafeNet, Inc.
Term Loan, 2.74%, Maturing April 12, 2014
        1,812       1,788,950      
Semtech Corp.
Term Loan, 4.25%, Maturing March 15, 2017
        400       401,000      
Sensata Technologies Finance Company, LLC
Term Loan, 4.00%, Maturing May 11, 2018
        3,499       3,506,361      
Serena Software, Inc.
Term Loan, 4.47%, Maturing March 10, 2016
        474       471,630      
Term Loan, 5.00%, Maturing March 10, 2016
        350       348,250      
Shield Finance Co S.A.R.L.
Term Loan, 7.75%, Maturing June 15, 2016
        829       828,026      
SkillSoft Corporation
Term Loan, 6.50%, Maturing May 26, 2017
        249       251,238      
Term Loan, 6.50%, Maturing May 26, 2017
        978       988,170      
Sophia, L.P.
Term Loan, 6.25%, Maturing July 19, 2018
        1,400       1,424,791      
Spansion LLC
Term Loan, 4.75%, Maturing February 9, 2015
        522       524,476      
Sunquest Information Systems, Inc.
Term Loan, 6.25%, Maturing December 16, 2016
        744       746,236      
VeriFone, Inc.
Term Loan, 4.25%, Maturing December 28, 2018
        499       500,540      
Vertafore, Inc.
Term Loan, 5.25%, Maturing July 29, 2016
        988       992,134      
Web.com Group, Inc.
Term Loan, 7.00%, Maturing October 27, 2017
        2,599       2,609,751      
 
 
                $ 49,657,438      
 
 
 

 
See Notes to Financial Statements.
9


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Portfolio of Investments (Unaudited) — continued

                         
        Principal
           
        Amount*
           
Borrower/Tranche Description       (000’s omitted)     Value      
 
 
Equipment Leasing — 1.2%
 
BakerCorp International, Inc.
Term Loan, 4.75%, Maturing June 1, 2018
        1,335     $ 1,339,893      
Delos Aircraft Inc.
Term Loan, 4.75%, Maturing April 12, 2016
        1,275       1,283,368      
Flying Fortress, Inc.
Term Loan, 5.00%, Maturing June 30, 2017
        3,350       3,367,799      
 
 
                $ 5,991,060      
 
 
 
 
Farming / Agriculture — 0.3%
 
Wm. Bolthouse Farms, Inc.
Term Loan, 5.51%, Maturing February 11, 2016
        1,482     $ 1,492,636      
 
 
                $ 1,492,636      
 
 
 
 
Financial Intermediaries — 5.9%
 
AmWINS Group, Inc.
Term Loan, 4.49%, Maturing June 8, 2013
        948     $ 947,526      
Term Loan - Second Lien, 5.74%, Maturing June 8, 2014
        500       491,250      
Asset Acceptance Capital Corp.
Term Loan, 8.75%, Maturing November 8, 2017
        1,284       1,296,587      
August U.S. Holding Company, Inc.
Term Loan, Maturing April 27, 2018(3)
        375       367,500      
CB Richard Ellis Services, Inc.
Term Loan, 3.49%, Maturing March 5, 2018
        689       687,499      
Term Loan, 3.74%, Maturing September 4, 2019
        651       649,305      
Citco III Limited
Term Loan, 5.50%, Maturing June 29, 2018
        1,638       1,629,437      
First Data Corporation
Term Loan, 2.99%, Maturing September 24, 2014
        257       246,432      
Term Loan, 2.99%, Maturing September 24, 2014
        1,239       1,187,626      
Term Loan, 2.99%, Maturing September 24, 2014
        2,988       2,863,702      
Term Loan, 4.24%, Maturing March 23, 2018
        1,636       1,494,166      
Grosvenor Capital Management Holdings, LLP
Term Loan, 4.25%, Maturing December 5, 2016
        1,308       1,282,043      
Hamilton Lane Advisors, LLC
Term Loan, 6.50%, Maturing February 23, 2018
        725       726,813      
Harbourvest Partners, LLC
Term Loan, 6.25%, Maturing December 16, 2016
        1,019       1,024,284      
iPayment, Inc.
Term Loan, 5.75%, Maturing May 8, 2017
        917       923,374      
LPL Holdings, Inc.
Term Loan, Maturing March 23, 2017(3)
        800       784,000      
Term Loan, 4.00%, Maturing March 29, 2019
        3,075       3,083,650      
Mercury Payment Systems Canada, LLC
Term Loan, 5.50%, Maturing July 3, 2017
        645       648,351      
MIP Delaware, LLC
Term Loan, 5.50%, Maturing July 12, 2018
        836       845,558      
Nuveen Investments, Inc.
Term Loan, 5.97%, Maturing May 12, 2017
        2,429       2,436,560      
Term Loan, 5.97%, Maturing May 13, 2017
        1,651       1,656,045      
Term Loan, 7.25%, Maturing May 13, 2017
        1,492       1,508,157      
RJO Holdings Corp.
Term Loan, 6.24%, Maturing December 10, 2015(5)
        7       5,801      
Term Loan, 6.99%, Maturing December 10, 2015(5)
        224       175,255      
RPI Finance Trust
Term Loan, 4.00%, Maturing May 9, 2018
        3,468       3,484,066      
Vantiv, LLC
Term Loan, 3.75%, Maturing February 27, 2019
        475       475,000      
 
 
                $ 30,919,987      
 
 
 
 
Food Products — 4.2%
 
American Seafoods Group LLC
Term Loan, 4.25%, Maturing March 8, 2018
        638     $ 622,675      
Del Monte Foods Company
Term Loan, 4.50%, Maturing March 8, 2018
        4,394       4,368,964      
Dole Food Company, Inc.
Term Loan, 5.04%, Maturing July 6, 2018
        964       970,743      
High Liner Foods Incorporated
Term Loan, 7.00%, Maturing January 3, 2018
        648       653,238      
JBS USA Holdings, Inc.
Term Loan, 4.25%, Maturing May 25, 2018
        993       993,741      
Michael Foods Group, Inc.
Term Loan, 4.25%, Maturing February 23, 2018
        670       672,659      
NBTY, Inc.
Term Loan, 4.25%, Maturing October 2, 2017
        2,809       2,816,902      
Pierre Foods, Inc.
Term Loan, 7.00%, Maturing September 30, 2016
        2,229       2,241,255      
Pinnacle Foods Finance LLC
Term Loan, 2.77%, Maturing April 2, 2014
        6,520       6,532,016      
Term Loan, 4.75%, Maturing October 17, 2018
        275       276,661      
Solvest Ltd.
Term Loan, 5.03%, Maturing July 6, 2018
        1,725       1,737,122      
 
 
                $ 21,885,976      
 
 
 

 
See Notes to Financial Statements.
10


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Portfolio of Investments (Unaudited) — continued

                         
        Principal
           
        Amount*
           
Borrower/Tranche Description       (000’s omitted)     Value      
 
 
Food Service — 5.9%
 
Aramark Corporation
Term Loan, 3.34%, Maturing July 26, 2016
        169     $ 168,700      
Term Loan, 3.34%, Maturing July 26, 2016
        304       303,624      
Term Loan, 3.49%, Maturing July 26, 2016
        4,621       4,616,797      
Term Loan, 3.65%, Maturing July 26, 2016
        2,094       2,091,404      
Term Loan, 4.40%, Maturing July 26, 2016
  GBP     950       1,518,628      
Buffets, Inc.
Term Loan, 0.00%, Maturing April 21, 2015(6)
        1,247       567,605      
Term Loan, 0.00%, Maturing April 22, 2015(5)(6)
        129       61,695      
Burger King Corporation
Term Loan, 4.50%, Maturing October 19, 2016
        4,510       4,530,186      
DineEquity, Inc.
Term Loan, 4.25%, Maturing October 19, 2017
        1,320       1,324,503      
Dunkin’ Brands, Inc.
Term Loan, 4.00%, Maturing November 23, 2017
        3,056       3,063,716      
NPC International, Inc.
Term Loan, 5.25%, Maturing December 28, 2018
        675       680,062      
OSI Restaurant Partners, LLC
Term Loan, 5.03%, Maturing June 14, 2013
        447       442,617      
Term Loan, 2.56%, Maturing June 14, 2014
        4,902       4,850,460      
Sagittarius Restaurants, LLC
Term Loan, 7.51%, Maturing May 18, 2015
        418       420,738      
Selecta
Term Loan - Second Lien, 5.64%, Maturing December 28, 2015
  EUR     741       673,749      
U.S. Foodservice, Inc.
Term Loan, 2.74%, Maturing July 3, 2014
        3,469       3,417,513      
Weight Watchers International, Inc.
Term Loan, 4.00%, Maturing March 12, 2019
        1,325       1,327,755      
Wendy’s Arby’s Restaurants, LLC
Term Loan, 5.00%, Maturing May 24, 2017
        817       818,619      
 
 
                $ 30,878,371      
 
 
 
 
Food / Drug Retailers — 5.2%
 
Alliance Boots Holdings Limited
Term Loan, 3.32%, Maturing July 9, 2015
  EUR     1,000     $ 1,256,688      
Term Loan, 3.58%, Maturing July 9, 2015
  GBP     2,775       4,171,410      
General Nutrition Centers, Inc.
Term Loan, 4.25%, Maturing March 2, 2018
        4,725       4,741,537      
Landry’s, Inc.
Term Loan, 6.50%, Maturing April 24, 2018
        1,325       1,326,863      
Pantry, Inc. (The)
Term Loan, 1.99%, Maturing May 15, 2014
        201       197,374      
Term Loan, 1.99%, Maturing May 15, 2014
        696       685,411      
Rite Aid Corporation
Term Loan, 2.00%, Maturing June 4, 2014
        7,966       7,866,367      
Term Loan, 4.50%, Maturing March 2, 2018
        2,114       2,103,348      
Roundy’s Supermarkets, Inc.
Term Loan, 5.75%, Maturing February 8, 2019
        1,000       1,010,250      
Sprouts Farmers Markets Holdings, LLC
Term Loan, Maturing April 20, 2018(3)
        575       572,125      
Supervalu, Inc.
Term Loan, 4.50%, Maturing April 28, 2018
        3,218       3,229,118      
 
 
                $ 27,160,491      
 
 
 
 
Health Care — 17.2%
 
1-800 Contacts, Inc.
Term Loan, 7.70%, Maturing March 4, 2015
        897     $ 905,769      
Alere, Inc.
Term Loan, 4.75%, Maturing June 30, 2017
        475       474,703      
Term Loan, 4.75%, Maturing June 30, 2017
        574       573,682      
Term Loan, 4.75%, Maturing June 30, 2017
        2,363       2,363,616      
Alliance Healthcare Services, Inc.
Term Loan, 7.25%, Maturing June 1, 2016
        1,121       1,076,168      
Ardent Medical Services, Inc.
Term Loan, 6.50%, Maturing September 15, 2015
        1,779       1,785,491      
Aveta, Inc.
Term Loan, 8.50%, Maturing April 4, 2017
        675       674,156      
Term Loan, 8.50%, Maturing April 4, 2017
        675       674,156      
Biomet, Inc.
Term Loan, 3.37%, Maturing March 25, 2015
        3,677       3,669,597      
CareStream Health, Inc.
Term Loan, 5.00%, Maturing February 25, 2017
        1,509       1,475,449      
Catalent Pharma Solutions
Term Loan, 4.24%, Maturing September 15, 2016
        2,127       2,131,453      
Term Loan, 5.25%, Maturing September 15, 2017
        1,123       1,126,948      
CDRL MS, Inc.
Term Loan, 6.75%, Maturing September 30, 2016
        878       881,380      
Community Health Systems, Inc.
Term Loan, 2.63%, Maturing July 25, 2014
        5,537       5,497,018      
Term Loan, 3.99%, Maturing January 25, 2017
        3,336       3,302,700      
ConMed Corporation
Term Loan, 1.74%, Maturing April 12, 2013
        434       426,599      
Convatec, Inc.
Term Loan, 5.75%, Maturing December 22, 2016
        970       972,249      

 
See Notes to Financial Statements.
11


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Portfolio of Investments (Unaudited) — continued

                         
        Principal
           
        Amount*
           
Borrower/Tranche Description       (000’s omitted)     Value      
 
 
Health Care (continued)
 
                         
CRC Health Corporation
Term Loan, 4.97%, Maturing November 16, 2015
        1,906     $ 1,756,346      
Dako (EQT Project Delphi)
Term Loan - Second Lien, 4.22%, Maturing December 12, 2016
        500       419,000      
DaVita, Inc.
Term Loan, 4.50%, Maturing October 20, 2016
        2,963       2,976,572      
DJO Finance LLC
Term Loan, 5.24%, Maturing November 1, 2016
        383       382,395      
Term Loan, 6.25%, Maturing September 15, 2017
        325       326,544      
Drumm Investors LLC
Term Loan, 5.00%, Maturing May 4, 2018
        2,488       2,355,492      
Emdeon Business Services, LLC
5.00%, Maturing November 2, 2018
        800       807,800      
Emergency Medical Services Corporation
Term Loan, 5.25%, Maturing May 25, 2018
        2,312       2,322,504      
Fresenius US Finance I, Inc.
Term Loan, 3.25%, Maturing September 10, 2014
        306       306,930      
Term Loan, 3.25%, Maturing September 10, 2014
        682       683,159      
Grifols Inc.
Term Loan, 4.50%, Maturing June 1, 2017
        2,955       2,965,279      
Hanger Orthopedic Group, Inc.
Term Loan, 4.01%, Maturing December 1, 2016
        665       661,109      
HCA, Inc.
Term Loan, 3.72%, Maturing March 31, 2017
        6,168       6,085,410      
Term Loan, 3.49%, Maturing May 1, 2018
        2,572       2,533,554      
Health Management Associates, Inc.
Term Loan, 4.50%, Maturing November 16, 2018
        1,297       1,299,188      
Iasis Healthcare LLC
Term Loan, 5.00%, Maturing May 3, 2018
        1,658       1,664,987      
Immucor, Inc.
Term Loan, 7.25%, Maturing August 17, 2018
        697       705,206      
inVentiv Health, Inc.
Term Loan, 6.50%, Maturing August 4, 2016
        1,874       1,778,112      
Term Loan, 6.75%, Maturing May 15, 2018
        1,166       1,109,336      
Kindred Healthcare, Inc.
Term Loan, 5.25%, Maturing June 1, 2018
        1,811       1,743,388      
Kinetic Concepts, Inc.
Term Loan, 7.00%, Maturing May 4, 2018
        4,015       4,105,274      
Lifepoint Hospitals, Inc.
Term Loan, 3.24%, Maturing April 15, 2015
        2,022       2,026,086      
MedAssets, Inc.
Term Loan, 5.25%, Maturing November 16, 2016
        841       848,309      
Medpace, Inc.
Term Loan, 6.50%, Maturing June 16, 2017
        868       846,727      
Multiplan, Inc.
Term Loan, 4.75%, Maturing August 26, 2017
        3,282       3,279,159      
Pharmaceutical Product Development, Inc.
Term Loan, 6.25%, Maturing December 5, 2018
        1,945       1,968,021      
Prime Healthcare Services, Inc.
Term Loan, 7.50%, Maturing April 28, 2015
        2,022       2,011,994      
Radnet Management, Inc.
Term Loan, 5.75%, Maturing April 6, 2016
        1,078       1,073,957      
Select Medical Corporation
Term Loan, 5.50%, Maturing June 1, 2018
        4,000       3,903,137      
Sunrise Medical Holdings B.V.
Term Loan, 6.75%, Maturing May 13, 2014
  EUR     237       303,885      
TriZetto Group, Inc. (The)
Term Loan, 4.75%, Maturing May 2, 2018
        1,464       1,462,794      
Universal Health Services, Inc.
Term Loan, 3.75%, Maturing November 15, 2016
        2,078       2,083,677      
Valeant Pharmaceuticals International
Term Loan, 3.75%, Maturing February 8, 2019
        1,000       999,592      
Vanguard Health Holding Co. II, LLC
Term Loan, 5.00%, Maturing January 29, 2016
        1,568       1,580,532      
VWR Funding, Inc.
Term Loan, 2.74%, Maturing June 30, 2014
        2,211       2,202,851      
 
 
                $ 89,589,440      
 
 
 
 
Home Furnishings — 0.7%
 
Hunter Fan Company
Term Loan, 2.74%, Maturing April 16, 2014
        326     $ 305,669      
National Bedding Company LLC
Term Loan, 4.00%, Maturing November 28, 2013
        1,428       1,431,044      
Term Loan - Second Lien, 5.25%, Maturing February 28, 2014
        2,050       2,042,312      
 
 
                $ 3,779,025      
 
 
 
 
Industrial Equipment — 2.2%
 
Colfax Corporation
Term Loan, 4.50%, Maturing January 11, 2019
        1,297     $ 1,302,528      
Excelitas Technologies Corp.
Term Loan, 4.75%, Maturing November 23, 2016
        985       975,150      
Generac Power Systems
Term Loan, 3.75%, Maturing February 8, 2019
        450       450,000      
Grede LLC
Term Loan, 7.00%, Maturing April 3, 2017
        825       820,875      
Husky Injection Molding Systems Ltd
Term Loan, 6.55%, Maturing June 29, 2018
        2,490       2,514,894      

 
See Notes to Financial Statements.
12


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Portfolio of Investments (Unaudited) — continued

                         
        Principal
           
        Amount*
           
Borrower/Tranche Description       (000’s omitted)     Value      
 
 
Industrial Equipment (continued)
 
                         
Kion Group GMBH
Term Loan, 3.49%, Maturing December 23, 2014(4)
        1,035     $ 953,634      
Term Loan, 3.99%, Maturing December 23, 2015(4)
        1,035       953,634      
Manitowoc Company, Inc. (The)
Term Loan, 4.25%, Maturing November 13, 2017
        560       560,950      
MX USA, Inc.
Term Loan, Maturing April 28, 2017(3)
        575       566,375      
Schaeffler AG
Term Loan, 6.00%, Maturing January 27, 2017
        1,150       1,157,187      
Terex Corporation
Term Loan, 5.50%, Maturing April 28, 2017
        697       703,465      
Unifrax Corporation
Term Loan, 7.00%, Maturing November 28, 2018
        374       378,972      
 
 
                $ 11,337,664      
 
 
 
 
Insurance — 4.2%
 
Alliant Holdings I, Inc.
Term Loan, 3.47%, Maturing August 21, 2014
        2,333     $ 2,338,740      
Applied Systems, Inc
Term Loan, 5.51%, Maturing December 8, 2016
        1,334       1,334,333      
Asurion LLC
Term Loan, 5.50%, Maturing May 24, 2018
        6,798       6,819,654      
Term Loan - Second Lien, 9.00%, Maturing May 24, 2019
        1,600       1,629,800      
CCC Information Services, Inc.
Term Loan, 5.50%, Maturing November 11, 2015
        1,360       1,371,794      
CNO Financial Group, Inc.
Term Loan, 6.25%, Maturing September 30, 2016
        950       958,018      
Hub International Limited
Term Loan, 2.97%, Maturing June 13, 2014
        484       483,500      
Term Loan, 2.97%, Maturing June 13, 2014
        2,155       2,147,569      
Term Loan, 6.75%, Maturing June 13, 2014
        561       565,759      
Towergate Finance, PLC
Term Loan, 6.50%, Maturing August 4, 2017
  GBP     1,000       1,498,477      
USI Holdings Corporation
Term Loan, 2.74%, Maturing May 5, 2014
        2,960       2,913,075      
 
 
                $ 22,060,719      
 
 
 
 
Leisure Goods / Activities / Movies — 7.5%
 
Alpha D2 Limited
Term Loan, Maturing April 28, 2017(3)
        2,000     $ 1,980,000      
AMC Entertainment, Inc.
Term Loan, 3.49%, Maturing December 15, 2016
        3,688       3,684,706      
Term Loan, 4.25%, Maturing February 22, 2018
        973       972,411      
AMC Networks, Inc.
Term Loan, 4.00%, Maturing December 31, 2018
        1,340       1,339,875      
Bombardier Recreational Products, Inc.
Term Loan, 4.49%, Maturing June 28, 2016
        2,810       2,812,723      
Bright Horizons Family Solutions, Inc.
Term Loan, 4.24%, Maturing May 28, 2015
        901       898,585      
Cedar Fair, L.P.
Term Loan, 4.00%, Maturing December 15, 2017
        1,930       1,937,408      
Cinemark USA, Inc.
Term Loan, 3.57%, Maturing April 29, 2016
        3,417       3,435,690      
Clubcorp Club Operations, Inc.
Term Loan, 6.00%, Maturing November 30, 2016
        2,632       2,647,701      
Dave & Buster’s, Inc.
Term Loan, 5.50%, Maturing June 1, 2016
        980       980,613      
Fender Musical Instruments Corp.
Term Loan, 2.49%, Maturing June 9, 2014
        272       267,643      
Term Loan, 2.49%, Maturing June 9, 2014
        536       527,063      
Live Nation Entertainment, Inc.
Term Loan, 4.50%, Maturing November 7, 2016
        2,254       2,257,757      
Regal Cinemas, Inc.
Term Loan, 3.37%, Maturing August 23, 2017
        4,345       4,349,527      
Revolution Studios Distribution Company, LLC
Term Loan, 3.99%, Maturing December 21, 2014
        841       639,289      
Term Loan - Second Lien, 7.24%, Maturing June 21, 2015(5)
        800       279,680      
SeaWorld Parks & Entertainment, Inc.
Term Loan, 4.00%, Maturing August 17, 2017
        650       651,950      
Term Loan, 4.00%, Maturing August 17, 2017
        1,741       1,746,060      
Six Flags Theme Parks, Inc.
Term Loan, 4.25%, Maturing December 20, 2018
        2,150       2,155,207      
Town Sports International, Inc.
Term Loan, 7.00%, Maturing May 11, 2018
        1,846       1,871,747      
Zuffa LLC
Term Loan, 2.25%, Maturing June 19, 2015
        3,882       3,771,632      
 
 
                $ 39,207,267      
 
 
 
 
Lodging and Casinos — 3.1%
 
Ameristar Casinos, Inc.
Term Loan, 4.00%, Maturing April 13, 2018
        1,029     $ 1,035,571      
Caesars Entertainment Operating Company
Term Loan, 9.50%, Maturing October 31, 2016
        2,933       3,021,941      
Term Loan, 5.49%, Maturing January 26, 2018
        2,081       1,907,686      
Gala Group LTD
Term Loan, 5.69%, Maturing May 30, 2018
  GBP     2,625       3,649,497      

 
See Notes to Financial Statements.
13


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Portfolio of Investments (Unaudited) — continued

                         
        Principal
           
        Amount*
           
Borrower/Tranche Description       (000’s omitted)     Value      
 
 
Lodging and Casinos (continued)
 
                         
Isle of Capri Casinos, Inc.
Term Loan, 4.75%, Maturing November 1, 2013
        916     $ 921,760      
Las Vegas Sands LLC
Term Loan, 2.85%, Maturing November 23, 2016
        547       539,428      
Term Loan, 2.85%, Maturing November 23, 2016
        2,164       2,135,015      
LodgeNet Entertainment Corporation
Term Loan, 6.50%, Maturing April 4, 2014
        1,083       985,751      
Penn National Gaming, Inc.
Term Loan, 3.75%, Maturing July 16, 2018
        1,141       1,146,874      
Pinnacle Entertainment, Inc.
Term Loan, 4.00%, Maturing March 19, 2019
        575       576,527      
Tropicana Entertainment, Inc.
Term Loan, 7.50%, Maturing March 16, 2018
        350       349,344      
 
 
                $ 16,269,394      
 
 
 
 
Nonferrous Metals / Minerals — 2.3%
 
Fairmount Minerals LTD
Term Loan, 5.25%, Maturing March 15, 2017
        4,790     $ 4,807,364      
Noranda Aluminum Acquisition Corporation
Term Loan, 5.75%, Maturing February 24, 2019
        1,025       1,035,250      
Novelis, Inc.
Term Loan, 4.00%, Maturing March 10, 2017
        672       672,994      
Term Loan, 4.00%, Maturing March 10, 2017
        2,024       2,028,501      
Oxbow Carbon and Mineral Holdings LLC
Term Loan, 3.85%, Maturing May 8, 2016
        2,541       2,557,178      
Preferred Sands Holding Company, LLC
Term Loan, 7.50%, Maturing December 15, 2016
        723       717,763      
 
 
                $ 11,819,050      
 
 
 
 
Oil and Gas — 4.6%
 
Buffalo Gulf Coast Terminals LLC
Term Loan, 7.50%, Maturing October 31, 2017
        547     $ 547,250      
CCS Corporation
Term Loan, 6.50%, Maturing October 17, 2014
        549       553,202      
Term Loan, 3.24%, Maturing November 14, 2014
        997       974,954      
Citgo Petroleum Corporation
Term Loan, 8.00%, Maturing June 24, 2015
        196       198,322      
Term Loan, 9.00%, Maturing June 23, 2017
        2,530       2,580,536      
Crestwood Holdings LLC
Term Loan, 9.75%, Maturing March 26, 2018
        2,125       2,164,844      
Energy Transfer Equity, L.P.
Term Loan, 3.75%, Maturing March 21, 2017
        2,625       2,597,813      
Frac Tech International LLC
Term Loan, 6.25%, Maturing May 6, 2016
        5,542       5,352,667      
Gibson Energy
Term Loan, 5.75%, Maturing June 15, 2018
        3,059       3,082,861      
MEG Energy Corp.
Term Loan, 4.00%, Maturing March 16, 2018
        1,219       1,222,515      
Obsidian Natural Gas Trust
Term Loan, 7.00%, Maturing November 2, 2015
        3,092       3,130,342      
Sheridan Production Partners I, LLC
Term Loan, 6.50%, Maturing April 20, 2017
        105       105,703      
Term Loan, 6.50%, Maturing April 20, 2017
        173       173,055      
Term Loan, 6.50%, Maturing April 20, 2017
        1,302       1,305,999      
 
 
                $ 23,990,063      
 
 
 
 
Publishing — 5.1%
 
Ascend Learning
Term Loan, 7.00%, Maturing December 6, 2016
        1,086     $ 1,092,594      
Aster Zweite Beteiligungs GmbH
Term Loan, 5.72%, Maturing December 31, 2014
        93       85,489      
Term Loan, 5.72%, Maturing December 31, 2014
        1,543       1,413,148      
Term Loan, 5.72%, Maturing December 31, 2014
        1,614       1,478,880      
Cengage Learning Acquisitions, Inc.
Term Loan, 2.49%, Maturing July 3, 2014
        987       905,469      
GateHouse Media Operating, Inc.
Term Loan, 2.24%, Maturing August 28, 2014
        858       260,454      
Term Loan, 2.24%, Maturing August 28, 2014
        2,046       620,933      
Term Loan, 2.49%, Maturing August 28, 2014
        665       201,673      
Getty Images, Inc.
Term Loan, 4.22%, Maturing November 13, 2015
        554       557,251      
Term Loan, 5.25%, Maturing November 7, 2016
        3,372       3,394,059      
Instant Web, Inc.
Term Loan, 3.61%, Maturing August 7, 2014
        165       149,687      
Term Loan, 3.61%, Maturing August 7, 2014
        1,587       1,435,939      
Interactive Data Corp.
Term Loan, 4.50%, Maturing February 12, 2018
        3,138       3,151,137      
Lamar Media Corporation
Term Loan, 4.00%, Maturing December 30, 2016
        553       555,999      
Laureate Education, Inc.
Term Loan, 5.25%, Maturing August 15, 2018
        5,813       5,746,933      
Medianews Group
Term Loan, 8.50%, Maturing March 19, 2014
        97       94,576      
Merrill Communications, LLC
Term Loan, 7.75%, Maturing December 24, 2012
        1,225       1,158,938      
Nelson Education Ltd.
Term Loan, 2.97%, Maturing July 3, 2014
        462       411,363      

 
See Notes to Financial Statements.
14


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Portfolio of Investments (Unaudited) — continued

                         
        Principal
           
        Amount*
           
Borrower/Tranche Description       (000’s omitted)     Value      
 
 
Publishing (continued)
 
                         
Nielsen Finance LLC
Term Loan, 3.99%, Maturing May 2, 2016
        1,953     $ 1,963,130      
SGS International, Inc.
Term Loan, 3.74%, Maturing September 30, 2013
        444       444,874      
Source Interlink Companies, Inc.
Term Loan, 10.75%, Maturing June 18, 2013
        891       859,595      
Term Loan, 15.00%, Maturing March 18, 2014(4)(5)
        694       414,717      
 
 
                $ 26,396,838      
 
 
 
 
Radio and Television — 3.5%
 
Clear Channel Communication
Term Loan, 3.89%, Maturing January 28, 2016
        1,969     $ 1,588,769      
Cumulus Media, Inc.
Term Loan, 5.75%, Maturing September 17, 2018
        4,661       4,711,835      
Entercom Radio, LLC
Term Loan, 6.28%, Maturing November 23, 2018
        535       541,356      
Foxco Acquisition Sub, LLC
Term Loan, 4.75%, Maturing July 14, 2015
        492       494,471      
Gray Television, Inc.
Term Loan, 3.75%, Maturing December 31, 2014
        630       627,953      
Hubbard Radio, LLC
Term Loan, 5.25%, Maturing April 28, 2017
        929       935,661      
LIN Television Corp.
Term Loan, 5.00%, Maturing December 21, 2018
        599       602,241      
Mission Broadcasting, Inc.
Term Loan, 5.00%, Maturing September 30, 2016
        517       518,580      
Nexstar Broadcasting, Inc.
Term Loan, 5.00%, Maturing September 30, 2016
        809       811,139      
Raycom TV Broadcasting, Inc.
Term Loan, 4.50%, Maturing May 31, 2017
        868       864,095      
Sinclair Television Group, Inc.
Term Loan, 4.00%, Maturing October 28, 2016
        736       739,487      
Univision Communications, Inc.
Term Loan, 4.49%, Maturing March 31, 2017
        4,784       4,474,714      
Weather Channel
Term Loan, 4.25%, Maturing February 13, 2017
        1,112       1,118,949      
 
 
                $ 18,029,250      
 
 
 
 
Rail Industries — 0.2%
 
RailAmerica, Inc.
Term Loan, 4.00%, Maturing March 1, 2019
        775     $ 778,391      
 
 
                $ 778,391      
 
 
 
 
Retailers (Except Food and Drug) — 5.8%
 
99 Cents Only Stores
Term Loan, 5.25%, Maturing January 11, 2019
        1,499     $ 1,505,174      
AMSCAN Holdings, Inc.
Term Loan, 6.75%, Maturing December 4, 2017
        3,995       4,019,515      
FTD, Inc.
Term Loan, 4.75%, Maturing June 11, 2018
        1,265       1,255,947      
Harbor Freight Tools USA, Inc.
Term Loan, 7.25%, Maturing December 22, 2017
        5,238       5,282,003      
J Crew Group, Inc.
Term Loan, 4.75%, Maturing March 7, 2018
        2,083       2,067,120      
Jo-Ann Stores, Inc.
Term Loan, 4.75%, Maturing March 19, 2018
        1,944       1,943,662      
Michaels Stores, Inc.
Term Loan, 5.00%, Maturing July 29, 2016
        926       932,633      
 
Neiman Marcus Group, Inc. (The)
Term Loan, 4.75%, Maturing May 16, 2018
        3,050       3,056,991      
Petco Animal Supplies, Inc.
Term Loan, 4.50%, Maturing November 24, 2017
        2,215       2,220,666      
Pilot Travel Centers LLC
Term Loan, 4.25%, Maturing March 30, 2018
        1,773       1,781,888      
Savers, Inc.
Term Loan, 4.25%, Maturing March 3, 2017
        1,116       1,124,107      
ServiceMaster Company
Term Loan, 2.74%, Maturing July 24, 2014
        223       221,006      
Term Loan, 2.80%, Maturing July 24, 2014
        2,239       2,219,349      
Visant Holding Corp.
Term Loan, 5.25%, Maturing December 22, 2016
        1,319       1,302,808      
Vivarte SA
Term Loan, 2.94%, Maturing March 9, 2015
  EUR     29       31,784      
Term Loan, 2.94%, Maturing March 9, 2015
  EUR     62       69,493      
Term Loan, 2.94%, Maturing March 9, 2015
  EUR     347       386,252      
Term Loan, 3.57%, Maturing March 8, 2016
  EUR     18       20,471      
Term Loan, 3.57%, Maturing March 8, 2016
  EUR     71       79,190      
Term Loan, 3.57%, Maturing March 8, 2016
  EUR     440       490,223      
 
 
                $ 30,010,282      
 
 
 
 
Steel — 0.2%
 
JMC Steel Group, Inc.
Term Loan, 4.75%, Maturing April 3, 2017
        693     $ 698,200      
SunCoke Energy, Inc.
Term Loan, 4.00%, Maturing July 26, 2018
        496       497,491      
 
 
                $ 1,195,691      
 
 
 

 
See Notes to Financial Statements.
15


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Portfolio of Investments (Unaudited) — continued

                         
        Principal
           
        Amount*
           
Borrower/Tranche Description       (000’s omitted)     Value      
 
 
Surface Transport — 1.0%
 
Hertz Corporation (The)
Term Loan, 3.75%, Maturing March 9, 2018
        3,490     $ 3,490,113      
Swift Transportation Co., Inc.
Term Loan, 5.00%, Maturing December 21, 2017
        1,905       1,925,140      
 
 
                $ 5,415,253      
 
 
 
 
Telecommunications — 6.0%
 
Alaska Communications Systems Holdings, Inc.
Term Loan, 5.50%, Maturing October 21, 2016
        1,802     $ 1,665,221      
Cellular South, Inc.
Term Loan, 4.50%, Maturing July 27, 2017
        844       843,625      
Crown Castle International Corporation
Term Loan, 4.00%, Maturing January 31, 2019
        1,870       1,874,697      
Intelsat Jackson Holdings S.A.
Term Loan, 5.25%, Maturing April 2, 2018
        10,247       10,314,813      
Macquarie UK Broadcast Limited
Term Loan, 3.19%, Maturing December 1, 2014
  GBP     755       1,116,388      
MetroPCS Wireless, Inc.
Term Loan, 4.00%, Maturing March 16, 2018
        3,960       3,930,267      
NTELOS Inc.
Term Loan, 4.00%, Maturing August 7, 2015
        908       908,272      
SBA Finance
Term Loan, 3.75%, Maturing June 29, 2018
        943       943,464      
Syniverse Technologies, Inc.
Term Loan, 5.00%, Maturing April 23, 2019
        1,850       1,856,938      
Telesat LLC
Term Loan, 4.25%, Maturing March 26, 2019
        6,825       6,828,201      
TowerCo Finance LLC
Term Loan, 4.50%, Maturing February 2, 2017
        668       671,591      
Windstream Corporation
Term Loan, 3.16%, Maturing December 17, 2015
        321       321,831      
 
 
                $ 31,275,308      
 
 
 
 
Utilities — 3.4%
 
AES Corporation
Term Loan, 4.25%, Maturing June 1, 2018
        2,574     $ 2,585,529      
BRSP, LLC
Term Loan, 7.50%, Maturing June 4, 2014
        757       764,650      
Calpine Corporation
Term Loan, 4.50%, Maturing April 2, 2018
        943       945,085      
Term Loan, 4.50%, Maturing April 2, 2018
        2,772       2,778,692      
Dynegy Midwest Generation LLC
Term Loan, 9.25%, Maturing August 4, 2016
        522       536,740      
Dynegy Power, LLC
Term Loan, 9.25%, Maturing August 4, 2016
        945       992,907      
Equipower Resources Holdings LLC
Term Loan, 5.75%, Maturing January 26, 2018
        530       499,535      
Invenergy LLC
Term Loan, 9.00%, Maturing November 21, 2017
        748       757,477      
NRG Energy, Inc.
Term Loan, 4.00%, Maturing July 2, 2018
        4,392       4,406,565      
Texas Competitive Electric Holdings Company, LLC
Term Loan, 4.74%, Maturing October 10, 2017
        5,832       3,210,006      
 
 
                $ 17,477,186      
 
 
             
Total Senior Floating-Rate Interests
           
(identified cost $757,718,744)
  $ 755,159,893      
 
 
                         
                         
Corporate Bonds & Notes — 9.0%
 
        Principal
           
        Amount*
           
Security       (000’s omitted)     Value      
 
 
 
Automotive — 0.0%(7)
 
American Axle & Manufacturing Holdings, Inc., Sr. Notes
9.25%, 1/15/17(8)
        104     $ 116,220      
 
 
                $ 116,220      
 
 
 
 
Brokers, Dealers and Investment Houses — 0.0%(7)
 
Alliance Data Systems Corp., Sr. Notes
6.375%, 4/1/20(8)
        55     $ 56,513      
 
 
                $ 56,513      
 
 
 
 
Business Equipment and Services — 0.1%
 
ACCO Brands Corporation
6.75%, 4/30/20(8)
        200     $ 208,000      
Brocade Communications Systems, Inc., Sr. Notes
6.625%, 1/15/18
        30       31,650      
6.875%, 1/15/20
        30       32,925      
Education Management, LLC, Sr. Notes
8.75%, 6/1/14
        280       273,700      
Lawson Software, Inc., Sr. Notes
9.375%, 4/1/19(8)
        60       63,000      
 
 
                $ 609,275      
 
 
 

 
See Notes to Financial Statements.
16


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Portfolio of Investments (Unaudited) — continued

                         
        Principal
           
        Amount*
           
Security       (000’s omitted)     Value      
 
 
Chemicals and Plastics — 1.3%
 
Hexion US Finance Corp., Sr. Notes
6.625%, 4/15/20(8)
        2,000     $ 2,100,000      
Ineos US Finance PLC
7.50%, 5/1/20(8)
        800       800,000      
Ineos US Finance PLC, Sr. Notes
7.25%, 2/15/19(8)
  EUR     1,000       1,330,319      
8.375%, 2/15/19(8)
        1,825       1,961,875      
LyondellBasell Industries N.V., Sr. Notes
5.00%, 4/15/19(8)
        225       233,437      
5.75%, 4/15/24(8)
        200       207,500      
 
 
                $ 6,633,131      
 
 
 
 
Containers and Glass Products — 0.4%
 
Berry Plastics Corp., Sr. Notes
5.217%, 2/15/15(9)
        2,000     $ 2,010,000      
 
 
                $ 2,010,000      
 
 
 
 
Cosmetics / Toiletries — 0.3%
 
Revlon Consumer Products Corp.
9.75%, 11/15/15
        1,415     $ 1,533,506      
 
 
                $ 1,533,506      
 
 
 
 
Ecological Services and Equipment — 0.1%
 
Environmental Systems Product Holdings, Inc., Jr. Notes
18.00%, 3/31/15(5)(8)
        373     $ 316,097      
 
 
                $ 316,097      
 
 
 
 
Equipment Leasing — 0.4%
 
Aircastle, Ltd., Sr. Notes
6.75%, 4/15/17(8)
        50     $ 50,750      
7.625%, 4/15/20(8)
        25       25,500      
International Lease Finance Corp., Sr. Notes
5.65%, 6/1/14
        1,000       1,027,500      
6.75%, 9/1/16(8)
        350       379,750      
7.125%, 9/1/18(8)
        350       386,750      
 
 
                $ 1,870,250      
 
 
 
 
Financial Intermediaries — 1.1%
 
Ally Financial, Inc.
2.688%, 12/1/14(9)
        55     $ 52,214      
First Data Corp., Sr. Notes
7.375%, 6/15/19(8)
        1,000       1,027,500      
Ford Motor Credit Co., LLC, Sr. Notes
12.00%, 5/15/15
        2,250       2,851,875      
8.00%, 12/15/16
        175       209,430      
UPCB Finance II, Ltd., Sr. Notes
6.375%, 7/1/20(8)
  EUR     1,000       1,297,226      
 
 
                $ 5,438,245      
 
 
 
 
Food Products — 0.0%(7)
 
Constellation Brands, Inc.
6.00%, 5/1/22
        105     $ 110,775      
 
 
                $ 110,775      
 
 
 
 
Health Care — 0.0%(7)
 
Accellent, Inc., Sr. Notes
8.375%, 2/1/17
        135     $ 136,856      
USPI Finance Corp.
9.00%, 4/1/20(8)
        60       63,150      
 
 
                $ 200,006      
 
 
 
 
Industrial Equipment — 0.2%
 
Terex Corp., Sr. Notes
10.875%, 6/1/16
        1,000     $ 1,137,500      
 
 
                $ 1,137,500      
 
 
 
 
Insurance — 0.0%(7)
 
Alliant Holdings I, Inc.
11.00%, 5/1/15(8)
        40     $ 41,950      
 
 
                $ 41,950      
 
 
 
 
Leisure Goods / Activities / Movies — 0.2%
 
AMC Entertainment, Inc., Sr. Notes
8.75%, 6/1/19
        110     $ 117,837      
National CineMedia, LLC, Sr. Notes
6.00%, 4/15/22(8)
        790       807,775      
Royal Caribbean Cruises, Sr. Notes
7.00%, 6/15/13
        95       99,750      
6.875%, 12/1/13
        35       37,188      
7.25%, 6/15/16
        25       26,938      
7.25%, 3/15/18
        50       53,625      
Seven Seas Cruises, S de RL, LLC
9.125%, 5/15/19(8)
        20       20,550      
 
 
                $ 1,163,663      
 
 
 

 
See Notes to Financial Statements.
17


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Portfolio of Investments (Unaudited) — continued

                         
        Principal
           
        Amount*
           
Security       (000’s omitted)     Value      
 
 
Lodging and Casinos — 1.2%
 
Buffalo Thunder Development Authority
9.375%, 12/15/14(6)(8)
        480     $ 181,200      
Caesars Entertainment Operating Co., Sr. Notes
8.50%, 2/15/20(8)
        2,100       2,168,250      
Harrah’s Operating Co., Inc., Sr. Notes
11.25%, 6/1/17
        1,500       1,665,000      
Inn of the Mountain Gods Resort & Casino, Sr. Notes
8.75%, 11/30/20(8)
        93       91,373      
Mohegan Tribal Gaming Authority
10.50%, 12/15/16(8)
        140       121,800      
11.00%, 9/15/18(8)
        445       314,837      
Peninsula Gaming, LLC
10.75%, 8/15/17
        1,000       1,107,500      
Tunica-Biloxi Gaming Authority, Sr. Notes
9.00%, 11/15/15(8)
        310       306,125      
Waterford Gaming, LLC, Sr. Notes
8.625%, 9/15/14(5)(8)
        191       110,550      
 
 
                $ 6,066,635      
 
 
 
 
Nonferrous Metals / Minerals — 0.3%
 
Cloud Peak Energy Resources, LLC/Cloud Peak Energy Finance Corp.
8.25%, 12/15/17(8)
        1,000     $ 1,015,000      
8.50%, 12/15/19
        335       342,537      
FMG Resources PTY, Ltd., Sr. Notes
7.00%, 11/1/15(8)
        40       41,600      
New Gold, Inc.
7.00%, 4/15/20(8)
        40       41,000      
 
 
                $ 1,440,137      
 
 
 
 
Oil and Gas — 0.2%
 
Chaparral Energy, Inc.
7.625%, 11/15/22(8)
        65     $ 66,463      
Everest Acquisition, LLC, Sr. Notes
6.875%, 5/1/19(8)
        290       304,862      
9.375%, 5/1/20(8)
        210       223,912      
Laredo Petroleum, Inc., Sr. Notes
7.375%, 5/1/22(8)
        55       57,063      
Petroleum Development Corp., Sr. Notes
12.00%, 2/15/18
        115       124,775      
Quicksilver Resources, Inc., Sr. Notes
11.75%, 1/1/16
        125       132,188      
SESI, LLC, Sr. Notes
6.875%, 6/1/14
        60       60,450      
 
 
                $ 969,713      
 
 
 
 
Publishing — 0.2%
 
Laureate Education, Inc.
10.00%, 8/15/15(8)
        1,160     $ 1,209,300      
 
 
                $ 1,209,300      
 
 
 
 
Radio and Television — 0.3%
 
Entravision Communications Corp., Sr. Notes
8.75%, 8/1/17(8)
        1,000     $ 1,060,000      
XM Satellite Radio Holdings, Inc.
13.00%, 8/1/14(8)
        485       551,081      
 
 
                $ 1,611,081      
 
 
 
 
Rail Industries — 0.1%
 
American Railcar Industry, Sr. Notes
7.50%, 3/1/14
        175     $ 178,063      
Kansas City Southern Mexico, Sr. Notes
8.00%, 2/1/18
        500       561,250      
 
 
                $ 739,313      
 
 
 
 
Retailers (Except Food and Drug) — 0.2%
 
Amscan Holdings, Inc., Sr. Sub. Notes
8.75%, 5/1/14
        400     $ 402,504      
HD Supply, Inc.
11.00%, 4/15/20(8)
        160       172,000      
HD Supply, Inc., Sr. Notes
8.125%, 4/15/19(8)
        110       118,388      
Michaels Stores, Inc.
7.75%, 11/1/18
        140       148,050      
Toys “R” Us
10.75%, 7/15/17
        40       44,200      
Toys “R” Us, Sr. Notes
7.875%, 4/15/13
        205       211,150      
 
 
                $ 1,096,292      
 
 
 
 
Steel — 0.0%
 
RathGibson, Inc., Sr. Notes
11.25%, 2/15/14(5)(6)
        445     $ 0      
 
 
                $ 0      
 
 
 

 
See Notes to Financial Statements.
18


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Portfolio of Investments (Unaudited) — continued

                         
        Principal
           
        Amount*
           
Security       (000’s omitted)     Value      
 
 
Telecommunications — 0.7%
 
Avaya, Inc., Sr. Notes
9.75%, 11/1/15
        840     $ 836,850      
Digicel Group, Ltd., Sr. Notes
8.875%, 1/15/15(8)
        815       823,150      
Hughes Satellite Systems Corp., Sr. Notes
6.50%, 6/15/19
        1,000       1,075,000      
Intelsat Bermuda, Ltd.
11.25%, 6/15/16
        210       221,288      
Intelsat Jackson Holdings S.A.
7.25%, 10/15/20(8)
        160       167,600      
Telesat Canada/Telesat, LLC, Sr. Notes
11.00%, 11/1/15
        405       432,337      
 
 
                $ 3,556,225      
 
 
 
 
Utilities — 1.7%
 
Calpine Corp., Sr. Notes
7.50%, 2/15/21(8)
        4,725     $ 5,079,375      
7.875%, 1/15/23(8)
        3,350       3,626,375      
Reliant Energy, Inc., Sr. Notes
7.625%, 6/15/14
        20       20,500      
 
 
                $ 8,726,250      
 
 
             
Total Corporate Bonds & Notes
           
(identified cost $44,750,539)
  $ 46,652,077      
 
 
                         
                         
Asset-Backed Securities — 1.1%
 
        Principal
           
        Amount
           
Security       (000’s omitted)     Value      
 
 
Alzette European CLO SA, Series 2004-1A, Class E2, 6.974%, 12/15/20(9)
      $ 343     $ 287,915      
Avalon Capital Ltd. 3, Series 1A, Class D, 2.442%, 2/24/19(8)(9)
        589       463,074      
Babson Ltd., Series 2005-1A, Class C1, 2.417%, 4/15/19(8)(9)
        753       545,466      
Carlyle High Yield Partners, Series 2004-6A, Class C, 2.96%, 8/11/16(8)(9)
        1,000       886,124      
Centurion CDO 8 Ltd., Series 2005-8A, Class D, 5.975%, 3/8/17(9)
        985       846,621      
Centurion CDO 9 Ltd., Series 2005-9A, Class D1, 5.216%, 7/17/19(9)
        750       570,533      
Comstock Funding Ltd., Series 2006-1A, Class D, 4.739%, 5/30/20(8)(9)
        692       510,188      
First CLO Ltd., Series 2004-1A1, Class C, 2.766%, 7/27/16(8)(9)
        1,000       941,705      
Schiller Park CLO Ltd., Series 2007-1A, Class D, 2.81%, 4/25/21(8)(9)
        1,000       740,222      
 
 
             
Total Asset-Backed Securities
           
(identified cost $6,934,266)
  $ 5,791,848      
 
 
                         
                         
Common Stocks — 1.4%
 
Security       Shares     Value      
 
 
 
Air Transport — 0.0%(7)
 
Delta Air Lines, Inc.(10)
        3,971     $ 43,522      
 
 
                $ 43,522      
 
 
 
 
Automotive — 0.1%
 
Dayco Products, LLC(10)(11)
        18,702     $ 659,245      
 
 
                $ 659,245      
 
 
 
 
Building and Development — 0.1%
 
Panolam Industries International, Inc.(5)(10)(12)
        253     $ 412,416      
United Subcontractors, Inc.(5)(10)(11)
        508       36,254      
 
 
                $ 448,670      
 
 
 
 
Diversified Manufacturing — 0.0%(7)
 
MEGA Brands, Inc.(10)
        16,150     $ 99,562      
 
 
                $ 99,562      
 
 
 
 
Ecological Services and Equipment — 0.1%
 
Environmental Systems Products Holdings, Inc.(5)(10)(12)
        6,211     $ 565,201      
 
 
                $ 565,201      
 
 
 
 
Financial Intermediaries — 0.0%(7)
 
RTS Investor Corp.(5)(10)(11)
        78     $ 6,219      
 
 
                $ 6,219      
 
 
 
 
Food Service — 0.0%
 
Buffets, Inc.(5)(10)
        23,029     $ 0      
 
 
                $ 0      
 
 
 
 
Leisure Goods / Activities / Movies — 0.3%
 
Metro-Goldwyn-Mayer Holdings, Inc.(10)(11)
        50,438     $ 1,377,527      
 
 
                $ 1,377,527      
 
 
 

 
See Notes to Financial Statements.
19


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Portfolio of Investments (Unaudited) — continued

                         
Security       Shares     Value      
 
 
Lodging and Casinos — 0.1%
 
Greektown Superholdings, Inc.(10)
        71     $ 3,657      
Tropicana Entertainment, Inc.(5)(10)(11)
        35,670       526,132      
 
 
                $ 529,789      
 
 
 
 
Nonferrous Metals / Minerals — 0.0%(7)
 
Euramax International, Inc.(5)(10)(11)
        701     $ 210,360      
 
 
                $ 210,360      
 
 
 
 
Oil and Gas — 0.0%(7)
 
SemGroup Corp.(10)
        1,397     $ 44,425      
 
 
                $ 44,425      
 
 
 
 
Publishing — 0.7%
 
Ion Media Networks, Inc.(5)(10)(11)
        3,990     $ 3,192,000      
MediaNews Group, Inc.(5)(10)(11)
        10,718       214,465      
Source Interlink Companies, Inc.(5)(10)(11)
        2,290       0      
SuperMedia, Inc.(10)(11)
        9,554       16,433      
 
 
                $ 3,422,898      
 
 
             
Total Common Stocks
           
(identified cost $4,137,579)
  $ 7,407,418      
 
 
                         
                         
Preferred Stocks — 0.0%(7)
 
Security       Shares     Value      
 
 
 
Ecological Services and Equipment — 0.0%(7)
 
Environmental Systems Products Holdings, Inc., Series A(5)(10)(12)
        1,422     $ 89,586      
 
 
             
Total Preferred Stocks
           
(identified cost $24,885)
  $ 89,586      
 
 
                         
                         
Warrants — 0.0%(7)
 
Security       Shares     Value      
 
 
 
Oil and Gas — 0.0%(7)
 
SemGroup Corp., Expires 11/30/14(10)
        1,470     $ 13,046      
 
 
                $ 13,046      
 
 
 
 
Publishing — 0.0%
 
Reader’s Digest Association, Inc. (The), Expires 2/14/19(5)(10)(11)
        1,450     $ 0      
 
 
                $ 0      
 
 
 
 
Retailers (Except Food and Drug) — 0.0%
 
Oriental Trading Co., Inc., Expires 2/11/16(5)(10)(11)
        6,134     $ 0      
Oriental Trading Co., Inc., Expires 2/11/16(5)(10)(11)
        6,730       0      
 
 
                $ 0      
 
 
             
Total Warrants
           
(identified cost $15)
  $ 13,046      
 
 
                         
                         
Short-Term Investments — 6.3%
 
        Interest/
           
        Principal
           
        Amount
           
Description       (000’s omitted)     Value      
 
 
Eaton Vance Cash Reserves Fund, LLC, 0.09%(13)
      $ 18,590     $ 18,590,226      
State Street Bank and Trust Euro Time Deposit, 0.01%, 5/1/12
        13,960       13,960,470      
 
 
             
Total Short-Term Investments
           
(identified cost $32,550,696)
  $ 32,550,696      
 
 
             
Total Investments — 162.9%
           
(identified cost $846,116,724)
  $ 847,664,564      
 
 
                     
Less Unfunded Loan Commitments — (0.1)%
          $ (581,885 )    
 
 
             
Net Investments — 162.8%
           
(identified cost $845,534,839)
  $ 847,082,679      
 
 
                     
Other Assets, Less Liabilities — (37.6)%
          $ (195,357,971 )    
 
 
 
                     
Auction Preferred Shares Plus Cumulative Unpaid Dividends — (25.2)%
          $ (131,303,158 )    
 
 
                     
Net Assets Applicable to Common Shares — 100.0%
          $ 520,421,550      
 
 
 
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

 
See Notes to Financial Statements.
20


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Portfolio of Investments (Unaudited) — continued

 
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) Unfunded or partially unfunded loan commitments. See Note 1G for description.
 
(3) This Senior Loan will settle after April 30, 2012, at which time the interest rate will be determined.
 
(4) Represents a payment-in-kind security which may pay all or a portion of interest in additional par.
 
(5) For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 14).
 
(6) 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.
 
(7) Amount is less than 0.05%.
 
(8) 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 April 30, 2012, the aggregate value of these securities is $33,431,945 or 6.4% of the Trust’s net assets applicable to common shares.
 
(9) Variable rate security. The stated interest rate represents the rate in effect at April 30, 2012.
 
(10) Non-income producing security.
 
(11) Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale.
 
(12) Restricted security (see Note 8).
 
(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 April 30, 2012.

 
See Notes to Financial Statements.
21


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Statement of Assets and Liabilities (Unaudited)

 
             
Assets   April 30, 2012    
 
Unaffiliated investments, at value (identified cost, $826,944,613)
  $ 828,492,453      
Affiliated investment, at value (identified cost, $18,590,226)
    18,590,226      
Foreign currency, at value (identified cost, $2,833)
    2,832      
Interest
    4,291,079      
Interest receivable from affiliated investment
    1,140      
Receivable for investments sold
    2,594,277      
Receivable for open forward foreign currency exchange contracts
    148,945      
Tax reclaims receivable
    11,197      
Prepaid expenses
    30,192      
Other assets
    10,281      
 
 
Total assets
  $ 854,172,622      
 
 
             
             
 
Liabilities
 
Notes payable
  $ 175,000,000      
Payable for investments purchased
    16,399,130      
Payable for open forward foreign currency exchange contracts
    225,238      
Due to custodian
    9,999,974      
Payable to affiliates:
           
Investment adviser fee
    502,369      
Trustees’ fees
    2,727      
Accrued expenses
    318,476      
 
 
Total liabilities
  $ 202,447,914      
 
 
Auction preferred shares (5,252 shares outstanding) at liquidation value plus cumulative unpaid dividends
  $ 131,303,158      
 
 
Net assets applicable to common shares
  $ 520,421,550      
 
 
             
             
 
Sources of Net Assets
 
Common shares, $0.01 par value, unlimited number of shares authorized, 33,778,557 shares issued and outstanding
  $ 337,786      
Additional paid-in capital
    637,645,679      
Accumulated net realized loss
    (119,906,491 )    
Accumulated undistributed net investment income
    950,747      
Net unrealized appreciation
    1,393,829      
 
 
Net assets applicable to common shares
  $ 520,421,550      
 
 
             
             
 
Net Asset Value Per Common Share
 
($520,421,550 ¸ 33,778,557 common shares issued and outstanding)
  $ 15.41      
 
 

 
See Notes to Financial Statements.
22


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Statement of Operations (Unaudited)

 
             
    Six Months Ended
   
Investment Income   April 30, 2012    
 
Interest and other income
  $ 22,306,512      
Interest income allocated from affiliated investment
    7,283      
Expenses allocated from affiliated investment
    (1,186 )    
 
 
Total investment income
  $ 22,312,609      
 
 
             
             
 
Expenses
 
Investment adviser fee
  $ 3,010,563      
Trustees’ fees and expenses
    16,915      
Custodian fee
    181,062      
Transfer and dividend disbursing agent fees
    9,316      
Legal and accounting services
    68,863      
Printing and postage
    48,535      
Interest expense and fees
    1,087,072      
Preferred shares service fee
    99,683      
Miscellaneous
    78,002      
 
 
Total expenses
  $ 4,600,011      
 
 
Deduct —
           
Reduction of investment adviser fee
  $ 29,525      
Reduction of custodian fee
    6      
 
 
Total expense reductions
  $ 29,531      
 
 
             
Net expenses
  $ 4,570,480      
 
 
             
Net investment income
  $ 17,742,129      
 
 
             
             
 
Realized and Unrealized Gain (Loss)
 
Net realized gain (loss) —
           
Investment transactions
  $ 2,757,340      
Investment transactions allocated from affiliated investment
    134      
Foreign currency and forward foreign currency exchange contract transactions
    1,644,180      
 
 
Net realized gain
  $ 4,401,654      
 
 
Change in unrealized appreciation (depreciation) —
           
Investments
  $ 12,689,047      
Foreign currency and forward foreign currency exchange contracts
    (531,961 )    
 
 
Net change in unrealized appreciation (depreciation)
  $ 12,157,086      
 
 
             
Net realized and unrealized gain
  $ 16,558,740      
 
 
             
Distributions to preferred shareholders
           
 
 
From net investment income
  $ (99,808 )    
 
 
             
Net increase in net assets from operations
  $ 34,201,061      
 
 

 
See Notes to Financial Statements.
23


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Statements of Changes in Net Assets

 
                     
    Six Months Ended
       
    April 30, 2012
  Year Ended
   
Increase (Decrease) in Net Assets   (Unaudited)   October 31, 2011    
 
From operations —
                   
Net investment income
  $ 17,742,129     $ 34,231,038      
Net realized gain (loss) from investment, foreign currency and forward foreign currency exchange contract transactions
    4,401,654       (2,200,051 )    
Net change in unrealized appreciation (depreciation) from investments, foreign currency and forward foreign currency exchange contracts
    12,157,086       1,468,163      
Distributions to preferred shareholders —
                   
From net investment income
    (99,808 )     (291,157 )    
 
 
Net increase in net assets from operations
  $ 34,201,061     $ 33,207,993      
 
 
Distributions to common shareholders —
                   
From net investment income
  $ (17,325,423 )   $ (35,840,010 )    
 
 
Total distributions to common shareholders
  $ (17,325,423 )   $ (35,840,010 )    
 
 
Capital share transactions —
                   
Reinvestment of distributions to common shareholders
  $ 163,366     $ 817,192      
 
 
Net increase in net assets from capital share transactions
  $ 163,366     $ 817,192      
 
 
                     
Net increase (decrease) in net assets
  $ 17,039,004     $ (1,814,825 )    
 
 
                     
                     
 
Net Assets Applicable to Common Shares
 
At beginning of period
  $ 503,382,546     $ 505,197,371      
 
 
At end of period
  $ 520,421,550     $ 503,382,546      
 
 
                     
                     
 
Accumulated undistributed net investment income
included in net assets applicable to common shares
 
At end of period
  $ 950,747     $ 633,849      
 
 

 
See Notes to Financial Statements.
24


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Statement of Cash Flows (Unaudited)

 
             
    Six Months Ended
   
Cash Flows From Operating Activities   April 30, 2012    
 
Net increase in net assets from operations
  $ 34,201,061      
Distributions to preferred shareholders
    99,808      
 
 
Net increase in net assets from operations excluding distributions to preferred shareholders
  $ 34,300,869      
Adjustments to reconcile net increase in net assets from operations to net cash used in operating activities:
           
Investments purchased
    (181,347,317 )    
Investments sold and principal repayments
    173,173,775      
Increase in short-term investments, net
    (21,350,447 )    
Net amortization/accretion of premium (discount)
    (2,142,945 )    
Decrease in restricted cash
    780,000      
Increase in interest receivable
    (367,399 )    
Increase in interest receivable from affiliated investment
    (293 )    
Decrease in receivable for investments sold
    5,376,087      
Decrease in receivable for open forward foreign currency exchange contracts
    730,056      
Increase in tax reclaims receivable
    (11,197 )    
Increase in prepaid expenses
    (3,314 )    
Decrease in payable for investments purchased
    (1,081,620 )    
Decrease in payable for open forward foreign currency exchange contracts
    (378,064 )    
Increase in payable to affiliate for investment adviser fee
    35,394      
Increase in payable to affiliate for Trustees’ fees
    558      
Decrease in accrued expenses
    (88,199 )    
Increase in unfunded loan commitments
    219,324      
Net change in unrealized (appreciation) depreciation from investments
    (12,689,047 )    
Net realized gain from investments
    (2,757,340 )    
 
 
Net cash used in operating activities
  $ (7,601,119 )    
 
 
             
             
 
Cash Flows From Financing Activities
 
Distributions paid to common shareholders, net of reinvestments
  $ (17,162,057 )    
Cash distributions to preferred shareholders
    (105,710 )    
Proceeds from notes payable
    10,000,000      
Increase in due to custodian
    9,999,974      
 
 
Net cash provided by financing activities
  $ 2,732,207      
 
 
             
Net decrease in cash*
  $ (4,868,912 )    
 
 
             
Cash at beginning of period(1)
  $ 4,871,744      
 
 
             
Cash at end of period(1)
  $ 2,832      
 
 
             
             
 
Supplemental disclosure of cash flow information:
 
Noncash financing activities not included herein consist of:
           
Reinvestment of dividends and distributions
  $ 163,366      
Cash paid for interest and fees on borrowings
  $ 1,123,111      
 
 
 
* Includes net change in unrealized appreciation (depreciation) on foreign currency of $(48,826).
(1) Balance includes foreign currency, at value.

 
See Notes to Financial Statements.
25


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Financial Highlights
Selected data for a common share outstanding during the periods stated

 
                                                     
    Six Months Ended
  Year Ended October 31,    
    April 30, 2012
 
    (Unaudited)   2011   2010   2009   2008   2007    
 
Net asset value — Beginning of period (Common shares)
  $ 14.910     $ 14.980     $ 13.700     $ 10.190     $ 17.800     $ 18.690      
 
 
                                                     
                                                     
 
Income (Loss) From Operations
 
Net investment income(1)
  $ 0.525     $ 1.014     $ 1.025     $ 0.978     $ 1.665     $ 2.177      
Net realized and unrealized gain (loss)
    0.491       (0.013 )     1.374       3.423       (7.647 )     (0.861 )    
Distributions to preferred shareholders
                                                   
From net investment income(1)
    (0.003 )     (0.009 )     (0.011 )     (0.028 )     (0.367 )     (0.634 )    
 
 
Total income (loss) from operations
  $ 1.013     $ 0.992     $ 2.388     $ 4.373     $ (6.349 )   $ 0.682      
 
 
                                                     
                                                     
 
Less Distributions to Common Shareholders
 
From net investment income
  $ (0.513 )   $ (1.062 )   $ (1.108 )   $ (0.863 )   $ (1.142 )   $ (1.542 )    
Tax return of capital
                            (0.119 )     (0.030 )    
 
 
Total distributions to common shareholders
  $ (0.513 )   $ (1.062 )   $ (1.108 )   $ (0.863 )   $ (1.261 )   $ (1.572 )    
 
 
                                                     
Net asset value — End of period (Common shares)
  $ 15.410     $ 14.910     $ 14.980     $ 13.700     $ 10.190     $ 17.800      
 
 
                                                     
Market value — End of period (Common shares)
  $ 15.640     $ 14.550     $ 15.640     $ 12.980     $ 9.480     $ 16.200      
 
 
                                                     
Total Investment Return on Net Asset Value(2)
    6.95 %(3)     6.69 %     17.93 %     46.90 %     (37.33 )%     3.93 %    
 
 
                                                     
Total Investment Return on Market Value(2)
    11.23 %(3)     (0.28 )%     29.96 %     49.61 %     (35.90 )%     (3.13 )%    
 
 
                                                     
                                                     

 
See Notes to Financial Statements.
26


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Financial Highlights — continued
Selected data for a common share outstanding during the periods stated

 
                                                     
    Six Months Ended
  Year Ended October 31,    
    April 30, 2012
 
Ratios/Supplemental Data   (Unaudited)   2011   2010   2009   2008   2007    
 
Net assets applicable to common shares, end of period (000’s omitted)
  $ 520,422     $ 503,383     $ 505,197     $ 460,700     $ 342,457     $ 598,214      
Ratios (as a percentage of average daily net assets applicable to common shares):(4)
                                                   
Expenses excluding interest and fees(5)
    1.38 %(6)     1.29 %     1.22 %     1.21 %     1.18 %     1.18 %    
Interest and fee expense(7)
    0.43 %(6)     0.44 %     0.49 %     1.15 %     0.99 %          
Total expenses
    1.81 %(6)     1.73 %     1.71 %     2.36 %     2.17 %     1.18 %    
Net investment income
    7.01 %(6)     6.69 %     7.11 %     9.21 %     10.66 %     11.79 %    
Portfolio Turnover
    22 %(3)     49 %     36 %     42 %     21 %     58 %    
 
 
The ratios reported above are based on net assets applicable solely to common shares. The ratios based on net assets, including amounts related to preferred shares and borrowings, are as follows:
Ratios (as a percentage of average daily net assets applicable to common shares plus preferred shares and borrowings):(4)
                                                   
Expenses excluding interest and fees(5)
    0.87 %(6)     0.83 %     0.77 %     0.74 %     0.68 %     0.72 %    
Interest and fee expense(7)
    0.27 %(6)     0.28 %     0.31 %     0.70 %     0.57 %          
Total expenses
    1.14 %(6)     1.11 %     1.08 %     1.44 %     1.25 %     0.72 %    
Net investment income
    4.43 %(6)     4.28 %     4.50 %     5.63 %     6.12 %     7.21 %    
 
 
Senior Securities:
                                                   
Total notes payable outstanding (in 000’s)
  $ 175,000     $ 165,000     $ 150,000     $ 150,000     $ 154,200     $      
Asset coverage per $1,000 of notes payable(8)
  $ 4,724     $ 4,847     $ 5,243     $ 4,947     $ 4,074     $      
Total preferred shares outstanding
    5,252       5,252       5,252       5,252       5,252       15,760      
Asset coverage per preferred share
  $ 67,477 (9)   $ 67,473 (9)   $ 69,900 (9)   $ 65,945 (9)   $ 55,060 (9)   $ 63,001 (10)    
Involuntary liquidation preference per preferred share(11)
  $ 25,000     $ 25,000     $ 25,000     $ 25,000     $ 25,000     $ 25,000      
Approximate market value per preferred share(11)
  $ 25,000     $ 25,000     $ 25,000     $ 25,000     $ 25,000     $ 25,000      
 
 
 
(1) Computed using average shares outstanding.
(2) Returns are historical and are calculated by determining the percentage change in net asset value or market value with all distributions reinvested.
(3) Not annualized.
(4) Ratios do not reflect the effect of dividend payments to preferred shareholders.
(5) Excludes the effect of custody fee credits, if any, of less than 0.005%.
(6) Annualized.
(7) Interest and fee expense relates to the notes payable incurred to partially redeem the Trust’s APS (see Note 11).
(8) Calculated by subtracting the Trust’s total liabilities (not including the notes payable and preferred shares) from the Trust’s total assets, and dividing the result by the notes payable balance in thousands.
(9) Calculated by subtracting the Trust’s total liabilities (not including the notes payable and preferred shares) from the Trust’s total assets, dividing the result by the sum of the value of the notes payable and liquidation value of preferred shares, and multiplying the result by the liquidation value of one preferred share. Such amount equates to 270% at April 30, 2012, and 270%, 280%, 264% and 220% at October 31, 2011, 2010, 2009 and 2008, respectively.
(10) Calculated by subtracting the Trust’s total liabilities (not including the preferred shares) from the Trust’s total assets, and dividing the result by the number of preferred shares outstanding.
(11) Plus accumulated and unpaid dividends.

 
See Notes to Financial Statements.
27


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Notes to Financial Statements (Unaudited)

 
1 Significant Accounting Policies
 
Eaton Vance Senior Floating-Rate Trust (the Trust) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a diversified, closed-end management investment company. The Trust’s primary investment objective is to provide a high level of current income. The Trust may, as a secondary objective, also seek preservation of capital to the extent consistent with its primary objective.
 
The following is a summary of significant accounting policies of the Trust. The policies are in conformity with accounting principles generally accepted in the United States of America.
 
A Investment Valuation — Interests in senior floating-rate loans (Senior Loans) for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service. Other Senior Loans are valued at fair value by the investment adviser under procedures approved by the Trustees. In fair valuing a Senior Loan, the investment adviser utilizes one or more of the valuation techniques described in (i) through (iii) below to assess the likelihood that the borrower will make a full repayment of the loan underlying such Senior Loan relative to yields on other Senior Loans issued by companies of comparable credit quality. If the investment adviser believes that there is a reasonable likelihood of full repayment, the investment adviser will determine fair value using a matrix pricing approach that considers the yield on the Senior Loan. If the investment adviser believes there is not a reasonable likelihood of full repayment, the investment adviser will determine fair value using analyses that include, but are not limited to: (i) a comparison of the value of the borrower’s outstanding equity and debt to that of comparable public companies; (ii) a discounted cash flow analysis; or (iii) when the investment adviser believes it is likely that a borrower will be liquidated or sold, an analysis of the terms of such liquidation or sale. In certain cases, the investment adviser will use a combination of analytical methods to determine fair value, such as when only a portion of a borrower’s assets are likely to be sold. In conducting its assessment and analyses for purposes of determining fair value of a Senior Loan, the investment adviser will use its discretion and judgment in considering and appraising relevant factors. Fair value determinations are made by the portfolio managers of the Trust based on information available to such managers. The portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may not possess the same information about a Senior Loan borrower as the portfolio managers of the Trust. At times, the fair value of a Senior Loan determined by the portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may vary from the fair value of the same Senior Loan determined by the portfolio managers of the Trust. The fair value of each Senior Loan is periodically reviewed and approved by the investment adviser’s Valuation Committee and by the Trustees based upon procedures approved by the Trustees. Junior Loans (i.e., subordinated loans and second lien loans) are valued in the same manner as Senior Loans.
 
Debt obligations (including short-term obligations with a remaining maturity of more than sixty days) are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker/dealer quotations, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. Short-term obligations purchased with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates market value.
 
Equity securities (including common shares of closed-end investment companies) listed on a U.S. securities exchange generally are valued at the last sale or closing price on the day of valuation or, if no sales took place on such date, at the mean between the closing bid and asked prices therefore on the exchange where such securities are principally traded. Equity securities listed on the NASDAQ Global or Global Select Market generally are valued at the NASDAQ official closing price. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and asked prices or, in the case of preferred equity securities that are not listed or traded in the over-the-counter market, by a third party pricing service that will use various techniques that consider factors including, but not limited to, prices or yields of securities with similar characteristics, benchmark yields, broker/dealer quotes, quotes of underlying common stock, issuer spreads, as well as industry and economic events. Forward foreign currency exchange contracts are generally valued at the mean of the average bid and average asked prices that are reported by currency dealers to a third party pricing service at the valuation time. Such third party pricing service valuations are supplied for specific settlement periods and the Trust’s forward foreign currency exchange contracts are valued at an interpolated rate between the closest preceding and subsequent settlement period reported by the third party pricing service. Foreign securities and currencies are valued in U.S. dollars, based on foreign currency exchange rate quotations supplied by a third party pricing service. The pricing service uses a proprietary model to determine the exchange rate. Inputs to the model include reported trades and implied bid/ask spreads. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Trust in a manner that fairly reflects the security’s value, or the amount that the Trust might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
 
The Trust may invest in Eaton Vance Cash Reserves Fund, LLC (Cash Reserves Fund), an affiliated investment company managed by Eaton Vance Management (EVM). Cash Reserves Fund generally values its investment securities utilizing the amortized cost valuation technique in accordance with Rule 2a-7 under the 1940 Act. This technique involves initially valuing a portfolio security at its cost and thereafter assuming a constant amortization to maturity of any discount or premium. If amortized cost is determined not to approximate fair value, Cash Reserves Fund may value its investment securities in the same manner as debt obligations described above.

 
28


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Notes to Financial Statements (Unaudited) — continued

 
B Investment Transactions — Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost.
 
C Income — Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Fees associated with loan amendments are recognized immediately. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities.
 
D Federal Taxes — The Trust’s policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders each year substantially all of its net investment income, and all or substantially all of its net realized capital gains. Accordingly, no provision for federal income or excise tax is necessary.
 
At October 31, 2011, the Trust, for federal income tax purposes, had a capital loss carryforward of $123,862,786 which will reduce its taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus will reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Trust of any liability for federal income or excise tax. Such capital loss carryforward will expire on October 31, 2012 ($5,860,075), October 31, 2013 ($4,807,956), October 31, 2014 ($1,142,602), October 31, 2015 ($2,782,217), October 31, 2016 ($63,478,422), October 31, 2017 ($33,311,438), October 31, 2018 ($11,668,372) and October 31, 2019 ($811,704).
 
As of April 30, 2012, the Trust had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Trust files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
 
E Expense Reduction — State Street Bank and Trust Company (SSBT) serves as custodian of the Trust. Pursuant to the custodian agreement, SSBT receives a fee reduced by credits, which are determined based on the average daily cash balance the Trust maintains with SSBT. All credit balances, if any, used to reduce the Trust’s custodian fees are reported as a reduction of expenses in the Statement of Operations.
 
F Foreign Currency Translation — Investment valuations, other assets, and liabilities initially expressed in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates in effect on the respective dates of such transactions. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
 
G 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. These commitments are disclosed in the accompanying Portfolio of Investments. At April 30, 2012, the Trust had sufficient cash and/or securities to cover these commitments.
 
H Use of Estimates — The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.
 
I Indemnifications — Under the Trust’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Trust. Under Massachusetts law, if certain conditions prevail, shareholders of a Massachusetts business trust (such as the Trust) could be deemed to have personal liability for the obligations of the Trust. However, the Trust’s Declaration of Trust contains an express disclaimer of liability on the part of Trust shareholders and the By-laws provide that the Trust shall assume the defense on behalf of any Trust shareholders. Moreover, the By-laws also provide for indemnification out of Fund property of any shareholder held personally liable solely by reason of being or having been a shareholder for all loss or expense arising from such liability. Additionally, in the normal course of business, the Trust enters into agreements with service providers that may contain indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
 
J Forward Foreign Currency Exchange Contracts — The Trust may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contracts have been closed or offset by another contract with the same broker for the same settlement date and currency. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from movements in the value of a foreign currency relative to the U.S. dollar.
 
K Statement of Cash Flows — The cash amount shown in the Statement of Cash Flows of the Trust is the amount included in the Trust’s Statement of Assets and Liabilities and represents the cash on hand at its custodian and does not include any short-term investments.
 
L Interim Financial Statements — The interim financial statements relating to April 30, 2012 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Trust’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.

 
29


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Notes to Financial Statements (Unaudited) — continued

 
2 Auction Preferred Shares
 
The Trust issued Auction Preferred Shares (APS) on January 26, 2004 in a public offering. The underwriting discount and other offering costs incurred in connection with the offering were recorded as a reduction of the paid-in capital of the common shares. Dividends on the APS, which accrue daily, are cumulative at rates which are reset weekly for Series A and Series B, and approximately monthly for Series C and Series D by an auction, unless a special dividend period has been set. Series of APS are identical in all respects except for the reset dates of the dividend rates. If the APS auctions do not successfully clear, the dividend payment rate over the next period for the APS holders is set at a specified maximum applicable rate until such time as the APS auctions are successful. Auctions have not cleared since February 13, 2008 and the rate since that date has been the maximum applicable rate (see Note 3). The maximum applicable rate on the APS is 150% of the “AA” Financial Composite Commercial Paper Rate at the date of the auction.
 
The number of APS issued and outstanding as of April 30, 2012 is as follows:
 
             
    APS Issued and
   
    Outstanding    
 
 
Series A
    1,313      
Series B
    1,313      
Series C
    1,313      
Series D
    1,313      
             
 
 
 
The APS are redeemable at the option of the Trust at a redemption price equal to $25,000 per share, plus accumulated and unpaid dividends, on any dividend payment date. The APS are also subject to mandatory redemption at a redemption price equal to $25,000 per share, plus accumulated and unpaid dividends, if the Trust is in default for an extended period on its asset maintenance requirements with respect to the APS. If the dividends on the APS remain unpaid in an amount equal to two full years’ dividends, the holders of the APS as a class have the right to elect a majority of the Board of Trustees. In general, the holders of the APS and the common shares have equal voting rights of one vote per share, except that the holders of the APS, as a separate class, have the right to elect at least two members of the Board of Trustees. The APS have a liquidation preference of $25,000 per share, plus accumulated and unpaid dividends. The Trust is required to maintain certain asset coverage with respect to the APS as defined in the Trust’s By-Laws and the 1940 Act. The Trust pays an annual fee up to 0.15% of the liquidation value of the APS to broker/dealers as a service fee if the auctions are unsuccessful; otherwise, the annual fee is 0.25%.
 
3 Distributions to Shareholders
 
The Trust intends to make monthly distributions of net investment income to common shareholders, after payment of any dividends on any outstanding APS. In addition, at least annually, the Trust intends to distribute all or substantially all of its net realized capital gains (reduced by available capital loss carryforwards from prior years, if any). Distributions to common shareholders are recorded on the ex-dividend date. Distributions to preferred shareholders are recorded daily and are payable at the end of each dividend period. The dividend rates for the APS at April 30, 2012, and the amount of dividends accrued (including capital gains, if any) to APS shareholders, average APS dividend rates (annualized), and dividend rate ranges for the six months then ended were as follows:
 
                                     
    APS Dividend
  Dividends
  Average APS
  Dividend
   
    Rates at
  Accrued to APS
  Dividend
  Rate
   
    April 30, 2012   Shareholders   Rates   Ranges (%)    
 
 
Series A
    0.11 %   $ 22,689       0.14 %     0.05–0.75      
Series B
    0.11       22,688       0.14       0.05–0.75      
Series C
    0.09       33,856       0.21       0.05–0.50      
Series D
    0.11       20,575       0.13       0.05–0.21      
                                     
 
 
 
Beginning February 13, 2008 and consistent with the patterns in the broader market for auction-rate securities, the Trust’s APS auctions were unsuccessful in clearing due to an imbalance of sell orders over bids to buy the APS. As a result, the dividend rates of the APS were reset to the maximum applicable rate. The table above reflects such maximum dividend rate for each series as of April 30, 2012.
 
The Trust distinguishes between distributions on a tax basis and a financial reporting basis. Accounting principles generally accepted in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid-in capital. For tax purposes, distributions from short-term capital gains are considered to be from ordinary income.

 
30


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Notes to Financial Statements (Unaudited) — continued

 
4 Investment Adviser Fee and Other Transactions with Affiliates
 
The investment adviser fee is earned by EVM as compensation for management and investment advisory services rendered to the Trust. The fee is computed at an annual rate of 0.75% of the Trust’s average daily gross assets and is payable monthly. Gross assets as referred to herein represent net assets plus obligations attributable to investment leverage. The Trust invests its cash in Cash Reserves Fund. EVM does not currently receive a fee for advisory services provided to Cash Reserves Fund. For the six months ended April 30, 2012, the Trust’s investment adviser fee amounted to $3,010,563. EVM also serves as administrator of the Trust, but receives no compensation.
 
In addition, EVM has contractually agreed to reimburse the Trust for fees and other expenses at an annual rate of 0.20% of the Trust’s average daily gross assets during the first five full years of the Trust’s operations, 0.15% of the Trust’s average daily gross assets in year six, 0.10% in year seven and 0.05% in year eight. The Trust concluded its first eight full years of operations on November 28, 2011. Pursuant to this agreement, EVM waived $29,525 of its investment adviser fee for the six months ended April 30, 2012.
 
Except for Trustees of the Trust who are not members of EVM’s organization, officers and Trustees receive remuneration for their services to the Trust out of the investment adviser fee. Trustees of the Trust who are not affiliated with EVM may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the six months ended April 30, 2012, no significant amounts have been deferred. Certain officers and Trustees of the Trust are officers of EVM.
 
5 Purchases and Sales of Investments
 
Purchases and sales of investments, other than short-term obligations and including maturities, paydowns and principal repayments on Senior Loans, aggregated $181,347,317 and $173,173,775, respectively, for the six months ended April 30, 2012.
 
6 Common Shares of Beneficial Interest
 
The Trust may issue common shares pursuant to its dividend reinvestment plan. Common shares issued pursuant to the Trust’s dividend reinvestment plan for the six months ended April 30, 2012 and the year ended October 31, 2011 were 10,866 and 51,827, respectively.
 
7 Federal Income Tax Basis of Investments
 
The cost and unrealized appreciation (depreciation) of investments of the Trust at April 30, 2012, as determined on a federal income tax basis, were as follows:
 
             
Aggregate cost
  $ 846,083,726      
             
 
 
Gross unrealized appreciation
  $ 16,509,288      
Gross unrealized depreciation
    (15,510,335 )    
             
 
 
Net unrealized appreciation
  $ 998,953      
             
 
 

 
31


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Notes to Financial Statements (Unaudited) — continued

 
8 Restricted Securities
 
At April 30, 2012, 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
                                   
Environmental Systems Products Holdings, Inc. 
    10/25/07       6,211     $ 0     $ 565,201      
Panolam Industries International, Inc. 
    12/30/09       253       139,024       412,416      
                                     
 
 
Total Common Stocks
                  $ 139,024     $ 977,617      
                                     
 
 
Preferred Stocks
                                   
                                     
 
 
Environmental Systems Products Holdings, Inc., Series A
    10/25/07       1,422     $ 24,885     $ 89,586      
                                     
 
 
Total Restricted Securities
                  $ 163,909     $ 1,067,203      
                                     
 
 
 
9 Financial Instruments
 
The Trust may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include forward foreign currency exchange contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Trust has in particular classes of financial instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered.
 
A summary of obligations under these financial instruments at April 30, 2012 is as follows:
 
                         
Forward Foreign Currency Exchange Contracts
Sales
                Net Unrealized
   
                Appreciation
   
Settlement Date   Deliver   In Exchange For   Counterparty   (Depreciation)    
 
 
5/31/12
  British Pound Sterling
1,525,000
  United States Dollar
2,474,566
  JPMorgan Chase Bank   $ 86      
5/31/12
  British Pound Sterling
2,458,942
  United States Dollar
3,890,046
  JPMorgan Chase Bank     (99,857 )    
5/31/12
  Euro
6,619,442
  United States Dollar
8,874,752
  Citibank NA     111,668      
6/29/12
  British Pound Sterling
3,395,246
  United States Dollar
5,386,643
  Goldman Sachs International     (121,562 )    
6/29/12
  Euro
5,022,447
  United States Dollar
6,687,162
  HSBC Bank USA     37,191      
7/31/12
  British Pound Sterling
762,494
  United States Dollar
1,233,982
  HSBC Bank USA     (2,805 )    
7/31/12
  Euro
2,319,076
  United States Dollar
3,070,341
  Deutsche Bank     (1,014 )    
                         
 
 
                $ (76,293 )    
                         
 
 

 
32


 

 
Eaton Vance
Senior Floating-Rate Trust
 
April 30, 2012
 
 
Notes to Financial Statements (Unaudited) — continued

 
At April 30, 2012, 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.
 
The Trust enters into forward foreign currency exchange contracts that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Trust’s net assets below a certain level over a certain period of time, which would trigger a payment by the Trust for those derivatives in a liability position. At April 30, 2012, the fair value of derivatives with credit-related contingent features in a net liability position was $225,238.
 
The non-exchange traded derivatives in which the Trust invests, including forward foreign currency exchange contracts, are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. At April 30, 2012, the maximum amount of loss the Trust would incur due to counterparty risk was $148,945, representing the fair value of such derivatives in an asset position, with the highest amount from any one counterparty being $111,668. To mitigate this risk, the Trust has entered into master netting agreements with substantially all its derivative counterparties, which allows it and a counterparty to aggregate amounts owed by each of them for derivative transactions under the agreement into a single net amount payable by either the Trust or the counterparty. At April 30, 2012, the maximum amount of loss the Trust would incur due to counterparty risk would be reduced by approximately $3,000 under master netting agreements. Counterparties may be required to pledge collateral in the form of cash, U.S. Government securities or highly-rated bonds for the benefit of the Trust if the net amount due from the counterparty with respect to a derivative contract exceeds a certain threshold. The amount of collateral posted by the counterparties with respect to such contracts would also reduce the amount of any loss incurred.
 
The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is foreign exchange risk at April 30, 2012 was as follows:
 
                     
    Fair Value
Derivative   Asset Derivative   Liability Derivative    
 
 
Forward foreign currency exchange contracts
  $ 148,945 (1)   $ (225,238 )(2)    
                     
 
 
 
(1) Statement of Assets and Liabilities location: Receivable for open forward foreign currency exchange contracts; Net unrealized appreciation.
(2) Statement of Assets and Liabilities location: Payable for open forward foreign currency exchange contracts; Net unrealized appreciation.
 
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is foreign exchange risk for the six months ended April 30, 2012 was as follows: