SEC Form N-CSRS filed by Eaton Vance Senior Income Trust
$EVF
Investment Bankers/Brokers/Service
Finance
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number:
811-09013
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Deidre E. Walsh
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617)
482-8260
(Registrant’s Telephone Number)
June 30
Date of Fiscal Year End
December 31, 2023
Date of Reporting Period
Item 1. Reports to Stockholders
Eaton Vance
Senior Income Trust (EVF)
Semiannual Report
December 31, 2023
Commodity Futures Trading Commission Registration.
The Commodity Futures Trading Commission (“CFTC”) has adopted regulations that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The investment adviser has claimed an exclusion from the definition of “commodity pool operator” under the Commodity Exchange Act with respect to its management of the Fund. Accordingly, neither the Fund nor the adviser with respect to the operation of the Fund is subject to CFTC regulation. Because of its management of other strategies, the Fund's adviser is registered with the CFTC as a commodity pool operator. The adviser is also registered as a commodity trading advisor.
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.
Eaton Vance
Senior Income Trust
December 31, 2023
Performance
Portfolio Manager(s)
Andrew N. Sveen, CFA, Catherine C. McDermott, Daniel P. McElaney, CFA and Sarah A. Choi
% Average Annual Total Returns 1,2 |
Inception Date |
Six Months |
One Year |
Five Years |
Ten Years |
| Fund at NAV | 10/30/1998 | 8.33% | 17.98% | 6.15% | 5.35% |
| Fund at Market Price | — | 23.57 | 34.41 | 9.23 | 6.23 |
| Morningstar® LSTA® US Leveraged Loan Index SM |
— | 6.43% | 13.32% | 5.79% | 4.41% |
% Premium/Discount to NAV 3 |
|
| As of period end | 1.94% |
Distributions 4 |
|
| Total Distributions per share for the period | $0.399 |
| Distribution Rate at NAV | 11.83% |
| Distribution Rate at Market Price | 11.60 |
% Total Leverage 5 |
|
| Auction Preferred Shares (APS) | 23.90% |
| Borrowings | 13.98 |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated net of management fees and other expenses by determining the percentage change in net asset value (NAV) or market price (as applicable) with all distributions reinvested in accordance with the Fund’s Dividend Reinvestment Plan. Furthermore, returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Performance at market price will differ from performance at NAV due to variations in the Fund’s market price versus NAV, which may reflect factors such as fluctuations in supply and demand for Fund shares, changes in Fund distributions, shifting market expectations for the Fund’s future returns and distribution rates, and other considerations affecting the trading prices of closed-end funds. Investment return and principal value will fluctuate so that shares, when sold, may be worth more or less than their original cost. Performance for periods less than or equal to 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 eatonvance.com.
2
Eaton Vance
Senior Income Trust
December 31, 2023
Fund Profile
| Credit Quality (% of bonds, loans and asset-backed securities) 2 |
Footnotes:
1 |
Excludes cash and cash equivalents. |
2 |
Credit ratings are categorized using S&P Global Ratings (“S&P”). Ratings, which are subject to change, apply to the creditworthiness of the issuers of the underlying securities and not to the Fund or its shares. Credit ratings measure the quality of a bond based on the issuer’s creditworthiness, with ratings ranging from AAA, being the highest, to D, being the lowest based on S&P’s measures. Ratings of BBB or higher by S&P are considered to be investment-grade quality. Credit ratings are based largely on the ratings agency’s analysis at the time of rating. The rating assigned to any particular security is not necessarily a reflection of the issuer’s current financial condition and 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. Holdings designated as “Not Rated” (if any) are not rated by S&P. |
3
Eaton Vance
Senior Income Trust
December 31, 2023
Portfolio of Investments (Unaudited) — continued
16
See Notes to Financial Statements.
Eaton Vance
Senior Income Trust
December 31, 2023
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) | ||
| USD | 3,411,704 | EUR | 3,122,552 | Standard Chartered Bank | 1/3/24 | $ — | $(35,437) |
| USD | 3,453,315 | EUR | 3,122,551 | Standard Chartered Bank | 2/2/24 | 2,125 | — |
| USD | 1,734 | EUR | 1,572 | Bank of America, N.A. | 2/29/24 | — | (6) |
| USD | 832,046 | EUR | 754,000 | Bank of America, N.A. | 2/29/24 | — | (2,203) |
| USD | 828,193 | EUR | 750,542 | Bank of America, N.A. | 2/29/24 | — | (2,230) |
| USD | 815,919 | EUR | 740,000 | Bank of America, N.A. | 2/29/24 | — | (2,840) |
| USD | 833,108 | EUR | 755,000 | HSBC Bank USA, N.A. | 2/29/24 | — | (2,248) |
| USD | 855,212 | EUR | 775,000 | Standard Chartered Bank | 2/29/24 | — | (2,272) |
| USD | 1,219,491 | GBP | 963,007 | Bank of America, N.A. | 2/29/24 | — | (8,372) |
| USD | 886 | GBP | 699 | Standard Chartered Bank | 2/29/24 | — | (5) |
| USD | 523,434 | EUR | 469,438 | Goldman Sachs International | 3/28/24 | 3,431 | — |
| USD | 516,303 | EUR | 463,000 | State Street Bank and Trust Company | 3/28/24 | 3,432 | — |
| USD | 529,564 | EUR | 475,000 | State Street Bank and Trust Company | 3/28/24 | 3,400 | — |
| USD | 526,106 | EUR | 472,000 | State Street Bank and Trust Company | 3/28/24 | 3,265 | — |
$15,653 |
$(55,613) | ||||||
Abbreviations: | |
| EURIBOR | – Euro Interbank Offered Rate |
| LIBOR | – London Interbank Offered Rate |
| OTC | – Over-the-counter |
| PIK | – Payment In Kind |
| SOFR | – Secured Overnight Financing Rate |
| SONIA | – Sterling Overnight Interbank Average |
Currency Abbreviations: | |
| EUR | – Euro |
| GBP | – British Pound Sterling |
| USD | – United States Dollar |
17
See Notes to Financial Statements.
Eaton Vance
Senior Income Trust
December 31, 2023
Statement of Assets and Liabilities (Unaudited)
December 31, 2023 | |
| Assets | |
| Unaffiliated investments, at value (identified cost $157,735,665) | $152,190,986 |
| Affiliated investments, at value (identified cost $3,314,679) | 3,314,679 |
| Cash | 2,535,846 |
| Foreign currency, at value (identified cost $1,668,897) | 1,674,144 |
| Interest receivable | 1,255,437 |
| Dividends receivable from affiliated investments | 15,835 |
| Receivable for investments sold | 1,850,589 |
| Receivable for open forward foreign currency exchange contracts | 15,653 |
| Prepaid upfront fees on notes payable | 8,242 |
| Trustees' deferred compensation plan | 67,914 |
| Prepaid expenses | 23,765 |
Total assets |
$162,953,090 |
| Liabilities | |
| Notes payable | $22,000,000 |
| Payable for investments purchased | 4,231,309 |
| Payable for open forward foreign currency exchange contracts | 55,613 |
| Distributions payable | 963,050 |
| Payable to affiliates: | |
| Investment adviser fee | 93,960 |
| Administration fee | 33,261 |
| Trustees' fees | 2,735 |
| Trustees' deferred compensation plan | 67,914 |
| Accrued expenses | 132,785 |
Total liabilities |
$27,580,627 |
Auction preferred shares (1,504 shares outstanding) at liquidation value plus cumulative unpaid dividends |
$37,627,835 |
Net assets applicable to common shares |
$97,744,628 |
| Sources of Net Assets | |
| Common shares, $0.01 par value, unlimited number of shares authorized | $157,907 |
| Additional paid-in capital | 128,945,520 |
| Accumulated loss | (31,358,799) |
Net assets applicable to common shares |
$97,744,628 |
| Net Asset Value Per Common Share | |
Net assets ÷ common shares issued and outstanding |
$6.19 |
18
See Notes to Financial Statements.
Eaton Vance
Senior Income Trust
December 31, 2023
Statement of Operations (Unaudited)
Six Months Ended | |
December 31, 2023 | |
| Investment Income | |
| Dividend income | $214,309 |
| Dividend income from affiliated investments | 106,777 |
| Interest and other income | 8,296,718 |
Total investment income |
$8,617,804 |
| Expenses | |
| Investment adviser fee | $576,983 |
| Administration fee | 203,163 |
| Trustees’ fees and expenses | 5,455 |
| Custodian fee | 37,612 |
| Transfer and dividend disbursing agent fees | 9,084 |
| Legal and accounting services | 80,668 |
| Printing and postage | 6,846 |
| Interest expense and fees | 672,422 |
| Preferred shares service fee | 16,304 |
| Miscellaneous | 60,446 |
Total expenses |
$1,668,983 |
| Deduct: | |
| Waiver and/or reimbursement of expenses by affiliates | $2,992 |
Total expense reductions |
$2,992 |
Net expenses |
$1,665,991 |
Net investment income |
$6,951,813 |
| Realized and Unrealized Gain (Loss) | |
| Net realized gain (loss): | |
| Investment transactions | $(1,805,823) |
| Foreign currency transactions | (7,660) |
| Forward foreign currency exchange contracts | (100,546) |
Net realized loss |
$(1,914,029) |
| Change in unrealized appreciation (depreciation): | |
| Investments | $3,858,689 |
| Foreign currency | 45,528 |
| Forward foreign currency exchange contracts | 124,292 |
Net change in unrealized appreciation (depreciation) |
$4,028,509 |
Net realized and unrealized gain |
$2,114,480 |
Distributions to preferred shareholders |
$(1,269,238) |
Net increase in net assets from operations |
$7,797,055 |
19
See Notes to Financial Statements.
Eaton Vance
Senior Income Trust
December 31, 2023
Statements of Changes in Net Assets
Six Months Ended December 31, 2023 (Unaudited) |
Year Ended June 30, 2023 | |
| Increase (Decrease) in Net Assets | ||
| From operations: | ||
| Net investment income | $6,951,813 | $11,862,098 |
| Net realized loss | (1,914,029) | (6,967,701) |
| Net change in unrealized appreciation (depreciation) | 4,028,509 | 7,600,828 |
| Distributions to preferred shareholders | (1,269,238) | (1,801,915) |
Net increase in net assets from operations |
$7,797,055 |
$10,693,310 |
Distributions to common shareholders |
$(6,686,146) |
$(9,821,761) |
| Capital share transactions: | ||
| Reinvestment of distributions to common shareholders | $35,072 | $— |
| Cost of shares repurchased in tender offer (see Note 6) | (10,480,521) | — |
Net decrease in net assets from capital share transactions |
$(10,445,449) |
$— |
Net increase (decrease) in net assets |
$(9,334,540) |
$871,549 |
| Net Assets Applicable to Common Shares | ||
| At beginning of period | $107,079,168 | $106,207,619 |
At end of period |
$97,744,628 |
$107,079,168 |
20
See Notes to Financial Statements.
Eaton Vance
Senior Income Trust
December 31, 2023
Statement of Cash Flows (Unaudited)
Six Months Ended | |
December 31, 2023 | |
| Cash Flows From Operating Activities | |
| Net increase in net assets from operations | $7,797,055 |
| Distributions to preferred shareholders | 1,269,238 |
| Net increase in net assets from operations excluding distributions to preferred shareholders | $9,066,293 |
| Adjustments to reconcile net increase in net assets from operations to net cash provided by operating activities: | |
| Investments purchased | (20,666,673) |
| Investments sold and principal repayments | 30,497,704 |
| Increase in short-term investments, net | (151,034) |
| Net amortization/accretion of premium (discount) | (444,226) |
| Amortization of prepaid upfront fees on notes payable | 10,724 |
| Decrease in interest receivable | 50,735 |
| Increase in dividends receivable from affiliated investments | (2,578) |
| Increase in Trustees’ deferred compensation plan | (67,914) |
| Increase in prepaid expenses | (195) |
| Decrease in payable to affiliate for investment adviser fee | (985) |
| Decrease in payable to affiliate for administration fee | (304) |
| Decrease in payable to affiliate for Trustees' fees | (15) |
| Increase in payable to affiliate for Trustees' deferred compensation plan | 67,914 |
| Decrease in accrued expenses | (377,023) |
| Decrease in unfunded loan commitments | (34,936) |
| Net change in unrealized (appreciation) depreciation from investments | (3,858,689) |
| Net change in unrealized (appreciation) depreciation from forward foreign currency exchange contracts (OTC) | (124,292) |
| Net realized loss from investments | 1,805,823 |
Net cash provided by operating activities |
$15,770,329 |
| Cash Flows From Financing Activities | |
| Cash distributions paid to common shareholders | $(5,688,024) |
| Cash distributions paid to preferred shareholders | (1,254,628) |
| Repurchases of common shares in tender offer | (10,480,521) |
| Proceeds from notes payable | 15,000,000 |
| Repayments of notes payable | (13,000,000) |
Net cash used in financing activities |
$(15,423,173) |
Net increase in cash* |
$347,156 |
Cash at beginning of period (including foreign currency) |
$3,862,834 |
Cash at end of period (including foreign currency) |
$4,209,990 |
| Supplemental disclosure of cash flow information: | |
| Noncash financing activities not included herein consist of: | |
| Reinvestment of dividends and distributions | $35,072 |
| Cash paid for interest and fees on borrowings | 825,518 |
| * | Includes net change in unrealized (appreciation) depreciation on foreign currency of $2,993. |
21
See Notes to Financial Statements.
Eaton Vance
Senior Income Trust
December 31, 2023
Financial Highlights
Selected data for a common share outstanding during the
p
eriods statedSix Months Ended December 31, 2023 (Unaudited) |
Year Ended June 30, | |||||
2023 |
2022 |
2021 |
2020 |
2019 | ||
| Net asset value — Beginning of period (Common shares) | $6.110 | $6.060 | $6.900 | $6.200 | $7.050 | $7.180 |
| Income (Loss) From Operations | ||||||
| Net investment income (1) |
$0.411 | $0.676 | $0.361 | $0.406 | $0.394 | $0.410 |
| Net realized and unrealized gain (loss) | 0.130 | 0.037 | (0.873) | 0.702 | (0.817) | (0.172) |
| Distributions to preferred shareholders: From net investm e nt income(1) |
(0.075) | (0.103) | (0.006) | (0.001) | (0.017) | (0.031) |
| Discount on redemption and repurchase of auction preferred shares (1) |
— | — | — | — | — | 0.051 |
Total income (loss) from operations |
$0.466 |
$0.610 |
$(0.518) |
$1.107 |
$(0.440) |
$0.258 |
| Less Distributions to Common Shareholders | ||||||
| From net investment income | $(0.399) | $(0.560) | $(0.375) | $(0.407) | $(0.410) | $(0.388) |
| Tax return of capital | — | — | (0.019) | — | — | — |
Total distributions to common shareholders |
$(0.399) |
$(0.560) |
$(0.394) |
$(0.407) |
$(0.410) |
$(0.388) |
Discount on tender offer (see Note 6) (1) |
$0.013 |
$— |
$0.072 |
$— |
$— |
$— |
Net asset value — End of period (Common shares) |
$6.190 |
$6.110 |
$6.060 |
$6.900 |
$6.200 |
$7.050 |
Market value — End of period (Common shares) |
$6.310 |
$5.460 |
$5.460 |
$6.800 |
$5.330 |
$6.230 |
Total Investment Return on Net Asset Value (2) |
8.33% (3)(4) |
11.71% |
(6.68)% (5) |
18.65% |
(5.64)% |
4.46% (6) |
Total Investment Return on Market Value (2) |
23.57% (3) |
10.80% |
(14.68)% |
36.01% |
(8.20)% |
3.88% |
22
See Notes to Financial Statements.
Eaton Vance
Senior Income Trust
December 31, 2023
Financial Highlights — continued
Selected data for a common share outstanding during the periods stated
Six Months Ended December 31, 2023 (Unaudited) |
Year Ended June 30, | |||||
2023 |
2022 |
2021 |
2020 |
2019 | ||
| Ratios/Supplemental Data | ||||||
| Net assets applicable to common shares, end of period (000’s o mitted) |
$97,745 | $107,079 | $106,208 | $261,425 | $234,657 | $266,926 |
| Ratios (as a percentage of average daily net assets applicable to common shares): (7)† |
||||||
| Expenses excluding interest and fees | 1.90% (8)(9) |
1.99% (9) |
1.91% | 1.96% | 1.73% | 1.73% |
| Interest and fee expense (10) |
1.28% (8) |
1.05% | 0.47% | 0.57% | 1.19% | 1.40% |
| Total expenses | 3.18% (8)(9) |
3.04% (9) |
2.38% | 2.53% | 2.92% | 3.13% |
| Net investment income | 13.27% (8) |
11.15% | 5.31% | 6.08% | 5.93% | 5.74% |
| Portfolio Turnover | 11% (3) |
27% | 43% | 40% | 57% | 26% |
| Senior Securities: | ||||||
| Total notes payable outstanding (in 000’s) | $ |
$ |
$ |
$ |
$ |
$ |
| Asset coverage per $1,000 of notes payable (11) |
$ |
$ |
$ |
$ |
$ |
$ |
| Total preferred shares outstanding | 1,504 | 1,504 | 1,504 | 1,504 | 1,504 | 1,504 |
| Asset coverage per preferred share (12) |
$ |
$ |
$ |
$ |
$ |
$ |
| Involuntary liquidation preference per preferred share (13) |
$ |
$ |
$ |
$ |
$ |
$ |
| Approximate market value per preferred share (13) |
$ |
$ |
$ |
$ |
$ |
$ |
(1) |
Computed using average common 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. Distributions are assumed to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. |
(3) |
Not annualized. |
(4) |
The total return based on net asset value reflects the impact of the tender and repurchase by the Trust of a portion of its common shares at 98% of the Trust’s net asset value per common share. Absent this transaction, the total return based on net asset value would have been 8.10%. |
(5) |
The total return based on net asset value reflects the impact of the tender and repurchase by the Trust of a portion of its common shares at 99% of the Trust’s net asset value per common share. Absent this transaction, the total return based on net asset value would have been (7.90)%. |
(6) |
The total return based on net asset value reflects the impact of the tender and repurchase by the Trust of a portion of its Auction Preferred Shares at 92% of the per share liquidation preference. Absent this transaction, the total return based on net asset value would have been 3.71%. |
(7) |
Ratios do not reflect the effect of dividend payments to preferred shareholders. |
(8) |
Annualized. |
(9) |
Includes a reduction by the investment adviser of a portion of its adviser fee due to the Trust’s investment in the Liquidity Fund (equal to less than 0.01% and less than 0.005% of average daily net assets for the six months ended December 31, 2023 and the year ended June 30, 2023, respectively). |
(10) |
Interest and fee expense relates to the notes payable to partially redeem the Trust’s Auction Preferred Shares and/or to fund investments (see Note 8). |
(11) |
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. |
(12) |
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 the preferred shares, and multiplying the result by the liquidation value of one preferred share. |
(13) |
Plus accumulated and unpaid dividends. |
† |
Ratios based on net assets applicable to common shares plus preferred shares and borrowings are presented below. Ratios do not reflect the effect of dividend payments to preferred shareholders. Ratios for periods less than one year are annualized. |
Six Months Ended December 31, 2023 (Unaudited) |
Year Ended June 30, | |||||
2023 |
2022 |
2021 |
2020 |
2019 | ||
| Expenses excluding interest and fees | 1.22% | 1.29% | 1.28% | 1.25% | 1.11% | 1.12% |
| Interest and fee expense | 0.83% | 0.68% | 0.32% | 0.36% | 0.76% | 0.91% |
| Total expenses | 2.05% | 1.97% | 1.60% | 1.61% | 1.87% | 2.03% |
| Net investment income | 8.56% | 7.23% | 3.57% | 3.87% | 3.81% | 3.73% |
23
See Notes to Financial Statements.
Eaton Vance
Senior Income Trust
December 31, 2023
Notes to Financial Statements (Unaudited)
1 Significant Accounting Policies
Eaton Vance Senior Income 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 investment objective is to provide a high level of current income, consistent with the preservation of capital, by investing primarily in senior, secured floating-rate loans.
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 (U.S. GAAP). The Trust is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946.
A Investment Valuation
—
The following methodologies are used to determine the market value or fair value of investments.
Senior Floating-Rate Loans.
Interests in senior floating-rate loans (Senior Loans) are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service. Senior Loans, for which a valuation is not available or deemed unreliable, are fair valued by the investment adviser utilizing one or more of the valuation techniques described below to assess the likelihood that the borrower will make a full repayment of the loan underlying such Senior Loan. 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 relative to yields on other Senior Loans issued by companies of comparable credit quality. 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. Junior Loans (i.e., subordinated loans and second lien loans) are valued in the same manner as Senior Loans.
Debt Obligations.
Debt obligations 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 ask prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, 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 debt obligations purchased with a remaining maturity of sixty days or less for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value.
Equity Securities.
Equity securities 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 ask prices on the exchange where such securities are principally traded. Equity securities listed on the NASDAQ National Market System 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 ask 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 uses 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.
Derivatives.
Forward foreign currency exchange contracts are generally valued at the mean of the average bid and average ask 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.
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.
Other.
Investments in management investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value as of the close of each business day.
Fair Valuation.
In connection with Rule 2a-5 of the 1940 Act, the Trustees have designated the Trust’s investment adviser as its valuation designee. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued by the investment adviser, as valuation designee, at fair value using methods that most fairly reflect the security’s “fair value”, which is 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 statements, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
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Eaton Vance
Senior Income Trust
December 31, 2023
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. Distributions from investment companies are recorded as dividend income, capital gains or return of capital based on the nature of the distribution.
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.
As of December 31, 2023, 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 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.
F Unfunded Loan Commitments
—
The Trust may enter into certain loan 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 December 31, 2023, the Trust had sufficient cash and/or securities to cover these commitments.
G Use of Estimates
—
The preparation of the financial statements in conformity with U.S. GAAP 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.
H 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, upon request by the shareholder, the defense on behalf of any Trust shareholders. Moreover, the By-laws also provide for indemnification out of Trust 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.
I 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. 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.
J Interim Financial Statements
—
The interim financial statements relating to December 31, 2023 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.
2 Auction Preferred Shares
The Trust issued Auction Preferred Shares (APS) on July 27, 2001 in a public offering. Dividends on the APS, which accrue daily, are cumulative at rates which are reset every seven days 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 125% of the “AA” Financial Composite Commercial Paper Rate at the date of the auction. The stated spread over the reference benchmark rate is determined based on the credit rating of the APS.
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Eaton Vance
Senior Income Trust
December 31, 2023
Notes to Financial Statements (Unaudited) — continued
The number of APS issued and outstanding as of December 31, 2023 are as follows:
APS Issued and Outstanding | |
| Series A | 752 |
| Series B | 752 |
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 and Income Tax Information
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. 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 December 31, 2023, 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 Rates at December 31, 2023 |
Dividends Accrued to APS Shareholders |
Average APS Dividend Rates |
Dividend Rate Ranges (%) | |
| Series A | 6.66% | $633,913 | 6.60% | 6.32-6.67 |
| Series B | 6.67 | 635,325 | 6.61 | 6.33-6.67 |
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 rates. The table above reflects such maximum dividend rate for each series as of December 31, 2023.
Distributions to shareholders are determined in accordance with income tax regulations, which may differ from U.S. GAAP. As required by U.S. GAAP, only distributions in excess of tax basis earnings and profits are 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.
At June 30, 2023, the Trust, for federal income tax purposes, had deferred capital losses of $24,196,487 which would 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 would 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. The deferred capital losses are treated as arising on the first day of the Trust’s next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at June 30, 2023, $1,391,581 are short-term and $22,804,906 are long-term.
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Eaton Vance
Senior Income Trust
December 31, 2023
Notes to Financial Statements (Unaudited) — continued
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Trust at December 31, 2023, as determined on a federal income tax basis, were as follows:
Aggregate cost |
$161,054,611 |
| Gross unrealized appreciation | $2,009,631 |
| Gross unrealized depreciation | (7,598,537) |
Net unrealized depreciation |
$(5,588,906) |
4 Investment Adviser Fee and Other Transactions with Affiliates
The investment adviser fee is earned by Eaton Vance Management (EVM), an indirect, wholly-owned subsidiary of Morgan Stanley, as compensation for investment advisory services rendered to the Trust. The investment adviser fee is computed at an annual rate of 0.71% of the Trust’s average weekly gross assets and is payable monthly. The annual investment adviser fee rate shall be reduced to the following as of the stated date: May 1, 2024: 0.70%, May 1, 2025: 0.69% and May 1, 2026: 0.55%. Gross assets as referred to herein are calculated by deducting accrued liabilities of the Trust except the principal amount of any indebtedness for money borrowed, including debt securities issued by the Trust. For the six months ended December 31, 2023, the Trust’s investment adviser fee amounted to $576,983.
The Trust may invest in a money market fund, the Institutional Class of the Morgan Stanley Institutional Liquidity Funds - Government Portfolio (the "Liquidity Fund"), an open-end management investment company managed by Morgan Stanley Investment Management Inc., a wholly-owned subsidiary of Morgan Stanley. The investment adviser fee paid by the Trust is reduced by an amount equal to its pro rata share of the advisory and administration fees paid by the Trust due to its investment in the Liquidity Fund. For the six months ended December 31, 2023, the investment adviser fee paid was reduced by $2,992 relating to the Trust’s investment in the Liquidity Fund. The administration fee is earned by EVM for administering the business affairs of the Trust and is computed at an annual rate of 0.25% of the Trust’s average weekly gross assets. For the six months ended December 31, 2023, the administration fee amounted to $203,163.
Trustees and officers of the Trust who are members of EVM’s organization 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. 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 $16,753,810 and $28,737,430, respectively, for the six months ended December 31, 2023.
6 Common Shares of Beneficial Interest and Shelf Offering
The Trust may issue common shares pursuant to its dividend reinvestment plan. Common shares issued by the Trust pursuant to its dividend reinvestment plan for the six months ended December 31, 2023 were 5,688. There were no common shares issued by the Trust for the year ended June 30, 2023.
On May 12, 2021, the Trust announced that it will conduct cash tender offers in the fourth quarter of each of 2022, 2023 and 2024 (each, a “Conditional Tender Offer”) for up to 10% of the Trust’s then-outstanding common shares if, from January to August of the relevant year, the Trust’s shares trade at an average daily discount to NAV of more than 10%, based upon the Trust’s volume-weighted average market price and NAV on each business day during the period. If triggered, common shares tendered and accepted in a Conditional Tender Offer would be repurchased at a price per share equal to 98% of the Trust’s NAV as of the close of regular trading on the New York Stock Exchange on the date such Conditional Tender Offer expires.
On September 26, 2023, the Trust commenced a cash tender offer for up to 1,753,886 of its outstanding common shares. The tender offer expired at 5:00 P.M. Eastern Time on October 25, 2023. The number of shares properly tendered was 1,753,886. The purchase price of the properly tendered shares was equal to $5.9756 per share for an aggregate purchase price of $10,480,521. The condition to trigger a tender offer by the Trust in the fourth quarter of 2022 was not met.
In November 2013, the Board of Trustees initially approved a share repurchase program for the Trust. Pursuant to the reauthorization of the share repurchase program by the Board of Trustees in March 2019, the Trust is authorized to repurchase up to 10% of its common shares outstanding as of the last day of the prior calendar year at market prices when shares are trading at a discount to net asset value. The share repurchase program does not obligate the Trust to purchase a specific amount of shares. There were no repurchases of common shares by the Trust pursuant to the share repurchase program for the six months ended December 31, 2023 and the year ended June 30, 2023.
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Eaton Vance
Senior Income Trust
December 31, 2023
Notes to Financial Statements (Unaudited) — continued
Pursuant to a registration statement filed with the SEC, the Trust is authorized to issue up to an additional 4,551,438 common shares through an equity shelf offering program (the “shelf offering”). Under the shelf offering, the Trust, subject to market conditions, may raise additional capital from time to time and in varying amounts and offering methods at a net price at or above the Trust’s net asset value per common share. During the six months ended December 31, 2023 and the year ended June 30, 2023, there were no shares sold by the Trust pursuant to its shelf offering.
7 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 December 31, 2023 is included in the Portfolio of Investments. At December 31, 2023, 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 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 December 31, 2023, the fair value of derivatives with credit-related contingent features in a net liability position was $55,613. At December 31, 2023, there were no assets pledged by the Trust for such liability.
The over-the-counter (OTC) derivatives in which the Trust invests are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. To mitigate this risk, the Trust has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with substantially all its derivative counterparties. An ISDA Master Agreement is a bilateral agreement between the Trust and a counterparty that governs certain OTC derivatives and typically contains, among other things, set-off provisions in the event of a default and/or termination event as defined under the relevant ISDA Master Agreement. Under an ISDA Master Agreement, the Trust may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy or insolvency. Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Trust’s net assets decline by a stated percentage or the Trust fails to meet the terms of its ISDA Master Agreements, which would cause the counterparty to accelerate payment by the Trust of any net liability owed to it.
The collateral requirements for derivatives traded under an ISDA Master Agreement are governed by a Credit Support Annex to the ISDA Master Agreement. Collateral requirements are determined at the close of business each day and are typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement. Generally, the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of the Trust and/or counterparty is held in segregated accounts by the Trust’s custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as deposits for derivatives collateral and, in the case of cash pledged by a counterparty for the benefit of the Trust, a corresponding liability on the Statement of Assets and Liabilities. Securities pledged by the Trust as collateral, if any, are identified as such in the Portfolio of Investments.
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 December 31, 2023 was as follows:
Fair Value | ||
Derivative |
Asset Derivative (1) |
Liability Derivative (2) |
| Forward foreign currency exchange contracts | $15,653 | $(55,613) |
(1) |
Statement of Assets and Liabilities location: Receivable for open forward foreign currency exchange contracts. |
(2) |
Statement of Assets and Liabilities location: Payable for open forward foreign currency exchange contracts. |
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Eaton Vance
Senior Income Trust
December 31, 2023
Notes to Financial Statements (Unaudited) — continued
The Trust's derivative assets and liabilities at fair value by type, which are reported gross in the Statement of Assets and Liabilities, are presented in the table above. The following tables present the Trust's derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement and net of the related collateral received by the Trust for such assets and pledged by the Trust for such liabilities as of December 31, 2023.
Counterparty |
Derivative Assets Subject to Master Netting Agreement |
Derivatives Available for Offset |
Non-cash Collateral Received (a) |
Cash Collateral Received (a) |
Net Amount of Derivative Assets (b) |
| Goldman Sachs International | $3,431 | $ — | $ — | $ — | $3,431 |
| Standard Chartered Bank | 2,125 | (2,125) | — | — | — |
| State Street Bank and Trust Company | 10,097 | — | — | — | 10,097 |
$15,653 |
$(2,125) |
$— |
$— |
$13,528 |
Counterparty |
Derivative Liabilities Subject to Master Netting Agreement |
Derivatives Available for Offset |
Non-cash Collateral Pledged (a) |
Cash Collateral Pledged (a) |
Net Amount of Derivative Liabilities (c) |
| Bank of America, N.A. | $(15,651) | $ — | $ — | $ — | $(15,651) |
| HSBC Bank USA, N.A. | (2,248) | — | — | — | (2,248) |
| Standard Chartered Bank | (37,714) | 2,125 | — | — | (35,589) |
$(55,613) |
$2,125 |
$ — |
$ — |
$(53,488) |
(a) |
In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) |
Net amount represents the net amount due from the counterparty in the event of default. |
(c) |
Net amount represents the net amount payable to the counterparty in the event of default. |
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 December 31, 2023 was as follows:
Derivative |
Realized Gain (Loss) on Derivatives Recognized in Income (1) |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income (2) |
| Forward foreign currency exchange contracts | $(100,546) | $124,292 |
(1) |
Statement of Operations location: Net realized gain (loss): Forward foreign currency exchange contracts. |
(2) |
Statement of Operations location: Change in unrealized appreciation (depreciation): Forward foreign currency exchange contracts. |
The average notional amount of forward foreign currency exchange contracts (based on the absolute value of notional amounts of currency purchased and currency sold) outstanding during the six months ended December 31, 2023, which is indicative of the volume of this derivative type, was approximately $15,356,000.
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Eaton Vance
Senior Income Trust
December 31, 2023
Notes to Financial Statements (Unaudited) — continued
8 Revolving Credit and Security Agreement
The Trust has entered into a Credit Agreement (the Agreement) with a bank to borrow up to a limit of $45 million pursuant to a revolving line of credit. Borrowings under the Agreement are secured by the assets of the Trust. Interest is generally charged at a rate above the Secured Overnight Financing Rate (SOFR) and is payable monthly. Under the terms of the Agreement, in effect through May 2, 2024, the Trust pays a facility fee of 0.15% on the borrowing limit. In connection with entering into the Agreement, the Trust also paid upfront fees of $22,500, which are being amortized to interest expense to May 2, 2024. The unamortized balance at December 31, 2023 is approximately $8,000 and is included in prepaid upfront fees on notes payable on the Statement of Assets and Liabilities. The Trust is required to maintain certain net asset levels during the term of the Agreement. At December 31, 2023, the Trust had borrowings outstanding under the Agreement of $22,000,000 at an annual interest rate of 6.31%. Based on the short-term nature of the borrowings under the Agreement and the variable interest rate, the carrying amount of the borrowings at December 31, 2023 approximated its fair value. If measured at fair value, borrowings under the Agreement would have been considered as Level 2 in the fair value hierarchy (see Note 10) at December 31, 2023. For the six months ended December 31, 2023, the average borrowings under the Agreement and the average annual interest rate (excluding fees) were $19,711,957 and 6.35%, respectively.
9 Affiliated Investments
At December 31, 2023, the value of the Trust's investment in funds that may be deemed to be affiliated was $3,314,679, which represents 3.4% of the Trust's net assets applicable to common shares. Transactions in such investments by the Trust for the six months ended December 31, 2023 were as follows:
Name |
Value, beginning of period |
Purchases |
Sales proceeds |
Net realized gain (loss) |
Change in unrealized appreciation (depreciation) |
Value, end of period |
Dividend income |
Shares, end of period |
Short-Term Investments | ||||||||
| Liquidity Fund | $3,163,645 | $39,680,490 | $(39,529,456) | $ — | $ — | $3,314,679 | $106,777 | 3,314,679 |
10 Fair Value Measurements
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
| • | Level 1 – quoted prices in active markets for identical investments |
| • | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| • | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At December 31, 2023, the hierarchy of inputs used in valuing the Trust’s investments and open derivative instruments, which are carried at fair value, were as follows:
Asset Description |
Level 1 |
Level 2 |
Level 3* |
Total |
| Asset-Backed Securities | $ — | $ 12,094,326 | $ — | $ 12,094,326 |
| Closed-End Funds | 3,315,462 | — | — | 3,315,462 |
| Common Stocks | 22,080 | 1,096,470 | 17,165 | 1,135,715 |
| Corporate Bonds | — | 6,847,118 | — | 6,847,118 |
| Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | — | 128,581,577 | 216,788 | 128,798,365 |
| Miscellaneous | — | — | 0 | 0 |
| Short-Term Investments | 3,314,679 | — | — | 3,314,679 |
Total Investments |
$6,652,221 |
$148,619,491 |
$ 233,953 |
$155,505,665 |
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Eaton Vance
Senior Income Trust
December 31, 2023
Notes to Financial Statements (Unaudited) — continued
Asset Description (continued) |
Level 1 |
Level 2 |
Level 3* |
Total |
| Forward Foreign Currency Exchange Contracts | $ — | $ 15,653 | $ — | $ 15,653 |
Total |
$6,652,221 |
$148,635,144 |
$ 233,953 |
$155,521,318 |
Liability Description |
||||
| Forward Foreign Currency Exchange Contracts | $ — | $ (55,613) | $ — | $ (55,613) |
Total |
$ — |
$ (55,613) |
$ — |
$ (55,613) |
| * | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Trust. |
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the six months ended December 31, 2023 is not presented.
11 Risks and Uncertainties
Risks Associated with Foreign Investments
Foreign investments can be adversely affected by political, economic and market developments abroad, including the imposition of economic and other sanctions by the United States or another country. There may be less publicly available information about foreign issuers because they may not be subject to reporting practices, requirements or regulations comparable to those to which United States companies are subject. Foreign markets may be smaller, less liquid and more volatile than the major markets in the United States. Trading in foreign markets typically involves higher expense than trading in the United States. The Trust may have difficulties enforcing its legal or contractual rights in a foreign country. Securities that trade or are denominated in currencies other than the U.S. dollar may be adversely affected by fluctuations in currency exchange rates.
Credit Risk
The Trust invests primarily in below investment grade floating-rate loans, which are considered speculative because of the credit risk of their issuers. Changes in economic conditions or other circumstances are more likely to reduce the capacity of issuers of these securities to make principal and interest payments. Such companies are more likely to default on their payments of interest and principal owed than issuers of investment grade bonds. An economic downturn generally leads to a higher non-payment rate, and a loan or other debt obligation may lose significant value before a default occurs. Lower rated investments also may be subject to greater price volatility than higher rated investments. Moreover, the specific collateral used to secure a loan may decline in value or become illiquid, which would adversely affect the loan’s value.
12 Additional Information
On August 27, 2020, Saba Capital Master Fund, Ltd., a hedge fund (“Saba”), filed claims against the Trust in a lawsuit in Suffolk County Superior Court in Massachusetts asserting breach of contract and fiduciary duty by the Trust and certain of its affiliates, the Trust's adviser, and the Board, following the implementation by the Trust of by-law amendments that (i) require trustee nominees in contested elections to obtain affirmative votes of a majority of eligible shares in order to be elected and (ii) establish certain requirements related to shares obtained in "Control Share Acquisitions". With respect to the Trust, Saba seeks rescission of these by-law provisions and certain related relief. On March 31, 2021, the court allowed in part and denied in part a motion to dismiss Saba's claims. Discovery is complete. On January 23, 2023, in ruling on the parties’ cross-motions for partial summary judgment, the court dismissed Saba’s claims for breach of fiduciary duty against the Board, while holding that the control share by-law amendment violated Section 18(i) of the 1940 Act. Additional claims and defenses will be addressed at trial, which is currently scheduled to begin in the Spring of 2024. While management of the Trust is unable to predict the outcome of this matter, it does not believe the outcome would result in the payment of any monetary damages by the Trust.
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Eaton Vance
Senior Income Trust
December 31, 2023
Annual Meeting of Shareholders (Unaudited)
The Trust held its Annual Meeting of Shareholders on October 11, 2023. The following actions were taken by the shareholders.
Proposal 1a:
The election of Cynthia E. Frost and Susan J. Sutherland as Class I Trustees of the Trust for a three-year term expiring in 2026.
The following votes were cast by the Trust’s common and APS shareholders, voting together as a single class:
Number of Shares | ||||
Nominees for Trustee |
For |
Withheld | ||
| Cynthia E. Frost | 12,561,569 | 265,229 | ||
| Susan J. Sutherland | 12,584,035 | 242,763 | ||
Proposal 1b
: The election of Valerie A. Mosley as a Class I Trustee of the Trust for a three-year term expiring in 2026.
The following votes were cast by the Trust’s APS shareholders, voting separately as a single class:
Number of Shares | ||||
Nominee for Trustee |
For |
Withheld | ||
| Valerie A. Mosley | 1,174 | 0 | ||
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Eaton Vance
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December 31, 2023
Officers and Trustees
| Officers | |
| Kenneth A. Topping President |
Nicholas S. Di Lorenzo Secretary |
| Deidre E. Walsh Vice President and Chief Legal Officer |
Laura T. Donovan Chief Compliance Officer |
| James F. Kirchner Treasurer |
|
| Trustees |
| * | Interested Trustee |
(1) |
Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
33
Eaton Vance Funds
| Privacy Notice | April 2021 |
FACTS |
WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? |
Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? |
The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? |
All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information |
Does Eaton Vance share? |
Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus |
Yes | No |
For our marketing purposes — to offer our products and services to you |
Yes | No |
For joint marketing with other financial companies |
No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness |
Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences |
Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness |
No | We don’t share |
For our investment management affiliates to market to you |
Yes | Yes |
For our affiliates to market to you |
No | We don’t share |
For nonaffiliates to market to you |
No | We don’t share |
To limit our sharing |
Call toll-free 1-800-262-1122 or email: [email protected] Please note: new no longer |
Questions? |
Call toll-free 1-800-262-1122 or email: [email protected] |
34
Eaton Vance Funds
| Privacy Notice — continued | April 2021 |
Page 2
Who we are | |
Who is providing this notice? |
Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? |
To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? |
We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? |
Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates |
Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates |
Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates |
Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing |
A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information. California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. | |
35
Eaton Vance Funds
IMPORTANT NOTICES
Delivery of Shareholder Documents.
The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders.
Equiniti Trust Company, LLC
(“
EQ
”),
the closed-end funds transfer agent, or your financial intermediary, may household the mailing of your documents indefinitely unless you instruct EQ, or your financial intermediary, otherwise.
If you would prefer that your Eaton Vance documents not be householded, please contact EQ or your financial intermediary. Your instructions that householding not apply to delivery of your Eaton Vance documents will typically be effective within 30 days of receipt by EQ or your financial intermediary.
Portfolio Holdings.
Each Eaton Vance Fund and its underlying Portfolio(s) (if applicable) files a schedule of portfolio holdings on Part F to Form N-PORT with the SEC. Certain information filed on Form N-PORT may be viewed on the Eaton Vance website at www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR database on the SEC’s website at www.sec.gov.
Proxy Voting.
From time to time, funds are required to vote proxies related to the securities held by the funds. The Eaton Vance Funds or their underlying Portfolios (if applicable) vote proxies according to a set of policies and procedures approved by the Funds’ and Portfolios’ Boards. You may obtain a description of these policies and procedures and information on how the Funds or Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge, upon request, by calling 1-800-262-1122 and by accessing the SEC’s website at www.sec.gov.
Share Repurchase Program.
The Fund’s Board of Trustees has approved a share repurchase program authorizing the Fund to repurchase up to 10% of its common shares outstanding as of the last day of the prior calendar year in open-market transactions at a discount to net asset value. The repurchase program does not obligate the Fund to purchase a specific amount of shares. The Fund’s repurchase activity, including the number of shares purchased, average price and average discount to net asset value, is disclosed in the Fund’s annual and semi-annual reports to shareholders.
Additional Notice to Shareholders.
If applicable, a Fund may also redeem or purchase its outstanding preferred shares in order to maintain compliance with regulatory requirements, borrowing or rating agency requirements or for other purposes as it deems appropriate or necessary.
Closed-End Fund Information.
Eaton Vance closed-end funds make fund performance data and certain information about portfolio characteristics available on the Eaton Vance website shortly after the end of each month. Other information about the funds is available on the website. The funds’ net asset value per share is readily accessible on the Eaton Vance website. Portfolio holdings for the most recent month-end are also posted to the website approximately 30 days following the end of the month. This information is available at www.eatonvance.com on the fund information pages under “Closed-End Funds & Term Trusts.”
36
Item 2. Code of Ethics
Not required in this filing.
Item 3. Audit Committee Financial Expert
Not required in this filing.
Item 4. Principal Accountant Fees and Services
Not required in this filing.
Item 5. Audit Committee of Listed Registrants
Not required in this filing.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not required in this filing.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not required in this filing.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
| Period |
(a) Total Number of Shares Purchased |
(b) Average Price Paid per Share |
(c) Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs |
(d) Maximum Number of Shares that May Yet Be Purchased Under the Plans or Programs |
||||||||||||
| July 1 through July 31 |
0 | 0 | 0 | 0 | ||||||||||||
| August 1 through August 31 |
0 | 0 | 0 | 0 | ||||||||||||
| September 1 through September 30 |
0 | 0 | 0 | 0 | ||||||||||||
| October 1 through October 31 |
1,753,886 | 5.9756 | 1,753,886 | 0 | ||||||||||||
| November 1 through November 30 |
0 | 0 | 0 | 0 | ||||||||||||
| December 1 through December 31 |
0 | 0 | 0 | 0 | ||||||||||||
| Total |
1,753,886 | 5.9756 | 1,753,886 | 0 | ||||||||||||
The Trust announced on May 12, 2021 that it will conduct cash tender offers in the fourth quarter of each of 2022, 2023 and 2024 (each, a “Conditional Tender Offer”) for up to 10% of the Trust’s then-outstanding common shares if, from January to August of the relevant year, the Trust’s shares trade at an average daily discount to NAV of more than 10%, based upon the Trust’s volume-weighted average market price and NAV on each business day during the period. If triggered, common shares tendered and accepted in a Conditional Tender Offer would be repurchased at a price per share equal to 98% of the Trust’s NAV as of the close of regular trading on the New York Stock Exchange on the date such Conditional Tender Offer expires.
On September 26, 2023, the Trust commenced a cash tender offer for up to 1,753,886 of its outstanding common shares. The tender offer expired at 5:00 P.M. Eastern Time on October 25, 2023. The number of shares properly tendered was 1,753,886. The purchase price of the properly tendered shares was equal to $5.9756 per share for an aggregate purchase price of $10,480,521.
Item 10. Submission of Matters to a Vote of Security Holders
No material changes.
Item 11. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
No activity to report for the registrant’s most recent fiscal year end.
Item 13. Exhibits
| (a)(1) | Registrant’s Code of Ethics – Not applicable (please see Item 2). | |
| (a)(2)(i) | Treasurer’s Section 302 certification. | |
| (a)(2)(ii) | President’s Section 302 certification. | |
| (b) | Combined Section 906 certification. | |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| Eaton Vance Senior Income Trust | ||
| By: | /s/ Kenneth A. Topping | |
| Kenneth A. Topping | ||
| President | ||
Date: February 27, 2024
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ James F. Kirchner | |
| James F. Kirchner | ||
| Treasurer |
Date: February 27, 2024
| By: | /s/ Kenneth A. Topping | |
| Kenneth A. Topping | ||
| President |
Date: February 27, 2024