Edgar Filing: Eaton Vance Short Duration Diversified Income Fund

Eaton Vance Short Duration Diversified Income Fund

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-21563

Investment Company Act File Number

Eaton Vance Short Duration Diversified Income Fund

(Exact Name of Registrant as Specified in Charter)

Two International Place, Boston, Massachusetts 02110

(Address of Principal Executive Offices)

Maureen A. Gemma

Two International Place, Boston, Massachusetts 02110

(Name and Address of Agent for Services)

(617) 482-8260

(Registrant’s Telephone Number, Including Area Code)

October 31

Date of Fiscal Year End

July 31, 2014

Date of Reporting Period

Item 1. Schedule of Investments

Eaton Vance

Short Duration Diversified Income Fund

July 31, 2014

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Interests — 54.7%⁽¹⁾


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Aerospace and Defense — 0.6%
Atlantic Aviation FBO Inc.
Term Loan, 3.25%, Maturing June 1, 2020		74	$	74,241
DAE Aviation Holdings, Inc.
Term Loan, 5.00%, Maturing November 2, 2018		61		61,465
Term Loan, 5.00%, Maturing November 2, 2018		135		135,585
Silver II US Holdings, LLC
Term Loan, 4.00%, Maturing December 13, 2019		383		382,192
Transdigm, Inc.
Term Loan, 3.75%, Maturing February 28, 2020		912		908,126
Term Loan, 3.75%, Maturing June 4, 2021		325		322,237

			$	1,883,846

Automotive — 2.4%
Affinia Group Intermediate Holdings Inc.
Term Loan, 4.75%, Maturing April 27, 2020		88	$	88,242
Allison Transmission, Inc.
Term Loan, 3.75%, Maturing August 23, 2019		620		620,473
ASP HHI Acquisition Co., Inc.
Term Loan, 5.00%, Maturing October 5, 2018		431		433,170
Chrysler Group LLC
Term Loan, 3.50%, Maturing May 24, 2017		893		894,486
Term Loan, 3.25%, Maturing December 31, 2018		374		372,959
CS Intermediate Holdco 2 LLC
Term Loan, 4.00%, Maturing April 4, 2021		575		574,281
Dayco Products, LLC
Term Loan, 5.25%, Maturing December 12, 2019		175		175,217
Federal-Mogul Holdings Corporation
Term Loan, 4.75%, Maturing April 15, 2021		675		675,506
Goodyear Tire & Rubber Company (The)
Term Loan - Second Lien, 4.75%, Maturing April 30, 2019		1,150		1,160,063
INA Beteiligungsgesellschaft GmbH
Term Loan, 3.75%, Maturing May 15, 2020		175		175,413
Metaldyne, LLC
Term Loan, 4.25%, Maturing December 18, 2018		341		342,943
TI Group Automotive Systems, LLC
Term Loan, 4.25%, Maturing July 1, 2021		650		651,422
Tower Automotive Holdings USA, LLC
Term Loan, 4.00%, Maturing April 23, 2020		647		644,858
Veyance Technologies, Inc.
Term Loan, 5.25%, Maturing September 8, 2017		537		538,234
Visteon Corporation
Term Loan, 3.50%, Maturing April 9, 2021		175		174,535

			$	7,521,802

Brokerage/Securities Dealers/Investment Houses — 0.0%⁽²⁾
American Beacon Advisors, Inc.
Term Loan, 4.75%, Maturing November 22, 2019		73	$	73,812

			$	73,812

Building and Development — 0.5%
ABC Supply Co., Inc.
Term Loan, 3.50%, Maturing April 16, 2020		248	$	247,020


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
CPG International Inc.
Term Loan, 4.75%, Maturing September 30, 2020		99	$	99,374
Gates Global, Inc.
Term Loan, 4.25%, Maturing July 5, 2021		250		248,728
Ply Gem Industries, Inc.
Term Loan, 4.00%, Maturing February 1, 2021		500		496,719
Quikrete Holdings, Inc.
Term Loan, 4.00%, Maturing September 28, 2020		174		173,951
RE/MAX International, Inc.
Term Loan, 4.00%, Maturing July 31, 2020		371		370,857
WireCo WorldGroup, Inc.
Term Loan, 6.00%, Maturing February 15, 2017		97		98,212

			$	1,734,861

Business Equipment and Services — 4.3%
Acosta, Inc.
Term Loan, 4.25%, Maturing March 2, 2018		490	$	491,070
Altisource Solutions S.a.r.l.
Term Loan, 5.75%, Maturing December 9, 2020		322		321,823
AVSC Holding Corp.
Term Loan, 4.50%, Maturing January 24, 2021		75		74,929
Brickman Group Ltd. LLC
Term Loan, 4.00%, Maturing December 18, 2020		149		147,509
Ceridian LLC
Term Loan, 4.41%, Maturing May 9, 2017		1,218		1,221,208
ClientLogic Corporation
Term Loan, 6.98%, Maturing January 30, 2017		165		166,571
Corporate Capital Trust, Inc.
Term Loan, 4.00%, Maturing May 15, 2019		175		174,890
CPM Acquisition Corp.
Term Loan, 6.25%, Maturing August 29, 2017		95		95,257
Education Management LLC
Term Loan, 4.25%, Maturing June 1, 2016		244		160,573
Term Loan, 8.25%, Maturing March 29, 2018		366		238,115
EIG Investors Corp.
Term Loan, 5.00%, Maturing November 9, 2019		468		470,802
Emdeon Business Services, LLC
Term Loan, 3.75%, Maturing November 2, 2018		269		269,591
Expert Global Solutions, Inc.
Term Loan, 8.50%, Maturing April 3, 2018		333		333,198
Extreme Reach, Inc.
Term Loan, 6.75%, Maturing February 10, 2020		150		151,682
Garda World Security Corporation
Term Loan, 4.00%, Maturing November 6, 2020		61		60,703
Term Loan, 4.00%, Maturing November 6, 2020		238		237,295
Genpact International, Inc.
Term Loan, 3.50%, Maturing August 30, 2019		320		321,742
IG Investment Holdings, LLC
Term Loan, 5.25%, Maturing October 31, 2019		272		273,800
IMS Health Incorporated
Term Loan, 3.50%, Maturing March 17, 2021		1,000		994,885
Information Resources, Inc.
Term Loan, 4.75%, Maturing September 30, 2020		223		224,196
ION Trading Technologies S.a.r.l.
Term Loan, 4.50%, Maturing June 10, 2021	EUR	200		269,450
Term Loan - Second Lien, 7.25%, Maturing May 15, 2022		200		200,958
KAR Auction Services, Inc.
Term Loan, 3.50%, Maturing March 11, 2021		548		547,643
Kronos Incorporated
Term Loan, 4.50%, Maturing October 30, 2019		444		446,157
Term Loan - Second Lien, 9.75%, Maturing April 30, 2020		200		207,033


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
MCS AMS Sub-Holdings LLC
Term Loan, 7.00%, Maturing October 15, 2019		96	$	93,362
Monitronics International Inc.
Term Loan, 4.25%, Maturing March 23, 2018		221		221,059
Quintiles Transnational Corp.
Term Loan, 3.75%, Maturing June 8, 2018		824		824,567
RCS Capital Corporation
Term Loan, 6.50%, Maturing April 29, 2019		175		178,172
Sensus USA Inc.
Term Loan, 4.75%, Maturing May 9, 2017		121		121,394
ServiceMaster Company
Term Loan, 4.25%, Maturing July 1, 2021		425		422,939
SunGard Data Systems, Inc.
Term Loan, 3.91%, Maturing February 28, 2017		32		32,549
Term Loan, 4.00%, Maturing March 8, 2020		1,482		1,486,959
TNS, Inc.
Term Loan, 5.00%, Maturing February 14, 2020		189		190,566
TransUnion, LLC
Term Loan, 4.00%, Maturing April 9, 2021		723		722,434
West Corporation
Term Loan, 3.25%, Maturing June 30, 2018		1,301		1,291,181

			$	13,686,262

Cable and Satellite Television — 2.2%
Atlantic Broadband Finance, LLC
Term Loan, 3.25%, Maturing December 2, 2019		135	$	134,411
Cequel Communications, LLC
Term Loan, 3.50%, Maturing February 14, 2019		759		755,658
Charter Communications Operating, LLC
Term Loan, 3.00%, Maturing July 1, 2020		248		242,318
Term Loan, 3.00%, Maturing January 3, 2021		614		601,469
CSC Holdings, Inc.
Term Loan, 2.66%, Maturing April 17, 2020		420		412,897
ION Media Networks, Inc.
Term Loan, 5.00%, Maturing December 18, 2020		274		275,079
MCC Iowa LLC
Term Loan, 3.25%, Maturing January 29, 2021		173		172,456
Term Loan, 3.75%, Maturing June 30, 2021		150		150,233
Mediacom Illinois, LLC
Term Loan, Maturing June 13, 2021⁽³⁾		75		74,938
Numericable U.S. LLC
Term Loan, 4.50%, Maturing May 21, 2020		174		174,663
Term Loan, 4.50%, Maturing May 21, 2020		201		201,890
UPC Financing Partnership
Term Loan, 3.85%, Maturing March 31, 2021	EUR	1,394		1,878,827
Virgin Media Bristol LLC
Term Loan, 3.50%, Maturing June 7, 2020		800		793,687
Virgin Media Investment Holdings Limited
Term Loan, 4.25%, Maturing June 30, 2023	GBP	300		509,248
Ziggo B.V.
Term Loan, 0.00%, Maturing January 15, 2022⁽⁴⁾	EUR	5		7,005
Term Loan, 0.00%, Maturing January 15, 2022⁽⁴⁾	EUR	76		101,331
Term Loan, 0.00%, Maturing January 15, 2022⁽⁴⁾	EUR	107		143,358
Term Loan, 3.50%, Maturing January 15, 2022	EUR	6		7,471
Term Loan, 3.50%, Maturing January 15, 2022	EUR	60		80,084
Term Loan, 3.50%, Maturing January 15, 2022	EUR	96		127,715

			$	6,844,738

Chemicals and Plastics — 2.4%
Arysta LifeScience SPC, LLC
Term Loan, 4.50%, Maturing May 29, 2020		421	$	420,925


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Axalta Coating Systems US Holdings Inc.
Term Loan, 4.00%, Maturing February 1, 2020		545	$	542,458
AZ Chem US Inc.
Term Loan, 4.50%, Maturing June 12, 2021		123		124,213
Emerald Performance Materials, LLC
Term Loan, Maturing August 1, 2021⁽³⁾		350		350,750
Term Loan - Second Lien, Maturing August 1, 2022⁽³⁾		100		99,500
Huntsman International, LLC
Term Loan, 2.69%, Maturing April 19, 2017		1,501		1,498,657
Term Loan, Maturing October 15, 2020⁽³⁾		375		375,139
Ineos US Finance LLC
Term Loan, 3.75%, Maturing May 4, 2018		1,323		1,318,329
Kronos Worldwide Inc.
Term Loan, 4.75%, Maturing February 18, 2020		50		50,218
MacDermid, Inc.
Term Loan, 4.00%, Maturing June 7, 2020		149		148,667
Minerals Technologies Inc.
Term Loan, 4.00%, Maturing May 9, 2021		350		351,747
OXEA Finance LLC
Term Loan, 4.25%, Maturing January 15, 2020		124		124,140
Polarpak Inc.
Term Loan, 4.50%, Maturing June 5, 2020		210		209,788
PQ Corporation
Term Loan, 4.00%, Maturing August 7, 2017		222		222,075
Solenis International, LP
Term Loan, Maturing July 2, 2021⁽³⁾	EUR	175		232,576
Tata Chemicals North America Inc.
Term Loan, 3.75%, Maturing August 7, 2020		223		222,399
Tronox Pigments (Netherlands) B.V.
Term Loan, 4.00%, Maturing March 19, 2020		395		395,871
Univar Inc.
Term Loan, 5.00%, Maturing June 30, 2017		578		579,369
WNA Holdings Inc.
Term Loan, 4.50%, Maturing June 7, 2020		155		154,750

			$	7,421,571

Conglomerates — 0.5%
Custom Sensors & Technologies, Inc.
Term Loan, Maturing May 30, 2021⁽³⁾		500	$	501,562
RGIS Services, LLC
Term Loan, 5.50%, Maturing October 18, 2017		739		737,805
Spectrum Brands Europe GmbH
Term Loan, 3.75%, Maturing September 4, 2019	EUR	174		235,166
Spectrum Brands, Inc.
Term Loan, 3.50%, Maturing September 4, 2019		199		198,732

			$	1,673,265

Containers and Glass Products — 1.3%
Berry Plastics Holding Corporation
Term Loan, 3.50%, Maturing February 8, 2020		420	$	415,360
Term Loan, 3.75%, Maturing January 6, 2021		878		871,445
BWAY Holding Company, Inc.
Term Loan, 4.50%, Maturing August 7, 2017		493		494,501
Libbey Glass Inc.
Term Loan, 3.75%, Maturing April 9, 2021		50		49,812
Pelican Products, Inc.
Term Loan, 5.25%, Maturing March 20, 2020		437		439,785
Reynolds Group Holdings Inc.
Term Loan, 4.00%, Maturing December 1, 2018		1,538		1,536,973
TricorBraun, Inc.
Term Loan, 4.00%, Maturing May 3, 2018		404		405,203

			$	4,213,079


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Cosmetics/Toiletries — 0.2%
Revlon Consumer Products Corporation
Term Loan, 4.00%, Maturing October 8, 2019		224	$	224,469
Sun Products Corporation (The)
Term Loan, 5.50%, Maturing March 23, 2020		416		403,048

			$	627,517

Drugs — 1.1%
Alkermes, Inc.
Term Loan, 3.50%, Maturing September 18, 2019		74	$	73,795
Auxilium Pharmaceuticals, Inc.
Term Loan, 6.25%, Maturing April 26, 2017		94		93,988
Endo Luxembourg Finance Company I S.a.r.l.
Term Loan, 3.25%, Maturing February 28, 2021		50		49,750
Ikaria, Inc.
Term Loan, 5.00%, Maturing February 12, 2021		150		151,004
Par Pharmaceutical Companies, Inc.
Term Loan, 4.00%, Maturing September 30, 2019		1,046		1,045,764
Valeant Pharmaceuticals International, Inc.
Term Loan, 3.75%, Maturing February 13, 2019		340		340,265
Term Loan, 3.75%, Maturing December 11, 2019		341		341,203
Term Loan, 3.75%, Maturing August 5, 2020		717		716,030
VWR Funding, Inc.
Term Loan, 3.41%, Maturing April 3, 2017		771		772,042

			$	3,583,841

Ecological Services and Equipment — 0.2%
ADS Waste Holdings, Inc.
Term Loan, 3.75%, Maturing October 9, 2019		394	$	392,558
EnergySolutions, LLC
Term Loan, 6.75%, Maturing May 29, 2020		150		152,812

			$	545,370

Electronics/Electrical — 4.6%
Aeroflex Incorporated
Term Loan, 4.50%, Maturing November 11, 2019		303	$	304,606
Allflex Holdings III, Inc.
Term Loan, 4.25%, Maturing July 17, 2020		124		124,125
Answers Corporation
Term Loan, 6.50%, Maturing December 20, 2018		146		147,530
Term Loan - Second Lien, 11.00%, Maturing June 19, 2020		125		127,031
Attachmate Corporation
Term Loan, 7.25%, Maturing November 22, 2017		489		494,668
Avago Technologies Cayman Ltd.
Term Loan, 3.75%, Maturing May 6, 2021		1,325		1,323,961
Blue Coat Systems, Inc.
Term Loan - Second Lien, 9.50%, Maturing June 28, 2020		125		127,969
Campaign Monitor Finance Pty Limited
Term Loan, 6.25%, Maturing March 18, 2021		125		122,505
CommScope, Inc.
Term Loan, 3.25%, Maturing January 26, 2018		199		198,870
CompuCom Systems, Inc.
Term Loan, 4.25%, Maturing May 11, 2020		143		141,517
Dell Inc.
Term Loan, 3.75%, Maturing October 29, 2018		135		134,990
Term Loan, 4.50%, Maturing April 29, 2020		1,812		1,816,872
Eagle Parent, Inc.
Term Loan, 4.00%, Maturing May 16, 2018		503		503,294
Entegris, Inc.
Term Loan, 3.50%, Maturing April 30, 2021		75		74,469
Excelitas Technologies Corp.
Term Loan, 6.00%, Maturing October 30, 2020		147		148,155


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
FIDJI Luxembourg (BC4) S.A.R.L.
Term Loan, 6.25%, Maturing December 24, 2020		148	$	149,606
Freescale Semiconductor, Inc.
Term Loan, 4.25%, Maturing February 28, 2020		369		367,508
Go Daddy Operating Company, LLC
Term Loan, 4.75%, Maturing May 13, 2021		1,162		1,160,064
Infor (US), Inc.
Term Loan, 3.75%, Maturing June 3, 2020		945		938,042
M/A-COM Technology Solutions Holdings, Inc.
Term Loan, 4.50%, Maturing May 7, 2021		100		100,875
Magic Newco LLC
Term Loan, 5.00%, Maturing December 12, 2018		270		272,244
MH Sub I, LLC
Term Loan, 0.00%, Maturing June 25, 2021⁽⁴⁾		15		14,745
Term Loan, 5.00%, Maturing July 8, 2021		135		135,653
Microsemi Corporation
Term Loan, 3.25%, Maturing February 19, 2020		239		237,904
NXP B.V.
Term Loan, 3.25%, Maturing January 11, 2020		347		345,258
Open Text Corporation
Term Loan, 3.25%, Maturing January 16, 2021		174		174,071
Renaissance Learning, Inc.
Term Loan, 4.50%, Maturing April 9, 2021		125		124,636
Rocket Software, Inc.
Term Loan, 5.75%, Maturing February 8, 2018		288		288,696
RP Crown Parent, LLC
Term Loan, 6.00%, Maturing December 21, 2018		543		545,964
Sensata Technologies B.V.
Term Loan, 3.25%, Maturing May 12, 2019		237		237,893
Shield Finance Co. S.A.R.L.
Term Loan, 5.00%, Maturing January 29, 2021		125		125,181
Sirius Computer Solutions, Inc.
Term Loan, 7.00%, Maturing November 30, 2018		94		95,283
SkillSoft Corporation
Term Loan, 4.50%, Maturing April 28, 2021		250		249,844
Smart Technologies ULC
Term Loan, 10.50%, Maturing January 31, 2018		118		122,688
Sophia, L.P.
Term Loan, 4.00%, Maturing July 19, 2018		231		230,693
SS&C Technologies Holdings Europe S.A.R.L.
Term Loan, 3.25%, Maturing June 7, 2019		15		15,210
SS&C Technologies Inc.
Term Loan, 3.25%, Maturing June 7, 2019		147		146,963
SumTotal Systems LLC
Term Loan, 6.25%, Maturing November 16, 2018		233		228,955
SunEdison Semiconductor B.V.
Term Loan, 6.50%, Maturing May 22, 2019		150		150,094
SurveyMonkey.com, LLC
Term Loan, 5.50%, Maturing February 5, 2019		97		97,828
Sybil Software LLC
Term Loan, 5.00%, Maturing March 20, 2020		573		574,006
Vantiv, LLC
Term Loan, 3.75%, Maturing May 12, 2021		150		150,750
VeriFone Inc.
Term Loan, 3.50%, Maturing June 30, 2021		500		500,417
Wall Street Systems Delaware, Inc.
Term Loan, 4.50%, Maturing April 30, 2021		646		646,056


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Web.com Group, Inc.
Term Loan, 4.50%, Maturing October 27, 2017		176	$	176,598

			$	14,394,287

Equipment Leasing — 0.3%
Delos Finance S.A.R.L.
Term Loan, 3.50%, Maturing March 6, 2021		425	$	424,924
Flying Fortress Inc.
Term Loan, 3.50%, Maturing June 30, 2017		500		500,156

			$	925,080

Financial Intermediaries — 2.5%
American Capital, Ltd.
Term Loan, 3.50%, Maturing August 22, 2017		131	$	131,250
Armor Holding II LLC
Term Loan, 5.75%, Maturing June 26, 2020		121		120,971
Citco Funding LLC
Term Loan, 4.25%, Maturing June 29, 2018		681		683,243
Clipper Acquisitions Corp.
Term Loan, 3.00%, Maturing February 6, 2020		99		98,095
First Data Corporation
Term Loan, 3.67%, Maturing March 23, 2018		650		644,177
Term Loan, 3.67%, Maturing September 24, 2018		375		371,641
Grosvenor Capital Management Holdings, LLP
Term Loan, 3.75%, Maturing January 4, 2021		1,224		1,218,139
Guggenheim Partners, LLC
Term Loan, 4.25%, Maturing July 22, 2020		149		148,968
Harbourvest Partners, LLC
Term Loan, 3.25%, Maturing February 4, 2021		151		150,733
Home Loan Servicing Solutions, Ltd.
Term Loan, 4.50%, Maturing June 19, 2020		198		198,928
LPL Holdings, Inc.
Term Loan, 3.25%, Maturing March 29, 2019		1,590		1,588,929
Nuveen Investments, Inc.
Term Loan, 4.16%, Maturing May 15, 2017		1,250		1,251,476
Ocwen Financial Corporation
Term Loan, 5.00%, Maturing February 15, 2018		247		247,924
Oz Management LP
Term Loan, 1.66%, Maturing November 15, 2016		220		212,103
Sesac Holdco II, LLC
Term Loan, 5.01%, Maturing February 8, 2019		299		300,739
Starwood Property Trust, Inc.
Term Loan, 3.50%, Maturing April 17, 2020		124		123,612
Walker & Dunlop, Inc.
Term Loan, 5.50%, Maturing December 11, 2020		124		126,241
Walter Investment Management Corp.
Term Loan, 4.75%, Maturing December 11, 2020		209		206,130

			$	7,823,299

Food Products — 2.5%
AdvancePierre Foods, Inc.
Term Loan, 5.75%, Maturing July 10, 2017		646	$	648,404
Big Heart Pet Brands
Term Loan, 3.50%, Maturing March 8, 2020		782		772,471
Blue Buffalo Company, Ltd.
Term Loan, 4.00%, Maturing August 8, 2019		246		246,263
Charger OpCo BV
Term Loan, Maturing May 29, 2021⁽³⁾		375		370,312
Term Loan, Maturing June 30, 2021⁽³⁾	EUR	125		164,885


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Clearwater Seafoods Limited Partnership
Term Loan, 4.75%, Maturing June 24, 2019		173	$	174,694
CSM Bakery Solutions LLC
Term Loan, 4.75%, Maturing July 3, 2020		173		173,178
Del Monte Foods, Inc.
Term Loan, 4.25%, Maturing February 18, 2021		124		123,617
Dole Food Company Inc.
Term Loan, 4.50%, Maturing November 1, 2018		99		98,915
H.J. Heinz Company
Term Loan, 3.50%, Maturing June 5, 2020		2,005		2,007,256
High Liner Foods Incorporated
Term Loan, 4.25%, Maturing April 24, 2021		150		149,625
JBS USA Holdings Inc.
Term Loan, 3.75%, Maturing May 25, 2018		866		861,507
Term Loan, 3.75%, Maturing September 18, 2020		298		296,723
NBTY, Inc.
Term Loan, 3.50%, Maturing October 1, 2017		888		887,532
Pinnacle Foods Finance LLC
Term Loan, 3.25%, Maturing April 29, 2020		124		123,298
Term Loan, 3.25%, Maturing April 29, 2020		605		601,619
Post Holdings Inc.
Term Loan, 3.75%, Maturing June 2, 2021		100		100,464

			$	7,800,763

Food Service — 1.3%
Aramark Corporation
Term Loan, 3.73%, Maturing July 26, 2016		43	$	42,627
Term Loan, 3.73%, Maturing July 26, 2016		77		76,484
Buffets, Inc.
Term Loan, 0.11%, Maturing April 22, 2015⁽⁵⁾		26		25,828
Burger King Corporation
Term Loan, 3.75%, Maturing September 28, 2019		565		567,486
CEC Entertainment Concepts, L.P.
Term Loan, 4.25%, Maturing February 14, 2021		125		123,908
Darling International Inc.
Term Loan, 3.50%, Maturing January 6, 2021	EUR	175		234,430
DineEquity, Inc.
Term Loan, 3.75%, Maturing October 19, 2017		203		203,863
Dunkin’ Brands, Inc.
Term Loan, 3.25%, Maturing February 7, 2021		526		517,885
Landry’s, Inc.
Term Loan, 4.00%, Maturing April 24, 2018		466		468,083
OSI Restaurant Partners, LLC
Term Loan, 3.50%, Maturing October 25, 2019		118		118,325
US Foods, Inc.
Term Loan, 4.50%, Maturing March 31, 2019		619		619,137
Weight Watchers International, Inc.
Term Loan, 4.00%, Maturing April 2, 2020		1,185		944,445
Wendy’s International, Inc.
Term Loan, 3.25%, Maturing May 15, 2019		254		254,030

			$	4,196,531

Food/Drug Retailers — 1.8%
Albertson’s, LLC
Term Loan, 4.75%, Maturing March 21, 2019		223	$	224,543
Alliance Boots Holdings Limited
Term Loan, 3.56%, Maturing July 10, 2017	EUR	1,000		1,341,801
Term Loan, 3.98%, Maturing July 10, 2017	GBP	300		506,727
General Nutrition Centers, Inc.
Term Loan, 3.25%, Maturing March 4, 2019		853		847,534


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
New Albertson’s, Inc.
Term Loan, 4.75%, Maturing June 27, 2021		1,175	$	1,179,988
Rite Aid Corporation
Term Loan, 3.50%, Maturing February 21, 2020		446		444,952
Term Loan - Second Lien, 5.75%, Maturing August 21, 2020		100		102,100
Supervalu Inc.
Term Loan, 4.50%, Maturing March 21, 2019		990		990,420

			$	5,638,065

Health Care — 6.2%
Akorn, Inc.
Term Loan, 4.50%, Maturing April 16, 2021		125	$	125,469
Term Loan, Maturing April 16, 2021⁽³⁾		75		75,281
Alere, Inc.
Term Loan, 4.25%, Maturing June 30, 2017		755		757,705
Alliance Healthcare Services, Inc.
Term Loan, 4.25%, Maturing June 3, 2019		223		222,890
Amneal Pharmaceuticals LLC
Term Loan, 4.75%, Maturing November 1, 2019		99		99,808
Amsurg Corp.
Term Loan, 3.75%, Maturing July 16, 2021		100		100,104
Ardent Medical Services, Inc.
Term Loan, 6.75%, Maturing July 2, 2018		275		276,099
Biomet Inc.
Term Loan, 3.66%, Maturing July 25, 2017		1,143		1,143,970
CHG Buyer Corporation
Term Loan, 4.25%, Maturing November 19, 2019		123		122,925
Community Health Systems, Inc.
Term Loan, 3.48%, Maturing January 25, 2017		372		372,682
Term Loan, 4.25%, Maturing January 27, 2021		1,439		1,444,535
Convatec Inc.
Term Loan, 4.00%, Maturing December 22, 2016		93		93,091
DaVita HealthCare Partners, Inc.
Term Loan, 3.50%, Maturing June 24, 2021		550		549,853
DJO Finance LLC
Term Loan, 4.25%, Maturing September 15, 2017		333		333,819
Envision Healthcare Corporation
Term Loan, 4.00%, Maturing May 25, 2018		401		401,473
Gentiva Health Services, Inc.
Term Loan, 6.50%, Maturing October 18, 2019		649		650,267
Grifols Worldwide Operations USA, Inc.
Term Loan, 3.16%, Maturing February 27, 2021		823		820,302
HCA, Inc.
Term Loan, 2.91%, Maturing March 31, 2017		1,207		1,209,325
Term Loan, 2.98%, Maturing May 1, 2018		782		781,595
Hologic Inc.
Term Loan, 3.25%, Maturing August 1, 2019		298		297,092
Iasis Healthcare LLC
Term Loan, 4.50%, Maturing May 3, 2018		315		315,653
inVentiv Health, Inc.
Term Loan, 7.75%, Maturing May 15, 2018		533		533,922
JLL/Delta Dutch Newco B.V.
Term Loan, 4.25%, Maturing March 11, 2021		400		397,500
Kindred Healthcare, Inc.
Term Loan, 4.00%, Maturing April 9, 2021		250		249,766
Kinetic Concepts, Inc.
Term Loan, 4.00%, Maturing May 4, 2018		928		929,173
Mallinckrodt International Finance S.A.
Term Loan, 3.50%, Maturing March 19, 2021		274		273,284
Term Loan, Maturing July 17, 2021⁽³⁾		225		224,062


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
MedAssets, Inc.
Term Loan, 4.00%, Maturing December 13, 2019		75	$	75,192
Millennium Laboratories, Inc.
Term Loan, 5.25%, Maturing April 16, 2021		875		877,909
MMM Holdings, Inc.
Term Loan, 9.75%, Maturing December 12, 2017		121		122,299
MSO of Puerto Rico, Inc.
Term Loan, 9.75%, Maturing December 12, 2017		88		88,474
National Mentor Holdings, Inc.
Term Loan, 4.75%, Maturing January 31, 2021		100		100,207
Onex Carestream Finance LP
Term Loan, 5.00%, Maturing June 7, 2019		484		485,108
Opal Acquisition, Inc.
Term Loan, 5.00%, Maturing November 27, 2020		299		299,358
Ortho-Clinical Diagnostics, Inc.
Term Loan, 4.75%, Maturing June 30, 2021		550		550,573
Pharmaceutical Product Development LLC
Term Loan, 4.00%, Maturing December 5, 2018		1,345		1,347,632
PRA Holdings, Inc.
Term Loan, 4.50%, Maturing September 23, 2020		623		621,754
Radnet Management, Inc.
Term Loan, 4.27%, Maturing October 10, 2018		317		318,161
RegionalCare Hospital Partners, Inc.
Term Loan, 6.00%, Maturing April 19, 2019		375		376,758
Salix Pharmaceuticals, Ltd.
Term Loan, 4.25%, Maturing January 2, 2020		122		122,580
Select Medical Corporation
Term Loan, 3.75%, Maturing June 1, 2018		225		225,000
Steward Health Care System LLC
Term Loan, 6.75%, Maturing April 12, 2020		400		397,500
TriZetto Corporation
Term Loan, 4.75%, Maturing May 2, 2018		282		283,261
Truven Health Analytics Inc.
Term Loan, 4.50%, Maturing June 6, 2019		319		318,730

			$	19,412,141

Home Furnishings — 0.2%
Serta/Simmons Holdings, LLC
Term Loan, 4.25%, Maturing October 1, 2019		315	$	315,671
Tempur-Pedic International Inc.
Term Loan, 3.50%, Maturing March 18, 2020		290		289,863

			$	605,534

Industrial Equipment — 1.8%
Apex Tool Group, LLC
Term Loan, 4.50%, Maturing January 31, 2020		547	$	540,504
Doosan Infracore International, Inc.
Term Loan, 4.50%, Maturing May 28, 2021		200		201,082
Gardner Denver, Inc.
Term Loan, 4.25%, Maturing July 30, 2020		347		346,208
Gemini HDPE LLC
Term Loan, Maturing August 4, 2021⁽³⁾		375		375,937
Generac Power Systems, Inc.
Term Loan, 3.25%, Maturing May 31, 2020		319		316,784
Grede Holdings LLC
Term Loan, 4.75%, Maturing June 2, 2021		150		150,813
Husky Injection Molding Systems Ltd.
Term Loan, 4.25%, Maturing June 30, 2021		475		476,707
Term Loan - Second Lien, 7.25%, Maturing June 30, 2022		125		126,146


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Milacron LLC
Term Loan, 4.00%, Maturing March 30, 2020		574	$	573,885
Paladin Brands Holding, Inc.
Term Loan, 6.75%, Maturing August 16, 2019		96		96,950
Rexnord LLC
Term Loan, 4.00%, Maturing August 21, 2020		844		843,040
Signode Industrial Group US Inc.
Term Loan, 4.00%, Maturing May 1, 2021		250		249,115
Spansion LLC
Term Loan, 3.75%, Maturing December 19, 2019		197		196,809
STS Operating, Inc.
Term Loan, 4.75%, Maturing February 19, 2021		350		351,843
Tank Holding Corp.
Term Loan, 4.25%, Maturing July 9, 2019		164		164,230
Terex Corporation
Term Loan, 3.50%, Maturing April 28, 2017		744		745,182
Virtuoso US LLC
Term Loan, 4.75%, Maturing February 11, 2021		75		75,046

			$	5,830,281

Insurance — 1.5%
Alliant Holdings I, Inc.
Term Loan, 4.25%, Maturing December 20, 2019		390	$	390,397
AmWINS Group, LLC
Term Loan, 5.00%, Maturing September 6, 2019		912		914,913
Applied Systems, Inc.
Term Loan, 4.25%, Maturing January 25, 2021		149		149,157
Asurion LLC
Term Loan, 5.00%, Maturing May 24, 2019		1,646		1,655,707
Term Loan, 4.25%, Maturing July 8, 2020		173		172,979
Term Loan - Second Lien, 8.50%, Maturing March 3, 2021		175		180,906
CGSC of Delaware Holding Corporation
Term Loan, 5.00%, Maturing April 16, 2020		50		48,324
Cunningham Lindsey U.S. Inc.
Term Loan, 5.00%, Maturing December 10, 2019		172		172,089
Hub International Limited
Term Loan, 4.25%, Maturing October 2, 2020		521		520,371
USI, Inc.
Term Loan, 4.25%, Maturing December 27, 2019		469		469,207

			$	4,674,050

Leisure Goods/Activities/Movies — 2.9%
Activision Blizzard, Inc.
Term Loan, 3.25%, Maturing October 12, 2020		530	$	529,688
Amaya Holdings B.V.
Term Loan, Maturing August 1, 2021⁽³⁾		525		520,324
Term Loan - Second Lien, Maturing August 1, 2022⁽³⁾		150		151,938
AMC Entertainment, Inc.
Term Loan, 3.50%, Maturing April 30, 2020		444		443,922
Bally Technologies, Inc.
Term Loan, 4.25%, Maturing November 25, 2020		187		187,528
Bombardier Recreational Products, Inc.
Term Loan, 4.00%, Maturing January 30, 2019		641		640,341
ClubCorp Club Operations, Inc.
Term Loan, 4.00%, Maturing July 24, 2020		473		471,300
Delta 2 (LUX) S.a.r.l.
Term Loan, 4.50%, Maturing April 30, 2019		539		540,780
Emerald Expositions Holding, Inc.
Term Loan, 5.50%, Maturing June 17, 2020		190		191,627
Equinox Holdings, Inc.
Term Loan, 4.25%, Maturing January 31, 2020		347		348,176


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Fender Musical Instruments Corporation
Term Loan, 5.75%, Maturing April 3, 2019		89	$	89,268
Kasima, LLC
Term Loan, 3.25%, Maturing May 17, 2021		175		174,453
Live Nation Entertainment, Inc.
Term Loan, 3.50%, Maturing August 17, 2020		504		504,771
Nord Anglia Education Limited
Term Loan, 4.50%, Maturing March 19, 2021		400		400,750
Regal Cinemas, Inc.
Term Loan, 2.68%, Maturing August 23, 2017		1,182		1,183,270
Sabre, Inc.
Term Loan, 4.25%, Maturing February 19, 2019		222		221,325
SeaWorld Parks & Entertainment, Inc.
Term Loan, 3.00%, Maturing May 14, 2020		554		546,680
Six Flags Theme Parks, Inc.
Term Loan, 3.50%, Maturing December 20, 2018		600		601,905
SRAM, LLC
Term Loan, 4.00%, Maturing April 10, 2020		349		346,524
Town Sports International Inc.
Term Loan, 4.50%, Maturing November 16, 2020		224		203,726
US Finco LLC
Term Loan, 4.00%, Maturing May 29, 2020		74		74,134
WMG Acquisition Corp.
Term Loan, 3.75%, Maturing July 1, 2020		174		170,503
Zuffa LLC
Term Loan, 3.75%, Maturing February 25, 2020		566		566,908

			$	9,109,841

Lodging and Casinos — 2.1%
Affinity Gaming, LLC
Term Loan, 5.25%, Maturing November 9, 2017		457	$	456,863
Boyd Gaming Corporation
Term Loan, 4.00%, Maturing August 14, 2020		97		96,994
Caesars Entertainment Operating Company
Term Loan, 6.96%, Maturing March 1, 2017		366		341,612
CityCenter Holdings, LLC
Term Loan, 4.25%, Maturing October 16, 2020		636		636,787
Four Seasons Holdings Inc.
Term Loan, 3.50%, Maturing June 27, 2020		99		98,893
Term Loan - Second Lien, Maturing December 28, 2020⁽³⁾		500		505,625
Hilton Worldwide Finance, LLC
Term Loan, 3.50%, Maturing October 26, 2020		2,392		2,384,327
La Quinta Intermediate Holdings LLC
Term Loan, 4.00%, Maturing April 14, 2021		192		192,802
Las Vegas Sands LLC
Term Loan, 3.25%, Maturing December 19, 2020		348		347,869
MGM Resorts International
Term Loan, 3.50%, Maturing December 20, 2019		493		490,243
Pinnacle Entertainment, Inc.
Term Loan, 3.75%, Maturing August 13, 2020		144		144,845
Playa Resorts Holding B.V.
Term Loan, 4.00%, Maturing August 6, 2019		99		99,343
RHP Hotel Properties, LP
Term Loan, 3.75%, Maturing January 15, 2021		125		125,586
Scientific Games International, Inc.
Term Loan, 4.25%, Maturing October 18, 2020		647		638,492

			$	6,560,281

Nonferrous Metals/Minerals — 0.9%
Alpha Natural Resources, LLC
Term Loan, 3.50%, Maturing May 22, 2020		148	$	142,015


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Arch Coal Inc.
Term Loan, 6.25%, Maturing May 16, 2018		564	$	554,596
Fairmount Minerals Ltd.
Term Loan, 4.50%, Maturing September 5, 2019		372		375,367
Murray Energy Corporation
Term Loan, 5.25%, Maturing December 5, 2019		249		251,635
Noranda Aluminum Acquisition Corporation
Term Loan, 5.75%, Maturing February 28, 2019		171		166,715
Novelis, Inc.
Term Loan, 3.75%, Maturing March 10, 2017		410		410,801
Oxbow Carbon LLC
Term Loan, 4.25%, Maturing July 19, 2019		95		95,356
Term Loan - Second Lien, 8.00%, Maturing January 17, 2020		150		154,125
Walter Energy, Inc.
Term Loan, 7.25%, Maturing April 2, 2018		681		646,874

			$	2,797,484

Oil and Gas — 2.1%
Ameriforge Group, Inc.
Term Loan, 5.00%, Maturing December 19, 2019		223	$	224,213
Bronco Midstream Funding LLC
Term Loan, 5.00%, Maturing August 17, 2020		307		310,198
Citgo Petroleum Corporation
Term Loan, 4.50%, Maturing July 29, 2021		200		201,250
Crestwood Holdings LLC
Term Loan, 7.00%, Maturing June 19, 2019		181		184,518
Drillships Ocean Ventures Inc.
Term Loan, 5.50%, Maturing July 18, 2021		200		201,375
Energy Transfer Equity, L.P.
Term Loan, 3.25%, Maturing December 2, 2019		325		321,054
Fieldwood Energy LLC
Term Loan, 3.88%, Maturing September 28, 2018		199		199,094
Floatel International, Ltd.
Term Loan, 6.00%, Maturing June 27, 2020		175		175,653
MEG Energy Corp.
Term Loan, 3.75%, Maturing March 31, 2020		1,450		1,452,041
Obsidian Natural Gas Trust
Term Loan, 7.00%, Maturing November 2, 2015		398		401,467
Paragon Offshore Finance Company
Term Loan, 3.75%, Maturing July 18, 2021		150		149,391
Ruby Western Pipeline Holdings, LLC
Term Loan, 3.50%, Maturing March 27, 2020		86		86,220
Samson Investment Company
Term Loan - Second Lien, 5.00%, Maturing September 25, 2018		175		174,813
Seadrill Partners Finco LLC
Term Loan, 4.00%, Maturing February 21, 2021		647		640,703
Seventy Seven Operating LLC
Term Loan, 3.75%, Maturing June 25, 2021		100		100,156
Sheridan Investment Partners II, L.P.
Term Loan, 4.25%, Maturing December 16, 2020		28		28,293
Term Loan, 4.25%, Maturing December 16, 2020		76		75,864
Term Loan, 4.25%, Maturing December 16, 2020		545		545,364
Sheridan Production Partners I, LLC
Term Loan, 4.25%, Maturing September 25, 2019		31		31,047
Term Loan, 4.25%, Maturing September 25, 2019		51		50,830
Term Loan, 4.25%, Maturing October 1, 2019		383		383,596
Tallgrass Operations, LLC
Term Loan, 4.25%, Maturing November 13, 2018		303		303,409
Tervita Corporation
Term Loan, 6.25%, Maturing May 15, 2018		320		321,697

			$	6,562,246


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Publishing — 1.5%
Ascend Learning, LLC
Term Loan, 6.00%, Maturing July 31, 2019		224	$	226,464
Flint Group SA
Term Loan, 5.31%, Maturing December 30, 2016	EUR	685		917,419
Getty Images, Inc.
Term Loan, 4.75%, Maturing October 18, 2019		936		904,818
Interactive Data Corporation
Term Loan, 4.75%, Maturing May 2, 2021		275		276,461
Laureate Education, Inc.
Term Loan, 5.00%, Maturing June 15, 2018		1,530		1,488,156
McGraw-Hill Global Education Holdings, LLC
Term Loan, 5.75%, Maturing March 22, 2019		127		128,143
Media General, Inc.
Term Loan, 4.25%, Maturing July 31, 2020		186		186,492
Merrill Communications, LLC
Term Loan, 5.75%, Maturing March 8, 2018		140		142,683
Multi Packaging Solutions, Inc.
Term Loan, 4.25%, Maturing September 30, 2020		75		74,968
Rentpath, Inc.
Term Loan, 6.25%, Maturing May 29, 2020		173		174,983
Springer Science+Business Media Deutschland GmbH
Term Loan, 5.00%, Maturing August 14, 2020		199		198,779

			$	4,719,366

Radio and Television — 1.0%
Clear Channel Communications, Inc.
Term Loan, Maturing July 30, 2019⁽³⁾		450	$	450,241
Cumulus Media Holdings Inc.
Term Loan, 4.25%, Maturing December 23, 2020		763		765,609
Mission Broadcasting, Inc.
Term Loan, 3.75%, Maturing October 1, 2020		127		127,633
Nexstar Broadcasting, Inc.
Term Loan, 3.75%, Maturing October 1, 2020		144		144,737
TWCC Holding Corp.
Term Loan, 3.50%, Maturing February 13, 2017		255		253,193
Term Loan - Second Lien, 7.00%, Maturing June 26, 2020		125		123,203
Univision Communications Inc.
Term Loan, 4.00%, Maturing March 1, 2020		1,149		1,143,728

			$	3,008,344

Retailers (Except Food and Drug) — 2.5%
99 Cents Only Stores
Term Loan, 4.50%, Maturing January 11, 2019		340	$	342,459
Bass Pro Group, LLC
Term Loan, 3.75%, Maturing November 20, 2019		447		447,673
Burlington Coat Factory Warehouse Corporation
Term Loan, Maturing July 17, 2021⁽³⁾		100		100,000
CDW LLC
Term Loan, 3.25%, Maturing April 29, 2020		370		366,431
David’s Bridal, Inc.
Term Loan, 5.00%, Maturing October 11, 2019		119		116,109
Evergreen Acqco 1 LP
Term Loan, 5.00%, Maturing July 9, 2019		123		122,995
Harbor Freight Tools USA, Inc.
Term Loan, 4.75%, Maturing July 26, 2019		198		199,163
Hudson’s Bay Company
Term Loan, 4.75%, Maturing November 4, 2020		671		676,912
J. Crew Group, Inc.
Term Loan, 4.00%, Maturing March 5, 2021		524		512,363


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Jo-Ann Stores, Inc.
Term Loan, 4.00%, Maturing March 16, 2018		332	$	331,132
Men’s Wearhouse, Inc. (The)
Term Loan, 4.50%, Maturing June 18, 2021		250		252,342
Michaels Stores, Inc.
Term Loan, 3.75%, Maturing January 28, 2020		1,491		1,488,029
Term Loan, 4.00%, Maturing January 28, 2020		175		174,453
Neiman Marcus Group, Inc. (The)
Term Loan, 4.25%, Maturing October 25, 2020		771		768,576
Party City Holdings Inc.
Term Loan, 4.00%, Maturing July 27, 2019		271		269,317
Petco Animal Supplies, Inc.
Term Loan, 4.00%, Maturing November 24, 2017		734		735,488
Pier 1 Imports (U.S.), Inc.
Term Loan, 4.50%, Maturing April 30, 2021		100		100,250
Pilot Travel Centers LLC
Term Loan, 3.75%, Maturing March 30, 2018		333		334,287
Term Loan, 4.25%, Maturing August 7, 2019		123		122,959
Spin Holdco Inc.
Term Loan, 4.25%, Maturing November 14, 2019		298		298,003
Visant Corporation
Term Loan, 5.25%, Maturing December 22, 2016		252		250,889

			$	8,009,830

Steel — 0.6%
Essar Steel Algoma, Inc.
Term Loan, 10.25%, Maturing September 20, 2014		197	$	197,335
FMG Resources (August 2006) Pty Ltd.
Term Loan, 3.75%, Maturing June 30, 2019		1,204		1,202,367
JMC Steel Group, Inc.
Term Loan, 4.75%, Maturing April 3, 2017		145		145,671
Neenah Foundry Company
Term Loan, 6.75%, Maturing April 26, 2017		89		88,542
Patriot Coal Corporation
Term Loan, 9.00%, Maturing December 15, 2018		75		73,817
Waupaca Foundry, Inc.
Term Loan, 4.00%, Maturing June 29, 2017		205		205,419

			$	1,913,151

Surface Transport — 0.3%
Hertz Corporation (The)
Term Loan, 3.75%, Maturing March 12, 2018		345	$	345,020
Stena International S.a.r.l.
Term Loan, 4.00%, Maturing March 3, 2021		274		274,741
Swift Transportation Co., LLC
Term Loan, 3.75%, Maturing June 9, 2021		200		200,061

			$	819,822

Telecommunications — 1.6%
Arris Group, Inc.
Term Loan, 3.50%, Maturing April 17, 2020		132	$	131,586
Cellular South, Inc.
Term Loan, 3.25%, Maturing May 22, 2020		74		73,924
Intelsat Jackson Holdings S.A.
Term Loan, 3.75%, Maturing June 30, 2019		1,650		1,650,000
IPC Systems, Inc.
Term Loan, 6.00%, Maturing November 8, 2020		175		176,094
SBA Senior Finance II LLC
Term Loan, 3.25%, Maturing March 24, 2021		350		346,937
Syniverse Holdings, Inc.
Term Loan, 4.00%, Maturing April 23, 2019		242		242,229
Term Loan, 4.00%, Maturing April 23, 2019		336		335,887


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Telesat Canada
Term Loan, 3.50%, Maturing March 28, 2019		662	$	660,237
Windstream Corporation
Term Loan, 3.50%, Maturing August 8, 2019		123		122,705
Term Loan, Maturing January 23, 2020⁽³⁾		1,365		1,361,769

			$	5,101,368

Utilities — 0.8%
Calpine Construction Finance Company, L.P.
Term Loan, 3.00%, Maturing May 3, 2020		198	$	194,411
Term Loan, 3.25%, Maturing January 31, 2022		74		73,501
Calpine Corporation
Term Loan, 4.00%, Maturing April 1, 2018		194		194,849
Term Loan, 4.00%, Maturing April 1, 2018		532		534,054
Term Loan, 4.00%, Maturing October 9, 2019		172		172,389
Dynegy Holdings Inc.
Term Loan, 4.00%, Maturing April 23, 2020		183		182,941
EFS Cogen Holdings I LLC
Term Loan, 3.75%, Maturing December 17, 2020		92		92,207
Energy Future Intermediate Holding Co LLC
DIP Loan, 4.25%, Maturing June 19, 2016		300		301,312
Equipower Resources Holdings LLC
Term Loan, 4.25%, Maturing December 31, 2019		99		99,372
La Frontera Generation, LLC
Term Loan, 4.50%, Maturing September 30, 2020		93		93,319
WTG Holdings III Corp.
Term Loan, 4.75%, Maturing January 15, 2021		575		574,984

			$	2,513,339


Total Senior Floating-Rate Interests (identified cost $172,478,224)			$	172,225,067


Collateralized Mortgage Obligations — 18.1%
Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
Series 2113, Class QG, 6.00%, 1/15/29	$	1,454	$	1,633,957
Series 2167, Class BZ, 7.00%, 6/15/29		1,091		1,253,351
Series 2182, Class ZB, 8.00%, 9/15/29		1,798		2,136,624
Series 2631, (Interest Only), Class DS, 6.948%, 6/15/33⁽⁶⁾⁽⁷⁾		3,161		546,841
Series 2770, (Interest Only), Class SH, 6.948%, 3/15/34⁽⁶⁾⁽⁷⁾		3,529		673,781
Series 2981, (Interest Only), Class CS, 6.568%, 5/15/35⁽⁶⁾⁽⁷⁾		2,094		374,215
Series 3114, (Interest Only), Class TS, 6.498%, 9/15/30⁽⁶⁾⁽⁷⁾		5,057		831,473
Series 3339, (Interest Only), Class JI, 6.438%, 7/15/37⁽⁶⁾⁽⁷⁾		4,173		599,826
Series 3423, (Interest Only), Class SN, 5.978%, 3/15/38⁽⁶⁾⁽⁷⁾		6,378		877,018
Series 3898, Class TS, 5.00%, 4/15/41⁽⁷⁾		743		764,834
Series 4109, (Interest Only), Class ES, 5.998%, 12/15/41⁽⁶⁾⁽⁷⁾		5,712		401,713
Series 4163, (Interest Only), Class GS, 6.048%, 11/15/32⁽⁶⁾⁽⁷⁾		7,025		1,479,723
Series 4169, (Interest Only), Class AS, 6.098%, 2/15/33⁽⁶⁾⁽⁷⁾		4,480		844,982
Series 4180, (Interest Only), Class GI, 3.50%, 8/15/26⁽⁶⁾		5,010		630,112
Series 4203, (Interest Only), Class QS, 6.098%, 5/15/43⁽⁶⁾⁽⁷⁾		4,679		918,771
Series 4273, Class PU, 4.00%, 11/15/43		3,056		3,089,773
Series 4316, (Interest Only), Class JS, 5.948%, 1/15/44⁽⁶⁾⁽⁷⁾		5,344		1,005,946

			$	18,062,940

Federal National Mortgage Association:
Series 1989-89, Class H, 9.00%, 11/25/19	$	57	$	63,814
Series 1991-122, Class N, 7.50%, 9/25/21		241		269,004
Series 1993-84, Class M, 7.50%, 6/25/23		1,839		2,114,853
Series 1994-42, Class K, 6.50%, 4/25/24		555		616,455


Security	Principal Amount (000’s omitted)		Value
Series 1997-28, Class ZA, 7.50%, 4/20/27	$	639	$	751,516
Series 1997-38, Class N, 8.00%, 5/20/27		564		661,317
Series 2004-46, (Interest Only), Class SI, 5.845%, 5/25/34⁽⁶⁾⁽⁷⁾		3,549		520,129
Series 2005-17, (Interest Only), Class SA, 6.545%, 3/25/35⁽⁶⁾⁽⁷⁾		2,421		466,416
Series 2006-42, (Interest Only), Class PI, 6.435%, 6/25/36⁽⁶⁾⁽⁷⁾		4,603		763,035
Series 2006-44, (Interest Only), Class IS, 6.445%, 6/25/36⁽⁶⁾⁽⁷⁾		3,774		633,475
Series 2006-72, (Interest Only), Class GI, 6.425%, 8/25/36⁽⁶⁾⁽⁷⁾		6,858		1,093,412
Series 2007-50, (Interest Only), Class LS, 6.295%, 6/25/37⁽⁶⁾⁽⁷⁾		3,177		465,832
Series 2007-74, Class AC, 5.00%, 8/25/37		3,618		3,954,188
Series 2008-26, (Interest Only), Class SA, 6.045%, 4/25/38⁽⁶⁾⁽⁷⁾		4,705		744,766
Series 2008-29, (Interest Only), Class CI, 5.00%, 9/25/35⁽⁶⁾		3,374		235,689
Series 2008-61, (Interest Only), Class S, 5.945%, 7/25/38⁽⁶⁾⁽⁷⁾		5,792		930,873
Series 2010-67, (Interest Only), Class SC, 5.645%, 6/25/40⁽⁶⁾⁽⁷⁾		2,017		279,378
Series 2010-99, (Interest Only), Class NS, 6.445%, 3/25/39⁽⁶⁾⁽⁷⁾		6,128		754,679
Series 2010-109, (Interest Only), Class PS, 6.445%, 10/25/40⁽⁶⁾⁽⁷⁾		7,819		1,401,137
Series 2010-119, (Interest Only), Class SK, 5.845%, 4/25/40⁽⁶⁾⁽⁷⁾		3,848		308,470
Series 2010-124, (Interest Only), Class SJ, 5.895%, 11/25/38⁽⁶⁾⁽⁷⁾		4,706		666,507
Series 2010-147, (Interest Only), Class KS, 5.795%, 1/25/41⁽⁶⁾⁽⁷⁾		9,167		1,241,227
Series 2010-150, (Interest Only), Class GS, 6.595%, 1/25/21⁽⁶⁾⁽⁷⁾		6,547		815,137
Series 2010-151, (Interest Only), Class PI, 4.00%, 5/25/28⁽⁶⁾		13,049		789,302
Series 2011-22, (Interest Only), Class IC, 3.50%, 12/25/25⁽⁶⁾		8,812		977,673
Series 2011-49, Class NT, 6.00%, 6/25/41⁽⁷⁾		1,495		1,643,838
Series 2012-52, (Interest Only), Class AI, 3.50%, 8/25/26⁽⁶⁾		10,884		1,034,070
Series 2012-56, (Interest Only), Class SU, 6.595%, 8/25/26⁽⁶⁾⁽⁷⁾		3,920		445,034
Series 2012-150, (Interest Only), Class PS, 5.995%, 1/25/43⁽⁶⁾⁽⁷⁾		9,032		1,738,575
Series 2012-150, (Interest Only), Class SK, 5.995%, 1/25/43⁽⁶⁾⁽⁷⁾		5,039		976,474
Series 2013-6, Class TA, 1.50%, 1/25/43		4,679		4,384,042
Series 2013-23, (Interest Only), Class CS, 6.095%, 3/25/33⁽⁶⁾⁽⁷⁾		4,488		902,115
Series 2013-54, (Interest Only), Class HS, 6.145%, 10/25/41⁽⁶⁾⁽⁷⁾		4,507		780,599
Series 2013-123, Class VS, 11.587%, 9/25/41⁽⁷⁾		545		563,937
Series 2014-32, (Interest Only), Class EI, 4.00%, 6/25/44⁽⁶⁾		4,273		936,249
Series 2014-36, (Interest Only), Class ID, 4.00%, 6/25/44⁽⁶⁾		3,880		856,803
Series G-33, Class PT, 7.00%, 10/25/21		477		508,021

			$	36,288,041

Government National Mortgage Association:
Series 2010-4, (Interest Only), Class SK, 6.044%, 5/20/35⁽⁶⁾⁽⁷⁾	$	2,065	$	360,266
Series 2012-50, (Principal Only), Class CO, 0.00%, 8/20/40⁽⁸⁾		245		209,345
Series 2013-24, Class KS, 5.573%, 2/20/43⁽⁷⁾		1,551		1,529,953
Series 2013-124, Class LS, 11.984%, 5/20/41⁽⁷⁾		567		591,904
Series 2013-150, Class SC, 7.609%, 10/16/43⁽⁷⁾		38		38,388

			$	2,729,856


Total Collateralized Mortgage Obligations (identified cost $56,314,076)			$	57,080,837


Commercial Mortgage-Backed Securities — 5.9%
Security	Principal Amount (000’s omitted)		Value
COMM, Series 2014-KYO, Class D, 2.503%, 6/11/27⁽⁹⁾⁽¹⁰⁾	$	1,000	$	1,001,483
ESA, Series 2013-ESH7, Class D7, 5.053%, 12/5/31⁽⁹⁾⁽¹¹⁾		1,080		1,134,186
HILT, Series 2013-HLT, Class DFX, 4.407%, 11/5/30⁽⁹⁾		850		876,007
JPMBB, Series 2014-C19, Class D, 4.679%, 4/15/47⁽⁹⁾⁽¹¹⁾		1,425		1,346,190
JPMBB, Series 2014-C21, Class D, 4.816%, 8/15/47⁽⁹⁾⁽¹¹⁾		650		606,959
JPMCC, Series 2006-CB14, Class A4, 5.481%, 12/12/44⁽¹¹⁾		465		486,983
JPMCC, Series 2011-C5, Class D, 5.50%, 8/15/46^(9)(11)		1,850		1,969,093
JPMCC, Series 2014-DSTY, Class B, 3.771%, 6/10/27⁽⁹⁾		1,900		1,951,211
UBSC, Series 2011-C1, Class D, 5.875%, 1/10/45^(9)(11)		2,000		2,233,162
UBSCM, Series 2012-C1, Class D, 5.535%, 5/10/45^(9)(11)		2,000		2,092,927


Security	Principal Amount (000’s omitted)		Value
WFCM, Series 2010-C1, Class C, 5.585%, 11/15/43^(9)(11)	$	500	$	559,823
WFCM, Series 2013-LC12, Class D, 4.303%, 7/15/46^(9)(11)		2,000		1,866,379
WF-RBS, Series 2012-C9, Class D, 4.803%, 11/15/45^(9)(11)		1,250		1,242,130
WF-RBS, Series 2014-LC14, Class D, 4.586%, 3/15/47^(9)(11)		1,150		1,071,390


Total Commercial Mortgage-Backed Securities (identified cost $17,866,555)			$	18,437,923


Mortgage Pass-Throughs — 25.3%
Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
2.879%, with maturity at 2035⁽¹²⁾	$	3,416	$	3,629,703
5.00%, with various maturities to 2023		2,890		3,083,887
6.00%, with various maturities to 2029		2,568		2,887,724
6.15%, with maturity at 2027		1,001		1,136,425
6.50%, with various maturities to 2032		8,250		9,248,072
7.00%, with various maturities to 2035		4,729		5,496,899
7.50%, with various maturities to 2035		2,192		2,570,630
8.00%, with various maturities to 2032		2,140		2,502,096
8.50%, with various maturities to 2031		2,548		3,025,449
9.00%, with maturity at 2031		220		253,163
9.50%, with various maturities to 2022		120		134,410
11.50%, with maturity at 2019		30		31,316

			$	33,999,774

Federal National Mortgage Association:
5.00%, with various maturities to 2040	$	5,015	$	5,549,763
5.463%, with maturity at 2037⁽¹²⁾		1,100		1,154,045
5.50%, with various maturities to 2033		3,287		3,662,771
6.00%, with maturity at 2023		2,065		2,285,770
6.32%, with maturity at 2032⁽¹²⁾		1,422		1,578,891
6.50%, with various maturities to 2036		4,814		5,408,069
7.00%, with various maturities to 2033		7,444		8,628,857
7.50%, with various maturities to 2031		5,058		5,906,296
8.00%, with various maturities to 2029		1,362		1,610,861
8.50%, with various maturities to 2027		212		245,156
9.00%, with various maturities to 2029		587		696,823
9.50%, with maturity at 2014		1		734
10.00%, with various maturities to 2031		451		516,078

			$	37,244,114

Government National Mortgage Association:
7.50%, with maturity at 2025	$	2,401	$	2,787,504
8.00%, with various maturities to 2027		2,967		3,549,964
9.00%, with various maturities to 2026		1,485		1,824,555
9.50%, with maturity at 2025		178		204,367
11.00%, with maturity at 2018		87		95,121

			$	8,461,511


Total Mortgage Pass-Throughs (identified cost $74,826,783)			$	79,705,399


Asset-Backed Securities — 2.6%
Security	Principal Amount (000’s omitted)		Value
AH4R, Series 2014-SFR1, Class C, 2.00%, 6/17/31^(9)(10)	$	200	$	200,003
AH4R, Series 2014-SFR1, Class D, 2.35%, 6/17/31^(9)(10)		825		823,607
CAH, Series 2014-1A, Class C, 2.10%, 5/17/31^(9)(10)		760		761,819
Centurion CDO IX Ltd., Series 2005-9A, Class D1, 4.983%, 7/17/19^(9)(10)		500		485,729


Security	Principal Amount (000’s omitted)		Value
Invitation Homes Trust, Series 2013-SFR1, Class D, 2.40%, 12/17/30^(9)(10)	$	550	$	549,233
Invitation Homes Trust, Series 2014-SFR1, Class D, 2.756%, 6/17/31^(9)(10)		1,220		1,231,356
OMFIT, Series 2014-1A, Class A, 2.43%, 6/18/24⁽⁹⁾		700		702,128
OMFIT, Series 2014-1A, Class B, 3.24%, 6/18/24⁽⁹⁾		800		802,880
SBY, Series 2014-1, Class C, 2.206%, 9/17/31^(9)(10)(13)		2,000		2,000,462
SRFC, Series 2014-1A, Class B, 2.42%, 3/20/30⁽⁹⁾		488		484,943


Total Asset-Backed Securities (identified cost $8,033,641)			$	8,042,160


Corporate Bonds & Notes — 1.1%

Security	Principal Amount (000’s omitted)		Value
Chemicals and Plastics — 0.1%
Ineos Finance PLC
7.50%, 5/1/20⁽⁹⁾	$	150	$	161,250

			$	161,250

Financial Intermediaries — 0.1%
First Data Corp.
6.75%, 11/1/20⁽⁹⁾	$	163	$	172,780

			$	172,780

Food Products — 0.5%
Stretford 79 PLC
4.807%, 7/15/20^(9)(10)	$	1,000	$	1,679,858

			$	1,679,858

Health Care — 0.1%
Community Health Systems, Inc.
5.125%, 8/15/18	$	425	$	436,688

			$	436,688

Lodging and Casinos — 0.1%
Caesars Entertainment Operating Co., Inc.
8.50%, 2/15/20	$	350	$	308,000

			$	308,000

Utilities — 0.2%
Calpine Corp.
7.875%, 1/15/23⁽⁹⁾	$	539	$	588,857

			$	588,857


Total Corporate Bonds & Notes (identified cost $3,339,685)			$	3,347,433


Foreign Corporate Bonds — 0.2%

Security	Principal Amount (000’s omitted)		Value
Supranational — 0.2%
International Bank for Reconstruction & Development
3.40%, 4/15/17⁽¹⁴⁾	UYU	16,813	$	739,812

			$	739,812


Total Foreign Corporate Bonds (identified cost $749,088)			$	739,812


Foreign Government Bonds — 10.1%

Security	Principal Amount (000’s omitted)		Value
Bangladesh — 1.4%
Bangladesh Treasury Bond, 11.30%, 3/7/17	BDT	50,000	$	677,302
Bangladesh Treasury Bond, 11.40%, 5/9/17	BDT	60,000		815,594
Bangladesh Treasury Bond, 11.50%, 8/8/17	BDT	107,500		1,468,896
Bangladesh Treasury Bond, 11.52%, 12/5/17	BDT	20,000		273,697
Bangladesh Treasury Bond, 11.55%, 9/5/17	BDT	30,000		410,208
Bangladesh Treasury Bond, 11.55%, 10/3/17	BDT	29,900		409,163
Bangladesh Treasury Bond, 11.70%, 4/3/18	BDT	27,400		377,322


Total Bangladesh			$	4,432,182

Costa Rica — 0.2%
Costa Rica Titulos de Propiedad Bond, 10.58%, 6/22/16	CRC	255,000	$	499,615


Total Costa Rica			$	499,615

Dominican Republic — 1.0%
Dominican Republic Central Bank Note, 12.00%, 4/5/19⁽⁹⁾	DOP	11,940	$	290,204
Dominican Republic International Bond, 11.50%, 5/10/24⁽⁹⁾	DOP	15,000		367,437
Dominican Republic International Bond, 14.00%, 4/30/21⁽⁹⁾	DOP	6,700		174,311
Dominican Republic International Bond, 14.50%, 2/10/23⁽⁹⁾	DOP	1,800		48,494
Dominican Republic International Bond, 14.50%, 2/10/23⁽¹⁵⁾	DOP	21,000		565,764
Dominican Republic International Bond, 15.95%, 6/4/21⁽⁹⁾	DOP	9,000		267,348
Dominican Republic International Bond, 18.50%, 2/4/28⁽⁹⁾	DOP	800		26,180
Dominican Republic International Bond, 18.50%, 2/4/28⁽¹⁵⁾	DOP	42,400		1,387,517


Total Dominican Republic			$	3,127,255

Georgia — 0.1%
Georgia Treasury Bond, 6.10%, 3/7/15	GEL	624	$	364,067


Total Georgia			$	364,067

Iceland — 0.6%
Republic of Iceland, 6.25%, 2/5/20	ISK	40,605	$	302,924
Republic of Iceland, 7.25%, 10/26/22	ISK	48,077		372,153
Republic of Iceland, 8.75%, 2/26/19	ISK	136,035		1,121,519


Total Iceland			$	1,796,596

Jordan — 0.2%
Jordan Government Bond, 7.387%, 8/30/14	JOD	400	$	567,219


Total Jordan			$	567,219

Lebanon — 0.2%
Lebanon Treasury Note, 6.50%, 4/2/15	LBP	212,010	$	141,541
Lebanon Treasury Note, 6.50%, 5/28/15	LBP	169,890		113,603
Lebanon Treasury Note, 8.38%, 8/28/14	LBP	834,140		552,995


Total Lebanon			$	808,139

Philippines — 1.3%
Republic of the Philippines, 4.95%, 1/15/21	PHP	63,000	$	1,572,046
Republic of the Philippines, 6.25%, 1/14/36	PHP	85,000		2,141,639
Republic of the Philippines, 9.125%, 9/4/16	PHP	14,990		390,950


Total Philippines			$	4,104,635



Security	Principal Amount (000’s omitted)		Value
Romania — 0.3%
Romania Government Bond, 5.90%, 7/26/17	RON	2,520	$	829,323


Total Romania			$	829,323

Serbia — 0.9%
Serbia Treasury Bond, 10.00%, 4/4/15	RSD	8,310	$	96,313
Serbia Treasury Bond, 10.00%, 4/27/15	RSD	60,770		705,762
Serbia Treasury Bond, 10.00%, 10/17/16	RSD	21,800		251,824
Serbia Treasury Bond, 10.00%, 4/1/17	RSD	46,800		536,365
Serbia Treasury Bond, 10.00%, 5/8/17	RSD	18,760		214,437
Serbia Treasury Bond, 10.00%, 1/24/18	RSD	22,180		249,318
Serbia Treasury Bond, 11.50%, 10/26/15	RSD	61,800		730,164


Total Serbia			$	2,784,183

Sri Lanka — 0.2%
Sri Lanka Government Bond, 7.50%, 8/15/18	LKR	22,040	$	169,392
Sri Lanka Government Bond, 8.50%, 11/1/15	LKR	52,650		412,057
Sri Lanka Government Bond, 8.50%, 4/1/18	LKR	22,040		175,184


Total Sri Lanka			$	756,633

Turkey — 0.3%
Turkey Government Bond, 6.50%, 1/7/15	TRY	1,965	$	913,448


Total Turkey			$	913,448

Uganda — 0.2%
Uganda Government Bond, 14.125%, 12/1/16	UGX	1,019,100	$	394,680
Uganda Government Bond, 14.625%, 11/1/18	UGX	1,000,900		395,634


Total Uganda			$	790,314

Uruguay — 1.2%
Monetary Regulation Bill, 0.00%, 8/20/15	UYU	23,410	$	875,422
Monetary Regulation Bill, 0.00%, 10/8/15	UYU	11,400		419,388
Monetary Regulation Bill, 0.00%, 1/14/16	UYU	1,000		35,636
Monetary Regulation Bill, 0.00%, 4/21/16	UYU	3,460		119,538
Uruguay Notas Del Tesoro, 2.75%, 6/16/16⁽¹⁴⁾	UYU	53,621		2,219,196


Total Uruguay			$	3,669,180

Vietnam — 2.0%
Vietnam Government Bond, 5.60%, 4/15/16	VND	86,922,900	$	4,132,554
Vietnam Government Bond, 8.20%, 3/15/15	VND	20,000,000		963,612
Vietnam Government Bond, 9.10%, 12/15/14	VND	13,799,200		661,472
Vietnam Government Bond, 9.30%, 11/15/14	VND	13,703,000		654,866


Total Vietnam			$	6,412,504


Total Foreign Government Bonds (identified cost $31,629,828)			$	31,855,293


U.S. Treasury Obligations — 3.1%
Security	Principal Amount (000’s omitted)		Value
U.S. Treasury Note, 1.75%, 5/15/22⁽¹⁶⁾	$	10,000	$	9,573,440


Total U.S. Treasury Obligations (identified cost $9,871,476)			$	9,573,440


Common Stocks — 0.4%

Security	Shares		Value
Affinity Gaming, LLC⁽⁵⁾^(17)(18)		23,498	$	223,232
Buffets Restaurants Holdings, Inc.⁽⁵⁾^(17)(18)		10,672		64,032
Dayco Products, LLC⁽¹⁷⁾		8,898		489,390
Euramax International, Inc.^(17)(18)		234		40,898
ION Media Networks, Inc.^(5)(17)		1,357		412,392
MediaNews Group, Inc.^(17)(18)		3,023		92,201


Total Common Stocks (identified cost $406,034)			$	1,322,145


Short-Term Investments — 14.8%

Foreign Government Securities — 11.8%

Security	Principal Amount (000’s omitted)		Value
Georgia — 0.2%
Georgia Treasury Bill, 0.00%, 2/19/15	GEL	1,110	$	627,068


Total Georgia			$	627,068

Kenya — 1.8%
Kenya Treasury Bill, 0.00%, 9/22/14	KES	10,400	$	117,120
Kenya Treasury Bill, 0.00%, 3/2/15	KES	168,000		1,809,101
Kenya Treasury Bill, 0.00%, 4/13/15	KES	261,000		2,778,990
Kenya Treasury Bill, 0.00%, 4/27/15	KES	87,300		926,028


Total Kenya			$	5,631,239

Lebanon — 2.0%
Lebanon Treasury Bill, 0.00%, 10/9/14	LBP	1,561,500	$	1,024,272
Lebanon Treasury Bill, 0.00%, 11/6/14	LBP	729,860		477,100
Lebanon Treasury Bill, 0.00%, 11/20/14	LBP	427,700		279,039
Lebanon Treasury Bill, 0.00%, 12/4/14	LBP	362,200		235,831
Lebanon Treasury Bill, 0.00%, 12/18/14	LBP	1,852,400		1,203,611
Lebanon Treasury Bill, 0.00%, 1/1/15	LBP	945,600		613,095
Lebanon Treasury Bill, 0.00%, 6/11/15	LBP	3,918,700		2,479,905


Total Lebanon			$	6,312,853

Malaysia — 1.5%
Bank Negara Monetary Note, 0.00%, 9/11/14	MYR	15,374	$	4,794,687


Total Malaysia			$	4,794,687

Mauritius — 0.6%
Mauritius Treasury Bill, 0.00%, 9/19/14	MUR	52,200	$	1,708,873


Total Mauritius			$	1,708,873


Security	Principal Amount (000’s omitted)		Value
Nigeria — 1.0%
Nigeria Treasury Bill, 0.00%, 11/6/14	NGN	311,100	$	1,870,949
Nigeria Treasury Bill, 0.00%, 12/4/14	NGN	222,300		1,326,691


Total Nigeria			$	3,197,640

Philippines — 0.5%
Philippine Treasury Bill, 0.00%, 10/8/14	PHP	39,780	$	912,756
Philippine Treasury Bill, 0.00%, 1/7/15	PHP	30,930		706,387


Total Philippines			$	1,619,143

Serbia — 1.3%
Serbia Treasury Bill, 0.00%, 1/9/15	RSD	68,210	$	755,925
Serbia Treasury Bill, 0.00%, 1/29/15	RSD	17,000		187,539
Serbia Treasury Bill, 0.00%, 2/26/15	RSD	36,670		401,891
Serbia Treasury Bill, 0.00%, 3/12/15	RSD	212,260		2,318,549
Serbia Treasury Bill, 0.00%, 6/4/15	RSD	30,830		330,002


Total Serbia			$	3,993,906

Sri Lanka — 2.3%
Sri Lanka Treasury Bill, 0.00%, 10/3/14	LKR	59,530	$	452,345
Sri Lanka Treasury Bill, 0.00%, 10/10/14	LKR	28,950		219,717
Sri Lanka Treasury Bill, 0.00%, 10/31/14	LKR	76,190		576,209
Sri Lanka Treasury Bill, 0.00%, 11/7/14	LKR	41,180		311,051
Sri Lanka Treasury Bill, 0.00%, 12/19/14	LKR	83,190		623,513
Sri Lanka Treasury Bill, 0.00%, 1/2/15	LKR	9,310		69,603
Sri Lanka Treasury Bill, 0.00%, 2/20/15	LKR	47,590		352,789
Sri Lanka Treasury Bill, 0.00%, 2/27/15	LKR	50,450		373,477
Sri Lanka Treasury Bill, 0.00%, 3/6/15	LKR	87,750		648,726
Sri Lanka Treasury Bill, 0.00%, 3/13/15	LKR	52,790		389,781
Sri Lanka Treasury Bill, 0.00%, 3/27/15	LKR	126,930		934,857
Sri Lanka Treasury Bill, 0.00%, 4/17/15	LKR	294,100		2,158,360
Sri Lanka Treasury Bill, 0.00%, 6/26/15	LKR	32,360		234,500


Total Sri Lanka			$	7,344,928

Uganda — 0.2%
Uganda Treasury Bill, 0.00%, 2/19/15	UGX	2,026,900	$	728,837


Total Uganda			$	728,837

Uruguay — 0.1%
Monetary Regulation Bill, 0.00%, 8/29/14	UYU	3,921	$	167,641
Monetary Regulation Bill, 0.00%, 10/15/14	UYU	469		19,697
Monetary Regulation Bill, 0.00%, 2/20/15	UYU	3,240		129,787


Total Uruguay			$	317,125

Zambia — 0.3%
Zambia Treasury Bill, 0.00%, 9/8/14	ZMW	810	$	131,099
Zambia Treasury Bill, 0.00%, 9/22/14	ZMW	2,360		380,737
Zambia Treasury Bill, 0.00%, 6/15/15	ZMW	2,290		314,826



Total Zambia			$	826,662


Total Foreign Government Securities (identified cost $37,340,119)			$	37,102,961


U.S. Treasury Obligations — 0.9%
Security	Principal Amount (000’s omitted)		Value
U.S. Treasury Bill, 0.00%, 10/9/14⁽¹⁶⁾	$	3,000	$	2,999,970


Total U.S. Treasury Obligations (identified cost $2,999,844)			$	2,999,970


Other — 2.1%

Description	Interest (000’s omitted)		Value
Eaton Vance Cash Reserves Fund, LLC, 0.14%⁽¹⁹⁾	$	6,522	$	6,521,602


Total Other (identified cost $6,521,602)			$	6,521,602


Total Short-Term Investments (identified cost $46,861,565)			$	46,624,533


Total Investments — 136.3% (identified cost $422,376,955)			$	428,954,042


Less Unfunded Loan Commitments — (0.1)%			$	(267,119	)


Net Investments — 136.2% (identified cost $422,109,836)			$	428,686,923


Other Assets, Less Liabilities — (36.2)%			$	(113,823,265	)


Net Assets — 100.0%			$	314,863,658

The percentage shown for each investment category in the Consolidated Portfolio of Investments is based on net assets.



AH4R	-	American Homes 4 Rent

CAH	-	Colony American Homes

COMM	-	Commercial Mortgage Trust

DIP	-	Debtor In Possession

ESA	-	Extended Stay America Trust

HILT	-	Hilton USA Trust

JPMBB	-	JPMBB Commercial Mortgage Securities Trust

JPMCC	-	JPMorgan Chase Commercial Mortgage Securities Trust

OMFIT	-	OneMain Financial Issuance Trust

SBY	-	Silver Bay Realty Trust

SRFC	-	Sierra Receivables Funding Co., LLC

UBSC	-	UBS-Citigroup Commercial Mortgage Trust

UBSCM	-	UBS Commercial Mortgage Trust

WFCM	-	Wells Fargo Commercial Mortgage Trust

WF-RBS	-	WF-RBS Commercial Mortgage Trust

BDT	-	Bangladesh Taka

CRC	-	Costa Rican Colon



DOP	-	Dominican Peso

EUR	-	Euro

GBP	-	British Pound Sterling

GEL	-	Georgian Lari

ISK	-	Icelandic Krona

JOD	-	Jordanian Dinar

KES	-	Kenyan Shilling

LBP	-	Lebanese Pound

LKR	-	Sri Lankan Rupee

MUR	-	Mauritian Rupee

MYR	-	Malaysian Ringgit

NGN	-	Nigerian Naira

PHP	-	Philippine Peso

RON	-	Romanian Leu

RSD	-	Serbian Dinar

TRY	-	New Turkish Lira

UGX	-	Ugandan Shilling

UYU	-	Uruguayan Peso

VND	-	Vietnamese Dong

ZMW	-	Zambian Kwacha

*	In U.S. dollars unless otherwise indicated.

(1)

Senior floating-rate interests (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will have an expected average life of approximately two to four years. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility and includes commitment fees on unfunded loan commitments, if any. Senior Loans typically have rates of interest which are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.

(2)	Amount is less than 0.05%.

(3)	This Senior Loan will settle after July 31, 2014, at which time the interest rate will be determined.

(4)	Unfunded or partially unfunded loan commitments. The Fund may enter into certain credit agreements all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion.

(5)	For fair value measurement disclosure purposes, security is categorized as Level 3.

(6)	Interest only security that entitles the holder to receive only interest payments on the underlying mortgages. Principal amount shown is the notional amount of the underlying mortgages on which coupon interest is calculated.

(7)	Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at July 31, 2014.

(8)	Principal only security that entitles the holder to receive only principal payments on the underlying mortgages.

(9)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At July 31, 2014, the aggregate value of these securities is $29,769,819 or 9.5% of the Fund’s net assets.

(10)	Variable rate security. The stated interest rate represents the rate in effect at July 31, 2014.

(11)	Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at July 31, 2014.

(12)	Adjustable rate mortgage security. Rate shown is the rate at July 31, 2014.

(13)	When-issued security.

(14)	Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal.

(15)

Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At July 31, 2014, the aggregate value of these securities is $1,953,281 or 0.6% of the Fund’s net assets.

(16)	Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts.

(17)	Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale.

(18)	Non-income producing.

(19)

Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of July 31, 2014. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended July 31, 2014 was $7,572.

Basis for Consolidation

The Fund seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance EVG Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Fund. The Fund may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at July 31, 2014 were $1,437,654 or 0.5% of the Fund’s consolidated net assets. The Consolidated Portfolio of Investments includes positions of the Fund and the Subsidiary.

A summary of open financial instruments at July 31, 2014 is as follows:

Forward Foreign Currency Exchange Contracts


Settlement Date	Deliver	In Exchange For	Counterparty	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
8/4/14	Chilean Peso 799,383,290	United States Dollar 1,401,198	Citibank NA	$	3,748	$	—		$	3,748
8/4/14	Peruvian New Sol 17,967,000	United States Dollar 6,434,020	BNP Paribas		19,525		—			19,525
8/4/14	United States Dollar 1,413,837	Chilean Peso 799,383,290	Citibank NA		—		(16,387	)		(16,387	)
8/4/14	United States Dollar 6,438,631	Peruvian New Sol 17,967,000	Bank of America		—		(24,136	)		(24,136	)
8/5/14	Euro 4,635,990	Romanian Leu 20,739,100	Bank of America		64,168		—			64,168
8/6/14	Euro 1,782,643	United States Dollar 2,473,061	Deutsche Bank		85,997		—			85,997
8/6/14	United States Dollar 1,234,120	Euro 911,040	Deutsche Bank		—		(14,184	)		(14,184	)
8/6/14	United States Dollar 359,061	Paraguayan Guarani 1,698,000,000	Citibank NA		35,982		—			35,982
8/6/14	United States Dollar 168,868	Philippine Peso 7,364,000	Bank of America		367		—			367
8/6/14	United States Dollar 130,251	Philippine Peso 5,680,000	Citibank NA		283		—			283
8/6/14	United States Dollar 153,710	Philippine Peso 6,703,000	Goldman Sachs International		334		—			334
8/6/14	United States Dollar 150,798	Philippine Peso 6,576,000	Standard Chartered Bank		328		—			328
8/8/14	New Turkish Lira 3,340,000	United States Dollar 1,554,862	Standard Chartered Bank		—		(1,475	)		(1,475	)
8/8/14	United States Dollar 7,822,980	New Turkish Lira 16,749,000	Standard Chartered Bank		—		(18,459	)		(18,459	)
8/11/14	United States Dollar 2,385,367	Yuan Offshore Renminbi 14,821,000	Citibank NA		11,384		—			11,384


Settlement Date	Deliver	In Exchange For	Counterparty	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
8/12/14	United States Dollar 1,023,992	Indian Rupee 62,429,000	Deutsche Bank	$	4,734	$	—		$	4,734
8/12/14	United States Dollar 1,177,104	Indian Rupee 71,746,000	Goldman Sachs International		5,151		—			5,151
8/12/14	United States Dollar 1,448,101	Mexican Peso 18,902,060	Standard Chartered Bank		—		(19,144	)		(19,144	)
8/13/14	Euro 6,877,040	United States Dollar 9,467,346	UBS AG		258,385		—			258,385
8/13/14	United States Dollar 220,110	Euro 160,686	BNP Paribas		—		(4,937	)		(4,937	)
8/13/14	United States Dollar 577,279	Euro 419,003	Standard Chartered Bank		—		(16,197	)		(16,197	)
8/13/14	United States Dollar 249,230	Paraguayan Guarani 1,133,000,000	Citibank NA		14,317		—			14,317
8/14/14	United States Dollar 2,449,955	Indonesian Rupiah 27,831,494,048	Barclays Bank PLC		—		(66,200	)		(66,200	)
8/18/14	Euro 2,712,617	Polish Zloty 11,278,724	BNP Paribas		—		(21,082	)		(21,082	)
8/18/14	Euro 2,482,091	Polish Zloty 10,320,224	Citibank NA		—		(19,290	)		(19,290	)
8/20/14	Indonesian Rupiah 4,962,396,000	United States Dollar 426,359	Standard Chartered Bank		3,697		—			3,697
8/21/14	Euro 42,635	United States Dollar 57,866	Bank of America		772		—			772
8/21/14	Euro 21,315	United States Dollar 28,977	Bank of America		433		—			433
8/21/14	Euro 21,124	United States Dollar 28,550	Bank of America		263		—			263
8/25/14	Euro 894,321	United States Dollar 1,219,259	Bank of America		21,640		—			21,640
8/25/14	Euro 113,122	United States Dollar 154,212	Goldman Sachs International		2,726		—			2,726
8/27/14	Argentine Peso 921,000	United States Dollar 105,257	Bank of America		—		(3,540	)		(3,540	)
8/27/14	Argentine Peso 779,000	United States Dollar 87,627	Bank of America		—		(4,397	)		(4,397	)
8/27/14	United States Dollar 179,894	Argentine Peso 1,700,000	Bank of America		20,926		—			20,926
8/28/14	United States Dollar 984,086	Indian Rupee 58,870,000	BNP Paribas		—		(19,197	)		(19,197	)
8/28/14	United States Dollar 1,019,190	Indian Rupee 60,970,000	JPMorgan Chase Bank		—		(19,882	)		(19,882	)
8/28/14	United States Dollar 1,081,151	Indian Rupee 64,682,000	Standard Chartered Bank		—		(21,002	)		(21,002	)
8/29/14	Euro 3,455,003	United States Dollar 4,697,007	Goldman Sachs International		70,223		—			70,223
9/3/14	United States Dollar 1,687,261	Brazilian Real 3,796,000	Standard Chartered Bank		—		(28,772	)		(28,772	)
9/4/14	Euro 3,495,523	British Pound Sterling 2,842,000	Deutsche Bank		115,818		—			115,818
9/4/14	Euro 1,096,231	British Pound Sterling 877,000	Morgan Stanley & Co. International PLC		12,220		—			12,220
9/8/14	Argentine Peso 1,859,000	United States Dollar 206,785	Bank of America		—		(9,544	)		(9,544	)
9/8/14	United States Dollar 196,097	Argentine Peso 1,859,000	Bank of America		20,232		—			20,232
9/9/14	Zambian Kwacha 541,000	United States Dollar 90,453	Standard Bank		4,053		—			4,053
9/9/14	Zambian Kwacha 250,000	United States Dollar 41,806	Standard Chartered Bank		1,880		—			1,880


Settlement Date	Deliver	In Exchange For	Counterparty	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
9/11/14	United States Dollar 2,756,668	New Zealand Dollar 3,153,000	Bank of America	$	—	$	(88,102	)	$	(88,102	)
9/12/14	Euro 1,266,709	United States Dollar 1,716,454	Citibank NA		20,058		—			20,058
9/15/14	Euro 3,476,151	Norwegian Krone 28,306,300	Deutsche Bank		—		(159,229	)		(159,229	)
9/15/14	Norwegian Krone 19,375,300	Euro 2,298,157	Citibank NA		213		—			213
9/15/14	Norwegian Krone 8,931,000	Euro 1,065,982	Deutsche Bank		9,006		—			9,006
9/15/14	United States Dollar 394,186	Azerbaijani Manat 320,000	VTB Capital PLC		12,370		—			12,370
9/16/14	South Korean Won 266,726,000	United States Dollar 261,317	Standard Chartered Bank		3,576		—			3,576
9/16/14	United States Dollar 4,204,080	South Korean Won 4,295,729,000	Bank of America		—		(53,066	)		(53,066	)
9/16/14	United States Dollar 302,152	Zambian Kwacha 1,980,000	Barclays Bank PLC		12,729		—			12,729
9/23/14	United States Dollar 296,000	Zambian Kwacha 1,887,000	Barclays Bank PLC		2,832		—			2,832
9/23/14	Zambian Kwacha 1,227,000	United States Dollar 206,218	Barclays Bank PLC		11,907		—			11,907
9/23/14	Zambian Kwacha 1,077,000	United States Dollar 176,847	Barclays Bank PLC		6,290		—			6,290
9/24/14	Euro 449,322	United States Dollar 608,577	Deutsche Bank		6,815		—			6,815
9/24/14	Kenyan Shilling 10,400,000	United States Dollar 116,939	Standard Bank		—		(400	)		(400	)
9/29/14	United States Dollar 2,406,208	Israeli Shekel 8,227,282	BNP Paribas		—		(3,607	)		(3,607	)
9/29/14	United States Dollar 6,396,226	Peruvian New Sol 17,967,000	BNP Paribas		—		(23,290	)		(23,290	)
9/30/14	British Pound Sterling 1,000,000	United States Dollar 1,713,406	Goldman Sachs International		25,892		—			25,892
9/30/14	British Pound Sterling 191,978	United States Dollar 326,536	HSBC Bank USA		2,571		—			2,571
9/30/14	Euro 469,354	United States Dollar 638,896	HSBC Bank USA		10,293		—			10,293
9/30/14	Euro 296,625	United States Dollar 402,632	State Street Bank and Trust Co.		5,364		—			5,364
10/3/14	Sri Lankan Rupee 82,572,000	United States Dollar 626,685	Standard Chartered Bank		—		(4,965	)		(4,965	)
10/9/14	United States Dollar 632,724	Azerbaijani Manat 512,000	VTB Capital PLC		15,952		—			15,952
10/9/14	United States Dollar 147,239	Azerbaijani Manat 120,000	VTB Capital PLC		4,794		—			4,794
10/9/14	United States Dollar 122,775	Azerbaijani Manat 100,000	VTB Capital PLC		3,920		—			3,920
10/14/14	United States Dollar 3,166,041	Colombian Peso 5,955,323,000	Citibank NA		—		(16,576	)		(16,576	)
10/14/14	United States Dollar 1,031,680	Indian Rupee 62,623,000	Standard Chartered Bank		—		(13,863	)		(13,863	)
10/17/14	United States Dollar 753,094	Singapore Dollar 935,000	Barclays Bank PLC		—		(3,584	)		(3,584	)


Settlement Date	Deliver	In Exchange For	Counterparty	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
10/22/14	United States Dollar 4,394,211	Indonesian Rupiah 51,961,547,000	BNP Paribas	$	—	$	(67,327	)	$	(67,327	)
10/24/14	United States Dollar 2,436,358	Singapore Dollar 3,020,000	Deutsche Bank		—		(15,473	)		(15,473	)
10/28/14	United States Dollar 3,272,909	Mexican Peso 42,664,000	Citibank NA		—		(65,250	)		(65,250	)
10/31/14	British Pound Sterling 404,924	United States Dollar 685,599	HSBC Bank USA		2,475		—			2,475
10/31/14	Euro 69,220	United States Dollar 92,842	Goldman Sachs International		124		—			124
10/31/14	United States Dollar 410,146	New Zealand Dollar 485,840	Australia and New Zealand Banking Group Limited		—		(935	)		(935	)
11/3/14	United States Dollar 1,390,232	Chilean Peso 799,383,290	Citibank NA		—		(5,237	)		(5,237	)
12/9/14	Ghanaian Cedi 1,184,000	United States Dollar 431,330	Citibank NA		119,811		—			119,811
12/9/14	Ghanaian Cedi 1,175,000	United States Dollar 431,193	Standard Bank		122,042		—			122,042
12/9/14	Ghanaian Cedi 1,183,000	United States Dollar 431,358	Standard Bank		120,102		—			120,102
12/9/14	United States Dollar 395,550	Ghanaian Cedi 1,184,000	Citibank NA		—		(84,031	)		(84,031	)
12/9/14	United States Dollar 787,759	Ghanaian Cedi 2,358,000	Standard Bank		—		(167,352	)		(167,352	)
12/12/14	Ghanaian Cedi 1,196,000	United States Dollar 431,146	Standard Bank		117,124		—			117,124
12/12/14	United States Dollar 398,999	Ghanaian Cedi 1,196,000	Standard Bank		—		(84,977	)		(84,977	)
12/19/14	Ghanaian Cedi 1,203,000	United States Dollar 431,183	Standard Bank		116,847		—			116,847
12/19/14	United States Dollar 400,000	Ghanaian Cedi 1,203,000	Standard Bank		—		(85,664	)		(85,664	)
1/12/15	United States Dollar 117,024	Ugandan Shilling 320,060,000	Citibank NA		782		—			782
1/12/15	United States Dollar 683,978	Ugandan Shilling 1,867,261,000	Standard Chartered Bank		3,310		—			3,310
2/5/15	United States Dollar 1,563,096	Kazakhstani Tenge 259,474,000	Deutsche Bank		—		(190,263	)		(190,263	)
2/6/15	United States Dollar 483,871	Uruguayan Peso 12,000,000	Citibank NA		7,063		—			7,063
2/13/15	United States Dollar 513,078	Uruguayan Peso 12,750,000	Citibank NA		7,389		—			7,389
2/23/15	Argentine Peso 1,000,000	United States Dollar 96,432	Citibank NA		—		(2,173	)		(2,173	)
2/23/15	Argentine Peso 1,000,000	United States Dollar 96,395	Citibank NA		—		(2,210	)		(2,210	)
2/23/15	Argentine Peso 1,000,000	United States Dollar 95,831	Citibank NA		—		(2,773	)		(2,773	)
2/23/15	United States Dollar 258,621	Argentine Peso 3,000,000	Citibank NA		37,193		—			37,193
2/24/15	Argentine Peso 770,000	United States Dollar 73,734	Citibank NA		—		(2,137	)		(2,137	)


Settlement Date	Deliver	In Exchange For	Counterparty	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
2/24/15	Argentine Peso 1,230,000	United States Dollar 117,613	Citibank NA	$	—	$	(3,583	)	$	(3,583	)
2/24/15	United States Dollar 172,414	Argentine Peso 2,000,000	Citibank NA		24,653		—			24,653
2/25/15	Argentine Peso 1,000,000	United States Dollar 95,547	Citibank NA		—		(2,915	)		(2,915	)
2/25/15	Argentine Peso 2,000,000	United States Dollar 192,604	Citibank NA		—		(4,322	)		(4,322	)
2/25/15	Argentine Peso 2,000,000	United States Dollar 191,681	Citibank NA		—		(5,245	)		(5,245	)
2/25/15	United States Dollar 432,900	Argentine Peso 5,000,000	Citibank NA		59,414		—			59,414
3/5/15	Kenyan Shilling 62,297,000	United States Dollar 674,940	JPMorgan Chase Bank		—		(5,206	)		(5,206	)
3/12/15	Russian Ruble 30,380,000	United States Dollar 777,181	Bank of America		—		(28,359	)		(28,359	)
3/12/15	United States Dollar 772,144	Russian Ruble 30,380,000	Credit Suisse International		33,396		—			33,396
3/13/15	Euro 256,884	Serbian Dinar 32,560,000	Citibank NA		13,933		—			13,933
4/30/15	United States Dollar 710,900	Uruguayan Peso 18,000,000	Citibank NA		6,697		—			6,697
6/11/15	United States Dollar 309,444	Zambian Kwacha 2,310,000	Standard Chartered Bank		13,249		—			13,249
6/12/15	United States Dollar 191,934	Zambian Kwacha 1,404,000	Citibank NA		4,106		—			4,106
6/12/15	United States Dollar 127,284	Zambian Kwacha 906,900	Citibank NA		—		(654	)		(654	)
6/12/15	United States Dollar 310,948	Zambian Kwacha 2,186,900	Citibank NA		—		(5,591	)		(5,591	)
6/15/15	United States Dollar 2,369,549	Ugandan Shilling 6,570,760,006	Citibank NA		—		(60,050	)		(60,050	)
6/17/15	United States Dollar 307,517	Zambian Kwacha 2,265,000	Standard Chartered Bank		8,026		—			8,026
6/18/15	United States Dollar 421,527	Zambian Kwacha 3,084,300	Standard Chartered Bank		7,959		—			7,959
6/18/15	United States Dollar 179,806	Zambian Kwacha 1,311,000	Standard Chartered Bank		2,750		—			2,750
6/25/15	United States Dollar 598,298	Zambian Kwacha 4,253,900	Barclays Bank PLC		—		(7,826	)		(7,826	)
7/24/15	United States Dollar 624,387	Azerbaijani Manat 509,000	Standard Bank		—		(841	)		(841	)

				$	1,762,613	$	(1,594,901	)	$	167,712

Interest Rate Swaps

Counterparty

Notional
Amount
(000’s omitted)

Fund
Pays/Receives
Floating Rate

Floating

Rate Index

Annual
Fixed Rate

Termination
Date

Net Unrealized
Appreciation
(Depreciation)

Bank of America

HUF

139,000

Pays

6-month HUF BUBOR

5.13

12/21/16

50,027

Bank of America

PLN

838

Pays

6-month PLN WIBOR

4.34

7/30/17

13,060

Bank of America

PLN

838

Receives

6-month PLN WIBOR

3.35

7/30/17

(5,509

)

Bank of America

PLN

2,560

Pays

6-month PLN WIBOR

3.83

11/14/17

47,357

Bank of America

PLN

2,560

Receives

6-month PLN WIBOR

3.61

11/14/17

(40,228

)

Bank of America

PLN

2,900

Receives

6-month PLN WIBOR

3.52

11/16/17

(42,282

)

Barclays Bank PLC

PLN

2,900

Pays

6-month PLN WIBOR

3.81

11/16/17

52,830

Barclays Bank PLC

PLN

4,890

Pays

6-month PLN WIBOR

3.82

11/19/17

90,015

Barclays Bank PLC

PLN

4,890

Receives

6-month PLN WIBOR

3.53

11/19/17

(71,956

)


Counterparty	Notional Amount (000’s omitted)		Fund Pays/Receives Floating Rate	Floating Rate Index	Annual Fixed Rate			Termination Date		Net Unrealized Appreciation (Depreciation)
BNP Paribas	PLN	2,147	Pays	6-month PLN WIBOR		4.25	%		8/7/17	$	51,959
BNP Paribas	PLN	2,147	Receives	6-month PLN WIBOR		3.60			8/7/17		(34,896	)
BNP Paribas	PLN	400	Pays	6-month PLN WIBOR		3.85			11/13/17		7,500
BNP Paribas	PLN	400	Receives	6-month PLN WIBOR		3.38			11/13/17		(5,199	)
Citibank NA	PLN	2,130	Pays	6-month PLN WIBOR		3.82			11/19/17		38,973
Citibank NA	PLN	2,130	Receives	6-month PLN WIBOR		3.60			11/19/17		(33,229	)
Credit Suisse International	HUF	80,000	Pays	6-month HUF BUBOR		5.12			1/16/17		28,584
Credit Suisse International	HUF	80,000	Receives	6-month HUF BUBOR		7.63			1/16/17		(53,587	)
Deutsche Bank	PLN	550	Pays	6-month PLN WIBOR		3.79			11/16/17		9,884
Deutsche Bank	PLN	550	Receives	6-month PLN WIBOR		3.60			11/16/17		(8,585	)
JPMorgan Chase Bank	HUF	139,000	Receives	6-month HUF BUBOR		7.36			12/21/16		(88,807	)
JPMorgan Chase Bank	HUF	82,000	Pays	6-month HUF BUBOR		5.09			1/20/17		28,897
JPMorgan Chase Bank	HUF	82,000	Receives	6-month HUF BUBOR		7.75			1/20/17		(56,057	)

										$	(21,249	)



HUF	-	Hungarian Forint

PLN	-	Polish Zloty

Credit Default Swaps — Buy Protection


Reference Entity	Counterparty	Notional Amount (000’s omitted)		Contract Annual Fixed Rate*			Termination Date		Market Value			Unamortized Upfront Payments Received (Paid)			Net Unrealized Appreciation (Depreciation)
China	Bank of America	$	500		1.00	%⁽¹⁾		3/20/17	$	(9,053	)	$	(7,869	)	$	(16,922	)
China	Barclays Bank PLC		863		1.00	⁽¹⁾		3/20/17		(15,626	)		(12,360	)		(27,986	)
China	Deutsche Bank		316		1.00	⁽¹⁾		3/20/17		(5,722	)		(4,301	)		(10,023	)
China	Deutsche Bank		369		1.00	⁽¹⁾		3/20/17		(6,682	)		(5,022	)		(11,704	)
Croatia	BNP Paribas		870		1.00	⁽¹⁾		12/20/17		28,907			(39,702	)		(10,795	)
Croatia	Citibank NA		1,500		1.00	⁽¹⁾		12/20/17		49,840			(67,633	)		(17,793	)
Egypt	Bank of America		1,400		1.00	⁽¹⁾		9/20/15		19,452			(15,241	)		4,211
Egypt	Citibank NA		300		1.00	⁽¹⁾		6/20/20		33,458			(19,582	)		13,876
Egypt	Deutsche Bank		350		1.00	⁽¹⁾		6/20/20		39,034			(22,954	)		16,080
Egypt	Deutsche Bank		300		1.00	⁽¹⁾		6/20/20		33,458			(17,412	)		16,046
Egypt	Deutsche Bank		300		1.00	⁽¹⁾		6/20/20		33,457			(19,701	)		13,756
Guatemala	Citibank NA		1,286		1.00	⁽¹⁾		9/20/20		97,072			(60,625	)		36,447
Lebanon	Barclays Bank PLC		500		1.00	⁽¹⁾		12/20/14		(255	)		(2,974	)		(3,229	)
Lebanon	Barclays Bank PLC		100		1.00	⁽¹⁾		3/20/15		(9	)		(910	)		(919	)
Lebanon	Barclays Bank PLC		100		1.00	⁽¹⁾		3/20/15		(9	)		(1,041	)		(1,050	)
Lebanon	Barclays Bank PLC		300		1.00	⁽¹⁾		3/20/15		(27	)		(2,682	)		(2,709	)
Lebanon	Citibank NA		1,200		3.30			9/20/14		(18,287	)		—			(18,287	)
Lebanon	Citibank NA		350		1.00	⁽¹⁾		12/20/14		(178	)		(2,040	)		(2,218	)
Lebanon	Citibank NA		500		1.00	⁽¹⁾		12/20/14		(255	)		(2,974	)		(3,229	)
Lebanon	Citibank NA		1,000		1.00	⁽¹⁾		12/20/14		(510	)		(6,037	)		(6,547	)
Lebanon	Citibank NA		300		1.00	⁽¹⁾		3/20/15		(28	)		(2,389	)		(2,417	)
Lebanon	Credit Suisse International		200		1.00	⁽¹⁾		3/20/15		(19	)		(1,797	)		(1,816	)
Lebanon	Credit Suisse International		800		1.00	⁽¹⁾		3/20/15		(73	)		(7,148	)		(7,221	)
Lebanon	Credit Suisse International		100		1.00	⁽¹⁾		6/20/15		156			(1,170	)		(1,014	)
Lebanon	Deutsche Bank		200		1.00	⁽¹⁾		3/20/15		(19	)		(1,659	)		(1,678	)
Lebanon	Deutsche Bank		100		1.00	⁽¹⁾		6/20/15		156			(1,170	)		(1,014	)
Lebanon	HSBC Bank USA		1,250		1.00	⁽¹⁾		12/20/17		71,622			(120,650	)		(49,028	)
Philippines	Barclays Bank PLC		1,100		1.85			12/20/14		(9,767	)		—			(9,767	)
Philippines	Barclays Bank PLC		655		1.00	⁽¹⁾		3/20/15		(4,405	)		(2,410	)		(6,815	)
Philippines	Citibank NA		800		1.84			12/20/14		(7,063	)		—			(7,063	)
Philippines	JPMorgan Chase Bank		656		1.00	⁽¹⁾		3/20/15		(4,412	)		(2,413	)		(6,825	)
Thailand	Barclays Bank PLC		1,900		0.97			9/20/19		4,291			—			4,291


Reference Entity	Counterparty	Notional Amount (000’s omitted)		Contract Annual Fixed Rate*			Termination Date		Market Value			Unamortized Upfront Payments Received (Paid)			Net Unrealized Appreciation (Depreciation)
Thailand	Citibank NA	$	1,600		0.86	%		12/20/14	$	(6,439	)	$	—		$	(6,439	)
Thailand	Citibank NA		900		0.95			9/20/19		2,933			—			2,933
Thailand	JPMorgan Chase Bank		800		0.87			12/20/14		(3,260	)		—			(3,260	)
Tunisia	Barclays Bank PLC		350		1.00	⁽¹⁾		9/20/17		18,194			(20,188	)		(1,994	)
Tunisia	Citibank NA		360		1.00	⁽¹⁾		9/20/17		18,714			(21,761	)		(3,047	)
Tunisia	Deutsche Bank		500		1.00	⁽¹⁾		6/20/17		22,877			(22,855	)		22
Tunisia	Goldman Sachs International		300		1.00	⁽¹⁾		9/20/17		15,595			(15,274	)		321
Tunisia	Nomura International PLC		400		1.00	⁽¹⁾		12/20/17		23,128			(27,734	)		(4,606	)

									$	420,246		$	(559,678	)	$	(139,432	)

*	The contract annual fixed rate represents the fixed rate of interest received by the Fund (as a seller of protection) or paid by the Fund (as a buyer of protection) annually on the notional amount of the credit default swap contract.

(1)	Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon.

Written options activity for the fiscal year to date ended July 31, 2014 was as follows:


	Principal Amount of Contracts (000’s omitted)			Principal Amount of Contracts (000’s omitted)			Principal Amount of Contracts (000’s omitted)			Premiums Received
Outstanding, beginning of period	INR	225,360		COP	—		GBP	10,151		$	146,704
Options written		184,670			1,558,590			—			14,639
Options expired		(410,030	)		(1,558,590	)		(10,151	)		(161,343	)

Outstanding, end of period	INR	—		COP	—		GBP	—		$	—



COP	-	Colombian Peso

GBP	-	British Pound Sterling

INR	-	Indian Rupee

At July 31, 2014, the Fund had sufficient cash and/or securities to cover commitments under these contracts.

In the normal course of pursuing its investment objectives, the Fund is subject to the following risks:

Commodity Risk: During the fiscal year to date ended July 31, 2014, the Fund invested in commodities-linked derivative investments, including commodity futures contracts, that provided exposure to the investment returns of certain commodities. Commodities-linked derivative investments were used to enhance total return and/or as a substitute for the purchase or sale of commodities.

Credit Risk: The Fund enters into credit default swap contracts to manage certain investment risks and/or to enhance total return.

Foreign Exchange Risk: The Fund engages in forward foreign currency exchange contracts, options on currencies and total return swaps to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.

Interest Rate Risk: The Fund utilizes various interest rate derivatives including interest rate futures contracts and interest rate swaps to enhance total return, to seek to hedge against fluctuations in interest rates, and/or to change the effective duration of its portfolio.

The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at July 31, 2014 was as follows:


		Fair Value
Risk	Derivative	Asset Derivative		Liability Derivative
Credit	Credit Default Swaps	$	512,344	$	(92,098	)

		$	512,344	$	(92,098	)


Foreign Exchange	Forward Foreign Currency Exchange Contracts	$	1,762,613		(1,594,901	)

		$	1,762,613	$	(1,594,901	)


		Fair Value
Risk	Derivative	Asset Derivative		Liability Derivative
Interest Rate	Interest Rate Swaps	$	419,086	$	(440,335	)

		$	419,086	$	(440,335	)

The cost and unrealized appreciation (depreciation) of investments of the Fund at July 31, 2014, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	423,852,858

Gross unrealized appreciation	$	9,524,783
Gross unrealized depreciation		(4,690,718	)

Net unrealized appreciation	$	4,834,065

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 July 31, 2014, the hierarchy of inputs used in valuing the Fund’s investments and open derivative instruments, which are carried at value, were as follows:


Asset Description	Level 1		Level 2			Level 3*		Total
Senior Floating-Rate Interests (Less Unfunded Loan Commitments)	$	—	$	171,932,120		$	25,828	$	171,957,948
Collateralized Mortgage Obligations		—		57,080,837			—		57,080,837
Commercial Mortgage-Backed Securities		—		18,437,923			—		18,437,923
Mortgage Pass-Throughs		—		79,705,399			—		79,705,399
Asset-Backed Securities		—		8,042,160			—		8,042,160
Corporate Bonds & Notes		—		3,347,433			—		3,347,433
Foreign Corporate Bonds		—		739,812			—		739,812
Foreign Government Bonds		—		31,855,293			—		31,855,293
U.S. Treasury Obligations		—		9,573,440			—		9,573,440
Common Stocks		—		622,489			699,656		1,322,145
Short-Term Investments —
Foreign Government Securities		—		37,102,961			—		37,102,961
U.S. Treasury Obligations		—		2,999,970			—		2,999,970
Other		—		6,521,602			—		6,521,602
Total Investments	$	—	$	427,961,439		$	725,484	$	428,686,923
Forward Foreign Currency Exchange Contracts	$	—	$	1,762,613		$	—	$	1,762,613
Swap Contracts		—		931,430			—		931,430
Total	$	—	$	430,655,482		$	725,484	$	431,380,996

Liability Description
Forward Foreign Currency Exchange Contracts	$	—	$	(1,594,901	)	$	—	$	(1,594,901	)
Swap Contracts		—		(532,433	)		—		(532,433	)
Total	$	—	$	(2,127,334	)	$	—	$	(2,127,334	)

*	None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund.

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 fiscal year to date ended July 31, 2014 is not presented. At July 31, 2014, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.

For information on the Fund’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.

Item 2. Controls and Procedures

(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant on this Form N-Q has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant on this Form N-Q has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b) There have been no changes in the registrant’s internal controls over financial reporting during the fiscal quarter for which the report is being filed that have materially affected, or are reasonably likely to materially affect the registrant’s internal control over financial reporting.

Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Eaton Vance Short Duration Diversified Income Fund



By:		/s/ Payson F. Swaffield
		Payson F. Swaffield
		President

Date:		September 22, 2014

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/ Payson F. Swaffield
		Payson F. Swaffield
		President

Date:		September 22, 2014



By:		/s/ James F. Kirchner
		James F. Kirchner
		Treasurer

Date:		September 22, 2014