Edgar Filing: EATON VANCE LTD DURATION INCOME FUND

Eaton Vance Limited Duration 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

811-21323

Investment Company Act File Number

Eaton Vance Limited Duration 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)

April 30

Date of Fiscal Year End

July 31, 2009

Date of Reporting Period

TABLE OF CONTENTS


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

Item 1. Schedule of Investments


Eaton Vance Limited Duration Income Fund	as of July 31, 2009

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Interests — 52.0%⁽¹⁾


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
Aerospace and Defense — 0.9%
		ACTS Aero Technical Support & Service, Inc.
	897	Term Loan, 0.00%, Maturing October 5, 2014⁽²⁾	$	204,099
		Atlantic Inertial Systems, Inc.
	1,263	Term Loan, 3.31%, Maturing July 20, 2014		1,187,229
		AWAS Capital, Inc.
	420	Term Loan, 2.38%, Maturing March 22, 2013		373,359
	2,136	Term Loan - Second Lien, 6.63%, Maturing March 22, 2013		977,415
		CACI International, Inc.
	281	Term Loan, 1.91%, Maturing May 3, 2011		274,784
		Colt Defense, LLC
	974	Term Loan, 3.54%, Maturing July 9, 2014		917,963
		DAE Aviation Holdings, Inc.
	563	Term Loan, 4.24%, Maturing July 31, 2014		467,656
	574	Term Loan, 4.24%, Maturing July 31, 2014		476,809
		Evergreen International Aviation
	1,217	Term Loan, 11.50%, Maturing October 31, 2011		746,685
		Hawker Beechcraft Acquisition
	3,561	Term Loan, 2.39%, Maturing March 26, 2014		2,434,846
	187	Term Loan, 2.60%, Maturing March 26, 2014		127,967
		Hexcel Corp.
	1,500	Term Loan, 6.50%, Maturing May 21, 2014		1,506,251
		IAP Worldwide Services, Inc.
	1,115	Term Loan, 9.25%, Maturing December 30, 2012⁽³⁾		797,280
		TransDigm, Inc.
	2,075	Term Loan, 2.41%, Maturing June 23, 2013		2,014,478
		Vought Aircraft Industries, Inc.
	667	Term Loan, 2.94%, Maturing December 17, 2011		650,000
	701	Term Loan, 7.50%, Maturing December 17, 2011		688,859
	216	Term Loan, 7.50%, Maturing December 22, 2011		213,823
		Wesco Aircraft Hardware Corp.
	1,459	Term Loan, 2.54%, Maturing September 29, 2013		1,313,321

			$	15,372,824

Air Transport — 0.3%
		Airport Development and Investment, Ltd.
GBP	1,957	Term Loan - Second Lien, 5.05%, Maturing April 7, 2011	$	1,834,183
		Delta Air Lines, Inc.
	1,691	Term Loan - Second Lien, 3.55%, Maturing April 30, 2014		1,162,924
		Northwest Airlines, Inc.
	2,804	DIP Loan, 2.29%, Maturing December 31, 2010		2,679,119

			$	5,676,226

Automotive — 1.6%
		Accuride Corp.
	2,338	Term Loan, 3.00%, Maturing January 31, 2012	$	2,156,616
		Adesa, Inc.
	4,905	Term Loan, 2.54%, Maturing October 18, 2013		4,574,106
		Allison Transmission, Inc.
	5,098	Term Loan, 3.06%, Maturing September 30, 2014		4,446,169
		Dayco Products, LLC
	2,283	Term Loan, 0.00%, Maturing June 21, 2011⁽²⁾		642,168
		Delphi Corp.
	622	DIP Loan, 8.25%, Maturing September 30, 2009		622,492


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Federal-Mogul Corp.
	1,823	Term Loan, 2.24%, Maturing December 27, 2014	$	1,380,752
	1,411	Term Loan, 2.23%, Maturing December 27, 2015		1,068,973
		Ford Motor Co.
	3,258	Term Loan, 3.50%, Maturing December 15, 2013		2,781,340
		Goodyear Tire & Rubber Co.
	4,450	Term Loan - Second Lien, 2.04%, Maturing April 30, 2010		4,123,668
		Keystone Automotive Operations, Inc.
	1,112	Term Loan, 3.79%, Maturing January 12, 2012		528,015
		LKQ Corp.
	1,284	Term Loan, 2.55%, Maturing October 12, 2014		1,258,554
		TriMas Corp.
	314	Term Loan, 2.62%, Maturing August 2, 2011		283,441
	1,324	Term Loan, 2.65%, Maturing August 2, 2013		1,194,469
		TRW Automotive, Inc.
	997	Term Loan, 6.31%, Maturing February 2, 2014		949,453
		United Components, Inc.
	1,439	Term Loan, 3.21%, Maturing June 30, 2010		1,270,265

			$	27,280,481

Beverage and Tobacco — 0.4%
		Constellation Brands, Inc.
	1,057	Term Loan, 1.81%, Maturing June 5, 2013	$	1,041,240
		Culligan International Co.
	976	Term Loan, 2.54%, Maturing November 24, 2014		651,631
EUR	1,400	Term Loan - Second Lien, 5.48%, Maturing May 31, 2013		515,483
		Liberator Midco Ltd.
GBP	380	Term Loan, 8.59%, Maturing October 27, 2016⁽³⁾		538,274
		Southern Wine & Spirits of America, Inc.
	2,893	Term Loan, 2.10%, Maturing May 31, 2012		2,798,782
		Van Houtte, Inc.
	118	Term Loan, 3.09%, Maturing July 11, 2014		110,001
	863	Term Loan, 3.09%, Maturing July 11, 2014		806,674

			$	6,462,085

Brokers, Dealers and Investment Houses — 0.1%
		AmeriTrade Holding Corp.
	2,108	Term Loan, 1.79%, Maturing December 31, 2012	$	2,048,304

			$	2,048,304

Building and Development — 1.5%
		AIMCO Properties, L.P.
	2,669	Term Loan, 1.79%, Maturing March 23, 2011	$	2,575,344
		Beacon Sales Acquisition, Inc.
	881	Term Loan, 2.56%, Maturing September 30, 2013		801,767
		Brickman Group Holdings, Inc.
	1,404	Term Loan, 2.34%, Maturing January 23, 2014		1,289,518
		Building Materials Corp. of America
	1,877	Term Loan, 3.06%, Maturing February 22, 2014		1,688,889
		Capital Automotive (REIT)
	1,047	Term Loan, 2.06%, Maturing December 16, 2010		824,232
		Epco/Fantome, LLC
	1,738	Term Loan, 2.91%, Maturing November 23, 2010		1,329,570
		Forestar USA Real Estate Group, Inc.
	1,975	Revolving Loan, 0.38%, Maturing December 1, 2010⁽⁴⁾		1,629,015
	1,535	Term Loan, 4.91%, Maturing December 1, 2010		1,266,257
		Hovstone Holdings, LLC
	753	Term Loan, 5.50%, Maturing September 25, 2009⁽³⁾⁽⁵⁾		302,822
		LNR Property Corp.
	2,920	Term Loan, 3.81%, Maturing July 3, 2011		1,780,978


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Metroflag BP, LLC
	700	Term Loan - Second Lien, 0.00%, Maturing October 2, 2009⁽²⁾	$	7,350
		NCI Building Systems, Inc.
	1,375	Term Loan, 2.91%, Maturing June 18, 2010		1,192,573
		Panolam Industries Holdings, Inc.
	1,345	Term Loan, 5.00%, Maturing September 30, 2012		992,150
		Realogy Corp.
	1,175	Term Loan, 3.28%, Maturing September 1, 2014		910,249
	4,362	Term Loan, 3.31%, Maturing September 1, 2014		3,380,926
		South Edge, LLC
	288	Term Loan, 0.00%, Maturing October 31, 2009⁽²⁾		71,875
		Standard Pacific Corp.
	1,260	Term Loan, 2.60%, Maturing May 5, 2013		888,300
		WCI Communities, Inc.
	3,747	Term Loan, 5.55%, Maturing December 23, 2010		2,160,859
		Wintergames Acquisition ULC
	3,396	Term Loan, 7.79%, Maturing October 31, 2009		2,678,779

			$	25,771,453

Business Equipment and Services — 4.2%
		Activant Solutions, Inc.
	892	Term Loan, 2.48%, Maturing May 1, 2013	$	807,183
		Affiliated Computer Services
	294	Term Loan, 2.29%, Maturing March 20, 2013		288,850
	1,867	Term Loan, 2.29%, Maturing March 20, 2013		1,834,643
		Affinion Group, Inc.
	4,275	Term Loan, 2.79%, Maturing October 17, 2012		4,073,991
		Allied Barton Security Service
	1,117	Term Loan, 6.75%, Maturing February 21, 2015		1,122,788
		Education Management, LLC
	4,847	Term Loan, 2.38%, Maturing June 1, 2013		4,653,583
		Euronet Worldwide, Inc.
	1,836	Term Loan, 2.49%, Maturing April 4, 2012		1,707,189
		Info USA, Inc.
	328	Term Loan, 2.60%, Maturing February 14, 2012		313,464
		Information Resources, Inc.
	1,823	Term Loan, 2.44%, Maturing May 7, 2014		1,691,066
		Intergraph Corp.
	1,000	Term Loan, 2.66%, Maturing May 29, 2014		951,875
	1,000	Term Loan - Second Lien, 6.43%, Maturing November 29, 2014		915,000
		iPayment, Inc.
	2,027	Term Loan, 2.46%, Maturing May 10, 2013		1,657,267
		Kronos, Inc.
	1,515	Term Loan, 2.60%, Maturing June 11, 2014		1,407,004
		Language Line, Inc.
	2,149	Term Loan, 3.85%, Maturing June 11, 2011		2,089,739
		Mitchell International, Inc.
	1,500	Term Loan - Second Lien, 5.88%, Maturing March 28, 2015		900,000
		N.E.W. Holdings I, LLC
	2,523	Term Loan, 2.80%, Maturing May 22, 2014		2,340,436
		Protection One, Inc.
	2,019	Term Loan, 2.54%, Maturing March 31, 2012		1,928,186
		Quantum Corp.
	293	Term Loan, 4.10%, Maturing July 12, 2014		260,713
		Quintiles Transnational Corp.
	1,206	Term Loan, 2.48%, Maturing March 31, 2013		1,145,031
	1,725	Term Loan - Second Lien, 4.29%, Maturing March 31, 2014		1,612,875
		Sabre, Inc.
	6,636	Term Loan, 2.67%, Maturing September 30, 2014		5,367,257


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Safenet, Inc.
	985	Term Loan, 2.79%, Maturing April 12, 2014	$	918,442
		Serena Software, Inc.
	1,558	Term Loan, 2.63%, Maturing March 10, 2013		1,437,014
		Sitel (Client Logic)
	1,707	Term Loan, 5.96%, Maturing January 29, 2014		1,272,080
		Solera Holdings, LLC
EUR	1,084	Term Loan, 3.06%, Maturing May 15, 2014		1,344,689
		SunGard Data Systems, Inc.
	455	Term Loan, 2.45%, Maturing February 11, 2013		432,264
	12,854	Term Loan, 4.35%, Maturing February 28, 2016		12,346,392
		TDS Investor Corp.
	1,779	Term Loan, 2.90%, Maturing August 23, 2013		1,514,524
	357	Term Loan, 3.10%, Maturing August 23, 2013		303,890
EUR	1,052	Term Loan, 3.62%, Maturing August 23, 2013		1,169,090
		Transaction Network Services, Inc.
	730	Term Loan, 9.50%, Maturing May 4, 2012		734,042
		U.S. Security Holdings, Inc.
	859	Term Loan, 2.79%, Maturing May 8, 2013		807,018
		Valassis Communications, Inc.
	403	Term Loan, 2.04%, Maturing March 2, 2014		384,176
	1,757	Term Loan, 2.04%, Maturing March 2, 2014		1,673,934
		VWR International, Inc.
	2,325	Term Loan, 2.79%, Maturing June 28, 2013		2,134,157
		West Corp.
	6,636	Term Loan, 2.67%, Maturing October 24, 2013		6,303,571

			$	69,843,423

Cable and Satellite Television — 4.2%
		Atlantic Broadband Finance, LLC
	2,446	Term Loan, 6.75%, Maturing June 8, 2013	$	2,450,205
	91	Term Loan, 2.85%, Maturing September 1, 2013		90,303
		Bragg Communications, Inc.
	1,587	Term Loan, 3.17%, Maturing August 31, 2014		1,554,954
		Bresnan Broadband Holdings, LLC
	1,721	Term Loan, 2.52%, Maturing March 29, 2014		1,657,237
	1,550	Term Loan - Second Lien, 4.81%, Maturing March 29, 2014		1,441,500
		Cequel Communications, LLC
	977	Term Loan, 2.30%, Maturing November 5, 2013		936,364
	5,131	Term Loan, 6.31%, Maturing May 5, 2014⁽³⁾		4,649,543
	2,175	Term Loan - Second Lien, 4.81%, Maturing May 5, 2014		1,949,344
		Charter Communications Operating, Inc.
	14,799	Term Loan, 6.25%, Maturing April 28, 2013		13,858,884
		CSC Holdings, Inc.
	2,691	Term Loan, 2.04%, Maturing March 29, 2013		2,606,487
		CW Media Holdings, Inc.
	1,855	Term Loan, 3.85%, Maturing February 15, 2015		1,601,932
		DirectTV Holdings, LLC
	1,813	Term Loan, 1.79%, Maturing April 13, 2013		1,778,260
		Insight Midwest Holdings, LLC
	4,742	Term Loan, 2.31%, Maturing April 6, 2014		4,501,396
		MCC Iowa, LLC
	870	Term Loan, 1.77%, Maturing March 31, 2010		859,125
	2,390	Term Loan, 2.02%, Maturing January 31, 2015		2,254,778
		Mediacom Illinois, LLC
	4,718	Term Loan, 2.02%, Maturing January 31, 2015		4,438,644
		ProSiebenSat.1 Media AG
EUR	822	Term Loan, 3.53%, Maturing March 2, 2015		443,554
EUR	48	Term Loan, 3.14%, Maturing June 26, 2015		53,172


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
EUR	1,187	Term Loan, 3.14%, Maturing June 26, 2015	$	1,310,202
EUR	822	Term Loan, 3.78%, Maturing March 2, 2016		443,554
		UPC Broadband Holding B.V.
	1,815	Term Loan, 2.06%, Maturing December 31, 2014		1,736,925
	985	Term Loan, 3.81%, Maturing December 31, 2016		963,456
EUR	4,531	Term Loan, 4.52%, Maturing December 31, 2016		5,816,219
EUR	3,269	Term Loan, 4.77%, Maturing December 31, 2017		4,197,940
		Virgin Media Investment Holdings Ltd.
	2,902	Term Loan, 4.00%, Maturing March 30, 2012		2,836,363
		YPSO Holding SA
EUR	957	Term Loan, 3.44%, Maturing July 28, 2014		1,014,844
EUR	1,562	Term Loan, 3.44%, Maturing July 28, 2014		1,655,797
EUR	2,481	Term Loan, 3.44%, Maturing July 28, 2014		2,629,691

			$	69,730,673

Chemicals and Plastics — 2.7%
		Arizona Chemical, Inc.
	500	Term Loan - Second Lien, 6.00%, Maturing February 28, 2014	$	357,500
		Ashland, Inc.
	1,248	Term Loan, 7.65%, Maturing November 20, 2014		1,272,079
		AZ Chem US, Inc.
	1,387	Term Loan, 2.49%, Maturing February 28, 2013		1,234,196
		Brenntag Holding GmbH and Co. KG
	1,965	Term Loan, 2.29%, Maturing December 23, 2013		1,871,538
	480	Term Loan, 2.33%, Maturing December 23, 2013		456,961
	1,300	Term Loan - Second Lien, 4.29%, Maturing December 23, 2015		1,075,750
		Celanese Holdings, LLC
	5,938	Term Loan, 2.35%, Maturing April 2, 2014		5,638,612
		Cognis GmbH
EUR	266	Term Loan, 3.27%, Maturing September 15, 2013		323,321
EUR	1,084	Term Loan, 3.27%, Maturing September 15, 2013		1,320,228
		Columbian Chemicals Acquisition
	857	Term Loan, 6.63%, Maturing March 16, 2013		677,267
		First Chemical Holding
EUR	965	Term Loan, 4.56%, Maturing December 18, 2014		511,340
EUR	965	Term Loan, 5.06%, Maturing December 18, 2015		511,340
		Georgia Gulf Corp.
	861	Term Loan, 9.02%, Maturing October 3, 2013		799,406
		Hexion Specialty Chemicals, Inc.
	396	Term Loan, 2.88%, Maturing May 5, 2013		299,258
	1,825	Term Loan, 2.88%, Maturing May 5, 2013		1,377,619
	4,862	Term Loan, 3.31%, Maturing May 5, 2013		3,622,562
		Huish Detergents, Inc.
	1,250	Term Loan, 2.04%, Maturing April 26, 2014		1,180,777
		Huntsman International, LLC
	3,465	Term Loan, 2.04%, Maturing August 16, 2012		3,220,389
		INEOS Group
EUR	808	Term Loan, 6.21%, Maturing December 14, 2011		867,872
EUR	143	Term Loan, 9.75%, Maturing December 14, 2011		153,437
EUR	143	Term Loan, 10.25%, Maturing December 14, 2011		153,437
EUR	808	Term Loan, 10.25%, Maturing December 14, 2011		867,983
	233	Term Loan, 7.50%, Maturing December 14, 2013		180,541
	233	Term Loan, 8.00%, Maturing December 14, 2014		180,541
		ISP Chemco, Inc.
	1,945	Term Loan, 2.06%, Maturing June 4, 2014		1,817,814
		Kranton Polymers, LLC
	3,080	Term Loan, 2.63%, Maturing May 12, 2013		2,579,323
		MacDermid, Inc.
EUR	879	Term Loan, 2.75%, Maturing April 12, 2014		884,542


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Millenium Inorganic Chemicals
	470	Term Loan, 2.85%, Maturing April 30, 2014	$	349,970
	1,375	Term Loan - Second Lien, 6.35%, Maturing October 31, 2014		859,375
		Momentive Performance Material
	1,891	Term Loan, 2.56%, Maturing December 4, 2013		1,495,558
		Nalco Co.
	834	Term Loan, 2.06%, Maturing November 4, 2010		832,446
	2,500	Term Loan, 6.50%, Maturing May 6, 2016		2,534,375
		Rockwood Specialties Group, Inc.
	3,587	Term Loan, 6.00%, Maturing May 15, 2014		3,631,988
		Schoeller Arca Systems Holding
EUR	289	Term Loan, 4.33%, Maturing November 16, 2015		226,587
EUR	824	Term Loan, 4.33%, Maturing November 16, 2015		646,040
EUR	887	Term Loan, 4.33%, Maturing November 16, 2015		695,202

			$	44,707,174

Clothing/Textiles — 0.3%
		Hanesbrands, Inc.
	1,563	Term Loan, 5.24%, Maturing September 5, 2013	$	1,574,699
	1,125	Term Loan - Second Lien, 4.25%, Maturing March 5, 2014		1,083,750
		St. John Knits International, Inc.
	1,176	Term Loan, 10.00%, Maturing March 23, 2012		882,139
		The William Carter Co.
	1,147	Term Loan, 1.81%, Maturing July 14, 2012		1,118,230

			$	4,658,818

Conglomerates — 1.2%
		Amsted Industries, Inc.
	1,445	Term Loan, 2.53%, Maturing October 15, 2010	$	1,356,086
		Blount, Inc.
	372	Term Loan, 2.06%, Maturing August 9, 2010		350,043
		Doncasters (Dunde HoldCo 4 Ltd.)
	608	Term Loan, 2.79%, Maturing July 13, 2015		424,208
	608	Term Loan, 3.29%, Maturing July 13, 2015		424,208
GBP	734	Term Loan - Second Lien, 5.09%, Maturing January 13, 2016		573,584
		Jarden Corp.
	804	Term Loan, 2.35%, Maturing January 24, 2012		785,970
	1,455	Term Loan, 2.35%, Maturing January 24, 2012		1,423,027
		Johnson Diversey, Inc.
	2,901	Term Loan, 3.02%, Maturing December 16, 2011		2,839,836
		Manitowoc Company, Inc. (The)
	1,393	Term Loan, 7.50%, Maturing August 21, 2014		1,266,470
		Polymer Group, Inc.
	3,864	Term Loan, 2.67%, Maturing November 22, 2012		3,660,707
		RBS Global, Inc.
	414	Term Loan, 2.31%, Maturing July 19, 2013		372,937
	2,682	Term Loan, 2.96%, Maturing July 19, 2013		2,440,590
		RGIS Holdings, LLC
	1,829	Term Loan, 3.04%, Maturing April 30, 2014		1,563,538
	91	Term Loan, 3.10%, Maturing April 30, 2014		78,177
		US Investigations Services, Inc.
	2,604	Term Loan, 3.36%, Maturing February 21, 2015		2,331,768
		Vertrue, Inc.
	813	Term Loan, 3.60%, Maturing August 16, 2014		650,004

			$	20,541,153

Containers and Glass Products — 1.9%
		Berry Plastics Corp.
	4,587	Term Loan, 2.30%, Maturing April 3, 2015	$	3,911,448


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Celanese AG
EUR	1,955	Term Loan, 2.85%, Maturing April 6, 2011	$	2,600,695
		Consolidated Container Co.
	1,000	Term Loan - Second Lien, 5.79%, Maturing September 28, 2014		730,000
		Crown Americas, Inc.
	679	Term Loan, 2.04%, Maturing November 15, 2012		664,571
		Graham Packaging Holdings Co.
	464	Term Loan, 2.56%, Maturing October 7, 2011		447,681
	4,639	Term Loan, 6.75%, Maturing April 5, 2014		4,637,729
		Graphic Packaging International, Inc.
	7,311	Term Loan, 2.52%, Maturing May 16, 2014		6,974,539
		JSG Acquisitions
EUR	1,266	Term Loan, 3.92%, Maturing December 31, 2014		1,721,854
EUR	1,271	Term Loan, 4.01%, Maturing December 31, 2014		1,728,904
		Kranson Industries, Inc.
	1,094	Term Loan, 2.54%, Maturing July 31, 2013		975,206
		Owens-Brockway Glass Container
	2,035	Term Loan, 1.79%, Maturing June 14, 2013		1,960,930
		Smurfit Kappa Acquisitions
EUR	210	Term Loan, 3.87%, Maturing December 31, 2014		285,747
EUR	175	Term Loan, 3.97%, Maturing December 31, 2014		237,602
		Smurfit-Stone Container Corp.
	601	Revolving Loan, 3.05%, Maturing December 31, 2009		570,631
	1,811	Term Loan, 2.89%, Maturing November 1, 2009		1,720,767
	236	Term Loan, 2.57%, Maturing November 1, 2011		223,219
	414	Term Loan, 2.57%, Maturing November 1, 2011		390,926
	780	Term Loan, 2.57%, Maturing November 1, 2011		738,295
	364	Term Loan, 4.50%, Maturing November 1, 2011		343,513
		Tegrant Holding Corp.
	1,955	Term Loan, 3.85%, Maturing March 8, 2013		1,417,375

			$	32,281,632

Cosmetics/Toiletries — 0.2%
		American Safety Razor Co.
	1,000	Term Loan - Second Lien, 6.54%, Maturing July 31, 2014	$	720,000
		Bausch & Lomb, Inc.
	155	Term Loan, 3.70%, Maturing April 30, 2015		147,278
	611	Term Loan, 3.85%, Maturing April 30, 2015		580,274
		KIK Custom Products, Inc.
	1,400	Term Loan - Second Lien, 5.29%, Maturing November 30, 2014		640,500
		Prestige Brands, Inc.
	2,124	Term Loan, 2.54%, Maturing April 7, 2011		2,086,514

			$	4,174,566

Drugs — 0.2%
		Graceway Pharmaceuticals, LLC
	1,371	Term Loan, 3.04%, Maturing May 3, 2012	$	1,093,304
	300	Term Loan, 8.54%, Maturing November 3, 2013		75,000
	1,000	Term Loan - Second Lien, 6.79%, Maturing May 3, 2013		400,000
		Pharmaceutical Holdings Corp.
	441	Term Loan, 3.56%, Maturing January 30, 2012		403,563
		Warner Chilcott Corp.
	495	Term Loan, 2.29%, Maturing January 18, 2012		483,427
	1,412	Term Loan, 2.46%, Maturing January 18, 2012		1,378,431

			$	3,833,725

Ecological Services and Equipment — 0.4%
		Big Dumpster Merger Sub, Inc.
	833	Term Loan, 2.54%, Maturing February 5, 2013	$	487,432


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Blue Waste B.V. (AVR Acquisition)
EUR	1,000	Term Loan, 2.79%, Maturing April 1, 2015	$	1,275,643
		Environmental Systems Products Holdings, Inc.
	426	Term Loan - Second Lien, 13.50%, Maturing December 12, 2010		327,274
		IESI Corp.
	3,465	Term Loan, 2.05%, Maturing January 20, 2012		3,222,177
		Sensus Metering Systems, Inc.
	702	Term Loan, 7.00%, Maturing June 3, 2013		694,814
		Wastequip, Inc.
	962	Term Loan, 2.54%, Maturing February 5, 2013		562,909

			$	6,570,249

Electronics/Electrical — 1.8%
		Aspect Software, Inc.
	1,701	Term Loan, 3.31%, Maturing July 11, 2011	$	1,480,290
	2,350	Term Loan - Second Lien, 7.38%, Maturing July 11, 2013		1,274,875
		Freescale Semiconductor, Inc.
	5,495	Term Loan, 2.06%, Maturing December 1, 2013		4,082,015
		Infor Enterprise Solutions Holdings
	1,767	Term Loan, 4.04%, Maturing July 28, 2012		1,519,767
	3,387	Term Loan, 4.04%, Maturing July 28, 2012		2,912,888
	500	Term Loan, 5.79%, Maturing March 2, 2014		277,500
	183	Term Loan - Second Lien, 6.54%, Maturing March 2, 2014		96,250
	317	Term Loan - Second Lien, 6.54%, Maturing March 2, 2014		174,167
		Network Solutions, LLC
	2,976	Term Loan, 2.84%, Maturing March 7, 2014		2,596,129
		Open Solutions, Inc.
	2,395	Term Loan, 2.63%, Maturing January 23, 2014		1,707,653
		Sensata Technologies Finance Co.
	5,813	Term Loan, 2.25%, Maturing April 27, 2013		4,899,655
		Spectrum Brands, Inc.
	132	Term Loan, 2.60%, Maturing March 30, 2013		121,400
	2,594	Term Loan, 6.25%, Maturing March 30, 2013		2,378,134
		SS&C Technologies, Inc.
	1,917	Term Loan, 2.48%, Maturing November 23, 2012		1,720,687
		VeriFone, Inc.
	936	Term Loan, 3.04%, Maturing October 31, 2013		894,340
		Vertafore, Inc.
	2,444	Term Loan, 3.16%, Maturing January 31, 2012		2,333,781
	975	Term Loan - Second Lien, 6.66%, Maturing January 31, 2013		789,750

			$	29,259,281

Equipment Leasing — 0.2%
		Hertz Corp.
	3,762	Term Loan, 2.05%, Maturing December 21, 2012	$	3,561,359
	689	Term Loan, 2.36%, Maturing December 21, 2012		652,077

			$	4,213,436

Farming/Agriculture — 0.4%
		BF Bolthouse HoldCo, LLC
	2,616	Term Loan, 2.56%, Maturing December 16, 2012	$	2,559,264
	1,475	Term Loan - Second Lien, 5.79%, Maturing December 16, 2013		1,281,406
		Central Garden & Pet Co.
	2,283	Term Loan, 1.79%, Maturing February 28, 2014		2,123,297

			$	5,963,967

Financial Intermediaries — 0.6%
		Citco III, Ltd.
	3,130	Term Loan, 2.85%, Maturing June 30, 2014	$	2,190,783


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Grosvenor Capital Management
	668	Term Loan, 2.31%, Maturing December 5, 2013	$	578,190
		Jupiter Asset Management Group
GBP	575	Term Loan, 3.11%, Maturing June 30, 2015		727,977
		Lender Processing Services, Inc.
	995	Term Loan, 2.79%, Maturing July 2, 2014		996,219
		LPL Holdings, Inc.
	5,019	Term Loan, 2.19%, Maturing December 18, 2014		4,604,709
		Nuveen Investments, Inc.
	645	Term Loan, 3.39%, Maturing November 2, 2014		525,954
		RJO Holdings Corp. (RJ O’Brien)
	640	Term Loan, 3.30%, Maturing July 31, 2014		281,666

			$	9,905,498

Food Products — 1.7%
		Acosta, Inc.
	2,934	Term Loan, 2.54%, Maturing July 28, 2013	$	2,791,205
		Advantage Sales & Marketing, Inc.
	3,847	Term Loan, 2.31%, Maturing March 29, 2013		3,676,451
		American Seafoods Group, LLC
	865	Term Loan, 2.04%, Maturing September 30, 2011		787,028
		Dean Foods Co.
	5,816	Term Loan, 1.97%, Maturing April 2, 2014		5,610,135
		MAFCO Worldwide Corp.
	808	Term Loan, 2.30%, Maturing December 8, 2011		747,017
		Michael Foods, Inc.
	1,281	Term Loan, 6.50%, Maturing April 30, 2014		1,293,305
		Pinnacle Foods Finance, LLC
	7,267	Term Loan, 3.06%, Maturing April 2, 2014		6,649,236
		Provimi Group SA
	188	Term Loan, 2.54%, Maturing June 28, 2015		147,824
	231	Term Loan, 2.54%, Maturing June 28, 2015		181,915
EUR	243	Term Loan, 2.79%, Maturing June 28, 2015		272,515
EUR	402	Term Loan, 2.79%, Maturing June 28, 2015		450,710
EUR	419	Term Loan, 2.79%, Maturing June 28, 2015		469,646
EUR	548	Term Loan, 2.79%, Maturing June 28, 2015		614,364
		Reddy Ice Group, Inc.
	3,130	Term Loan, 2.04%, Maturing August 9, 2012		2,530,082
		Wrigley Company
	1,380	Term Loan, 6.50%, Maturing October 6, 2014		1,397,956

			$	27,619,389

Food Service — 1.1%
		AFC Enterprises, Inc.
	632	Term Loan, 2.63%, Maturing May 11, 2011	$	625,606
		Aramark Corp.
	383	Term Loan, 1.73%, Maturing January 26, 2014		364,442
	6,024	Term Loan, 2.47%, Maturing January 26, 2014		5,730,744
GBP	975	Term Loan, 3.33%, Maturing January 27, 2014		1,514,681
		Buffets, Inc.
	139	Term Loan, 7.85%, Maturing November 1, 2013⁽³⁾		65,165
	655	Term Loan - Second Lien, 19.12%, Maturing November 1, 2013⁽³⁾		306,114
		Burger King Corp.
	1,692	Term Loan, 2.13%, Maturing June 30, 2012		1,682,140
		CBRL Group, Inc.
	2,172	Term Loan, 2.52%, Maturing April 27, 2013		2,073,569
		Denny’s, Inc.
	163	Term Loan, 2.38%, Maturing March 31, 2012		155,246
	515	Term Loan, 3.43%, Maturing March 31, 2012		489,454


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		JRD Holdings, Inc.
	1,896	Term Loan, 2.54%, Maturing June 26, 2014	$	1,824,990
		Maine Beverage Co., LLC
	495	Term Loan, 2.35%, Maturing June 30, 2010		457,441
		NPC International, Inc.
	461	Term Loan, 2.22%, Maturing May 3, 2013		423,946
		OSI Restaurant Partners, LLC
	85	Term Loan, 3.05%, Maturing May 9, 2013		64,920
	936	Term Loan, 2.63%, Maturing May 9, 2014		718,330
		QCE Finance, LLC
	975	Term Loan, 2.88%, Maturing May 5, 2013		743,342
	1,225	Term Loan - Second Lien, 6.35%, Maturing November 5, 2013		643,125
		Sagittarius Restaurants, LLC
	443	Term Loan, 10.25%, Maturing March 29, 2013		371,951

			$	18,255,206

Food/Drug Retailers — 1.3%
		General Nutrition Centers, Inc.
	2,943	Term Loan, 2.73%, Maturing September 16, 2013	$	2,690,949
		Iceland Foods Group, Ltd.
GBP	459	Term Loan, 2.36%, Maturing May 2, 2014		750,105
GBP	2,150	Term Loan, 3.11%, Maturing May 2, 2015		3,513,652
GBP	548	Term Loan, 9.36%, Maturing May 2, 2016⁽³⁾		907,063
		Pantry, Inc. (The)
	323	Term Loan, 1.79%, Maturing May 15, 2014		302,715
	1,121	Term Loan, 1.79%, Maturing May 15, 2014		1,051,455
		Rite Aid Corp.
	5,444	Term Loan, 2.05%, Maturing June 1, 2014		4,530,519
	2,238	Term Loan, 6.00%, Maturing June 4, 2014		2,022,694
	1,000	Term Loan, 9.50%, Maturing June 4, 2014		1,030,000
		Rite Aid Funding II
	2,000	Term Loan - Second Lien, 15.00%, Maturing September 14, 2010		2,040,000
		Roundy’s Supermarkets, Inc.
	3,741	Term Loan, 3.05%, Maturing November 3, 2011		3,644,898

			$	22,484,050

Forest Products — 0.7%
		Appleton Papers, Inc.
	1,887	Term Loan, 6.50%, Maturing June 5, 2014	$	1,650,688
		Georgia-Pacific Corp.
	5,911	Term Loan, 2.59%, Maturing December 20, 2012		5,718,653
	1,315	Term Loan, 3.77%, Maturing December 23, 2014		1,286,675
		Newpage Corp.
	2,886	Term Loan, 4.06%, Maturing December 5, 2014		2,509,096
		Xerium Technologies, Inc.
	1,834	Term Loan, 6.10%, Maturing May 18, 2012		1,182,632

			$	12,347,744

Healthcare — 5.0%
		Accellent, Inc.
	1,383	Term Loan, 3.17%, Maturing November 22, 2012	$	1,258,882
		Alliance Imaging, Inc.
	1,119	Term Loan, 3.14%, Maturing December 29, 2011		1,084,421
		American Medical Systems
	1,139	Term Loan, 2.56%, Maturing July 20, 2012		1,104,437
		AMN Healthcare, Inc.
	204	Term Loan, 2.35%, Maturing November 2, 2011		192,977
		AMR HoldCo, Inc.
	1,954	Term Loan, 2.30%, Maturing February 10, 2012		1,870,856


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Biomet, Inc.
	3,930	Term Loan, 3.58%, Maturing December 26, 2014	$	3,734,113
EUR	1,744	Term Loan, 3.98%, Maturing December 26, 2014		2,372,537
		Cardinal Health 409, Inc.
	2,156	Term Loan, 2.54%, Maturing April 10, 2014		1,846,974
		Carestream Health, Inc.
	4,007	Term Loan, 2.29%, Maturing April 30, 2013		3,701,852
	1,000	Term Loan - Second Lien, 5.54%, Maturing October 30, 2013		666,563
		Carl Zeiss Vision Holding GmbH
	1,300	Term Loan, 2.79%, Maturing March 23, 2015		643,500
		Catalent Pharma Solutions
EUR	1,960	Term Loan, 2.79%, Maturing April 10, 2014		2,360,581
		Community Health Systems, Inc.
	493	Term Loan, 2.54%, Maturing July 25, 2014		464,609
	9,666	Term Loan, 2.90%, Maturing July 25, 2014		9,103,891
		Concentra, Inc.
	866	Term Loan - Second Lien, 6.85%, Maturing June 25, 2015⁽³⁾		593,473
		ConMed Corp.
	601	Term Loan, 1.79%, Maturing April 13, 2013		547,156
		CRC Health Corp.
	581	Term Loan, 2.85%, Maturing February 6, 2013		470,272
	632	Term Loan, 2.85%, Maturing February 6, 2013		512,021
		DaVita, Inc.
	5,425	Term Loan, 1.88%, Maturing October 5, 2012		5,207,936
		DJO Finance, LLC
	1,034	Term Loan, 3.41%, Maturing May 15, 2014		968,748
		Fenwal, Inc.
	145	Term Loan, 2.92%, Maturing February 28, 2014		123,789
	852	Term Loan, 2.92%, Maturing February 28, 2014		726,021
		Fresenius Medical Care Holdings
	3,499	Term Loan, 1.97%, Maturing March 31, 2013		3,394,577
		Hanger Orthopedic Group, Inc.
	1,532	Term Loan, 2.29%, Maturing May 30, 2013		1,432,879
		HCA, Inc.
	7,500	Term Loan, 2.85%, Maturing November 18, 2013		7,054,668
		Health Management Association, Inc.
	5,664	Term Loan, 2.35%, Maturing February 28, 2014		5,273,821
		HealthSouth Corp.
	1,807	Term Loan, 2.54%, Maturing March 10, 2013		1,727,139
		Iasis Healthcare, LLC
	113	Term Loan, 2.28%, Maturing March 14, 2014		105,823
	419	Term Loan, 2.29%, Maturing March 14, 2014		392,867
	1,211	Term Loan, 2.29%, Maturing March 14, 2014		1,135,273
		Ikaria Acquisition, Inc.
	695	Term Loan, 2.65%, Maturing March 28, 2013		632,225
		IM U.S. Holdings, LLC
	900	Term Loan - Second Lien, 4.54%, Maturing June 26, 2015		838,125
		Invacare Corp.
	1,689	Term Loan, 2.54%, Maturing February 12, 2013		1,519,878
		inVentiv Health, Inc.
	1,189	Term Loan, 2.35%, Maturing July 6, 2014		1,106,938
		LifePoint Hospitals, Inc.
	2,901	Term Loan, 2.30%, Maturing April 15, 2012		2,787,750
		MultiPlan Merger Corp.
	658	Term Loan, 2.81%, Maturing April 12, 2013		627,993
	1,205	Term Loan, 2.81%, Maturing April 12, 2013		1,149,489
		Mylan, Inc.
	752	Term Loan, 3.81%, Maturing October 2, 2014		732,355


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		National Mentor Holdings, Inc.
	1,328	Term Loan, 2.60%, Maturing June 29, 2013	$	1,139,640
	81	Term Loan, 4.59%, Maturing June 29, 2013		69,697
		National Renal Institutes, Inc.
	2,017	Term Loan, 5.63%, Maturing March 31, 2013⁽³⁾		1,462,241
		Nyco Holdings
EUR	920	Term Loan, 3.37%, Maturing December 29, 2014		1,190,808
EUR	920	Term Loan, 4.12%, Maturing December 29, 2015		1,190,808
		Physiotherapy Associates, Inc.
	1,056	Term Loan, 7.50%, Maturing June 27, 2013		691,683
		RadNet Management, Inc.
	707	Term Loan, 4.59%, Maturing November 15, 2012		653,866
		ReAble Therapeutics Finance, LLC
	1,118	Term Loan, 2.47%, Maturing November 16, 2013		1,089,662
		Renal Advantage, Inc.
	1	Term Loan, 3.09%, Maturing October 5, 2012		893
		Select Medical Holdings Corp.
	1,592	Term Loan, 2.72%, Maturing February 24, 2012		1,521,805
	1,987	Term Loan, 2.72%, Maturing February 24, 2012		1,899,061
		Sunrise Medical Holdings, Inc.
	1,287	Term Loan, 6.31%, Maturing May 13, 2010		740,070
		Vanguard Health Holding Co., LLC
	931	Term Loan, 2.54%, Maturing September 23, 2011		900,849
		Viant Holdings, Inc.
	746	Term Loan, 2.85%, Maturing June 25, 2014		649,111

			$	82,667,603

Home Furnishings — 0.6%
		Hunter Fan Co.
	614	Term Loan, 2.81%, Maturing April 16, 2014	$	391,199
		Interline Brands, Inc.
	687	Term Loan, 1.98%, Maturing June 23, 2013		622,089
	1,225	Term Loan, 1.98%, Maturing June 23, 2013		1,109,011
		National Bedding Co., LLC
	2,318	Term Loan, 2.31%, Maturing August 31, 2011		2,022,290
	1,050	Term Loan - Second Lien, 5.31%, Maturing August 31, 2012		696,500
		Oreck Corp.
	1,777	Term Loan, 0.00%, Maturing February 2, 2012⁽²⁾⁽⁵⁾		556,252
		Sanitec, Ltd. Oy
EUR	491	Term Loan, 0.00%, Maturing April 7, 2013⁽²⁾		180,654
EUR	491	Term Loan, 0.00%, Maturing April 7, 2014⁽²⁾		180,654
		Simmons Co.
	3,677	Term Loan, 10.50%, Maturing December 19, 2011		3,493,294
	1,047	Term Loan, 8.22%, Maturing February 15, 2012⁽³⁾		31,410

			$	9,283,353

Industrial Equipment — 1.4%
		Brand Energy and Infrastructure Services, Inc.
	1,056	Term Loan, 3.67%, Maturing February 7, 2014	$	988,856
		CEVA Group PLC U.S.
	1,425	Term Loan, 3.29%, Maturing January 4, 2014		1,063,902
EUR	301	Term Loan, 3.54%, Maturing January 4, 2014		308,161
EUR	511	Term Loan, 3.54%, Maturing January 4, 2014		523,293
EUR	628	Term Loan, 3.54%, Maturing January 4, 2014		643,130
	171	Term Loan, 3.60%, Maturing January 4, 2014		122,873
EUR	1,597	Term Loan, 4.12%, Maturing January 4, 2014		1,635,446
		EPD Holdings (Goodyear Engineering Products)
	302	Term Loan, 2.55%, Maturing July 13, 2014		205,121
	2,106	Term Loan, 2.55%, Maturing July 13, 2014		1,432,206
	1,100	Term Loan - Second Lien, 6.05%, Maturing July 13, 2015		437,250


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Flowserve Corp.
	2,279	Term Loan, 2.04%, Maturing August 10, 2012	$	2,230,150
		FR Brand Acquisition Corp.
	978	Term Loan, 2.60%, Maturing February 7, 2014		906,631
		Generac Acquisition Corp.
	2,650	Term Loan, 2.81%, Maturing November 7, 2013		2,080,618
	500	Term Loan - Second Lien, 6.31%, Maturing April 7, 2014		282,500
		Gleason Corp.
	280	Term Loan, 2.42%, Maturing June 30, 2013		262,138
	743	Term Loan, 2.42%, Maturing June 30, 2013		694,982
		Itron, Inc.
EUR	354	Term Loan, 4.62%, Maturing April 18, 2014		489,581
		Jason, Inc.
	576	Term Loan, 5.35%, Maturing April 30, 2010		287,821
		John Maneely Co.
	4,364	Term Loan, 3.63%, Maturing December 8, 2013		3,416,779
		KION Group GmbH
	250	Term Loan, 2.29%, Maturing December 23, 2014		156,250
	250	Term Loan, 2.79%, Maturing December 23, 2015		156,250
		Polypore, Inc.
	4,263	Term Loan, 2.56%, Maturing July 3, 2014		4,028,535
		Sequa Corp.
	794	Term Loan, 3.84%, Maturing November 30, 2014		649,376
		TFS Acquisition Corp.
	875	Term Loan, 5.10%, Maturing August 11, 2013		404,803

			$	23,406,652

Insurance — 0.9%
		Alliant Holdings I, Inc.
	1,326	Term Loan, 3.60%, Maturing August 21, 2014	$	1,210,317
		Applied Systems, Inc.
	919	Term Loan, 2.79%, Maturing September 26, 2013		850,017
		CCC Information Services Group, Inc.
	1,105	Term Loan, 2.54%, Maturing February 10, 2013		1,061,767
		Conseco, Inc.
	4,627	Term Loan, 6.50%, Maturing October 10, 2013		3,378,031
		Crawford & Company
	1,601	Term Loan, 3.10%, Maturing October 31, 2013		1,376,783
		Crump Group, Inc.
	1,157	Term Loan, 3.29%, Maturing August 4, 2014		936,869
		Getty Images, Inc.
	2,870	Term Loan, 6.25%, Maturing July 2, 2015		2,898,858
		Hub International Holdings, Inc.
	216	Term Loan, 2.79%, Maturing June 13, 2014		199,085
	961	Term Loan, 2.79%, Maturing June 13, 2014		885,723
		U.S.I. Holdings Corp.
	2,677	Term Loan, 3.35%, Maturing May 4, 2014		2,275,660

			$	15,073,110

Leisure Goods/Activities/Movies — 3.0%
		24 Hour Fitness Worldwide, Inc.
	1,954	Term Loan, 2.94%, Maturing June 8, 2012	$	1,690,513
		AMC Entertainment, Inc.
	1,703	Term Loan, 1.79%, Maturing January 26, 2013		1,620,431
		AMF Bowling Worldwide, Inc.
	1,300	Term Loan - Second Lien, 6.55%, Maturing December 8, 2013		682,500
		Bombardier Recreational Products
	956	Term Loan, 3.30%, Maturing June 28, 2013		683,323


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Butterfly Wendel US, Inc.
	362	Term Loan, 3.05%, Maturing June 22, 2013	$	215,471
	362	Term Loan, 2.80%, Maturing June 22, 2014		215,541
		Carmike Cinemas, Inc.
	2,624	Term Loan, 4.10%, Maturing May 19, 2012		2,479,670
		Cedar Fair, L.P.
	484	Term Loan, 2.29%, Maturing August 31, 2011		473,954
	2,733	Term Loan, 2.29%, Maturing August 30, 2012		2,677,725
		Cinemark, Inc.
	3,736	Term Loan, 2.23%, Maturing October 5, 2013		3,590,379
		Dave & Buster’s, Inc.
	383	Term Loan, 2.74%, Maturing March 8, 2013		376,762
	968	Term Loan, 2.74%, Maturing March 8, 2013		952,987
		Deluxe Entertainment Services
	721	Term Loan, 2.67%, Maturing January 28, 2011		655,902
	41	Term Loan, 2.85%, Maturing January 28, 2011		37,618
	73	Term Loan, 2.85%, Maturing January 28, 2011		66,366
		Easton-Bell Sports, Inc.
	1,410	Term Loan, 2.26%, Maturing March 16, 2012		1,308,190
		Mega Blocks, Inc.
	1,462	Term Loan, 9.75%, Maturing July 26, 2012		581,117
		Metro-Goldwyn-Mayer Holdings, Inc.
	9,039	Term Loan, 3.54%, Maturing April 8, 2012		5,242,793
		National CineMedia, LLC
	3,075	Term Loan, 2.38%, Maturing February 13, 2015		2,898,187
		Red Football, Ltd.
GBP	2,730	Term Loan, 3.08%, Maturing August 16, 2014		3,800,831
GBP	2,730	Term Loan, 3.33%, Maturing August 16, 2015		3,800,831
		Regal Cinemas Corp.
	4,753	Term Loan, 4.35%, Maturing November 10, 2010		4,721,704
		Revolution Studios Distribution Co., LLC
	1,327	Term Loan, 4.04%, Maturing December 21, 2014		1,207,512
	1,050	Term Loan - Second Lien, 7.29%, Maturing June 21, 2015		603,750
		Six Flags Theme Parks, Inc.
	4,446	Term Loan, 2.66%, Maturing April 30, 2015		4,339,113
		Southwest Sports Group, LLC
	1,450	Term Loan, 6.75%, Maturing December 22, 2010		1,286,875
		Universal City Development Partners, Ltd.
	2,913	Term Loan, 6.00%, Maturing June 9, 2011		2,865,586
		Zuffa, LLC
	1,492	Term Loan, 2.38%, Maturing June 20, 2016		1,305,838

			$	50,381,469

Lodging and Casinos — 1.5%
		Gala Electric Casinos, Ltd.
GBP	959	Term Loan, 4.38%, Maturing December 12, 2013	$	1,275,160
GBP	959	Term Loan, 4.88%, Maturing December 12, 2014		1,275,160
		Green Valley Ranch Gaming, LLC
	635	Term Loan, 3.07%, Maturing February 16, 2014		433,570
		Harrah’s Operating Co.
	1,225	Term Loan, 3.50%, Maturing January 28, 2015		985,065
	867	Term Loan, 3.51%, Maturing January 28, 2015		697,349
		Herbst Gaming, Inc.
	995	Term Loan, 0.00%, Maturing December 2, 2011⁽²⁾		451,038
		Isle of Capri Casinos, Inc.
	1,001	Term Loan, 2.04%, Maturing November 30, 2013		949,241
	755	Term Loan, 2.35%, Maturing November 30, 2013		715,576
	2,502	Term Loan, 2.35%, Maturing November 30, 2013		2,373,104
		LodgeNet Entertainment Corp.
	1,057	Term Loan, 2.59%, Maturing April 4, 2014		912,062


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		New World Gaming Partners, Ltd.
	291	Term Loan, 3.10%, Maturing June 30, 2014	$	190,564
	1,436	Term Loan, 3.10%, Maturing June 30, 2014		940,880
		Penn National Gaming, Inc.
	7,020	Term Loan, 2.08%, Maturing October 3, 2012		6,890,064
		Venetian Casino Resort/Las Vegas Sands, Inc.
	1,124	Term Loan, 2.09%, Maturing May 14, 2014		890,144
	4,122	Term Loan, 2.09%, Maturing May 23, 2014		3,264,808
		VML US Finance, LLC
	2,294	Term Loan, 2.85%, Maturing May 25, 2013		2,129,828
		Wimar OpCo, LLC
	900	Term Loan, 0.00%, Maturing January 3, 2012⁽²⁾		265,577

			$	24,639,190

Nonferrous Metals/Minerals — 0.8%
		Alpha Natural Resources, LLC
	2,751	Term Loan, 2.13%, Maturing October 26, 2012	$	2,723,366
		Compass Minerals Group, Inc.
	2,728	Term Loan, 1.90%, Maturing December 22, 2012		2,666,848
		Euramax International, Inc.
	369	Term Loan, 10.00%, Maturing June 29, 2013⁽³⁾		139,230
	355	Term Loan, 14.00%, Maturing June 29, 2013⁽³⁾		134,198
		Murray Energy Corp.
	897	Term Loan, 6.94%, Maturing January 28, 2010		869,682
		Noranda Aluminum Acquisition
	1,499	Term Loan, 2.29%, Maturing May 18, 2014		1,056,746
		Novelis, Inc.
	588	Term Loan, 2.29%, Maturing June 28, 2014		528,458
	1,294	Term Loan, 2.43%, Maturing June 28, 2014		1,162,631
		Oxbow Carbon and Mineral Holdings
	162	Term Loan, 2.29%, Maturing May 8, 2014		148,877
	1,697	Term Loan, 2.41%, Maturing May 8, 2014		1,561,102
		Tube City IMS Corp.
	324	Term Loan, 2.60%, Maturing January 25, 2014		270,000
	2,615	Term Loan, 2.60%, Maturing January 25, 2014		2,177,381

			$	13,438,519

Oil and Gas — 0.8%
		Atlas Pipeline Partners, L.P.
	1,633	Term Loan, 6.75%, Maturing July 20, 2014	$	1,583,900
		Big West Oil, LLC
	456	Term Loan, 4.50%, Maturing May 1, 2014		410,559
	578	Term Loan, 4.50%, Maturing May 1, 2014		519,750
		Citgo Petroleum Corp.
	1,884	Term Loan, 1.64%, Maturing November 15, 2012		1,771,160
		Dresser, Inc.
	825	Term Loan, 3.10%, Maturing May 4, 2014		770,851
	1,250	Term Loan - Second Lien, 6.04%, Maturing May 4, 2015		963,541
		Enterprise GP Holdings, L.P.
	1,535	Term Loan, 2.68%, Maturing October 31, 2014		1,502,851
		Targa Resources, Inc.
	2,633	Term Loan, 2.29%, Maturing October 31, 2012		2,588,749
	2,333	Term Loan, 2.60%, Maturing October 31, 2012		2,293,378
		Volnay Acquisition Co.
	675	Term Loan, 4.27%, Maturing January 12, 2014		658,125

			$	13,062,864

Publishing — 3.1%
		American Media Operations, Inc.
	4,754	Term Loan, 10.00%, Maturing January 31, 2013⁽³⁾	$	3,811,510


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Aster Zweite Beteiligungs GmbH
EUR	472	Term Loan, 3.94%, Maturing September 27, 2013	$	445,669
	1,075	Term Loan, 4.01%, Maturing September 27, 2013		705,469
		CanWest MediaWorks, Ltd.
	1,154	Term Loan, 4.75%, Maturing July 10, 2014		606,080
		Dex Media West, LLC
	1,899	Term Loan, 0.00%, Maturing October 24, 2014⁽²⁾		1,546,843
		GateHouse Media Operating, Inc.
	3,467	Term Loan, 2.29%, Maturing August 28, 2014		876,633
	2,683	Term Loan, 2.30%, Maturing August 28, 2014		678,437
	975	Term Loan, 2.55%, Maturing August 28, 2014		246,536
		Idearc, Inc.
	10,945	Term Loan, 0.00%, Maturing November 17, 2014⁽²⁾		5,052,947
		Laureate Education, Inc.
	430	Term Loan, 3.75%, Maturing August 17, 2014		380,667
	2,876	Term Loan, 3.75%, Maturing August 17, 2014		2,543,559
		MediaNews Group, Inc.
	919	Term Loan, 6.79%, Maturing August 2, 2013		186,925
		Mediannuaire Holding
EUR	936	Term Loan, 2.90%, Maturing October 10, 2014		785,415
EUR	936	Term Loan, 3.40%, Maturing October 10, 2015		785,415
		Merrill Communications, LLC
	1,382	Term Loan, 8.50%, Maturing December 24, 2012		994,988
		Nebraska Book Co., Inc.
	903	Term Loan, 9.25%, Maturing March 4, 2011		893,850
		Nelson Education, Ltd.
	663	Term Loan, 3.10%, Maturing July 5, 2014		484,127
		Nielsen Finance, LLC
	6,938	Term Loan, 2.30%, Maturing August 9, 2013		6,470,134
		PagesJaunes Group, SA
EUR	1,000	Term Loan, 4.90%, Maturing April 10, 2016		483,414
		Penton Media, Inc.
	977	Term Loan, 2.72%, Maturing February 1, 2013		632,931
		Philadelphia Newspapers, LLC
	1,039	Term Loan, 0.00%, Maturing June 29, 2013⁽²⁾		228,473
		R.H. Donnelley Corp.
	3,561	Term Loan, 6.75%, Maturing June 30, 2010		2,747,782
		Reader’s Digest Association, Inc. (The)
	10,783	Term Loan, 2.64%, Maturing March 2, 2014		5,337,503
		SGS International, Inc.
	837	Term Loan, 2.92%, Maturing December 30, 2011		761,871
		Source Interlink Companies, Inc.
	916	Term Loan, 10.75%, Maturing June 18, 2013		755,667
	458	Term Loan, 15.00%, Maturing June 18, 2013⁽³⁾		82,436
		Source Media, Inc.
	2,290	Term Loan, 5.29%, Maturing November 8, 2011		1,499,820
		Springer Science+Business Media S.A.
	547	Term Loan, 2.66%, Maturing May 5, 2011		509,261
	418	Term Loan, 3.04%, Maturing May 5, 2012		389,109
	491	Term Loan, 3.04%, Maturing May 5, 2012		457,057
		TL Acquisitions, Inc.
	3,218	Term Loan, 2.79%, Maturing July 5, 2014		2,772,575
		Tribune Co.
	1,837	Term Loan, 0.00%, Maturing April 10, 2010⁽²⁾		751,613
	2,232	Term Loan, 0.00%, Maturing May 17, 2014⁽²⁾		919,993
	2,990	Term Loan, 0.00%, Maturing May 17, 2014⁽²⁾		1,153,466
		Xsys, Inc.
EUR	528	Term Loan, 3.94%, Maturing September 27, 2013		497,880
	1,194	Term Loan, 4.01%, Maturing September 27, 2013		783,845
	1,277	Term Loan, 4.01%, Maturing September 27, 2014		838,100


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Yell Group, PLC
	3,425	Term Loan, 3.29%, Maturing February 10, 2013	$	2,072,125

			$	51,170,125

Radio and Television — 2.3%
		Block Communications, Inc.
	2,027	Term Loan, 2.60%, Maturing December 22, 2011	$	1,763,055
		CMP KC, LLC
	959	Term Loan, 6.25%, Maturing May 5, 2013⁽⁵⁾		275,143
		CMP Susquehanna Corp.
	3,054	Term Loan, 2.31%, Maturing May 5, 2013		1,664,577
		Discovery Communications, Inc.
	3,406	Term Loan, 2.60%, Maturing April 30, 2014		3,362,931
		Emmis Operating Co.
	1,016	Term Loan, 2.60%, Maturing November 2, 2013		677,410
		Entravision Communications Corp.
	1,567	Term Loan, 5.85%, Maturing September 29, 2013		1,476,537
		Gray Television, Inc.
	2,287	Term Loan, 3.81%, Maturing January 19, 2015		1,460,883
		HIT Entertainment, Inc.
	1,836	Term Loan, 3.26%, Maturing March 20, 2012		1,491,472
		Intelsat Corp.
	2,216	Term Loan, 2.80%, Maturing January 3, 2014		2,119,244
	2,216	Term Loan, 2.80%, Maturing January 3, 2014		2,119,244
	2,216	Term Loan, 2.80%, Maturing January 3, 2014		2,119,889
		Ion Media Networks, Inc.
	432	DIP Loan, 10.17%, Maturing May 29, 2010⁽⁴⁾		426,303
	3,250	Term Loan, 0.00%, Maturing January 15, 2012⁽²⁾		877,500
		NEP II, Inc.
	831	Term Loan, 2.54%, Maturing February 16, 2014		731,160
		Nexstar Broadcasting, Inc.
	1,973	Term Loan, 2.24%, Maturing October 1, 2012		1,484,565
	2,086	Term Loan, 2.35%, Maturing October 1, 2012		1,569,708
		NextMedia Operating, Inc.
	72	Term Loan, 8.25%, Maturing November 15, 2012		48,551
	162	Term Loan, 8.25%, Maturing November 15, 2012		109,240
		Raycom TV Broadcasting, LLC
	1,900	Term Loan, 1.81%, Maturing June 25, 2014		1,425,000
		SFX Entertainment
	1,364	Term Loan, 3.72%, Maturing June 21, 2013		1,275,435
		Sirius Satellite Radio, Inc.
	737	Term Loan, 2.56%, Maturing December 19, 2012		650,292
		Univision Communications, Inc.
	12,650	Term Loan, 2.54%, Maturing September 29, 2014		10,243,869
		Young Broadcasting, Inc.
	2,310	Term Loan, 0.00%, Maturing November 3, 2012⁽²⁾		1,154,989

			$	38,526,997

Rail Industries — 0.2%
		Kansas City Southern Railway Co.
	3,298	Term Loan, 2.30%, Maturing April 26, 2013	$	3,067,140

			$	3,067,140

Retailers (Except Food and Drug) — 1.1%
		American Achievement Corp.
	775	Term Loan, 6.26%, Maturing March 25, 2011	$	666,777
		Amscan Holdings, Inc.
	709	Term Loan, 2.88%, Maturing May 25, 2013		625,417
		Cumberland Farms, Inc.
	2,010	Term Loan, 2.44%, Maturing September 29, 2013		1,833,909


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Harbor Freight Tools USA, Inc.
	1,768	Term Loan, 9.75%, Maturing July 15, 2010	$	1,710,752
		Josten’s Corp.
	1,991	Term Loan, 2.64%, Maturing October 4, 2011		1,936,574
		Mapco Express, Inc.
	1,158	Term Loan, 5.75%, Maturing April 28, 2011		1,053,595
		Neiman Marcus Group, Inc.
	1,543	Term Loan, 2.50%, Maturing April 5, 2013		1,271,300
		Orbitz Worldwide, Inc.
	1,670	Term Loan, 3.51%, Maturing July 25, 2014		1,215,107
		Oriental Trading Co., Inc.
	2,043	Term Loan, 9.75%, Maturing July 31, 2013		1,450,559
	1,150	Term Loan - Second Lien, 6.29%, Maturing January 31, 2013		201,250
		Rent-A-Center, Inc.
	1,162	Term Loan, 2.04%, Maturing November 15, 2012		1,115,246
		Savers, Inc.
	444	Term Loan, 3.06%, Maturing August 11, 2012		424,296
	486	Term Loan, 3.06%, Maturing August 11, 2012		464,230
		Vivarte
EUR	33	Term Loan, 2.66%, Maturing May 29, 2015		35,633
EUR	128	Term Loan, 2.66%, Maturing May 29, 2015		138,572
EUR	825	Term Loan, 2.66%, Maturing May 29, 2015		890,028
EUR	33	Term Loan, 3.16%, Maturing May 29, 2016		35,633
EUR	128	Term Loan, 3.16%, Maturing May 29, 2016		138,572
EUR	825	Term Loan, 3.16%, Maturing May 29, 2016		890,028
		Yankee Candle Company, Inc. (The)
	3,301	Term Loan, 2.29%, Maturing February 6, 2014		3,020,493

			$	19,117,971

Steel — 0.2%
		Algoma Acquisition Corp.
	2,227	Term Loan, 2.79%, Maturing June 20, 2013	$	1,848,505
		Niagara Corp.
	1,445	Term Loan, 7.25%, Maturing June 29, 2014		737,205

			$	2,585,710

Surface Transport — 0.2%
		Gainey Corp.
	1,884	Term Loan, 0.00%, Maturing April 20, 2012⁽²⁾	$	204,153
		Oshkosh Truck Corp.
	911	Term Loan, 6.62%, Maturing December 6, 2013		904,246
		Swift Transportation Co., Inc.
	3,014	Term Loan, 3.56%, Maturing May 10, 2014		2,341,090

			$	3,449,489

Telecommunications — 1.8%
		Asurion Corp.
	2,450	Term Loan, 3.58%, Maturing July 13, 2012	$	2,365,781
	1,000	Term Loan - Second Lien, 6.79%, Maturing January 13, 2013		904,167
		BCM Luxembourg, Ltd.
EUR	1,831	Term Loan, 2.42%, Maturing September 30, 2014		2,228,512
EUR	1,832	Term Loan, 2.67%, Maturing September 30, 2015		2,228,896
EUR	1,500	Term Loan - Second Lien, 4.79%, Maturing March 31, 2016		1,521,508
		Centennial Cellular Operating Co., LLC
	3,226	Term Loan, 2.60%, Maturing February 9, 2011		3,217,192
		CommScope, Inc.
	1,652	Term Loan, 3.10%, Maturing November 19, 2014		1,615,984
		Intelsat Subsidiary Holding Co.
	1,264	Term Loan, 2.80%, Maturing July 3, 2013		1,204,198


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Iowa Telecommunications Services
	2,776	Term Loan, 2.31%, Maturing November 23, 2011	$	2,644,140
		IPC Systems, Inc.
GBP	1,448	Term Loan, 3.44%, Maturing May 31, 2014		2,007,735
		Macquarie UK Broadcast Ventures, Ltd.
GBP	1,071	Term Loan, 2.59%, Maturing December 26, 2014		1,494,503
		NTelos, Inc.
	1,209	Term Loan, 2.54%, Maturing August 24, 2011		1,201,889
		Palm, Inc.
	1,056	Term Loan, 3.79%, Maturing April 24, 2014		887,198
		Stratos Global Corp.
	1,186	Term Loan, 3.10%, Maturing February 13, 2012		1,150,178
		Trilogy International Partners
	1,225	Term Loan, 4.10%, Maturing June 29, 2012		833,000
		Windstream Corp.
	3,960	Term Loan, 1.98%, Maturing July 17, 2013		3,841,039

			$	29,345,920

Utilities — 1.2%
		AEI Finance Holding, LLC
	389	Term Loan, 3.29%, Maturing March 30, 2012	$	331,345
	2,708	Term Loan, 3.60%, Maturing March 30, 2014		2,308,431
		Astoria Generating Co.
	1,250	Term Loan - Second Lien, 4.10%, Maturing August 23, 2013		1,132,291
		Calpine Corp.
	1,173	DIP Loan, 3.48%, Maturing March 29, 2014		1,079,773
		Electricinvest Holding Co.
GBP	540	Term Loan, 5.08%, Maturing October 24, 2012		582,720
EUR	536	Term Loan - Second Lien, 5.08%, Maturing October 24, 2012		495,989
		Mirant North America, LLC
	751	Term Loan, 2.04%, Maturing January 3, 2013		714,774
		NRG Energy, Inc.
	5,586	Term Loan, 2.01%, Maturing June 1, 2014		5,310,896
	2,994	Term Loan, 2.10%, Maturing June 1, 2014		2,847,002
		Pike Electric, Inc.
	470	Term Loan, 1.81%, Maturing July 1, 2012		425,698
	354	Term Loan, 1.81%, Maturing December 10, 2012		320,715
		TXU Texas Competitive Electric Holdings Co., LLC
	1,130	Term Loan, 3.80%, Maturing October 10, 2014		875,339
	3,095	Term Loan, 3.80%, Maturing October 10, 2014		2,387,405
		Vulcan Energy Corp.
	1,412	Term Loan, 5.50%, Maturing July 23, 2010		1,384,030

			$	20,196,408


Total Senior Floating-Rate Interests (identified cost $1,012,679,123)			$	868,413,877

Corporate Bonds & Notes — 52.4%


Principal
Amount
(000’s omitted)		Security	Value
Aerospace and Defense — 0.1%
		Alion Science and Technologies Corp.
$	1,500	10.25%, 2/1/15	$	810,000
		Hawker Beechcraft Acquisition
	1,810	9.75%, 4/1/17		914,050


Principal
Amount
(000’s omitted)		Security	Value
		Transdigm, Inc.
$	280	7.75%, 7/15/14	$	276,500

			$	2,000,550

Automotive — 1.1%
		Allison Transmission, Inc.
$	685	11.00%, 11/1/15⁽⁶⁾	$	626,775
	3,050	11.25%, 11/1/15⁽³⁾⁽⁶⁾		2,516,250
		Altra Industrial Motion, Inc.
	3,590	9.00%, 12/1/11		3,563,075
		Commercial Vehicle Group, Inc., Sr. Notes
	1,100	8.00%, 7/1/13		632,500
		Goodyear Tire & Rubber Co. (The), Sr. Notes
	3,190	10.50%, 5/15/16		3,437,225
		Tenneco, Inc., Sr. Notes
	1,085	8.125%, 11/15/15		990,062
		Tenneco Automotive, Inc., Series B
	6,073	10.25%, 7/15/13		6,133,730
		United Components, Inc., Sr. Sub. Notes
	990	9.375%, 6/15/13		683,100

			$	18,582,717

Banks and Thrifts — 1.0%
		Capital One Financial Corp.
$	1,750	6.15%, 9/1/16	$	1,566,521
		Citigroup, Inc.
	3,500	5.00%, 9/15/14		3,135,877
		General Electric Capital Corp., Sr. Notes
	2,000	5.625%, 5/1/18		2,022,152
		Goldman Sachs Group, Inc.
	2,500	5.625%, 1/15/17		2,507,133
		HSBC Finance Corp., Sr. Notes
	1,750	5.50%, 1/19/16		1,695,342
		Standard Chartered Bank, Sr. Notes
	3,025	6.40%, 9/26/17⁽⁶⁾		2,726,339
		Wachovia Corp.
	3,750	5.625%, 10/15/16		3,601,470

			$	17,254,834

Beverage and Tobacco — 0.6%
		Altria Group, Inc.
$	5,400	9.70%, 11/10/18	$	6,576,995
		Bunge, Ltd. Finance Corp.
	2,380	8.50%, 6/15/19		2,637,751

			$	9,214,746

Broadcast Radio and Television — 0.5%
		Rainbow National Services, LLC, Sr. Sub. Debs.
$	1,470	10.375%, 9/1/14⁽⁶⁾	$	1,543,500
		Warner Music Group, Sr. Sub. Notes
	1,165	7.375%, 4/15/14		1,060,150
		XM Satellite Radio Holdings, Inc., Sr. Notes
	2,745	11.25%, 6/15/13⁽⁶⁾		2,841,075
	2,885	13.00%, 8/1/13⁽⁶⁾		2,603,713

			$	8,048,438

Brokers, Dealers and Investment Houses — 0.4%
		Macquarie Group, Ltd., Sr. Notes
$	3,445	7.30%, 8/1/14⁽⁶⁾	$	3,535,121


Principal
Amount
(000’s omitted)		Security	Value
		Merrill Lynch & Co., Inc., Sr. Sub Notes
$	2,750	6.05%, 5/16/16	$	2,568,099
		Nuveen Investments, Inc., Sr. Notes
	505	10.50%, 11/15/15⁽⁶⁾		361,075

			$	6,464,295

Building and Development — 0.2%
		Interface, Inc., Sr. Notes
$	850	11.375%, 11/1/13⁽⁶⁾	$	898,875
		Panolam Industries International, Sr. Sub. Notes
	5,995	10.75%, 10/1/13⁽²⁾		329,725
		Texas Industries, Inc., Sr. Notes
	1,640	7.25%, 7/15/13⁽⁶⁾		1,517,000
		USG Corp.
	860	9.75%, 8/1/14⁽⁶⁾		881,500

			$	3,627,100

Business Equipment and Services — 3.0%
		Affinion Group, Inc.
$	1,065	10.125%, 10/15/13	$	1,059,675
	2,560	11.50%, 10/15/15		2,380,800
		Ceridian Corp., Sr. Notes
	6,180	11.25%, 11/15/15		5,299,350
		Education Management, LLC, Sr. Notes
	4,955	8.75%, 6/1/14		4,998,356
		Education Management, LLC, Sr. Sub. Notes
	7,585	10.25%, 6/1/16		7,755,662
		MediMedia USA, Inc., Sr. Sub. Notes
	2,415	11.375%, 11/15/14⁽⁶⁾		1,388,625
		Muzak, LLC/Muzak Finance, Sr. Notes
	5,250	10.00%, 12/31/09⁽²⁾		2,257,500
		Rental Service Corp.
	4,025	9.50%, 12/1/14		3,471,563
		SunGard Data Systems, Inc., Sr. Notes
	11,035	10.625%, 5/15/15⁽⁶⁾		11,862,625
		Ticketmaster Entertainment, Inc.
	2,700	10.75%, 7/28/16		2,524,500
		West Corp.
	7,095	9.50%, 10/15/14		6,775,725

			$	49,774,381

Business Services-Miscellaneous — 0.2%
		Expedia, Inc.
$	1,730	7.456%, 8/15/18	$	1,730,000
		KAR Holdings, Inc.
	1,845	8.75%, 5/1/14		1,715,850

			$	3,445,850

Cable and Satellite Television — 1.5%
		CCO Holdings, LLC/CCO Capital Corp., Sr. Notes
$	5,190	8.75%, 11/15/13	$	5,202,975
		Charter Communications, Inc., Sr. Notes
	645	8.75%, 4/30/14⁽⁶⁾		646,613
	2,740	10.875%, 9/15/14⁽⁶⁾		2,972,900
		Kabel Deutschland GmbH
	2,865	10.625%, 7/1/14		3,015,412
		Mediacom Broadband Corp., Sr. Notes
	1,720	8.50%, 10/15/15		1,642,600
		National Cable PLC
	540	8.75%, 4/15/14		548,100


Principal
Amount
(000’s omitted)		Security	Value
		National Cable PLC, Sr. Notes
$	7,690	9.125%, 8/15/16	$	7,805,350
		Time Warner Cable, Inc.
	2,500	8.75%, 2/14/19		3,107,495

			$	24,941,445

Chemicals and Plastics — 0.8%
		Ashland, Inc.
$	2,480	9.125%, 6/1/17⁽⁶⁾	$	2,622,600
		CII Carbon, LLC
	2,420	11.125%, 11/15/15⁽⁶⁾		1,948,100
		INEOS Group Holdings PLC, Sr. Sub. Notes
	4,035	8.50%, 2/15/16⁽⁶⁾		1,674,525
		Nalco Co., Sr. Notes
	1,975	8.25%, 5/15/17⁽⁶⁾		2,063,875
		Nova Chemicals Corp., Sr. Notes, Variable Rate
	2,145	4.538%, 11/15/13		1,930,500
		Reichhold Industries, Inc., Sr. Notes
	7,255	9.00%, 8/15/14⁽⁶⁾		2,829,450
		Wellman Holdings, Inc., Sr. Sub. Notes
	243	5.00%, 1/29/19⁽⁵⁾		70,956

			$	13,140,006

Clothing/Textiles — 1.1%
		Levi Strauss & Co., Sr. Notes
$	4,550	9.75%, 1/15/15	$	4,641,000
	410	8.875%, 4/1/16		408,975
		Oxford Industries, Inc., Sr. Notes
	2,515	11.375%, 7/15/15⁽⁶⁾		2,640,750
		Perry Ellis International, Inc., Sr. Sub. Notes
	8,190	8.875%, 9/15/13		7,166,250
		Phillips Van Heusen, Sr. Notes
	1,610	8.125%, 5/1/13		1,630,125
		Quiksilver, Inc.
	3,060	6.875%, 4/15/15		2,019,600

			$	18,506,700

Conglomerates — 0.4%
		RBS Global & Rexnord Corp.
$	1,762	9.50%, 8/1/14⁽⁶⁾	$	1,541,750
	1,705	11.75%, 8/1/16		1,381,050
		Tyco International Finance
	2,750	8.50%, 1/15/19		3,191,331

			$	6,114,131

Containers and Glass Products — 0.8%
		Berry Petroleum Co., Sr. Notes
$	1,485	10.25%, 6/1/14	$	1,559,250
		Graphic Packaging International, Inc.
	340	9.50%, 6/15/17⁽⁶⁾		340,000
		Greif, Inc., Sr. Notes
	825	7.75%, 8/1/19⁽⁶⁾		822,938
		Intertape Polymer US, Inc., Sr. Sub. Notes
	3,220	8.50%, 8/1/14		1,722,700
		Pliant Corp.
	6,358	11.625%, 6/15/09⁽²⁾		4,736,849
		Smurfit-Stone Container Corp., Sr. Notes
	715	8.375%, 7/1/12⁽²⁾		371,800
	4,425	8.00%, 3/15/17⁽²⁾		2,245,687


Principal
Amount
(000’s omitted)		Security	Value
		Solo Cup Co., Sr. Notes
$	1,680	10.50%, 11/1/13⁽⁶⁾	$	1,776,600

			$	13,575,824

Diversified Media — 0.4%
		Catalina Marketing Corp.
$	680	10.50%, 10/1/15⁽³⁾⁽⁶⁾	$	629,000
		Interpublic Group of Cos., Inc.
	3,385	10.00%, 7/15/17⁽⁶⁾		3,554,250
		Virgin Media Finance PLC
	2,535	9.50%, 8/15/16		2,611,050

			$	6,794,300

Ecological Services and Equipment — 0.3%
		Casella Waste Systems, Inc., Sr. Notes
$	845	11.00%, 7/15/14⁽⁶⁾	$	878,800
		Environmental Systems Product Holdings, Inc., Jr. Notes
	149	18.00%, 3/31/15⁽³⁾⁽⁵⁾		119,296
		Waste Services, Inc., Sr. Sub. Notes
	4,085	9.50%, 4/15/14		4,033,938

			$	5,032,034

Electronics/Electrical — 1.5%
		Advanced Micro Devices, Inc., Sr. Notes
$	3,885	7.75%, 11/1/12	$	3,040,013
		Amkor Technologies, Inc., Sr. Notes
	665	7.75%, 5/15/13		648,375
	5,695	9.25%, 6/1/16		5,837,375
		Avago Technologies Finance
	3,620	10.125%, 12/1/13		3,782,900
	6,645	11.875%, 12/1/15		6,944,025
		Dominion Resources, Inc., Sr. Notes
	2,500	8.875%, 1/15/19		3,151,717
		Jabil Circuit, Inc., Sr. Notes
	995	7.75%, 7/15/16		956,623
		NXP BV/NXP Funding, LLC, Variable Rate
	1,025	3.259%, 10/15/13		631,656

			$	24,992,684

Equipment Leasing — 0.6%
		Hertz Corp.
$	3,880	8.875%, 1/1/14	$	3,753,900
	1,485	10.50%, 1/1/16		1,425,600
		RSC Equipment Rental, Inc., Sr. Notes
	3,910	10.00%, 7/15/17⁽⁶⁾		4,134,825

			$	9,314,325

Financial Intermediaries — 1.1%
		Ford Motor Credit Co., Sr. Notes
$	1,740	7.875%, 6/15/10	$	1,714,730
	6,230	7.80%, 6/1/12		5,859,564
	3,235	7.50%, 8/1/12		2,987,697
	1,715	12.00%, 5/15/15		1,750,178
	6,465	8.00%, 12/15/16		5,802,448

			$	18,114,617

Food Products — 0.9%
		ASG Consolidated, LLC/ASG Finance, Inc., Sr. Disc. Notes
$	5,680	11.50%, 11/1/11	$	5,254,000


Principal
Amount
(000’s omitted)		Security	Value
		Dole Foods Co.
$	2,320	7.25%, 6/15/10	$	2,308,400
	3,235	13.875%, 3/15/14⁽⁶⁾		3,639,375
		Kraft Foods, Inc., Sr. Notes
	1,350	6.50%, 8/11/17		1,502,645
		Smithfield Foods, Inc., Sr. Notes
	2,080	10.00%, 7/15/14⁽⁶⁾		2,178,800

			$	14,883,220

Food Service — 0.8%
		Aramark Services, Inc.
$	4,065	8.50%, 2/1/15	$	4,115,812
		Chiquita Brands International, Inc., Sr. Notes
	330	8.875%, 12/1/15		312,675
		El Pollo Loco, Inc.
	2,980	11.75%, 11/15/13		2,547,900
		NPC International, Inc., Sr. Sub. Notes
	4,370	9.50%, 5/1/14		4,151,500
		Yum! Brands, Inc., Sr. Notes
	1,350	6.25%, 3/15/18		1,435,262

			$	12,563,149

Food/Drug Retailers — 1.4%
		CVS Caremark Corp., Sr. Notes
$	2,250	5.75%, 6/1/17	$	2,398,811
		Duane Reade, Inc., Sr. Notes
	500	11.75%, 8/1/15⁽⁶⁾		487,085
		General Nutrition Center, Sr. Notes, Variable Rate
	10,725	6.404%, 3/15/14⁽³⁾		9,518,437
		General Nutrition Center, Sr. Sub. Notes
	4,315	10.75%, 3/15/15		4,077,675
		Rite Aid Corp., Sr. Notes
	4,015	9.75%, 6/12/16⁽⁶⁾		4,255,900
		Supervalu, Inc., Sr. Notes
	3,400	8.00%, 5/1/16		3,391,500

			$	24,129,408

Forest Products — 0.9%
		Domtar Corp., Sr. Notes
$	3,100	10.75%, 6/1/17	$	3,162,000
		Georgia-Pacific, LLC
	2,140	8.25%, 5/1/16⁽⁶⁾		2,225,600
		Georgia-Pacific, LLC, Sr. Notes
	2,000	8.125%, 5/15/11		2,060,000
		Jefferson Smurfit Corp., Sr. Notes
	1,445	8.25%, 10/1/12⁽²⁾		736,950
	820	7.50%, 6/1/13⁽²⁾		407,950
		NewPage Corp.
	11,070	10.00%, 5/1/12		4,981,500
	2,495	12.00%, 5/1/13		736,025
		NewPage Corp., Variable Rate
	1,545	7.278%, 5/1/12		656,625

			$	14,966,650

Healthcare — 4.1%
		Accellent, Inc.
$	3,320	10.50%, 12/1/13	$	3,079,300
		AMR HoldCo, Inc./EmCare HoldCo, Inc., Sr. Sub. Notes
	4,430	10.00%, 2/15/15		4,596,125


Principal
Amount
(000’s omitted)		Security	Value
		Biomet, Inc.
$	2,825	10.375%, 10/15/17⁽³⁾	$	3,036,875
	10,915	11.625%, 10/15/17		11,897,350
		DJO Finance, LLC/DJO Finance Corp.
	4,625	10.875%, 11/15/14		4,393,750
		Fresenius US Finance II, Inc., Sr. Notes
	1,710	9.00%, 7/15/15⁽⁶⁾		1,855,350
		HCA, Inc.
	1,260	9.125%, 11/15/14		1,300,950
	2,115	9.25%, 11/15/16		2,210,175
	2,970	9.875%, 2/15/17⁽⁶⁾		3,140,775
		Inverness Medical Innovations, Inc., Sr. Sub. Notes
	4,245	9.00%, 5/15/16		4,255,613
		MultiPlan, Inc., Sr. Sub. Notes
	4,860	10.375%, 4/15/16⁽⁶⁾		4,689,900
		National Mentor Holdings, Inc.
	3,810	11.25%, 7/1/14		3,352,800
		Res-Care, Inc., Sr. Notes
	2,160	7.75%, 10/15/13		2,062,800
		Universal Hospital Service, Inc., Sr. Notes, Variable Rate
	745	4.635%, 6/1/15		629,525
		US Oncology, Inc.
	3,065	9.00%, 8/15/12		3,130,131
	5,350	10.75%, 8/15/14		5,323,250
		US Oncology, Inc., Sr. Notes
	4,235	9.125%, 8/15/17⁽⁶⁾		4,393,812
		Valeant Pharmaceuticals International
	1,795	8.375%, 6/15/16⁽⁶⁾		1,830,900
		Viant Holdings, Inc.
	4,727	10.125%, 7/15/17⁽⁶⁾		3,994,315

			$	69,173,696

Home Furnishings — 0.1%
		Interline Brands, Inc., Sr. Sub. Notes
$	1,240	8.125%, 6/15/14	$	1,243,100
		Sealy Mattress Co.
	440	8.25%, 6/15/14		403,700
		Sealy Mattress Co., Sr. Notes
	505	10.875%, 4/15/16⁽⁶⁾		552,975

			$	2,199,775

Homebuilders/Real Estate — 0.2%
		Avalonbay Communities, Inc.
$	1,000	5.375%, 4/15/14	$	986,172
		CB Richard Ellis Group, Inc., Sr. Sub. Notes
	2,575	11.625%, 6/15/17⁽⁶⁾		2,600,750

			$	3,586,922

Industrial Equipment — 0.3%
		Chart Industries, Inc., Sr. Sub. Notes
$	2,170	9.125%, 10/15/15	$	2,094,050
		ESCO Corp., Sr. Notes
	1,595	8.625%, 12/15/13⁽⁶⁾		1,475,375
		ESCO Corp., Sr. Notes, Variable Rate
	1,595	4.504%, 12/15/13⁽⁶⁾		1,347,775

			$	4,917,200

Insurance — 0.5%
		Alliant Holdings I, Inc.
$	1,885	11.00%, 5/1/15⁽⁶⁾	$	1,668,225


Principal
Amount
(000’s omitted)		Security	Value
		Hub International Holdings, Inc.
$	1,750	9.00%, 12/15/14⁽⁶⁾	$	1,522,500
		MetLife, Inc., Sr. Notes
	2,000	7.717%, 2/15/19		2,265,832
		Prudential Financial, Inc., Sr. Notes
	2,000	6.00%, 12/1/17		1,952,320
		U.S.I. Holdings Corp., Sr. Notes, Variable Rate
	1,320	4.758%, 11/15/14⁽⁶⁾		930,600

			$	8,339,477

Leisure Goods/Activities/Movies — 3.3%
		AMC Entertainment, Inc.
$	13,080	11.00%, 2/1/16	$	13,276,200
		Bombardier, Inc.
	1,425	8.00%, 11/15/14⁽⁶⁾		1,382,250
		Freedom Group, Inc., Sr. Notes
	410	10.25%, 8/1/15⁽⁶⁾		422,300
		HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital Corp., Variable Rate
	3,975	0.00%, 4/1/12⁽²⁾⁽⁶⁾		397
		Marquee Holdings, Inc., Sr. Disc. Notes
	6,895	12.00%, 8/15/14		5,688,375
		Royal Caribbean Cruises, Sr. Notes
	340	8.75%, 2/2/11		341,700
	2,150	7.00%, 6/15/13		1,935,000
	1,380	6.875%, 12/1/13		1,228,200
	330	7.25%, 6/15/16		273,900
	660	7.25%, 3/15/18		524,700
		Universal City Development Partners, Sr. Notes
	14,610	11.75%, 4/1/10		14,573,475
		Universal City Florida Holdings, Sr. Notes, Variable Rate
	12,720	5.778%, 5/1/10		11,130,000
		WMG Acquisition Corp., Sr. Notes
	4,135	9.50%, 6/15/16⁽⁶⁾		4,403,775

			$	55,180,272

Lodging and Casinos — 3.8%
		Ameristar Casinos, Inc., Sr. Notes
$	1,855	9.25%, 6/1/14⁽⁶⁾	$	1,919,925
		Buffalo Thunder Development Authority
	4,080	9.375%, 12/15/14⁽⁶⁾		622,200
		CCM Merger, Inc.
	4,025	8.00%, 8/1/13⁽⁶⁾		3,119,375
		Chukchansi EDA, Sr. Notes, Variable Rate
	3,080	4.913%, 11/15/12⁽⁶⁾		2,117,500
		Fontainebleau Las Vegas Casino, LLC
	8,870	10.25%, 6/15/15⁽²⁾⁽⁶⁾		310,450
		Galaxy Entertainment Finance
	2,610	9.875%, 12/15/12⁽⁶⁾		2,492,550
		Galaxy Entertainment Finance, Variable Rate
	1,595	6.218%, 12/15/10⁽⁶⁾		1,523,225
		Greektown Holdings, LLC, Sr. Notes
	1,095	10.75%, 12/1/13⁽²⁾⁽⁶⁾		169,725
		Harrahs Operating Escrow Corp., Sr. Notes
	1,970	11.25%, 6/1/17⁽⁶⁾		2,004,475
		Host Hotels and Resorts, LP, Sr. Notes
	4,235	6.75%, 6/1/16		3,949,137
		Indianapolis Downs, LLC & Capital Corp., Sr. Notes
	2,050	11.00%, 11/1/12⁽⁶⁾		1,547,750


Principal
Amount
(000’s omitted)		Security	Value
		Inn of the Mountain Gods, Sr. Notes
$	5,575	12.00%, 11/15/10⁽²⁾	$	2,285,750
		Majestic HoldCo, LLC
	1,540	12.50%, 10/15/11⁽²⁾⁽⁶⁾		169
		MGM Mirage, Inc.
	370	7.50%, 6/1/16		271,950
	1,715	11.125%, 11/15/17⁽⁶⁾		1,895,075
		MGM Mirage, Inc., Sr. Notes
	1,655	10.375%, 5/15/14⁽⁶⁾		1,783,262
		Mohegan Tribal Gaming Authority, Sr. Sub. Notes
	4,775	8.00%, 4/1/12		3,939,375
	3,265	7.125%, 8/15/14		2,301,825
	3,425	6.875%, 2/15/15		2,380,375
		OED Corp./Diamond Jo, LLC
	5,115	8.75%, 4/15/12		5,294,025
		Park Place Entertainment
	6,035	7.875%, 3/15/10		5,793,600
		Peninsula Gaming, LLC
	495	8.375%, 8/15/15⁽⁶⁾		497,475
	1,650	10.75%, 8/15/17⁽⁶⁾		1,610,813
		Pinnacle Entertainment, Inc., Sr. Notes
	1,150	8.625%, 8/1/17⁽⁶⁾		1,155,750
		Pinnacle Entertainment, Inc., Sr. Sub. Notes
	1,155	7.50%, 6/15/15		1,030,838
		Pokagon Gaming Authority, Sr. Notes
	1,101	10.375%, 6/15/14⁽⁶⁾		1,101,000
		San Pasqual Casino
	1,215	8.00%, 9/15/13⁽⁶⁾		1,038,825
		Seminole Hard Rock Entertainment, Variable Rate
	1,930	3.129%, 3/15/14⁽⁶⁾		1,457,150
		Starwood Hotels & Resorts Worldwide, Inc.
	935	7.375%, 11/15/15		884,657
	810	6.75%, 5/15/18		730,162
		Tunica-Biloxi Gaming Authority, Sr. Notes
	3,405	9.00%, 11/15/15⁽⁶⁾		3,013,425
		Waterford Gaming, LLC, Sr. Notes
	5,364	8.625%, 9/15/14⁽⁶⁾		4,613,286
		Wynn Las Vegas, LLC
	1,280	6.625%, 12/1/14		1,193,600

			$	64,048,699

Machinery — 0.3%
		Terex Corp.
$	1,975	8.00%, 11/15/17	$	1,644,188
		Terex Corp., Sr. Notes
	3,395	10.875%, 6/1/16		3,547,775

			$	5,191,963

Nonferrous Metals/Minerals — 1.5%
		Arch Coal, Inc., Sr. Notes
$	980	8.75%, 8/1/16⁽⁶⁾	$	994,700
		FMG Finance PTY, Ltd.
	8,090	10.625%, 9/1/16⁽⁶⁾		8,393,375
		Teck Resources, Ltd., Sr. Notes
	3,515	9.75%, 5/15/14⁽⁶⁾		3,928,012
	2,635	10.25%, 5/15/16⁽⁶⁾		2,997,313
	7,845	10.75%, 5/15/19⁽⁶⁾		9,168,844

			$	25,482,244


Principal
Amount
(000’s omitted)		Security	Value
Oil and Gas — 5.5%
		Allis-Chalmers Energy, Inc., Sr. Notes
$	3,280	9.00%, 1/15/14	$	2,402,600
		Bill Barrett Corp.
	505	9.875%, 7/15/16		528,988
		Chesapeake Energy Corp.
	6,375	9.50%, 2/15/15		6,797,344
	3,150	6.875%, 1/15/16		2,976,750
		Clayton Williams Energy, Inc.
	2,200	7.75%, 8/1/13		1,661,000
		Compton Pet Finance Corp.
	2,360	7.625%, 12/1/13		1,551,700
		Denbury Resources, Inc., Sr. Sub. Notes
	1,290	7.50%, 12/15/15		1,283,550
	3,285	9.75%, 3/1/16		3,523,162
		El Paso Corp.
	2,055	8.25%, 2/15/16		2,106,375
		El Paso Corp., Sr. Notes
	3,220	9.625%, 5/15/12		3,357,027
		Energy Transfer Partners LP., Sr. Notes
	2,800	9.70%, 3/15/19		3,516,355
		Forbes Energy Services, Sr. Notes
	4,605	11.00%, 2/15/15		3,315,600
		Forest Oil Corp.
	410	7.25%, 6/15/19		392,063
		Holly Corp.
	2,535	9.875%, 6/15/17⁽⁶⁾		2,522,325
		Marathon Oil Corp.
	2,850	7.50%, 2/15/19		3,296,917
		OPTI Canada, Inc., Sr. Notes
	1,795	7.875%, 12/15/14		1,184,700
	1,900	8.25%, 12/15/14		1,263,500
		Petrohawk Energy Corp., Sr. Notes
	2,975	9.125%, 7/15/13		3,101,437
		Petroleum Development Corp., Sr. Notes
	1,805	12.00%, 2/15/18		1,615,475
		Petroplus Finance, Ltd.
	430	6.75%, 5/1/14⁽⁶⁾		384,850
	8,640	7.00%, 5/1/17⁽⁶⁾		7,430,400
		Quicksilver Resources, Inc.
	4,390	7.125%, 4/1/16		3,709,550
		Quicksilver Resources, Inc., Sr. Notes
	3,515	11.75%, 1/1/16		3,870,894
		SandRidge Energy, Inc., Sr. Notes
	4,595	8.00%, 6/1/18⁽⁶⁾		4,204,425
		SemGroup, L.P., Sr. Notes
	5,990	8.75%, 11/15/15⁽²⁾⁽⁶⁾		209,650
		SESI, LLC, Sr. Notes
	660	6.875%, 6/1/14		627,000
		Sonat, Inc., Sr. Notes
	5,000	7.625%, 7/15/11		5,118,715
		Stewart & Stevenson, LLC, Sr. Notes
	5,105	10.00%, 7/15/14		4,466,875
		Tennessee Gas Pipeline Co., Sr. Notes
	595	8.00%, 2/1/16		663,425
		Tesoro Corp.
	850	9.75%, 6/1/19		860,625
		United Refining Co., Sr. Notes
	11,495	10.50%, 8/15/12		9,138,525


Principal
Amount
(000’s omitted)		Security	Value
		United Rentals North America, Inc.
$	3,055	10.875%, 6/15/16⁽⁶⁾	$	3,070,275
		Williams Companies, Inc., Sr. Notes
	1,240	8.75%, 1/15/20		1,403,665

			$	91,555,742

Publishing — 1.2%
		Dex Media West/Finance, Series B
$	2,815	9.875%, 8/15/13⁽²⁾	$	527,813
		Harland Clarke Holdings
	925	9.50%, 5/15/15		746,937
		Laureate Education, Inc.
	7,085	10.00%, 8/15/15⁽⁶⁾		6,270,225
	2,571	10.25%, 8/15/15⁽³⁾⁽⁶⁾		2,043,656
		Local Insight Regatta Holdings, Inc.
	1,430	11.00%, 12/1/17		407,550
		Nielsen Finance, LLC
	6,565	10.00%, 8/1/14		6,630,650
	2,490	11.50%, 5/1/16		2,620,725
	870	12.50%, (0.00% until 2011), 8/1/16		637,275
		Nielsen Finance, LLC, Sr. Notes
	300	11.625%, 2/1/14		317,250
		Reader’s Digest Association, Inc. (The), Sr. Sub. Notes
	7,275	9.00%, 2/15/17⁽²⁾		472,875

			$	20,674,956

Rail Industries — 0.5%
		American Railcar Industry, Sr. Notes
$	1,940	7.50%, 3/1/14	$	1,784,800
		Kansas City Southern Mexico, Sr. Notes
	150	9.375%, 5/1/12		148,500
	2,530	7.625%, 12/1/13		2,289,650
	1,055	7.375%, 6/1/14		933,675
	4,000	8.00%, 6/1/15		3,900,000

			$	9,056,625

Retailers (Except Food and Drug) — 3.9%
		Amscan Holdings, Inc., Sr. Sub. Notes
$	5,910	8.75%, 5/1/14	$	5,319,000
		JC Penney Corp., Inc., Sr. Notes
	1,875	8.00%, 3/1/10		1,898,235
		Limited Brands, Inc., Sr. Notes
	3,960	8.50%, 6/15/19⁽⁶⁾		3,992,206
		Neiman Marcus Group, Inc.
	11,245	9.00%, 10/15/15		8,377,155
	12,180	10.375%, 10/15/15		8,830,500
		Sally Holdings, LLC
	115	9.25%, 11/15/14		119,025
		Sally Holdings, LLC, Sr. Notes
	11,100	10.50%, 11/15/16		11,488,500
		Toys “R” Us
	7,785	7.625%, 8/1/11		7,317,900
	4,450	7.875%, 4/15/13		3,749,125
	4,985	10.75%, 7/15/17⁽⁶⁾		5,134,550
		Yankee Acquisition Corp., Series B
	9,100	8.50%, 2/15/15		8,190,000
	835	9.75%, 2/15/17		697,225

			$	65,113,421


Principal
Amount
(000’s omitted)		Security	Value
Steel — 0.2%
		RathGibson, Inc., Sr. Notes
$	4,905	11.25%, 2/15/14⁽²⁾	$	1,765,800
		Steel Dynamics, Inc., Sr. Notes
	940	7.375%, 11/1/12		937,650

			$	2,703,450

Surface Transport — 0.3%
		CEVA Group, PLC, Sr. Notes
$	3,750	10.00%, 9/1/14⁽⁶⁾	$	2,793,750
		Ryder System, Inc., MTN
	2,250	7.20%, 9/1/15		2,339,892

			$	5,133,642

Telecommunications — 4.4%
		America Movil SAB de CV
$	2,000	5.625%, 11/15/17	$	1,974,056
		Digicel Group, Ltd., Sr. Notes
	3,585	9.25%, 9/1/12⁽⁶⁾		3,602,925
	1,560	12.00%, 4/1/14⁽⁶⁾		1,653,600
	14,436	9.125%, 1/15/15⁽⁶⁾		12,631,500
		Intelsat Bermuda, Ltd.
	15,335	11.25%, 6/15/16		16,408,450
		Intelsat Subsidiary Holdings Co., Ltd.
	680	8.875%, 1/15/15⁽⁶⁾		690,200
	830	8.875%, 1/15/15		842,450
		Qwest Communications International, Inc.
	5,120	7.50%, 2/15/14		5,030,400
		Qwest Corp., Sr. Notes
	1,565	7.50%, 10/1/14		1,568,913
	1,940	7.625%, 6/15/15		1,944,850
		Qwest Corp., Sr. Notes, Variable Rate
	1,000	3.879%, 6/15/13		945,000
		SBA Telecommunications, Inc.
	1,475	8.00%, 8/15/16⁽⁶⁾		1,497,125
	985	8.25%, 8/15/19⁽⁶⁾		1,004,700
		Sprint Capital Corp.
	585	6.875%, 11/15/28		444,600
		Telecom Italia Capital
	2,600	6.175%, 6/18/14		2,796,136
		Telesat Canada/Telesat LLC, Sr. Notes
	3,305	11.00%, 11/1/15⁽⁶⁾		3,437,200
	6,830	12.50%, 11/1/17⁽⁶⁾		7,000,750
		Wind Acquisition Finance SA, Sr. Notes
	4,010	11.75%, 7/15/17⁽⁶⁾		4,310,750
		Windstream Corp., Sr. Notes
	2,085	8.125%, 8/1/13		2,116,275
	2,600	8.625%, 8/1/16		2,652,000

			$	72,551,880

Utilities — 2.7%
		AES Corp.
$	965	8.00%, 10/15/17	$	950,525
		AES Corp., Sr. Notes
	1,818	8.75%, 5/15/13⁽⁶⁾		1,863,450
		Calpine Construction Finance Co., Sr. Notes
	4,275	8.00%, 6/1/16⁽⁶⁾		4,317,750


Principal
Amount
(000’s omitted)		Security	Value
		Edison Mission Energy, Sr. Notes
$	1,750	7.50%, 6/15/13	$	1,605,625
	5,430	7.00%, 5/15/17		4,350,788
	1,130	7.20%, 5/15/19		861,625
		NGC Corp.
	4,395	7.625%, 10/15/26		2,834,775
		NRG Energy, Inc.
	480	7.25%, 2/1/14		472,800
	4,915	7.375%, 2/1/16		4,767,550
	5,700	7.375%, 1/15/17		5,514,750
		Orion Power Holdings, Inc., Sr. Notes
	11,360	12.00%, 5/1/10		11,814,400
		Reliant Energy, Inc., Sr. Notes
	350	7.625%, 6/15/14		327,250
		Southwestern Energy Co., Sr. Notes
	4,755	7.50%, 2/1/18⁽⁶⁾		4,790,662

			$	44,471,950


Total Corporate Bonds & Notes (identified cost $933,363,632)			$	874,863,318

Mortgage Pass-Throughs — 36.7%


Principal
Amount
(000’s omitted)		Security	Value
		Federal Home Loan Mortgage Corp.:
$	40,165	5.00%, with various maturities to 2019	$	42,303,070
	1,975	5.50%, with maturity at 2013⁽¹³⁾		2,071,182
	7,981	5.50%, with various maturities to 2018		8,430,126
	18,936	6.00%, with various maturities to 2026		20,177,193
	37,009	6.50%, with various maturities to 2030		39,780,218
	47,905	7.00%, with various maturities to 2031		51,648,537
	516	7.13%, with maturity at 2023		567,674
	29,358	7.50%, with various maturities to 2029		32,542,785
	889	7.65%, with maturity at 2022		994,545
	144	7.70%, with maturity at 2022		161,026
	17,174	8.00%, with various maturities to 2030		19,387,272
	475	8.25%, with maturity at 2020		528,275
	1,432	8.30%, with maturity at 2020		1,628,278
	12,655	8.50%, with various maturities to 2031		14,414,038
	1	8.75%, with maturity at 2010		1,001
	4,525	9.00%, with various maturities to 2031		5,195,060
	3,772	9.50%, with various maturities to 2025		4,346,934
	575	10.00%, with maturity at 2020		646,498
	526	10.50%, with maturity at 2020		593,562
	699	12.00%, with maturity at 2020		784,097
	46	13.00%, with maturity at 2015		53,042

			$	246,254,413

		Federal National Mortgage Association:
$	5,925	3.249%, with maturity at 2036⁽⁸⁾	$	6,038,068
	3,387	4.064%, with maturity at 2022⁽⁸⁾		3,459,325
	20,655	5.00%, with various maturities to 2018		21,786,779
	8,990	5.50%, with various maturities to 2028		9,429,358
	14,604	6.00%, with various maturities to 2026		15,470,510
	17,948	6.321%, with maturity at 2032⁽⁸⁾		18,554,140
	34,372	6.50%, with various maturities to 2031		36,930,891
	607	6.75%, with maturity at 2023		661,717


Principal
Amount
(000’s omitted)		Security	Value
$	44,336	7.00%, with various maturities to 2031	$	47,989,153
	14,320	7.50%, with various maturities to 2031		15,849,823
	11,331	8.00%, with various maturities to 2031		12,748,875
	67	8.25%, with maturity at 2018		74,858
	2,611	8.367%, with maturity at 2027⁽⁷⁾		2,991,653
	13,373	8.50%, with various maturities to 2030		15,258,529
	1,184	8.577%, with maturity at 2028⁽⁷⁾		1,356,383
	761	8.642%, with maturity at 2029⁽⁷⁾		877,711
	1,007	8.746%, with maturity at 2027⁽⁷⁾		1,137,441
	14,804	9.00%, with various maturities to 2027		17,077,563
	266	9.096%, with maturity at 2024⁽⁷⁾		291,398
	4,803	9.50%, with various maturities to 2030		5,550,649
	723	9.574%, with maturity at 2018⁽⁷⁾		827,669
	1,379	10.00%, with various maturities to 2020		1,576,788
	1,147	10.10%, with maturity at 2025⁽⁷⁾		1,284,365
	1,140	10.483%, with maturity at 2019⁽⁷⁾		1,287,236
	1,189	10.50%, with maturity at 2021		1,367,934
	456	11.50%, with maturity at 2016		505,992
	23	12.50%, with maturity at 2011		24,542

			$	240,409,350

		Government National Mortgage Association:
$	3,765	6.00%, with maturity at 2024	$	4,020,449
	20,947	6.50%, with maturity at 2024		22,692,895
	8,485	7.00%, with various maturities to 2026		9,350,580
	35,473	7.50%, with various maturities to 2032		39,733,744
	22,815	8.00%, with various maturities to 2034		25,875,060
	712	8.30%, with maturity at 2020		809,284
	1,506	8.50%, with various maturities to 2022		1,720,769
	7,115	9.00%, with various maturities to 2026		8,215,815
	10,079	9.50%, with various maturities to 2026		11,800,227
	617	10.00%, with maturity at 2019		707,984

			$	124,926,807


Total Mortgage Pass-Throughs (identified cost $585,313,356)			$	611,590,570

Collateralized Mortgage Obligations — 9.2%


Principal
Amount
(000’s omitted)		Security	Value
		Federal Home Loan Mortgage Corp.:
$	1,898	Series 24, Class J, 6.25%, 11/25/23	$	2,004,477
	2,264	Series 1497, Class K, 7.00%, 4/15/23		2,367,923
	3,648	Series 1529, Class Z, 7.00%, 6/15/23		3,838,436
	3,271	Series 1620, Class Z, 6.00%, 11/15/23		3,494,617
	1,048	Series 1677, Class Z, 7.50%, 7/15/23		1,160,142
	10,808	Series 1702, Class PZ, 6.50%, 3/15/24		11,696,293
	83	Series 1720, Class PJ, 7.25%, 1/15/24		83,206
	6,359	Series 2113, Class QG, 6.00%, 1/15/29		6,770,221
	798	Series 2122, Class K, 6.00%, 2/15/29		843,841
	541	Series 2130, Class K, 6.00%, 3/15/29		571,591
	539	Series 2167, Class BZ, 7.00%, 6/15/29		576,594
	4,159	Series 2182, Class ZB, 8.00%, 9/15/29		4,585,985
	4,399	Series 2198, Class ZA, 8.50%, 11/15/29		4,840,909
	13,224	Series 2245, Class A, 8.00%, 8/15/27		14,637,727

			$	57,471,962


Principal
Amount
(000’s omitted)		Security	Value
		Federal National Mortgage Association:
$	384	Series 1988-14, Class I, 9.20%, 6/25/18	$	432,844
	341	Series 1989-1, Class D, 10.30%, 1/25/19		384,521
	629	Series 1989-34, Class Y, 9.85%, 7/25/19		728,743
	493	Series 1990-17, Class G, 9.00%, 2/25/20		560,070
	251	Series 1990-27, Class Z, 9.00%, 3/25/20		286,179
	241	Series 1990-29, Class J, 9.00%, 3/25/20		275,757
	1,019	Series 1990-43, Class Z, 9.50%, 4/25/20		1,175,812
	355	Series 1991-98, Class J, 8.00%, 8/25/21		397,988
	2,782	Series 1992-77, Class ZA, 8.00%, 5/25/22		3,113,707
	185	Series 1992-103, Class Z, 7.50%, 6/25/22		204,040
	326	Series 1992-113, Class Z, 7.50%, 7/25/22		359,971
	701	Series 1992-185, Class ZB, 7.00%, 10/25/22		765,577
	1,720	Series 1993-16, Class Z, 7.50%, 2/25/23		1,903,897
	1,336	Series 1993-22, Class PM, 7.40%, 2/25/23		1,476,837
	2,077	Series 1993-25, Class J, 7.50%, 3/25/23		2,293,593
	3,920	Series 1993-30, Class PZ, 7.50%, 3/25/23		4,307,378
	4,739	Series 1993-42, Class ZQ, 6.75%, 4/25/23		5,155,256
	752	Series 1993-56, Class PZ, 7.00%, 5/25/23		819,898
	866	Series 1993-156, Class ZB, 7.00%, 9/25/23		951,064
	6,296	Series 1994-45, Class Z, 6.50%, 2/25/24		6,798,533
	3,412	Series 1994-89, Class ZQ, 8.00%, 7/25/24		3,843,000
	3,265	Series 1996-57, Class Z, 7.00%, 12/25/26		3,575,043
	1,776	Series 1997-77, Class Z, 7.00%, 11/18/27		1,947,442
	1,373	Series 1998-44, Class ZA, 6.50%, 7/20/28		1,473,218
	671	Series 1999-45, Class ZG, 6.50%, 9/25/29		717,646
	5,540	Series 2000-22, Class PN, 6.00%, 7/25/30		5,891,630
	913	Series 2001-37, Class GA, 8.00%, 7/25/16		993,812
	1,194	Series 2002-1, Class G, 7.00%, 7/25/23		1,303,113
	567	Series G92-44, Class Z, 8.00%, 7/25/22		623,757
	923	Series G92-44, Class ZQ, 8.00%, 7/25/22		1,014,953
	1,354	Series G92-46, Class Z, 7.00%, 8/25/22		1,481,156
	2,328	Series G92-60, Class Z, 7.00%, 10/25/22		2,531,270
	23,962	Series G93-35, Class ZQ, 6.50%, 11/25/23		25,827,320
	5,087	Series G93-40, Class H, 6.40%, 12/25/23		5,449,263

			$	89,064,288

		Government National Mortgage Association:
$	5,698	Series 2002-45, Class PG, 6.00%, 3/17/32	$	6,043,903
	612	Series 2005-72, Class E, 12.00%, 11/16/15		720,450

			$	6,764,353


Total Collateralized Mortgage Obligations (identified cost $147,238,141)			$	153,300,603

Commercial Mortgage-Backed Securities — 1.7%


Principal
Amount
(000’s omitted)		Security	Value
$	496	BSCMS, Series 2000-WF1, Class A2, 7.78%, 2/15/32	$	500,705
	11,446	COMM, Series 2005-LP5, Class A2, 4.63%, 5/10/43		11,509,225
	4,861	CSFB, Series 2001-CK1, Class A3, 6.38%, 12/18/35		5,009,958
	1,000	CSFB, Series 2005-C4, Class A2, 5.017%, 8/15/38		1,007,452
	685	GMACC, Series 2002-C2, Class A2, 5.389%, 10/15/38		699,823
	2,164	LBUBS, Series 2004-C2, Class A2, 3.246%, 3/15/29		2,153,034


Principal
Amount
(000’s omitted)		Security	Value
$	2,916	SBM7, Series 2000-C1, Class A2, 7.52%, 12/18/09	$	2,935,993
	5,092	SBM7, Series 2000-C3, Class A2, 6.592%, 12/18/33		5,223,095


Total Commercial Mortgage-Backed Securities (identified cost $28,793,969)			$	29,039,285

Asset-Backed Securities — 0.0%


Principal
Amount
(000’s omitted)		Security	Value
$	547	Alzette European CLO SA, Series 2004-1A, Class E2, 7.13%, 12/15/20⁽⁹⁾	$	32,808
	692	Avalon Capital Ltd. 3, Series 1A, Class D, 2.611%, 2/24/19⁽⁶⁾⁽⁹⁾		27,663
	837	Babson Ltd., Series 2005-1A, Class C1, 2.459%, 4/15/19⁽⁶⁾⁽⁹⁾		66,951
	1,000	Bryant Park CDO Ltd., Series 2005-1A, Class C, 2.559%, 1/15/19⁽⁶⁾⁽⁹⁾		30,000
	1,000	Carlyle High Yield Partners, Series 2004-6A, Class C, 3.406%, 8/11/16⁽⁶⁾⁽⁹⁾		100,000
	871	Centurion CDO 8 Ltd., Series 2005-8A, Class D, 6.129%, 3/8/17⁽⁹⁾		52,267
	500	Centurion CDO 9 Ltd., Series 2005-9A, Class D1, 5.264%, 7/17/19⁽⁹⁾		30,000
	1,500	Dryden Leveraged Loan, Series 2004-6A, Class C1, 3.041%, 7/30/16⁽⁶⁾⁽⁹⁾		45,000


Total Asset-Backed Securities (identified cost $6,936,844)			$	384,689

Common Stocks — 0.4%


Shares		Security	Value
Building and Development — 0.0%
	615	United Subcontractors, Inc.^(5)(10)	$	78,726

			$	78,726

Chemicals and Plastics — 0.0%
	243	Wellman Holdings, Inc.^(5)(10)	$	60,714

			$	60,714

Containers and Glass Products — 0.4%
	142,857	Anchor Glass Container Corp.⁽⁵⁾	$	5,727,137

			$	5,727,137

Ecological Services and Equipment — 0.0%
	2,484	Environmental Systems Products Holdings, Inc.^(5)(10)(11)	$	21,437

			$	21,437

Food Service — 0.0%
	30,225	Buffets, Inc.	$	41,559

			$	41,559

Nonferrous Metals/Minerals — 0.0%
	701	Euramax International, Inc.^(5)(10)	$	0

			$	0

Publishing — 0.0%
	2,290	Source Interlink Companies, Inc.^(5)(10)	$	32,518

			$	32,518


Total Common Stocks (identified cost $5,861,566)			$	5,962,091

Convertible Bonds — 0.2%


Principal
Amount
(000’s omitted)		Security	Value
Diversified Media — 0.1%
$	750	Virgin Media, Inc.⁽⁶⁾	$	655,313

			$	655,313

Oil and Gas — 0.1%
$	2,100	Petroplus Finance, Ltd.	$	1,877,427

			$	1,877,427


Total Convertible Bonds (identified cost $2,122,943)			$	2,532,740

Convertible Preferred Stocks — 0.1%


Shares		Security	Value
Oil, Gas & Consumable Fuels — 0.1%
	9,691	Chesapeake Energy Corp., 4.50%	$	662,574

			$	662,574

Telecommunications — 0.0%
	4,958	Crown Castle International Corp., 6.25%⁽³⁾	$	251,618

			$	251,618


Total Convertible Preferred Stocks (identified cost $1,175,950)			$	914,192

Preferred Stocks — 0.0%


Shares/Units		Security	Value
Ecological Services and Equipment — 0.0%
	1,138	Environmental Systems Products Holdings, Inc., Series A^(5)(10)(11)	$	101,179

			$	101,179

Lodging and Casinos — 0.0%
	6,078	Fontainebleau Resorts LLC^(3)(5)(11)	$	716,654

			$	716,654


Total Preferred Stocks (identified cost $6,098,405)			$	817,833

Miscellaneous — 0.0%


Shares		Security	Value
Cable and Satellite Television — 0.0%
	2,496,146	Adelphia Recovery Trust⁽¹⁰⁾	$	62,404
	2,500,000	Adelphia, Inc., Escrow Certificate		62,500

			$	124,904

Oil and Gas — 0.0%
	1,170,000	VeraSun Energy Corp., Escrow Certificate^(5)(10)	$	0

			$	0


Total Miscellaneous (identified cost $2,237,499)			$	124,904

Short-Term Investments — 1.0%


Interest
(000’s omitted)		Description	Value
$	16,271	Cash Management Portfolio, 0.00%⁽¹²⁾	$	16,270,929

			$	16,270,929


Total Short-Term Investments (identified cost $16,270,929)			$	16,270,929


Total Investments — 153.7% (identified cost $2,748,092,357)			$	2,564,215,031


Less Unfunded Loan Commitments — (0.1)%			$	(2,118,463	)


Net Investments — 153.6% (identified cost $2,745,973,894)			$	2,562,096,568


Other Assets, Less Liabilities — (37.6)%			$	(626,583,025	)


Auction Preferred Shares Plus Cumulative Unpaid Dividends — (16.0)%			$	(267,057,657	)


Net Assets Applicable to Common Shares — 100.0%			$	1,668,455,886



The percentage shown for each investment category in the Portfolio of Investments is based on net assets applicable to common shares.

BSCMS	-	Bear Stearns Commercial Mortgage Securities, Inc.

CMO	-	Collateralized Mortgage Obligations

COMM	-	Commercial Mortgage Pass-Through Certificate

CSFB	-	CS First Boston Mortgage Securities Corp.

DIP	-	Debtor in Possession

GMACC	-	GMAC Commercial Mortgage Securities, Inc.

LBUBS	-	LBUBS Commercial Mortgage Trust

MTN	-	Medium-Term Note

SBM7	-	Salomon Brothers Mortgage Securities VII, Inc.

EUR	-	Euro

GBP	-	British Pound Sterling

*		In U.S. dollars unless otherwise indicated.


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

(2)				Defaulted security. Currently the issuer is in default with respect to interest payments.

(3)				Represents a payment-in-kind security which may pay all or a portion of interest/dividends in additional par/shares.

(4)				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)				Security valued at fair value using methods determined in good faith by or at the direction of the Trustees.

(6)				Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2009, the aggregate value of these securities is $258,717,950 or 15.5% of the Fund’s net assets.

(7)				Weighted average fixed-rate coupon that changes/updates monthly.

(8)				Adjustable rate mortgage.

(9)				Variable rate security. The stated interest rate represents the rate in effect at July 31, 2009.

(10)				Non-income producing security.

(11)				Restricted security.

(12)				Affiliated investment company available to Eaton Vance portfolios and funds which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of July 31, 2009. Net income allocated from the investment in Cash Management Portfolio for the fiscal year to date ended July 31, 2009 was $1,224.

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

A summary of financial instruments outstanding at July 31, 2009 is as follows:

Forward Foreign Currency Exchange Contracts

Sales


Settlement			Net Unrealized
Date	Deliver	In Exchange For	Depreciation
8/28/09	British Pound Sterling 14,624,703	United States Dollar 23,916,800	$	(511,679	)
8/31/09	Euro 41,607,534	United States Dollar 58,334,179		(972,636	)

			$	(1,484,315	)

At July 31, 2009, the Fund had sufficient cash and/or securities to cover commitments under these contracts.

The Fund is subject to foreign exchange risk in the normal course of pursuing its investment objectives. Because the Fund 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 Fund may enter into forward foreign currency exchange contracts. The Fund may also enter into such contracts to hedge the currency risk of investments it anticipates purchasing.

At July 31, 2009, the aggregate fair value of derivative instruments (not accounted for as hedging instruments under Financial Accounting Standards Board (FASB) Statement of Financial Accounting Standards No. 133) in a liability position and whose primary underlying risk exposure is foreign exchange risk was $1,484,315.

The cost and unrealized appreciation (depreciation) of investments of the Fund at July 31, 2009, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	2,770,365,024

Gross unrealized appreciation	$	68,164,072
Gross unrealized depreciation		(276,432,528	)

Net unrealized depreciation	$	(208,268,456	)

Restricted Securities

At July 31, 2009, the Fund owned the following securities (representing less than 0.1% of net assets applicable to common shares) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Fund has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.


	Date of
Description	Acquisition		Shares/Units		Cost			Value
Common Stocks
Environmental Systems Products Holdings, Inc.		10/25/07		2,484	$	0	⁽¹⁾	$	21,437

Preferred Stocks
Environmental Systems Products Holdings, Inc., Series A		10/25/07		1,138	$	19,915		$	101,179
Fontainebleau Resorts LLC		6/1/07		6,078		6,078,490			716,654

Total Restricted Securities					$	6,098,405		$	839,270

(1) Less than $0.50

FASB Statement of Financial Accounting Standards No. 157 (FAS 157), “Fair Value Measurements”, established a three-tier hierarchy to prioritize the assumptions, referred to as inputs, used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.


	•	Level 1 — quoted prices in active markets for identical investments

	•	Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

	•	Level 3 — significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

At July 31, 2009, the inputs used in valuing the Fund’s investments, which are carried at value, were as follows:


	Quoted Prices in
	Active Markets for		Significant Other			Significant
	Identical Assets		Observable Inputs			Unobservable Inputs

Asset Description	(Level 1)		(Level 2)			(Level 3)		Total
Senior Floating-Rate Interests (Less Unfunded Loan Commitments)	$	—	$	865,161,197		$	1,134,217	$	866,295,414
Corporate Bonds & Notes		—		874,673,066			190,252		874,863,318
Mortgage Pass-Throughs		—		611,590,570			—		611,590,570
Collateralized Mortgage Obligations		—		153,300,603			—		153,300,603
Commercial Mortgage-Backed Securities		—		29,039,285			—		29,039,285
Asset-Backed Securities		—		384,689			—		384,689
Common Stocks		—		41,559			5,920,532		5,962,091
Convertible Bonds		—		2,532,740			—		2,532,740
Convertible Preferred Stocks		662,574		251,618			—		914,192
Preferred Stocks		—		—			817,833		817,833
Miscellaneous		—		124,904			0		124,904
Short-Term Investments		16,270,929		—			—		16,270,929

Total Investments	$	16,933,503	$	2,537,100,231		$	8,062,834	$	2,562,096,568


Liability Description
Forward Foreign Currency Exchange Contracts	$	—	$	(1,484,315	)	$	—	$	(1,484,315	)

Total	$	—	$	(1,484,315	)	$	—	$	(1,484,315	)

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:


	Investments in
	Senior			Investments in
	Floating-Rate			Corporate Bonds			Investments in			Investments in
	Interests			& Notes			Common Stocks			Preferred Stocks		Total
Balance as of April 30, 2009	$	1,217,696		$	191,394		$	5,828,336		$	607,545	$	7,844,971
Realized gains (losses)		(973,422	)		—			(73	)		—		(973,495	)
Change in net unrealized appreciation (depreciation)		927,988			(9,637	)		(18,974	)		24,628		924,005
Net purchases (sales)		(34,883	)		—			111,243			185,660		262,020
Accrued discount (premium)		(3,162	)		8,495			—			—		5,333
Net transfers to (from) Level 3		—			—			—			—		—

Balance as of July 31, 2009	$	1,134,217		$	190,252		$	5,920,532		$	817,833	$	8,062,834


Change in net unrealized appreciation (depreciation) on investments still held as of July 31, 2009	$	(20,987	)	$	(9,637	)	$	(18,974	)	$	24,628	$	(24,970	)

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 Limited Duration Income Fund


By:		/s/ Payson F. Swaffield

		Payson F. Swaffield
		President

Date:		September 25, 2009

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By:		/s/ Payson F. Swaffield

		Payson F. Swaffield
		President

Date:		September 25, 2009

By:		/s/ Barbara E. Campbell

		Barbara E. Campbell
		Treasurer

Date:		September 25, 2009