Edgar Filing: Eaton Vance Short Duration Diversified Income Fund

Short-Term Investments — 7.8%

Foreign Government Securities — 4.6%

Eaton Vance Short Duration Diversified Income Fund

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-21563

Investment Company Act File Number

Eaton Vance Short Duration Diversified Income Fund

(Exact Name of Registrant as Specified in Charter)

Two International Place, Boston, Massachusetts 02110

(Address of Principal Executive Offices)

Maureen A. Gemma

Two International Place, Boston, Massachusetts 02110

(Name and Address of Agent for Services)

(617) 482-8260

(Registrant’s Telephone Number, Including Area Code)

October 31

Date of Fiscal Year End

July 31, 2015

Date of Reporting Period

Item 1. Schedule of Investments

Eaton Vance

Short Duration Diversified Income Fund

July 31, 2015

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Interests — 54.2%⁽¹⁾


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Aerospace and Defense — 0.6%
BE Aerospace, Inc.
Term Loan, 4.00%, Maturing December 16, 2021		188	$	189,572
Silver II US Holdings, LLC
Term Loan, 4.00%, Maturing December 13, 2019		366		353,700
Transdigm, Inc.
Term Loan, 3.75%, Maturing February 28, 2020		805		804,655
Term Loan, 3.75%, Maturing June 4, 2021		322		321,499

			$	1,669,426

Air Transport — 0.1%
Virgin America, Inc.
Term Loan, 4.50%, Maturing April 4, 2019		450	$	412,740

			$	412,740

Automotive — 2.1%
Affinia Group Intermediate Holdings, Inc.
Term Loan, 4.75%, Maturing April 27, 2020		78	$	78,375
Allison Transmission, Inc.
Term Loan, 3.50%, Maturing August 23, 2019		613		616,025
Chrysler Group, LLC
Term Loan, 3.50%, Maturing May 24, 2017		884		884,771
Term Loan, 3.25%, Maturing December 31, 2018		370		370,637
CS Intermediate Holdco 2, LLC
Term Loan, 4.00%, Maturing April 4, 2021		569		569,962
Dayco Products, LLC
Term Loan, 5.25%, Maturing December 12, 2019		173		173,893
Federal-Mogul Holdings Corporation
Term Loan, 4.75%, Maturing April 15, 2021		668		662,124
Goodyear Tire & Rubber Company (The)
Term Loan - Second Lien, 3.75%, Maturing April 30, 2019		958		964,173
Horizon Global Corporation
Term Loan, 7.00%, Maturing May 11, 2022		100		99,250
INA Beteiligungsgesellschaft GmbH
Term Loan, 4.25%, Maturing May 15, 2020		177		178,323
MPG Holdco I, Inc.
Term Loan, 3.75%, Maturing October 20, 2021		425		425,852
TI Group Automotive Systems, LLC
Term Loan, 4.50%, Maturing June 24, 2022		225		226,195
Tower Automotive Holdings USA, LLC
Term Loan, 4.00%, Maturing April 23, 2020		604		605,015
Visteon Corporation
Term Loan, 3.50%, Maturing April 9, 2021		102		102,211

			$	5,956,806

Beverage and Tobacco — 0.1%
Flavors Holdings, Inc.
Term Loan, 6.75%, Maturing April 3, 2020		391	$	378,946

			$	378,946


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Brokerage/Securities Dealers/Investment Houses — 0.1%
Astro AB Borrower, Inc.
Term Loan, 5.50%, Maturing April 30, 2022		75	$	76,125
Salient Partners L.P.
Term Loan, 7.50%, Maturing May 19, 2021		150		147,750

			$	223,875

Building and Development — 1.0%
ABC Supply Co., Inc.
Term Loan, 3.50%, Maturing April 16, 2020		246	$	245,574
Auction.com, LLC
Term Loan, 6.00%, Maturing May 8, 2022		200		199,749
CPG International, Inc.
Term Loan, 4.75%, Maturing September 30, 2020		98		97,759
Gates Global, Inc.
Term Loan, 4.25%, Maturing July 5, 2021		1,044		1,041,423
Headwaters, Incorporated
Term Loan, 4.50%, Maturing March 24, 2022		50		50,344
Ply Gem Industries, Inc.
Term Loan, 4.00%, Maturing February 1, 2021		495		492,899
Quikrete Holdings, Inc.
Term Loan, 4.00%, Maturing September 28, 2020		165		165,720
RE/MAX International, Inc.
Term Loan, 4.25%, Maturing July 31, 2020		354		355,430
Summit Materials Companies I, LLC
Term Loan, 4.25%, Maturing July 17, 2022		125		125,625
WireCo WorldGroup, Inc.
Term Loan, 6.00%, Maturing February 15, 2017		92		92,296

			$	2,866,819

Business Equipment and Services — 4.2%
Acosta Holdco, Inc.
Term Loan, 4.25%, Maturing September 26, 2021		645	$	646,827
AlixPartners, LLP
Term Loan, 4.50%, Maturing July 15, 2022		100		100,425
Altisource Solutions S.a.r.l.
Term Loan, 4.50%, Maturing December 9, 2020		517		465,358
Brickman Group Ltd., LLC
Term Loan, 4.00%, Maturing December 18, 2020		148		147,723
Ceridian, LLC
Term Loan, 4.50%, Maturing September 15, 2020		619		616,387
ClientLogic Corporation
Term Loan, 7.54%, Maturing January 30, 2017		165		164,918
Corporate Capital Trust, Inc.
Term Loan, 4.00%, Maturing May 15, 2019		570		569,791
CPM Holdings, Inc.
Term Loan, 6.00%, Maturing April 11, 2022		50		50,422
Education Management, LLC
Term Loan, 5.50%, Maturing July 2, 2020		80		54,903
Term Loan, 8.50%, (2.00% Cash, 6.50% PIK), Maturing July 2, 2020		137		79,845
EIG Investors Corp.
Term Loan, 5.00%, Maturing November 9, 2019		464		463,547
Emdeon Business Services, LLC
Term Loan, 3.75%, Maturing November 2, 2018		267		266,907
Extreme Reach, Inc.
Term Loan, 6.75%, Maturing February 7, 2020		137		136,744


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Garda World Security Corporation
Term Loan, 4.00%, Maturing November 6, 2020		60	$	59,941
Term Loan, 4.00%, Maturing November 6, 2020		335		333,689
IG Investment Holdings, LLC
Term Loan, 6.00%, Maturing October 29, 2021		369		371,425
IMS Health Incorporated
Term Loan, 3.50%, Maturing March 17, 2021		990		989,003
Informatica Corporation
Term Loan, Maturing May 29, 2022⁽²⁾		425		425,841
Information Resources, Inc.
Term Loan, 4.75%, Maturing September 30, 2020		221		222,190
ION Trading Technologies S.a.r.l.
Term Loan, 4.50%, Maturing June 10, 2021	EUR	180		198,426
KAR Auction Services, Inc.
Term Loan, 3.50%, Maturing March 11, 2021		542		543,427
Kronos Incorporated
Term Loan, 4.50%, Maturing October 30, 2019		439		440,533
Term Loan - Second Lien, 9.75%, Maturing April 30, 2020		200		205,785
MCS AMS Sub-Holdings, LLC
Term Loan, 7.50%, Maturing October 15, 2019⁽³⁾		89		67,849
Monitronics International, Inc.
Term Loan, 4.25%, Maturing March 23, 2018		99		99,247
Term Loan, 4.50%, Maturing April 2, 2022		125		125,584
PGX Holdings, Inc.
Term Loan, 5.75%, Maturing September 29, 2020		96		97,182
Quintiles Transnational Corp.
Term Loan, 3.25%, Maturing May 12, 2022		250		251,250
RCS Capital Corporation
Term Loan, 7.50%, Maturing April 29, 2019		164		162,832
Sensus USA, Inc.
Term Loan, 4.50%, Maturing May 9, 2017		119		119,143
ServiceMaster Company
Term Loan, 4.25%, Maturing July 1, 2021		422		423,393
SunGard Data Systems, Inc.
Term Loan, 3.94%, Maturing February 28, 2017		32		32,493
Term Loan, 4.00%, Maturing March 8, 2020		1,482		1,486,033
TNS, Inc.
Term Loan, 5.00%, Maturing February 14, 2020		167		167,595
Travelport Finance (Luxembourg) S.a.r.l.
Term Loan, 5.75%, Maturing September 2, 2021		224		224,971
WASH Multifamily Laundry Systems, LLC
Term Loan, 4.25%, Maturing May 14, 2022		7		7,442
Term Loan, 4.25%, Maturing May 14, 2022		43		42,495
West Corporation
Term Loan, 3.25%, Maturing June 30, 2018		1,301		1,299,727

			$	12,161,293

Cable and Satellite Television — 1.4%
Atlantic Broadband Finance, LLC
Term Loan, 3.25%, Maturing November 30, 2019		132	$	131,982
Cequel Communications, LLC
Term Loan, 3.50%, Maturing February 14, 2019		734		733,410
Charter Communications Operating, LLC
Term Loan, Maturing January 20, 2023⁽²⁾		375		376,239
CSC Holdings, Inc.
Term Loan, 2.69%, Maturing April 17, 2020		310		308,987


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
MCC Iowa, LLC
Term Loan, 3.25%, Maturing January 29, 2021		172	$	170,892
Term Loan, 3.75%, Maturing June 30, 2021		149		148,704
Mediacom Illinois, LLC
Term Loan, 3.50%, Maturing June 30, 2021		74		74,512
Numericable Group SA
Term Loan, Maturing July 21, 2022⁽²⁾	EUR	125		137,384
Term Loan, Maturing July 27, 2022⁽²⁾		75		75,028
Numericable U.S., LLC
Term Loan, 4.50%, Maturing May 21, 2020		173		173,794
Term Loan, 4.50%, Maturing May 21, 2020		200		200,886
Virgin Media Investment Holdings Limited
Term Loan, 3.50%, Maturing June 30, 2023		539		537,563
Term Loan, 4.25%, Maturing June 30, 2023	GBP	300		468,290
Ziggo B.V.
Term Loan, 3.75%, Maturing January 15, 2022	EUR	65		71,763
Term Loan, 3.75%, Maturing January 15, 2022	EUR	101		111,396
Term Loan, 3.75%, Maturing January 15, 2022	EUR	183		201,629

			$	3,922,459

Chemicals and Plastics — 2.9%
Aruba Investments, Inc.
Term Loan, 4.50%, Maturing February 2, 2022		59	$	58,729
Axalta Coating Systems US Holdings, Inc.
Term Loan, 3.75%, Maturing February 1, 2020		515		515,302
AZ Chem US, Inc.
Term Loan, 4.50%, Maturing June 12, 2021		113		113,148
Chemours Company Co. (The)
Term Loan, 3.75%, Maturing May 22, 2022		200		192,833
Colouroz Investment 1, GmbH
Term Loan, 4.50%, Maturing September 7, 2021		25		24,724
Term Loan, 4.50%, Maturing September 7, 2021		149		149,677
ECO Services Operations, LLC
Term Loan, 4.75%, Maturing December 4, 2021		75		74,905
Emerald Performance Materials, LLC
Term Loan, 4.50%, Maturing August 1, 2021		347		348,243
Term Loan - Second Lien, 7.75%, Maturing August 1, 2022		100		99,792
Gemini HDPE, LLC
Term Loan, 4.75%, Maturing August 7, 2021		371		371,872
Huntsman International, LLC
Term Loan, 2.74%, Maturing April 19, 2017		1,485		1,485,123
Term Loan, 3.75%, Maturing August 12, 2021		373		372,969
Ineos US Finance, LLC
Term Loan, 3.75%, Maturing May 4, 2018		1,334		1,335,453
Term Loan, 4.25%, Maturing March 31, 2022		125		125,133
Kronos Worldwide, Inc.
Term Loan, 4.00%, Maturing February 18, 2020		49		49,329
MacDermid, Inc.
Term Loan, 4.50%, Maturing June 7, 2020		246		247,582
Term Loan, 4.75%, Maturing June 7, 2020		124		125,123
Minerals Technologies, Inc.
Term Loan, 3.75%, Maturing May 9, 2021		238		240,278
Orion Engineered Carbons GmbH
Term Loan, 5.00%, Maturing July 25, 2021		99		99,498
Term Loan, 5.00%, Maturing July 25, 2021	EUR	199		219,938


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
OXEA Finance, LLC
Term Loan, 4.25%, Maturing January 15, 2020		123	$	119,896
PQ Corporation
Term Loan, 4.00%, Maturing August 7, 2017		219		219,389
Royal Holdings, Inc.
Term Loan, 4.50%, Maturing June 19, 2022		125		125,807
Solenis International L.P.
Term Loan, 4.50%, Maturing July 31, 2021	EUR	174		192,124
Sonneborn Refined Products B.V.
Term Loan, 4.75%, Maturing December 10, 2020		15		15,018
Sonneborn, LLC
Term Loan, 4.75%, Maturing December 10, 2020		85		85,104
Tata Chemicals North America, Inc.
Term Loan, 3.75%, Maturing August 7, 2020		214		214,017
Trinseo Materials Operating S.C.A.
Term Loan, 4.25%, Maturing October 13, 2021		50		49,946
Tronox Pigments (Netherlands) B.V.
Term Loan, 4.25%, Maturing March 19, 2020		391		375,199
Univar, Inc.
Term Loan, 4.25%, Maturing July 1, 2022		600		601,875
Zep, Inc.
Term Loan, 5.75%, Maturing June 27, 2022		75		75,703

			$	8,323,729

Clothing/Textiles — 0.1%
Ascena Retail Group, Inc.
Term Loan, Maturing July 21, 2022⁽²⁾		300	$	295,500

			$	295,500

Conglomerates — 0.4%
RGIS Services, LLC
Term Loan, 5.50%, Maturing October 18, 2017		731	$	687,301
Spectrum Brands, Inc.
Term Loan, 3.75%, Maturing June 9, 2022		386		388,379

			$	1,075,680

Containers and Glass Products — 1.5%
Berry Plastics Holding Corporation
Term Loan, 3.50%, Maturing February 8, 2020		415	$	415,360
Term Loan, 3.75%, Maturing January 6, 2021		797		799,305
Hilex Poly Co., LLC
Term Loan, 6.00%, Maturing December 5, 2021		299		301,951
Libbey Glass, Inc.
Term Loan, 3.75%, Maturing April 9, 2021		50		49,376
Pelican Products, Inc.
Term Loan, 5.25%, Maturing April 10, 2020		433		434,925
Reynolds Group Holdings, Inc.
Term Loan, 4.50%, Maturing December 1, 2018		1,492		1,501,802
TricorBraun, Inc.
Term Loan, 4.00%, Maturing May 3, 2018		390		389,470
Verallia
Term Loan, Maturing July 24, 2022⁽²⁾	EUR	300		329,990

			$	4,222,179

Cosmetics/Toiletries — 0.3%
Prestige Brands, Inc.
Term Loan, 3.51%, Maturing September 3, 2021		113	$	112,826


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Revlon Consumer Products Corporation
Term Loan, 4.00%, Maturing October 8, 2019		218	$	218,129
Sun Products Corporation (The)
Term Loan, 5.50%, Maturing March 23, 2020		413		401,445

			$	732,400

Drugs — 1.4%
Alkermes, Inc.
Term Loan, 3.50%, Maturing September 18, 2019		73	$	73,242
AMAG Pharmaceuticals, Inc.
Term Loan, 7.25%, Maturing November 12, 2020		119		120,531
DPx Holdings B.V.
Term Loan, 4.25%, Maturing March 11, 2021		396		395,187
Endo Luxembourg Finance Company I S.a.r.l.
Term Loan, 3.25%, Maturing March 1, 2021		49		49,483
Mallinckrodt International Finance S.A.
Term Loan, 3.25%, Maturing March 19, 2021		272		271,563
Term Loan, 3.50%, Maturing March 19, 2021		223		223,700
Par Pharmaceutical Companies, Inc.
Term Loan, 4.00%, Maturing September 30, 2019		1,037		1,037,363
Valeant Pharmaceuticals International, Inc.
Term Loan, 3.50%, Maturing December 11, 2019		341		342,001
Term Loan, 3.50%, Maturing August 5, 2020		717		718,176
Term Loan, 4.00%, Maturing April 1, 2022		698		702,336

			$	3,933,582

Ecological Services and Equipment — 0.2%
ADS Waste Holdings, Inc.
Term Loan, 3.75%, Maturing October 9, 2019		383	$	382,279
EnergySolutions, LLC
Term Loan, 6.75%, Maturing May 29, 2020		141		141,499

			$	523,778

Electronics/Electrical — 4.9%
Answers Corporation
Term Loan, 6.25%, Maturing October 3, 2021		224	$	191,973
Applied Systems, Inc.
Term Loan, 4.25%, Maturing January 25, 2021		144		144,114
Avago Technologies Cayman Ltd.
Term Loan, 3.75%, Maturing May 6, 2021		1,141		1,144,023
Campaign Monitor Finance Pty Limited
Term Loan, 6.25%, Maturing March 18, 2021		123		122,820
Carros Finance Luxembourg S.a.r.l.
Term Loan, 4.50%, Maturing September 30, 2021		496		498,111
CommScope, Inc.
Term Loan, 3.25%, Maturing January 14, 2018		138		138,158
Term Loan, 3.75%, Maturing December 29, 2022		175		175,802
CompuCom Systems, Inc.
Term Loan, 4.25%, Maturing May 11, 2020		141		131,773
Dell International, LLC
Term Loan, 4.00%, Maturing April 29, 2020		1,097		1,098,241
Dell, Inc.
Term Loan, 3.75%, Maturing October 29, 2018		111		111,249
Entegris, Inc.
Term Loan, 3.50%, Maturing April 30, 2021		54		54,483
Excelitas Technologies Corp.
Term Loan, 6.00%, Maturing October 31, 2020		146		146,450


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
FIDJI Luxembourg (BC4) S.a.r.l.
Term Loan, 6.25%, Maturing December 24, 2020		141	$	140,625
Freescale Semiconductor, Inc.
Term Loan, 4.25%, Maturing February 28, 2020		365		366,576
Go Daddy Operating Company, LLC
Term Loan, 4.25%, Maturing May 13, 2021		1,151		1,157,516
GXS Group, Inc.
Term Loan, 3.25%, Maturing January 16, 2021		172		173,021
Infor (US), Inc.
Term Loan, 3.75%, Maturing June 3, 2020		917		912,377
Lattice Semiconductor Corporation
Term Loan, 5.25%, Maturing March 10, 2021		100		99,750
M/A-COM Technology Solutions Holdings, Inc.
Term Loan, 4.50%, Maturing May 7, 2021		99		99,248
MA FinanceCo., LLC
Term Loan, 4.50%, Maturing November 20, 2019		219		219,695
Term Loan, 5.25%, Maturing November 19, 2021		198		199,063
Magic Newco, LLC
Term Loan, 5.00%, Maturing December 12, 2018		267		268,530
MH Sub I, LLC
Term Loan, 4.75%, Maturing July 8, 2021		223		224,119
Microsemi Corporation
Term Loan, 3.25%, Maturing February 19, 2020		212		212,045
NXP B.V.
Term Loan, 3.25%, Maturing January 11, 2020		344		343,832
Orbotech, Inc.
Term Loan, 5.00%, Maturing August 6, 2020		68		67,411
Renaissance Learning, Inc.
Term Loan, 4.50%, Maturing April 9, 2021		123		122,897
Rocket Software, Inc.
Term Loan, 5.75%, Maturing February 8, 2018		287		287,954
RP Crown Parent, LLC
Term Loan, 6.00%, Maturing December 21, 2018		889		859,163
Sensata Technologies B.V.
Term Loan, 3.00%, Maturing October 14, 2021		197		197,774
SGS Cayman L.P.
Term Loan, 6.00%, Maturing April 23, 2021		37		37,786
Sirius Computer Solutions, Inc.
Term Loan, 6.25%, Maturing December 7, 2018		75		75,666
SkillSoft Corporation
Term Loan, 5.75%, Maturing April 28, 2021		396		386,265
Smart Technologies ULC
Term Loan, 10.50%, Maturing January 31, 2018		109		108,594
Sophia L.P.
Term Loan, 4.00%, Maturing July 19, 2018		220		221,039
SS&C Technologies, Inc.
Term Loan, 4.00%, Maturing July 8, 2022		64		64,494
Term Loan, 4.00%, Maturing July 8, 2022		388		391,262
SunEdison Semiconductor B.V.
Term Loan, 6.50%, Maturing May 27, 2019		149		149,243
SurveyMonkey.com, LLC
Term Loan, 5.50%, Maturing February 5, 2019		96		95,639
Sutherland Global Services, Inc.
Term Loan, 6.00%, Maturing April 23, 2021		161		162,327
Sybil Software, LLC
Term Loan, 4.25%, Maturing March 20, 2020		814		817,919


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Vantiv, LLC
Term Loan, 3.75%, Maturing June 13, 2021		127	$	127,786
VeriFone, Inc.
Term Loan, 3.50%, Maturing July 8, 2021		495		490,359
Wall Street Systems Delaware, Inc.
Term Loan, 4.50%, Maturing April 30, 2021		565		565,769
Zebra Technologies Corporation
Term Loan, 4.75%, Maturing October 27, 2021		400		405,191

			$	14,008,132

Equipment Leasing — 0.3%
Delos Finance S.a.r.l.
Term Loan, 3.50%, Maturing March 6, 2021		425	$	426,176
Flying Fortress, Inc.
Term Loan, 3.50%, Maturing April 30, 2020		500		502,657

			$	928,833

Financial Intermediaries — 2.5%
American Capital Ltd.
Term Loan, 3.50%, Maturing August 22, 2017		130	$	129,978
Armor Holding II, LLC
Term Loan, 5.75%, Maturing June 26, 2020		419		418,842
Citco Funding, LLC
Term Loan, 4.25%, Maturing June 29, 2018		674		675,961
Clipper Acquisitions Corp.
Term Loan, 3.00%, Maturing February 6, 2020		98		96,842
First Data Corporation
Term Loan, 3.69%, Maturing March 24, 2018		650		649,238
Term Loan, 3.69%, Maturing September 24, 2018		375		374,570
Term Loan, 3.94%, Maturing June 23, 2022		150		150,094
Grosvenor Capital Management Holdings, LLP
Term Loan, 3.75%, Maturing January 4, 2021		1,193		1,190,454
Guggenheim Partners, LLC
Term Loan, 4.25%, Maturing July 22, 2020		246		247,792
Hamilton Lane Advisors, LLC
Term Loan, 4.25%, Maturing July 9, 2022		100		100,375
Harbourvest Partners, LLC
Term Loan, 3.25%, Maturing February 4, 2021		128		127,360
LPL Holdings, Inc.
Term Loan, 3.25%, Maturing March 29, 2019		1,574		1,574,010
Medley, LLC
Term Loan, 6.50%, Maturing June 15, 2019		86		86,364
NXT Capital, Inc.
Term Loan, 6.25%, Maturing September 4, 2018		125		125,306
Ocwen Financial Corporation
Term Loan, 5.00%, Maturing February 15, 2018		545		543,870
Sesac Holdco II, LLC
Term Loan, 5.25%, Maturing February 8, 2019		289		289,414
Starwood Property Trust, Inc.
Term Loan, 3.50%, Maturing April 17, 2020		123		122,546
Walker & Dunlop, Inc.
Term Loan, 5.25%, Maturing December 11, 2020		121		121,607
Walter Investment Management Corp.
Term Loan, 4.75%, Maturing December 19, 2020		206		198,015

			$	7,222,638


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Food Products — 1.9%
AdvancePierre Foods, Inc.
Term Loan, 5.75%, Maturing July 10, 2017		640	$	642,248
Blue Buffalo Company Ltd.
Term Loan, 3.75%, Maturing August 8, 2019		243		243,781
Charger OpCo B.V.
Term Loan, 4.25%, Maturing July 23, 2021	EUR	125		138,172
Term Loan, 4.25%, Maturing July 23, 2021		375		375,000
Clearwater Seafoods Limited Partnership
Term Loan, 4.75%, Maturing June 26, 2019		167		167,136
Del Monte Foods, Inc.
Term Loan, 4.26%, Maturing February 18, 2021		123		119,739
Dole Food Company, Inc.
Term Loan, 4.50%, Maturing November 1, 2018		94		94,498
High Liner Foods, Incorporated
Term Loan, 4.25%, Maturing April 24, 2021		148		148,310
JBS USA, LLC
Term Loan, 3.75%, Maturing May 25, 2018		866		866,355
Term Loan, 3.75%, Maturing September 18, 2020		295		295,023
NBTY, Inc.
Term Loan, 3.50%, Maturing October 1, 2017		888		885,702
Onex Wizard Acquisition Company I S.a.r.l.
Term Loan, 4.25%, Maturing March 13, 2022	EUR	399		440,461
Onex Wizard US Acquisition, Inc.
Term Loan, 4.25%, Maturing March 13, 2022		224		225,326
Pinnacle Foods Finance, LLC
Term Loan, 3.00%, Maturing April 29, 2020		123		122,774
Term Loan, 3.00%, Maturing April 29, 2020		605		604,840
Post Holdings, Inc.
Term Loan, 3.75%, Maturing June 2, 2021		199		198,947

			$	5,568,312

Food Service — 1.0%
1011778 B.C. Unlimited Liability Company
Term Loan, 3.75%, Maturing December 12, 2021		924	$	927,284
Aramark Services, Inc.
Term Loan, 3.68%, Maturing July 26, 2016		43		42,541
Term Loan, 3.69%, Maturing July 26, 2016		77		76,630
CEC Entertainment, Inc.
Term Loan, 4.00%, Maturing February 14, 2021		123		120,969
Landry’s, Inc.
Term Loan, 4.00%, Maturing April 24, 2018		426		428,340
US Foods, Inc.
Term Loan, 4.50%, Maturing March 31, 2019		613		615,243
Weight Watchers International, Inc.
Term Loan, 4.00%, Maturing April 2, 2020		1,173		615,239

			$	2,826,246

Food/Drug Retailers — 1.4%
Albertsons, LLC
Term Loan, 5.38%, Maturing March 21, 2019		223	$	223,823
Term Loan, 5.00%, Maturing August 25, 2019		420		421,524
Term Loan, 5.50%, Maturing August 25, 2021		175		175,505
General Nutrition Centers, Inc.
Term Loan, 3.25%, Maturing March 4, 2019		850		843,069
New Albertsons, Inc.
Term Loan, 4.75%, Maturing June 27, 2021		1,166		1,170,415


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Rite Aid Corporation
Term Loan - Second Lien, 5.75%, Maturing August 21, 2020		100	$	101,187
Supervalu, Inc.
Term Loan, 4.50%, Maturing March 21, 2019		982		986,755

			$	3,922,278

Health Care — 5.5%
Acadia Healthcare Company, Inc.
Term Loan, 4.25%, Maturing February 11, 2022		50	$	50,216
ADMI Corp.
Term Loan, 5.50%, Maturing April 30, 2022		75		75,656
Akorn, Inc.
Term Loan, 4.50%, Maturing April 16, 2021		199		199,410
Alere, Inc.
Term Loan, Maturing June 18, 2022⁽²⁾		325		326,669
Alliance Healthcare Services, Inc.
Term Loan, 4.25%, Maturing June 3, 2019		218		217,854
Amneal Pharmaceuticals, LLC
Term Loan, 4.50%, Maturing November 1, 2019		544		546,204
Amsurg Corp.
Term Loan, 3.75%, Maturing July 16, 2021		99		99,356
Ardent Legacy Acquisitions, Inc.
Term Loan, Maturing July 21, 2021⁽²⁾		100		100,625
Ardent Medical Services, Inc.
Term Loan, 7.50%, Maturing July 2, 2018		272		272,603
Auris Luxembourg III S.a.r.l.
Term Loan, 4.25%, Maturing January 15, 2022		150		150,186
Capella Healthcare, Inc.
Term Loan, 5.25%, Maturing December 31, 2021		149		149,996
CareCore National, LLC
Term Loan, 5.50%, Maturing March 5, 2021		99		98,750
CHG Healthcare Services, Inc.
Term Loan, 4.25%, Maturing November 19, 2019		171		171,649
Community Health Systems, Inc.
Term Loan, 3.53%, Maturing December 31, 2018		369		370,432
Term Loan, 3.75%, Maturing December 31, 2019		503		504,600
Term Loan, 4.00%, Maturing January 27, 2021		925		930,314
Concordia Healthcare Corp.
Term Loan, 4.75%, Maturing April 21, 2022		50		50,354
Convatec, Inc.
Term Loan, 4.25%, Maturing June 15, 2020		90		89,620
CPI Buyer, LLC
Term Loan, 5.50%, Maturing August 18, 2021		199		198,500
DaVita HealthCare Partners, Inc.
Term Loan, 3.50%, Maturing June 24, 2021		545		546,429
DJO Finance, LLC
Term Loan, 4.25%, Maturing June 8, 2020		400		401,550
Envision Healthcare Corporation
Term Loan, 4.00%, Maturing May 25, 2018		397		397,951
Grifols Worldwide Operations USA, Inc.
Term Loan, 3.19%, Maturing February 27, 2021		815		818,252
Horizon Pharma Holdings USA, Inc.
Term Loan, 4.50%, Maturing April 22, 2021		50		50,266
Iasis Healthcare, LLC
Term Loan, 4.50%, Maturing May 3, 2018		311		312,497
Indivior Finance S.a.r.l.
Term Loan, 7.00%, Maturing December 19, 2019		195		192,441


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
inVentiv Health, Inc.
Term Loan, 7.75%, Maturing May 15, 2018		533	$	533,700
Kindred Healthcare, Inc.
Term Loan, 4.25%, Maturing April 9, 2021		746		750,905
Kinetic Concepts, Inc.
Term Loan, 4.50%, Maturing May 4, 2018		919		924,382
LHP Hospital Group, Inc.
Term Loan, 9.00%, Maturing July 3, 2018		255		249,584
MedAssets, Inc.
Term Loan, 4.00%, Maturing December 13, 2019		72		71,977
Millennium Health, LLC
Term Loan, 5.25%, Maturing April 16, 2021⁽³⁾		866		359,494
MMM Holdings, Inc.
Term Loan, 9.75%, Maturing December 12, 2017		107		84,039
MSO of Puerto Rico, Inc.
Term Loan, 9.75%, Maturing December 12, 2017		78		61,096
National Mentor Holdings, Inc.
Term Loan, 4.25%, Maturing January 31, 2021		99		99,059
Onex Carestream Finance L.P.
Term Loan, 5.00%, Maturing June 7, 2019		445		446,439
Opal Acquisition, Inc.
Term Loan, 5.00%, Maturing November 27, 2020		296		291,723
Ortho-Clinical Diagnostics, Inc.
Term Loan, 4.75%, Maturing June 30, 2021		545		541,812
Pharmaceutical Product Development, LLC
Term Loan, 4.00%, Maturing December 5, 2018		1,331		1,333,355
Physio-Control International, Inc.
Term Loan, 5.50%, Maturing June 6, 2022		75		75,609
PRA Holdings, Inc.
Term Loan, 4.50%, Maturing September 23, 2020		486		488,518
Radnet Management, Inc.
Term Loan, 4.27%, Maturing October 10, 2018		351		351,391
RegionalCare Hospital Partners, Inc.
Term Loan, 5.25%, Maturing April 19, 2019		421		421,525
Sage Products Holdings III, LLC
Term Loan, 4.25%, Maturing December 13, 2019		140		140,520
Select Medical Corporation
Term Loan, 3.75%, Maturing June 1, 2018		217		217,607
Sterigenics-Nordion Holdings, LLC
Term Loan, 4.25%, Maturing May 15, 2022		125		125,938
Steward Health Care System, LLC
Term Loan, 6.75%, Maturing April 12, 2020		396		394,227
Tecomet, Inc.
Term Loan, 5.75%, Maturing December 5, 2021		224		221,776
Truven Health Analytics, Inc.
Term Loan, 4.50%, Maturing June 6, 2019		316		315,597

			$	15,822,653

Home Furnishings — 0.5%
Serta Simmons Holdings, LLC
Term Loan, 4.25%, Maturing October 1, 2019		1,255	$	1,258,814
Tempur-Pedic International, Inc.
Term Loan, 3.50%, Maturing March 18, 2020		233		233,719

			$	1,492,533


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Industrial Equipment — 1.6%
Apex Tool Group, LLC
Term Loan, 4.50%, Maturing January 31, 2020		542	$	532,774
Delachaux S.A.
Term Loan, 4.50%, Maturing October 28, 2021		76		76,561
Doosan Infracore International, Inc.
Term Loan, 4.50%, Maturing May 28, 2021		183		183,871
Gardner Denver, Inc.
Term Loan, 4.25%, Maturing July 30, 2020		344		332,592
Generac Power Systems, Inc.
Term Loan, 3.25%, Maturing May 31, 2020		258		257,191
Husky Injection Molding Systems Ltd.
Term Loan, 4.25%, Maturing June 30, 2021		467		467,255
Term Loan - Second Lien, 7.25%, Maturing June 30, 2022		80		79,678
Milacron, LLC
Term Loan, 4.50%, Maturing September 28, 2020		215		215,662
NN, Inc.
Term Loan, 6.00%, Maturing August 27, 2021		253		254,271
Paladin Brands Holding, Inc.
Term Loan, 6.75%, Maturing August 16, 2019		91		90,845
Rexnord, LLC
Term Loan, 4.00%, Maturing August 21, 2020		835		836,691
Signode Industrial Group US, Inc.
Term Loan, 3.75%, Maturing May 1, 2021		193		192,201
STS Operating, Inc.
Term Loan, 4.75%, Maturing February 12, 2021		346		346,584
Tank Holding Corp.
Term Loan, 5.25%, Maturing March 16, 2022		150		150,925
Terex Corporation
Term Loan, 3.50%, Maturing August 13, 2021	EUR	298		325,369
VAT Lux III S.a.r.l.
Term Loan, 4.25%, Maturing February 11, 2021		66		66,095
Wittur GmbH
Term Loan, 6.00%, Maturing February 10, 2022	EUR	175		189,311

			$	4,597,876

Insurance — 1.9%
Alliant Holdings I, Inc.
Term Loan, 5.00%, Maturing December 20, 2019		386	$	386,474
AmWINS Group, LLC
Term Loan, 5.25%, Maturing September 6, 2019		903		913,485
Asurion, LLC
Term Loan, 5.00%, Maturing May 24, 2019		1,617		1,624,150
Term Loan, Maturing July 22, 2022⁽²⁾		1,000		1,000,208
Term Loan - Second Lien, 8.50%, Maturing March 3, 2021		375		377,813
CGSC of Delaware Holding Corporation
Term Loan, 5.00%, Maturing April 16, 2020		49		45,080
Cunningham Lindsey U.S., Inc.
Term Loan, 5.00%, Maturing December 10, 2019		167		162,714
Hub International Limited
Term Loan, 4.00%, Maturing October 2, 2020		516		514,269
USI, Inc.
Term Loan, 4.25%, Maturing December 27, 2019		464		464,479

			$	5,488,672


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Leisure Goods/Activities/Movies — 2.5%
Activision Blizzard, Inc.
Term Loan, 3.25%, Maturing October 12, 2020		467	$	469,596
AMC Entertainment, Inc.
Term Loan, 3.50%, Maturing April 30, 2020		440		441,193
Aufinco Pty Limited
Term Loan, 4.00%, Maturing May 29, 2020		74		73,592
Bombardier Recreational Products, Inc.
Term Loan, 3.75%, Maturing January 30, 2019		641		643,318
CDS U.S. Intermediate Holdings, Inc.
Term Loan, 6.25%, Maturing July 8, 2022		75		75,619
ClubCorp Club Operations, Inc.
Term Loan, 4.25%, Maturing June 24, 2020		548		551,613
Emerald Expositions Holding, Inc.
Term Loan, 4.75%, Maturing June 17, 2020		176		176,053
Equinox Holdings, Inc.
Term Loan, 5.00%, Maturing January 31, 2020		343		346,830
Fender Musical Instruments Corporation
Term Loan, 5.75%, Maturing April 3, 2019		65		65,597
Kasima, LLC
Term Loan, 3.25%, Maturing May 17, 2021		136		136,340
Live Nation Entertainment, Inc.
Term Loan, 3.50%, Maturing August 16, 2020		499		500,101
LTF Merger Sub, Inc.
Term Loan, 4.25%, Maturing June 10, 2022		250		249,948
Nord Anglia Education Finance, LLC
Term Loan, 5.00%, Maturing March 31, 2021		446		447,951
Regal Cinemas Corporation
Term Loan, 3.75%, Maturing April 1, 2022		1,173		1,180,390
Sabre, Inc.
Term Loan, 4.00%, Maturing February 19, 2019		219		220,449
SeaWorld Parks & Entertainment, Inc.
Term Loan, 3.00%, Maturing May 14, 2020		536		522,026
SRAM, LLC
Term Loan, 4.02%, Maturing April 10, 2020		320		319,452
Town Sports International, Inc.
Term Loan, 4.50%, Maturing November 15, 2020		212		162,447
WMG Acquisition Corp.
Term Loan, 3.75%, Maturing July 1, 2020		172		170,513
Zuffa, LLC
Term Loan, 3.75%, Maturing February 25, 2020		561		556,601

			$	7,309,629

Lodging and Casinos — 2.4%
Affinity Gaming, LLC
Term Loan, 5.25%, Maturing November 9, 2017		457	$	459,004
Amaya Holdings B.V.
Term Loan, 5.00%, Maturing August 1, 2021		521		521,307
Term Loan - Second Lien, 8.00%, Maturing August 1, 2022		150		151,844
Boyd Gaming Corporation
Term Loan, 4.00%, Maturing August 14, 2020		89		89,262
Caesars Entertainment Operating Company
Term Loan, 0.00%, Maturing March 1, 2017⁽⁴⁾		366		324,004
CityCenter Holdings, LLC
Term Loan, 4.25%, Maturing October 16, 2020		636		638,890


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Four Seasons Holdings, Inc.
Term Loan, 3.50%, Maturing June 27, 2020		98	$	97,978
Term Loan - Second Lien, 6.25%, Maturing December 27, 2020		500		502,500
Hilton Worldwide Finance, LLC
Term Loan, 3.50%, Maturing October 26, 2020		1,916		1,922,293
La Quinta Intermediate Holdings, LLC
Term Loan, 4.00%, Maturing April 14, 2021		167		167,376
Las Vegas Sands, LLC
Term Loan, 3.25%, Maturing December 19, 2020		345		344,606
MGM Resorts International
Term Loan, 3.50%, Maturing December 20, 2019		488		486,637
Pinnacle Entertainment, Inc.
Term Loan, 3.75%, Maturing August 13, 2020		111		111,225
Playa Resorts Holding B.V.
Term Loan, 4.00%, Maturing August 9, 2019		98		98,373
RHP Hotel Properties L.P.
Term Loan, 3.50%, Maturing January 15, 2021		124		124,311
Scientific Games International, Inc.
Term Loan, 6.00%, Maturing October 18, 2020		640		643,673
Term Loan, 6.00%, Maturing October 1, 2021		174		175,083

			$	6,858,366

Nonferrous Metals/Minerals — 0.7%
Alpha Natural Resources, LLC
Term Loan, 3.50%, Maturing May 22, 2020		147	$	101,575
Arch Coal, Inc.
Term Loan, 6.25%, Maturing May 16, 2018		558		320,860
Dynacast International, LLC
Term Loan, 4.50%, Maturing January 28, 2022		125		125,311
Fairmount Minerals Ltd.
Term Loan, 4.50%, Maturing September 5, 2019		368		336,199
Murray Energy Corporation
Term Loan, 7.00%, Maturing April 7, 2017		50		48,563
Term Loan, 7.50%, Maturing April 16, 2020		350		291,594
Noranda Aluminum Acquisition Corporation
Term Loan, 5.75%, Maturing February 28, 2019		169		118,942
Novelis, Inc.
Term Loan, 4.00%, Maturing June 2, 2022		500		500,400
Oxbow Carbon, LLC
Term Loan, 4.25%, Maturing July 19, 2019		90		89,803
Term Loan - Second Lien, 8.00%, Maturing January 17, 2020		150		141,750

			$	2,074,997

Oil and Gas — 2.1%
Ameriforge Group, Inc.
Term Loan, 5.00%, Maturing December 19, 2019		221	$	181,432
Bronco Midstream Funding, LLC
Term Loan, 5.00%, Maturing August 15, 2020		289		283,668
CITGO Holding, Inc.
Term Loan, 9.50%, Maturing May 12, 2018		306		306,905
CITGO Petroleum Corporation
Term Loan, 4.50%, Maturing July 29, 2021		199		199,079
Crestwood Holdings, LLC
Term Loan, 7.00%, Maturing June 19, 2019		171		168,322
Drillships Ocean Ventures, Inc.
Term Loan, 5.50%, Maturing July 25, 2021		198		163,391


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Energy Transfer Equity L.P.
Term Loan, 3.25%, Maturing December 2, 2019		325	$	323,731
Term Loan, 4.00%, Maturing December 2, 2019		570		570,285
Fieldwood Energy, LLC
Term Loan, 3.88%, Maturing September 28, 2018		197		181,264
Floatel International Ltd.
Term Loan, 6.00%, Maturing June 27, 2020		173		131,856
MEG Energy Corp.
Term Loan, 3.75%, Maturing March 31, 2020		1,435		1,392,576
Obsidian Natural Gas Trust
Term Loan, 7.00%, Maturing November 2, 2015		99		99,607
Paragon Offshore Finance Company
Term Loan, 3.75%, Maturing July 18, 2021⁽³⁾		149		97,885
Samson Investment Company
Term Loan - Second Lien, 5.00%, Maturing September 25, 2018		175		50,641
Seadrill Partners Finco, LLC
Term Loan, 4.00%, Maturing February 21, 2021		839		630,905
Seventy Seven Operating, LLC
Term Loan, 3.75%, Maturing June 25, 2021		99		88,172
Sheridan Investment Partners II L.P.
Term Loan, 4.25%, Maturing December 16, 2020		28		23,537
Term Loan, 4.25%, Maturing December 16, 2020		75		63,112
Term Loan, 4.25%, Maturing December 16, 2020		537		453,696
Sheridan Production Partners I, LLC
Term Loan, 4.25%, Maturing October 1, 2019		31		26,821
Term Loan, 4.25%, Maturing October 1, 2019		50		43,911
Term Loan, 4.25%, Maturing October 1, 2019		379		331,385
Targa Resources Corp.
Term Loan, 5.75%, Maturing February 25, 2022		47		47,049
Tervita Corporation
Term Loan, 6.25%, Maturing May 15, 2018		131		118,291

			$	5,977,521

Publishing — 0.8%
Ascend Learning, LLC
Term Loan, 5.50%, Maturing July 31, 2019		222	$	223,426
Getty Images, Inc.
Term Loan, 4.75%, Maturing October 18, 2019		926		658,216
Houghton Mifflin Harcourt Publishing Company
Term Loan, 4.00%, Maturing May 31, 2021		75		74,953
Interactive Data Corporation
Term Loan, 4.75%, Maturing May 2, 2021		272		273,645
Laureate Education, Inc.
Term Loan, 5.00%, Maturing June 15, 2018		517		484,595
McGraw-Hill Global Education Holdings, LLC
Term Loan, 4.75%, Maturing March 22, 2019		125		126,192
Merrill Communications, LLC
Term Loan, 6.25%, Maturing June 1, 2022		125		125,313
Multi Packaging Solutions, Inc.
Term Loan, 4.25%, Maturing September 30, 2020		74		73,970
ProQuest, LLC
Term Loan, 5.25%, Maturing October 24, 2021		124		125,203
Springer Science+Business Media Deutschland GmbH
Term Loan, 4.75%, Maturing August 14, 2020		246		247,626

			$	2,413,139


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Radio and Television — 1.2%
AP NMT Acquisition B.V.
Term Loan, 6.75%, Maturing August 13, 2021		99	$	98,707
Block Communications, Inc.
Term Loan, 4.00%, Maturing November 7, 2021		50		49,935
Clear Channel Communications, Inc.
Term Loan, 7.69%, Maturing July 30, 2019		450		419,850
Cumulus Media Holdings, Inc.
Term Loan, 4.25%, Maturing December 23, 2020		729		673,995
Hubbard Radio, LLC
Term Loan, 4.25%, Maturing May 15, 2020		123		124,073
Media General, Inc.
Term Loan, 4.00%, Maturing July 31, 2020		259		260,628
Mission Broadcasting, Inc.
Term Loan, 3.75%, Maturing October 1, 2020		126		126,776
Nexstar Broadcasting, Inc.
Term Loan, 3.75%, Maturing October 1, 2020		143		143,765
TWCC Holding Corp.
Term Loan, 5.75%, Maturing February 13, 2020		233		230,731
Term Loan - Second Lien, 7.00%, Maturing June 26, 2020		125		117,396
Univision Communications, Inc.
Term Loan, 4.00%, Maturing March 1, 2020		1,138		1,138,388

			$	3,384,244

Retailers (Except Food and Drug) — 2.9%
99 Cents Only Stores
Term Loan, 4.50%, Maturing January 11, 2019		337	$	322,412
Bass Pro Group, LLC
Term Loan, 4.00%, Maturing June 5, 2020		442		443,663
Burlington Coat Factory Warehouse Corporation
Term Loan, 4.25%, Maturing August 13, 2021		93		93,407
CDW, LLC
Term Loan, 3.25%, Maturing April 29, 2020		367		365,878
David’s Bridal, Inc.
Term Loan, 5.00%, Maturing October 11, 2019		119		115,437
Dollar Tree, Inc.
Term Loan, 3.50%, Maturing July 6, 2022		559		561,708
Evergreen Acqco 1 L.P.
Term Loan, 5.00%, Maturing July 9, 2019		121		114,059
Harbor Freight Tools USA, Inc.
Term Loan, 4.75%, Maturing July 26, 2019		189		190,516
J. Crew Group, Inc.
Term Loan, 4.00%, Maturing March 5, 2021		518		431,877
Jo-Ann Stores, Inc.
Term Loan, 4.00%, Maturing March 16, 2018		317		313,865
Men’s Wearhouse, Inc. (The)
Term Loan, 4.50%, Maturing June 18, 2021		157		158,526
Michaels Stores, Inc.
Term Loan, 3.75%, Maturing January 28, 2020		1,476		1,480,472
Term Loan, 4.00%, Maturing January 28, 2020		173		174,164
Neiman Marcus Group, Inc. (The)
Term Loan, 4.25%, Maturing October 25, 2020		761		759,721
Party City Holdings, Inc.
Term Loan, 4.00%, Maturing July 27, 2019		268		268,627
Petco Animal Supplies, Inc.
Term Loan, 4.00%, Maturing November 24, 2017		726		728,012


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
PetSmart, Inc.
Term Loan, 4.25%, Maturing March 11, 2022		923	$	927,354
Pier 1 Imports (U.S.), Inc.
Term Loan, 4.50%, Maturing April 30, 2021		99		98,629
Pilot Travel Centers, LLC
Term Loan, 4.25%, Maturing October 1, 2021		396		401,339
Spin Holdco, Inc.
Term Loan, 4.25%, Maturing November 14, 2019		295		295,465

			$	8,245,131

Steel — 0.6%
FMG Resources (August 2006) Pty Ltd.
Term Loan, 3.75%, Maturing June 30, 2019		1,690	$	1,388,924
JMC Steel Group, Inc.
Term Loan, 4.75%, Maturing April 1, 2017		144		142,735
Neenah Foundry Company
Term Loan, 6.75%, Maturing April 26, 2017		81		81,039
Patriot Coal Corporation
Term Loan, 0.00%, Maturing December 15, 2018⁽³⁾⁽⁴⁾		74		31,166

			$	1,643,864

Surface Transport — 0.2%
Hertz Corporation (The)
Term Loan, 3.75%, Maturing March 11, 2018		341	$	342,156
Kenan Advantage Group, Inc.
Term Loan, Maturing July 31, 2022⁽²⁾		10		9,622
Term Loan, Maturing July 31, 2022⁽²⁾		22		21,977
Term Loan, Maturing July 31, 2022⁽²⁾		69		68,901
Stena International S.a.r.l.
Term Loan, 4.00%, Maturing March 3, 2021		272		256,627

			$	699,283

Telecommunications — 1.3%
CWC Cayman Finance Limited
Term Loan, 5.50%, Maturing April 28, 2017		75	$	75,047
Intelsat Jackson Holdings S.A.
Term Loan, 3.75%, Maturing June 30, 2019		1,650		1,635,820
IPC Corp.
Term Loan, 5.50%, Maturing August 6, 2021		349		349,416
Mitel US Holdings, Inc.
Term Loan, 5.00%, Maturing March 31, 2022		150		151,375
SBA Senior Finance II, LLC
Term Loan, 3.25%, Maturing March 24, 2021		347		344,746
Syniverse Holdings, Inc.
Term Loan, 4.00%, Maturing April 23, 2019		242		231,170
Term Loan, 4.00%, Maturing April 23, 2019		336		320,402
Telesat Canada
Term Loan, 3.50%, Maturing March 28, 2019		655		655,409
Windstream Corporation
Term Loan, 3.50%, Maturing August 8, 2019		122		119,495

			$	3,882,880

Utilities — 1.6%
Calpine Construction Finance Company L.P.
Term Loan, 3.00%, Maturing May 3, 2020		196	$	194,571
Term Loan, 3.25%, Maturing January 31, 2022		74		72,952


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Calpine Corporation
Term Loan, 4.00%, Maturing October 9, 2019		170	$	170,906
Term Loan, 3.50%, Maturing May 27, 2022		600		598,834
Dynegy Holdings, Inc.
Term Loan, 4.00%, Maturing April 23, 2020		1,173		1,177,606
EFS Cogen Holdings I, LLC
Term Loan, 3.75%, Maturing December 17, 2020		78		78,261
Energy Future Intermediate Holding Co., LLC
DIP Loan, 4.25%, Maturing June 19, 2016		300		301,562
Granite Acquisition, Inc.
Term Loan, 5.00%, Maturing December 19, 2021		21		21,200
Term Loan, 5.00%, Maturing December 19, 2021		477		479,412
La Frontera Generation, LLC
Term Loan, 4.50%, Maturing September 30, 2020		582		576,029
Lonestar Generation, LLC
Term Loan, 5.25%, Maturing February 20, 2021		99		97,758
Longview Power, LLC
Term Loan, 7.00%, Maturing April 13, 2021		50		50,625
TPF II Power, LLC
Term Loan, 5.50%, Maturing October 2, 2021		272		274,334
WTG Holdings III Corp.
Term Loan, 4.75%, Maturing January 15, 2021		569		569,916

			$	4,663,966


Total Senior Floating-Rate Interests (identified cost $158,893,484)			$	155,730,405


Collateralized Mortgage Obligations — 24.3%

Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
Series 2113, Class QG, 6.00%, 1/15/29	$	1,175	$	1,335,657
Series 2167, Class BZ, 7.00%, 6/15/29		907		1,045,259
Series 2182, Class ZB, 8.00%, 9/15/29		1,523		1,826,981
Series 2631, (Interest Only), Class DS, 6.913%, 6/15/33⁽⁵⁾⁽⁶⁾		2,373		428,119
Series 2770, (Interest Only), Class SH, 6.913%, 3/15/34⁽⁵⁾⁽⁶⁾		2,783		581,476
Series 2981, (Interest Only), Class CS, 6.533%, 5/15/35⁽⁵⁾⁽⁶⁾		1,593		306,771
Series 3114, (Interest Only), Class TS, 6.463%, 9/15/30⁽⁵⁾⁽⁶⁾		4,019		674,653
Series 3339, (Interest Only), Class JI, 6.403%, 7/15/37⁽⁵⁾⁽⁶⁾		3,225		558,503
Series 4109, (Interest Only), Class ES, 5.963%, 12/15/41⁽⁵⁾⁽⁶⁾		1,986		88,454
Series 4163, (Interest Only), Class GS, 6.013%, 11/15/32⁽⁵⁾⁽⁶⁾		6,249		1,399,830
Series 4169, (Interest Only), Class AS, 6.063%, 2/15/33⁽⁵⁾⁽⁶⁾		3,952		800,383
Series 4180, (Interest Only), Class GI, 3.50%, 8/15/26⁽⁶⁾		4,041		431,084
Series 4203, (Interest Only), Class QS, 6.063%, 5/15/43⁽⁵⁾⁽⁶⁾		4,160		875,493
Series 4273, Class PU, 4.00%, 11/15/43		1,591		1,617,776
Series 4316, (Interest Only), Class JS, 5.913%, 1/15/44⁽⁵⁾⁽⁶⁾		3,590		679,711
Series 4326, Class TS, 13.163%, 4/15/44⁽⁵⁾		1,414		1,562,293
Series 4332, (Interest Only), Class KI, 4.00%, 9/15/43⁽⁶⁾		2,988		456,814
Series 4336, Class GU, 3.50%, 2/15/53		3,947		4,005,400
Series 4370, (Interest Only), Class IO, 3.50%, 9/15/41⁽⁶⁾		3,180		522,741
Series 4443, Class ZJ, 3.00%, 9/15/44		104		104,944
Series 4450, Class DS, 5.719%, 9/15/44⁽⁵⁾		1,594		1,623,056
Series 4478, (Principal Only), Class PO, 0.00%, 5/15/45⁽⁷⁾		3,006		2,789,030

			$	23,714,428


Security	Principal Amount (000’s omitted)		Value
Federal National Mortgage Association:
Series 1989-89, Class H, 9.00%, 11/25/19	$	41	$	45,255
Series 1991-122, Class N, 7.50%, 9/25/21		187		206,125
Series 1993-84, Class M, 7.50%, 6/25/23		1,387		1,583,588
Series 1994-42, Class K, 6.50%, 4/25/24		440		486,471
Series 1997-28, Class ZA, 7.50%, 4/20/27		511		606,810
Series 1997-38, Class N, 8.00%, 5/20/27		475		556,679
Series 2004-46, (Interest Only), Class SI, 5.81%, 5/25/34⁽⁵⁾⁽⁶⁾		2,853		389,113
Series 2005-17, (Interest Only), Class SA, 6.51%, 3/25/35⁽⁵⁾⁽⁶⁾		2,058		397,211
Series 2006-8, (Principal Only), Class WQ, 0.00%, 3/25/36⁽⁷⁾		1,776		1,545,163
Series 2006-42, (Interest Only), Class PI, 6.40%, 6/25/36⁽⁵⁾⁽⁶⁾		3,659		661,431
Series 2006-44, (Interest Only), Class IS, 6.41%, 6/25/36⁽⁵⁾⁽⁶⁾		2,961		567,559
Series 2006-72, (Interest Only), Class GI, 6.39%, 8/25/36⁽⁵⁾⁽⁶⁾		5,383		931,855
Series 2007-50, (Interest Only), Class LS, 6.26%, 6/25/37⁽⁵⁾⁽⁶⁾		2,292		382,893
Series 2007-74, Class AC, 5.00%, 8/25/37		2,848		3,135,553
Series 2008-26, (Interest Only), Class SA, 6.01%, 4/25/38⁽⁵⁾⁽⁶⁾		3,740		658,846
Series 2008-29, (Interest Only), Class CI, 5.00%, 9/25/35⁽⁶⁾		2,014		114,217
Series 2008-61, (Interest Only), Class S, 5.91%, 7/25/38⁽⁵⁾⁽⁶⁾		4,815		843,749
Series 2010-99, (Interest Only), Class NS, 6.41%, 3/25/39⁽⁵⁾⁽⁶⁾		4,285		531,349
Series 2010-109, (Interest Only), Class PS, 6.41%, 10/25/40⁽⁵⁾⁽⁶⁾		6,019		1,086,064
Series 2010-119, (Interest Only), Class SK, 5.81%, 4/25/40⁽⁵⁾⁽⁶⁾		2,003		131,746
Series 2010-124, (Interest Only), Class SJ, 5.86%, 11/25/38⁽⁵⁾⁽⁶⁾		3,691		497,101
Series 2010-147, (Interest Only), Class KS, 5.76%, 1/25/41⁽⁵⁾⁽⁶⁾		7,296		1,012,229
Series 2010-150, (Interest Only), Class GS, 6.56%, 1/25/21⁽⁵⁾⁽⁶⁾		4,698		504,849
Series 2010-151, (Interest Only), Class PI, 4.00%, 5/25/28⁽⁶⁾		7,570		291,677
Series 2011-22, (Interest Only), Class IC, 3.50%, 12/25/25⁽⁶⁾		6,753		662,936
Series 2011-49, Class NT, 6.00%, 6/25/41⁽⁵⁾		1,068		1,212,035
Series 2012-22, Class PS, 6.739%, 3/25/42⁽⁵⁾		603		605,008
Series 2012-52, (Interest Only), Class AI, 3.50%, 8/25/26⁽⁶⁾		8,122		689,643
Series 2012-56, (Interest Only), Class SU, 6.56%, 8/25/26⁽⁵⁾⁽⁶⁾		2,779		290,646
Series 2012-63, (Interest Only), Class EI, 3.50%, 8/25/40⁽⁶⁾		6,866		808,965
Series 2012-103, (Interest Only), Class GS, 5.91%, 2/25/40⁽⁵⁾⁽⁶⁾		8,239		1,332,037
Series 2012-150, (Interest Only), Class PS, 5.96%, 1/25/43⁽⁵⁾⁽⁶⁾		7,887		1,598,269
Series 2012-150, (Interest Only), Class SK, 5.96%, 1/25/43⁽⁵⁾⁽⁶⁾		4,389		851,239
Series 2013-6, Class TA, 1.50%, 1/25/43		3,247		3,090,637
Series 2013-23, (Interest Only), Class CS, 6.06%, 3/25/33⁽⁵⁾⁽⁶⁾		3,925		850,441
Series 2013-54, (Interest Only), Class HS, 6.11%, 10/25/41⁽⁵⁾⁽⁶⁾		3,828		648,236
Series 2014-32, (Interest Only), Class EI, 4.00%, 6/25/44⁽⁶⁾		2,316		414,745
Series 2014-36, (Interest Only), Class ID, 4.00%, 6/25/44⁽⁶⁾		1,958		345,080
Series 2014-55, (Interest Only), Class IN, 3.50%, 7/25/44⁽⁶⁾		5,394		1,101,168
Series 2014-72, Class CS, 8.889%, 11/25/44⁽⁵⁾		1,209		1,226,212
Series 2014-89, (Interest Only), Class IO, 3.50%, 1/25/45⁽⁶⁾		3,919		714,268
Series 2015-14, (Interest Only), Class KI, 3.00%, 3/25/45⁽⁶⁾		8,575		1,425,663
Series 2015-17, (Interest Only), Class SA, 6.01%, 11/25/43⁽⁵⁾⁽⁶⁾		8,836		1,433,479
Series 2015-42, Class SC, 7.952%, 5/25/45⁽⁵⁾		1,437		1,437,145
Series 2015-52, (Interest Only), Class MI, 3.50%, 7/25/45⁽⁶⁾		4,952		864,982
Series G-33, Class PT, 7.00%, 10/25/21		287		304,880

			$	39,075,247

Government National Mortgage Association:
Series 2011-156, Class GA, 2.00%, 12/16/41	$	1,302	$	1,167,172
Series 2013-124, Class LS, 11.899%, 5/20/41⁽⁵⁾		84		85,367
Series 2014-117, Class HS, 31.296%, 8/20/44⁽⁵⁾		347		392,065
Series 2014-146, Class S, 5.868%, 10/20/44⁽⁵⁾		817		827,924


Security	Principal Amount (000’s omitted)		Value
Series 2015-72, Class ZN, 3.50%, 5/20/45	$	2,719	$	2,697,062
Series 2015-79, Class CS, 5.549%, 5/20/45⁽⁵⁾		1,981		1,989,238

			$	7,158,828


Total Collateralized Mortgage Obligations (identified cost $69,410,191)			$	69,948,503


Commercial Mortgage-Backed Securities — 7.5%

Security	Principal Amount (000’s omitted)		Value
COMM, Series 2014-KYO, Class D, 2.187%, 6/11/27⁽⁸⁾⁽⁹⁾	$	1,000	$	993,769
COMM, Series 2014-LC17, Class D, 3.687%, 10/10/47⁽⁸⁾		1,065		913,539
ESA, Series 2013-ESH7, Class D7, 4.036%, 12/5/31^(8)(10)		1,080		1,097,842
HILT, Series 2013-HLT, Class DFX, 4.407%, 11/5/30⁽⁸⁾		850		859,814
JPMBB, Series 2014-C19, Class D, 4.677%, 4/15/47^(8)(10)		1,425		1,318,239
JPMBB, Series 2014-C21, Class D, 4.661%, 8/15/47^(8)(10)		650		602,469
JPMBB, Series 2014-C22, Class D, 4.561%, 9/15/47^(8)(10)		1,850		1,688,452
JPMBB, Series 2014-C23, Class D, 3.96%, 9/15/47^(8)(10)		850		747,063
JPMCC, Series 2006-CB14, Class A4, 5.481%, 12/12/44⁽¹⁰⁾		246		248,105
JPMCC, Series 2011-C5, Class D, 5.323%, 8/15/46^(8)(10)		1,850		1,969,746
JPMCC, Series 2014-DSTY, Class B, 3.771%, 6/10/27⁽⁸⁾		1,900		1,968,195
UBSC, Series 2011-C1, Class D, 5.888%, 1/10/45^(8)(10)		2,000		2,235,085
UBSCM, Series 2012-C1, Class D, 5.542%, 5/10/45^(8)(10)		2,000		2,117,321
WF-RBS, Series 2012-C9, Class D, 4.803%, 11/15/45^(8)(10)		1,250		1,261,411
WF-RBS, Series 2014-LC14, Class D, 4.586%, 3/15/47^(8)(10)		1,150		1,076,723
WFCM, Series 2010-C1, Class C, 5.582%, 11/15/43^(8)(10)		500		555,368
WFCM, Series 2013-LC12, Class D, 4.30%, 7/15/46^(8)(10)		2,000		1,911,367


Total Commercial Mortgage-Backed Securities (identified cost $20,906,763)			$	21,564,508


Mortgage Pass-Throughs — 23.0%

Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
2.423%, with maturity at 2035⁽¹¹⁾	$	2,685	$	2,865,778
2.878%, with maturity at 2035⁽¹¹⁾		2,786		2,965,056
5.00%, with maturity at 2019		1,608		1,688,059
6.00%, with various maturities to 2029		2,153		2,450,037
6.15%, with maturity at 2027		853		977,194
6.50%, with various maturities to 2032		4,537		5,167,396
7.00%, with various maturities to 2036		3,902		4,550,276
7.50%, with maturity at 2024		1,271		1,454,822
8.00%, with various maturities to 2032		1,962		2,361,178
8.50%, with various maturities to 2031		2,096		2,485,958
9.00%, with maturity at 2031		202		243,963
9.50%, with various maturities to 2022		69		75,756
11.50%, with maturity at 2019		3		3,232

			$	27,288,705


Security	Principal Amount (000’s omitted)		Value
Federal National Mortgage Association:
5.00%, with various maturities to 2040	$	3,898	$	4,325,202
5.339%, with maturity at 2037⁽¹¹⁾		892		926,595
5.50%, with various maturities to 2033		2,499		2,816,088
6.00%, with maturity at 2023		1,598		1,774,699
6.32%, with maturity at 2032⁽¹¹⁾		1,172		1,304,298
6.50%, with various maturities to 2036		5,874		6,731,185
7.00%, with various maturities to 2037		5,977		6,950,297
7.50%, with maturity at 2035		4,084		4,784,539
8.00%, with various maturities to 2034		1,077		1,255,788
8.50%, with various maturities to 2027		156		178,922
9.00%, with various maturities to 2029		447		518,318
10.00%, with various maturities to 2031		317		356,133

			$	31,922,064

Government National Mortgage Association:
7.50%, with maturity at 2025	$	1,919	$	2,193,233
8.00%, with maturity at 2034		2,514		2,948,466
9.00%, with various maturities to 2026		1,217		1,459,007
9.50%, with maturity at 2025		129		147,017
11.00%, with maturity at 2018		39		41,610

			$	6,789,333


Total Mortgage Pass-Throughs (identified cost $63,100,480)			$	66,000,102


Asset-Backed Securities — 4.9%

Security	Principal Amount (000’s omitted)		Value
AH4R, Series 2014-SFR1, Class C, 2.00%, 6/17/31⁽⁸⁾⁽⁹⁾	$	200	$	199,652
AH4R, Series 2014-SFR1, Class D, 2.35%, 6/17/31⁽⁸⁾⁽⁹⁾		825		810,939
ARP, Series 2014-SFR1, Class C, 2.536%, 9/17/31⁽⁸⁾⁽⁹⁾		2,000		2,012,449
CAH, Series 2014-1A, Class C, 2.10%, 5/17/31⁽⁸⁾⁽⁹⁾		760		758,495
Centurion CDO IX Ltd., Series 2005-9A, Class D1, 5.039%, 7/17/19⁽⁸⁾⁽⁹⁾		500		487,453
DNKN, Series 2015-1A, Class A2II, 3.98%, 2/20/45⁽⁸⁾		1,247		1,250,626
FKL, Series 2015-SFR1, Class A, 2.553%, 3/9/47⁽⁸⁾		514		511,650
Invitation Homes Trust, Series 2013-SFR1, Class D, 2.40%, 12/17/30⁽⁸⁾⁽⁹⁾		550		544,045
Invitation Homes Trust, Series 2014-SFR1, Class D, 2.786%, 6/17/31⁽⁸⁾⁽⁹⁾		500		499,561
OMFIT, Series 2014-1A, Class A, 2.43%, 6/18/24⁽⁸⁾		700		702,534
OMFIT, Series 2014-1A, Class B, 3.24%, 6/18/24⁽⁸⁾		800		806,195
OMFIT, Series 2015-1A, Class B, 3.85%, 3/18/26⁽⁸⁾		800		819,856
SBY, Series 2014-1, Class C, 2.236%, 9/17/31⁽⁸⁾⁽⁹⁾		2,000		2,004,357
SCFT, Series 2014-AA, Class B, 4.61%, 10/25/27⁽⁸⁾		1,980		2,008,988
SRFC, Series 2014-1A, Class B, 2.42%, 3/20/30⁽⁸⁾		286		286,302
SRFC, Series 2015-1A, Class B, 3.05%, 3/22/32⁽⁸⁾		414		413,815


Total Asset-Backed Securities (identified cost $14,057,758)			$	14,116,917



U.S. Government Agency Obligations — 0.5%

Security	Principal Amount (000’s omitted)		Value
Federal Farm Credit Bank:
3.25%, 7/1/30	$	1,500	$	1,500,558


Total U.S. Government Agency Obligations (identified cost $1,468,769)			$	1,500,558


Corporate Bonds & Notes — 0.8%

Security	Principal Amount (000’s omitted)		Value
Financial Intermediaries — 0.1%
First Data Corp.
6.75%, 11/1/20⁽⁸⁾	$	163	$	172,780

			$	172,780

Food Products — 0.3%
Iceland Bondco PLC
4.834%, 7/15/20⁽⁸⁾⁽⁹⁾	GBP	750	$	995,552

			$	995,552

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

			$	436,688

Lodging and Casinos — 0.1%
Caesars Entertainment Operating Co., Inc.
8.50%, 2/15/20⁽⁴⁾	$	350	$	292,250

			$	292,250

Utilities — 0.2%
Calpine Corp.
7.875%, 1/15/23⁽⁸⁾	$	471	$	507,797

			$	507,797


Total Corporate Bonds & Notes (identified cost $2,693,389)			$	2,405,067


Foreign Corporate Bonds — 0.2%
Security	Principal Amount (000’s omitted)		Value
Supranational — 0.2%
International Bank for Reconstruction & Development
3.40%, 4/15/17⁽¹²⁾	UYU	18,245	$	630,633

			$	630,633


Total Foreign Corporate Bonds (identified cost $801,781)			$	630,633



Foreign Government Bonds — 11.1%

Security	Principal Amount (000’s omitted)		Value
Bangladesh — 2.1%
Bangladesh Treasury Bond, 8.80%, 6/4/16	BDT	46,100	$	603,590
Bangladesh Treasury Bond, 10.10%, 6/11/19	BDT	23,600		321,475
Bangladesh Treasury Bond, 11.30%, 3/7/17	BDT	50,000		680,230
Bangladesh Treasury Bond, 11.40%, 5/9/17	BDT	60,000		819,286
Bangladesh Treasury Bond, 11.50%, 8/8/17	BDT	107,500		1,477,271
Bangladesh Treasury Bond, 11.50%, 11/7/17	BDT	15,700		216,790
Bangladesh Treasury Bond, 11.52%, 12/5/17	BDT	20,000		276,842
Bangladesh Treasury Bond, 11.55%, 9/5/17	BDT	30,000		412,981
Bangladesh Treasury Bond, 11.55%, 10/3/17	BDT	29,900		412,478
Bangladesh Treasury Bond, 11.70%, 4/3/18	BDT	27,400		383,423
Bangladesh Treasury Bond, 11.72%, 2/6/18	BDT	8,400		117,275
Bangladesh Treasury Bond, 11.72%, 7/2/18	BDT	19,400		272,948


Total Bangladesh			$	5,994,589

Costa Rica — 0.2%
Costa Rica Titulos de Propiedad Bond, 10.58%, 6/22/16	CRC	255,000	$	501,251


Total Costa Rica			$	501,251

Dominican Republic — 2.0%
Dominican Republic Central Bank Note, 12.00%, 4/5/19⁽⁸⁾	DOP	11,940	$	280,017
Dominican Republic International Bond, 11.50%, 5/10/24⁽⁸⁾	DOP	15,000		355,042
Dominican Republic International Bond, 14.00%, 4/30/21⁽⁸⁾	DOP	6,700		171,021
Dominican Republic International Bond, 14.50%, 2/10/23⁽⁸⁾	DOP	1,800		47,804
Dominican Republic International Bond, 14.50%, 2/10/23⁽¹³⁾	DOP	21,000		557,717
Dominican Republic International Bond, 15.95%, 6/4/21⁽⁸⁾	DOP	9,000		251,142
Dominican Republic International Bond, 16.00%, 2/10/17⁽¹³⁾	DOP	108,800		2,644,203
Dominican Republic International Bond, 18.50%, 2/4/28⁽⁸⁾	DOP	800		25,538
Dominican Republic International Bond, 18.50%, 2/4/28⁽¹³⁾	DOP	42,400		1,353,508


Total Dominican Republic			$	5,685,992

Iceland — 1.9%
Republic of Iceland, 6.25%, 2/5/20	ISK	231,085	$	1,251,921
Republic of Iceland, 7.25%, 10/26/22	ISK	427,092		2,430,782
Republic of Iceland, 8.75%, 2/26/19	ISK	329,709		1,923,370


Total Iceland			$	5,606,073

Philippines — 1.4%
Republic of the Philippines, 4.95%, 1/15/21	PHP	63,000	$	1,447,643
Republic of the Philippines, 6.25%, 1/14/36	PHP	85,000		2,120,307
Republic of the Philippines, 9.125%, 9/4/16	PHP	14,990		352,489


Total Philippines			$	3,920,439

Serbia — 0.9%
Serbia Treasury Bond, 10.00%, 2/21/16	RSD	82,900	$	777,180
Serbia Treasury Bond, 10.00%, 10/17/16	RSD	21,800		208,032
Serbia Treasury Bond, 10.00%, 4/1/17	RSD	46,800		448,522
Serbia Treasury Bond, 10.00%, 5/8/17	RSD	18,760		179,857
Serbia Treasury Bond, 10.00%, 1/24/18	RSD	22,180		214,709
Serbia Treasury Bond, 10.00%, 2/5/22	RSD	20,360		192,174
Serbia Treasury Bond, 11.50%, 10/26/15	RSD	61,800		573,661


Total Serbia			$	2,594,135


Security	Principal Amount (000’s omitted)		Value
Sri Lanka — 0.3%
Sri Lanka Government Bond, 8.50%, 11/1/15	LKR	124,130	$	932,764


Total Sri Lanka			$	932,764

Uruguay — 1.3%
Monetary Regulation Bill, 0.00%, 8/20/15	UYU	23,410	$	818,753
Monetary Regulation Bill, 0.00%, 1/14/16	UYU	1,000		33,164
Uruguay Notas Del Tesoro, 2.75%, 6/16/16⁽¹²⁾	UYU	58,188		2,009,207
Uruguay Notas Del Tesoro, 9.50%, 1/27/16	UYU	8,160		286,999
Uruguay Notas Del Tesoro, 11.00%, 3/21/17	UYU	18,380		626,052


Total Uruguay			$	3,774,175

Vietnam — 1.0%
Vietnam Government Bond, 5.60%, 4/15/16	VND	40,000,000	$	1,842,717
Vietnam Government Bond, 7.60%, 10/31/16	VND	14,000,000		661,182
Vietnam Government Bond, 8.60%, 2/15/16	VND	5,159,800		241,196


Total Vietnam			$	2,745,095


Total Foreign Government Bonds (identified cost $34,528,323)			$	31,754,513


U.S. Treasury Obligations — 3.5%

Security	Principal Amount (000’s omitted)		Value
U.S. Treasury Note, 1.75%, 5/15/22⁽¹⁴⁾	$	10,000	$	9,898,440


Total U.S. Treasury Obligations (identified cost $9,886,925)			$	9,898,440


Common Stocks — 0.5%

Security	Shares		Value
Affinity Gaming, LLC^(3)(15)(16)		23,498	$	311,350
Buffets Restaurants Holdings, Inc.^(3)(15)(16)		11,744		0
Dayco Products, LLC^(3)(16)		8,898		364,818
Education Management Corp.^(3)(15)(16)		955,755		25,805
ION Media Networks, Inc.^(3)(16)		1,357		488,506
MediaNews Group, Inc.^(3)(15)(16)		3,023		94,469


Total Common Stocks (identified cost $446,876)			$	1,284,948


Convertible Preferred Stocks — 0.0%⁽¹⁷⁾

Security	Shares		Value
Education Management Corp., Series A-1, 7.50%^(15)(16)		1,063	$	29,233


Total Convertible Preferred Stocks (identified cost $75,023)			$	29,233

Currency Call Options Purchased — 0.0%⁽¹⁷⁾

Description

Counterparty

Principal

Amount of

Contracts

(000’s omitted)

Strike

Price

Expiration

Date

Value

Indian Rupee

Citibank, N.A.

INR

100,664

INR

67.79

7/4/16

49,127

Total Currency Call Options Purchased
(identified cost $50,579)

49,127


Security	Principal Amount (000’s omitted)		Value
Iceland — 0.2%
Iceland Treasury Bill, 0.00%, 9/15/15	ISK	58,940	$	320,540
Iceland Treasury Bill, 0.00%, 10/15/15	ISK	19,720		106,330


Total Iceland			$	426,870

Lebanon — 2.3%
Lebanon Treasury Bill, 0.00%, 10/1/15	LBP	977,300	$	644,077
Lebanon Treasury Bill, 0.00%, 11/26/15	LBP	179,400		117,404
Lebanon Treasury Bill, 0.00%, 12/10/15	LBP	8,902,040		5,814,499


Total Lebanon			$	6,575,980

Sri Lanka — 2.1%
Sri Lanka Treasury Bill, 0.00%, 11/13/15	LKR	47,690	$	350,160
Sri Lanka Treasury Bill, 0.00%, 12/18/15	LKR	88,150		643,429
Sri Lanka Treasury Bill, 0.00%, 1/1/16	LKR	9,860		71,796
Sri Lanka Treasury Bill, 0.00%, 2/19/16	LKR	50,440		364,150
Sri Lanka Treasury Bill, 0.00%, 2/26/16	LKR	53,530		386,032
Sri Lanka Treasury Bill, 0.00%, 3/4/16	LKR	93,730		675,160
Sri Lanka Treasury Bill, 0.00%, 3/11/16	LKR	56,580		407,083
Sri Lanka Treasury Bill, 0.00%, 3/25/16	LKR	135,720		974,198
Sri Lanka Treasury Bill, 0.00%, 4/15/16	LKR	313,360		2,241,283


Total Sri Lanka			$	6,113,291


Total Foreign Government Securities (identified cost $13,146,446)			$	13,116,141


U.S. Treasury Obligations — 1.0%

Security	Principal Amount (000’s omitted)		Value
U.S. Treasury Bill, 0.00%, 10/15/15⁽¹⁴⁾	$	3,000	$	2,999,787


Total U.S. Treasury Obligations (identified cost $2,999,938)			$	2,999,787


Other — 2.2%

Description	Interest (000’s omitted)		Value
Eaton Vance Cash Reserves Fund, LLC, 0.20%⁽¹⁸⁾	$	6,186	$	6,185,834


Total Other (identified cost $6,185,834)			$	6,185,834


Total Short-Term Investments (identified cost $22,332,218)			$	22,301,762


Total Investments — 138.3% (identified cost $398,652,559)			$	397,214,716


Other Assets, Less Liabilities — (38.3)%			$	(109,984,118	)


Net Assets — 100.0%			$	287,230,598

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



AH4R	-	American Homes 4 Rent

ARP	-	American Residential Properties Trust

CAH	-	Colony American Homes

COMM	-	Commercial Mortgage Trust

DIP	-	Debtor In Possession

DNKN	-	DB Master Finance LLC

ESA	-	Extended Stay America Trust

FKL	-	FirstKey Lending Trust

HILT	-	Hilton USA Trust

JPMBB	-	JPMBB Commercial Mortgage Securities Trust

JPMCC	-	JPMorgan Chase Commercial Mortgage Securities Trust

OMFIT	-	OneMain Financial Issuance Trust

PIK	-	Payment In Kind

SBY	-	Silver Bay Realty Trust

SCFT	-	SpringCastle Funding Trust

SRFC	-	Sierra Receivables Funding Co., LLC

UBSC	-	UBS-Citigroup Commercial Mortgage Trust

UBSCM	-	UBS Commercial Mortgage Trust

WF-RBS	-	WF-RBS Commercial Mortgage Trust

WFCM	-	Wells Fargo Commercial Mortgage Trust

BDT	-	Bangladesh Taka

CRC	-	Costa Rican Colon

DOP	-	Dominican Peso

EUR	-	Euro

GBP	-	British Pound Sterling

INR	-	Indian Rupee


ISK	-	Icelandic Krona

LBP	-	Lebanese Pound

LKR	-	Sri Lankan Rupee

PHP	-	Philippine Peso

RSD	-	Serbian Dinar

UYU	-	Uruguayan Peso

VND	-	Vietnamese Dong

*	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 typically 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)	This Senior Loan will settle after July 31, 2015, at which time the interest rate will be determined.

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

(4)	Currently the issuer is in default with respect to interest and/or principal payments or has filed for bankruptcy. For a variable rate security, interest rate has been adjusted to reflect non-accrual status.

(5)	Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at July 31, 2015.

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

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

(8)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At July 31, 2015, the aggregate value of these securities is $38,240,013 or 13.3% of the Fund’s net assets.

(9)	Variable rate security. The stated interest rate represents the rate in effect at July 31, 2015.

(10)	Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at July 31, 2015.

(11)	Adjustable rate mortgage security. Rate shown is the rate at July 31, 2015.

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

(13)

Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At July 31, 2015, the aggregate value of these securities is $4,555,428 or 1.6% of the Fund’s net assets.

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

(15)	Non-income producing.

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

(17)	Amount is less than 0.05%.

(18)

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, 2015. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended July 31, 2015 was $9,525.

A summary of open financial instruments at July 31, 2015 is as follows:

Forward Foreign Currency Exchange Contracts


Settlement Date	Deliver	In Exchange For	Counterparty	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
8/4/15	Brazilian Real 3,796,000	United States Dollar 1,118,444	Morgan Stanley & Co. International PLC	$	9,782	$	—		$	9,782
8/4/15	Brazilian Real 3,796,000	United States Dollar 1,114,831	Standard Chartered Bank		6,170		—			6,170
8/4/15	Euro 5,999,987	Polish Zloty 24,896,948	BNP Paribas		10,799		—			10,799
8/4/15	Euro 193,427	Polish Zloty 800,000	Standard Chartered Bank		—		(348	)		(348	)
8/4/15	Polish Zloty 25,696,948	Euro 6,198,757	JPMorgan Chase Bank, N.A.		—		(4,583	)		(4,583	)
8/4/15	United States Dollar 1,170,593	Brazilian Real 3,796,000	Morgan Stanley & Co. International PLC		—		(61,932	)		(61,932	)
8/4/15	United States Dollar 1,118,444	Brazilian Real 3,796,000	Standard Chartered Bank		—		(9,783	)		(9,783	)
8/4/15	United States Dollar 300,631	Philippine Peso 13,440,000	Australia and New Zealand Banking Group Limited		—		(6,772	)		(6,772	)
8/4/15	United States Dollar 299,512	Philippine Peso 13,390,000	Nomura International PLC		—		(6,747	)		(6,747	)
8/18/15	Euro 3,951,534	Swedish Krona 36,766,000	BNP Paribas		—		(77,673	)		(77,673	)
8/18/15	Swedish Krona 24,407,000	Euro 2,603,218	BNP Paribas		29,599		—			29,599
8/18/15	United States Dollar 1,002,027	Chilean Peso 605,124,000	BNP Paribas		—		(105,708	)		(105,708	)
8/19/15	United States Dollar 2,294,606	Mexican Peso 34,707,060	Morgan Stanley & Co. International PLC		—		(142,911	)		(142,911	)
8/19/15	United States Dollar 2,277,095	Mexican Peso 34,457,000	Standard Chartered Bank		—		(140,902	)		(140,902	)
8/24/15	United States Dollar 2,997,273	Yuan Renminbi Offshore 18,682,000	BNP Paribas		648		—			648
8/26/15	Euro 287,450	Serbian Dinar 36,670,000	Citibank, N.A.		18,730		—			18,730
8/26/15	Euro 4,302,835	United States Dollar 4,789,722	Bank of America, N.A.		62,857		—			62,857
8/26/15	United States Dollar 284,393	Euro 255,426	BNP Paribas		—		(3,796	)		(3,796	)
8/31/15	Euro 2,263,829	United States Dollar 2,467,483	Goldman Sachs International		—		(19,595	)		(19,595	)
8/31/15	Euro 298,500	United States Dollar 331,518	State Street Bank and Trust Company		3,581		—			3,581
8/31/15	Euro 124,688	United States Dollar 137,893	State Street Bank and Trust Company		910		—			910
9/4/15	Euro 2,679,196	British Pound Sterling 1,941,000	Standard Chartered Bank		86,931		—			86,931
9/8/15	United States Dollar 1,212,624	Philippine Peso 54,773,000	BNP Paribas		—		(16,543	)		(16,543	)
9/9/15	Euro 146,446	United States Dollar 163,671	Goldman Sachs International		2,763		—			2,763


Settlement Date	Deliver	In Exchange For	Counterparty	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
9/9/15	Euro 5,399,910	United States Dollar 6,025,328	Standard Chartered Bank	$	92,170	$	—		$	92,170
9/9/15	Euro 254,690	United States Dollar 286,379	Standard Chartered Bank		6,538		—			6,538
9/9/15	United States Dollar 481,873	Indian Rupee 31,281,000	Bank of America, N.A.		4,171		—			4,171
9/9/15	United States Dollar 3,039,844	Indian Rupee 196,798,000	BNP Paribas		18,001		—			18,001
9/9/15	United States Dollar 544,569	Indian Rupee 35,351,000	BNP Paribas		4,714		—			4,714
9/14/15	Euro 967,000	United States Dollar 1,087,062	Citibank, N.A.		24,491		—			24,491
9/14/15	United States Dollar 314,003	New Turkish Lira 875,000	BNP Paribas		—		(1,992	)		(1,992	)
9/14/15	United States Dollar 2,051,646	New Turkish Lira 5,743,000	BNP Paribas		—		(3,787	)		(3,787	)
9/14/15	United States Dollar 1,963,136	New Turkish Lira 5,458,500	BNP Paribas		—		(16,725	)		(16,725	)
9/14/15	United States Dollar 690,037	Singapore Dollar 935,000	Barclays Bank PLC		—		(9,323	)		(9,323	)
9/14/15	United States Dollar 2,207,141	Singapore Dollar 3,020,000	Standard Chartered Bank		—		(8,470	)		(8,470	)
9/14/15	United States Dollar 3,781,005	Yuan Renminbi Offshore 23,612,000	Bank of America, N.A.		1,640		—			1,640
9/17/15	United States Dollar 3,522,172	Chilean Peso 2,254,542,290	BNP Paribas		—		(192,150	)		(192,150	)
9/18/15	Euro 3,732,383	Norwegian Krone 32,787,000	BNP Paribas		—		(91,633	)		(91,633	)
9/21/15	United States Dollar 1,422,343	Mauritian Rupee 52,200,000	Standard Chartered Bank		49,029		—			49,029
9/22/15	United States Dollar 3,618,570	British Pound Sterling 2,275,000	Standard Chartered Bank		—		(67,033	)		(67,033	)
9/28/15	United States Dollar 913,284	Uruguayan Peso 24,750,000	HSBC Bank USA, N.A.		—		(56,049	)		(56,049	)
9/29/15	Euro 2,362,485	Romanian Leu 10,557,472	BNP Paribas		32,318		—			32,318
9/30/15	British Pound Sterling 953,438	United States Dollar 1,499,958	Goldman Sachs International		11,611		—			11,611
10/1/15	United States Dollar 4,248,366	Colombian Peso 11,270,916,000	BNP Paribas		—		(347,901	)		(347,901	)
10/2/15	United States Dollar 1,091,746	Brazilian Real 3,796,000	Standard Chartered Bank		—		(5,542	)		(5,542	)
10/8/15	United States Dollar 899,484	Azerbaijani Manat 732,000	ICBC Standard Bank plc		—		(212,805	)		(212,805	)
10/13/15	Euro 549,381	Serbian Dinar 71,914,000	Citibank, N.A.		49,331		—			49,331
10/13/15	Euro 67,310	Serbian Dinar 8,784,000	Deutsche Bank AG		5,800		—			5,800
10/14/15	Euro 1,229,560	United States Dollar 1,362,210	BNP Paribas		10,507		—			10,507
10/26/15	United States Dollar 648,999	Uruguayan Peso 18,000,000	HSBC Bank USA, N.A.		—		(31,003	)		(31,003	)
10/27/15	United States Dollar 2,054,443	Indian Rupee 132,694,000	Deutsche Bank AG		—		(7,875	)		(7,875	)


Settlement Date	Deliver	In Exchange For	Counterparty	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
10/28/15	United States Dollar 588,637	Zambian Kwacha 4,741,000	Standard Chartered Bank	$	6,178	$	—		$	6,178
11/3/15	Euro 6,174,628	Polish Zloty 25,696,948	JPMorgan Chase Bank, N.A.		4,323		—			4,323
11/3/15	United States Dollar 588,609	Zambian Kwacha 4,719,000	Standard Chartered Bank		1,462		—			1,462
11/3/15	United States Dollar 588,747	Zambian Kwacha 4,669,000	Standard Chartered Bank		—		(4,928	)		(4,928	)
11/6/15	United States Dollar 450,677	Zambian Kwacha 3,577,000	Standard Chartered Bank		—		(4,122	)		(4,122	)
11/6/15	United States Dollar 654,665	Zambian Kwacha 5,096,000	Standard Chartered Bank		—		(18,478	)		(18,478	)
12/16/15	United States Dollar 555,629	Zambian Kwacha 4,395,300	Standard Chartered Bank		—		(17,551	)		(17,551	)
1/13/16	New Turkish Lira 817,000	United States Dollar 296,450	BNP Paribas		14,569		—			14,569
1/13/16	New Turkish Lira 1,248,320	United States Dollar 443,374	BNP Paribas		12,680		—			12,680
1/13/16	New Turkish Lira 461,000	United States Dollar 169,348	BNP Paribas		10,295		—			10,295
1/13/16	New Turkish Lira 937,000	United States Dollar 343,977	Standard Chartered Bank		20,694		—			20,694
1/13/16	United States Dollar 1,090,107	New Turkish Lira 2,674,000	Bank of America, N.A.		—		(167,527	)		(167,527	)
1/13/16	United States Dollar 323,293	New Turkish Lira 789,320	Deutsche Bank AG		—		(50,963	)		(50,963	)
1/29/16	Euro 2,525,943	Serbian Dinar 323,446,991	Citibank, N.A.		113,023		—			113,023
1/29/16	Euro 9,702	Serbian Dinar 1,230,075	Citibank, N.A.		324		—			324
1/29/16	Euro 246,246	Serbian Dinar 30,830,000	Deutsche Bank AG		4,736		—			4,736
1/29/16	Euro 5,012	Serbian Dinar 635,000	Deutsche Bank AG		164		—			164
2/10/16	United States Dollar 560,474	Zambian Kwacha 4,497,800	Citibank, N.A.		—		(24,244	)		(24,244	)
3/10/16	United States Dollar 283,155	Zambian Kwacha 2,310,000	Standard Chartered Bank		—		(11,048	)		(11,048	)
3/14/16	United States Dollar 270,043	Zambian Kwacha 2,213,000	ICBC Standard Bank plc		—		(9,790	)		(9,790	)
3/14/16	United States Dollar 1,137,077	Zambian Kwacha 9,415,000	Standard Chartered Bank		—		(29,858	)		(29,858	)
3/24/16	United States Dollar 505,214	Zambian Kwacha 4,253,900	Barclays Bank PLC		—		(6,998	)		(6,998	)

				$	731,539	$	(1,995,088	)	$	(1,263,549	)

Centrally Cleared Interest Rate Swaps

Counterparty

Notional
Amount
(000’s omitted)

Fund
Pays/Receives
Floating Rate

Floating
Rate Index

Annual
Fixed Rate

Termination
Date

Net Unrealized
Appreciation
(Depreciation)

LCH.Clearnet

HUF

80,000

Pays

6-month HUF BUBOR

5.12

1/16/17

22,513

LCH.Clearnet

HUF

80,000

Receives

6-month HUF BUBOR

7.63

1/16/17

(36,630

)

(14,117

)


HUF		-		Hungarian Forint

Interest Rate Swaps


Counterparty	Notional Amount (000’s omitted)		Fund Pays/Receives Floating Rate	Floating Rate Index	Annual Fixed Rate			Termination Date		Net Unrealized Appreciation (Depreciation)
Bank of America, N.A.	HUF	139,000	Pays	6-month HUF BUBOR		5.13	%		12/21/16	$	39,290
Bank of America, N.A.	PLN	838	Pays	6-month PLN WIBOR		4.34			7/30/17		10,977
Bank of America, N.A.	PLN	838	Receives	6-month PLN WIBOR		3.35			7/30/17		(6,708	)
Bank of America, N.A.	PLN	2,560	Pays	6-month PLN WIBOR		3.83			11/14/17		46,586
Bank of America, N.A.	PLN	2,560	Receives	6-month PLN WIBOR		3.61			11/14/17		(42,126	)
Bank of America, N.A.	PLN	2,900	Receives	6-month PLN WIBOR		3.52			11/16/17		(45,581	)
Barclays Bank PLC	PLN	2,900	Pays	6-month PLN WIBOR		3.81			11/16/17		52,345
Barclays Bank PLC	PLN	4,890	Pays	6-month PLN WIBOR		3.82			11/19/17		88,694
Barclays Bank PLC	PLN	4,890	Receives	6-month PLN WIBOR		3.53			11/19/17		(77,202	)
BNP Paribas	PLN	2,147	Pays	6-month PLN WIBOR		4.25			8/7/17		47,153
BNP Paribas	PLN	2,147	Receives	6-month PLN WIBOR		3.60			8/7/17		(36,195	)
BNP Paribas	PLN	400	Pays	6-month PLN WIBOR		3.85			11/13/17		7,361
BNP Paribas	PLN	400	Receives	6-month PLN WIBOR		3.38			11/13/17		(5,896	)
Citibank, N.A.	PLN	2,130	Pays	6-month PLN WIBOR		3.82			11/19/17		38,484
Citibank, N.A.	PLN	2,130	Receives	6-month PLN WIBOR		3.60			11/19/17		(34,829	)
Deutsche Bank AG	PLN	550	Pays	6-month PLN WIBOR		3.79			11/16/17		9,841
Deutsche Bank AG	PLN	550	Receives	6-month PLN WIBOR		3.60			11/16/17		(9,014	)
JPMorgan Chase Bank, N.A.	HUF	139,000	Receives	6-month HUF BUBOR		7.36			12/21/16		(61,280	)
JPMorgan Chase Bank, N.A.	HUF	82,000	Pays	6-month HUF BUBOR		5.09			1/20/17		22,962
JPMorgan Chase Bank, N.A.	HUF	82,000	Receives	6-month HUF BUBOR		7.75			1/20/17		(38,418	)

										$	6,444


HUF	-	Hungarian Forint

PLN	-	Polish Zloty

Credit Default Swaps — Buy Protection


Reference Entity	Counterparty	Notional Amount (000’s omitted)		Contract Annual Fixed Rate*			Termination Date		Market Value			Unamortized Upfront Payments Received (Paid)			Net Unrealized Appreciation (Depreciation)
China	Bank of America, N.A.	$	500		1.00	%⁽¹⁾		3/20/17	$	(5,441	)	$	(4,883	)	$	(10,324	)
China	Barclays Bank PLC		863		1.00	⁽¹⁾		3/20/17		(9,390	)		(7,670	)		(17,060	)
China	Deutsche Bank AG		316		1.00	⁽¹⁾		3/20/17		(3,438	)		(2,669	)		(6,107	)
China	Deutsche Bank AG		369		1.00	⁽¹⁾		3/20/17		(4,015	)		(3,117	)		(7,132	)
Croatia	BNP Paribas		870		1.00	⁽¹⁾		12/20/17		16,541			(27,987	)		(11,446	)
Croatia	Citibank, N.A.		1,500		1.00	⁽¹⁾		12/20/17		28,519			(47,677	)		(19,158	)
Egypt	Bank of America, N.A.		1,400		1.00	⁽¹⁾		9/20/15		322			(1,836	)		(1,514	)
Egypt	Citibank, N.A.		300		1.00	⁽¹⁾		6/20/20		28,050			(16,258	)		11,792
Egypt	Deutsche Bank AG		350		1.00	⁽¹⁾		6/20/20		32,725			(19,057	)		13,668
Egypt	Deutsche Bank AG		300		1.00	⁽¹⁾		6/20/20		28,050			(14,456	)		13,594
Egypt	Deutsche Bank AG		300		1.00	⁽¹⁾		6/20/20		28,050			(16,357	)		11,693
Guatemala	Citibank, N.A.		1,286		1.00	⁽¹⁾		9/20/20		118,578			(50,755	)		67,823
Lebanon	HSBC Bank USA, N.A.		1,250		1.00	⁽¹⁾		12/20/17		44,251			(85,050	)		(40,799	)
Thailand	Barclays Bank PLC		1,900		0.97			9/20/19		(11,749	)		—			(11,749	)
Thailand	Citibank, N.A.		900		0.95			9/20/19		(4,824	)		—			(4,824	)
Tunisia	Barclays Bank PLC		350		1.00	⁽¹⁾		9/20/17		7,760			(13,758	)		(5,998	)
Tunisia	Citibank, N.A.		360		1.00	⁽¹⁾		9/20/17		7,982			(14,830	)		(6,848	)
Tunisia	Deutsche Bank AG		500		1.00	⁽¹⁾		6/20/17		9,232			(14,940	)		(5,708	)
Tunisia	Goldman Sachs International		300		1.00	⁽¹⁾		9/20/17		6,652			(10,409	)		(3,757	)
Tunisia	Nomura International PLC		400		1.00	⁽¹⁾		12/20/17		10,958			(19,551	)		(8,593	)

									$	328,813		$	(371,260	)	$	(42,447	)

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

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

At July 31, 2015, the Fund had sufficient cash and/or securities to cover commitments under these contracts.

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

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

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

Interest Rate Risk: The Fund utilizes various interest rate derivatives including interest rate swaps to enhance total return and to seek to hedge against fluctuations in interest rates.

The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at July 31, 2015 was as follows:


		Fair Value
Risk	Derivative	Asset Derivative		Liability Derivative
Credit	Credit Default Swaps	$	367,670	$	(38,857	)

		$	367,670	$	(38,857	)


Foreign Exchange	Currency Options Purchased	$	49,127	$	—
Foreign Exchange	Forward Foreign Currency Exchange Contracts		731,539		(1,995,088	)

		$	780,666	$	(1,995,088	)


Interest Rate	Interest Rate Swaps (Centrally Cleared)	$	22,513	$	(36,630	)
Interest Rate	Interest Rate Swaps		363,693		(357,249	)

Total		$	386,206	$	(393,879	)

The cost and unrealized appreciation (depreciation) of investments of the Fund at July 31, 2015, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	400,241,718

Gross unrealized appreciation	$	8,297,858
Gross unrealized depreciation		(11,324,860	)

Net unrealized depreciation	$	(3,027,002	)

Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

•

Level 1 — quoted prices in active markets for identical investments

•

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

•

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

In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

At July 31, 2015, the hierarchy of inputs used in valuing the Fund’s investments and open derivative instruments, which are carried at value, were as follows:


Asset Description	Level 1		Level 2			Level 3*		Total
Senior Floating-Rate Interests	$	—	$	155,174,011		$	556,394	$	155,730,405
Collateralized Mortgage Obligations		—		69,948,503			—		69,948,503
Commercial Mortgage-Backed Securities		—		21,564,508			—		21,564,508
Mortgage Pass-Throughs		—		66,000,102			—		66,000,102
Asset-Backed Securities		—		14,116,917			—		14,116,917
U.S. Government Agency Obligations		—		1,500,558			—		1,500,558
Corporate Bonds & Notes		—		2,405,067			—		2,405,067
Foreign Corporate Bonds		—		630,633			—		630,633
Foreign Government Bonds		—		31,754,513			—		31,754,513
U.S. Treasury Obligations		—		9,898,440			—		9,898,440
Common Stocks		—		—			1,284,948		1,284,948
Convertible Preferred Stocks		—		29,233			—		29,233
Currency Call Options Purchased		—		49,127			—		49,127
Short-Term Investments —
Foreign Government Securities		—		13,116,141			—		13,116,141
U.S. Treasury Obligations		—		2,999,787			—		2,999,787
Other		—		6,185,834			—		6,185,834
Total Investments	$	—	$	395,373,374		$	1,841,342	$	397,214,716
Forward Foreign Currency Exchange Contracts	$	—	$	731,539		$	—	$	731,539
Swap Contracts		—		753,876			—		753,876
Total	$	—	$	396,858,789		$	1,841,342	$	398,700,131

Liability Description
Forward Foreign Currency Exchange Contracts	$	—	$	(1,995,088	)	$	—	$	(1,995,088	)
Swap Contracts		—		(432,736	)		—		(432,736	)
Total	$	—	$	(2,427,824	)	$	—	$	(2,427,824	)

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

Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the fiscal year to date ended July 31, 2015 is not presented. At July 31, 2015, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.

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

Item 2. Controls and Procedures

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

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

Signatures

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

Eaton Vance Short Duration Diversified Income Fund



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

Date:		September 21, 2015

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 21, 2015



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

Date:		September 21, 2015