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

January 31, 2010

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 January 31, 2010

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Interests — 44.8%⁽¹⁾


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
Aerospace and Defense — 0.8%
		ACTS Aero Technical Support & Service, Inc.
	897	Term Loan, 0.00%, Maturing October 5, 2014⁽²⁾	$	309,513
		AWAS Capital, Inc.
	377	Term Loan, 2.00%, Maturing March 22, 2013		352,709
	2,109	Term Loan - Second Lien, 6.25%, Maturing March 22, 2013		1,697,687
		CACI International, Inc.
	280	Term Loan, 1.96%, Maturing May 3, 2011		278,402
		DAE Aviation Holdings, Inc.
	561	Term Loan, 4.00%, Maturing July 31, 2014		528,808
	574	Term Loan, 4.01%, Maturing July 31, 2014		541,915
		Evergreen International Aviation
	1,224	Term Loan, 10.50%, Maturing October 31, 2011⁽³⁾		988,188
		Hawker Beechcraft Acquisition
	3,543	Term Loan, 2.24%, Maturing March 26, 2014		2,692,531
	187	Term Loan, 2.25%, Maturing March 26, 2014		142,238
		Hexcel Corp.
	1,149	Term Loan, 6.50%, Maturing May 21, 2014		1,160,598
		IAP Worldwide Services, Inc.
	1,120	Term Loan, 9.25%, Maturing December 30, 2012⁽³⁾		977,497
		TransDigm, Inc.
	2,075	Term Loan, 2.25%, Maturing June 23, 2013		2,030,906
		Vought Aircraft Industries, Inc.
	667	Term Loan, 7.50%, Maturing December 17, 2011		668,333
	694	Term Loan, 7.50%, Maturing December 17, 2011		696,296
	214	Term Loan, 7.50%, Maturing December 22, 2011		213,816
		Wesco Aircraft Hardware Corp.
	1,455	Term Loan, 2.49%, Maturing September 29, 2013		1,407,713

			$	14,687,150

Air Transport — 0.2%
		Airport Development and Investment, Ltd.
GBP	1,957	Term Loan - Second Lien, 4.96%, Maturing April 7, 2011	$	2,954,243
		Delta Air Lines, Inc.
	1,682	Term Loan - Second Lien, 3.51%, Maturing April 30, 2014		1,464,283

			$	4,418,526

Automotive — 1.4%
		Accuride Corp.
	2,338	Term Loan, 9.25%, Maturing January 31, 2012	$	2,346,144
		Adesa, Inc.
	4,087	Term Loan, 3.00%, Maturing October 18, 2013		3,983,079
		Allison Transmission, Inc.
	5,071	Term Loan, 3.02%, Maturing September 30, 2014		4,667,037
		Dayco Products, LLC
	547	Term Loan, 10.50%, Maturing November 13, 2014		514,446
	79	Term Loan, 12.50%, Maturing November 13, 2014⁽³⁾		73,849
		Federal-Mogul Corp.
	1,814	Term Loan, 2.23%, Maturing December 27, 2014		1,541,494
	1,404	Term Loan, 2.23%, Maturing December 27, 2015		1,193,419
		Ford Motor Co.
	3,233	Term Loan, 3.26%, Maturing December 15, 2013		3,031,387
		Goodyear Tire & Rubber Co.
	4,450	Term Loan - Second Lien, 2.45%, Maturing April 30, 2010		4,157,043


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Keystone Automotive Operations, Inc.
	1,106	Term Loan, 3.76%, Maturing January 12, 2012	$	761,234
		LKQ Corp.
	1,218	Term Loan, 2.48%, Maturing October 12, 2014		1,199,732
		TriMas Corp.
	314	Term Loan, 6.00%, Maturing August 2, 2011		304,641
	1,317	Term Loan, 6.00%, Maturing December 15, 2015		1,257,455
		United Components, Inc.
	1,439	Term Loan, 2.25%, Maturing June 30, 2010		1,338,636

			$	26,369,596

Beverage and Tobacco — 0.4%
		Constellation Brands, Inc.
	709	Term Loan, 1.81%, Maturing June 5, 2013	$	702,078
	349	Term Loan, 3.01%, Maturing June 5, 2015		349,235
		Culligan International Co.
	972	Term Loan, 2.49%, Maturing November 24, 2014		786,752
EUR	1,400	Term Loan - Second Lien, 5.25%, Maturing May 31, 2013		812,026
		Liberator Midco Ltd.
GBP	388	Term Loan, 8.52%, Maturing October 27, 2016⁽³⁾		583,319
		Southern Wine & Spirits of America, Inc.
	2,878	Term Loan, 5.50%, Maturing May 31, 2012		2,859,707
		Van Houtte, Inc.
	117	Term Loan, 2.75%, Maturing July 11, 2014		111,000
	858	Term Loan, 2.75%, Maturing July 11, 2014		814,003

			$	7,018,120

Building and Development — 1.0%
		AIMCO Properties, L.P.
	419	Term Loan, 1.75%, Maturing March 23, 2011	$	412,036
		Beacon Sales Acquisition, Inc.
	877	Term Loan, 2.25%, Maturing September 30, 2013		833,802
		Brickman Group Holdings, Inc.
	1,404	Term Loan, 2.25%, Maturing January 23, 2014		1,335,719
		Building Materials Corp. of America
	1,868	Term Loan, 3.01%, Maturing February 22, 2014		1,832,233
		Epco/Fantome, LLC
	1,659	Term Loan, 2.89%, Maturing November 23, 2010		1,526,280
		Forestar USA Real Estate Group, Inc.
	311	Revolving Loan, 1.73%, Maturing December 1, 2010⁽⁴⁾		283,369
	2,854	Term Loan, 5.24%, Maturing December 1, 2010		2,768,715
		Metroflag BP, LLC
	700	Term Loan - Second Lien, 0.00%, Maturing October 31, 2009⁽⁵⁾⁽⁶⁾		0
		NCI Building Systems, Inc.
	703	Term Loan, 8.00%, Maturing June 18, 2010		685,071
		Panolam Industries Holdings, Inc.
	1,155	Term Loan, 8.25%, Maturing December 31, 2013		1,050,634
		Realogy Corp.
	1,169	Term Loan, 3.23%, Maturing September 1, 2014		1,042,906
	4,340	Term Loan, 3.26%, Maturing September 1, 2014		3,873,653
		Sanitec Europe OY
EUR	387	Term Loan, 2.50%, Maturing June 25, 2016		408,164
		South Edge, LLC
	288	Term Loan, 0.00%, Maturing October 31, 2009⁽⁵⁾		115,000
		Standard Pacific Corp.
	1,260	Term Loan, 2.14%, Maturing May 5, 2013		1,077,300
		WCI Communities, Inc.
	752	Term Loan, 10.00%, Maturing September 3, 2014⁽³⁾		695,403
	1,087	Term Loan, 10.07%, Maturing September 3, 2014		1,087,460

			$	19,027,745


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
Business Equipment and Services — 3.8%
		Activant Solutions, Inc.
	837	Term Loan, 2.31%, Maturing May 1, 2013	$	799,918
		Affiliated Computer Services
	292	Term Loan, 2.23%, Maturing March 20, 2013		291,649
	1,857	Term Loan, 2.24%, Maturing March 20, 2013		1,852,475
		Affinion Group, Inc.
	4,275	Term Loan, 2.73%, Maturing October 17, 2012		4,162,696
		Allied Barton Security Service
	1,112	Term Loan, 6.75%, Maturing February 21, 2015		1,128,683
		Education Management, LLC
	4,822	Term Loan, 2.17%, Maturing June 1, 2013		4,640,417
		Euronet Worldwide, Inc.
	1,822	Term Loan, 2.25%, Maturing April 4, 2012		1,753,257
		Info USA, Inc.
	301	Term Loan, 2.01%, Maturing February 14, 2012		292,003
		Information Resources, Inc.
	1,695	Term Loan, 2.17%, Maturing May 7, 2014		1,622,572
		Intergraph Corp.
	1,000	Term Loan, 2.26%, Maturing May 29, 2014		981,875
	1,000	Term Loan - Second Lien, 6.26%, Maturing November 29, 2014		964,375
		iPayment, Inc.
	1,941	Term Loan, 2.25%, Maturing May 10, 2013		1,833,807
		Kronos, Inc.
	1,484	Term Loan, 2.25%, Maturing June 11, 2014		1,412,974
		Mitchell International, Inc.
	1,500	Term Loan - Second Lien, 5.74%, Maturing March 28, 2015		1,245,000
		N.E.W. Holdings I, LLC
	2,443	Term Loan, 2.74%, Maturing May 22, 2014		2,341,634
		Protection One, Inc.
	279	Term Loan, 2.48%, Maturing March 31, 2012		267,899
	1,582	Term Loan, 4.50%, Maturing March 31, 2014		1,521,587
		Quantum Corp.
	291	Term Loan, 4.21%, Maturing July 12, 2014		272,518
		Quintiles Transnational Corp.
	1,200	Term Loan, 2.25%, Maturing March 31, 2013		1,164,701
	1,725	Term Loan - Second Lien, 4.43%, Maturing March 31, 2014		1,673,250
		Sabre, Inc.
	6,636	Term Loan, 2.49%, Maturing September 30, 2014		5,948,871
		Safenet, Inc.
	980	Term Loan, 2.73%, Maturing April 12, 2014		940,704
		Serena Software, Inc.
	1,558	Term Loan, 2.26%, Maturing March 10, 2013		1,444,803
		Sitel (Client Logic)
	1,707	Term Loan, 5.75%, Maturing January 29, 2014		1,579,428
		Solera Holdings, LLC
EUR	1,079	Term Loan, 2.45%, Maturing May 15, 2014		1,439,758
		SunGard Data Systems, Inc.
	453	Term Loan, 2.00%, Maturing February 11, 2013		438,778
	12,788	Term Loan, 3.98%, Maturing February 28, 2016		12,607,041
		Travelport, LLC
	1,779	Term Loan, 2.75%, Maturing August 23, 2013		1,705,284
	357	Term Loan, 2.75%, Maturing August 23, 2013		342,166
EUR	1,052	Term Loan, 2.95%, Maturing August 23, 2013		1,408,215
		U.S. Security Holdings, Inc.
	854	Term Loan, 2.74%, Maturing May 8, 2013		830,723
		Valassis Communications, Inc.
	401	Term Loan, 2.01%, Maturing March 2, 2014		390,797
	1,746	Term Loan, 2.09%, Maturing March 2, 2014		1,702,688


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		VWR International, Inc.
	2,313	Term Loan, 2.73%, Maturing June 28, 2013	$	2,160,114
		West Corp.
	2,692	Term Loan, 2.68%, Maturing October 24, 2013		2,596,838
	3,910	Term Loan, 4.16%, Maturing July 15, 2016		3,878,998

			$	69,638,496

Cable and Satellite Television — 3.6%
		Atlantic Broadband Finance, LLC
	2,434	Term Loan, 6.75%, Maturing June 8, 2013	$	2,438,482
	91	Term Loan, 2.51%, Maturing September 1, 2013		89,030
		Bragg Communications, Inc.
	1,579	Term Loan, 2.79%, Maturing August 31, 2014		1,562,827
		Bresnan Broadband Holdings, LLC
	1,712	Term Loan, 2.25%, Maturing March 29, 2014		1,670,687
	775	Term Loan - Second Lien, 4.85%, Maturing March 29, 2014		749,812
		Cequel Communications, LLC
	846	Term Loan, 2.26%, Maturing November 5, 2013		807,664
	1,708	Term Loan, 6.26%, Maturing May 5, 2014		1,726,307
	2,175	Term Loan - Second Lien, 4.74%, Maturing May 5, 2014		2,134,995
		Charter Communications Operating, Inc.
	14,723	Term Loan, 2.26%, Maturing April 28, 2013		13,734,749
		CSC Holdings, Inc.
	2,677	Term Loan, 2.01%, Maturing March 29, 2013		2,615,640
		CW Media Holdings, Inc.
	1,845	Term Loan, 3.50%, Maturing February 15, 2015		1,728,133
		DirectTV Holdings, LLC
	1,804	Term Loan, 1.74%, Maturing April 13, 2013		1,793,673
		Insight Midwest Holdings, LLC
	4,742	Term Loan, 2.25%, Maturing April 6, 2014		4,586,285
		MCC Iowa, LLC
	320	Term Loan, 1.74%, Maturing March 31, 2010		318,400
	2,378	Term Loan, 1.98%, Maturing January 31, 2015		2,253,124
		Mediacom Illinois, LLC
	4,694	Term Loan, 1.98%, Maturing January 31, 2015		4,444,241
		ProSiebenSat.1 Media AG
EUR	822	Term Loan, 3.43%, Maturing March 2, 2015		842,209
EUR	48	Term Loan, 2.64%, Maturing June 26, 2015		59,396
EUR	1,187	Term Loan, 2.68%, Maturing June 26, 2015		1,463,569
EUR	822	Term Loan, 3.70%, Maturing March 2, 2016		842,209
		UPC Broadband Holding B.V.
	1,815	Term Loan, 2.23%, Maturing December 31, 2014		1,746,758
	985	Term Loan, 3.98%, Maturing December 31, 2016		970,268
EUR	4,531	Term Loan, 4.23%, Maturing December 31, 2016		5,942,743
EUR	3,269	Term Loan, 5.01%, Maturing December 31, 2017		4,301,696
		Virgin Media Investment Holding
	2,303	Term Loan, 3.75%, Maturing March 30, 2012		2,302,974
		YPSO Holding SA
EUR	574	Term Loan, 4.43%, Maturing July 28, 2014⁽³⁾		693,490
EUR	1,488	Term Loan, 4.43%, Maturing July 28, 2014⁽³⁾		1,796,989
EUR	937	Term Loan, 4.46%, Maturing July 28, 2014⁽³⁾		1,131,483

			$	64,747,833

Chemicals and Plastics — 2.5%
		Arizona Chemical, Inc.
	1,265	Term Loan, 2.24%, Maturing February 28, 2013	$	1,217,202
	500	Term Loan - Second Lien, 5.75%, Maturing February 28, 2014		473,750
		Ashland, Inc.
	862	Term Loan, 8.00%, Maturing November 20, 2014		873,571


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Brenntag Holding GmbH and Co. KG
	1,588	Term Loan, 2.00%, Maturing December 23, 2013	$	1,555,866
	480	Term Loan, 2.01%, Maturing December 23, 2013		470,154
	377	Term Loan, 2.00%, Maturing January 20, 2014		369,705
	1,300	Term Loan - Second Lien, 4.25%, Maturing December 23, 2015		1,271,214
		Celanese Holdings, LLC
	5,908	Term Loan, 2.00%, Maturing April 2, 2014		5,703,830
		Cognis GmbH
EUR	1,084	Term Loan, 2.73%, Maturing September 15, 2013		1,463,148
EUR	266	Term Loan, 2.73%, Maturing September 15, 2013		358,322
		Columbian Chemicals Acquisition
	857	Term Loan, 6.48%, Maturing March 16, 2013		801,576
		Hexion Specialty Chemicals, Inc.
	394	Term Loan, 2.56%, Maturing May 5, 2013		375,512
	1,815	Term Loan, 2.56%, Maturing May 5, 2013		1,728,653
	4,838	Term Loan, 4.12%, Maturing May 5, 2013		4,644,000
		Huish Detergents, Inc.
	1,243	Term Loan, 2.01%, Maturing April 26, 2014		1,205,831
		Huntsman International, LLC
	3,465	Term Loan, 2.00%, Maturing August 16, 2012		3,320,493
		INEOS Group
EUR	800	Term Loan, 5.56%, Maturing December 14, 2011		1,038,489
EUR	141	Term Loan, 5.73%, Maturing December 14, 2011		183,602
EUR	141	Term Loan, 8.02%, Maturing December 14, 2011		183,602
EUR	800	Term Loan, 10.25%, Maturing December 14, 2011		1,038,623
	231	Term Loan, 9.50%, Maturing December 14, 2013		215,049
	231	Term Loan, 10.00%, Maturing December 14, 2014		215,049
		ISP Chemco, Inc.
	1,935	Term Loan, 2.00%, Maturing June 4, 2014		1,846,399
		Kranton Polymers, LLC
	2,112	Term Loan, 2.25%, Maturing May 12, 2013		2,027,095
		MacDermid, Inc.
EUR	872	Term Loan, 2.68%, Maturing April 12, 2014		976,542
		Millenium Inorganic Chemicals
	467	Term Loan, 2.50%, Maturing April 30, 2014		441,668
	1,375	Term Loan - Second Lien, 6.00%, Maturing October 31, 2014		1,175,625
		Momentive Performance Material
	1,882	Term Loan, 2.50%, Maturing December 4, 2013		1,749,591
		Nalco Co.
	834	Term Loan, 2.15%, Maturing November 4, 2010		834,174
	2,488	Term Loan, 6.50%, Maturing May 6, 2016		2,528,544
		Rockwood Specialties Group, Inc.
	3,569	Term Loan, 6.00%, Maturing May 15, 2014		3,604,814
		Schoeller Arca Systems Holding
EUR	824	Term Loan, 5.07%, Maturing November 16, 2015		742,718
EUR	887	Term Loan, 5.08%, Maturing November 16, 2015		799,237
EUR	289	Term Loan, 5.21%, Maturing November 16, 2015		260,495

			$	45,694,143

Clothing/Textiles — 0.1%
		St. John Knits International, Inc.
	1,118	Term Loan, 9.25%, Maturing March 23, 2012	$	1,034,574
		The William Carter Co.
	1,141	Term Loan, 1.75%, Maturing July 14, 2012		1,132,373

			$	2,166,947

Conglomerates — 0.9%
		Amsted Industries, Inc.
	1,438	Term Loan, 2.25%, Maturing October 15, 2010	$	1,378,375
		Blount, Inc.
	370	Term Loan, 5.52%, Maturing February 9, 2012		370,920


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Doncasters (Dunde HoldCo 4 Ltd.)
	561	Term Loan, 4.25%, Maturing July 13, 2015	$	494,485
	561	Term Loan, 4.76%, Maturing July 13, 2015		494,485
GBP	734	Term Loan - Second Lien, 6.70%, Maturing January 13, 2016		921,646
		Jarden Corp.
	886	Term Loan, 2.00%, Maturing January 24, 2012		880,911
	490	Term Loan, 2.00%, Maturing January 24, 2012		484,495
		Manitowoc Company, Inc. (The)
	1,214	Term Loan, 7.50%, Maturing August 21, 2014		1,211,716
		Polymer Group, Inc.
	3,248	Term Loan, 7.00%, Maturing November 22, 2014		3,284,397
		RBS Global, Inc.
	412	Term Loan, 2.50%, Maturing July 19, 2013		383,736
	2,682	Term Loan, 2.86%, Maturing July 19, 2013		2,537,811
		RGIS Holdings, LLC
	1,829	Term Loan, 2.75%, Maturing April 30, 2014		1,700,690
	91	Term Loan, 2.75%, Maturing April 30, 2014		85,035
		US Investigations Services, Inc.
	2,590	Term Loan, 3.26%, Maturing February 21, 2015		2,378,151
		Vertrue, Inc.
	813	Term Loan, 3.27%, Maturing August 16, 2014		650,004

			$	17,256,857

Containers and Glass Products — 1.7%
		Berry Plastics Corp.
	4,563	Term Loan, 2.26%, Maturing April 3, 2015	$	4,138,435
		Celanese AG
EUR	1,945	Term Loan, 2.48%, Maturing April 6, 2011		2,620,895
		Consolidated Container Co.
	1,000	Term Loan - Second Lien, 5.76%, Maturing September 28, 2014		855,000
		Crown Americas, Inc.
	672	Term Loan, 2.00%, Maturing November 15, 2012		666,400
		Graham Packaging Holdings Co.
	461	Term Loan, 2.50%, Maturing October 7, 2011		458,458
	4,615	Term Loan, 6.75%, Maturing April 5, 2014		4,664,013
		Graphic Packaging International, Inc.
	6,510	Term Loan, 2.25%, Maturing May 16, 2014		6,337,185
		JSG Acquisitions
EUR	797	Term Loan, 3.99%, Maturing December 31, 2014		1,098,545
EUR	788	Term Loan, 4.18%, Maturing December 31, 2014		1,087,230
		Kranson Industries, Inc.
	1,090	Term Loan, 2.49%, Maturing July 31, 2013		1,029,305
		Owens-Brockway Glass Container
	2,013	Term Loan, 1.75%, Maturing June 14, 2013		1,971,282
		Smurfit Kappa Acquisitions
EUR	115	Term Loan, 4.11%, Maturing December 31, 2014		158,122
EUR	138	Term Loan, 4.20%, Maturing December 31, 2014		189,851
		Smurfit-Stone Container Corp.
	1,810	Revolving Loan, 2.86%, Maturing July 28, 2010		1,809,707
	601	Revolving Loan, 3.23%, Maturing July 28, 2010		600,664
	236	Term Loan, 2.50%, Maturing November 1, 2011		234,343
	414	Term Loan, 2.50%, Maturing November 1, 2011		410,921
	780	Term Loan, 2.50%, Maturing November 1, 2011		775,089
	364	Term Loan, 4.50%, Maturing November 1, 2011		361,082
		Tegrant Holding Corp.
	1,945	Term Loan, 3.55%, Maturing March 8, 2013		1,701,875

			$	31,168,402


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
Cosmetics/Toiletries — 0.2%
		American Safety Razor Co.
	1,000	Term Loan - Second Lien, 6.55%, Maturing July 31, 2014	$	547,500
		Bausch & Lomb, Inc.
	605	Term Loan, 3.50%, Maturing April 30, 2015		585,799
	147	Term Loan, 3.50%, Maturing April 30, 2015		142,256
		KIK Custom Products, Inc.
	1,400	Term Loan - Second Lien, 5.26%, Maturing November 30, 2014		889,000
		Prestige Brands, Inc.
	1,752	Term Loan, 2.49%, Maturing April 7, 2011		1,734,138

			$	3,898,693

Drugs — 0.1%
		Graceway Pharmaceuticals, LLC
	1,276	Term Loan, 2.99%, Maturing May 3, 2012	$	1,063,694
	300	Term Loan, 8.48%, Maturing November 3, 2013		112,500
	1,000	Term Loan - Second Lien, 6.73%, Maturing May 3, 2013		532,500
		Pharmaceutical Holdings Corp.
	389	Term Loan, 3.55%, Maturing January 30, 2012		369,125

			$	2,077,819

Ecological Services and Equipment — 0.4%
		Big Dumpster Merger Sub, Inc.
	833	Term Loan, 2.49%, Maturing February 5, 2013	$	653,382
		Blue Waste B.V. (AVR Acquisition)
EUR	1,000	Term Loan, 2.68%, Maturing April 1, 2015		1,308,855
		Environmental Systems Products Holdings, Inc.
	405	Term Loan - Second Lien, 13.50%, Maturing December 12, 2010		371,009
		IESI Corp.
	3,465	Term Loan, 2.00%, Maturing January 20, 2012		3,360,765
		Sensus Metering Systems, Inc.
	698	Term Loan, 7.00%, Maturing June 3, 2013		700,941
		Wastequip, Inc.
	962	Term Loan, 2.49%, Maturing February 5, 2013		754,555

			$	7,149,507

Electronics/Electrical — 1.8%
		Aspect Software, Inc.
	1,519	Term Loan, 3.25%, Maturing July 11, 2011	$	1,457,975
	2,350	Term Loan - Second Lien, 7.35%, Maturing July 11, 2013		2,185,500
		Freescale Semiconductor, Inc.
	5,467	Term Loan, 2.00%, Maturing December 1, 2013		4,920,550
		Infor Enterprise Solutions Holdings
	1,758	Term Loan, 3.99%, Maturing July 28, 2012		1,648,205
	3,370	Term Loan, 4.00%, Maturing July 28, 2012		3,159,060
	500	Term Loan, 5.74%, Maturing March 2, 2014		415,000
	317	Term Loan - Second Lien, 6.48%, Maturing March 2, 2014		261,250
	183	Term Loan - Second Lien, 6.48%, Maturing March 2, 2014		142,313
		Network Solutions, LLC
	2,527	Term Loan, 2.51%, Maturing March 7, 2014		2,290,044
		Open Solutions, Inc.
	2,383	Term Loan, 2.45%, Maturing January 23, 2014		2,122,904
		Sensata Technologies Finance Co.
	5,783	Term Loan, 2.00%, Maturing April 27, 2013		5,268,399
		Spectrum Brands, Inc.
	132	Term Loan, 1.73%, Maturing March 30, 2013		132,436
	2,587	Term Loan, 8.00%, Maturing March 30, 2013		2,587,148
		SS&C Technologies, Inc.
	1,706	Term Loan, 2.26%, Maturing November 23, 2012		1,638,216
		VeriFone, Inc.
	926	Term Loan, 3.00%, Maturing October 31, 2013		912,298


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Vertafore, Inc.
	2,420	Term Loan, 5.50%, Maturing July 31, 2014	$	2,329,148
	975	Term Loan - Second Lien, 6.29%, Maturing January 31, 2013		887,250

			$	32,357,696

Equipment Leasing — 0.2%
		Hertz Corp.
	689	Term Loan, 1.73%, Maturing December 21, 2012	$	672,405
	3,744	Term Loan, 2.13%, Maturing December 21, 2012		3,654,041

			$	4,326,446

Farming/Agriculture — 0.3%
		BF Bolthouse HoldCo, LLC
	2,439	Term Loan, 5.51%, Maturing December 16, 2012	$	2,416,992
	1,475	Term Loan - Second Lien, 9.00%, Maturing December 16, 2013		1,444,885
		Central Garden & Pet Co.
	2,270	Term Loan, 1.76%, Maturing February 28, 2014		2,156,847

			$	6,018,724

Financial Intermediaries — 0.6%
		Citco III, Ltd.
	2,238	Term Loan, 4.48%, Maturing June 30, 2014	$	2,170,864
		Grosvenor Capital Management
	656	Term Loan, 2.25%, Maturing December 5, 2013		596,715
		Jupiter Asset Management Group
GBP	575	Term Loan, 2.74%, Maturing June 30, 2015		868,478
		Lender Processing Services, Inc.
	990	Term Loan, 2.73%, Maturing July 2, 2014		990,774
		LPL Holdings, Inc.
	4,993	Term Loan, 2.00%, Maturing December 18, 2014		4,778,797
		Nuveen Investments, Inc.
	631	Term Loan, 3.43%, Maturing November 2, 2014		558,670
		RJO Holdings Corp. (RJ O’Brien)
	643	Term Loan, 5.25%, Maturing July 31, 2014⁽³⁾		427,452

			$	10,391,750

Food Products — 1.5%
		Acosta, Inc.
	2,919	Term Loan, 2.49%, Maturing July 28, 2013	$	2,787,764
		Advantage Sales & Marketing, Inc.
	3,847	Term Loan, 2.26%, Maturing March 29, 2013		3,677,252
		American Seafoods Group, LLC
	865	Term Loan, 4.00%, Maturing September 30, 2011		787,028
		Dean Foods Co.
	5,786	Term Loan, 1.74%, Maturing April 2, 2014		5,629,663
		Mafco Worldwide Corp.
	753	Term Loan, 2.24%, Maturing December 8, 2011		726,684
		Michael Foods, Inc.
	1,192	Term Loan, 6.50%, Maturing April 30, 2014		1,205,839
		Pinnacle Foods Finance, LLC
	7,230	Term Loan, 2.99%, Maturing April 2, 2014		6,864,965
		Provimi Group SA
	231	Term Loan, 2.48%, Maturing June 28, 2015		219,802
	188	Term Loan, 2.48%, Maturing June 28, 2015		178,610
EUR	243	Term Loan, 2.68%, Maturing June 28, 2015		320,307
EUR	540	Term Loan, 2.68%, Maturing June 28, 2015		711,840
EUR	402	Term Loan, 2.71%, Maturing June 28, 2015		529,753
EUR	419	Term Loan, 2.71%, Maturing June 28, 2015		552,010
		Reddy Ice Group, Inc.
	3,130	Term Loan, 2.00%, Maturing August 9, 2012		2,944,807

			$	27,136,324


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
Food Service — 1.0%
		AFC Enterprises, Inc.
	477	Term Loan, 7.00%, Maturing May 11, 2011	$	480,307
		Aramark Corp.
	383	Term Loan, 2.14%, Maturing January 26, 2014		367,793
	5,820	Term Loan, 2.18%, Maturing January 26, 2014		5,586,870
GBP	970	Term Loan, 2.73%, Maturing January 27, 2014		1,440,070
		Buffets, Inc.
	145	Term Loan, 7.65%, Maturing November 1, 2013⁽³⁾		128,760
	741	Term Loan - Second Lien, 17.75%, Maturing November 1, 2013⁽³⁾		659,319
		Burger King Corp.
	1,692	Term Loan, 1.98%, Maturing June 30, 2012		1,681,189
		CBRL Group, Inc.
	1,268	Term Loan, 1.98%, Maturing April 27, 2013		1,225,791
	766	Term Loan, 2.85%, Maturing April 27, 2016		745,261
		Denny’s, Inc.
	133	Term Loan, 1.71%, Maturing March 31, 2012		128,525
	353	Term Loan, 2.51%, Maturing March 31, 2012		342,733
		JRD Holdings, Inc.
	1,823	Term Loan, 2.50%, Maturing June 26, 2014		1,768,016
		Maine Beverage Co., LLC
	424	Term Loan, 2.00%, Maturing June 30, 2010		400,887
		NPC International, Inc.
	461	Term Loan, 2.01%, Maturing May 3, 2013		442,954
		OSI Restaurant Partners, LLC
	85	Term Loan, 1.73%, Maturing May 9, 2013		76,366
	931	Term Loan, 2.58%, Maturing May 9, 2014		840,278
		QCE Finance, LLC
	970	Term Loan, 2.59%, Maturing May 5, 2013		835,283
	1,225	Term Loan - Second Lien, 6.22%, Maturing November 5, 2013		731,937
		Sagittarius Restaurants, LLC
	438	Term Loan, 9.75%, Maturing March 29, 2013		427,167

			$	18,309,506

Food/Drug Retailers — 1.1%
		General Nutrition Centers, Inc.
	2,920	Term Loan, 2.53%, Maturing September 16, 2013	$	2,814,427
		Iceland Foods Group, Ltd.
GBP	2,150	Term Loan, 3.14%, Maturing May 2, 2015		3,395,251
GBP	557	Term Loan, 9.27%, Maturing May 2, 2016⁽³⁾		880,542
		Pantry, Inc. (The)
	1,115	Term Loan, 1.76%, Maturing May 15, 2014		1,060,726
	321	Term Loan, 1.79%, Maturing May 15, 2014		305,396
		Rite Aid Corp.
	5,416	Term Loan, 2.00%, Maturing June 1, 2014		4,865,494
	2,227	Term Loan, 6.00%, Maturing June 4, 2014		2,115,032
	1,000	Term Loan, 9.50%, Maturing June 4, 2014		1,048,750
		Roundy’s Supermarkets, Inc.
	3,722	Term Loan, 6.25%, Maturing November 3, 2013		3,712,267

			$	20,197,885

Forest Products — 0.5%
		Appleton Papers, Inc.
	1,807	Term Loan, 6.73%, Maturing June 5, 2014	$	1,793,594
		Georgia-Pacific Corp.
	5,223	Term Loan, 2.26%, Maturing December 20, 2012		5,129,811
	1,308	Term Loan, 3.50%, Maturing December 23, 2014		1,308,948

			$	8,232,353


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
Health Care — 4.3%
		American Medical Systems
	649	Term Loan, 2.50%, Maturing July 20, 2012	$	631,299
		AMR HoldCo, Inc.
	1,944	Term Loan, 2.24%, Maturing February 10, 2012		1,885,383
		Biomet, Inc.
	3,910	Term Loan, 3.25%, Maturing December 26, 2014		3,820,805
EUR	1,735	Term Loan, 3.56%, Maturing December 26, 2014		2,386,417
		Cardinal Health 409, Inc.
	2,145	Term Loan, 2.49%, Maturing April 10, 2014		1,962,675
		Carestream Health, Inc.
	3,930	Term Loan, 2.23%, Maturing April 30, 2013		3,734,620
	1,000	Term Loan - Second Lien, 5.50%, Maturing October 30, 2013		877,083
		Carl Zeiss Vision Holding GmbH
	1,300	Term Loan, 2.73%, Maturing March 23, 2015		1,001,407
		Catalent Pharma Solutions
EUR	1,950	Term Loan, 2.73%, Maturing April 10, 2014		2,419,788
		Community Health Systems, Inc.
	9,647	Term Loan, 2.51%, Maturing July 25, 2014		9,131,317
	493	Term Loan, 2.51%, Maturing July 25, 2014		466,890
		Concentra, Inc.
	898	Term Loan - Second Lien, 5.99%, Maturing June 25, 2015⁽³⁾		785,922
		ConMed Corp.
	594	Term Loan, 1.80%, Maturing April 13, 2013		564,439
		CRC Health Corp.
	578	Term Loan, 2.50%, Maturing February 6, 2013		542,220
	629	Term Loan, 2.50%, Maturing February 6, 2013		590,356
		DaVita, Inc.
	5,425	Term Loan, 1.81%, Maturing October 5, 2012		5,314,584
		DJO Finance, LLC
	929	Term Loan, 3.23%, Maturing May 15, 2014		903,384
		Fenwal, Inc.
	145	Term Loan, 2.51%, Maturing February 28, 2014		126,999
	848	Term Loan, 2.51%, Maturing February 28, 2014		741,036
		Fresenius Medical Care Holdings
	3,481	Term Loan, 1.74%, Maturing March 31, 2013		3,407,491
		Hanger Orthopedic Group, Inc.
	1,525	Term Loan, 2.24%, Maturing May 30, 2013		1,491,479
		HCA, Inc.
	6,619	Term Loan, 2.50%, Maturing November 18, 2013		6,304,287
		Health Management Association, Inc.
	5,633	Term Loan, 2.01%, Maturing February 28, 2014		5,361,752
		HealthSouth Corp.
	986	Term Loan, 2.52%, Maturing March 10, 2013		964,030
	812	Term Loan, 4.02%, Maturing March 15, 2014		805,782
		Iasis Healthcare, LLC
	113	Term Loan, 2.23%, Maturing March 14, 2014		108,033
	417	Term Loan, 2.23%, Maturing March 14, 2014		399,048
	1,205	Term Loan, 2.23%, Maturing March 14, 2014		1,153,059
		Ikaria Acquisition, Inc.
	691	Term Loan, 2.50%, Maturing March 28, 2013		651,240
		IM U.S. Holdings, LLC
	900	Term Loan - Second Lien, 4.50%, Maturing June 26, 2015		872,437
		inVentiv Health, Inc.
	1,183	Term Loan, 2.01%, Maturing July 6, 2014		1,125,436
		LifePoint Hospitals, Inc.
	2,901	Term Loan, 1.98%, Maturing April 15, 2012		2,851,154
		MultiPlan Merger Corp.
	607	Term Loan, 2.73%, Maturing April 12, 2013		580,968
	1,111	Term Loan, 2.75%, Maturing April 12, 2013		1,063,402


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Mylan, Inc.
	744	Term Loan, 3.59%, Maturing October 2, 2014	$	736,661
		National Mentor Holdings, Inc.
	81	Term Loan, 2.23%, Maturing June 29, 2013		73,486
	1,321	Term Loan, 2.28%, Maturing June 29, 2013		1,195,408
		National Renal Institutes, Inc.
	1,738	Term Loan, 10.00%, Maturing March 31, 2013⁽³⁾		1,668,074
		Nyco Holdings
EUR	920	Term Loan, 2.86%, Maturing December 29, 2014		1,229,804
EUR	920	Term Loan, 3.71%, Maturing December 29, 2015		1,229,804
		Physiotherapy Associates, Inc.
	1,050	Term Loan, 7.50%, Maturing June 27, 2013		824,254
		RadNet Management, Inc.
	703	Term Loan, 4.68%, Maturing November 15, 2012		678,645
		ReAble Therapeutics Finance, LLC
	1,111	Term Loan, 2.26%, Maturing November 16, 2013		1,087,870
		Renal Advantage, Inc.
	1	Term Loan, 2.76%, Maturing October 5, 2012		912
		Select Medical Holdings Corp.
	1,505	Term Loan, 4.05%, Maturing August 5, 2014		1,486,351
	1,206	Term Loan, 4.06%, Maturing August 5, 2014		1,192,489
		Sunrise Medical Holdings, Inc.
	1,287	Term Loan, 8.25%, Maturing May 13, 2010		1,068,274
		Vanguard Health Holding Co., LLC
	926	Term Loan, 2.50%, Maturing September 23, 2011		926,730
		Viant Holdings, Inc.
	746	Term Loan, 2.52%, Maturing June 25, 2014		734,913

			$	79,159,897

Home Furnishings — 0.3%
		Hunter Fan Co.
	614	Term Loan, 2.74%, Maturing April 16, 2014	$	493,607
		Interline Brands, Inc.
	334	Term Loan, 1.98%, Maturing June 23, 2013		308,568
	1,225	Term Loan, 2.01%, Maturing June 23, 2013		1,133,520
		National Bedding Co., LLC
	2,306	Term Loan, 2.38%, Maturing August 31, 2011		2,225,217
	1,050	Term Loan - Second Lien, 5.50%, Maturing August 31, 2012		937,125
		Oreck Corp.
	1,777	Term Loan, 0.00%, Maturing February 2, 2012⁽²⁾⁽⁶⁾		638,002
		Simmons Co.
	1,090	Term Loan, 7.50%, Maturing February 15, 2012⁽³⁾		6,814

			$	5,742,853

Industrial Equipment — 1.4%
		Brand Energy and Infrastructure Services, Inc.
	973	Term Loan, 2.59%, Maturing February 7, 2014	$	915,366
	1,051	Term Loan, 3.60%, Maturing February 7, 2014		1,004,839
		CEVA Group PLC U.S.
	1,418	Term Loan, 3.24%, Maturing January 4, 2014		1,243,943
	171	Term Loan, 3.25%, Maturing January 4, 2014		153,520
EUR	299	Term Loan, 3.43%, Maturing January 4, 2014		372,621
EUR	508	Term Loan, 3.46%, Maturing January 4, 2014		632,753
EUR	625	Term Loan, 3.47%, Maturing January 4, 2014		777,657
EUR	1,597	Term Loan, 3.73%, Maturing January 4, 2014		1,987,734
		EPD Holdings, (Goodyear Engineering Products)
	2,093	Term Loan, 2.74%, Maturing July 13, 2014		1,796,932
	300	Term Loan, 2.75%, Maturing July 13, 2014		257,361
	1,100	Term Loan - Second Lien, 6.00%, Maturing July 13, 2015		830,500
		Flowserve Corp.
	2,267	Term Loan, 1.98%, Maturing August 10, 2012		2,241,703


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Generac Acquisition Corp.
	2,650	Term Loan, 2.75%, Maturing November 7, 2013	$	2,464,936
	500	Term Loan - Second Lien, 6.25%, Maturing April 7, 2014		460,500
		Gleason Corp.
	280	Term Loan, 2.00%, Maturing June 30, 2013		274,754
	743	Term Loan, 2.00%, Maturing June 30, 2013		728,431
		Itron, Inc.
EUR	300	Term Loan, 4.48%, Maturing April 18, 2014		413,432
		Jason, Inc.
	573	Term Loan, 6.00%, Maturing April 30, 2010		375,122
		John Maneely Co.
	3,642	Term Loan, 3.51%, Maturing December 8, 2013		3,497,727
		KION Group GmbH
	250	Term Loan, 3.99%, Maturing December 23, 2014⁽³⁾		193,250
	250	Term Loan, 4.23%, Maturing December 23, 2015⁽³⁾		193,250
		Polypore, Inc.
	4,241	Term Loan, 2.49%, Maturing July 3, 2014		4,060,997
		Sequa Corp.
	794	Term Loan, 3.93%, Maturing November 30, 2014		738,144
		TFS Acquisition Corp.
	893	Term Loan, 14.00%, Maturing August 11, 2013⁽³⁾		685,736

			$	26,301,208

Insurance — 0.7%
		Alliant Holdings I, Inc.
	1,320	Term Loan, 3.25%, Maturing August 21, 2014	$	1,249,245
		Applied Systems, Inc.
	877	Term Loan, 2.73%, Maturing September 26, 2013		837,785
		CCC Information Services Group, Inc.
	1,099	Term Loan, 2.49%, Maturing February 10, 2013		1,064,969
		Conseco, Inc.
	3,540	Term Loan, 7.53%, Maturing October 10, 2013		3,376,142
		Crawford & Company
	1,592	Term Loan, 5.31%, Maturing October 31, 2013		1,551,869
		Crump Group, Inc.
	1,071	Term Loan, 3.25%, Maturing August 4, 2014		966,406
		Hub International Holdings, Inc.
	215	Term Loan, 2.75%, Maturing June 13, 2014		201,430
	956	Term Loan, 2.75%, Maturing June 13, 2014		896,140
		U.S.I. Holdings Corp.
	2,664	Term Loan, 3.02%, Maturing May 4, 2014		2,457,159

			$	12,601,145

Leisure Goods/Activities/Movies — 2.4%
		24 Hour Fitness Worldwide, Inc.
	1,944	Term Loan, 2.79%, Maturing June 8, 2012	$	1,842,177
		AMC Entertainment, Inc.
	1,694	Term Loan, 1.74%, Maturing January 26, 2013		1,657,674
		AMF Bowling Worldwide, Inc.
	1,300	Term Loan - Second Lien, 6.50%, Maturing December 8, 2013		906,750
		Bombardier Recreational Products
	956	Term Loan, 3.34%, Maturing June 28, 2013		724,537
		Butterfly Wendel US, Inc.
	362	Term Loan, 3.23%, Maturing June 22, 2013		295,368
	362	Term Loan, 2.84%, Maturing June 22, 2014		295,463
		Cedar Fair, L.P.
	75	Term Loan, 2.24%, Maturing August 31, 2011		75,286
	530	Term Loan, 2.23%, Maturing August 30, 2012		528,586
	2,120	Term Loan, 4.24%, Maturing February 17, 2014		2,118,266
	376	Term Loan, 4.43%, Maturing February 17, 2014		373,469


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Cinemark, Inc.
	3,717	Term Loan, 2.01%, Maturing October 5, 2013	$	3,659,593
		Dave & Buster’s, Inc.
	383	Term Loan, 2.50%, Maturing March 8, 2013		378,197
	963	Term Loan, 2.50%, Maturing March 8, 2013		951,672
		Deluxe Entertainment Services
	41	Term Loan, 6.22%, Maturing January 28, 2011		39,030
	71	Term Loan, 6.25%, Maturing January 28, 2011		66,711
	673	Term Loan, 6.25%, Maturing January 28, 2011		635,838
		Mega Blocks, Inc.
	1,454	Term Loan, 9.75%, Maturing July 26, 2012		973,179
		Metro-Goldwyn-Mayer Holdings, Inc.
	3,993	Term Loan, 0.00%, Maturing April 8, 2012⁽²⁾		2,409,277
		National CineMedia, LLC
	3,075	Term Loan, 2.02%, Maturing February 13, 2015		2,973,780
		Red Football, Ltd.
GBP	2,716	Term Loan, 3.06%, Maturing August 16, 2014		4,327,171
GBP	2,716	Term Loan, 3.27%, Maturing August 16, 2015		4,327,171
		Regal Cinemas Corp.
	4,728	Term Loan, 4.01%, Maturing November 10, 2010		4,741,937
		Revolution Studios Distribution Co., LLC
	1,291	Term Loan, 4.00%, Maturing December 21, 2014		1,175,009
	1,050	Term Loan - Second Lien, 7.25%, Maturing June 21, 2015		735,000
		Six Flags Theme Parks, Inc.
	4,446	Term Loan, 2.49%, Maturing April 30, 2015		4,392,463
		Southwest Sports Group, LLC
	1,450	Term Loan, 6.75%, Maturing December 22, 2010		1,202,292
		Zuffa, LLC
	1,485	Term Loan, 2.44%, Maturing June 20, 2016		1,405,584

			$	43,211,480

Lodging and Casinos — 1.4%
		Gala Electric Casinos, Ltd.
GBP	959	Term Loan, 3.73%, Maturing December 12, 2013	$	1,436,628
GBP	959	Term Loan, 4.23%, Maturing December 12, 2014		1,436,628
		Green Valley Ranch Gaming, LLC
	632	Term Loan, 2.30%, Maturing February 16, 2014		424,816
		Harrah’s Operating Co.
	1,130	Term Loan, 3.25%, Maturing January 28, 2015		937,211
	795	Term Loan, 3.25%, Maturing January 28, 2015		657,920
		Herbst Gaming, Inc.
	976	Term Loan, 0.00%, Maturing December 2, 2011⁽²⁾		536,935
		Isle of Capri Casinos, Inc.
	996	Term Loan, 1.99%, Maturing November 30, 2013		989,627
	751	Term Loan, 1.99%, Maturing November 30, 2013		746,039
	2,490	Term Loan, 2.01%, Maturing November 30, 2013		2,474,067
		LodgeNet Entertainment Corp.
	954	Term Loan, 2.29%, Maturing April 4, 2014		879,718
		New World Gaming Partners, Ltd.
	290	Term Loan, 2.75%, Maturing June 30, 2014		264,815
	1,433	Term Loan, 2.75%, Maturing June 30, 2014		1,307,442
		Penn National Gaming, Inc.
	6,711	Term Loan, 2.00%, Maturing October 3, 2012		6,599,147
		Tropicana Entertainment, Inc.
	88	Term Loan, 0.00%, Maturing December 29, 2012⁽⁴⁾		81,882
		Venetian Casino Resort/Las Vegas Sands, Inc.
	1,118	Term Loan, 2.06%, Maturing May 14, 2014		987,898
	4,101	Term Loan, 2.06%, Maturing May 23, 2014		3,623,157
		VML US Finance, LLC
	1,919	Term Loan, 4.93%, Maturing May 25, 2013		1,832,301


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Wimar OpCo, LLC
	900	Term Loan, 0.00%, Maturing January 3, 2012⁽²⁾	$	281,332

			$	25,497,563

Nonferrous Metals/Minerals — 0.6%
		Compass Minerals Group, Inc.
	2,714	Term Loan, 1.96%, Maturing December 22, 2012	$	2,700,527
		Euramax International, Inc.
	369	Term Loan, 10.00%, Maturing June 29, 2013		287,680
	368	Term Loan, 14.00%, Maturing June 29, 2013⁽³⁾		286,954
		Noranda Aluminum Acquisition
	1,499	Term Loan, 2.23%, Maturing May 18, 2014		1,304,070
		Novelis, Inc.
	585	Term Loan, 2.24%, Maturing June 28, 2014		556,748
	1,287	Term Loan, 2.25%, Maturing June 28, 2014		1,224,894
		Oxbow Carbon and Mineral Holdings
	1,811	Term Loan, 2.25%, Maturing May 8, 2014		1,761,097
		Tube City IMS Corp.
	324	Term Loan, 1.64%, Maturing January 25, 2014		301,446
	2,602	Term Loan, 2.50%, Maturing January 25, 2014		2,422,116

			$	10,845,532

Oil and Gas — 0.5%
		Atlas Pipeline Partners, L.P.
	1,575	Term Loan, 6.99%, Maturing July 20, 2014	$	1,570,728
		Big West Oil, LLC
	456	Term Loan, 4.51%, Maturing May 1, 2014		442,492
	573	Term Loan, 4.52%, Maturing May 1, 2014		556,275
		Citgo Petroleum Corp.
	1,874	Term Loan, 1.74%, Maturing November 15, 2012		1,854,924
		Dresser, Inc.
	825	Term Loan, 2.55%, Maturing May 4, 2014		792,816
	1,250	Term Loan - Second Lien, 6.24%, Maturing May 4, 2015		1,189,062
		Enterprise GP Holdings, L.P.
	1,519	Term Loan, 2.50%, Maturing October 31, 2014		1,501,911
		Volnay Acquisition Co.
	520	Term Loan, 3.50%, Maturing January 12, 2014		512,200

			$	8,420,408

Publishing — 2.6%
		American Media Operations, Inc.
	2,738	Term Loan, 10.00%, Maturing January 31, 2013⁽³⁾	$	2,589,372
		Aster Zweite Beteiligungs GmbH
	1,075	Term Loan, 2.95%, Maturing September 27, 2013		1,043,422
EUR	472	Term Loan, 3.29%, Maturing September 27, 2013		637,862
		GateHouse Media Operating, Inc.
	3,467	Term Loan, 2.24%, Maturing August 28, 2014		1,729,123
	2,683	Term Loan, 2.24%, Maturing August 28, 2014		1,338,190
	975	Term Loan, 2.49%, Maturing August 28, 2014		486,281
		Getty Images, Inc.
	2,716	Term Loan, 6.25%, Maturing July 2, 2015		2,738,813
		Laureate Education, Inc.
	428	Term Loan, 3.50%, Maturing August 17, 2014		398,131
	2,861	Term Loan, 3.50%, Maturing August 17, 2014		2,659,998
		MediaNews Group, Inc.
	919	Term Loan, 6.73%, Maturing August 2, 2013		404,495
		Mediannuaire Holding
EUR	936	Term Loan, 2.99%, Maturing October 10, 2014		981,635
EUR	935	Term Loan, 3.50%, Maturing October 10, 2015		981,363
		Merrill Communications, LLC
	1,382	Term Loan, 8.50%, Maturing December 24, 2012		1,185,003


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Nelson Education, Ltd.
	660	Term Loan, 2.75%, Maturing July 5, 2014	$	607,028
		Nielsen Finance, LLC
	6,787	Term Loan, 2.24%, Maturing August 9, 2013		6,508,538
		PagesJaunes Group, SA
EUR	1,000	Term Loan, 5.00%, Maturing April 10, 2016		916,244
		Penton Media, Inc.
	972	Term Loan, 2.50%, Maturing February 1, 2013		728,403
		Philadelphia Newspapers, LLC
	1,039	Term Loan, 0.00%, Maturing June 29, 2013⁽²⁾		244,050
		Reader’s Digest Association, Inc. (The)
	2,001	Revolving Loan, 4.73%, Maturing March 3, 2014		1,194,177
	8,060	Term Loan, 4.25%, Maturing March 3, 2014		4,809,121
	718	Term Loan, 7.24%, Maturing March 3, 2014		428,261
		SGS International, Inc.
	728	Term Loan, 2.89%, Maturing December 30, 2011		706,278
		Source Interlink Companies, Inc.
	914	Term Loan, 10.75%, Maturing June 18, 2013		790,325
	497	Term Loan, 15.00%, Maturing June 18, 2013⁽³⁾		198,691
		Source Media, Inc.
	2,275	Term Loan, 5.48%, Maturing November 8, 2011		2,013,807
		Springer Science+Business Media S.A.
	545	Term Loan, 2.61%, Maturing May 5, 2011		540,643
	489	Term Loan, 2.98%, Maturing May 5, 2012		485,228
	417	Term Loan, 2.98%, Maturing May 5, 2012		413,092
		TL Acquisitions, Inc.
	3,201	Term Loan, 2.75%, Maturing July 5, 2014		2,850,948
		Tribune Co.
	1,837	Term Loan, 0.00%, Maturing April 10, 2010⁽²⁾		1,120,530
	2,232	Term Loan, 0.00%, Maturing May 17, 2014⁽²⁾		1,403,142
	2,990	Term Loan, 0.00%, Maturing May 17, 2014⁽²⁾		1,726,074
		Xsys, Inc.
	1,194	Term Loan, 2.89%, Maturing September 27, 2013		1,159,344
EUR	528	Term Loan, 3.28%, Maturing September 27, 2013		712,589
	1,277	Term Loan, 2.95%, Maturing September 27, 2014		1,239,589

			$	47,969,790

Radio and Television — 2.3%
		Block Communications, Inc.
	2,016	Term Loan, 2.30%, Maturing December 22, 2011	$	1,895,040
		CMP KC, LLC
	956	Term Loan, 6.25%, Maturing May 5, 2013⁽⁶⁾		274,426
		CMP Susquehanna Corp.
	3,037	Term Loan, 2.25%, Maturing May 5, 2013		2,495,508
		Discovery Communications, Inc.
	3,388	Term Loan, 2.25%, Maturing April 30, 2014		3,375,420
		Emmis Operating Co.
	1,010	Term Loan, 4.25%, Maturing November 2, 2013		848,646
		Entravision Communications Corp.
	1,560	Term Loan, 5.52%, Maturing September 29, 2013		1,530,108
		Gray Television, Inc.
	1,278	Term Loan, 3.75%, Maturing January 19, 2015		1,177,386
		HIT Entertainment, Inc.
	1,836	Term Loan, 2.56%, Maturing March 20, 2012		1,613,085
		Intelsat Corp.
	2,203	Term Loan, 2.73%, Maturing January 3, 2014		2,107,255
	2,203	Term Loan, 2.73%, Maturing January 3, 2014		2,106,610
	2,203	Term Loan, 2.74%, Maturing January 3, 2014		2,106,610


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Ion Media Networks, Inc.
	432	DIP Loan, 15.00%, Maturing May 29, 2010⁽⁶⁾	$	679,020
	3,250	Term Loan, 0.00%, Maturing January 15, 2012⁽²⁾		903,230
		NEP II, Inc.
	802	Term Loan, 2.56%, Maturing February 16, 2014		741,632
		Nexstar Broadcasting, Inc.
	2,075	Term Loan, 5.02%, Maturing October 1, 2012		2,031,058
	1,962	Term Loan, 5.07%, Maturing October 1, 2012		1,920,124
		Raycom TV Broadcasting, LLC
	1,900	Term Loan, 1.98%, Maturing June 25, 2014		1,662,500
		SFX Entertainment
	1,132	Term Loan, 3.50%, Maturing June 21, 2013		1,092,714
		Sirius Satellite Radio, Inc.
	733	Term Loan, 2.50%, Maturing December 19, 2012		698,302
		Univision Communications, Inc.
	12,650	Term Loan, 2.51%, Maturing September 29, 2014		11,049,775
		Young Broadcasting, Inc.
	2,310	Term Loan, 0.00%, Maturing November 3, 2012⁽²⁾		1,849,426

			$	42,157,875

Rail Industries — 0.2%
		Kansas City Southern Railway Co.
	3,281	Term Loan, 2.01%, Maturing April 26, 2013	$	3,186,671

			$	3,186,671

Retailers (Except Food and Drug) — 1.1%
		American Achievement Corp.
	576	Term Loan, 6.31%, Maturing March 25, 2011	$	547,508
		Amscan Holdings, Inc.
	705	Term Loan, 2.51%, Maturing May 25, 2013		660,996
		Cumberland Farms, Inc.
	2,000	Term Loan, 2.78%, Maturing September 29, 2013		1,830,320
		Harbor Freight Tools USA, Inc.
	1,633	Term Loan, 9.75%, Maturing July 15, 2010		1,639,399
		Josten’s Corp.
	1,991	Term Loan, 2.24%, Maturing October 4, 2011		1,974,742
		Mapco Express, Inc.
	1,034	Term Loan, 6.51%, Maturing April 28, 2011		986,999
		Neiman Marcus Group, Inc.
	1,517	Term Loan, 2.26%, Maturing April 5, 2013		1,387,205
		Orbitz Worldwide, Inc.
	1,662	Term Loan, 3.25%, Maturing July 25, 2014		1,588,633
		Oriental Trading Co., Inc.
	2,043	Term Loan, 9.75%, Maturing July 31, 2013		1,757,015
	1,150	Term Loan - Second Lien, 6.25%, Maturing January 31, 2013		316,250
		Rent-A-Center, Inc.
	56	Term Loan, 2.00%, Maturing November 15, 2012		54,609
	1,001	Term Loan, 3.27%, Maturing May 31, 2015		991,087
		Savers, Inc.
	430	Term Loan, 2.99%, Maturing August 11, 2012		417,543
	484	Term Loan, 3.00%, Maturing August 11, 2012		469,135
		Vivarte
EUR	807	Term Loan, 2.45%, Maturing May 29, 2015		952,369
EUR	32	Term Loan, 2.48%, Maturing May 29, 2015		38,129
EUR	126	Term Loan, 2.48%, Maturing May 29, 2015		148,278
EUR	32	Term Loan, 2.95%, Maturing May 29, 2016		38,129
EUR	807	Term Loan, 2.95%, Maturing May 29, 2016		952,369
EUR	126	Term Loan, 2.96%, Maturing May 29, 2016		148,278


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Yankee Candle Company, Inc. (The)
	2,701	Term Loan, 2.25%, Maturing February 6, 2014	$	2,621,766

			$	19,520,759

Steel — 0.1%
		Niagara Corp.
	1,438	Term Loan, 7.31%, Maturing June 29, 2014	$	949,162

			$	949,162

Surface Transport — 0.2%
		Oshkosh Truck Corp.
	683	Term Loan, 6.26%, Maturing December 6, 2013	$	687,083
		Swift Transportation Co., Inc.
	3,004	Term Loan, 8.25%, Maturing May 10, 2014		2,890,122

			$	3,577,205

Telecommunications — 1.5%
		Asurion Corp.
	2,444	Term Loan, 3.24%, Maturing July 13, 2012	$	2,377,042
	1,000	Term Loan - Second Lien, 6.75%, Maturing January 13, 2013		981,250
		BCM Luxembourg, Ltd.
EUR	1,827	Term Loan, 2.34%, Maturing September 30, 2014		2,392,432
EUR	1,828	Term Loan, 2.56%, Maturing September 30, 2015		2,392,920
EUR	1,500	Term Loan - Second Lien, 4.74%, Maturing March 31, 2016		1,825,452
		CommScope, Inc.
	1,649	Term Loan, 2.75%, Maturing November 19, 2014		1,625,063
		Intelsat Subsidiary Holding Co.
	1,258	Term Loan, 2.74%, Maturing July 3, 2013		1,211,764
		Iowa Telecommunications Services
	2,776	Term Loan, 2.01%, Maturing November 23, 2011		2,765,243
		IPC Systems, Inc.
GBP	1,421	Term Loan, 2.89%, Maturing May 31, 2014		1,907,433
		Macquarie UK Broadcast Ventures, Ltd.
GBP	1,071	Term Loan, 2.53%, Maturing December 26, 2014		1,437,626
		NTelos, Inc.
	998	Term Loan, 5.98%, Maturing August 13, 2015		1,006,852
		Palm, Inc.
	1,051	Term Loan, 3.90%, Maturing April 24, 2014		929,969
		Stratos Global Corp.
	1,186	Term Loan, 2.75%, Maturing February 13, 2012		1,170,928
		Trilogy International Partners
	1,225	Term Loan, 3.88%, Maturing June 29, 2012		1,035,125
		Windstream Corp.
	3,940	Term Loan, 3.03%, Maturing December 17, 2015		3,910,309

			$	26,969,408

Utilities — 1.1%
		AEI Finance Holding, LLC
	389	Revolving Loan, 3.24%, Maturing March 30, 2012	$	360,009
	2,644	Term Loan, 3.25%, Maturing March 30, 2014		2,449,435
		Astoria Generating Co.
	1,250	Term Loan - Second Lien, 4.02%, Maturing August 23, 2013		1,183,334
		Calpine Corp.
	1,166	DIP Loan, 3.23%, Maturing March 29, 2014		1,105,179
		Electricinvest Holding Co.
GBP	540	Term Loan, 5.07%, Maturing October 24, 2012		716,448
EUR	536	Term Loan - Second Lien, 4.99%, Maturing October 24, 2012		622,004
		Mirant North America, LLC
	746	Term Loan, 1.99%, Maturing January 3, 2013		727,257


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		NRG Energy, Inc.
	2,994	Term Loan, 1.71%, Maturing June 1, 2014	$	2,904,646
	5,090	Term Loan, 2.00%, Maturing June 1, 2014		4,937,144
		Pike Electric, Inc.
	470	Term Loan, 1.81%, Maturing July 1, 2012		446,865
	354	Term Loan, 1.89%, Maturing December 10, 2012		336,662
		TXU Texas Competitive Electric Holdings Co., LLC
	1,124	Term Loan, 3.75%, Maturing October 10, 2014		923,344
	3,079	Term Loan, 3.75%, Maturing October 10, 2014		2,514,192

			$	19,226,519


Total Senior Floating-Rate Interests (identified cost $873,860,413)			$	817,627,993

Corporate Bonds & Notes — 44.2%


Principal
Amount
(000’s omitted)		Security	Value
Aerospace and Defense — 0.2%
		Alion Science and Technologies Corp.
$	1,500	10.25%, 2/1/15	$	1,226,250
		Bombardier, Inc., Sr. Notes
	1,425	8.00%, 11/15/14⁽⁷⁾		1,492,688

			$	2,718,938

Air Transport — 0.0%
		United Air Lines, Inc., Sr. Notes
$	570	9.875%, 8/1/13⁽⁷⁾	$	578,550

			$	578,550

Automotive — 1.2%
		Affinia Group, Inc., Sr. Notes
$	665	10.75%, 8/15/16⁽⁷⁾	$	731,500
		Allison Transmission, Inc.
	685	11.00%, 11/1/15⁽⁷⁾		726,100
	3,599	11.25%, 11/1/15⁽³⁾⁽⁷⁾		3,805,625
		American Axle & Manufacturing Holdings, Inc., Sr. Notes
	1,305	9.25%, 1/15/17⁽⁷⁾		1,357,200
	1,160	7.875%, 3/1/17		1,012,100
		Commercial Vehicle Group, Inc., Sr. Notes
	1,570	8.00%, 7/1/13		957,700
		Goodyear Tire & Rubber Co. (The), Sr. Notes
	4,880	10.50%, 5/15/16		5,319,200
		Tenneco Automotive, Inc., Series B
	6,073	10.25%, 7/15/13		6,255,190
		United Components, Inc., Sr. Sub. Notes
	990	9.375%, 6/15/13		985,050

			$	21,149,665


Principal
Amount
(000’s omitted)		Security	Value
Banks and Thrifts — 1.0%
		Capital One Financial Corp.
$	1,750	8.875%, 5/15/40	$	1,833,925
		Citigroup, Inc.
	3,500	5.00%, 9/15/14		3,429,041
		General Motors Acceptance Corp.
	640	8.00%, 12/31/18		611,200
		Goldman Sachs Group, Inc.
	2,500	5.625%, 1/15/17		2,567,713
		HSBC Finance Corp., Sr. Notes
	1,750	5.50%, 1/19/16		1,871,525
		Standard Chartered Bank, Sr. Notes
	3,025	6.40%, 9/26/17⁽⁷⁾		3,254,555
		Wachovia Corp.
	3,750	5.625%, 10/15/16		3,907,736

			$	17,475,695

Beverage and Tobacco — 0.1%
		Altria Group, Inc.
$	1,000	9.70%, 11/10/18	$	1,254,359

			$	1,254,359

Broadcast Radio and Television — 1.5%
		Clear Channel Communications, Inc., Sr. Notes
$	1,530	7.65%, 9/15/10	$	1,491,750
	6,125	6.25%, 3/15/11		5,788,125
	695	4.40%, 5/15/11		628,975
		Clear Channel Worldwide Holdings, Inc.
	765	Series A, 9.25%, 12/15/17⁽⁷⁾		786,038
	3,055	Series B, 9.25%, 12/15/17⁽⁷⁾		3,161,925
		Historic TW, Inc.
	1,025	6.875%, 6/15/18		1,171,279
		Rainbow National Services, LLC, Sr. Sub. Notes
	1,470	10.375%, 9/1/14⁽⁷⁾		1,558,200
		Sirius XM Radio, Inc., Sr. Notes
	1,665	9.75%, 9/1/15⁽⁷⁾		1,781,550
		Warner Music Group Acquisition Corp., Sr. Notes
	3,740	9.50%, 6/15/16⁽⁷⁾		4,029,850
		XM Satellite Radio Holdings, Inc., Sr. Notes
	2,745	11.25%, 6/15/13⁽⁷⁾		2,950,875
	2,885	13.00%, 8/1/14⁽⁷⁾		3,180,712

			$	26,529,279

Brokers, Dealers and Investment Houses — 0.4%
		FMR, LLC
$	2,000	7.49%, 6/15/19⁽⁷⁾	$	2,295,632
		Merrill Lynch & Co., Inc., Sr. Sub Notes
	2,750	6.05%, 5/16/16		2,809,240
		Raymond James Financial, Inc., Sr. Notes
	2,300	8.60%, 8/15/19		2,596,539

			$	7,701,411


Principal
Amount
(000’s omitted)		Security	Value
Building and Development — 0.5%
		CB Richard Ellis Service, Inc., Sr. Sub. Notes
$	2,575	11.625%, 6/15/17	$	2,909,750
		Interface, Inc., Sr. Notes
	850	11.375%, 11/1/13⁽⁷⁾		964,750
		Ply Gem Industries, Inc., Sr. Notes
	1,095	11.75%, 6/15/13		1,119,638
		Texas Industries, Inc., Sr. Notes
	1,640	7.25%, 7/15/13		1,640,000
		Toll Brothers Finance Corp.
	1,500	6.75%, 11/1/19		1,518,292
		USG Corp.
	860	9.75%, 8/1/14⁽⁷⁾		915,900

			$	9,068,330

Business Equipment and Services — 2.7%
		ACCO Brands Corp.
$	1,485	7.625%, 8/15/15	$	1,399,613
		ACCO Brands Corp., Sr. Notes
	1,600	10.625%, 3/15/15⁽⁷⁾		1,760,000
		Affinion Group, Inc.
	2,560	11.50%, 10/15/15		2,662,400
		Brocade Communications Systems, Inc., Sr. Notes
	700	6.625%, 1/15/18⁽⁷⁾		712,250
	695	6.875%, 1/15/20⁽⁷⁾		712,375
		Education Management, LLC, Sr. Notes
	4,955	8.75%, 6/1/14		5,140,812
		Education Management, LLC, Sr. Sub. Notes
	1,161	10.25%, 6/1/16		1,245,173
		First Data Corp.
	1,410	9.875%, 9/24/15		1,265,475
		KAR Holdings, Inc.
	1,845	8.75%, 5/1/14		1,884,206
		MediMedia USA, Inc., Sr. Sub. Notes
	2,415	11.375%, 11/15/14⁽⁷⁾		2,137,275
		Muzak, LLC/Muzak Finance, Sr. Notes
	5,250	10.00%, 12/31/09⁽⁵⁾		2,257,500
		RSC Equipment Rental, Inc., Sr. Notes
	3,910	10.00%, 7/15/17⁽⁷⁾		4,271,675
		SunGard Data Systems, Inc., Sr. Notes
	11,035	10.625%, 5/15/15⁽⁷⁾		12,055,737
		Ticketmaster Entertainment, Inc.
	2,700	10.75%, 8/1/16		2,963,250
		United Rentals North America, Inc.
	3,055	10.875%, 6/15/16		3,349,044
		West Corp.
	5,250	9.50%, 10/15/14		5,302,500

			$	49,119,285

Cable and Satellite Television — 0.9%
		CCO Holdings, LLC/CCO Capital Corp., Sr. Notes
$	2,360	8.75%, 11/15/13⁽²⁾	$	2,404,250
		Charter Communications, Inc., Sr. Notes
	645	8.375%, 4/30/14⁽⁷⁾		659,513
	2,740	10.875%, 9/15/14⁽⁷⁾		3,082,500


Principal
Amount
(000’s omitted)		Security	Value
		Kabel Deutschland GmbH
$	2,865	10.625%, 7/1/14	$	3,008,250
		National Cable PLC, Sr. Notes
	3,535	9.125%, 8/15/16		3,694,075
		Time Warner Cable, Inc.
	1,055	8.75%, 2/14/19		1,307,167
		Virgin Media Finance PLC
	2,535	9.50%, 8/15/16		2,699,775

			$	16,855,530

Chemicals and Plastics — 1.1%
		Ashland, Inc.
$	2,480	9.125%, 6/1/17⁽⁷⁾	$	2,709,400
		CII Carbon, LLC
	2,420	11.125%, 11/15/15⁽⁷⁾		2,456,300
		INEOS Group Holdings PLC, Sr. Sub. Notes
	4,035	8.50%, 2/15/16⁽⁷⁾		2,723,625
		Nalco Co., Sr. Notes
	1,975	8.25%, 5/15/17⁽⁷⁾		2,103,375
		Nova Chemicals Corp., Sr. Notes
	1,960	8.375%, 11/1/16⁽⁷⁾		1,984,500
		Reichhold Industries, Inc., Sr. Notes
	7,255	9.00%, 8/15/14⁽⁷⁾		6,420,675
		Scotts Miracle-Gro Co. (The)
	565	7.25%, 1/15/18		576,300
		Solutia, Inc.
	1,725	8.75%, 11/1/17		1,832,812
		Wellman Holdings, Inc., Sr. Sub. Notes
	249	5.00%, 1/29/19⁽⁶⁾		91,632

			$	20,898,619

Clothing/Textiles — 1.0%
		Levi Strauss & Co., Sr. Notes
$	2,435	9.75%, 1/15/15	$	2,556,750
	560	8.875%, 4/1/16		585,200
		Oxford Industries, Inc., Sr. Notes
	2,515	11.375%, 7/15/15		2,829,375
		Perry Ellis International, Inc., Sr. Sub. Notes
	9,845	8.875%, 9/15/13		9,931,144
		Quiksilver, Inc.
	3,060	6.875%, 4/15/15		2,677,500

			$	18,579,969

Conglomerates — 0.4%
		RBS Global & Rexnord Corp.
$	1,762	9.50%, 8/1/14⁽⁷⁾	$	1,775,215
	1,705	11.75%, 8/1/16		1,751,887
		Tyco International Finance
	2,750	8.50%, 1/15/19		3,454,806

			$	6,981,908

Containers and Glass Products — 0.3%
		Intertape Polymer US, Inc., Sr. Sub. Notes
$	3,220	8.50%, 8/1/14	$	2,761,150
		Solo Cup Co., Sr. Notes
	1,680	10.50%, 11/1/13		1,772,400

			$	4,533,550


Principal
Amount
(000’s omitted)		Security	Value
Diversified Financial Services — 0.1%
		General Electric Capital Corp., Sr. Notes
$	2,000	5.625%, 5/1/18	$	2,048,418

			$	2,048,418

Diversified Media — 0.2%
		Catalina Marketing Corp.
$	680	10.50%, 10/1/15⁽³⁾⁽⁷⁾	$	712,300
		Interpublic Group Cos., Inc.
	3,385	10.00%, 7/15/17		3,757,350

			$	4,469,650

Drugs — 0.1%
		Valeant Pharmaceuticals International
$	1,795	8.375%, 6/15/16⁽⁷⁾	$	1,871,288

			$	1,871,288

Ecological Services and Equipment — 0.4%
		Casella Waste Systems, Inc., Sr. Notes
$	845	11.00%, 7/15/14⁽⁷⁾	$	921,050
		Environmental Systems Product Holdings, Inc., Jr. Notes
	149	18.00%, 3/31/15⁽³⁾⁽⁶⁾		119,296
		Waste Services, Inc., Sr. Sub. Notes
	1,670	9.50%, 4/15/14⁽⁷⁾		1,736,800
	4,085	9.50%, 4/15/14		4,248,400

			$	7,025,546

Electronics/Electrical — 0.2%
		Amkor Technologies, Inc., Sr. Notes
$	3,490	9.25%, 6/1/16	$	3,664,500
		NXP BV/NXP Funding, LLC, Variable Rate
	1,025	3.001%, 10/15/13		859,719

			$	4,524,219

Equipment Leasing — 0.2%
		Hertz Corp.
$	1,905	8.875%, 1/1/14	$	1,928,812
	800	10.50%, 1/1/16		842,000

			$	2,770,812

Financial Intermediaries — 0.7%
		Ford Motor Credit Co., Sr. Notes
$	910	9.875%, 8/10/11	$	952,391
	2,310	7.50%, 8/1/12		2,341,501
	1,715	12.00%, 5/15/15		1,971,418
	6,465	8.00%, 12/15/16		6,511,820
		Janus Capital Group, Inc., Sr. Notes
	1,000	6.95%, 6/15/17		991,437

			$	12,768,567

Food Products — 0.9%
		ASG Consolidated, LLC/ASG Finance, Inc., Sr. Disc. Notes
$	5,680	11.50%, 11/1/11	$	5,722,600
		Bunge, Ltd. Finance Corp.
	2,380	8.50%, 6/15/19		2,798,330
		Dole Foods Co.
	2,103	13.875%, 3/15/14⁽⁷⁾		2,523,600
		Smithfield Foods, Inc., Sr. Notes
	3,275	7.00%, 8/1/11		3,291,375
	2,600	10.00%, 7/15/14⁽⁷⁾		2,843,750

			$	17,179,655


Principal
Amount
(000’s omitted)		Security	Value
Food Service — 0.4%
		El Pollo Loco, Inc.
$	2,980	11.75%, 11/15/13	$	2,786,300
		NPC International, Inc., Sr. Sub. Notes
	4,370	9.50%, 5/1/14		4,370,000
		U.S. Foodservice, Inc., Sr. Notes
	640	10.25%, 6/30/15⁽⁷⁾		652,800

			$	7,809,100

Food/Drug Retailers — 0.9%
		CVS Caremark Corp., Sr. Notes
$	1,500	5.75%, 6/1/17	$	1,601,967
		General Nutrition Center, Sr. Notes, Variable Rate
	10,725	5.178%, 3/15/14⁽³⁾		10,001,062
		General Nutrition Center, Sr. Sub. Notes
	4,955	10.75%, 3/15/15		5,066,488

			$	16,669,517

Forest Products — 0.8%
		Domtar Corp., Sr. Notes
$	3,485	10.75%, 6/1/17	$	4,060,025
		NewPage Corp., Sr. Notes
	10,000	11.375%, 12/31/14⁽⁷⁾		9,725,000

			$	13,785,025

Health Care — 3.9%
		Accellent, Inc.
$	3,320	10.50%, 12/1/13	$	3,344,900
		Accellent, Inc., Sr. Notes
	2,910	8.375%, 2/1/17⁽⁷⁾		2,953,650
		AMR HoldCo, Inc./EmCare HoldCo, Inc., Sr. Sub. Notes
	4,430	10.00%, 2/15/15		4,662,575
		Apria Healthcare Group, Inc., Sr. Notes
	410	12.375%, 11/1/14⁽⁷⁾		443,825
		Biomet, Inc.
	2,825	10.375%, 10/15/17⁽³⁾		3,093,375
	10,915	11.625%, 10/15/17		12,061,075
		DJO Finance, LLC/DJO Finance Corp.
	4,625	10.875%, 11/15/14		4,925,625
		DJO Finance, LLC/DJO Finance Corp., Sr. Notes
	330	10.875%, 11/15/14⁽⁷⁾		351,450
		Fresenius US Finance II, Inc., Sr. Notes
	1,400	9.00%, 7/15/15⁽⁷⁾		1,575,000
		HCA, Inc.
	2,115	9.25%, 11/15/16		2,236,612
	2,970	9.875%, 2/15/17⁽⁷⁾		3,244,725
		Inverness Medical Innovations, Inc., Sr. Sub. Notes
	4,245	9.00%, 5/15/16		4,351,125
		MultiPlan, Inc., Sr. Sub. Notes
	5,165	10.375%, 4/15/16⁽⁷⁾		5,345,775
		National Mentor Holdings, Inc.
	3,810	11.25%, 7/1/14		3,829,050
		Res-Care, Inc., Sr. Notes
	2,160	7.75%, 10/15/13		2,143,800
		Rural/Metro Corp., Sr. Disc. Notes
	2,335	12.75%, (0.00% until 3/15/10), 3/15/16		2,416,725
		US Oncology, Inc.
	5,350	10.75%, 8/15/14		5,604,125
		US Oncology, Inc., Sr. Notes
	4,235	9.125%, 8/15/17		4,467,925


Principal
Amount
(000’s omitted)		Security	Value
		Viant Holdings, Inc.
$	4,727	10.125%, 7/15/17⁽⁷⁾	$	4,703,365

			$	71,754,702

Home Furnishings — 0.3%
		Fortune Brands, Inc., Sr. Notes
$	1,700	5.375%, 1/15/16	$	1,763,889
		Libbey Glass, Inc., Sr. Notes
	2,245	10.00%, 2/15/15⁽⁷⁾		2,276,812
		Sealy Mattress Co.
	1,495	8.25%, 6/15/14		1,495,000
		Sealy Mattress Co., Sr. Notes
	505	10.875%, 4/15/16⁽⁷⁾		568,125

			$	6,103,826

Industrial Equipment — 0.4%
		Chart Industries, Inc., Sr. Sub. Notes
$	2,170	9.125%, 10/15/15	$	2,175,425
		ESCO Corp., Sr. Notes
	1,595	8.625%, 12/15/13⁽⁷⁾		1,608,956
		Terex Corp., Sr. Notes
	3,710	10.875%, 6/1/16		4,108,825

			$	7,893,206

Insurance — 0.5%
		Aflac, Inc., Sr. Notes
$	2,000	8.50%, 5/15/19	$	2,346,122
		Alliant Holdings I, Inc.
	1,885	11.00%, 5/1/15⁽⁷⁾		1,922,700
		HUB International Holdings, Inc., Sr. Notes
	1,750	9.00%, 12/15/14⁽⁷⁾		1,701,875
		Lincoln National Corp., Sr. Notes
	1,400	7.00%, 3/15/18		1,486,149
		Principal Financial Group, Inc.
	545	8.875%, 5/15/19		651,430
		U.S.I. Holdings Corp., Sr. Notes, Variable Rate
	1,320	4.148%, 11/15/14⁽⁷⁾		1,122,000

			$	9,230,276

Leisure Goods/Activities/Movies — 1.6%
		AMC Entertainment, Inc.
$	13,080	11.00%, 2/1/16	$	14,126,400
		HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital Corp.
	2,170	12.50%, 12/31/49^(2)(6)(7)		0
		HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital Corp., Variable Rate
	3,975	0.00%, 12/31/49^(2)(6)(7)		0
		Marquee Holdings, Inc., Sr. Disc. Notes
	6,340	9.505%, 8/15/14		5,373,150
		MU Finance PLC, Sr. Notes
	2,195	8.375%, 2/1/17⁽⁷⁾		2,151,100
		Royal Caribbean Cruises, Sr. Notes
	340	8.75%, 2/2/11		354,450
	2,150	7.00%, 6/15/13		2,144,625
	1,380	6.875%, 12/1/13		1,373,100
	645	7.25%, 6/15/16		632,100
	1,650	7.25%, 3/15/18		1,596,375
		Universal City Development Partners, Sr. Notes
	1,240	8.875%, 11/15/15⁽⁷⁾		1,255,500

			$	29,006,800


Principal
Amount
(000’s omitted)		Security	Value
Lodging and Casinos — 3.1%
		Buffalo Thunder Development Authority
$	4,080	9.375%, 12/15/49⁽²⁾⁽⁷⁾	$	714,000
		CCM Merger, Inc.
	4,025	8.00%, 8/1/13⁽⁷⁾		3,320,625
		Chukchansi EDA, Sr. Notes, Variable Rate
	3,080	4.024%, 11/15/12⁽⁷⁾		2,479,400
		Fontainebleau Las Vegas Casino, LLC
	8,870	10.25%, 6/15/15⁽²⁾⁽⁷⁾		133,050
		Galaxy Entertainment Finance
	2,610	9.875%, 12/15/12⁽⁷⁾		2,688,300
		Greektown Holdings, LLC, Sr. Notes
	1,095	10.75%, 12/1/13⁽²⁾⁽⁷⁾		136,875
		Harrah’s Operating Co., Inc., Sr. Notes
	4,160	11.25%, 6/1/17⁽⁷⁾		4,440,800
		Indianapolis Downs, LLC & Capital Corp., Sr. Notes
	2,050	11.00%, 11/1/12⁽⁷⁾		1,394,000
		Inn of the Mountain Gods, Sr. Notes
	5,575	12.00%, 11/15/49⁽²⁾		2,773,562
		Majestic HoldCo, LLC
	1,540	12.50%, 12/31/49⁽²⁾⁽⁷⁾		7,700
		MGM Mirage, Inc.
	4,200	8.375%, 2/1/11		4,058,250
	1,715	11.125%, 11/15/17⁽⁷⁾		1,937,950
		MGM Mirage, Inc., Sr. Notes
	1,655	10.375%, 5/15/14⁽⁷⁾		1,824,638
		Mohegan Tribal Gaming Authority, Sr. Sub. Notes
	4,775	8.00%, 4/1/12		4,422,844
	3,265	7.125%, 8/15/14		2,538,537
	3,425	6.875%, 2/15/15		2,525,938
		Park Place Entertainment
	6,035	7.875%, 3/15/10		6,080,262
		Peninsula Gaming, LLC
	495	8.375%, 8/15/15⁽⁷⁾		504,900
	2,235	10.75%, 8/15/17⁽⁷⁾		2,290,875
		Pinnacle Entertainment, Inc., Sr. Sub. Notes
	1,155	7.50%, 6/15/15		1,074,150
		Pokagon Gaming Authority, Sr. Notes
	1,101	10.375%, 6/15/14⁽⁷⁾		1,154,674
		San Pasqual Casino
	1,215	8.00%, 9/15/13⁽⁷⁾		1,166,400
		Seminole Hard Rock Entertainment, Variable Rate
	1,930	2.754%, 3/15/14⁽⁷⁾		1,712,875
		Tunica-Biloxi Gaming Authority, Sr. Notes
	3,405	9.00%, 11/15/15⁽⁷⁾		3,200,700
		Waterford Gaming, LLC, Sr. Notes
	5,078	8.625%, 9/15/14⁽⁶⁾⁽⁷⁾		4,053,260

			$	56,634,565

Nonferrous Metals/Minerals — 1.6%
		Arch Coal, Inc., Sr. Notes
$	980	8.75%, 8/1/16⁽⁷⁾	$	1,048,600
		FMG Finance PTY, Ltd.
	8,090	10.625%, 9/1/16⁽⁷⁾		9,202,375
		Novelis, Inc./GA, Sr. Notes
	1,000	11.50%, 2/15/15⁽⁷⁾		1,087,500
		Rio Tinto Finance USA Ltd.
	1,400	9.00%, 5/1/19		1,790,646


Principal
Amount
(000’s omitted)		Security	Value
		Teck Resources, Ltd., Sr. Notes
$	3,515	9.75%, 5/15/14	$	4,033,463
	2,635	10.25%, 5/15/16		3,023,663
	7,845	10.75%, 5/15/19		9,276,712

			$	29,462,959

Oil and Gas — 4.3%
		Allis-Chalmers Energy, Inc., Sr. Notes
$	1,800	9.00%, 1/15/14	$	1,755,000
		Antero Resources Finance Corp., Sr. Notes
	1,115	9.375%, 12/1/17⁽⁷⁾		1,170,750
		Berry Petroleum Co., Sr. Notes
	2,435	10.25%, 6/1/14		2,678,500
		Bill Barrett Corp.
	505	9.875%, 7/15/16		545,400
		Chesapeake Energy Corp.
	3,150	6.875%, 1/15/16		3,118,500
		Clayton Williams Energy, Inc.
	2,200	7.75%, 8/1/13		2,112,000
		Compton Pet Finance Corp.
	2,360	7.625%, 12/1/13		1,905,700
		Denbury Resources, Inc., Sr. Sub. Notes
	1,290	7.50%, 12/15/15		1,293,225
	3,285	9.75%, 3/1/16		3,477,994
		El Paso Corp.
	2,055	8.25%, 2/15/16		2,224,537
		El Paso Corp., Sr. Notes
	3,220	9.625%, 5/15/12		3,357,504
		Energy Transfer Partners LP, Sr. Notes
	2,800	9.70%, 3/15/19		3,568,113
		Forbes Energy Services, Sr. Notes
	4,605	11.00%, 2/15/15		4,455,337
		Forest Oil Corp.
	410	7.25%, 6/15/19		414,100
		Holly Corp.
	2,535	9.875%, 6/15/17⁽⁷⁾		2,699,775
		Marathon Oil Corp.
	2,850	7.50%, 2/15/19		3,309,862
		McJunkin Red Man Corp., Sr. Notes
	2,045	9.50%, 12/15/16⁽⁷⁾		2,050,113
		OPTI Canada, Inc., Sr. Notes
	1,795	7.875%, 12/15/14		1,566,138
	1,900	8.25%, 12/15/14		1,681,500
		Petroleum Development Corp., Sr. Notes
	1,805	12.00%, 2/15/18		1,904,275
		Petroplus Finance, Ltd.
	430	6.75%, 5/1/14⁽⁷⁾		399,900
	2,705	7.00%, 5/1/17⁽⁷⁾		2,441,262
		Petroplus Finance, Ltd., Sr. Notes
	4,260	9.375%, 9/15/19⁽⁷⁾		4,238,700
		Quicksilver Resources, Inc.
	2,290	7.125%, 4/1/16		2,184,088
		Quicksilver Resources, Inc., Sr. Notes
	3,515	11.75%, 1/1/16		4,068,612
		SESI, LLC, Sr. Notes
	660	6.875%, 6/1/14		656,700
		Southwestern Energy Co., Sr. Notes
	4,200	7.50%, 2/1/18		4,494,000
		Stewart & Stevenson, LLC, Sr. Notes
	3,250	10.00%, 7/15/14		3,022,500


Principal
Amount
(000’s omitted)		Security	Value
		Tesoro Corp.
$	1,135	9.75%, 6/1/19	$	1,230,056
		United Refining Co., Sr. Notes
	11,495	10.50%, 8/15/12		11,150,150

			$	79,174,291

Publishing — 1.3%
		Dex Media West/Finance, Series B
$	2,815	9.875%, 8/15/49⁽²⁾	$	992,288
		Laureate Education, Inc.
	8,490	10.00%, 8/15/15⁽⁷⁾		8,797,762
	3,062	10.25%, 8/15/15⁽³⁾⁽⁷⁾		2,939,204
		Local Insight Regatta Holdings, Inc.
	1,430	11.00%, 12/1/17		936,650
		Nielsen Finance, LLC
	6,200	10.00%, 8/1/14		6,479,000
	2,490	11.50%, 5/1/16		2,801,250
	870	12.50%, (0.00% until 8/1/11), 8/1/16		800,400
		Nielsen Finance, LLC, Sr. Notes
	300	11.625%, 2/1/14		337,500
		Reader’s Digest Association, Inc. (The), Sr. Sub. Notes
	7,275	9.00%, 2/15/17⁽²⁾		109,853

			$	24,193,907

Rail Industries — 0.6%
		American Railcar Industry, Sr. Notes
$	1,940	7.50%, 3/1/14	$	1,843,000
		Kansas City Southern Mexico, Sr. Notes
	47	9.375%, 5/1/12		48,410
	2,530	7.625%, 12/1/13		2,555,300
	1,055	7.375%, 6/1/14		1,044,450
	4,000	8.00%, 6/1/15		4,135,000
	500	8.00%, 2/1/18⁽⁷⁾		495,000

			$	10,121,160

Real Estate Investment Trusts (REITs) — 0.1%
		Simon Property Group , LP, Sr. Notes
$	800	10.35%, 4/1/19	$	1,043,400

			$	1,043,400

Retailers (Except Food and Drug) — 4.1%
		Amscan Holdings, Inc., Sr. Sub. Notes
$	5,910	8.75%, 5/1/14	$	5,865,675
		JC Penney Corp., Inc., Sr. Notes
	1,875	8.00%, 3/1/10		1,882,031
		Limited Brands, Inc., Sr. Notes
	3,960	8.50%, 6/15/19⁽⁷⁾		4,336,200
		Neiman Marcus Group, Inc.
	10,161	9.00%, 10/15/15		9,932,655
	8,170	10.375%, 10/15/15		8,047,450
		Nordstrom, Inc.
	750	6.25%, 1/15/18		821,366
		Sally Holdings, LLC, Sr. Notes
	11,100	10.50%, 11/15/16		11,932,500
		Toys “R” Us
	7,785	7.625%, 8/1/11		8,076,937
	11,075	7.875%, 4/15/13		11,324,187
	4,985	10.75%, 7/15/17⁽⁷⁾		5,545,813
	325	7.375%, 10/15/18		303,063


Principal
Amount
(000’s omitted)		Security	Value
		Yankee Acquisition Corp., Series B
$	5,865	8.50%, 2/15/15	$	5,894,325
	835	9.75%, 2/15/17		839,175

			$	74,801,377

Software and Services — 0.2%
		CA, Inc.
$	950	5.375%, 12/1/19	$	976,171
		GXS Worldwide, Inc., Sr. Notes
	2,050	9.75%, 6/15/15⁽⁷⁾		1,998,750

			$	2,974,921

Steel — 0.1%
		RathGibson, Inc., Sr. Notes
$	4,905	11.25%, 2/15/14⁽²⁾	$	1,643,175

			$	1,643,175

Surface Transport — 0.4%
		CEVA Group, PLC, Sr. Notes
$	3,750	10.00%, 9/1/14⁽⁷⁾	$	3,623,437
		Ryder System, Inc., MTN
	2,250	7.20%, 9/1/15		2,568,231
		Teekay Corp., Sr. Notes
	1,110	8.50%, 1/15/20		1,132,200

			$	7,323,868

Telecommunications — 4.4%
		America Movil SAB de CV
$	2,000	5.625%, 11/15/17	$	2,094,980
		Avaya, Inc., Sr. Notes
	6,120	10.125%, 11/1/15⁽³⁾⁽⁷⁾		5,722,016
		Clearwire Communications LLC/Clearwire Finance, Inc., Sr. Notes
	985	12.00%, 12/1/15⁽⁷⁾		994,850
		Digicel Group, Ltd., Sr. Notes
	1,560	12.00%, 4/1/14⁽⁷⁾		1,739,400
	12,381	9.125%, 1/15/15⁽⁷⁾		12,257,190
		Intelsat Bermuda, Ltd.
	15,335	11.25%, 6/15/16		16,370,112
		Intelsat Subsidiary Holdings Co., Ltd.
	680	8.875%, 1/15/15⁽⁷⁾		697,000
	830	8.875%, 1/15/15		854,900
		Macquarie Group, Ltd., Sr. Notes
	3,870	6.00%, 1/14/20⁽⁷⁾		3,831,644
		NII Capital Corp.
	3,490	10.00%, 8/15/16⁽⁷⁾		3,664,500
		Qwest Communications International, Inc.
	5,120	7.50%, 2/15/14		5,177,600
		Qwest Corp., Sr. Notes
	1,940	7.625%, 6/15/15		2,061,250
		Qwest Corp., Sr. Notes, Variable Rate
	1,000	3.504%, 6/15/13		982,500
		SBA Telecommunications, Inc.
	1,475	8.00%, 8/15/16⁽⁷⁾		1,537,688
	985	8.25%, 8/15/19⁽⁷⁾		1,039,175
		Sorenson Communications, Inc., Sr. Notes
	2,945	10.50%, 2/1/15⁽⁷⁾		2,797,750
		Sprint Capital Corp.
	585	6.875%, 11/15/28		462,150
		Telecom Italia Capital SA
	2,600	6.999%, 6/4/18		2,888,015


Principal
Amount
(000’s omitted)		Security	Value
		Telesat Canada/Telesat, LLC, Sr. Notes
$	3,305	11.00%, 11/1/15	$	3,709,863
		Telesat Canada/Telesat, LLC, Sr. Sub. Notes
	6,830	12.50%, 11/1/17		7,854,500
		Wind Acquisition Finance SA, Sr. Notes
	4,010	11.75%, 7/15/17⁽⁷⁾		4,380,925

			$	81,118,008

Utilities — 1.1%
		AES Corp., Sr. Notes
$	1,818	8.75%, 5/15/13⁽⁷⁾	$	1,863,450
	965	8.00%, 10/15/17		977,063
		Calpine Construction Finance Co., Sr. Notes
	4,275	8.00%, 6/1/16⁽⁷⁾		4,381,875
		Dominion Resources, Inc., Sr. Notes
	2,500	8.875%, 1/15/19		3,174,607
		Edison Mission Energy, Sr. Notes
	1,005	7.00%, 5/15/17		798,975
	1,130	7.20%, 5/15/19		881,400
		NGC Corp.
	4,395	7.625%, 10/15/26		3,362,175
		NRG Energy, Inc., Sr. Notes
	4,915	7.375%, 2/1/16		4,902,712
		Reliant Energy, Inc., Sr. Notes
	350	7.625%, 6/15/14		337,750

			$	20,680,007


Total Corporate Bonds & Notes (identified cost $787,405,210)			$	807,527,333

Mortgage Pass-Throughs — 31.2%


Principal
Amount
(000’s omitted)		Security	Value
		Federal Home Loan Mortgage Corp.:
$	36,324	5.00%, with various maturities to 2019	$	38,824,877
	8,366	5.50%, with various maturities to 2018		9,008,584
	15,932	6.00%, with various maturities to 2026		17,217,277
	32,316	6.50%, with various maturities to 2030		35,304,108
	40,147	7.00%, with various maturities to 2031		43,941,346
	498	7.13%, with maturity at 2023		560,168
	26,237	7.50%, with various maturities to 2029		29,608,507
	845	7.65%, with maturity at 2022		961,853
	138	7.70%, with maturity at 2022		157,135
	15,739	8.00%, with various maturities to 2030		18,071,179
	455	8.25%, with maturity at 2020		524,444
	1,301	8.30%, with maturity at 2020		1,500,870
	11,409	8.50%, with various maturities to 2031		13,240,981
	4,082	9.00%, with various maturities to 2031		4,738,625
	3,366	9.50%, with various maturities to 2025		3,928,937
	530	10.00%, with maturity at 2020		608,409
	465	10.50%, with maturity at 2020		540,120
	586	12.00%, with maturity at 2020		664,817
	39	13.00%, with maturity at 2015		45,249

			$	219,447,486

		Federal National Mortgage Association:
$	3,149	3.129%, with maturity at 2022⁽⁸⁾	$	3,224,853
	5,483	3.243%, with maturity at 2036⁽⁸⁾		5,638,177


Principal
Amount
(000’s omitted)		Security	Value
$	18,308	5.00%, with various maturities to 2018	$	19,581,641
	7,442	5.50%, with various maturities to 2028		7,957,840
	13,036	6.00%, with various maturities to 2026		14,090,804
	16,761	6.319%, with maturity at 2032⁽⁸⁾		17,468,378
	30,558	6.50%, with various maturities to 2031		33,481,515
	496	6.75%, with maturity at 2023		538,884
	38,152	7.00%, with various maturities to 2031		42,011,206
	26,703	7.50%, with various maturities to 2035		30,300,170
	10,327	8.00%, with various maturities to 2031		11,808,351
	28	8.25%, with maturity at 2018		30,804
	2,334	8.367%, with maturity at 2027⁽⁹⁾		2,700,485
	12,417	8.50%, with various maturities to 2030		14,467,559
	1,074	8.577%, with maturity at 2028⁽⁹⁾		1,250,906
	693	8.621%, with maturity at 2029⁽⁹⁾		813,818
	908	8.693%, with maturity at 2027⁽⁹⁾		1,059,475
	13,302	9.00%, with various maturities to 2027		15,598,381
	195	9.001%, with maturity at 2024⁽⁹⁾		216,701
	4,388	9.50%, with various maturities to 2030		5,188,380
	635	9.506%, with maturity at 2018⁽⁹⁾		732,453
	1,271	10.00%, with various maturities to 2020		1,472,174
	971	10.097%, with maturity at 2025⁽⁹⁾		1,122,052
	932	10.467%, with maturity at 2019⁽⁹⁾		1,063,264
	1,101	10.50%, with maturity at 2021		1,288,031
	369	11.50%, with maturity at 2016		416,650
	16	12.50%, with maturity at 2011		16,509

			$	233,539,461

		Government National Mortgage Association:
$	3,337	6.00%, with maturity at 2024	$	3,631,245
	19,070	6.50%, with maturity at 2024		21,118,023
	7,814	7.00%, with various maturities to 2026		8,795,974
	32,359	7.50%, with various maturities to 2032		36,950,566
	20,872	8.00%, with various maturities to 2034		24,075,821
	677	8.30%, with maturity at 2020		780,083
	1,371	8.50%, with various maturities to 2022		1,592,357
	6,425	9.00%, with various maturities to 2026		7,531,145
	9,178	9.50%, with various maturities to 2026		10,909,398
	552	10.00%, with maturity at 2019		640,573

			$	116,025,185


Total Mortgage Pass-Throughs (identified cost $535,127,205)			$	569,012,132

Collateralized Mortgage Obligations — 7.8%


Principal
Amount
(000’s omitted)		Security	Value
		Federal Home Loan Mortgage Corp.:
$	1,721	Series 24, Class J, 6.25%, 11/25/23	$	1,862,952
	2,031	Series 1497, Class K, 7.00%, 4/15/23		2,117,816
	3,297	Series 1529, Class Z, 7.00%, 6/15/23		3,476,889
	2,860	Series 1620, Class Z, 6.00%, 11/15/23		3,087,689
	952	Series 1677, Class Z, 7.50%, 7/15/23		1,081,672
	11,164	Series 1702, Class PZ, 6.50%, 3/15/24		12,569,853
	5	Series 1720, Class PJ, 7.25%, 1/15/24		5,487
	5,691	Series 2113, Class QG, 6.00%, 1/15/29		6,164,094
	728	Series 2122, Class K, 6.00%, 2/15/29		784,850
	493	Series 2130, Class K, 6.00%, 3/15/29		534,383
	513	Series 2167, Class BZ, 7.00%, 6/15/29		560,759


Principal
Amount
(000’s omitted)		Security	Value
$	3,818	Series 2182, Class ZB, 8.00%, 9/15/29	$	4,296,213
	4,589	Series 2198, Class ZA, 8.50%, 11/15/29		5,042,454
	12,271	Series 2245, Class A, 8.00%, 8/15/27		13,991,618

			$	55,576,729

		Federal National Mortgage Association:
$	348	Series 1988-14, Class I, 9.20%, 6/25/18	$	397,407
	295	Series 1989-1, Class D, 10.30%, 1/25/19		336,015
	554	Series 1989-34, Class Y, 9.85%, 7/25/19		651,791
	436	Series 1990-17, Class G, 9.00%, 2/25/20		504,261
	224	Series 1990-27, Class Z, 9.00%, 3/25/20		260,643
	224	Series 1990-29, Class J, 9.00%, 3/25/20		261,079
	929	Series 1990-43, Class Z, 9.50%, 4/25/20		1,086,565
	328	Series 1991-98, Class J, 8.00%, 8/25/21		371,577
	2,548	Series 1992-77, Class ZA, 8.00%, 5/25/22		2,917,836
	167	Series 1992-103, Class Z, 7.50%, 6/25/22		188,424
	285	Series 1992-113, Class Z, 7.50%, 7/25/22		321,722
	628	Series 1992-185, Class ZB, 7.00%, 10/25/22		701,498
	1,569	Series 1993-16, Class Z, 7.50%, 2/25/23		1,776,246
	1,215	Series 1993-22, Class PM, 7.40%, 2/25/23		1,378,537
	1,881	Series 1993-25, Class J, 7.50%, 3/25/23		2,127,709
	3,609	Series 1993-30, Class PZ, 7.50%, 3/25/23		4,091,365
	4,334	Series 1993-42, Class ZQ, 6.75%, 4/25/23		4,817,427
	676	Series 1993-56, Class PZ, 7.00%, 5/25/23		756,811
	783	Series 1993-156, Class ZB, 7.00%, 9/25/23		883,699
	5,722	Series 1994-45, Class Z, 6.50%, 2/25/24		6,337,617
	3,017	Series 1994-89, Class ZQ, 8.00%, 7/25/24		3,476,312
	3,012	Series 1996-57, Class Z, 7.00%, 12/25/26		3,384,600
	1,609	Series 1997-77, Class Z, 7.00%, 11/18/27		1,822,564
	1,248	Series 1998-44, Class ZA, 6.50%, 7/20/28		1,368,950
	600	Series 1999-45, Class ZG, 6.50%, 9/25/29		658,424
	4,653	Series 2000-22, Class PN, 6.00%, 7/25/30		5,061,503
	778	Series 2001-37, Class GA, 8.00%, 7/25/16		852,876
	1,062	Series 2002-1, Class G, 7.00%, 7/25/23		1,194,086
	503	Series G92-44, Class Z, 8.00%, 7/25/22		561,512
	818	Series G92-44, Class ZQ, 8.00%, 7/25/22		913,670
	1,220	Series G92-46, Class Z, 7.00%, 8/25/22		1,356,306
	2,107	Series G92-60, Class Z, 7.00%, 10/25/22		2,334,003
	21,486	Series G93-35, Class ZQ, 6.50%, 11/25/23		23,477,940
	4,697	Series G93-40, Class H, 6.40%, 12/25/23		5,136,805

			$	81,767,780

		Government National Mortgage Association:
$	5,160	Series 2002-45, Class PG, 6.00%, 3/17/32	$	5,578,075
	509	Series 2005-72, Class E, 12.00%, 11/16/15		571,594

			$	6,149,669


Total Collateralized Mortgage Obligations (identified cost $136,017,241)			$	143,494,178

Commercial Mortgage-Backed Securities — 10.6%


Principal
Amount
(000’s omitted)		Security	Value
$	25,000	BACM, Series 2004-1, Class A4, 4.76%, 11/10/39	$	25,127,987
	3,500	BSCMS, Series 2004-PWR5, Class A3, 4.565%, 7/11/42		3,516,291
	10,000	BSCMS, Series 2004-T16, Class A4, 4.32%, 2/13/46		10,198,740
	394	CCMSC, Series 2000-1, Class A2, 7.757%, 4/15/32		394,967
	3,000	CGCMT, Series 2004-C1, Class A3, 5.251%, 4/15/40		3,027,742


Principal
Amount
(000’s omitted)		Security	Value
$	32,874	COMM, Series 2004-LB2A, Class A4, 4.715%, 3/10/39⁽¹⁰⁾	$	33,317,658
	6,000	COMM, Series 2004-LB4A, Class A3, 4.405%, 10/15/37		6,035,968
	5,919	COMM, Series 2005-LP5, Class A2, 4.63%, 5/10/43		5,950,348
	4,510	CSFB, Series 2001-CK1, Class A3, 6.38%, 12/18/35		4,618,066
	19,357	CSFB, Series 2004-C1, Class A4, 4.75%, 1/15/37		19,727,568
	1,183	CSFB, Series 2004-C3, Class A3, 4.302%, 7/15/36		1,184,092
	4,000	CSFB, Series 2005-C4, Class A2, 5.017%, 8/15/38		4,013,329
	567	GMACC, Series 2002-C2, Class A2, 5.389%, 10/15/38		582,243
	2,200	JPMCC, Series 2004-CBX, Class A4, 4.529%, 1/12/37		2,231,440
	27,214	JPMCC, Series 2005-LDP5, Class A3, 5.208%, 12/15/44⁽¹⁰⁾		27,608,709
	1,845	LB-UBS, Series 2004-C2, Class A2, 3.246%, 3/15/29		1,849,511
	4,000	LB-UBS, Series 2004-C6, Class A3, 4.547%, 8/15/29		4,021,579
	615	LB-UBS, Series 2005-C1, Class A2, 4.31%, 2/15/30		617,815
	19,775	MLMT, Series 2003-KEY1, Class A4, 5.236%, 11/12/35		20,410,300
	10,000	MSC, Series 2004-IQ7, Class A3, 5.35%, 6/15/38		10,252,877
	4,400	SBM7, Series 2000-C3, Class A2, 6.592%, 12/18/33		4,467,001
	3,663	WBCMT, Series 2004-C14, Class A2, 4.368%, 8/15/41		3,659,123


Total Commercial Mortgage-Backed Securities (identified cost $191,383,450)			$	192,813,354

Asset-Backed Securities — 0.1%


Principal
Amount
(000’s omitted)		Security	Value
$	558	Alzette European CLO SA, Series 2004-1A, Class E2, 6.754%, 12/15/20⁽¹¹⁾	$	66,914
	635	Avalon Capital Ltd. 3, Series 1A, Class D, 2.212%, 2/24/19^(7)(11)		407,558
	753	Babson Ltd., Series 2005-1A, Class C1, 2.201%, 4/15/19^(7)(11)		523,409
	1,000	Bryant Park CDO Ltd., Series 2005-1A, Class C, 2.301%, 1/15/19^(7)(11)		154,100
	1,000	Carlyle High Yield Partners, Series 2004-6A, Class C, 2.723%, 8/11/16^(7)(11)		369,200
	985	Centurion CDO 8 Ltd., Series 2005-8A, Class D, 5.757%, 3/8/17⁽¹¹⁾		689,357
	500	Centurion CDO 9 Ltd., Series 2005-9A, Class D1, 5.001%, 7/17/19⁽¹¹⁾		319,750
	1,500	Dryden Leveraged Loan, Series 2004-6A, Class C1, 2.799%, 7/30/16^(7)(11)		90,000


Total Asset-Backed Securities (identified cost $6,921,405)			$	2,620,288

Common Stocks — 0.6%


Shares		Security	Value
Automotive — 0.0%
	24,705	Dayco Products, LLC⁽¹²⁾	$	382,928

			$	382,928

Building and Development — 0.2%
	3,573	Panolam Holdings Co.^(6)(12)(13)	$	1,963,363
	26,154	Sanitec Europe Oy B Units^(6)(12)		39,526
	25,787	Sanitec Europe Oy E Units^(6)(12)		0
	615	United Subcontractors, Inc.^(6)(12)		49,606
	4,575	WCI Communities, Inc.⁽¹²⁾		388,913

			$	2,441,408

Chemicals and Plastics — 0.0%
	243	Wellman Holdings, Inc.^(6)(12)	$	87,259

			$	87,259

Containers and Glass Products — 0.4%
	142,857	Anchor Glass Container Corp.⁽⁶⁾	$	7,058,564

			$	7,058,564


Shares		Security	Value
Ecological Services and Equipment — 0.0%
	2,484	Environmental Systems Products Holdings, Inc.^(6)(12)(13)	$	34,602

			$	34,602

Food Service — 0.0%
	30,225	Buffets, Inc.⁽¹²⁾	$	232,355

			$	232,355

Nonferrous Metals/Minerals — 0.0%
	701	Euramax International, Inc.^(6)(12)	$	0

			$	0

Oil and Gas — 0.0%
	15,499	SemGroup Corp.⁽¹²⁾	$	384,569

			$	384,569

Publishing — 0.0%
	2,290	Source Interlink Companies, Inc.^(6)(12)	$	16,488
	9,296	SuperMedia, Inc.⁽¹²⁾		337,538

			$	354,026


Total Common Stocks (identified cost 9,425,421)			$	10,975,711

Convertible Bonds — 0.6%


Principal
Amount		Security	Value
Automotive — 0.4%
$	5,310,000	Ford Motor Co., 4.25%, 11/15/16	$	7,135,313

			$	7,135,313

Diversified Media — 0.0%
$	750,000	Virgin Media, Inc., 6.50%, 11/15/16⁽⁷⁾	$	817,500

			$	817,500

Drugs — 0.1%
$	1,500,000	Kendle International, Inc., 3.375%, 7/15/12	$	1,359,375

			$	1,359,375

Electronics/Electrical — 0.1%
$	1,680,000	Advanced Micro Devices, Inc., 6.00%, 5/1/15	$	1,545,600

			$	1,545,600


Total Convertible Bonds (identified cost $8,420,226)			$	10,857,788

Convertible Preferred Stocks — 0.1%


Shares		Security	Value
Oil, Gas & Consumable Fuels — 0.1%
	9,691	Chesapeake Energy Corp.	$	806,969

			$	806,969

Wireless Telecommunication Services — 0.0%
	4,958	Crown Castle International Corp.⁽³⁾	$	283,536

			$	283,536


Total Convertible Preferred Stocks (identified cost $1,176,061)			$	1,090,505

Preferred Stocks — 0.0%


Shares/Units		Security	Value
Ecological Services and Equipment — 0.0%
	1,138	Environmental Systems Products Holdings, Inc., Series A^(6)(12)(13)	$	91,040

			$	91,040

Lodging and Casinos — 0.0%
	6,270	Fontainebleau Resorts LLC^{(3)(6)(12)(13)}	$	63

			$	63


Total Preferred Stocks (identified cost $6,289,915)			$	91,103

Warrants — 0.0%


Shares		Security	Value
Oil and Gas — 0.0%
	16,314	SemGroup Corp., Exp. 11/30/14^(6)(12)	$	86,073

			$	86,073

Total Warrants (identified cost $163)			$	86,073

Miscellaneous — 0.0%


Shares		Security	Value
Cable and Satellite Television — 0.0%
	2,496,146	Adelphia Recovery Trust⁽¹²⁾	$	84,245
	2,500,000	Adelphia, Inc., Escrow Certificate⁽¹²⁾		43,750

			$	127,995

Oil and Gas — 0.0%
	1,170,000	VeraSun Energy Corp., Escrow Certificate^(6)(12)	$	0

			$	0


Total Miscellaneous (identified cost $2,237,500)			$	127,995

Short-Term Investments — 1.8%


Principal
Amount/Interest
(000’s Omitted)		Description	Value
$	23,855	Eaton Vance Cash Reserves Fund, LLC, 0.11%⁽¹⁴⁾	$	23,855,355
	8,891	State Street Bank and Trust Euro Time Deposit, 0.01%, 2/1/10		8,890,714


Total Short-Term Investments (identified cost $32,746,069)			$	32,746,069


Total Investments — 141.8% (identified cost $2,591,010,279)			$	2,589,070,522


Less Unfunded Loan Commitments — 0.0%			$	(399,440	)


Net Investments — 141.8% (identified cost $2,590,610,839)			$	2,588,671,082


Other Assets, Less Liabilities — (27.2)%			$	(496,041,290	)


Auction Preferred Shares Plus Cumulative Unpaid Dividends — (14.6)%			$	(266,630,646	)


Net Assets Applicable to Common Shares — 100.0%			$	1,825,999,146

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


BACM	-	Bank of America Commercial Mortgage, Inc.

BSCMS	-	Bear Stearns Commercial Mortgage Securities, Inc.

CCMSC	-	Chase Commercial Mortgage Securities Corp.

CGCMT	-	Citigroup Commercial Mortgage Trust

COMM	-	Commercial Mortgage Pass-Through Certificate

CSFB	-	Credit Suisse First Boston Mortgage Securities Corp.

DIP	-	Debtor in Possession

GMACC	-	GMAC Commercial Mortgage Securities, Inc.

JPMCC	-	JPMorgan Chase Commercial Mortgage Securities Corp.

LB-UBS	-	LB-UBS Commercial Mortgage Trust

MLMT	-	Merrill Lynch Mortgage Trust

MSC	-	Morgan Stanley Capital I

MTN	-	Medium-Term Note

SBM7	-	Salomon Brothers Mortgage Securities VII, Inc.

WBCMT	-	Wachovia Bank Commercial Mortgage Trust

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)				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)				Defaulted matured security.

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

(7)				Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions and remain exempt from registration, normally to qualified institutional buyers. At January 31, 2010, the aggregate value of these securities is $263,852,904 or 14.4% of the Fund’s net assets applicable to common shares.

(8)				Adjustable rate mortgage.

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

(10)				Security held as collateral in connection with the Term Asset-Backed Securities Loan Facility (“TALF”) program.

(11)				Variable rate security. The stated interest rate represents the rate in effect at January 31, 2010.

(12)				Non-income producing security.

(13)				Restricted security.

(14)				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 January 31, 2010. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended January 31, 2010 was $889. Net income allocated from the investment in other affiliated investment companies for the fiscal year to date ended January 31, 2010 was $1,229.

A summary of financial instruments outstanding at January 31, 2010 is as follows:

Forward Foreign Currency Exchange Contracts

Sales


Settlement			Net Unrealized
Date	Deliver	In Exchange For	Appreciation
2/26/10	British Pound Sterling 16,657,015	United States Dollar 26,956,931	$	335,525
2/26/10	Euro 46,214,221	United States Dollar 64,921,276		849,261

			$	1,184,786

At January 31, 2010, 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 January 31, 2010, the aggregate fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in an asset position and whose primary underlying risk exposure is foreign exchange risk was $1,184,786.

The cost and unrealized appreciation (depreciation) of investments of the Fund at January 31, 2010, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	2,616,299,579

Gross unrealized appreciation	$	104,648,486
Gross unrealized depreciation		(132,276,983	)

Net unrealized depreciation	$	(27,628,497	)

Restricted Securities

At January 31, 2010, 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⁾	$	34,602
Panolam Holdings Co.		12/30/09		3,573		1,963,363			1,963,363

Total Common Stocks					$	1,963,363		$	1,997,965
Preferred Stocks
Environmental Systems Products Holdings, Inc., Series A		10/25/07		1,138	$	19,915		$	91,040
Fontainebleau Resorts LLC		6/1/07		6,270		6,270,000			63

Total Preferred Stocks					$	6,289,915		$	91,103

Total Restricted					$	8,253,278		$	2,089,068

(1) Less than $0.50.

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)

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

At January 31, 2010, 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)	$	—	$	815,637,105	$	1,591,448		$	817,228,553
Corporate Bonds & Notes		—		810,398,458		4,264,188			814,662,646
Mortgage Pass-Throughs		—		569,012,132		—			569,012,132
Collateralized Mortgage Obligations		—		143,494,178		—			143,494,178
Commercial Mortgage-Backed Securities		—		192,813,354		—			192,813,354
Asset-Backed Securities		—		2,620,288		—			2,620,288
Common Stocks		337,538		1,388,765		9,249,408			10,975,711
Convertible Bonds		—		3,722,475		—			3,722,475
Convertible Preferred Stocks		806,969		283,536		—			1,090,505
Preferred Stocks		—		—		91,103			91,103
Warrants		—		—		86,073			86,073
Miscellaneous		—		127,995		0			127,995
Short-Term Investments		—		32,746,069		—			32,746,069


Total Investments	$	1,144,507	$	2,572,244,355	$	15,282,220		$	2,588,671,082


Forward Foreign Currency Exchange Contracts	$	—	$	1,184,786	$	—		$	1,184,786


Total	$	1,144,507	$	2,573,429,141	$	15,282,220		$	2,589,855,868



Liability Description


TALF Loan Payable	$	—	$	—	$	(51,074,800	)	$	(51,074,800	)


Total	$	—	$	—	$	(51,074,800	)	$	(51,074,800	)

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


	Investments in									Investments in
	Senior			Investments in						Preferred Stocks,
	Floating-Rate			Corporate			Investments in			Warrants and			TALF Loan
	Interests			Bonds & Notes			Common Stocks			Miscellaneous			Payable			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)		1,650,500			(30,277	)		1,313,206			(807,702	)		—			2,125,727
Net purchases (sales)		(363,808	)		(289,576	)		2,107,939			377,333			(51,074,800	)		(49,242,912	)
Accrued discount (premium)		7,982			30,262			—			—			—			38,244
Net transfers to (from) Level 3		52,500			4,362,385			—			—			—			4,414,885

Balance as of January 31, 2010	$	1,591,448		$	4,264,188		$	9,249,408		$	177,176		$	(51,074,800	)	$	(35,792,580	)


Change in net unrealized appreciation (depreciation) on investments still held as of January 31, 2010	$	257,733		$	(30,277	)	$	1,313,206		$	(807,702	)	$	—		$	732,960

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.

Subsequent Events

Prior to the opening of business on March 12, 2010, the Fund acquired the net assets applicable to common shares of Eaton Vance Credit Opportunities Fund (the Acquired Fund) pursuant to an Agreement and Plan of Reorganization approved by the shareholders of the Acquired Fund on February 26, 2010. The acquisition was accomplished by a tax-free exchange of 4,738,774 common shares of the Fund (valued at $77,565,332) for 7,274,487 common shares of the Acquired Fund, each outstanding on March 11, 2010, and cash consideration equal to the aggregate liquidation value of the Acquired Fund’s Auction Preferred Shares (valued at $8,000,000). The investment portfolio of the Acquired Fund, with a fair value of $83,141,612 and identified cost of $101,058,710 at March 11, 2010, was the principal asset acquired by the Fund. For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value; however, the cost basis of the investments received from the Acquired Fund was carried forward to align ongoing reporting of the Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. The aggregate net assets applicable to common shares of the Fund immediately before the acquisition were $1,840,816,015. The net assets applicable to common shares of the Acquired Fund at that date of $77,565,332 were combined with those of the Fund, resulting in combined net assets applicable to common shares of $1,918,381,347.

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:		March 24, 2010

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:		March 24, 2010

By:		/s/ Barbara E. Campbell

		Barbara E. Campbell
		Treasurer

Date:		March 24, 2010