Edgar Filing: EATON VANCE LTD DURATION INCOME FUND

nvq

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)

The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
(Address of Principal Executive Offices)

Maureen A. Gemma
Eaton Vance Management, 255 State Street, Boston, Massachusetts 02109
(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, 2009
Date of Reporting Period

TABLE OF CONTENTS


	Item 1. Schedule of Investments
	Item 2. Controls and Procedures
Signatures
Certification

Item 1. Schedule of Investments


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

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Interests — 55.0%⁽¹⁾


Principal
Amount*		Borrower/Tranche Description	Value

Aerospace and Defense — 1.0%
		ACTS Aero Technical Support & Service, Inc.
	897,140	Term Loan, 7.33%, Maturing October 5, 2014	$	112,142
		Atlantic Inertial Systems, Inc.
	1,303,353	Term Loan, 3.44%, Maturing July 20, 2014		1,094,817
		AWAS Capital, Inc.
	471,800	Term Loan, 3.25%, Maturing March 22, 2013		288,584
	2,210,218	Term Loan – Second Lien, 7.50%, Maturing March 22, 2013		856,459
		CACI International, Inc.
	332,764	Term Loan, 2.34%, Maturing May 3, 2011		308,639
		Colt Defense, LLC
	978,935	Term Loan, 3.99%, Maturing July 9, 2014		856,568
		DAE Aviation Holdings, Inc.
	574,468	Term Loan, 4.42%, Maturing July 31, 2014		272,872
	566,308	Term Loan, 4.92%, Maturing July 31, 2014		268,996
		Evergreen International Aviation
	1,227,213	Term Loan, 9.00%, Maturing October 31, 2011		717,920
		Hawker Beechcraft Acquisition
	1,690,160	Term Loan, 3.46%, Maturing March 26, 2014		937,099
	76,229	Term Loan, 3.46%, Maturing March 26, 2014		42,264
		Hexcel Corp.
	1,559,498	Term Loan, 4.48%, Maturing March 1, 2012		1,372,358
		IAP Worldwide Services, Inc.
	1,110,050	Term Loan, 8.25%, Maturing December 30, 2012⁽²⁾		601,277
		TransDigm, Inc.
	2,075,000	Term Loan, 3.50%, Maturing June 23, 2013		1,815,625
		Vought Aircraft Industries, Inc.
	1,613,263	Term Loan, 2.91%, Maturing December 17, 2011		1,239,523
	666,667	Term Loan, 2.94%, Maturing December 17, 2011		443,333
	497,650	Term Loan, 7.50%, Maturing December 22, 2011		399,364
		Wesco Aircraft Hardware Corp.
	1,458,750	Term Loan, 2.66%, Maturing September 29, 2013		1,179,156

			$	12,806,996


Principal
Amount*		Borrower/Tranche Description	Value

Air Transport — 0.3%
		Airport Development and Investment, Ltd.
GBP	1,957,250	Term Loan – Second Lien, 6.33%, Maturing April 7, 2011	$	1,031,048
		Delta Air Lines, Inc.
	1,699,125	Term Loan – Second Lien, 3.69%, Maturing April 30, 2014		863,519
		Northwest Airlines, Inc.
	2,803,525	DIP Loan, 2.39%, Maturing August 21, 2009		2,368,979

			$	4,263,546

Automotive — 1.7%
		Accuride Corp.
	2,337,795	Term Loan, 3.94%, Maturing January 31, 2012	$	1,669,854
		Adesa, Inc.
	4,905,207	Term Loan, 3.22%, Maturing October 18, 2013		3,315,920
		Allison Transmission, Inc.
	5,161,516	Term Loan, 3.17%, Maturing September 30, 2014		3,375,265
		ATU AFM Auto Holding GmbH & Co.
EUR	2,698,276	Term Loan, 7.28%, Maturing August 20, 2013		1,168,897
		Chrysler Financial
	1,867,064	Term Loan, 6.00%, Maturing August 1, 2014		1,138,909
		Dayco Products, LLC
	2,283,263	Term Loan, 6.55%, Maturing June 21, 2011		770,601
		Delphi Corp.
	849,553	DIP Loan, 9.25%, Maturing June 30, 2009		590,439
		Federal-Mogul Corp.
	1,832,027	Term Loan, 2.36%, Maturing December 27, 2014		879,373
	1,418,348	Term Loan, 2.30%, Maturing December 27, 2015		680,807
		Ford Motor Co.
	2,278,500	Term Loan, 5.00%, Maturing December 15, 2013		830,228
		General Motors Corp.
	4,355,014	Term Loan, 2.78%, Maturing November 29, 2013		1,939,797
		Goodyear Tire & Rubber Co.
	3,450,000	Term Loan – Second Lien, 2.14%, Maturing April 30, 2010		2,553,000
		Keystone Automotive Operations, Inc.
	1,117,311	Term Loan, 4.71%, Maturing January 12, 2012		460,891
		LKQ Corp.
	1,304,619	Term Loan, 2.60%, Maturing October 12, 2014		1,102,403
		TriMas Corp.
	314,063	Term Loan, 4.45%, Maturing August 2, 2011		191,578
	1,330,316	Term Loan, 3.04%, Maturing August 2, 2013		811,493
		United Components, Inc.
	1,439,394	Term Loan, 4.39%, Maturing June 30, 2010		1,047,159

			$	22,526,614


Principal
Amount*		Borrower/Tranche Description	Value

Beverage and Tobacco — 0.5%
		Beverage Packaging Holdings
EUR	803,994	Term Loan, 4.70%, Maturing May 11, 2015	$	701,302
EUR	803,995	Term Loan, 4.95%, Maturing May 11, 2016		701,303
		Constellation Brands, Inc.
	1,238,304	Term Loan, 3.28%, Maturing June 5, 2013		1,165,381
		Culligan International Co.
	982,500	Term Loan, 3.27%, Maturing November 24, 2014		582,131
EUR	1,400,000	Term Loan – Second Lien, 8.03%, Maturing May 31, 2013		481,750
		Liberator Midco Ltd.
GBP	373,782	Term Loan, 9.59%, Maturing October 27, 2016⁽²⁾		323,657
		Southern Wine & Spirits of America, Inc.
	2,907,904	Term Loan, 2.96%, Maturing May 31, 2012		2,569,860
		Van Houtte, Inc.
	868,978	Term Loan, 3.96%, Maturing July 11, 2014		556,146
	118,497	Term Loan, 3.96%, Maturing July 11, 2014		75,838

			$	7,157,368

Brokers, Dealers and Investment Houses — 0.2%
		AmeriTrade Holding Corp.
	2,108,393	Term Loan, 1.83%, Maturing December 31, 2012	$	1,978,375

			$	1,978,375

Building and Development — 2.0%
		AIMCO Properties, L.P.
	2,668,750	Term Loan, 1.89%, Maturing March 23, 2011	$	2,001,563
		Beacon Sales Acquisition, Inc.
	904,187	Term Loan, 3.31%, Maturing September 30, 2013		601,285
		Brickman Group Holdings, Inc.
	1,424,625	Term Loan, 2.41%, Maturing January 23, 2014		977,649
		Building Materials Corp. of America
	1,886,835	Term Loan, 3.87%, Maturing February 22, 2014		1,230,486
		Capital Automotive (REIT)
	3,046,644	Term Loan, 2.20%, Maturing December 16, 2010		1,253,478
		Epco/Fantome, LLC
	1,738,000	Term Loan, 3.03%, Maturing November 23, 2010		1,633,720
		Forestar USA Real Estate Group, Inc.
	1,974,563	Revolving Loan, 1.29%, Maturing December 1, 2010⁽³⁾		1,629,015
	1,975,000	Term Loan, 4.34%, Maturing December 1, 2010		1,629,375
		Hovstone Holdings, LLC
	742,500	Term Loan, 4.83%, Maturing July 1, 2009		400,802


Principal
Amount*		Borrower/Tranche Description	Value

		LNR Property Corp.
	3,256,000	Term Loan, 6.69%, Maturing July 3, 2011	$	1,752,812
		Metroflag BP, LLC
	700,000	Term Loan – Second Lien, 0.00%, Maturing January 2, 2009⁽⁴⁾		52,500
		NCI Building Systems, Inc.
	1,374,724	Term Loan, 2.18%, Maturing June 18, 2010		1,237,252
		Panolam Industries Holdings, Inc.
	1,345,288	Term Loan, 3.16%, Maturing September 30, 2012		793,720
		Realogy Corp.
	1,180,507	Term Loan, 3.42%, Maturing September 1, 2014		702,771
	4,384,743	Term Loan, 5.71%, Maturing September 1, 2014		2,610,294
		South Edge, LLC
	287,500	Term Loan, 0.00%, Maturing October 31, 2009⁽⁴⁾		45,042
		Standard Pacific Corp.
	1,260,000	Term Loan, 3.90%, Maturing May 5, 2013		710,325
		TRU 2005 RE Holding Co.
	6,075,000	Term Loan, 3.45%, Maturing December 9, 2009		2,934,984
		United Subcontractors, Inc.
	1,010,978	Term Loan – Second Lien, 11.69%, Maturing June 27, 2013⁽²⁾⁽⁵⁾		40,439
		WCI Communities, Inc.
	3,747,152	Term Loan, 5.70%, Maturing December 23, 2010		2,182,716
		Wintergames Acquisition ULC
	3,400,620	Term Loan, 7.91%, Maturing April 24, 2009		2,227,406

			$	26,647,634

Business Equipment and Services — 4.0%
		Activant Solutions, Inc.
	891,915	Term Loan, 3.44%, Maturing May 1, 2013	$	434,809
		Affiliated Computer Services
	295,444	Term Loan, 2.40%, Maturing March 20, 2013		273,009
	1,876,479	Term Loan, 2.40%, Maturing March 20, 2013		1,733,985
		Affinion Group, Inc.
	2,817,094	Term Loan, 4.65%, Maturing October 17, 2012		2,063,522
		Allied Barton Security Service
	1,122,401	Term Loan, 6.75%, Maturing February 21, 2015		998,937
		Education Management, LLC
	4,872,971	Term Loan, 3.25%, Maturing June 1, 2013		3,737,569
		Euronet Worldwide, Inc.
	1,863,928	Term Loan, 3.10%, Maturing April 4, 2012		1,602,978
		Info USA, Inc.
	727,650	Term Loan, 3.46%, Maturing February 14, 2012		563,929


Principal
Amount*		Borrower/Tranche Description	Value

		Intergraph Corp.
	1,000,000	Term Loan, 4.18%, Maturing May 29, 2014	$	811,250
	1,000,000	Term Loan – Second Lien, 8.18%, Maturing November 29, 2014		810,000
		iPayment, Inc.
	2,144,284	Term Loan, 2.96%, Maturing May 10, 2013		1,415,227
		ista International GmbH
EUR	1,522,526	Term Loan, 5.09%, Maturing May 14, 2015		1,263,888
EUR	302,474	Term Loan, 5.09%, Maturing May 14, 2015		251,091
		Kronos, Inc.
	1,522,944	Term Loan, 3.71%, Maturing June 11, 2014		1,062,253
		Language Line, Inc.
	2,264,419	Term Loan, 4.71%, Maturing June 11, 2011		1,936,078
		Mitchell International, Inc.
	1,500,000	Term Loan – Second Lien, 6.75%, Maturing March 28, 2015		885,000
		N.E.W. Holdings I, LLC
	2,623,835	Term Loan, 4.24%, Maturing May 22, 2014		1,644,271
		Protection One, Inc.
	2,029,477	Term Loan, 2.66%, Maturing March 31, 2012		1,420,634
		Quantum Corp.
	389,063	Term Loan, 4.96%, Maturing July 12, 2014		291,797
		Quintiles Transnational Corp.
	1,215,625	Term Loan, 3.46%, Maturing March 31, 2013		1,051,516
	1,725,000	Term Loan – Second Lien, 5.46%, Maturing March 31, 2014		1,250,625
		Sabre, Inc.
	6,636,484	Term Loan, 2.88%, Maturing September 30, 2014		3,040,339
		Safenet, Inc.
	989,950	Term Loan, 4.16%, Maturing April 12, 2014		519,724
		Serena Software, Inc.
	1,567,536	Term Loan, 3.10%, Maturing March 10, 2013		948,359
		Sitel (Client Logic)
	1,707,489	Term Loan, 6.58%, Maturing January 29, 2014		1,058,643
		Solera Holdings, LLC
EUR	1,090,083	Term Loan, 5.08%, Maturing May 15, 2014		977,020
		SunGard Data Systems, Inc.
	13,377,398	Term Loan, 3.71%, Maturing February 11, 2013		10,463,038
		TDS Investor Corp.
	1,778,654	Term Loan, 3.04%, Maturing August 23, 2013		1,031,619
	356,888	Term Loan, 3.71%, Maturing August 23, 2013		206,995
EUR	1,051,592	Term Loan, 5.22%, Maturing August 23, 2013		690,060


Principal
Amount*		Borrower/Tranche Description	Value

		Transaction Network Services, Inc.
	798,337	Term Loan, 2.43%, Maturing May 4, 2012	$	696,549
		U.S. Security Holdings, Inc.
	892,537	Term Loan, 4.68%, Maturing May 8, 2013		714,030
		Valassis Communications, Inc.
	405,527	Term Loan, 3.21%, Maturing March 2, 2014		267,141
	1,767,104	Term Loan, 3.21%, Maturing March 2, 2014		1,164,080
		VWR International, Inc.
	2,325,000	Term Loan, 2.91%, Maturing June 28, 2013		1,720,500
		WAM Acquisition, S.A.
EUR	368,919	Term Loan, 4.60%, Maturing May 4, 2014		225,160
EUR	223,408	Term Loan, 4.60%, Maturing May 4, 2014		136,352
EUR	368,919	Term Loan, 5.10%, Maturing May 4, 2015		225,160
EUR	223,408	Term Loan, 5.10%, Maturing May 4, 2015		136,352
		West Corp.
	4,665,088	Term Loan, 2.78%, Maturing October 24, 2013		3,353,032

			$	53,076,521

Cable and Satellite Television — 4.3%
		Atlantic Broadband Finance, LLC
	2,550,070	Term Loan, 3.71%, Maturing February 10, 2011	$	2,214,310
		Bragg Communications, Inc.
	1,594,763	Term Loan, 4.53%, Maturing August 31, 2014		1,483,129
		Bresnan Broadband Holdings, LLC
	1,725,000	Term Loan, 3.13%, Maturing March 29, 2014		1,423,125
	1,550,000	Term Loan – Second Lien, 7.60%, Maturing March 29, 2014		1,085,000
		Casema
EUR	658,133	Term Loan, 4.27%, Maturing November 14, 2014		746,577
EUR	341,867	Term Loan, 4.27%, Maturing November 14, 2014		387,809
EUR	1,000,000	Term Loan – Second Lien, 4.77%, Maturing November 14, 2015		1,134,386
		Cequel Communications, LLC
	982,500	Term Loan, 2.57%, Maturing November 5, 2013		787,930
	2,175,000	Term Loan – Second Lien, 7.69%, Maturing May 5, 2014		993,975
	4,926,034	Term Loan – Second Lien, 9.13%, Maturing May 5, 2014⁽²⁾		2,344,792
		Charter Communications Operating, Inc.
	14,873,714	Term Loan, 3.44%, Maturing April 28, 2013		11,415,576
		CSC Holdings, Inc.
	2,705,170	Term Loan, 2.08%, Maturing March 29, 2013		2,447,051
		CW Media Holdings, Inc.
	864,063	Term Loan, 4.71%, Maturing February 15, 2015		637,246


Principal
Amount*		Borrower/Tranche Description	Value

		DirectTV Holdings, LLC
	1,822,453	Term Loan, 1.91%, Maturing April 13, 2013	$	1,685,118
		Insight Midwest Holdings, LLC
	4,741,875	Term Loan, 2.45%, Maturing April 6, 2014		4,149,141
		Kabel BW GmbH and Co.
EUR	1,000,000	Term Loan, 5.83%, Maturing June 9, 2013		891,479
EUR	1,000,000	Term Loan, 6.33%, Maturing June 9, 2014		891,479
		MCC Iowa, LLC
	1,420,000	Term Loan, 1.81%, Maturing March 31, 2010		1,327,700
		Mediacom Broadband Group
	2,402,482	Term Loan, 2.06%, Maturing January 31, 2015		2,042,110
		Mediacom Illinois, LLC
	4,741,975	Term Loan, 1.81%, Maturing January 31, 2015		3,912,129
		NTL Investment Holdings, Ltd.
	2,901,650	Term Loan, 4.63%, Maturing March 30, 2012		2,350,337
		Orion Cable GmbH
EUR	661,661	Term Loan, 6.81%, Maturing October 31, 2014		491,370
EUR	661,661	Term Loan, 8.41%, Maturing October 31, 2015		496,665
		ProSiebenSat.1 Media AG
EUR	821,651	Term Loan, 4.59%, Maturing March 2, 2015		103,450
EUR	48,181	Term Loan, 5.95%, Maturing June 26, 2015		30,059
EUR	1,187,219	Term Loan, 5.95%, Maturing June 26, 2015		740,676
EUR	821,651	Term Loan, 4.84%, Maturing March 2, 2016		103,450
		UPC Broadband Holding B.V.
EUR	5,800,000	Term Loan, 4.64%, Maturing October 16, 2011		5,346,950
	2,800,000	Term Loan, 2.20%, Maturing December 31, 2014		2,261,000
		YPSO Holding SA
EUR	2,480,685	Term Loan, 4.27%, Maturing July 28, 2014		1,724,828
EUR	957,340	Term Loan, 4.27%, Maturing July 28, 2014		665,642
EUR	1,561,975	Term Loan, 4.27%, Maturing July 28, 2014		1,086,046

			$	57,400,535

Chemicals and Plastics — 3.2%
		AZ Chem US, Inc.
	1,393,849	Term Loan, 2.41%, Maturing February 28, 2013	$	959,432
	500,000	Term Loan – Second Lien, 5.92%, Maturing February 28, 2014		274,375
		Brenntag Holding GmbH and Co. KG
	490,909	Term Loan, 2.33%, Maturing December 23, 2013		382,909
	2,009,091	Term Loan, 3.14%, Maturing December 23, 2013		1,567,091
	1,300,000	Term Loan – Second Lien, 5.50%, Maturing December 23, 2015		793,000


Principal
Amount*		Borrower/Tranche Description	Value

		Celanese Holdings, LLC
EUR	1,965,000	Term Loan, 4.43%, Maturing April 6, 2011	$	1,882,795
	5,968,688	Term Loan, 2.94%, Maturing April 2, 2014		4,904,274
		Cognis GmbH
EUR	1,084,426	Term Loan, 5.33%, Maturing September 15, 2013		902,525
EUR	265,574	Term Loan, 5.33%, Maturing September 15, 2013		221,026
		Columbian Chemicals Acquisition
	866,048	Term Loan, 4.71%, Maturing March 16, 2013		484,987
		First Chemical Holding
EUR	965,273	Term Loan, 7.66%, Maturing December 18, 2014		534,101
EUR	965,273	Term Loan, 8.16%, Maturing December 18, 2015		534,101
		Foamex L.P.
	2,847,327	Term Loan, 4.27%, Maturing February 12, 2013		892,162
		Georgia Gulf Corp.
	864,925	Term Loan, 7.52%, Maturing October 3, 2013		443,274
		Hexion Specialty Chemicals, Inc.
	1,834,066	Term Loan, 3.69%, Maturing May 5, 2013		779,478
	398,411	Term Loan, 3.75%, Maturing May 5, 2013		169,325
	4,887,500	Term Loan, 5.50%, Maturing May 5, 2013		1,930,563
		Huish Detergents, Inc.
	1,255,875	Term Loan, 2.23%, Maturing April 26, 2014		1,070,633
		INEOS Group
EUR	808,168	Term Loan, 9.78%, Maturing December 14, 2011		399,252
EUR	142,882	Term Loan, 9.78%, Maturing December 14, 2011		70,586
EUR	808,273	Term Loan, 10.28%, Maturing December 14, 2011		399,303
EUR	142,882	Term Loan, 10.28%, Maturing December 14, 2011		70,586
	232,956	Term Loan, 8.20%, Maturing December 14, 2013		89,688
	232,956	Term Loan, 8.70%, Maturing December 14, 2014		91,726
		Innophos, Inc.
	316,250	Term Loan, 3.41%, Maturing August 10, 2010		303,600
		Invista B.V.
	3,040,989	Term Loan, 4.50%, Maturing April 29, 2011		2,402,382
	890,433	Term Loan, 4.50%, Maturing April 29, 2011		703,442
		ISP Chemco, Inc.
	1,955,151	Term Loan, 2.81%, Maturing June 4, 2014		1,469,622
		Kleopatra
	1,200,000	Term Loan, 4.25%, Maturing January 3, 2016		608,000
EUR	800,000	Term Loan, 6.16%, Maturing January 3, 2016		540,329
		Kranton Polymers, LLC
	3,095,705	Term Loan, 3.44%, Maturing May 12, 2013		1,614,927


Principal
Amount*		Borrower/Tranche Description	Value

		Lucite International Group Holdings
	776,093	Term Loan, 3.43%, Maturing July 7, 2013	$	698,483
	274,823	Term Loan, 3.43%, Maturing July 7, 2013		247,340
		MacDermid, Inc.
EUR	966,668	Term Loan, 4.02%, Maturing April 12, 2014		556,975
		Millenium Inorganic Chemicals
	472,143	Term Loan, 3.71%, Maturing April 30, 2014		313,975
	1,375,000	Term Loan – Second Lien, 7.21%, Maturing October 31, 2014		749,375
		Momentive Performance Material
	1,895,201	Term Loan, 2.69%, Maturing December 4, 2013		1,358,228
		Nalco Co.
	4,432,589	Term Loan, 3.30%, Maturing November 4, 2010		4,158,717
		Propex Fabrics, Inc.
	1,610,084	Term Loan, 7.25%, Maturing July 31, 2012⁽²⁾		358,244
		Rockwood Specialties Group, Inc.
	3,662,400	Term Loan, 1.91%, Maturing December 10, 2012		3,230,237
		Schoeller Arca Systems Holding
EUR	886,834	Term Loan, 5.82%, Maturing November 16, 2015		669,833
EUR	824,121	Term Loan, 5.82%, Maturing November 16, 2015		622,465
EUR	289,045	Term Loan, 5.82%, Maturing November 16, 2015		218,318
		Solo Cup Co.
	1,837,639	Term Loan, 5.08%, Maturing February 27, 2011		1,601,371
		Wellman, Inc.
	1,213,888	Term Loan, 0.00%, Maturing February 10, 2009⁽⁴⁾⁽⁵⁾		353,241

			$	42,626,296

Clothing/Textiles — 0.3%
		Hanesbrands, Inc.
	1,563,121	Term Loan, 3.01%, Maturing September 5, 2013	$	1,414,624
	1,125,000	Term Loan – Second Lien, 4.91%, Maturing March 5, 2014		946,875
		St. John Knits International, Inc.
	1,231,247	Term Loan, 3.41%, Maturing March 23, 2012		831,092
		The William Carter Co.
	1,152,877	Term Loan, 2.03%, Maturing July 14, 2012		1,003,003

			$	4,195,594

Conglomerates — 1.5%
		Amsted Industries, Inc.
	1,453,071	Term Loan, 3.23%, Maturing October 15, 2010	$	1,009,885
		Blount, Inc.
	412,886	Term Loan, 2.20%, Maturing August 9, 2010		359,211


Principal
Amount*		Borrower/Tranche Description	Value

		Doncasters (Dunde HoldCo 4 Ltd.)
	608,184	Term Loan, 2.94%, Maturing July 13, 2015	$	421,674
	608,184	Term Loan, 3.44%, Maturing July 13, 2015		421,674
GBP	734,483	Term Loan – Second Lien, 6.56%, Maturing January 13, 2016		549,947
		ISS Holdings A/S
EUR	208,772	Term Loan, 5.24%, Maturing December 31, 2013		182,078
EUR	1,491,228	Term Loan, 5.24%, Maturing December 31, 2013		1,300,559
		Jarden Corp.
	1,766,001	Term Loan, 3.21%, Maturing January 24, 2012		1,514,346
	975,378	Term Loan, 3.21%, Maturing January 24, 2012		836,387
		Johnson Diversey, Inc.
	2,935,784	Term Loan, 5.19%, Maturing December 16, 2011		2,612,848
		Polymer Group, Inc.
	3,885,293	Term Loan, 3.35%, Maturing November 22, 2012		2,933,396
		RBS Global, Inc.
	416,500	Term Loan, 2.94%, Maturing July 19, 2013		327,994
	2,681,967	Term Loan, 3.33%, Maturing July 19, 2013		2,112,049
		RGIS Holdings, LLC
	1,899,643	Term Loan, 3.30%, Maturing April 30, 2014		1,341,623
	94,982	Term Loan, 3.96%, Maturing April 30, 2014		67,081
		The Manitowoc Company, Inc.
	1,400,000	Term Loan, 6.50%, Maturing August 21, 2014		1,090,250
		US Investigations Services, Inc.
	2,616,792	Term Loan, 4.28%, Maturing February 21, 2015		2,068,574
		Vertrue, Inc.
	829,450	Term Loan, 4.46%, Maturing August 16, 2014		603,425

			$	19,753,001

Containers and Glass Products — 1.8%
		Berry Plastics Corp.
	4,610,326	Term Loan, 2.42%, Maturing April 3, 2015	$	3,400,115
		Consolidated Container Co.
	1,000,000	Term Loan – Second Lien, 5.86%, Maturing September 28, 2014		260,625
		Crown Americas, Inc.
	679,000	Term Loan, 2.08%, Maturing November 15, 2012		606,008
		Graham Packaging Holdings Co.
	5,192,401	Term Loan, 4.51%, Maturing October 7, 2011		4,191,420
		Graphic Packaging International, Inc.
	7,311,160	Term Loan, 3.09%, Maturing May 16, 2014		6,042,674


Principal
Amount*		Borrower/Tranche Description	Value

		JSG Acquisitions
EUR	180,907	Term Loan, 4.13%, Maturing December 31, 2014	$	148,159
EUR	217,564	Term Loan, 4.38%, Maturing December 31, 2014		178,180
EUR	1,300,764	Term Loan, 4.59%, Maturing December 31, 2014		1,065,295
EUR	1,300,764	Term Loan, 4.62%, Maturing December 31, 2014		1,065,295
		Kranson Industries, Inc.
	1,099,471	Term Loan, 3.75%, Maturing July 31, 2013		802,614
		Owens-Brockway Glass Container
	2,034,688	Term Loan, 1.83%, Maturing June 14, 2013		1,765,091
		Smurfit-Stone Container Corp.
	872,221	Term Loan, 2.43%, Maturing November 1, 2011		583,662
	78,916	Term Loan, 2.50%, Maturing November 1, 2011		51,887
	1,069,632	Term Loan, 3.78%, Maturing November 1, 2011		715,763
	2,196,353	Term Loan, 3.86%, Maturing November 1, 2011		1,444,102
		Tegrant Holding Corp.
	1,965,000	Term Loan, 4.71%, Maturing March 8, 2013		1,139,700

			$	23,460,590

Cosmetics/Toiletries — 0.3%
		American Safety Razor Co.
	1,000,000	Term Loan – Second Lien, 6.66%, Maturing July 31, 2014	$	665,000
		Bausch & Lomb, Inc.
	155,000	Term Loan, 3.43%, Maturing April 30, 2015⁽³⁾		130,255
	613,800	Term Loan, 4.71%, Maturing April 30, 2015		515,811
		KIK Custom Products, Inc.
	1,400,000	Term Loan – Second Lien, 5.39%, Maturing November 30, 2014		224,000
		Prestige Brands, Inc.
	2,402,697	Term Loan, 2.66%, Maturing April 7, 2011		2,102,360

			$	3,637,426

Drugs — 0.4%
		Graceway Pharmaceuticals, LLC
	1,482,812	Term Loan, 4.21%, Maturing May 3, 2012	$	973,714
	300,000	Term Loan, 9.71%, Maturing November 3, 2013		75,000
	1,000,000	Term Loan – Second Lien, 7.96%, Maturing May 3, 2013		320,000
		Pharmaceutical Holdings Corp.
	441,116	Term Loan, 3.70%, Maturing January 30, 2012		368,331
		Stiefel Laboratories, Inc.
	671,061	Term Loan, 3.41%, Maturing December 28, 2013		560,336
	877,349	Term Loan, 3.41%, Maturing December 28, 2013		732,587
		Warner Chilcott Corp.
	617,464	Term Loan, 3.46%, Maturing January 18, 2012		554,019
	1,698,589	Term Loan, 3.46%, Maturing January 18, 2012		1,524,059

			$	5,108,046


Principal
Amount*		Borrower/Tranche Description	Value

Ecological Services and Equipment — 0.4%
		Big Dumpster Merger Sub, Inc.
	848,890	Term Loan, 2.66%, Maturing February 5, 2013	$	403,223
		Blue Waste B.V. (AVR Acquisition)
EUR	1,000,000	Term Loan, 5.22%, Maturing April 1, 2015		984,308
		Environmental Systems Products Holdings, Inc.
	466,049	Term Loan – Second Lien, 13.50%, Maturing December 12, 2010		305,542
		IESI Corp.
	3,464,706	Term Loan, 2.16%, Maturing January 20, 2012		2,962,324
		Sensus Metering Systems, Inc.
	715,074	Term Loan, 3.13%, Maturing December 17, 2010		650,717
		Wastequip, Inc.
	980,337	Term Loan, 2.66%, Maturing February 5, 2013		465,660

			$	5,771,774

Electronics/Electrical — 1.4%
		Aspect Software, Inc.
	2,067,000	Term Loan, 4.56%, Maturing July 11, 2011	$	1,074,840
	2,350,000	Term Loan – Second Lien, 9.19%, Maturing July 11, 2013		658,000
		Freescale Semiconductor, Inc.
	5,561,500	Term Loan, 3.93%, Maturing December 1, 2013		2,878,076
		Infor Enterprise Solutions Holdings
	3,404,493	Term Loan, 5.21%, Maturing July 28, 2012		2,008,651
	1,776,257	Term Loan, 5.21%, Maturing July 28, 2012		1,047,992
	500,000	Term Loan – Second Lien, 6.96%, Maturing March 2, 2014		107,500
	183,333	Term Loan – Second Lien, 7.71%, Maturing March 2, 2014		39,417
	316,667	Term Loan – Second Lien, 7.71%, Maturing March 2, 2014		71,250
		Network Solutions, LLC
	975,507	Term Loan, 3.26%, Maturing March 7, 2014		560,916
		Open Solutions, Inc.
	2,407,555	Term Loan, 3.26%, Maturing January 23, 2014		987,097
		Sensata Technologies Finance Co.
	5,843,420	Term Loan, 2.93%, Maturing April 27, 2013		3,056,839
		Spectrum Brands, Inc.
	83,608	Term Loan, 4.45%, Maturing March 30, 2013		52,046
	1,647,413	Term Loan, 5.90%, Maturing March 30, 2013		1,025,514
		SS&C Technologies, Inc.
	1,927,134	Term Loan, 3.43%, Maturing November 23, 2012		1,435,715
		VeriFone, Inc.
	946,772	Term Loan, 3.16%, Maturing October 31, 2013		714,813
		Vertafore, Inc.
	2,456,250	Term Loan, 4.66%, Maturing January 31, 2012		1,854,469
	975,000	Term Loan – Second Lien, 8.16%, Maturing January 31, 2013		589,875

			$	18,163,010


Principal
Amount*		Borrower/Tranche Description	Value

Equipment Leasing — 0.2%
		The Hertz Corp.
	3,781,294	Term Loan, 2.15%, Maturing December 21, 2012	$	2,429,481
	688,889	Term Loan, 3.28%, Maturing December 21, 2012		442,611

			$	2,872,092

Farming/Agriculture — 0.4%
		BF Bolthouse HoldCo, LLC
	2,910,000	Term Loan, 2.75%, Maturing December 16, 2012	$	2,298,900
	1,475,000	Term Loan – Second Lien, 5.91%, Maturing December 16, 2013		903,438
		Central Garden & Pet Co.
	2,295,865	Term Loan, 1.89%, Maturing February 28, 2014		1,587,017

			$	4,789,355

Financial Intermediaries — 0.6%
		Citco III, Ltd.
	2,166,424	Term Loan, 3.58%, Maturing June 30, 2014	$	1,386,511
		Grosvenor Capital Management
	678,184	Term Loan, 3.07%, Maturing December 5, 2013		359,438
		INVESTools, Inc.
	533,333	Term Loan, 3.66%, Maturing August 13, 2012		448,000
		Jupiter Asset Management Group
GBP	594,385	Term Loan, 5.29%, Maturing June 30, 2015		446,196
		LPL Holdings, Inc.
	5,044,428	Term Loan, 2.79%, Maturing December 18, 2014		3,631,988
		Nuveen Investments, Inc.
	694,750	Term Loan, 3.78%, Maturing November 2, 2014		335,217
		RJO Holdings Corp. (RJ O’Brien)
	666,563	Term Loan, 3.43%, Maturing July 31, 2014		309,952
		Travelex America Holdings, Inc.
	625,000	Term Loan, 5.93%, Maturing October 31, 2013		377,083
	625,000	Term Loan, 6.43%, Maturing October 31, 2014		377,083

			$	7,671,468

Food Products — 1.7%
		Acosta, Inc.
	2,949,375	Term Loan, 2.66%, Maturing July 28, 2013	$	2,197,284
		Advantage Sales & Marketing, Inc.
	4,132,747	Term Loan, 2.70%, Maturing March 29, 2013		3,027,237
		American Seafoods Group, LLC
	864,866	Term Loan, 2.16%, Maturing September 30, 2011		752,434
		Dean Foods Co.
	5,845,875	Term Loan, 2.95%, Maturing April 2, 2014		5,287,267


Principal
Amount*		Borrower/Tranche Description	Value

		MafCo Worldwide Corp.
	895,568	Term Loan, 2.41%, Maturing December 8, 2011	$	591,075
		Michael Foods, Inc.
	1,401,918	Term Loan, 3.88%, Maturing November 21, 2010		1,268,736
		Pinnacle Foods Finance, LLC
	6,304,000	Term Loan, 3.20%, Maturing April 2, 2014		4,974,909
		Provimi Group SA
	231,370	Term Loan, 2.66%, Maturing June 28, 2015		156,753
	188,011	Term Loan, 2.66%, Maturing June 28, 2015		127,377
EUR	419,087	Term Loan, 4.02%, Maturing June 28, 2015		363,546
EUR	243,178	Term Loan, 4.02%, Maturing June 28, 2015		210,949
EUR	402,189	Term Loan, 4.02%, Maturing June 28, 2015		348,887
EUR	548,225	Term Loan, 4.02%, Maturing June 28, 2015		475,570
		Reddy Ice Group, Inc.
	3,130,000	Term Loan, 2.09%, Maturing August 9, 2012		1,815,400
		Wrigley Company
	1,415,372	Term Loan, 6.50%, Maturing October 6, 2014		1,394,584

			$	22,992,008

Food Service — 1.1%
		AFC Enterprises, Inc.
	651,272	Term Loan, 3.75%, Maturing May 23, 2009	$	527,530
		Aramark Corp.
	293,517	Term Loan, 3.33%, Maturing January 26, 2014		258,213
	4,614,037	Term Loan, 3.33%, Maturing January 26, 2014		4,059,070
GBP	980,000	Term Loan, 5.00%, Maturing January 27, 2014		1,157,476
		Buffets, Inc.
	609,132	Term Loan, 7.66%, Maturing April 30, 2009⁽²⁾		188,831
	60,687	Term Loan, 7.66%, Maturing April 30, 2009⁽²⁾		18,813
	184,103	Term Loan, 8.81%, Maturing May 1, 2013		38,968
	1,267,049	Term Loan, 7.66%, Maturing November 1, 2013⁽²⁾		268,192
		Burger King Corp.
	1,692,294	Term Loan, 3.00%, Maturing June 30, 2012		1,582,295
		CBRL Group, Inc.
	2,280,572	Term Loan, 4.70%, Maturing April 27, 2013		1,710,429
		Denny’s, Inc.
	559,381	Term Loan, 4.05%, Maturing March 31, 2012		461,489
	163,417	Term Loan, 6.15%, Maturing March 31, 2012		134,819
		JRD Holdings, Inc.
	1,896,094	Term Loan, 2.64%, Maturing June 26, 2014		1,668,563


Principal
Amount*		Borrower/Tranche Description	Value

		Maine Beverage Co., LLC
	564,844	Term Loan, 3.19%, Maturing June 30, 2010	$	460,348
		NPC International, Inc.
	491,258	Term Loan, 2.76%, Maturing May 3, 2013		397,919
		OSI Restaurant Partners, LLC
	84,586	Term Loan, 4.35%, Maturing May 9, 2013		39,280
	941,137	Term Loan, 2.69%, Maturing May 9, 2014		437,041
		QCE Finance, LLC
	979,900	Term Loan, 3.75%, Maturing May 5, 2013		551,543
	1,225,000	Term Loan – Second Lien, 7.22%, Maturing November 5, 2013		493,063
		Sagittarius Restaurants, LLC
	447,479	Term Loan, 9.50%, Maturing March 29, 2013		161,092

			$	14,614,974

Food/Drug Retailers — 1.2%
		General Nutrition Centers, Inc.
	3,004,410	Term Loan, 3.71%, Maturing September 16, 2013	$	2,058,021
		Iceland Foods Group, Ltd.
GBP	2,150,000	Term Loan, 3.35%, Maturing May 2, 2014		2,671,781
GBP	2,150,000	Term Loan, 4.10%, Maturing May 2, 2015		2,671,781
GBP	538,348	Term Loan, 10.35%, Maturing May 2, 2016⁽²⁾		657,297
		Pantry, Inc. (The)
	1,126,523	Term Loan, 2.16%, Maturing May 15, 2014		858,974
	324,314	Term Loan, 2.16%, Maturing May 15, 2014		247,290
		Rite Aid Corp.
	4,468,737	Term Loan, 2.14%, Maturing June 1, 2014		2,815,305
	1,246,875	Term Loan, 6.00%, Maturing June 4, 2014		897,750
		Roundy’s Supermarkets, Inc.
	3,759,938	Term Loan, 3.19%, Maturing November 3, 2011		3,087,849

			$	15,966,048

Forest Products — 0.8%
		Appleton Papers, Inc.
	1,896,125	Term Loan, 3.54%, Maturing June 5, 2014	$	1,407,873
		Georgia-Pacific Corp.
	8,200,113	Term Loan, 4.10%, Maturing December 20, 2012		7,098,223
		Newpage Corp.
	1,930,500	Term Loan, 5.31%, Maturing December 5, 2014		1,122,908
		Xerium Technologies, Inc.
	1,863,293	Term Loan, 6.96%, Maturing May 18, 2012		1,034,128

			$	10,663,132


Principal
Amount*		Borrower/Tranche Description	Value

Healthcare — 5.7%
		Accellent, Inc.
	1,406,500	Term Loan, 4.70%, Maturing November 22, 2012	$	1,083,005
		Advanced Medical Optics, Inc.
	833,354	Term Loan, 4.38%, Maturing April 2, 2014		804,187
		Alliance Imaging, Inc.
	1,118,681	Term Loan, 4.11%, Maturing December 29, 2011		970,456
		American Medical Systems
	1,410,515	Term Loan, 2.69%, Maturing July 20, 2012		1,227,148
		AMN Healthcare, Inc.
	293,146	Term Loan, 3.21%, Maturing November 2, 2011		259,435
		AMR HoldCo, Inc.
	1,964,100	Term Loan, 4.17%, Maturing February 10, 2012		1,738,228
		Biomet, Inc.
	3,950,000	Term Loan, 4.46%, Maturing December 26, 2014		3,529,763
EUR	1,752,813	Term Loan, 5.96%, Maturing December 26, 2014		2,008,650
		Capio AB
EUR	169,803	Term Loan, 4.50%, Maturing April 24, 2015		161,975
EUR	204,134	Term Loan, 4.50%, Maturing April 24, 2015		194,723
EUR	169,803	Term Loan, 4.63%, Maturing April 16, 2016		161,975
EUR	152,245	Term Loan, 4.63%, Maturing April 24, 2016		145,226
		Cardinal Health 409, Inc.
	2,167,000	Term Loan, 3.71%, Maturing April 10, 2014		1,377,850
EUR	1,970,000	Term Loan, 5.22%, Maturing April 10, 2014		1,879,179
		Carestream Health, Inc.
	4,211,716	Term Loan, 2.84%, Maturing April 30, 2013		3,292,160
	1,000,000	Term Loan – Second Lien, 7.00%, Maturing October 30, 2013		311,250
		Carl Zeiss Vision Holding GmbH
	1,300,000	Term Loan, 2.91%, Maturing March 23, 2015		608,400
		Community Health Systems, Inc.
	503,549	Term Loan, 2.95%, Maturing July 25, 2014		428,206
	9,842,239	Term Loan, 4.45%, Maturing July 25, 2014		8,369,594
		Concentra, Inc.
	850,000	Term Loan – Second Lien, 6.96%, Maturing June 25, 2015		187,000
		ConMed Corp.
	608,396	Term Loan, 1.91%, Maturing April 13, 2013		511,053
		CRC Health Corp.
	635,375	Term Loan, 3.71%, Maturing February 6, 2013		407,699
	583,568	Term Loan, 3.71%, Maturing February 6, 2013		374,456


Principal
Amount*		Borrower/Tranche Description	Value

		DaVita, Inc.
	5,424,933	Term Loan, 2.32%, Maturing October 5, 2012	$	4,992,875
		DJO Finance, LLC
	1,039,500	Term Loan, 3.88%, Maturing May 15, 2014		847,193
		Fresenius Medical Care Holdings
	3,516,896	Term Loan, 2.85%, Maturing March 31, 2013		3,190,327
		Hanger Orthopedic Group, Inc.
	1,532,491	Term Loan, 2.42%, Maturing May 30, 2013		1,363,917
		HCA, Inc.
	8,761,101	Term Loan, 3.71%, Maturing November 18, 2013		7,268,726
		Health Management Association, Inc.
	5,792,522	Term Loan, 3.21%, Maturing February 28, 2014		4,158,203
		HealthSouth Corp.
	1,875,291	Term Loan, 4.43%, Maturing March 10, 2013		1,648,694
		Iasis Healthcare, LLC
	421,174	Term Loan, 2.41%, Maturing March 14, 2014		362,210
	1,217,152	Term Loan, 2.41%, Maturing March 14, 2014		1,046,751
	112,878	Term Loan, 2.42%, Maturing March 14, 2014		97,075
		Ikaria Acquisition, Inc.
	754,024	Term Loan, 3.42%, Maturing March 28, 2013		606,989
		IM U.S. Holdings, LLC
	900,000	Term Loan – Second Lien, 4.69%, Maturing June 26, 2015		627,750
		Invacare Corp.
	2,094,054	Term Loan, 3.28%, Maturing February 12, 2013		1,706,654
		inVentiv Health, Inc.
	1,194,723	Term Loan, 3.21%, Maturing July 6, 2014		1,012,528
		LifePoint Hospitals, Inc.
	2,959,542	Term Loan, 3.82%, Maturing April 15, 2012		2,663,588
		MultiPlan Merger Corp.
	686,350	Term Loan, 2.94%, Maturing April 12, 2013		522,770
	1,255,265	Term Loan, 2.94%, Maturing April 12, 2013		956,094
		Mylan, Inc.
	759,500	Term Loan, 4.54%, Maturing October 2, 2014		696,841
		National Mentor Holdings, Inc.
	1,334,580	Term Loan, 3.46%, Maturing June 29, 2013		867,477
	81,200	Term Loan, 4.59%, Maturing June 29, 2013		52,780
		National Rental Institutes, Inc.
	1,993,173	Term Loan, 3.75%, Maturing March 31, 2013		1,121,160
		Nyco Holdings
EUR	1,920,457	Term Loan, 5.24%, Maturing December 29, 2014		1,618,129
EUR	1,920,457	Term Loan, 5.99%, Maturing December 29, 2015		1,618,129


Principal
Amount*		Borrower/Tranche Description	Value

		Physiotherapy Associates, Inc.
	1,062,005	Term Loan, 7.50%, Maturing June 27, 2013	$	623,928
		RadNet Management, Inc.
	710,505	Term Loan, 6.45%, Maturing November 15, 2012		568,404
		ReAble Therapeutics Finance, LLC
	1,149,626	Term Loan, 3.46%, Maturing November 16, 2013		994,427
		Renal Advantage, Inc.
	994	Term Loan, 4.50%, Maturing October 5, 2012		800
		Select Medical Corp.
	1,600,268	Term Loan, 4.15%, Maturing February 24, 2012		1,268,213
		Select Medical Holdings Corp.
	1,997,187	Term Loan, 4.15%, Maturing February 24, 2012		1,582,771
		Sunrise Medical Holdings, Inc.
	1,287,078	Term Loan, 5.15%, Maturing May 13, 2010		723,981
		Vanguard Health Holding Co., LLC
	935,179	Term Loan, 3.27%, Maturing September 23, 2011		807,527
		Viant Holdings, Inc.
	763,375	Term Loan, 3.71%, Maturing June 25, 2014		393,138

			$	76,041,667

Home Furnishings — 0.5%
		Hunter Fan Co.
	614,448	Term Loan, 4.74%, Maturing April 16, 2014	$	345,627
		Interline Brands, Inc.
	1,281,277	Term Loan, 2.04%, Maturing June 23, 2013		820,017
	889,565	Term Loan, 2.04%, Maturing June 23, 2013		569,322
		National Bedding Co., LLC
	2,329,697	Term Loan, 3.01%, Maturing August 31, 2011		1,065,836
	1,050,000	Term Loan – Second Lien, 5.39%, Maturing August 31, 2012		381,500
		Oreck Corp.
	1,777,165	Term Loan, 4.93%, Maturing February 2, 2012⁽⁵⁾		694,871
		Sanitec, Ltd. Oy
EUR	490,638	Term Loan, 0.00%, Maturing April 7, 2013⁽⁴⁾		155,340
EUR	490,638	Term Loan, 0.00%, Maturing April 7, 2014⁽⁴⁾		155,340
		Simmons Co.
	3,677,152	Term Loan, 9.51%, Maturing December 19, 2011		2,794,635
	1,000,000	Term Loan, 8.35%, Maturing February 15, 2012		60,000

			$	7,042,488


Principal
Amount*		Borrower/Tranche Description	Value

Industrial Equipment — 1.2%
		Brand Energy and Infrastructure Services, Inc.
	1,061,563	Term Loan, 4.74%, Maturing February 7, 2014	$	621,014
		CEVA Group PLC U.S.
	1,432,138	Term Loan, 3.39%, Maturing January 4, 2014		828,253
	171,053	Term Loan, 4.46%, Maturing January 4, 2014		98,925
EUR	302,530	Term Loan, 4.77%, Maturing January 4, 2014		245,327
EUR	513,730	Term Loan, 4.77%, Maturing January 4, 2014		416,593
EUR	631,377	Term Loan, 4.77%, Maturing January 4, 2014		511,996
EUR	1,597,365	Term Loan, 5.97%, Maturing January 4, 2014		1,295,335
		EPD Holdings (Goodyear Engineering Products)
	114,469	Term Loan, 2.93%, Maturing July 13, 2014		56,853
	799,258	Term Loan, 2.93%, Maturing July 13, 2014		396,965
	1,100,000	Term Loan – Second Lien, 6.17%, Maturing July 13, 2015		231,000
		Flowserve Corp.
	2,290,406	Term Loan, 2.99%, Maturing August 10, 2012		2,084,269
		FR Brand Acquisition Corp.
	982,500	Term Loan, 3.75%, Maturing February 7, 2014		606,694
		Generac Acquisition Corp.
	2,677,819	Term Loan, 2.94%, Maturing November 7, 2013		1,466,106
	500,000	Term Loan – Second Lien, 6.44%, Maturing April 7, 2014		143,542
		Gleason Corp.
	743,297	Term Loan, 3.66%, Maturing June 30, 2013		602,070
	280,361	Term Loan, 3.66%, Maturing June 30, 2013		227,093
		Itron, Inc.
EUR	379,310	Term Loan, 4.72%, Maturing April 18, 2014		423,745
		Jason, Inc.
	585,079	Term Loan, 3.97%, Maturing April 30, 2010		424,182
		John Maneely Co.
	2,383,593	Term Loan, 4.44%, Maturing December 8, 2013		1,322,894
		KION Group GmbH
	250,000	Term Loan, 2.41%, Maturing December 23, 2014		101,250
	250,000	Term Loan, 2.91%, Maturing December 23, 2015		101,250
		Polypore, Inc.
	4,284,750	Term Loan, 2.45%, Maturing July 3, 2014		2,892,206
		Sequa Corp.
	795,043	Term Loan, 3.69%, Maturing November 30, 2014		498,094
		TFS Acquisition Corp.
	879,750	Term Loan, 4.96%, Maturing August 11, 2013		395,888

			$	15,991,544


Principal
Amount*		Borrower/Tranche Description	Value

Insurance — 0.9%
		Alliant Holdings I, Inc.
	1,333,125	Term Loan, 4.46%, Maturing August 21, 2014	$	1,053,169
		Applied Systems, Inc.
	925,807	Term Loan, 3.92%, Maturing September 26, 2013		708,243
		CCC Information Services Group, Inc.
	1,110,774	Term Loan, 3.72%, Maturing February 10, 2013		788,650
		Conseco, Inc.
	4,651,189	Term Loan, 2.39%, Maturing October 10, 2013		3,011,645
		Crawford & Company
	1,610,161	Term Loan, 3.96%, Maturing October 31, 2013		1,328,383
		Crump Group, Inc.
	1,186,884	Term Loan, 3.41%, Maturing August 4, 2014		747,737
		Getty Images, Inc.
	2,906,719	Term Loan, 7.24%, Maturing July 2, 2015		2,743,216
		Hub International Holdings, Inc.
	217,055	Term Loan, 3.96%, Maturing June 13, 2014		161,163
	965,686	Term Loan, 3.96%, Maturing June 13, 2014		717,022
		U.S.I. Holdings Corp.
	1,182,000	Term Loan, 4.21%, Maturing May 4, 2014		685,560

			$	11,944,788

Leisure Goods/Activities/Movies — 3.5%
		24 Hour Fitness Worldwide, Inc.
	1,964,450	Term Loan, 3.43%, Maturing June 8, 2012	$	1,217,959
		AMC Entertainment, Inc.
	1,711,852	Term Loan, 2.14%, Maturing January 26, 2013		1,514,275
		AMF Bowling Worldwide, Inc.
	1,300,000	Term Loan – Second Lien, 8.44%, Maturing December 8, 2013		195,000
		Butterfly Wendel US, Inc.
	371,737	Term Loan, 3.19%, Maturing June 22, 2013		241,164
	371,857	Term Loan, 2.69%, Maturing June 22, 2014		241,242
		Carmike Cinemas, Inc.
	2,909,548	Term Loan, 6.13%, Maturing May 19, 2012		2,220,954
		Cedar Fair, L.P.
	487,500	Term Loan, 2.41%, Maturing August 31, 2011		370,906
	2,797,805	Term Loan, 2.41%, Maturing August 30, 2012		2,128,662
		Cinemark, Inc.
	3,755,314	Term Loan, 2.53%, Maturing October 5, 2013		3,381,660
		Dave & Buster’s, Inc.
	382,500	Term Loan, 3.43%, Maturing March 8, 2013		340,425
	972,500	Term Loan, 3.43%, Maturing March 8, 2013		865,525

================================================================================


Principal
Amount*		Borrower/Tranche Description	Value

		Deluxe Entertainment Services
	745,513	Term Loan, 3.58%, Maturing January 28, 2011	$	383,939
	41,339	Term Loan, 3.71%, Maturing January 28, 2011		21,289
	72,991	Term Loan, 3.71%, Maturing January 28, 2011		37,591
		Easton-Bell Sports, Inc.
	1,413,974	Term Loan, 2.92%, Maturing March 16, 2012		1,032,201
		Formula One (Project Alpha III)
	1,928,571	Term Loan, 2.66%, Maturing October 13, 2014		1,040,223
		HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital Corp.
	96,000	DIP Loan, 0.00%, Maturing March 31, 2010⁽⁴⁾⁽⁵⁾		96,000
		Mega Blocks, Inc.
	1,469,543	Term Loan, 8.75%, Maturing July 26, 2012		330,647
		Metro-Goldwyn-Mayer Holdings, Inc.
	10,086,013	Term Loan, 4.22%, Maturing April 8, 2012		4,649,652
		National CineMedia, LLC
	2,075,000	Term Loan, 3.75%, Maturing February 13, 2015		1,322,072
		Red Football, Ltd.
GBP	2,730,401	Term Loan, 4.10%, Maturing August 16, 2014		2,631,336
GBP	2,730,401	Term Loan, 4.35%, Maturing August 16, 2015		2,631,336
		Regal Cinemas Corp.
	6,209,575	Term Loan, 5.21%, Maturing November 10, 2010		5,650,713
		Revolution Studios Distribution Co., LLC
	1,364,817	Term Loan, 4.16%, Maturing December 21, 2014		900,779
	1,050,000	Term Loan – Second Lien, 7.41%, Maturing June 21, 2015		168,000
		Six Flags Theme Parks, Inc.
	4,457,125	Term Loan, 2.92%, Maturing April 30, 2015		3,108,845
		Southwest Sports Group, LLC
	1,450,000	Term Loan, 4.00%, Maturing December 22, 2010		1,123,750
		Universal City Development Partners, Ltd.
	2,912,921	Term Loan, 6.00%, Maturing June 9, 2011		2,679,887
		WMG Acquisition Corp.
	900,000	Revolving Loan, 0.00%, Maturing February 28, 2010⁽³⁾		702,000
	6,862,491	Term Loan, 3.34%, Maturing February 28, 2011		5,755,914

			$	46,983,946

Lodging and Casinos — 1.4%
		Gala Electric Casinos, Ltd.
GBP	958,999	Term Loan, 7.00%, Maturing December 12, 2013	$	784,069
GBP	958,999	Term Loan, 7.50%, Maturing December 12, 2014		784,069
		Green Valley Ranch Gaming, LLC
	638,642	Term Loan, 4.25%, Maturing February 16, 2014		274,616


Principal
Amount*		Borrower/Tranche Description	Value

		Harrah’s Operating Co.
	1,389,500	Term Loan, 4.16%, Maturing January 28, 2015	$	870,490
	992,500	Term Loan, 4.26%, Maturing January 28, 2015		619,624
		Herbst Gaming, Inc.
	994,937	Term Loan, 0.00%, Maturing December 2, 2011⁽⁴⁾		254,953
		Isle of Capri Casinos, Inc.
	2,621,839	Term Loan, 3.21%, Maturing November 30, 2013		1,765,994
	790,544	Term Loan, 3.21%, Maturing November 30, 2013		532,487
	1,048,735	Term Loan, 3.21%, Maturing November 30, 2013		706,398
		LodgeNet Entertainment Corp.
	1,129,200	Term Loan, 3.46%, Maturing April 4, 2014		592,830
		New World Gaming Partners, Ltd.
	1,443,750	Term Loan, 3.94%, Maturing June 30, 2014		665,930
	291,667	Term Loan, 3.94%, Maturing June 30, 2014		134,531
		Penn National Gaming, Inc.
	7,056,910	Term Loan, 2.77%, Maturing October 3, 2012		6,399,736
		Venetian Casino Resort/Las Vegas Sands, Inc.
	1,129,596	Term Loan, 2.16%, Maturing May 14, 2014		558,353
	4,143,264	Term Loan, 2.16%, Maturing May 23, 2014		2,047,995
		VML US Finance, LLC
	2,300,000	Term Loan, 2.66%, Maturing May 25, 2013		1,332,954
		Wimar OpCo, LLC
	900,262	Term Loan, 6.50%, Maturing January 3, 2012		265,577

			$	18,590,606

Nonferrous Metals/Minerals — 0.8%
		Alpha Natural Resources, LLC
	2,750,875	Term Loan, 3.00%, Maturing October 26, 2012	$	2,510,173
		Compass Minerals Group, Inc.
	2,742,369	Term Loan, 2.48%, Maturing December 22, 2012		2,581,255
		Euramax International, Inc.
	701,579	Term Loan, 8.75%, Maturing June 28, 2012		271,862
	503,822	Term Loan – Second Lien, 11.00%, Maturing June 28, 2013		100,764
	249,928	Term Loan – Second Lien, 11.00%, Maturing June 28, 2013		49,986
		Murray Energy Corp.
	943,250	Term Loan, 6.94%, Maturing January 28, 2010		839,493
		Noranda Aluminum Acquisition
	531,158	Term Loan, 4.24%, Maturing May 18, 2014		301,432
		Novelis, Inc.
	590,992	Term Loan, 3.46%, Maturing June 28, 2014		377,053
	1,300,183	Term Loan, 3.46%, Maturing June 28, 2014		829,517


Principal
Amount*		Borrower/Tranche Description	Value

		Oxbow Carbon and Mineral Holdings
	162,624	Term Loan, 2.41%, Maturing May 8, 2014	$	111,702
	1,816,502	Term Loan, 2.81%, Maturing May 8, 2014		1,247,710
		Tube City IMS Corp.
	2,628,851	Term Loan, 3.46%, Maturing January 25, 2014		1,051,541
	324,324	Term Loan, 3.46%, Maturing January 25, 2014		129,730

			$	10,402,218

Oil and Gas — 0.7%
		Atlas Pipeline Partners, L.P.
	1,615,000	Term Loan, 3.16%, Maturing July 20, 2014	$	1,372,750
		Big West Oil, LLC
	577,500	Term Loan, 4.50%, Maturing May 1, 2014		274,313
	459,375	Term Loan, 4.50%, Maturing May 1, 2014		218,203
		Citgo Petroleum Corp.
	1,893,976	Term Loan, 1.78%, Maturing November 15, 2012		1,207,410
		Dresser, Inc.
	824,990	Term Loan, 4.41%, Maturing May 4, 2014		598,892
	1,250,000	Term Loan – Second Lien, 7.99%, Maturing May 4, 2015		618,750
		Enterprise GP Holdings, L.P.
	1,534,500	Term Loan, 3.25%, Maturing October 31, 2014		1,396,395
		IFM (US) Colonial Pipeline 2, LLC
	933,362	Term Loan, 4.20%, Maturing February 27, 2012		788,691
		Targa Resources, Inc.
	1,602,972	Term Loan, 3.46%, Maturing October 31, 2012		1,132,767
	1,394,854	Term Loan, 5.93%, Maturing October 31, 2012		985,697
		Volnay Acquisition Co.
	830,000	Term Loan, 4.54%, Maturing January 12, 2014		709,650

			$	9,303,518

Publishing — 3.2%
		American Media Operations, Inc.
	3,727,216	Term Loan, 3.95%, Maturing January 31, 2013	$	2,236,330
		Aster Zweite Beteiligungs GmbH
	1,075,000	Term Loan, 6.13%, Maturing September 27, 2013		521,375
EUR	472,333	Term Loan, 7.54%, Maturing September 27, 2013		302,819
		CanWest MediaWorks, Ltd.
	1,157,375	Term Loan, 4.20%, Maturing July 10, 2014		656,810
		Dex Media West, LLC
	5,190,000	Term Loan, 7.00%, Maturing October 24, 2014		2,854,500


Principal
Amount*		Borrower/Tranche Description	Value

		GateHouse Media Operating, Inc.
	800,000	Term Loan, 2.57%, Maturing August 28, 2014	$	207,334
	975,000	Term Loan, 2.66%, Maturing August 28, 2014		252,688
	1,850,000	Term Loan, 4.20%, Maturing August 28, 2014		479,459
		Idearc, Inc.
	12,274,500	Term Loan, 3.42%, Maturing November 17, 2014		4,262,320
		Laureate Education, Inc.
	432,535	Term Loan, 4.41%, Maturing August 17, 2014		268,712
	2,890,338	Term Loan, 4.41%, Maturing August 17, 2014		1,795,622
		MediaNews Group, Inc.
	919,307	Term Loan, 4.66%, Maturing August 2, 2013		308,887
		Mediannuaire Holding
EUR	968,816	Term Loan, 4.66%, Maturing October 10, 2014		295,055
EUR	968,816	Term Loan, 5.16%, Maturing October 10, 2015		295,055
EUR	1,000,000	Term Loan – Second Lien, 6.66%, Maturing April 10, 2016		177,122
		Merrill Communications, LLC
	1,436,802	Term Loan, 4.32%, Maturing December 24, 2012		984,210
		Nebraska Book Co., Inc.
	907,643	Term Loan, 6.38%, Maturing March 4, 2011		671,656
		Nelson Education, Ltd.
	666,563	Term Loan, 3.96%, Maturing July 5, 2014		383,273
		Nielsen Finance, LLC
	7,929,888	Term Loan, 3.88%, Maturing August 9, 2013		6,343,910
		Penton Media, Inc.
	982,500	Term Loan, 3.35%, Maturing February 1, 2013		397,913
		Philadelphia Newspapers, LLC
	1,038,512	Term Loan, 0.00%, Maturing June 29, 2013⁽⁴⁾		173,086
		R.H. Donnelley Corp.
	3,773,253	Term Loan, 6.75%, Maturing June 30, 2010		2,455,758
		Reader’s Digest Association, Inc. (The)
	7,835,438	Term Loan, 3.61%, Maturing March 2, 2014		3,134,175
		SGS International, Inc.
	837,220	Term Loan, 4.14%, Maturing December 30, 2011		544,193
		Source Interlink Companies, Inc.
	1,984,887	Term Loan, 5.45%, Maturing August 1, 2014		1,081,763
		Source Media, Inc.
	2,304,115	Term Loan, 6.46%, Maturing November 8, 2011		1,255,743
		Springer Science+Business Media
	546,613	Term Loan, 3.83%, Maturing May 5, 2011		361,545
	490,579	Term Loan, 4.21%, Maturing May 5, 2012		324,483
	417,648	Term Loan, 4.21%, Maturing May 5, 2012		276,245


Principal
Amount*		Borrower/Tranche Description	Value

		TL Acquisitions, Inc.
	3,234,062	Term Loan, 2.91%, Maturing July 5, 2014	$	2,461,526
		Trader Media Corp.
GBP	2,309,688	Term Loan, 3.78%, Maturing March 23, 2015		1,465,795
		Tribune Co.
	1,836,935	Term Loan, 0.00%, Maturing May 17, 2009⁽⁴⁾		516,179
	1,989,950	Term Loan, 0.00%, Maturing May 17, 2014⁽⁴⁾		440,276
	2,231,638	Term Loan, 0.00%, Maturing May 17, 2014⁽⁴⁾		624,062
		Xsys, Inc.
	1,290,100	Term Loan, 6.13%, Maturing September 27, 2013		625,699
EUR	527,667	Term Loan, 7.54%, Maturing September 27, 2013		338,295
	1,277,104	Term Loan, 6.13%, Maturing September 27, 2014		619,396
		Yell Group, PLC
	3,425,000	Term Loan, 3.41%, Maturing February 10, 2013		2,146,334

			$	42,539,603

Radio and Television — 2.2%
		Block Communications, Inc.
	2,037,000	Term Loan, 3.46%, Maturing December 22, 2011	$	1,711,080
		CMP KC, LLC
	963,688	Term Loan, 4.41%, Maturing May 5, 2013		551,133
		CMP Susquehanna Corp.
	2,727,144	Term Loan, 2.42%, Maturing May 5, 2013		804,508
		Discovery Communications, Inc.
	3,422,875	Term Loan, 3.46%, Maturing April 30, 2014		3,096,480
		Emmis Operating Co.
	1,021,214	Term Loan, 3.07%, Maturing November 2, 2013		449,334
		Entravision Communications Corp.
	1,739,000	Term Loan, 2.94%, Maturing September 29, 2013		1,273,818
		Gray Television, Inc.
	2,300,118	Term Loan, 2.52%, Maturing January 19, 2015		1,019,718
		HIT Entertainment, Inc.
	1,835,658	Term Loan, 4.96%, Maturing March 20, 2012		830,635
		NEP II, Inc.
	835,116	Term Loan, 2.66%, Maturing February 16, 2014		626,337
		Nexstar Broadcasting, Inc.
	2,096,827	Term Loan, 3.21%, Maturing October 1, 2012		1,237,128
	1,983,874	Term Loan, 3.21%, Maturing October 1, 2012		1,170,486
		NextMedia Operating, Inc.
	72,114	Term Loan, 5.12%, Maturing November 15, 2012		37,680
	162,257	Term Loan, 5.17%, Maturing November 15, 2012		84,779


Principal
Amount*		Borrower/Tranche Description	Value

		PanAmSat Corp.
	1,059,172	Term Loan, 3.93%, Maturing January 3, 2014	$	916,940
	1,058,851	Term Loan, 3.93%, Maturing January 3, 2014		916,662
	1,058,851	Term Loan, 3.93%, Maturing January 3, 2014		916,662
		Paxson Communications Corp.
	3,250,000	Term Loan, 4.34%, Maturing January 15, 2012		1,283,750
		Raycom TV Broadcasting, LLC
	1,900,000	Term Loan, 1.94%, Maturing June 25, 2014		1,425,000
		SFX Entertainment
	1,381,298	Term Loan, 4.26%, Maturing June 21, 2013		1,015,254
		Sirius Satellite Radio, Inc.
	740,625	Term Loan, 2.69%, Maturing December 19, 2012		536,953
		Tyrol Acquisition 2 SAS
EUR	1,050,000	Term Loan, 3.77%, Maturing January 19, 2015		859,135
EUR	1,050,000	Term Loan, 4.46%, Maturing January 19, 2016		859,135
		Univision Communications, Inc.
	11,650,000	Term Loan, 2.66%, Maturing September 29, 2014		6,195,307
	770,500	Term Loan – Second Lien, 2.91%, Maturing March 29, 2009		674,188
		Young Broadcasting, Inc.
	2,309,978	Term Loan, 5.24%, Maturing November 3, 2012		922,067

			$	29,414,169

Rail Industries — 0.4%
		Kansas City Southern Railway Co.
	3,315,000	Term Loan, 3.10%, Maturing April 26, 2013	$	2,922,726
		Rail America, Inc.
	135,280	Term Loan, 5.44%, Maturing August 14, 2009		123,781
	2,089,720	Term Loan, 5.44%, Maturing August 13, 2010		1,912,094

			$	4,958,601

Retailers (Except Food and Drug) — 1.2%
		American Achievement Corp.
	936,955	Term Loan, 2.59%, Maturing March 25, 2011	$	693,347
		Amscan Holdings, Inc.
	712,313	Term Loan, 3.93%, Maturing May 25, 2013		486,153
		Claire’s Stores, Inc.
	492,500	Term Loan, 3.48%, Maturing May 24, 2014		181,131
		Cumberland Farms, Inc.
	2,019,176	Term Loan, 2.90%, Maturing September 29, 2013		1,655,724
		Harbor Freight Tools USA, Inc.
	1,801,826	Term Loan, 9.75%, Maturing July 15, 2010		1,126,141


Principal
Amount*		Borrower/Tranche Description	Value

		Josten’s Corp.
	1,991,336	Term Loan, 2.45%, Maturing October 4, 2011	$	1,742,419
		Mapco Express, Inc.
	1,510,137	Term Loan, 3.91%, Maturing April 28, 2011		1,230,762
		Neiman Marcus Group, Inc.
	1,542,722	Term Loan, 4.19%, Maturing April 5, 2013		1,068,978
		Orbitz Worldwide, Inc.
	1,678,750	Term Loan, 4.24%, Maturing July 25, 2014		747,044
		Oriental Trading Co., Inc.
	2,067,576	Term Loan, 3.98%, Maturing July 31, 2013		1,157,843
	1,150,000	Term Loan – Second Lien, 6.41%, Maturing January 31, 2013		296,125
		Rent-A-Center, Inc.
	1,169,109	Term Loan, 2.15%, Maturing November 15, 2012		987,897
		Savers, Inc.
	446,574	Term Loan, 3.20%, Maturing August 11, 2012		375,122
	488,567	Term Loan, 3.20%, Maturing August 11, 2012		410,396
		The Yankee Candle Company, Inc.
	3,485,341	Term Loan, 3.40%, Maturing February 6, 2014		1,916,938
		Vivarte
EUR	825,263	Term Loan, 4.45%, Maturing May 29, 2015		480,784
EUR	128,489	Term Loan, 4.45%, Maturing May 29, 2015		74,855
EUR	33,040	Term Loan, 4.45%, Maturing May 29, 2015		19,248
EUR	825,263	Term Loan, 4.95%, Maturing May 29, 2016		480,784
EUR	128,489	Term Loan, 4.95%, Maturing May 29, 2016		74,855
EUR	33,040	Term Loan, 4.95%, Maturing May 29, 2016		19,248

			$	15,225,794

Steel — 0.2%
		Algoma Acquisition Corp.
	2,238,477	Term Loan, 2.95%, Maturing June 20, 2013	$	1,438,222
		Niagara Corp.
	1,452,875	Term Loan, 5.46%, Maturing June 29, 2014		762,759

			$	2,200,981

Surface Transport — 0.2%
		Gainey Corp.
	1,884,496	Term Loan, 0.00%, Maturing April 20, 2012⁽⁴⁾	$	233,678
		Oshkosh Truck Corp.
	946,135	Term Loan, 2.89%, Maturing December 6, 2013		661,112


Principal
Amount*		Borrower/Tranche Description	Value

		Ozburn-Hessey Holding Co., LLC
	579,830	Term Loan, 4.16%, Maturing August 9, 2012	$	449,368
		Swift Transportation Co., Inc.
	3,020,930	Term Loan, 5.49%, Maturing May 10, 2014		1,384,909

			$	2,729,067

Telecommunications — 2.0%
		Asurion Corp.
	2,450,000	Term Loan, 4.33%, Maturing July 13, 2012	$	1,788,500
	1,000,000	Term Loan – Second Lien, 6.86%, Maturing January 13, 2013		560,000
		BCM Luxembourg, Ltd.
EUR	2,831,379	Term Loan, 3.65%, Maturing September 30, 2014		2,672,961
EUR	2,831,695	Term Loan, 3.90%, Maturing September 30, 2015		2,673,259
EUR	1,500,000	Term Loan – Second Lien, 6.02%, Maturing March 31, 2016		948,563
		Centennial Cellular Operating Co., LLC
	3,226,468	Term Loan, 3.51%, Maturing February 9, 2011		3,141,270
		CommScope, Inc.
	2,420,843	Term Loan, 3.68%, Maturing November 19, 2014		2,063,768
		Intelsat Subsidiary Holding Co.
	1,270,750	Term Loan, 3.93%, Maturing July 3, 2013		1,126,996
		Iowa Telecommunications Services
	2,776,000	Term Loan, 3.09%, Maturing November 23, 2011		2,394,300
		IPC Systems, Inc.
GBP	1,448,087	Term Loan, 5.05%, Maturing May 31, 2014		1,049,284
		Macquarie UK Broadcast Ventures, Ltd.
GBP	1,071,462	Term Loan, 3.59%, Maturing December 26, 2014		987,946
		NTelos, Inc.
	1,215,750	Term Loan, 2.66%, Maturing August 24, 2011		1,091,895
		Palm, Inc.
	1,061,563	Term Loan, 3.91%, Maturing April 24, 2014		493,627
		Stratos Global Corp.
	1,198,500	Term Loan, 3.95%, Maturing February 13, 2012		1,030,710
		Trilogy International Partners
	1,225,000	Term Loan, 4.96%, Maturing June 29, 2012		520,625
		Windstream Corp.
	3,980,037	Term Loan, 2.59%, Maturing July 17, 2013		3,621,834

			$	26,165,538

Utilities — 1.6%
		AEI Finance Holding, LLC
	388,674	Revolving Loan, 3.41%, Maturing March 30, 2012	$	232,233
	2,771,209	Term Loan, 4.46%, Maturing March 30, 2014		1,655,797


Principal
Amount*		Borrower/Tranche Description	Value

		Astoria Generating Co.
	1,250,000	Term Loan – Second Lien, 4.11%, Maturing August 23, 2013	$	900,000
		BRSP, LLC
	2,182,672	Term Loan, 5.55%, Maturing July 13, 2009		1,866,185
		Calpine Corp.
	1,179,090	DIP Loan, 4.34%, Maturing March 30, 2009		910,970
		Electricinvest Holding Co.
GBP	540,000	Term Loan, 6.12%, Maturing October 24, 2012		537,037
EUR	536,193	Term Loan, 6.53%, Maturing October 24, 2012		471,139
		Mirant North America, LLC
	829,631	Term Loan, 2.16%, Maturing January 3, 2013		756,208
		NRG Energy, Inc.
	6,076,615	Term Loan, 2.66%, Maturing June 1, 2014		5,645,036
	2,994,481	Term Loan, 2.96%, Maturing June 1, 2014		2,781,804
		Pike Electric, Inc.
	470,384	Term Loan, 1.88%, Maturing July 1, 2012		425,698
	354,382	Term Loan, 1.88%, Maturing December 10, 2012		320,715
		TXU Texas Competitive Electric Holdings Co., LLC
	3,110,625	Term Loan, 3.91%, Maturing October 10, 2014		2,175,882
	1,135,625	Term Loan, 4.75%, Maturing October 10, 2014		795,221
		Vulcan Energy Corp.
	1,412,275	Term Loan, 6.25%, Maturing July 23, 2010		1,207,495

			$	20,681,420


Total Senior Floating-Rate Interests (identified cost $1,093,623,051)			$	728,358,351

Corporate Bonds & Notes — 40.7%


Principal
Amount
(000’s omitted)		Security	Value

Aerospace and Defense — 0.2%
		Alion Science and Technologies Corp.
$	1,500	10.25%, 2/1/15	$	600,000
		Bombardier, Inc.
	1,425	8.00%, 11/15/14⁽⁶⁾		1,225,500
		Hawker Beechcraft Acquisition
	1,810	9.75%, 4/1/17		334,850
		Transdigm, Inc.
	280	7.75%, 7/15/14		253,400
		Vought Aircraft Industries, Inc., Sr. Notes
	1,250	8.00%, 7/15/11		768,750

			$	3,182,500


Principal
Amount
(000’s omitted)		Security	Value

Automotive — 1.1%
		Allison Transmission, Inc.
$	1,610	11.00%, 11/1/15	$	901,600
		Altra Industrial Motion, Inc.
	3,590	9.00%, 12/1/11		3,482,300
		Commercial Vehicle Group, Inc., Sr. Notes
	1,100	8.00%, 7/1/13		500,500
		Ford Motor Credit Co., Sr. Notes
	5,965	5.70%, 1/15/10		5,054,663
		Tenneco Automotive, Inc., Series B
	6,073	10.25%, 7/15/13		4,038,545
		Tenneco, Inc., Sr. Notes
	1,085	8.125%, 11/15/15		379,750
		United Components, Inc., Sr. Sub. Notes
	990	9.375%, 6/15/13		311,850

			$	14,669,208

Broadcast Radio and Television — 0.1%
		Warner Music Group, Sr. Sub. Notes
$	1,570	7.375%, 4/15/14	$	1,004,800
		XM Satellite Radio Holdings, Inc., Sr. Notes
	2,885	13.00%, 8/1/13⁽⁶⁾		735,675

			$	1,740,475

Brokers/Dealers/Investment Houses — 0.1%
		Nuveen Investments, Inc., Sr. Notes
$	2,900	10.50%, 11/15/15⁽⁶⁾	$	812,000

			$	812,000

Building and Development — 0.5%
		Interline Brands, Inc., Sr. Sub. Notes
$	1,240	8.125%, 6/15/14	$	998,200
		Nortek, Inc., Sr. Sub. Notes
	2,645	10.00%, 12/1/13		1,547,325
		Panolam Industries International, Sr. Sub. Notes
	5,995	10.75%, 10/1/13		2,427,975
		Ply Gem Industries, Inc., Sr. Notes
	495	11.75%, 6/15/13		277,200
		Texas Industries Inc., Sr. Notes
	1,640	7.25%, 7/15/13⁽⁶⁾		1,246,400

			$	6,497,100


Principal
Amount
(000’s omitted)		Security	Value

Business Equipment and Services — 2.9%
		Affinion Group, Inc.
$	1,065	10.125%, 10/15/13	$	836,025
	2,560	11.50%, 10/15/15		1,676,800
		Education Management, LLC, Sr. Notes
	5,270	8.75%, 6/1/14		4,519,025
		Education Management, LLC, Sr. Sub. Notes
	7,270	10.25%, 6/1/16		6,070,450
		First Data Corp.
	205	9.875%, 9/24/15		115,825
		MediMedia USA, Inc., Sr. Sub. Notes
	2,415	11.375%, 11/15/14⁽⁶⁾		1,581,825
		Muzak, LLC/Muzak Finance, Sr. Notes
	5,250	10.00%, 2/15/09⁽⁴⁾		2,598,750
		Rental Service Corp.
	6,010	9.50%, 12/1/14		3,831,375
		SunGard Data Systems, Inc., Sr. Notes
	11,035	10.625%, 5/15/15⁽⁶⁾		9,214,225
		Ticketmaster, Sr. Notes
	2,700	10.75%, 8/1/16⁽⁶⁾		1,633,500
		Travelport, LLC
	5,025	9.875%, 9/1/14		2,010,000
		West Corp.
	6,330	9.50%, 10/15/14		4,336,050

			$	38,423,850

Cable and Satellite Television — 0.9%
		Cablevision Systems Corp., Sr. Notes, Series B
$	810	8.00%, 4/15/12	$	785,700
		CCO Holdings, LLC/CCO Capital Corp., Sr. Notes
	3,420	8.75%, 11/15/13		2,513,700
		Charter Communications, Inc., Sr. Notes
	645	8.375%, 4/30/14⁽⁶⁾		538,575
	2,740	10.875%, 9/15/14⁽⁶⁾		2,383,800
		Kabel Deutschland GmbH
	1,955	10.625%, 7/1/14		1,896,350
		Mediacom Broadband Corp., Sr. Notes
	1,720	8.50%, 10/15/15		1,487,800
		National Cable PLC
	540	8.75%, 4/15/14		461,700
		National Cable PLC, Sr. Notes
	2,755	9.125%, 8/15/16		2,327,975

			$	12,395,600


Principal
Amount
(000’s omitted)		Security	Value

Chemicals and Plastics — 0.6%
		CII Carbon, LLC
$	2,420	11.125%, 11/15/15⁽⁶⁾	$	1,681,900
		INEOS Group Holdings PLC
	4,035	8.50%, 2/15/16⁽⁶⁾		221,925
		Nova Chemicals Corp., Sr. Notes, Variable Rate
	2,145	5.72%, 11/15/13		579,150
		Reichhold Industries, Inc., Sr. Notes
	7,255	9.00%, 8/15/14⁽⁶⁾		4,969,675
		Solo Cup Co.
	325	8.50%, 2/15/14		219,375

			$	7,672,025

Clothing/Textiles — 1.7%
		Levi Strauss & Co., Sr. Notes
$	9,435	9.75%, 1/15/15	$	7,819,256
	410	8.875%, 4/1/16		317,750
		Oxford Industries, Inc., Sr. Notes
	8,275	8.875%, 6/1/11		6,247,625
		Perry Ellis International, Inc., Sr. Sub. Notes
	8,190	8.875%, 9/15/13		4,954,950
		Phillips Van Heusen, Sr. Notes
	1,610	8.125%, 5/1/13		1,465,100
		Quiksilver, Inc.
	3,060	6.875%, 4/15/15		1,694,475

			$	22,499,156

Commercial Services — 0.2%
		Ceridian Corp., Sr. Notes
$	5,820	11.25%, 11/15/15	$	3,171,900

			$	3,171,900

Conglomerates — 0.2%
		RBS Global & Rexnord Corp.
$	1,705	11.75%, 8/1/16	$	1,116,775
	1,905	8.875%, 9/1/16		1,343,025

			$	2,459,800

Containers and Glass Products — 0.5%
		Intertape Polymer US, Inc., Sr. Sub. Notes
$	3,220	8.50%, 8/1/14	$	2,129,225
		Pliant Corp.
	6,358	11.625%, 6/15/09⁽²⁾⁽⁴⁾		3,243,883


Principal
Amount
(000’s omitted)		Security	Value

		Smurfit-Stone Container Enterprises, Inc., Sr. Notes
$	4,425	8.00%, 3/15/17⁽⁴⁾	$	486,750
		Stone Container Corp., Sr. Notes
	715	8.375%, 7/1/12⁽⁴⁾		78,650

			$	5,938,508

Ecological Services and Equipment — 0.3%
		Environmental Systems Products Holdings, Inc., Jr. Notes
$	149	0.00%, 3/31/15⁽²⁾⁽⁵⁾	$	107,680
		Waste Services, Inc., Sr. Sub. Notes
	4,085	9.50%, 4/15/14		3,165,875

			$	3,273,555

Electronics/Electrical — 0.7%
		Advanced Micro Devices, Inc., Sr. Notes
$	3,885	7.75%, 11/1/12	$	1,291,762
		Amkor Technologies, Inc., Sr. Notes
	580	7.125%, 3/15/11		416,875
	665	7.75%, 5/15/13		388,194
	3,595	9.25%, 6/1/16		2,013,200
		Avago Technologies Finance
	1,850	10.125%, 12/1/13		1,507,750
	5,045	11.875%, 12/1/15		3,783,750
		NXP BV/NXP Funding, LLC, Variable Rate
	1,025	3.844%, 10/15/13		249,844

			$	9,651,375

Equipment Leasing — 0.3%
		Hertz Corp.
$	330	8.875%, 1/1/14	$	216,975
	6,095	10.50%, 1/1/16		3,207,494

			$	3,424,469

Financial Intermediaries — 0.8%
		Ford Motor Credit Co.
$	4,410	7.375%, 10/28/09	$	3,953,358
		Ford Motor Credit Co., Sr. Notes
	5,535	7.875%, 6/15/10		4,573,299
	180	9.875%, 8/10/11		133,906
		General Motors Acceptance Corp., Variable Rate
	2,060	3.399%, 5/15/09		1,928,675

			$	10,589,238


Principal
Amount
(000’s omitted)		Security	Value

Food Products — 0.5%
		ASG Consolidated, LLC/ASG Finance, Inc., Sr. Disc. Notes
$	5,680	11.50%, 11/1/11	$	4,913,200
		Dole Foods Co., Sr. Notes
	2,385	8.625%, 5/1/09		2,259,787

			$	7,172,987

Food Service — 0.8%
		Aramark Services, Inc.
$	3,485	8.50%, 2/1/15	$	3,406,587
		El Pollo Loco, Inc.
	4,050	11.75%, 11/15/13		3,118,500
		NPC International, Inc.
	4,660	9.50%, 5/1/14		3,704,700

			$	10,229,787

Food/Drug Retailers — 1.0%
		General Nutrition Center, Sr. Notes, Variable Rate
$	9,750	7.584%, 3/15/14⁽²⁾	$	5,898,750
		General Nutrition Center, Sr. Sub. Notes
	4,315	10.75%, 3/15/15		3,042,075
		Rite Aid Corp.
	6,560	7.50%, 3/1/17		3,870,400

			$	12,811,225

Forest Products — 0.6%
		Georgia-Pacific Corp.
$	1,450	9.50%, 12/1/11	$	1,421,000
		Jefferson Smurfit Corp., Sr. Notes
	1,445	8.25%, 10/1/12⁽⁴⁾		166,175
	820	7.50%, 6/1/13⁽⁴⁾		102,500
		NewPage Corp.
	10,345	10.00%, 5/1/12		4,034,550
	5,165	12.00%, 5/1/13		1,265,425
		NewPage Corp., Variable Rate
	1,545	9.443%, 5/1/12		533,025

			$	7,522,675

Healthcare — 3.6%
		Accellent, Inc.
$	3,320	10.50%, 12/1/13	$	2,373,800
		Advanced Medical Optics, Inc., Sr. Sub. Notes
	115	7.50%, 5/1/17		128,225
		AMR HoldCo, Inc./EmCare HoldCo, Inc., Sr. Sub. Notes
	4,270	10.00%, 2/15/15		4,312,700


Principal
Amount
(000’s omitted)		Security	Value

		Biomet, Inc.
$	9,715	11.625%, 10/15/17	$	9,083,525
		DJO Finance, LLC/DJO Finance Corp.
	4,220	10.875%, 11/15/14		3,143,900
		Fresenius US Finance II, Inc., Sr. Notes
	1,710	9.00%, 7/15/15		1,727,100
		HCA, Inc.
	4,559	8.75%, 9/1/10		4,502,012
	322	7.875%, 2/1/11		306,705
	2,385	9.125%, 11/15/14		2,295,562
	2,180	9.25%, 11/15/16		2,087,350
		MultiPlan Inc., Sr. Sub. Notes
	4,860	10.375%, 4/15/16⁽⁶⁾		3,766,500
		National Mentor Holdings, Inc.
	4,115	11.25%, 7/1/14		3,189,125
		Res-Care, Inc., Sr. Notes
	2,160	7.75%, 10/15/13		1,825,200
		US Oncology, Inc.
	3,065	9.00%, 8/15/12		2,865,775
	5,350	10.75%, 8/15/14		4,841,750
		Viant Holdings, Inc.
	4,127	10.125%, 7/15/17		1,465,085

			$	47,914,314

Industrial Equipment — 0.5%
		CEVA Group, PLC, Sr. Notes
$	3,750	10.00%, 9/1/14⁽⁶⁾	$	2,793,750
		Chart Industries, Inc., Sr. Sub. Notes
	2,170	9.125%, 10/15/15		1,725,150
		ESCO Corp., Sr. Notes
	1,595	8.625%, 12/15/13⁽⁶⁾		1,252,075
		ESCO Corp., Sr. Notes, Variable Rate
	1,595	5.871%, 12/15/13⁽⁶⁾		1,044,725

			$	6,815,700

Insurance — 0.2%
		Alliant Holdings I, Inc.
$	1,885	11.00%, 5/1/15⁽⁶⁾	$	1,244,100
		Hub International Holdings
	1,750	9.00%, 12/15/14⁽⁶⁾		1,190,000
		U.S.I. Holdings Corp., Sr. Notes, Variable Rate
	1,320	6.024%, 11/15/14⁽⁶⁾		633,600

			$	3,067,700


Principal
Amount
(000’s omitted)		Security	Value

Leisure Goods/Activities/Movies — 2.5%
		AMC Entertainment, Inc.
$	12,865	11.00%, 2/1/16	$	11,063,900
		HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital Corp.
	2,170	12.50%, 4/1/13⁽⁴⁾⁽⁶⁾		13,563
		HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital Corp., Variable Rate
	3,975	0.00%, 4/1/12⁽⁴⁾⁽⁶⁾		59,625
		Marquee Holdings, Inc., Sr. Disc. Notes
	6,895	9.505%, 8/15/14		4,481,750
		Royal Caribbean Cruises, Sr. Notes
	1,270	7.00%, 6/15/13		806,450
	500	6.875%, 12/1/13		302,500
	330	7.25%, 6/15/16		189,750
	660	7.25%, 3/15/18		399,300
		Universal City Development Partners, Sr. Notes
	11,825	11.75%, 4/1/10		9,134,813
		Universal City Florida Holdings, Sr. Notes, Variable Rate
	12,720	7.943%, 5/1/10		6,296,400

			$	32,748,051

Lodging and Casinos — 3.0%
		Buffalo Thunder Development Authority
$	4,080	9.375%, 12/15/14⁽⁶⁾	$	387,600
		CCM Merger, Inc.
	4,025	8.00%, 8/1/13⁽⁶⁾		1,710,625
		Chukchansi EDA, Sr. Notes, Variable Rate
	3,080	6.095%, 11/15/12⁽⁶⁾		1,570,800
		Fontainebleau Las Vegas Casino, LLC
	8,870	11.00%, 6/15/15⁽⁶⁾		1,020,050
		Galaxy Entertainment Finance
	1,970	9.875%, 12/15/12⁽⁶⁾		1,034,250
		Galaxy Entertainment Finance, Variable Rate
	1,260	7.323%, 12/15/10⁽⁶⁾		800,100
		Greektown Holdings, LLC, Sr. Notes
	1,095	10.75%, 12/1/13⁽⁴⁾⁽⁶⁾		213,525
		Host Hotels and Resorts, LP, Sr. Notes
	3,360	6.75%, 6/1/16		2,704,800
		Indianapolis Downs, LLC & Capital Corp., Sr. Notes
	2,620	11.00%, 11/1/12⁽⁶⁾		1,414,800
		Inn of the Mountain Gods, Sr. Notes
	5,575	12.00%, 11/15/10		1,142,875


Principal
Amount
(000’s omitted)		Security	Value

		Majestic HoldCo, LLC
$	1,540	12.50%, 10/15/11⁽⁶⁾	$	15,400
		MGM Mirage, Inc.
	370	7.50%, 6/1/16		201,650
		Mohegan Tribal Gaming Authority, Sr. Sub. Notes
	1,935	8.00%, 4/1/12		1,180,350
	3,265	7.125%, 8/15/14		1,828,400
	3,425	6.875%, 2/15/15		1,849,500
		OED Corp./Diamond Jo, LLC
	5,115	8.75%, 4/15/12		3,708,375
		Park Place Entertainment
	6,035	7.875%, 3/15/10		3,409,775
		Pinnacle Entertainment, Inc., Sr. Sub. Notes
	355	8.25%, 3/15/12		326,600
	2,620	7.50%, 6/15/15		1,912,600
		Pokagon Gaming Authority, Sr. Notes
	1,101	10.375%, 6/15/14⁽⁶⁾		968,880
		San Pasqual Casino
	1,215	8.00%, 9/15/13⁽⁶⁾		929,475
		Seminole Hard Rock Entertainment, Variable Rate
	1,930	4.496%, 3/15/14⁽⁶⁾		926,400
		Trump Entertainment Resorts, Inc.
	615	8.50%, 6/1/15		93,788
		Tunica-Biloxi Gaming Authority, Sr. Notes
	3,405	9.00%, 11/15/15⁽⁶⁾		2,604,825
		Waterford Gaming, LLC, Sr. Notes
	5,702	8.625%, 9/15/14⁽⁶⁾		3,791,826
		Wynn Las Vegas, LLC
	5,505	6.625%, 12/1/14		4,039,294

			$	39,786,563

Nonferrous Metals/Minerals — 0.6%
		Aleris International, Inc., Sr. Notes
$	5,440	9.00%, 12/15/14⁽⁴⁾	$	353,600
		FMG Finance PTY, Ltd.
	8,090	10.625%, 9/1/16⁽⁶⁾		5,298,950
		Freeport-McMoran Copper & Gold, Inc., Sr. Notes
	3,390	8.375%, 4/1/17		2,817,588

			$	8,470,138


Principal
Amount
(000’s omitted)		Security	Value

Oil and Gas — 4.6%
		Allis-Chalmers Energy, Inc., Sr. Notes
$	3,280	9.00%, 1/15/14	$	1,754,800
		Chesapeake Energy Corp.
	2,975	9.50%, 2/15/15		2,930,375
	3,150	6.875%, 1/15/16		2,716,875
		Cimarex Energy Co., Sr. Notes
	1,205	7.125%, 5/1/17		1,048,350
		Clayton Williams Energy, Inc.
	2,200	7.75%, 8/1/13		1,386,000
		Compton Pet Finance Corp.
	2,360	7.625%, 12/1/13		932,200
		Denbury Resources, Inc., Sr. Sub. Notes
	520	7.50%, 12/15/15		434,200
		El Paso Corp., Sr. Notes
	2,305	9.625%, 5/15/12		2,181,851
		Encore Acquisition Co., Sr. Sub. Notes
	1,730	7.25%, 12/1/17		1,401,300
		Forbes Energy Services, Sr. Notes
	4,605	11.00%, 2/15/15		2,786,025
		OPTI Canada, Inc., Sr. Notes
	1,795	7.875%, 12/15/14		807,750
	1,970	8.25%, 12/15/14		916,050
		Parker Drilling Co., Sr. Notes
	1,930	9.625%, 10/1/13		1,437,850
		Petrohawk Energy Corp.
	8,800	9.125%, 7/15/13		8,140,000
	2,165	7.875%, 6/1/15⁽⁶⁾		1,824,013
		Petroleum Development Corp., Sr. Notes
	1,805	12.00%, 2/15/18		1,137,150
		Petroplus Finance, Ltd.
	430	6.75%, 5/1/14⁽⁶⁾		322,500
	8,640	7.00%, 5/1/17⁽⁶⁾		6,307,200
		Plains Exploration & Production Co.
	1,940	7.00%, 3/15/17		1,632,025
		Quicksilver Resources, Inc.
	335	8.25%, 8/1/15		271,350
	3,440	7.125%, 4/1/16		2,390,800
		SemGroup L.P., Sr. Notes
	5,990	8.75%, 11/15/15⁽⁴⁾⁽⁶⁾		239,600


Principal
Amount
(000’s omitted)		Security	Value

		SESI, LLC, Sr. Notes
$	660	6.875%, 6/1/14	$	534,600
		Sonat, Inc.
	5,000	7.625%, 7/15/11		4,962,500
		Stewart & Stevenson, LLC, Sr. Notes
	6,280	10.00%, 7/15/14		3,987,800
		Tennessee Gas Pipeline Co.
	595	8.00%, 2/1/16⁽⁶⁾		593,513
		United Refining Co., Sr. Notes
	11,495	10.50%, 8/15/12		7,529,225
		VeraSun Energy Corp.
	1,170	9.875%, 12/15/12		690,300

			$	61,296,202

Publishing — 1.2%
		Dex Media West/Finance, Series B
$	2,815	9.875%, 8/15/13	$	823,388
		Harland Clarke Holdings
	925	9.50%, 5/15/15		411,625
		Laureate Education, Inc.
	3,085	10.00%, 8/15/15⁽⁶⁾		2,036,100
	2,437	10.25%, 8/15/15⁽²⁾⁽⁶⁾		1,349,816
		Local Insight Regatta Holdings, Inc.
	1,430	11.00%, 12/1/17		364,650
		Nielsen Finance, LLC
	9,260	10.00%, 8/1/14		8,241,400
	1,770	12.50%, (0.00% until 2011), 8/1/16		725,700
		Nielsen Finance, LLC, Sr. Notes
	1,365	11.625%, 2/1/14⁽⁶⁾		1,259,213
		Reader’s Digest Association, Inc. (The), Sr. Sub. Notes
	7,275	9.00%, 2/15/17		700,219

			$	15,912,111

Radio and Television — 0.1%
		Rainbow National Services, LLC, Sr. Sub. Debs.
$	1,470	10.375%, 9/1/14⁽⁶⁾	$	1,495,725

			$	1,495,725

Rail Industries — 0.7%
		American Railcar Industry, Sr. Notes
$	1,940	7.50%, 3/1/14	$	1,358,000
		Kansas City Southern Mexico, Sr. Notes
	880	9.375%, 5/1/12		842,600
	2,530	7.625%, 12/1/13		2,137,850
	1,055	7.375%, 6/1/14		912,575
	4,000	8.00%, 6/1/15		3,620,000

			$	8,871,025


Principal
Amount
(000’s omitted)		Security	Value

Retailers (Except Food and Drug) — 3.3%
		Amscan Holdings, Inc., Sr. Sub. Notes
$	5,580	8.75%, 5/1/14	$	3,348,000
		GameStop Corp.
	14,070	8.00%, 10/1/12		13,999,650
		Neiman Marcus Group, Inc.
	9,515	9.00%, 10/15/15		4,281,750
	12,180	10.375%, 10/15/15		5,602,800
		Penny (JC) Co., Inc.
	1,875	8.00%, 3/1/10		1,870,389
		Sally Holdings, LLC
	115	9.25%, 11/15/14		106,375
		Sally Holdings, LLC, Sr. Notes
	9,235	10.50%, 11/15/16		7,665,050
		Staples, Inc.
	1,195	9.75%, 1/15/14		1,272,224
		Toys “R” Us
	2,365	7.375%, 10/15/18		851,400
		Yankee Acquisition Corp., Series B
	9,165	8.50%, 2/15/15		4,445,025

			$	43,442,663

Steel — 0.3%
		RathGibson, Inc., Sr. Notes
$	4,905	11.25%, 2/15/14	$	1,103,625
		Steel Dynamics, Inc., Sr. Notes
	3,805	7.375%, 11/1/12		3,443,525

			$	4,547,150

Telecommunications — 3.8%
		Centennial Cellular Operating Co./Centennial Communication Corp., Sr. Notes
$	2,660	10.125%, 6/15/13	$	2,759,750
		Crown Castle International Corp.
	4,765	9.00%, 1/15/15		4,633,963
		Digicel Group, Ltd., Sr. Notes
	3,585	9.25%, 9/1/12⁽⁶⁾		3,172,725
	483	8.875%, 1/15/15⁽⁶⁾		357,420
	13,953	9.125%, 1/15/15⁽⁶⁾		9,627,570
		Intelsat Bermuda, Ltd.
	11,840	11.25%, 6/15/16		11,381,200
		Intelsat Subsidiary Holdings Co., Ltd.
	680	8.875%, 1/15/15⁽⁶⁾		625,600


Principal
Amount
(000’s omitted)		Security	Value

		Nortel Networks, Ltd.
$	940	10.75%, 7/15/16⁽⁴⁾	$	157,450
	2,840	10.75%, 7/15/16⁽⁴⁾⁽⁶⁾		475,700
		Qwest Communications International, Inc.
	5,120	7.50%, 2/15/14		4,403,200
		Qwest Corp.
	1,565	7.50%, 10/1/14		1,431,975
		Qwest Corp., Sr. Notes
	1,940	7.625%, 6/15/15		1,765,400
		Qwest Corp., Sr. Notes, Variable Rate
	1,000	5.246%, 6/15/13		860,000
		Sprint Capital Corp.
	585	6.875%, 11/15/28		332,640
		Telesat Canada/Telesat LLC, Sr. Notes
	5,000	12.50%, 11/1/17⁽⁶⁾		3,375,000
		Windstream Corp., Sr. Notes
	2,085	8.125%, 8/1/13		2,064,150
	2,600	8.625%, 8/1/16		2,574,000

			$	49,997,743

Utilities — 2.3%
		AES Corp.
$	965	8.00%, 10/15/17	$	911,925
		AES Corp., Sr. Notes
	1,818	8.75%, 5/15/13⁽⁶⁾		1,831,635
		Edison Mission Energy, Sr. Notes
	1,750	7.50%, 6/15/13		1,688,750
		NGC Corp.
	4,395	7.625%, 10/15/26		2,483,175
		NRG Energy, Inc.
	480	7.25%, 2/1/14		459,600
	5,700	7.375%, 1/15/17		5,358,000
		NRG Energy, Inc., Sr. Notes
	1,325	7.375%, 2/1/16		1,265,375
		Orion Power Holdings, Inc., Sr. Notes
	11,360	12.00%, 5/1/10		11,644,000
		Reliant Energy, Inc., Sr. Notes
	350	7.625%, 6/15/14		287,875
		Southwestern Energy Co.
	4,755	7.50%, 2/1/18⁽⁶⁾		4,517,250

			$	30,447,585


Total Corporate Bonds & Notes (identified cost $773,240,674)			$	538,950,103

Mortgage Pass-Throughs — 53.2%


Principal
Amount
(000’s omitted)		Security	Value

		Federal Home Loan Mortgage Corp.:
$	45,213	5.00%, with various maturities to 2019	$	46,572,661
	11,854	5.50%, with various maturities to 2018		12,260,447
	22,644	6.00%, with various maturities to 2026		23,596,122
	41,846	6.50%, with various maturities to 2030		44,008,138
	57,054	7.00%, with various maturities to 2031		60,304,351
	575	7.13%, with maturity at 2023		622,123
	32,686	7.50%, with various maturities to 2029		35,490,959
	929	7.65%, with maturity at 2022		1,017,525
	150	7.70%, with maturity at 2022		160,393
	18,817	8.00%, with various maturities to 2030		20,746,016
	560	8.25%, with maturity at 2020		621,594
	1,583	8.30%, with maturity at 2020		1,759,746
	13,971	8.50%, with various maturities to 2031		15,601,125
	5	8.75%, with maturity at 2010		5,287
	4,943	9.00%, with various maturities to 2031		5,558,562
	4,269	9.50%, with various maturities to 2025		4,831,427
	675	10.00%, with maturity at 2020		750,992
	598	10.50%, with maturity at 2020		673,127
	818	12.00%, with maturity at 2020		913,123
	53	13.00%, with maturity at 2015		60,720

			$	275,554,438

		Federal National Mortgage Assn:
$	6,268	4.44%, with maturity at 2036⁽⁷⁾	$	6,282,231
	30,148	4.50%, with various maturities to 2020		30,815,087
	23,348	5.00%, with maturity at 2018		24,065,945
	3,731	5.058%, with maturity at 2022⁽⁷⁾		3,790,288
	11,017	5.50%, with various maturities to 2028		11,334,389
	16,603	6.00%, with various maturities to 2026		17,295,611
	18,617	6.321%, with maturity at 2032⁽⁷⁾		19,076,166
	38,841	6.50%, with various maturities to 2031		40,988,636


Principal
Amount
(000’s omitted)		Security	Value

$	644	6.75%, with maturity at 2023	$	688,067
	51,212	7.00%, with various maturities to 2031		54,282,615
	15,869	7.50%, with various maturities to 2031		17,257,282
	12,262	8.00%, with various maturities to 2031		13,514,995
	71	8.25%, with maturity at 2018		78,222
	2,832	8.378%, with maturity at 2027⁽⁸⁾		3,180,680
	14,449	8.50%, with various maturities to 2030		16,174,447
	1,310	8.608%, with maturity at 2028⁽⁸⁾		1,466,277
	815	8.671%, with maturity at 2029⁽⁸⁾		920,919
	1,167	8.747%, with maturity at 2027⁽⁸⁾		1,294,583
	16,112	9.00%, with various maturities to 2027		18,140,006
	343	9.149%, with maturity at 2024⁽⁸⁾		368,445
	5,381	9.50%, with various maturities to 2030		6,125,937
	819	9.528%, with maturity at 2018⁽⁸⁾		919,303
	1,480	10.00%, with various maturities to 2020		1,664,232
	1,315	10.163%, with maturity at 2025⁽⁸⁾		1,477,536
	1,383	10.438%, with maturity at 2019⁽⁸⁾		1,535,850
	1,310	10.50%, with maturity at 2021		1,476,708
	528	11.50%, with maturity at 2016		589,024
	30	12.50%, with maturity at 2011		31,896

			$	294,835,377

		Government National Mortgage Assn:
$	4,233	6.00%, with maturity at 2024	$	4,421,033
	23,295	6.50%, with maturity at 2024		24,755,982
	9,253	7.00%, with various maturities to 2026		9,994,717
	38,329	7.50%, with various maturities to 2032		41,970,564
	24,856	8.00%, with various maturities to 2034		27,558,841
	773	8.30%, with maturity at 2020		858,621
	1,611	8.50%, with various maturities to 2022		1,793,353
	7,796	9.00%, with various maturities to 2026		8,817,450
	11,104	9.50%, with various maturities to 2026		12,688,397
	701	10.00%, with maturity at 2019		790,504

			$	133,649,462


Total Mortgage Pass-Throughs (identified cost $687,866,199)			$	704,039,277

Collateralized Mortgage Obligations — 12.2%


Principal
Amount
(000's Omitted)		Security	Value

		Federal Home Loan Mortgage Corp.:
$	2,086	Series 24, Class J, 6.25%, 11/25/23	$	2,166,399
	2,498	Series 1497, Class K, 7.00%, 4/15/23		2,603,727
	4,136	Series 1529, Class Z, 7.00%, 6/15/23		4,310,680
	3,674	Series 1620, Class Z, 6.00%, 11/15/23		3,805,784
	1,154	Series 1677, Class Z, 7.50%, 7/15/23		1,238,357
	10,463	Series 1702, Class PZ, 6.50%, 3/15/24		10,886,298
	197	Series 1720, Class PJ, 7.25%, 1/15/24		199,670
	7,386	Series 2113, Class QG, 6.00%, 1/15/29		7,633,158
	883	Series 2122, Class K, 6.00%, 2/15/29		916,768
	599	Series 2130, Class K, 6.00%, 3/15/29		622,156
	598	Series 2167, Class BZ, 7.00%, 6/15/29		629,926
	4,462	Series 2182, Class ZB, 8.00%, 9/15/29		4,821,775
	4,216	Series 2198, Class ZA, 8.50%, 11/15/29		4,671,271
	14,115	Series 2245, Class A, 8.00%, 8/15/27		15,317,109

			$	59,823,078

		Federal National Mortgage Assn:
$	410	Series 1988-14, Class I, 9.20%, 6/25/18	$	450,865
	371	Series 1989-1, Class D, 10.30%, 1/25/19		409,868
	687	Series 1989-34, Class Y, 9.85%, 7/25/19		772,063
	525	Series 1990-17, Class G, 9.00%, 2/25/20		578,035
	262	Series 1990-27, Class Z, 9.00%, 3/25/20		289,693
	253	Series 1990-29, Class J, 9.00%, 3/25/20		280,752
	1,065	Series 1990-43, Class Z, 9.50%, 4/25/20		1,192,224
	403	Series 1991-98, Class J, 8.00%, 8/25/21		438,105
	3,218	Series 1992-77, Class ZA, 8.00%, 5/25/22		3,509,152
	202	Series 1992-103, Class Z, 7.50%, 6/25/22		216,622
	377	Series 1992-113, Class Z, 7.50%, 7/25/22		405,687
	759	Series 1992-185, Class ZB, 7.00%, 10/25/22		803,048
	1,872	Series 1993-16, Class Z, 7.50%, 2/25/23		2,014,464
	1,447	Series 1993-22, Class PM, 7.40%, 2/25/23		1,550,331
	2,275	Series 1993-25, Class J, 7.50%, 3/25/23		2,437,230
	4,257	Series 1993-30, Class PZ, 7.50%, 3/25/23		4,559,419
	5,192	Series 1993-42, Class ZQ, 6.75%, 4/25/23		5,444,963


Principal
Amount
(000's Omitted)		Security	Value

$	836	Series 1993-56, Class PZ, 7.00%, 5/25/23	$	886,682
	951	Series 1993-156, Class ZB, 7.00%, 9/25/23		1,008,427
	6,994	Series 1994-45, Class Z, 6.50%, 2/25/24		7,298,312
	3,608	Series 1994-89, Class ZQ, 8.00%, 7/25/24		3,940,929
	3,512	Series 1996-57, Class Z, 7.00%, 12/25/26		3,714,971
	1,977	Series 1997-77, Class Z, 7.00%, 11/18/27		2,092,727
	1,510	Series 1998-44, Class ZA, 6.50%, 7/20/28		1,571,422
	753	Series 1999-45, Class ZG, 6.50%, 9/25/29		781,708
	6,265	Series 2000-22, Class PN, 6.00%, 7/25/30		6,454,801
	1,004	Series 2001-37, Class GA, 8.00%, 7/25/16		1,073,337
	1,345	Series 2002-1, Class G, 7.00%, 7/25/23		1,422,454
	634	Series G92-44, Class Z, 8.00%, 7/25/22		685,245
	1,032	Series G92-44, Class ZQ, 8.00%, 7/25/22		1,115,004
	1,452	Series G92-46, Class Z, 7.00%, 8/25/22		1,542,963
	2,620	Series G92-60, Class Z, 7.00%, 10/25/22		2,765,898
	26,299	Series G93-35, Class ZQ, 6.50%, 11/25/23		27,542,464
	5,597	Series G93-40, Class H, 6.40%, 12/25/23		5,813,273

			$	95,063,138

		Government National Mortgage Assn:
$	6,253	Series 2002-45, Class PG, 6.00%, 3/17/32	$	6,442,946
	674	Series 2005-72, Class E, 12.00%, 11/16/15		781,415

			$	7,224,361


Total Collateralized Mortgage Obligations (identified cost $160,101,046)			$	162,110,577

Asset Backed Securities — 0.1%


Principal
Amount
(000’s omitted)		Security	Value

$	565	Alzette European CLO SA, Series 2004-1A, Class E2, 9.83%, 12/15/20⁽⁶⁾⁽⁹⁾	$	277,518
	760	Avalon Capital Ltd. 3, Series 1A, Class D, 4.103%, 2/24/19⁽⁶⁾⁽⁹⁾		103,132
	1,000	Babson Ltd., Series 2005-1A, Class C1, 3.044%, 4/15/19⁽⁶⁾⁽⁹⁾		103,200
	1,000	Bryant Park CDO Ltd., Series 2005-1A, Class C, 3.144%, 1/15/19⁽⁶⁾⁽⁹⁾		127,700
	1,000	Carlyle High Yield Partners, Series 2004-6A, Class C, 4.74%, 8/11/16⁽⁶⁾⁽⁹⁾		132,800
	1,000	Centurion CDO 8 Ltd., Series 2005-8A, Class D, 7.693%, 3/8/17⁽⁶⁾		164,800
	500	Centurion CDO 9 Ltd., Series 2005-9A, Class D1, 5.893%, 7/17/19⁽⁶⁾⁽⁹⁾		64,550
	1,500	Dryden Leveraged Loan, Series 2004-6A, Class C1, 3.724%, 7/30/16⁽⁶⁾⁽⁹⁾		192,750


Total Asset Backed Securities (identified cost $7,314,543)			$	1,166,450

Common Stocks — 0.4%


Shares		Security	Value

Cable and Satellite TV — 0.0%
	249	Time Warner Cable, Inc., Class A⁽¹⁰⁾	$	4,639

			$	4,639

Containers and Glass Products — 0.4%
	142,857	Anchor Glass Container Corp.⁽⁵⁾	$	5,742,851

			$	5,742,851

Ecological Services and Equipment — 0.0%
	2,484	Environmental Systems Products Holdings, Inc.^(5)(10)(11)	$	0

			$	0


Total Common Stocks (identified cost $5,639,306)			$	5,747,490

Convertible Bonds — 0.0%


Principal
Amount		Security	Value

Oil and Gas — 0.0%
	800,000	Petroplus Finance, Ltd.	$	569,950

			$	569,950

Total Convertible Bonds (identified cost $579,812)			$	569,950

Convertible Preferred Stocks — 0.1%


Shares		Security	Value

Cable and Satellite Television — 0.0%
	2,500,000	Adelphia, Inc., 13.00%	$	50,000

			$	50,000

Oil and Gas — 0.0%
	9,691	Chesapeake Energy Corp., 4.50%	$	562,078

			$	562,078

Telecommunications — 0.0%
	4,958	Crown Castle International Corp., 6.25%⁽²⁾	$	210,715

			$	210,715


Total Convertible Preferred Stocks (identified cost $1,176,061)			$	822,793

Preferred Stocks — 0.1%


Shares\Units		Security	Value

Ecological Services and Equipment — 0.0%
	1,138	Environmental Systems Products Holdings Inc., Series A^(5)(10)(11)	$	26,140

			$	26,140

Lodging and Casinos — 0.1%
	5,717	Fontainebleau Resorts LLC^(2)(5)(11)	$	1,257,658

			$	1,257,658


Total Preferred Stocks (identified cost $5,736,545)			$	1,283,798

Miscellaneous — 0.0%


Shares		Security	Value

Cable and Satellite TV — 0.0%
	2,496,146	Adelphia Recovery Trust⁽¹⁰⁾	$	40,562


Total Miscellaneous (identified cost $2,237,499)			$	40,562

Short-Term Investments — 1.1%


Interest
(000’s omitted)		Description	Value

$	14,327	Cash Management Portfolio, 0.23%⁽¹²⁾	$	14,327,446


Total Short-Term Investments (identified cost $14,327,446)			$	14,327,446


Total Investments — 162.9% (identified cost $2,751,842,182)			$	2,157,416,797


Less Unfunded Loan Commitments — (0.2)%			$	(2,517,995	)


Net Investments — 162.7% (identified cost $2,749,324,187)			$	2,154,898,802


Other Assets, Less Liabilities — (42.6)%			$	(564,111,376	)


Auction Preferred Shares Plus Cumulative Unpaid Dividends — (20.1)%			$	(266,639,739	)


Net Assets Applicable to Common Shares— 100.0%			$	1,324,147,687


DIP		- Debtor in Possession

REIT		- Real Estate Investment 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. 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)		Represents a payment-in-kind security which may pay all or a portion of interest/dividends in additional par/shares.

(3)		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.

(4)		Defaulted security.

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

(6)		Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2009, the aggregate value of the securities is $101,784,674 or 7.7% of the Fund’s net assets.

(7)		Adjustable rate mortgage.

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

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

(10)		Non-income producing security.

(11)		Restricted security.

(12)		Affiliated investment company available to Eaton Vance portfolios and funds which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of January 31, 2009. Net income allocated from the Investment in Cash Management Portfolio for the fiscal year to date ended January 31, 2009 was $313,877.

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

Forward Foreign Currency Exchange Contracts

Sales


			Net Unrealized
Settlement			Appreciation
Date	Deliver	In Exchange For	(Depreciation)

2/27/09	British Pound Sterling 13,926,159	United States Dollar 19,860,931	$	(313,218	)

2/27/09	Euro 44,643,360	United States Dollar 59,031,915		1,891,600

			$	1,578,382

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

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


Aggregate cost	$	2,772,012,341

Gross unrealized appreciation	$	18,055,518
Gross unrealized depreciation		(635,169,057	)

Net unrealized depreciation	$	(617,113,539	)

Restricted Securities

At January 31, 2009, the Fund owned the following securities (representing 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

⁽¹⁾

Preferred Stocks

Environmental Systems Products Holdings Inc., Series A

10/25/07

1,138

19,915

26,140

Fontainebleau Resorts LLC

6/1/07

5,717

5,716,630

1,257,658

Total Preferred Stocks

5,736,545

1,283,798

Total Restricted Securities

5,736,545

1,283,798

(1)

Less than $0.50.

The Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157 (FAS 157), “Fair Value Measurements”, effective May 1, 2008. FAS 157 established a three-tier hierarchy to prioritize the assumptions, referred to as inputs, used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

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

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

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

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

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


		Investments in		Other Financial
	Valuation Inputs	Securities		Instruments *
Level 1	Quoted Prices	$	15,104,878	$	—
Level 2	Other Significant Observable Inputs		2,131,475,044		1,578,382
Level 3	Significant Unobservable Inputs		8,318,880		—

Total		$	2,154,898,802	$	1,578,382

Other financial instruments are forward foreign currency exchange contracts not reflected in the Portfolio of Investments, which are valued at the unrealized appreciation (depreciation) on the instrument.

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


	Investments in Securities
Balance as of April 30, 2008	$	11,687,566
Realized gains (losses)		(154	)
Change in net unrealized appreciation (depreciation)		(3,847,068	)
Net purchases (sales)		495,350
Accrued discount (premium)		(6	)
Net transfer to (from) Level 3		(16,808	)

Balance as of January 31, 2009	$	8,318,880

Debt obligations, including listed securities and securities for which quotations are available, will normally be valued on the basis of reported trades or market quotations provided by independent pricing services, where in the services’ judgment, these prices are representative of the securities’ market values. For debt securities where market quotations are not readily available, the pricing services will use various techniques that consider factors including, but not limited to, prices or yields of securities with similar characteristics, benchmark yields, broker/dealer quotes, issuer spreads, as well as industry and economic events. Credit default swaps are normally valued using valuations provided by pricing vendors. The pricing vendors employ electronic data processing techniques to determine the present value based on credit spread quotations obtained from broker/dealers and expected default recovery rates determined by the pricing vendor using proprietary models. Investments for which valuations or market quotations are not readily available are valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Fund in a manner that most fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies, quotations or relevant information obtained from broker-dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.

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

Item 2. Controls and Procedures

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

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

Signatures

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

Eaton Vance Limited Duration Income Fund


By:		/s/ Payson F. Swaffield

		Payson F. Swaffield
		President

Date:		March 27, 2009

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


By:		/s/ Payson F. Swaffield

		Payson F. Swaffield
		President

Date:		March 27, 2009

By:		/s/ Barbara E. Campbell

		Barbara E. Campbell
		Treasurer

Date:		March 27, 2009