Edgar Filing: Eaton Vance Short Duration Diversified Income Fund

Eaton Vance Short Duration Diversified Income Fund

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-21563

Investment Company Act File Number

Eaton Vance Short Duration Diversified Income Fund

(Exact Name of Registrant as Specified in Charter)

Two International Place, Boston, Massachusetts 02110

(Address of Principal Executive Offices)

Maureen A. Gemma

Two International Place, Boston, Massachusetts 02110

(Name and Address of Agent for Services)

(617) 482-8260

(Registrant’s Telephone Number, Including Area Code)

October 31

Date of Fiscal Year End

January 31, 2016

Date of Reporting Period

Item 1. Schedule of Investments

Eaton Vance

Short Duration Diversified Income Fund

January 31, 2016

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Loans — 53.9%⁽¹⁾


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Aerospace and Defense — 0.6%
BE Aerospace, Inc.
Term Loan, 4.00%, Maturing December 16, 2021		188	$	187,940
Silver II US Holdings, LLC
Term Loan, 4.00%, Maturing December 13, 2019		358		297,861
TransDigm, Inc.
Term Loan, 3.75%, Maturing February 28, 2020		801		784,286
Term Loan, 3.75%, Maturing June 4, 2021		320		311,188

			$	1,581,275

Air Transport — 0.1%
Virgin America, Inc.
Term Loan, 4.50%, Maturing April 4, 2019		450	$	370,620

			$	370,620

Automotive — 1.9%
Affinia Group Intermediate Holdings, Inc.
Term Loan, 4.75%, Maturing April 27, 2020		67	$	66,527
Allison Transmission, Inc.
Term Loan, 3.50%, Maturing August 23, 2019		610		608,831
Chrysler Group, LLC
Term Loan, 3.50%, Maturing May 24, 2017		879		875,742
Term Loan, 3.25%, Maturing December 31, 2018		368		366,181
CS Intermediate Holdco 2, LLC
Term Loan, 4.00%, Maturing April 4, 2021		566		543,720
Dayco Products, LLC
Term Loan, 5.25%, Maturing December 12, 2019		172		170,111
Federal-Mogul Holdings Corporation
Term Loan, 4.75%, Maturing April 15, 2021		665		537,302
Goodyear Tire & Rubber Company (The)
Term Loan - Second Lien, 3.75%, Maturing April 30, 2019		575		576,348
Horizon Global Corporation
Term Loan, 7.00%, Maturing June 30, 2021		98		94,087
MPG Holdco I, Inc.
Term Loan, 3.75%, Maturing October 20, 2021		413		397,767
Schaeffler AG
Term Loan, 4.25%, Maturing May 15, 2020		68		67,876
TI Group Automotive Systems, LLC
Term Loan, 4.50%, Maturing June 30, 2022		224		218,546
Tower Automotive Holdings USA, LLC
Term Loan, 4.00%, Maturing April 23, 2020		529		507,621
Visteon Corporation
Term Loan, 3.50%, Maturing April 9, 2021		102		101,493

			$	5,132,152

Beverage and Tobacco — 0.1%
Flavors Holdings, Inc.
Term Loan, 6.75%, Maturing April 3, 2020		381	$	345,290

			$	345,290

Brokerage/Securities Dealers/Investment Houses — 0.1%
Astro AB Borrower, Inc.
Term Loan, 5.50%, Maturing April 30, 2022		75	$	74,065


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Salient Partners L.P.
Term Loan, 7.50%, Maturing May 19, 2021		148	$	143,318

			$	217,383

Building and Development — 1.4%
ABC Supply Co., Inc.
Term Loan, 3.50%, Maturing April 16, 2020		194	$	192,747
Auction.com, LLC
Term Loan, 6.00%, Maturing May 8, 2022		199		196,763
CPG International, Inc.
Term Loan, 4.75%, Maturing September 30, 2020		98		91,885
DTZ U.S. Borrower, LLC
Term Loan, 4.25%, Maturing November 4, 2021		473		460,612
Gates Global, Inc.
Term Loan, 4.25%, Maturing July 5, 2021		1,039		938,432
Headwaters, Incorporated
Term Loan, 4.50%, Maturing March 24, 2022		50		49,750
Ply Gem Industries, Inc.
Term Loan, 4.00%, Maturing February 1, 2021		492		485,300
Quikrete Holdings, Inc.
Term Loan, 4.00%, Maturing September 28, 2020		165		164,324
Term Loan - Second Lien, 7.00%, Maturing March 26, 2021		500		498,750
RE/MAX International, Inc.
Term Loan, 4.25%, Maturing July 31, 2020		352		348,004
Summit Materials Companies I, LLC
Term Loan, 4.25%, Maturing July 17, 2022		124		122,717
WireCo WorldGroup, Inc.
Term Loan, 6.00%, Maturing February 15, 2017		91		89,039

			$	3,638,323

Business Equipment and Services — 3.6%
Acosta Holdco, Inc.
Term Loan, 4.25%, Maturing September 26, 2021		642	$	613,014
AlixPartners, LLP
Term Loan, 4.50%, Maturing July 28, 2022		100		99,126
Altisource Solutions S.a.r.l.
Term Loan, 4.50%, Maturing December 9, 2020		416		351,920
Brickman Group Ltd., LLC
Term Loan, 4.00%, Maturing December 18, 2020		147		142,858
Ceridian, LLC
Term Loan, 4.50%, Maturing September 15, 2020		616		540,187
Corporate Capital Trust, Inc.
Term Loan, 4.00%, Maturing May 15, 2019		567		555,574
CPM Holdings, Inc.
Term Loan, 6.00%, Maturing April 11, 2022		50		49,252
Education Management, LLC
Term Loan, 5.50%, Maturing July 2, 2020⁽²⁾		80		36,675
Term Loan, 8.50%, (2.00% Cash, 6.50% PIK), Maturing July 2, 2020⁽²⁾		142		35,066
EIG Investors Corp.
Term Loan, 5.00%, Maturing November 9, 2019		461		448,596
Emdeon Business Services, LLC
Term Loan, 3.75%, Maturing November 2, 2018		266		261,801
Extreme Reach, Inc.
Term Loan, 7.25%, Maturing February 7, 2020		125		122,548
Garda World Security Corporation
Term Loan, 4.00%, Maturing November 6, 2020		60		57,201
Term Loan, 4.00%, Maturing November 6, 2020		334		318,432
IG Investment Holdings, LLC
Term Loan, 6.00%, Maturing October 29, 2021		367		364,477


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
IMS Health Incorporated
Term Loan, 3.50%, Maturing March 17, 2021		985	$	968,957
Information Resources, Inc.
Term Loan, 4.75%, Maturing September 30, 2020		220		219,786
ION Trading Finance Limited
Term Loan, 4.50%, Maturing June 10, 2021	EUR	164		177,384
KAR Auction Services, Inc.
Term Loan, 3.50%, Maturing March 11, 2021		539		538,543
Kronos Incorporated
Term Loan, 4.50%, Maturing October 30, 2019		431		424,866
Term Loan - Second Lien, 9.75%, Maturing April 30, 2020		200		198,491
MCS AMS Sub-Holdings, LLC
Term Loan, 7.50%, Maturing October 15, 2019		85		72,250
Monitronics International, Inc.
Term Loan, 4.25%, Maturing March 23, 2018		99		95,820
Term Loan, 4.50%, Maturing April 11, 2022		124		116,619
PGX Holdings, Inc.
Term Loan, 5.75%, Maturing September 29, 2020		95		94,987
Quintiles Transnational Corp.
Term Loan, 3.25%, Maturing May 12, 2022		249		248,750
RCS Capital Corporation
DIP Loan, Maturing February 2, 2017⁽³⁾		50		49,500
Term Loan, 7.50%, Maturing April 29, 2019⁽²⁾		155		108,719
Sensus USA, Inc.
Term Loan, 4.50%, Maturing May 9, 2017		119		114,903
ServiceMaster Company
Term Loan, 4.25%, Maturing July 1, 2021		420		417,327
TNS, Inc.
Term Loan, 5.00%, Maturing February 14, 2020		117		115,066
Travelport Finance (Luxembourg) S.a.r.l.
Term Loan, 5.75%, Maturing September 2, 2021		223		216,067
WASH Multifamily Laundry Systems, LLC
Term Loan, 4.25%, Maturing May 14, 2022		7		7,201
Term Loan, 4.25%, Maturing May 14, 2022		42		41,119
West Corporation
Term Loan, 3.25%, Maturing June 30, 2018		1,301		1,279,114

			$	9,502,196

Cable and Satellite Television — 1.6%
Altice US Finance I Corporation
Term Loan, 4.25%, Maturing December 14, 2022		732	$	719,732
Atlantic Broadband Finance, LLC
Term Loan, 3.25%, Maturing November 30, 2019		129		129,198
CSC Holdings, Inc.
Term Loan, 2.93%, Maturing April 17, 2020		308		307,900
MCC Iowa, LLC
Term Loan, 3.25%, Maturing January 29, 2021		171		168,706
Term Loan, 3.75%, Maturing June 30, 2021		148		147,034
Neptune Finco Corp.
Term Loan, 5.00%, Maturing October 9, 2022		700		699,805
Numericable Group SA
Term Loan, 4.56%, Maturing July 29, 2022	EUR	125		132,710
Term Loan, 4.56%, Maturing July 31, 2022		75		71,423
Numericable U.S., LLC
Term Loan, 4.50%, Maturing May 21, 2020		172		165,980
Term Loan, 4.50%, Maturing May 21, 2020		199		191,854
Virgin Media Investment Holdings Limited
Term Loan, 3.50%, Maturing June 30, 2023		639		626,372
Term Loan, 4.25%, Maturing June 30, 2023	GBP	300		420,176


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Ziggo B.V.
Term Loan, 3.75%, Maturing January 15, 2022	EUR	65	$	69,204
Term Loan, 3.75%, Maturing January 15, 2022	EUR	101		107,424
Term Loan, 3.75%, Maturing January 15, 2022	EUR	183		194,440

			$	4,151,958

Chemicals and Plastics — 3.0%
Aruba Investments, Inc.
Term Loan, 4.50%, Maturing February 2, 2022		58	$	56,686
Axalta Coating Systems US Holdings, Inc.
Term Loan, 3.75%, Maturing February 1, 2020		488		484,804
Chemours Company (The)
Term Loan, 3.75%, Maturing May 12, 2022		199		177,442
ECO Services Operations, LLC
Term Loan, 4.75%, Maturing December 4, 2021		74		73,136
Emerald Performance Materials, LLC
Term Loan, 4.50%, Maturing August 1, 2021		339		334,703
Term Loan - Second Lien, 7.75%, Maturing August 1, 2022		100		94,646
Flint Group GmbH
Term Loan, 4.50%, Maturing September 7, 2021		25		23,657
Flint Group US, LLC
Term Loan, 4.50%, Maturing September 7, 2021		148		143,354
Gemini HDPE, LLC
Term Loan, 4.75%, Maturing August 7, 2021		369		364,302
Huntsman International, LLC
Term Loan, 3.52%, Maturing April 19, 2019		1,485		1,465,551
Term Loan, 3.75%, Maturing October 1, 2021		371		366,610
Ineos US Finance, LLC
Term Loan, 3.75%, Maturing May 4, 2018		1,328		1,292,789
Term Loan, 4.25%, Maturing March 31, 2022		124		119,041
Kronos Worldwide, Inc.
Term Loan, 4.00%, Maturing February 18, 2020		49		44,121
MacDermid, Inc.
Term Loan, 5.50%, Maturing June 7, 2020		100		92,996
Term Loan, 5.50%, Maturing June 7, 2020		124		115,345
Term Loan, 5.50%, Maturing June 7, 2020		245		228,535
Minerals Technologies, Inc.
Term Loan, 3.75%, Maturing May 9, 2021		219		216,680
Orion Engineered Carbons GmbH
Term Loan, 5.00%, Maturing July 25, 2021		91		90,639
Term Loan, 5.00%, Maturing July 25, 2021	EUR	175		190,662
OXEA Finance, LLC
Term Loan, 4.25%, Maturing January 15, 2020		122		119,133
PolyOne Corporation
Term Loan, 3.75%, Maturing November 11, 2022		100		100,250
PQ Corporation
Term Loan, 4.00%, Maturing August 7, 2017		218		216,630
Solenis International L.P.
Term Loan, 4.50%, Maturing July 31, 2021	EUR	173		186,038
Sonneborn Refined Products B.V.
Term Loan, 4.75%, Maturing December 10, 2020		15		14,739
Sonneborn, LLC
Term Loan, 4.75%, Maturing December 10, 2020		84		83,519
Tata Chemicals North America, Inc.
Term Loan, 3.75%, Maturing August 7, 2020		200		194,630
Trinseo Materials Operating S.C.A.
Term Loan, 4.25%, Maturing November 5, 2021		50		48,525
Tronox Pigments (Netherlands) B.V.
Term Loan, 4.50%, Maturing March 19, 2020		389		341,845


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Univar, Inc.
Term Loan, 4.25%, Maturing July 1, 2022		599	$	581,400
Zep, Inc.
Term Loan, 5.75%, Maturing June 27, 2022		75		73,832

			$	7,936,240

Clothing/Textiles — 0.1%
Ascena Retail Group, Inc.
Term Loan, 5.25%, Maturing August 21, 2022		300	$	284,175

			$	284,175

Conglomerates — 0.3%
RGIS Services, LLC
Term Loan, 5.50%, Maturing October 18, 2017		727	$	532,814
Spectrum Brands, Inc.
Term Loan, 3.50%, Maturing June 23, 2022		338		337,614

			$	870,428

Containers and Glass Products — 2.1%
Berry Plastics Holding Corporation
Term Loan, 3.50%, Maturing February 8, 2020		413	$	408,301
Term Loan, 3.75%, Maturing January 6, 2021		797		788,789
Term Loan, 4.00%, Maturing October 1, 2022		195		194,178
Hilex Poly Co., LLC
Term Loan, 6.00%, Maturing December 5, 2021		794		795,481
Libbey Glass, Inc.
Term Loan, 3.75%, Maturing April 9, 2021		49		47,773
Onex Wizard Acquisition Company I S.a.r.l.
Term Loan, 4.25%, Maturing March 13, 2022	EUR	397		430,493
Onex Wizard US Acquisition, Inc.
Term Loan, 4.25%, Maturing March 13, 2022		223		221,097
Pelican Products, Inc.
Term Loan, 5.25%, Maturing April 10, 2020		431		415,500
Reynolds Group Holdings, Inc.
Term Loan, 4.50%, Maturing December 1, 2018		1,492		1,486,992
TricorBraun, Inc.
Term Loan, 4.00%, Maturing May 3, 2018		390		381,501
Verallia
Term Loan, 5.00%, Maturing October 29, 2022	EUR	300		325,027

			$	5,495,132

Cosmetics/Toiletries — 0.6%
Coty, Inc.
Term Loan, 3.75%, Maturing October 27, 2022		150	$	149,719
Galleria Co.
Term Loan, 3.75%, Maturing January 26, 2023		325		323,985
KIK Custom Products, Inc.
Term Loan, 6.00%, Maturing August 26, 2022		274		264,197
Prestige Brands, Inc.
Term Loan, 3.50%, Maturing September 3, 2021		110		109,492
Revlon Consumer Products Corporation
Term Loan, 4.00%, Maturing October 8, 2019		217		216,095
Sun Products Corporation (The)
Term Loan, 5.50%, Maturing March 23, 2020		413		393,710

			$	1,457,198

Drugs — 1.4%
Alkermes, Inc.
Term Loan, 3.50%, Maturing September 18, 2019		73	$	72,108


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
AMAG Pharmaceuticals, Inc.
Term Loan, 4.75%, Maturing August 13, 2021		198	$	191,081
DPx Holdings B.V.
Term Loan, 4.25%, Maturing March 11, 2021		394		378,732
Endo Luxembourg Finance Company I S.a.r.l.
Term Loan, 3.75%, Maturing September 26, 2022		500		494,375
Horizon Pharma, Inc.
Term Loan, 4.50%, Maturing May 7, 2021		448		428,721
Mallinckrodt International Finance S.A.
Term Loan, 3.25%, Maturing March 19, 2021		270		261,744
Term Loan, 3.50%, Maturing March 19, 2021		222		216,022
Valeant Pharmaceuticals International, Inc.
Term Loan, 3.75%, Maturing December 11, 2019		341		328,411
Term Loan, 3.75%, Maturing August 5, 2020		717		688,810
Term Loan, 4.00%, Maturing April 1, 2022		693		667,012

			$	3,727,016

Ecological Services and Equipment — 0.3%
ADS Waste Holdings, Inc.
Term Loan, 3.75%, Maturing October 9, 2019		375	$	364,723
EnergySolutions, LLC
Term Loan, 6.75%, Maturing May 29, 2020		660		554,070

			$	918,793

Electronics/Electrical — 5.1%
Answers Corporation
Term Loan, 6.25%, Maturing October 3, 2021		223	$	149,799
Avago Technologies Cayman Ltd.
Term Loan, 3.75%, Maturing May 6, 2021		1,134		1,129,496
Term Loan, Maturing February 1, 2023⁽³⁾		1,625		1,608,750
Campaign Monitor Finance Pty. Limited
Term Loan, 6.25%, Maturing March 18, 2021		122		120,135
CommScope, Inc.
Term Loan, 3.31%, Maturing January 14, 2018		100		99,513
Term Loan, 3.83%, Maturing December 29, 2022		175		174,044
CompuCom Systems, Inc.
Term Loan, 4.25%, Maturing May 11, 2020		141		88,551
Dell International, LLC
Term Loan, 4.00%, Maturing April 29, 2020		1,092		1,089,855
Dell, Inc.
Term Loan, 3.75%, Maturing October 29, 2018		97		96,530
Entegris, Inc.
Term Loan, 3.50%, Maturing April 30, 2021		50		50,041
Excelitas Technologies Corp.
Term Loan, 6.00%, Maturing October 31, 2020		145		127,782
Go Daddy Operating Company, LLC
Term Loan, 4.25%, Maturing May 13, 2021		645		642,762
GXS Group, Inc.
Term Loan, 3.25%, Maturing January 16, 2021		172		170,821
Infor (US), Inc.
Term Loan, 3.75%, Maturing June 3, 2020		912		860,250
Informatica Corporation
Term Loan, 4.50%, Maturing August 5, 2022		424		405,814
Lattice Semiconductor Corporation
Term Loan, 5.25%, Maturing March 10, 2021		99		93,791
M/A-COM Technology Solutions Holdings, Inc.
Term Loan, 4.50%, Maturing May 7, 2021		99		98,500
MA FinanceCo., LLC
Term Loan, 4.50%, Maturing November 20, 2019		208		205,471


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Term Loan, 5.25%, Maturing November 19, 2021		197	$	194,791
Magic Newco, LLC
Term Loan, 5.00%, Maturing December 12, 2018		266		265,970
MH Sub I, LLC
Term Loan, 4.75%, Maturing July 8, 2021		222		217,802
Microsemi Corporation
Term Loan, 5.25%, Maturing January 15, 2023		175		173,979
NXP B.V.
Term Loan, 3.25%, Maturing January 11, 2020		342		339,880
Term Loan, 3.75%, Maturing December 7, 2020		325		324,623
Orbotech, Inc.
Term Loan, 5.00%, Maturing August 6, 2020		60		59,310
Renaissance Learning, Inc.
Term Loan, 4.50%, Maturing April 9, 2021		123		117,951
Rocket Software, Inc.
Term Loan, 5.75%, Maturing February 8, 2018		285		284,265
RP Crown Parent, LLC
Term Loan, 6.00%, Maturing December 21, 2018		884		782,720
SGS Cayman L.P.
Term Loan, 6.00%, Maturing April 23, 2021		37		37,200
SkillSoft Corporation
Term Loan, 5.75%, Maturing April 28, 2021		394		295,008
Smart Technologies ULC
Term Loan, 10.50%, Maturing January 31, 2018		104		99,334
SS&C Technologies, Inc.
Term Loan, 4.01%, Maturing July 8, 2022		366		365,060
Term Loan, 4.02%, Maturing July 8, 2022		53		52,451
SunEdison Semiconductor B.V.
Term Loan, 6.50%, Maturing May 27, 2019		119		118,058
SurveyMonkey, Inc.
Term Loan, 6.25%, Maturing February 5, 2019		95		93,481
Sutherland Global Services, Inc.
Term Loan, 6.00%, Maturing April 23, 2021		160		159,807
Sybil Software, LLC
Term Loan, 4.25%, Maturing March 20, 2020		794		790,692
Vantiv, LLC
Term Loan, 3.75%, Maturing June 13, 2021		126		126,242
VeriFone, Inc.
Term Loan, 3.50%, Maturing July 8, 2021		493		488,806
Wall Street Systems Delaware, Inc.
Term Loan, 4.50%, Maturing April 30, 2021		521		514,412
Zebra Technologies Corporation
Term Loan, 4.75%, Maturing October 27, 2021		393		393,671

			$	13,507,418

Equipment Leasing — 0.4%
Delos Finance S.a.r.l.
Term Loan, 3.50%, Maturing March 6, 2021		425	$	423,778
Flying Fortress, Inc.
Term Loan, 3.50%, Maturing April 30, 2020		500		498,021

			$	921,799

Financial Intermediaries — 2.5%
American Capital Ltd.
Term Loan, 3.50%, Maturing August 22, 2017		129	$	127,619
Armor Holding II, LLC
Term Loan, 5.75%, Maturing June 26, 2020		417		404,423
Citco Funding, LLC
Term Loan, 4.25%, Maturing June 29, 2018		670		668,119


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Clipper Acquisitions Corp.
Term Loan, 3.00%, Maturing February 6, 2020		97	$	95,565
First Data Corporation
Term Loan, 3.93%, Maturing March 24, 2018		650		642,455
Term Loan, 3.93%, Maturing September 24, 2018		375		370,781
Term Loan, 4.18%, Maturing July 8, 2022		150		147,670
Grosvenor Capital Management Holdings, LLP
Term Loan, 3.75%, Maturing January 4, 2021		1,124		1,084,422
Guggenheim Partners, LLC
Term Loan, 4.25%, Maturing July 22, 2020		245		243,582
Hamilton Lane Advisors, LLC
Term Loan, 4.25%, Maturing July 9, 2022		100		99,210
Harbourvest Partners, LLC
Term Loan, 3.25%, Maturing February 4, 2021		125		124,158
LPL Holdings, Inc.
Term Loan, 4.25%, Maturing March 29, 2021		1,570		1,546,444
Medley, LLC
Term Loan, 6.50%, Maturing June 15, 2019		86		86,985
NXT Capital, Inc.
Term Loan, 6.25%, Maturing September 4, 2018		124		124,048
Ocwen Financial Corporation
Term Loan, 5.50%, Maturing February 15, 2018		227		227,449
Sesac Holdco II, LLC
Term Loan, 5.25%, Maturing February 8, 2019		288		285,331
Starwood Property Trust, Inc.
Term Loan, 3.50%, Maturing April 17, 2020		122		120,570
Walker & Dunlop, Inc.
Term Loan, 5.25%, Maturing December 11, 2020		120		120,609
Walter Investment Management Corp.
Term Loan, 4.75%, Maturing December 19, 2020		199		155,418

			$	6,674,858

Food Products — 1.8%
AdvancePierre Foods, Inc.
Term Loan, 5.75%, Maturing July 10, 2017		636	$	636,409
Blue Buffalo Company Ltd.
Term Loan, 3.75%, Maturing August 8, 2019		242		241,936
Charger OpCo B.V.
Term Loan, 4.25%, Maturing July 2, 2022	EUR	95		103,197
Term Loan, 4.25%, Maturing July 2, 2022		364		362,386
Clearwater Seafoods Limited Partnership
Term Loan, 4.75%, Maturing June 26, 2019		166		165,913
Del Monte Foods, Inc.
Term Loan, 4.25%, Maturing February 18, 2021		123		117,600
Dole Food Company, Inc.
Term Loan, 4.50%, Maturing November 1, 2018		92		90,801
High Liner Foods Incorporated
Term Loan, 4.25%, Maturing April 24, 2021		147		145,349
JBS USA, LLC
Term Loan, 3.75%, Maturing May 25, 2018		866		862,048
Term Loan, 3.75%, Maturing September 18, 2020		293		285,186
Term Loan, 4.00%, Maturing October 30, 2022		125		121,836
NBTY, Inc.
Term Loan, 3.50%, Maturing October 1, 2017		853		842,904
Pinnacle Foods Finance, LLC
Term Loan, 3.00%, Maturing April 29, 2020		122		120,976
Term Loan, 3.00%, Maturing April 29, 2020		605		599,361
Post Holdings, Inc.
Term Loan, 3.75%, Maturing June 2, 2021		47		47,233

			$	4,743,135


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Food Service — 1.1%
1011778 B.C. Unlimited Liability Company
Term Loan, 3.75%, Maturing December 10, 2021		920	$	915,105
Aramark Services, Inc.
Term Loan, 3.93%, Maturing July 26, 2016		5		5,037
Term Loan, 3.93%, Maturing July 26, 2016		9		9,073
Landry’s, Inc.
Term Loan, 4.00%, Maturing April 24, 2018		398		397,427
US Foods, Inc.
Term Loan, 4.50%, Maturing March 31, 2019		609		601,758
Weight Watchers International, Inc.
Term Loan, 4.00%, Maturing April 2, 2020		1,416		982,953

			$	2,911,353

Food/Drug Retailers — 1.0%
Albertsons, LLC
Term Loan, 5.50%, Maturing March 21, 2019		221	$	219,533
Term Loan, 5.13%, Maturing August 25, 2019		409		401,086
Term Loan, 5.50%, Maturing August 25, 2021		174		170,322
General Nutrition Centers, Inc.
Term Loan, 3.25%, Maturing March 4, 2019		745		723,167
Rite Aid Corporation
Term Loan - Second Lien, 5.75%, Maturing August 21, 2020		100		100,250
Supervalu, Inc.
Term Loan, 4.50%, Maturing March 21, 2019		982		948,416

			$	2,562,774

Health Care — 5.8%
Acadia Healthcare Company, Inc.
Term Loan, 4.25%, Maturing February 11, 2022		50	$	49,232
ADMI Corp.
Term Loan, 5.50%, Maturing April 30, 2022		75		74,749
Akorn, Inc.
Term Loan, 6.00%, Maturing April 16, 2021		198		194,291
Albany Molecular Research, Inc.
Term Loan, 5.75%, Maturing July 16, 2021		399		396,007
Alere, Inc.
Term Loan, 4.25%, Maturing June 18, 2022		301		298,751
Alliance Healthcare Services, Inc.
Term Loan, 4.25%, Maturing June 3, 2019		217		200,635
Amneal Pharmaceuticals, LLC
Term Loan, 4.50%, Maturing November 1, 2019		541		534,330
AmSurg Corp.
Term Loan, 3.50%, Maturing July 16, 2021		99		98,028
Ardent Legacy Acquisitions, Inc.
Term Loan, 6.50%, Maturing July 21, 2021		100		99,376
Auris Luxembourg III S.a.r.l.
Term Loan, 4.25%, Maturing January 15, 2022		149		148,163
CareCore National, LLC
Term Loan, 5.50%, Maturing March 5, 2021		597		513,828
CHG Healthcare Services, Inc.
Term Loan, 4.25%, Maturing November 19, 2019		170		168,946
Community Health Systems, Inc.
Term Loan, 3.66%, Maturing December 31, 2018		367		362,405
Term Loan, 3.75%, Maturing December 31, 2019		500		482,230
Term Loan, 4.00%, Maturing January 27, 2021		921		888,002
Convatec, Inc.
Term Loan, 4.25%, Maturing June 15, 2020		89		88,298
CPI Buyer, LLC
Term Loan, 5.50%, Maturing August 18, 2021		198		189,107


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
DaVita HealthCare Partners, Inc.
Term Loan, 3.50%, Maturing June 24, 2021		542	$	541,479
DJO Finance, LLC
Term Loan, 4.25%, Maturing June 8, 2020		398		385,728
Envision Healthcare Corporation
Term Loan, 4.25%, Maturing May 25, 2018		395		394,209
Global Healthcare Exchange, LLC
Term Loan, 5.50%, Maturing August 15, 2022		200		198,378
Greatbatch Ltd.
Term Loan, 5.25%, Maturing October 27, 2022		175		173,688
Grifols Worldwide Operations USA, Inc.
Term Loan, 3.43%, Maturing February 27, 2021		811		808,637
Iasis Healthcare, LLC
Term Loan, 4.50%, Maturing May 3, 2018		310		306,378
Indivior Finance S.a.r.l.
Term Loan, 7.00%, Maturing December 19, 2019		190		174,325
inVentiv Health, Inc.
Term Loan, 7.75%, Maturing May 15, 2018		533		529,262
Jaguar Holding Company II
Term Loan, 4.25%, Maturing August 18, 2022		796		782,269
Kindred Healthcare, Inc.
Term Loan, 4.25%, Maturing April 9, 2021		742		718,341
Kinetic Concepts, Inc.
Term Loan, 4.50%, Maturing May 4, 2018		914		891,716
Knowledge Universe Education, LLC
Term Loan, 6.00%, Maturing July 28, 2022		200		197,006
LHP Hospital Group, Inc.
Term Loan, 9.00%, Maturing July 3, 2018		225		220,322
MMM Holdings, Inc.
Term Loan, 9.75%, Maturing December 12, 2017⁽²⁾		107		59,069
MSO of Puerto Rico, Inc.
Term Loan, 9.75%, Maturing December 12, 2017⁽²⁾		78		42,943
New Millennium HoldCo, Inc.
Term Loan, 7.50%, Maturing December 21, 2020		296		268,785
Onex Carestream Finance L.P.
Term Loan, 5.00%, Maturing June 7, 2019		433		378,836
Opal Acquisition, Inc.
Term Loan, 5.00%, Maturing November 27, 2020		294		243,264
Ortho-Clinical Diagnostics, Inc.
Term Loan, 4.75%, Maturing June 30, 2021		542		479,787
Physio-Control International, Inc.
Term Loan, 5.50%, Maturing June 6, 2022		75		73,503
PRA Holdings, Inc.
Term Loan, 4.50%, Maturing September 23, 2020		486		484,487
Radnet Management, Inc.
Term Loan, 4.27%, Maturing October 10, 2018		341		337,899
RCHP, Inc.
Term Loan, 6.00%, Maturing April 23, 2019		419		413,288
Sage Products Holdings III, LLC
Term Loan, 4.25%, Maturing December 13, 2019		137		135,812
Select Medical Corporation
Term Loan, 5.00%, Maturing June 1, 2018		217		213,988
Sterigenics-Nordion Holdings, LLC
Term Loan, 4.25%, Maturing May 15, 2022		125		121,259
Steward Health Care System, LLC
Term Loan, 6.75%, Maturing April 12, 2020		394		380,152
Tecomet, Inc.
Term Loan, 5.75%, Maturing December 5, 2021		223		198,247
Truven Health Analytics, Inc.
Term Loan, 4.50%, Maturing June 6, 2019		314		302,685

			$	15,242,120


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Home Furnishings — 0.5%
Serta Simmons Holdings, LLC
Term Loan, 4.25%, Maturing October 1, 2019		1,255	$	1,249,297

			$	1,249,297

Industrial Equipment — 1.6%
Apex Tool Group, LLC
Term Loan, 4.50%, Maturing January 31, 2020		539	$	515,456
Delachaux S.A.
Term Loan, 4.50%, Maturing October 28, 2021		75		74,028
Doosan Infracore International, Inc.
Term Loan, 4.50%, Maturing May 28, 2021		182		174,578
Gardner Denver, Inc.
Term Loan, 4.25%, Maturing July 30, 2020		342		308,982
Generac Power Systems, Inc.
Term Loan, 3.50%, Maturing May 31, 2020		258		252,562
Husky Injection Molding Systems Ltd.
Term Loan, 4.25%, Maturing June 30, 2021		467		447,242
Term Loan - Second Lien, 7.25%, Maturing June 30, 2022		80		73,610
Milacron, LLC
Term Loan, 4.50%, Maturing September 28, 2020		215		210,432
Paladin Brands Holding, Inc.
Term Loan, 7.25%, Maturing August 16, 2019		88		79,561
Rexnord, LLC
Term Loan, 4.00%, Maturing August 21, 2020		831		795,216
Signode Industrial Group US, Inc.
Term Loan, 3.75%, Maturing May 1, 2021		169		163,090
STS Operating, Inc.
Term Loan, 4.75%, Maturing February 12, 2021		345		325,660
Tank Holding Corp.
Term Loan, 5.25%, Maturing March 16, 2022		148		145,186
Terex Corporation
Term Loan, 3.50%, Maturing August 13, 2021	EUR	296		320,928
VAT Lux III S.a.r.l.
Term Loan, 4.25%, Maturing February 11, 2021		59		57,485
Wittur GmbH
Term Loan, 6.00%, Maturing February 10, 2022	EUR	175		184,980

			$	4,128,996

Insurance — 1.7%
Alliant Holdings I, Inc.
Term Loan, 4.50%, Maturing August 12, 2022		348	$	339,870
AmWINS Group, LLC
Term Loan, 5.25%, Maturing September 6, 2019		898		899,343
AssuredPartners, Inc.
Term Loan, 5.75%, Maturing October 21, 2022		125		122,969
Term Loan - Second Lien, 10.00%, Maturing October 20, 2023		125		120,625
Asurion, LLC
Term Loan, 5.00%, Maturing May 24, 2019		780		736,308
Term Loan, 5.00%, Maturing August 4, 2022		995		916,644
Term Loan - Second Lien, 8.50%, Maturing March 3, 2021		375		318,562
CGSC of Delaware Holding Corporation
Term Loan, 5.00%, Maturing April 16, 2020		49		46,952
Cunningham Lindsey U.S., Inc.
Term Loan, 5.00%, Maturing December 10, 2019		166		111,931
Hub International Limited
Term Loan, 4.00%, Maturing October 2, 2020		513		493,827


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
USI, Inc.
Term Loan, 4.25%, Maturing December 27, 2019		461	$	452,790

			$	4,559,821

Leisure Goods/Activities/Movies — 3.0%
Activision Blizzard, Inc.
Term Loan, 3.25%, Maturing October 12, 2020		467	$	467,808
AMC Entertainment, Inc.
Term Loan, 4.00%, Maturing December 15, 2022		399		399,820
Ancestry.com, Inc.
Term Loan, 5.00%, Maturing August 17, 2022		274		272,512
Bombardier Recreational Products, Inc.
Term Loan, 3.75%, Maturing January 30, 2019		641		633,449
CDS U.S. Intermediate Holdings, Inc.
Term Loan, 5.00%, Maturing July 8, 2022		75		70,075
ClubCorp Club Operations, Inc.
Term Loan, 4.25%, Maturing December 15, 2022		350		347,521
Emerald Expositions Holding, Inc.
Term Loan, 4.75%, Maturing June 17, 2020		175		172,648
Fender Musical Instruments Corporation
Term Loan, 5.75%, Maturing April 3, 2019		53		52,074
Kasima, LLC
Term Loan, 3.25%, Maturing May 17, 2021		120		118,672
Lindblad Expeditions, Inc.
Term Loan, 5.50%, Maturing May 8, 2021		45		45,258
Term Loan, 5.50%, Maturing May 8, 2021		353		350,752
Live Nation Entertainment, Inc.
Term Loan, 3.50%, Maturing August 16, 2020		497		495,897
LTF Merger Sub, Inc.
Term Loan, 4.25%, Maturing June 10, 2022		249		242,687
Match Group, Inc.
Term Loan, 5.50%, Maturing November 16, 2022		200		199,625
Nord Anglia Education Finance, LLC
Term Loan, 5.00%, Maturing March 31, 2021		643		627,160
Regal Cinemas Corporation
Term Loan, 3.80%, Maturing April 1, 2022		1,167		1,167,964
Sabre, Inc.
Term Loan, 4.00%, Maturing February 19, 2019		218		216,136
SeaWorld Parks & Entertainment, Inc.
Term Loan, 3.00%, Maturing May 14, 2020		533		503,634
SRAM, LLC
Term Loan, 4.03%, Maturing April 10, 2020		317		258,819
Steinway Musical Instruments, Inc.
Term Loan, 4.75%, Maturing September 19, 2019		375		371,250
Town Sports International, Inc.
Term Loan, 4.50%, Maturing November 15, 2020		211		82,132
WMG Acquisition Corp.
Term Loan, 3.75%, Maturing July 1, 2020		171		164,701
Zuffa, LLC
Term Loan, 3.75%, Maturing February 25, 2020		558		545,905

			$	7,806,499

Lodging and Casinos — 2.2%
Affinity Gaming, LLC
Term Loan, 5.25%, Maturing November 9, 2017		457	$	457,862
Amaya Holdings B.V.
Term Loan, 5.00%, Maturing August 1, 2021		643		594,620
Term Loan - Second Lien, 8.00%, Maturing August 1, 2022		539		535,869
Boyd Gaming Corporation
Term Loan, 4.00%, Maturing August 14, 2020		81		80,763


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Caesars Entertainment Operating Company
Term Loan, 0.00%, Maturing March 1, 2017⁽⁴⁾		366	$	318,899
CityCenter Holdings, LLC
Term Loan, 4.25%, Maturing October 16, 2020		621		618,353
Four Seasons Holdings, Inc.
Term Loan, 3.50%, Maturing June 27, 2020		98		96,349
Term Loan - Second Lien, 6.25%, Maturing December 27, 2020		500		497,917
Golden Nugget, Inc.
Term Loan, 5.50%, Maturing November 21, 2019		62		61,486
Term Loan, 5.50%, Maturing November 21, 2019		144		143,468
Hilton Worldwide Finance, LLC
Term Loan, 3.50%, Maturing October 26, 2020		872		871,415
La Quinta Intermediate Holdings, LLC
Term Loan, 3.75%, Maturing April 14, 2021		166		161,127
MGM Resorts International
Term Loan, 3.50%, Maturing December 20, 2019		485		481,413
Pinnacle Entertainment, Inc.
Term Loan, 3.75%, Maturing August 13, 2020		46		45,518
Playa Resorts Holding B.V.
Term Loan, 4.00%, Maturing August 9, 2019		98		94,818
RHP Hotel Properties L.P.
Term Loan, 3.50%, Maturing January 15, 2021		123		122,971
Scientific Games International, Inc.
Term Loan, 6.00%, Maturing October 18, 2020		637		572,731
Term Loan, 6.00%, Maturing October 1, 2021		173		154,811

			$	5,910,390

Nonferrous Metals/Minerals — 0.6%
Alpha Natural Resources, LLC
DIP Loan, 10.00%, Maturing January 31, 2017		25	$	23,750
Term Loan, 3.50%, Maturing May 22, 2020		147		54,251
Arch Coal, Inc.
DIP Loan, Maturing January 12, 2017⁽³⁾		125		118,750
Term Loan, 6.25%, Maturing May 16, 2018		555		165,157
Dynacast International, LLC
Term Loan, 4.50%, Maturing January 28, 2022		124		121,581
Fairmount Santrol, Inc.
Term Loan, 4.50%, Maturing September 5, 2019		367		171,139
Murray Energy Corporation
Term Loan, 7.00%, Maturing April 16, 2017		50		34,805
Term Loan, 7.50%, Maturing April 16, 2020		348		164,969
Noranda Aluminum Acquisition Corporation
Term Loan, 5.75%, Maturing February 28, 2019		168		53,268
Novelis, Inc.
Term Loan, 4.00%, Maturing June 2, 2022		498		462,675
Oxbow Carbon, LLC
Term Loan, 4.25%, Maturing July 19, 2019		88		78,750
Term Loan - Second Lien, 8.00%, Maturing January 17, 2020		150		116,250

			$	1,565,345

Oil and Gas — 1.5%
Ameriforge Group, Inc.
Term Loan, 5.00%, Maturing December 19, 2019		219	$	89,251
Bronco Midstream Funding, LLC
Term Loan, 5.00%, Maturing August 15, 2020		277		220,520
CITGO Holding, Inc.
Term Loan, 9.50%, Maturing May 12, 2018		179		176,962
CITGO Petroleum Corporation
Term Loan, 4.50%, Maturing July 29, 2021		198		191,081


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Crestwood Holdings, LLC
Term Loan, 7.00%, Maturing June 19, 2019		167	$	81,769
Drillships Ocean Ventures, Inc.
Term Loan, 5.50%, Maturing July 25, 2021		197		78,185
Energy Transfer Equity L.P.
Term Loan, 3.25%, Maturing December 2, 2019		325		247,000
Term Loan, 4.00%, Maturing December 2, 2019		570		441,522
Fieldwood Energy, LLC
Term Loan, 3.88%, Maturing September 28, 2018		196		131,721
Floatel International, Ltd.
Term Loan, 6.00%, Maturing June 27, 2020		172		69,921
MEG Energy Corp.
Term Loan, 3.75%, Maturing March 31, 2020		1,427		1,121,136
Paragon Offshore Finance Company
Term Loan, 3.75%, Maturing July 18, 2021		148		33,699
Samson Investment Company
Term Loan - Second Lien, 0.00%, Maturing September 25, 2018⁽⁴⁾		175		4,813
Seadrill Partners Finco, LLC
Term Loan, 4.00%, Maturing February 21, 2021		835		332,896
Sheridan Investment Partners II L.P.
Term Loan, 4.25%, Maturing December 16, 2020		28		13,510
Term Loan, 4.25%, Maturing December 16, 2020		75		36,224
Term Loan, 4.25%, Maturing December 16, 2020		537		260,405
Sheridan Production Partners I, LLC
Term Loan, 4.25%, Maturing October 1, 2019		31		17,625
Term Loan, 4.25%, Maturing October 1, 2019		50		28,856
Term Loan, 4.25%, Maturing October 1, 2019		379		217,767
Targa Resources Corp.
Term Loan, 5.75%, Maturing February 25, 2022		47		39,302
Tervita Corporation
Term Loan, 6.25%, Maturing May 15, 2018		129		100,588

			$	3,934,753

Publishing — 0.7%
Ascend Learning, LLC
Term Loan, 5.50%, Maturing July 31, 2019		220	$	219,857
Getty Images, Inc.
Term Loan, 4.75%, Maturing October 18, 2019		922		594,506
Laureate Education, Inc.
Term Loan, 5.00%, Maturing June 15, 2018		514		405,776
McGraw-Hill Global Education Holdings, LLC
Term Loan, 4.75%, Maturing March 22, 2019		125		123,531
Merrill Communications, LLC
Term Loan, 6.25%, Maturing June 1, 2022		124		104,372
Multi Packaging Solutions, Inc.
Term Loan, 4.25%, Maturing September 30, 2020		60		58,902
ProQuest, LLC
Term Loan, 5.75%, Maturing October 24, 2021		124		120,654
Springer Science+Business Media Deutschland GmbH
Term Loan, 4.75%, Maturing August 14, 2020		245		235,352

			$	1,862,950

Radio and Television — 1.2%
AP NMT Acquisition B.V.
Term Loan, 6.75%, Maturing August 13, 2021		99	$	86,283
Block Communications, Inc.
Term Loan, 4.00%, Maturing November 7, 2021		49		49,066
CCO Safari III, LLC
Term Loan, 3.50%, Maturing January 24, 2023		375		375,273


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Cumulus Media Holdings, Inc.
Term Loan, 4.25%, Maturing December 23, 2020		729	$	537,981
Hubbard Radio, LLC
Term Loan, 4.25%, Maturing May 27, 2022		115		107,208
iHeartCommunications, Inc.
Term Loan, 7.93%, Maturing July 30, 2019		450		299,438
MGOC, Inc.
Term Loan, 4.00%, Maturing July 31, 2020		255		254,226
Mission Broadcasting, Inc.
Term Loan, 3.75%, Maturing October 1, 2020		126		124,891
Nexstar Broadcasting, Inc.
Term Loan, 3.75%, Maturing October 1, 2020		143		141,628
Univision Communications, Inc.
Term Loan, 4.00%, Maturing March 1, 2020		1,132		1,106,970

			$	3,082,964

Retailers (Except Food and Drug) — 2.3%
99 Cents Only Stores
Term Loan, 4.50%, Maturing January 11, 2019		335	$	211,404
Bass Pro Group, LLC
Term Loan, 4.00%, Maturing June 5, 2020		440		423,023
CDW, LLC
Term Loan, 3.25%, Maturing April 29, 2020		365		358,894
David’s Bridal, Inc.
Term Loan, 5.25%, Maturing October 11, 2019		119		103,158
Dollar Tree, Inc.
Term Loan, 3.50%, Maturing July 6, 2022		387		386,772
Evergreen Acqco 1 L.P.
Term Loan, 5.00%, Maturing July 9, 2019		121		84,445
Harbor Freight Tools USA, Inc.
Term Loan, 4.75%, Maturing July 26, 2019		177		177,531
J. Crew Group, Inc.
Term Loan, 4.00%, Maturing March 5, 2021		516		349,279
Jo-Ann Stores, Inc.
Term Loan, 4.00%, Maturing March 16, 2018		315		296,234
Men’s Wearhouse, Inc. (The)
Term Loan, 4.50%, Maturing June 18, 2021		157		140,787
Michaels Stores, Inc.
Term Loan, 3.75%, Maturing January 28, 2020		970		960,965
Neiman Marcus Group, Inc. (The)
Term Loan, 4.25%, Maturing October 25, 2020		758		660,178
Party City Holdings, Inc.
Term Loan, 4.25%, Maturing August 19, 2022		499		487,113
PetSmart, Inc.
Term Loan, 4.25%, Maturing March 11, 2022		918		890,903
Pier 1 Imports (U.S.), Inc.
Term Loan, 4.50%, Maturing April 30, 2021		99		90,128
Pilot Travel Centers, LLC
Term Loan, 3.75%, Maturing October 1, 2021		291		291,615
Spin Holdco, Inc.
Term Loan, 4.25%, Maturing November 14, 2019		294		279,841

			$	6,192,270

Steel — 0.5%
FMG Resources (August 2006) Pty. Ltd.
Term Loan, 4.25%, Maturing June 30, 2019		1,681	$	1,174,692
JMC Steel Group, Inc.
Term Loan, 4.75%, Maturing April 1, 2017		128		124,856
Neenah Foundry Company
Term Loan, 6.76%, Maturing April 26, 2017		80		79,897

			$	1,379,445


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Surface Transport — 0.2%
Hertz Corporation (The)
Term Loan, 3.75%, Maturing March 11, 2018		340	$	338,757
Kenan Advantage Group, Inc.
Term Loan, 1.50%, Maturing January 31, 2017⁽⁵⁾		10		9,467
Term Loan, 4.00%, Maturing July 31, 2022		22		21,568
Term Loan, 4.00%, Maturing July 31, 2022		68		67,617
Stena International S.a.r.l.
Term Loan, 4.00%, Maturing March 3, 2021		270		216,150

			$	653,559

Telecommunications — 1.0%
Intelsat Jackson Holdings S.A.
Term Loan, 3.75%, Maturing June 30, 2019		650	$	623,932
IPC Corp.
Term Loan, 5.50%, Maturing August 6, 2021		347		323,927
Mitel US Holdings, Inc.
Term Loan, 5.50%, Maturing April 29, 2022		144		143,449
SBA Senior Finance II, LLC
Term Loan, 3.25%, Maturing March 24, 2021		345		339,471
Syniverse Holdings, Inc.
Term Loan, 4.00%, Maturing April 23, 2019		242		169,666
Term Loan, 4.00%, Maturing April 23, 2019		336		235,158
Telesat Canada
Term Loan, 3.50%, Maturing March 28, 2019		652		637,398
Windstream Corporation
Term Loan, 3.50%, Maturing August 8, 2019		121		118,020

			$	2,591,021

Utilities — 2.0%
Calpine Construction Finance Company L.P.
Term Loan, 3.00%, Maturing May 3, 2020		195	$	183,625
Term Loan, 3.25%, Maturing January 31, 2022		73		69,046
Calpine Corporation
Term Loan, 4.00%, Maturing October 9, 2019		169		165,362
Term Loan, 3.50%, Maturing May 27, 2022		597		567,274
Dynegy Holdings, Inc.
Term Loan, 4.00%, Maturing April 23, 2020		1,167		1,128,309
EFS Cogen Holdings I, LLC
Term Loan, 3.75%, Maturing December 17, 2020		71		68,895
Electrical Components International, Inc.
Term Loan, 5.75%, Maturing May 28, 2021		597		591,006
Energy Future Intermediate Holding Co., LLC
DIP Loan, 4.25%, Maturing December 19, 2016		300		299,625
EWT Holdings III Corp.
Term Loan, 4.75%, Maturing January 15, 2021		566		554,643
Granite Acquisition, Inc.
Term Loan, 5.00%, Maturing December 19, 2021		21		19,229
Term Loan, 5.00%, Maturing December 19, 2021		474		432,651
Invenergy Thermal Operating I, LLC
Term Loan, 6.50%, Maturing October 7, 2022		25		23,940
La Frontera Generation, LLC
Term Loan, 4.50%, Maturing September 30, 2020		816		793,302
Lonestar Generation, LLC
Term Loan, 5.25%, Maturing February 20, 2021⁽²⁾		99		67,147
Longview Power, LLC
Term Loan, 7.00%, Maturing April 13, 2021		50		41,541


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
TPF II Power, LLC
Term Loan, 5.50%, Maturing October 2, 2021		271	$	259,459

			$	5,265,054


Total Senior Floating-Rate Loans (identified cost $152,594,868)			$	142,374,000


Collateralized Mortgage Obligations — 26.0%

Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
Series 2113, Class QG, 6.00%, 1/15/29	$	1,026	$	1,167,889
Series 2167, Class BZ, 7.00%, 6/15/29		833		962,978
Series 2182, Class ZB, 8.00%, 9/15/29		1,394		1,671,182
Series 2631, (Interest Only), Class DS, 6.675%, 6/15/33⁽⁶⁾⁽⁷⁾		2,025		327,914
Series 2770, (Interest Only), Class SH, 6.675%, 3/15/34⁽⁶⁾⁽⁷⁾		2,505		522,767
Series 2981, (Interest Only), Class CS, 6.295%, 5/15/35⁽⁶⁾⁽⁷⁾		1,431		287,899
Series 3114, (Interest Only), Class TS, 6.225%, 9/15/30⁽⁶⁾⁽⁷⁾		3,589		631,714
Series 3339, (Interest Only), Class JI, 6.165%, 7/15/37⁽⁶⁾⁽⁷⁾		2,836		535,489
Series 4109, (Interest Only), Class ES, 5.725%, 12/15/41⁽⁶⁾⁽⁷⁾		541		29,283
Series 4163, (Interest Only), Class GS, 5.775%, 11/15/32⁽⁶⁾⁽⁷⁾		5,857		1,228,021
Series 4169, (Interest Only), Class AS, 5.825%, 2/15/33⁽⁶⁾⁽⁷⁾		3,672		740,522
Series 4180, (Interest Only), Class GI, 3.50%, 8/15/26⁽⁷⁾		3,565		340,634
Series 4203, (Interest Only), Class QS, 5.825%, 5/15/43⁽⁶⁾⁽⁷⁾		3,863		836,644
Series 4212, (Interest Only), Class SA, 5.775%, 7/15/38⁽⁶⁾⁽⁷⁾		7,376		1,002,627
Series 4273, Class PU, 4.00%, 11/15/43		1,167		1,183,545
Series 4316, (Interest Only), Class JS, 5.675%, 1/15/44⁽⁶⁾⁽⁷⁾		3,120		456,178
Series 4326, Class TS, 12.392%, 4/15/44⁽⁶⁾		826		857,260
Series 4332, (Interest Only), Class KI, 4.00%, 9/15/43⁽⁷⁾		2,565		317,764
Series 4336, Class GU, 3.50%, 2/15/53		2,630		2,700,233
Series 4370, (Interest Only), Class IO, 3.50%, 9/15/41⁽⁷⁾		2,835		374,467
Series 4416, Class SU, 7.748%, 12/15/44⁽⁶⁾		4,792		4,913,906
Series 4450, Class DS, 5.362%, 9/15/44⁽⁶⁾		526		528,135
Series 4478, (Principal Only), Class PO, 0.00%, 5/15/45⁽⁸⁾		2,332		2,113,601
Series 4497, (Interest Only), Class CS, 5.775%, 9/15/44⁽⁶⁾⁽⁷⁾		4,882		924,169
Series 4507, (Interest Only), Class EI, 4.00%, 8/15/44⁽⁷⁾		4,712		918,521

			$	25,573,342

Federal National Mortgage Association:
Series 1989-89, Class H, 9.00%, 11/25/19	$	34	$	37,079
Series 1991-122, Class N, 7.50%, 9/25/21		155		170,486
Series 1993-84, Class M, 7.50%, 6/25/23		1,191		1,351,324
Series 1994-42, Class K, 6.50%, 4/25/24		384		426,055
Series 1997-28, Class ZA, 7.50%, 4/20/27		461		547,972
Series 1997-38, Class N, 8.00%, 5/20/27		426		496,655
Series 2004-46, (Interest Only), Class SI, 5.574%, 5/25/34⁽⁶⁾⁽⁷⁾		2,519		386,118
Series 2005-17, (Interest Only), Class SA, 6.274%, 3/25/35⁽⁶⁾⁽⁷⁾		1,866		400,484
Series 2006-8, (Principal Only), Class WQ, 0.00%, 3/25/36⁽⁸⁾		1,614		1,418,571
Series 2006-42, (Interest Only), Class PI, 6.164%, 6/25/36⁽⁶⁾⁽⁷⁾		3,273		609,887
Series 2006-44, (Interest Only), Class IS, 6.174%, 6/25/36⁽⁶⁾⁽⁷⁾		2,637		513,100
Series 2006-72, (Interest Only), Class GI, 6.154%, 8/25/36⁽⁶⁾⁽⁷⁾		4,734		842,331
Series 2007-50, (Interest Only), Class LS, 6.024%, 6/25/37⁽⁶⁾⁽⁷⁾		1,988		374,844
Series 2007-74, Class AC, 5.00%, 8/25/37		2,528		2,773,721
Series 2008-26, (Interest Only), Class SA, 5.774%, 4/25/38⁽⁶⁾⁽⁷⁾		3,262		608,372
Series 2008-29, (Interest Only), Class CI, 5.00%, 9/25/35⁽⁷⁾		1,447		56,449
Series 2008-61, (Interest Only), Class S, 5.674%, 7/25/38⁽⁶⁾⁽⁷⁾		4,363		819,538
Series 2010-99, (Interest Only), Class NS, 6.174%, 3/25/39⁽⁶⁾⁽⁷⁾		3,517		325,090



Security	Principal Amount (000’s omitted)		Value
Series 2010-109, (Interest Only), Class PS, 6.174%, 10/25/40⁽⁶⁾⁽⁷⁾	$	5,264	$	927,474
Series 2010-119, (Interest Only), Class SK, 5.574%, 4/25/40⁽⁶⁾⁽⁷⁾		1,226		47,356
Series 2010-124, (Interest Only), Class SJ, 5.624%, 11/25/38⁽⁶⁾⁽⁷⁾		3,221		414,806
Series 2010-147, (Interest Only), Class KS, 5.524%, 1/25/41⁽⁶⁾⁽⁷⁾		6,535		1,091,581
Series 2010-150, (Interest Only), Class GS, 6.324%, 1/25/21⁽⁶⁾⁽⁷⁾		3,907		395,346
Series 2010-151, (Interest Only), Class PI, 4.00%, 5/25/28⁽⁷⁾		5,240		118,522
Series 2011-22, (Interest Only), Class IC, 3.50%, 12/25/25⁽⁷⁾		5,788		496,462
Series 2011-49, Class NT, 6.00%, 6/25/41⁽⁶⁾		882		973,644
Series 2012-52, (Interest Only), Class AI, 3.50%, 8/25/26⁽⁷⁾		6,971		534,065
Series 2012-56, (Interest Only), Class SU, 6.324%, 8/25/26⁽⁶⁾⁽⁷⁾		2,291		205,004
Series 2012-63, (Interest Only), Class EI, 3.50%, 8/25/40⁽⁷⁾		6,325		592,367
Series 2012-103, (Interest Only), Class GS, 5.674%, 2/25/40⁽⁶⁾⁽⁷⁾		7,376		1,101,542
Series 2012-150, (Interest Only), Class PS, 5.724%, 1/25/43⁽⁶⁾⁽⁷⁾		7,323		1,455,815
Series 2012-150, (Interest Only), Class SK, 5.724%, 1/25/43⁽⁶⁾⁽⁷⁾		4,113		815,286
Series 2013-6, Class TA, 1.50%, 1/25/43		2,728		2,613,520
Series 2013-23, (Interest Only), Class CS, 5.824%, 3/25/33⁽⁶⁾⁽⁷⁾		3,640		742,810
Series 2013-54, (Interest Only), Class HS, 5.874%, 10/25/41⁽⁶⁾⁽⁷⁾		3,457		503,370
Series 2014-32, (Interest Only), Class EI, 4.00%, 6/25/44⁽⁷⁾		1,936		308,263
Series 2014-36, (Interest Only), Class ID, 4.00%, 6/25/44⁽⁷⁾		1,603		252,773
Series 2014-55, (Interest Only), Class IN, 3.50%, 7/25/44⁽⁷⁾		4,897		720,152
Series 2014-72, Class CS, 8.338%, 11/25/44⁽⁶⁾		695		706,717
Series 2014-80, (Interest Only), Class BI, 3.00%, 12/25/44⁽⁷⁾		8,353		1,065,354
Series 2014-89, (Interest Only), Class IO, 3.50%, 1/25/45⁽⁷⁾		3,678		591,908
Series 2015-14, (Interest Only), Class KI, 3.00%, 3/25/45⁽⁷⁾		8,089		1,119,265
Series 2015-17, (Interest Only), Class SA, 5.774%, 11/25/43⁽⁶⁾⁽⁷⁾		8,228		1,250,383
Series 2015-42, Class SC, 7.374%, 5/25/45⁽⁶⁾		622		625,551
Series 2015-52, (Interest Only), Class MI, 3.50%, 7/25/45⁽⁷⁾		4,587		704,375
Series 2015-57, (Interest Only), Class IO, 3.00%, 8/25/45⁽⁷⁾		18,828		2,406,270
Series 2015-74, Class SL, 2.099%, 10/25/45⁽⁶⁾		3,200		2,963,029
Series 2015-93, (Interest Only), Class BS, 5.724%, 8/25/45⁽⁶⁾⁽⁷⁾		5,910		1,112,869
Series G-33, Class PT, 7.00%, 10/25/21		198		209,018

			$	39,222,973

Government National Mortgage Association:
Series 2011-156, Class GA, 2.00%, 12/16/41	$	1,059	$	1,000,379
Series 2014-117, Class HS, 29.392%, 8/20/44⁽⁶⁾		117		121,552
Series 2014-146, Class S, 5.511%, 10/20/44⁽⁶⁾		394		394,403
Series 2015-72, Class ZN, 3.50%, 5/20/45		1,240		1,247,310
Series 2015-79, Class CS, 5.232%, 5/20/45⁽⁶⁾		1,258		1,269,049

			$	4,032,693


Total Collateralized Mortgage Obligations (identified cost $69,665,612)			$	68,829,008


Commercial Mortgage-Backed Securities — 8.9%

Security	Principal Amount (000’s omitted)		Value
Citigroup Commercial Mortgage Trust
Series 2015-P1, Class D, 3.225%, 9/15/48^(9)(10)	$	4,000	$	2,905,691
Commercial Mortgage Trust
Series 2014-KYO, Class D, 2.424%, 6/11/27^(9)(11)		1,000		973,396
Series 2014-LC17, Class D, 3.687%, 10/10/47⁽⁹⁾		1,065		816,197
Extended Stay America Trust
Series 2013-ESH7, Class D7, 5.521%, 12/5/31^(9)(10)		1,080		1,086,852
Hilton USA Trust
Series 2013-HLT, Class DFX, 4.407%, 11/5/30⁽⁹⁾		850		854,546



Security	Principal Amount (000’s omitted)			Value
JPMBB Commercial Mortgage Securities Trust
Series 2014-C19, Class D, 4.831%, 4/15/47^(9)(10)	$	1,425		$	1,137,575
Series 2014-C21, Class D, 4.816%, 8/15/47^(9)(10)		650			509,736
Series 2014-C22, Class D, 4.713%, 9/15/47^(9)(10)		1,850			1,364,547
Series 2014-C23, Class D, 4.108%, 9/15/47^(9)(10)		850			643,895
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2011-C5, Class D, 5.50%, 8/15/46^(9)(10)		1,850			1,883,072
Series 2014-DSTY, Class B, 3.771%, 6/10/27⁽⁹⁾		1,900			1,963,430
UBS-Citigroup Commercial Mortgage Trust
Series 2011-C1, Class D, 6.084%, 1/10/45^(9)(10)		2,000			2,132,703
UBS Commercial Mortgage Trust
Series 2012-C1, Class D, 5.719%, 5/10/45^(9)(10)		2,000			1,989,931
Wells Fargo Commercial Mortgage Trust
Series 2010-C1, Class C, 5.799%, 11/15/43^(9)(10)		500			535,317
Series 2013-LC12, Class D, 4.434%, 7/15/46^(9)(10)		2,000			1,728,771
Series 2015-SG1, Class C, 4.62%, 12/15/47⁽¹⁰⁾		1,000			941,893
WF-RBS Commercial Mortgage Trust
Series 2012-C9, Class D, 4.963%, 11/15/45^(9)(10)		1,250			1,194,004
Series 2014-LC14, Class D, 4.586%, 3/15/47^(9)(10)		1,150			897,632


Total Commercial Mortgage-Backed Securities (identified cost $24,763,664)				$	23,559,188


Mortgage Pass-Throughs — 22.2%

Security	Principal Amount (000’s omitted)			Value
Federal Home Loan Mortgage Corp.:
2.532%, with maturity at 2035⁽¹²⁾	$	2,463		$	2,601,083
2.873%, with maturity at 2035⁽¹²⁾		2,546			2,700,766
5.00%, with maturity at 2019		1,242			1,295,711
6.00%, with various maturities to 2029		2,031			2,313,783
6.15%, with maturity at 2027		750			856,808
6.50%, with various maturities to 2032		4,024			4,581,880
7.00%, with various maturities to 2036		3,525			4,154,923
7.50%, with maturity at 2024		1,064			1,210,425
8.00%, with various maturities to 2032		1,673			2,013,980
8.50%, with various maturities to 2031		1,949			2,303,128
9.00%, with maturity at 2031		185			221,920
9.50%, with various maturities to 2022		48			52,753
11.50%, with maturity at 2019		0	⁽¹³⁾		168

				$	24,307,328

Federal National Mortgage Association:
4.455%, with maturity at 2037⁽¹²⁾	$	787		$	810,767
5.00%, with various maturities to 2040		3,452			3,819,278
5.50%, with various maturities to 2033		2,251			2,530,744
6.00%, with maturity at 2023		1,395			1,543,077
6.32%, with maturity at 2032⁽¹²⁾		1,062			1,174,998
6.50%, with various maturities to 2036		5,068			5,834,242
7.00%, with various maturities to 2037		5,404			6,311,305
7.50%, with maturity at 2035		3,658			4,304,282
8.00%, with various maturities to 2034		948			1,108,342
8.50%, with various maturities to 2027		105			120,038
9.00%, with various maturities to 2029		399			460,762
10.00%, with various maturities to 2031		260			288,630

				$	28,306,465



Security	Principal Amount (000’s omitted)		Value
Government National Mortgage Association:
7.50%, with maturity at 2025	$	1,673	$	1,901,456
8.00%, with maturity at 2034		2,164		2,544,402
9.00%, with various maturities to 2026		1,129		1,347,220
9.50%, with maturity at 2025		109		122,346
11.00%, with maturity at 2018		25		26,337

			$	5,941,761


Total Mortgage Pass-Throughs (identified cost $55,795,729)			$	58,555,554


Asset-Backed Securities — 4.8%

Security	Principal Amount (000’s omitted)		Value
American Homes 4 Rent
Series 2014-SFR1, Class C, 2.176%, 6/17/31^(9)(11)	$	200	$	191,728
Series 2014-SFR1, Class D, 2.776%, 6/17/31^(9)(11)		825		790,717
American Residential Properties Trust
Series 2014-SFR1, Class C, 2.776%, 9/17/31^(9)(11)		2,000		1,940,872
Centurion CDO IX Ltd.
Series 2005-9A, Class D1, 5.37%, 7/17/19^(9)(11)		500		469,564
Colony American Homes
Series 2014-1A, Class C, 2.276%, 5/17/31^(9)(11)		760		732,553
DB Master Finance LLC
Series 2015-1A, Class A2II, 3.98%, 2/20/45⁽⁹⁾		1,241		1,239,888
Invitation Homes Trust
Series 2013-SFR1, Class D, 2.577%, 12/17/30^(9)(11)		550		525,248
Series 2014-SFR1, Class D, 3.026%, 6/17/31^(9)(11)		500		485,824
OneMain Financial Issuance Trust
Series 2014-1A, Class A, 2.43%, 6/18/24⁽⁹⁾		200		199,840
Series 2014-1A, Class B, 3.24%, 6/18/24⁽⁹⁾		800		798,110
Series 2015-1A, Class B, 3.85%, 3/18/26⁽⁹⁾		800		805,432
Sierra Receivables Funding Co., LLC
Series 2014-1A, Class B, 2.42%, 3/20/30⁽⁹⁾		217		216,723
Series 2015-1A, Class B, 3.05%, 3/22/32⁽⁹⁾		301		301,331
Silver Bay Realty Trust
Series 2014-1, Class C, 2.476%, 9/17/31^(9)(11)		2,000		1,922,281
SpringCastle Funding Trust
Series 2014-AA, Class B, 4.61%, 10/25/27⁽⁹⁾		1,980		1,983,322


Total Asset-Backed Securities (identified cost $12,854,414)			$	12,603,433


U.S. Government Agency Obligations — 0.6%

Security	Principal Amount (000’s omitted)		Value
Federal Farm Credit Bank:
3.25%, 7/1/30	$	1,500	$	1,549,108


Total U.S. Government Agency Obligations (identified cost $1,469,581)			$	1,549,108



Corporate Bonds & Notes — 0.8%

Security	Principal Amount (000’s omitted)		Value
Financial Intermediaries — 0.1%
First Data Corp.
6.75%, 11/1/20⁽⁹⁾	$	163	$	172,169

			$	172,169

Food Products — 0.3%
Iceland Bondco PLC
4.841%, 7/15/20^(9)(11)	GBP	750	$	908,373

			$	908,373

Health Care — 0.2%
CHS/Community Health Systems, Inc.
5.125%, 8/15/18	$	425	$	429,250

			$	429,250

Lodging and Casinos — 0.1%
Caesars Entertainment Operating Co., Inc.
8.50%, 2/15/20⁽⁴⁾	$	350	$	264,250

			$	264,250

Utilities — 0.1%
Calpine Corp.
7.875%, 1/15/23⁽⁹⁾	$	389	$	417,203

			$	417,203


Total Corporate Bonds & Notes (identified cost $2,611,464)			$	2,191,245


Foreign Corporate Bonds — 0.2%

Security	Principal Amount (000’s omitted)		Value
Supranational — 0.2%
International Bank for Reconstruction & Development
3.40%, 4/15/17⁽¹⁴⁾	UYU	18,940	$	601,386

			$	601,386


Total Foreign Corporate Bonds (identified cost $823,966)			$	601,386


Foreign Government Bonds — 12.1%

Security	Principal Amount (000’s omitted)		Value
Bangladesh — 2.1%
Bangladesh Treasury Bond, 8.80%, 6/4/16	BDT	46,100	$	598,027
Bangladesh Treasury Bond, 10.10%, 6/11/19	BDT	23,600		336,241
Bangladesh Treasury Bond, 11.30%, 3/7/17	BDT	50,000		682,146
Bangladesh Treasury Bond, 11.40%, 5/9/17	BDT	60,000		825,037
Bangladesh Treasury Bond, 11.50%, 8/8/17	BDT	107,500		1,491,932
Bangladesh Treasury Bond, 11.50%, 11/7/17	BDT	15,700		219,356
Bangladesh Treasury Bond, 11.52%, 12/5/17	BDT	20,000		279,941
Bangladesh Treasury Bond, 11.55%, 9/5/17	BDT	30,000		417,658



Security	Principal Amount (000’s omitted)		Value
Bangladesh Treasury Bond, 11.55%, 10/3/17	BDT	29,900	$	416,808
Bangladesh Treasury Bond, 11.72%, 2/6/18	BDT	8,400		118,564
Bangladesh Treasury Bond, 11.72%, 7/2/18	BDT	19,400		278,578


Total Bangladesh			$	5,664,288

Brazil — 1.3%
Letra do Tesouro Nacional, 0.00%, 10/1/16	BRL	2,902	$	662,872
Letra do Tesouro Nacional, 0.00%, 1/1/17	BRL	12,700		2,809,193


Total Brazil			$	3,472,065

Costa Rica — 0.2%
Costa Rica Titulos de Propiedad Bond, 10.58%, 6/22/16	CRC	255,000	$	488,484


Total Costa Rica			$	488,484

Czech Republic — 1.0%
Czech Republic Government Bond, 0.00%, 11/9/17⁽¹⁵⁾	CZK	67,000	$	2,693,913


Total Czech Republic			$	2,693,913

Dominican Republic — 2.1%
Dominican Republic International Bond, 10.40%, 5/10/19⁽¹⁵⁾	DOP	54,400	$	1,214,416
Dominican Republic International Bond, 13.50%, 8/4/17⁽¹⁵⁾	DOP	2,400		55,714
Dominican Republic International Bond, 14.00%, 6/8/18⁽¹⁵⁾	DOP	53,200		1,270,854
Dominican Republic International Bond, 16.00%, 2/10/17⁽¹⁵⁾	DOP	124,700		2,927,499


Total Dominican Republic			$	5,468,483

Georgia — 0.0%⁽¹⁶⁾
Georgia Treasury Bond, 10.75%, 7/9/17	GEL	100	$	39,771


Total Georgia			$	39,771

Iceland — 2.2%
Republic of Iceland, 6.25%, 2/5/20	ISK	231,085	$	1,328,324
Republic of Iceland, 7.25%, 10/26/22	ISK	427,092		2,590,866
Republic of Iceland, 8.75%, 2/26/19	ISK	329,709		2,013,219


Total Iceland			$	5,932,409

Lebanon — 0.0%⁽¹⁶⁾
Lebanon Treasury Note, 6.18%, 7/28/16	LBP	174,650	$	116,534


Total Lebanon			$	116,534

Philippines — 0.3%
Republic of the Philippines, 4.95%, 1/15/21	PHP	27,000	$	583,409
Republic of the Philippines, 9.125%, 9/4/16	PHP	14,990		326,736


Total Philippines			$	910,145

Serbia — 0.8%
Serbia Treasury Bond, 10.00%, 2/21/16	RSD	82,900	$	735,055
Serbia Treasury Bond, 10.00%, 10/17/16	RSD	21,800		201,033
Serbia Treasury Bond, 10.00%, 4/1/17	RSD	46,800		440,693
Serbia Treasury Bond, 10.00%, 5/8/17	RSD	18,760		177,333



Security	Principal Amount (000’s omitted)		Value
Serbia Treasury Bond, 10.00%, 1/24/18	RSD	22,180	$	214,022
Serbia Treasury Bond, 10.00%, 2/5/22	RSD	20,360		203,258


Total Serbia			$	1,971,394

Uruguay — 1.1%
Uruguay Notas Del Tesoro, 2.25%, 8/23/17	UYU	8,449	$	261,779
Uruguay Notas Del Tesoro, 2.75%, 6/16/16⁽¹⁴⁾	UYU	60,405		1,929,550
Uruguay Notas Del Tesoro, 11.00%, 3/21/17	UYU	18,380		569,954


Total Uruguay			$	2,761,283

Vietnam — 1.0%
Vietnam Government Bond, 5.60%, 4/15/16	VND	16,000,000	$	720,405
Vietnam Government Bond, 7.60%, 10/31/16	VND	41,000,000		1,877,273


Total Vietnam			$	2,597,678


Total Foreign Government Bonds (identified cost $34,900,520)			$	32,116,447


Common Stocks — 0.5%

Security	Shares		Value
Affinity Gaming, LLC^(2)(17)(18)		23,498	$	323,099
Dayco Products, LLC^(2)(17)(18)		8,898		302,532
Education Management Corp.^(2)(17)(18)		955,755		0
ION Media Networks, Inc.^(2)(17)(18)		1,357		565,937
MediaNews Group, Inc.^(2)(17)(18)		3,023		98,248
New Millennium HoldCo, Inc.^(2)(17)(18)		8,641		75,004


Total Common Stocks (identified cost $424,871)			$	1,364,820


Convertible Preferred Stocks — 0.0%⁽¹⁶⁾

Security	Shares		Value
Education Management Corp., Series A-1, 7.50%^(2)(17)(18)		1,063	$	14,276


Total Convertible Preferred Stocks (identified cost $75,023)			$	14,276


Currency Options Purchased — 0.0%⁽¹⁶⁾

Description

Counterparty

Principal
Amount of
Contracts
(000’s omitted)

Strike

Price

Expiration
Date

Value

Call INR/Put USD

Citibank, N.A.

INR

100,664

INR

67.79

7/4/16

13,463

Call MXN/Put USD

Deutsche Bank AG

MXN

24,067

MXN

18.33

1/11/17

59,529

Call SEK/Put EUR

Morgan Stanley & Co. International PLC

SEK

11,349

SEK

9.30

10/17/16

35,431

Total Currency Options Purchased
(identified cost $150,035)

108,423


Short-Term Investments — 8.4%

Foreign Government Securities — 4.6%

Security	Principal Amount (000’s omitted)		Value
Georgia — 1.0%
Georgia Treasury Bill, 0.00%, 8/18/16	GEL	7,073	$	2,710,838


Total Georgia			$	2,710,838

Iceland — 0.2%
Iceland Treasury Bill, 0.00%, 4/15/16	ISK	19,720	$	110,739
Iceland Treasury Bill, 0.00%, 6/15/16	ISK	58,778		327,390


Total Iceland			$	438,129

Lebanon — 2.4%
Lebanon Treasury Bill, 0.00%, 2/25/16	LBP	677,920	$	447,001
Lebanon Treasury Bill, 0.00%, 3/31/16	LBP	320,330		210,464
Lebanon Treasury Bill, 0.00%, 5/26/16	LBP	2,774,830		1,810,370
Lebanon Treasury Bill, 0.00%, 12/1/16	LBP	6,184,800		3,928,143


Total Lebanon			$	6,395,978

Sri Lanka — 1.0%
Sri Lanka Treasury Bill, 0.00%, 2/19/16	LKR	50,440	$	348,990
Sri Lanka Treasury Bill, 0.00%, 2/26/16	LKR	53,530		369,905
Sri Lanka Treasury Bill, 0.00%, 3/4/16	LKR	93,730		646,877
Sri Lanka Treasury Bill, 0.00%, 3/11/16	LKR	56,580		389,994
Sri Lanka Treasury Bill, 0.00%, 3/25/16	LKR	135,720		933,109


Total Sri Lanka			$	2,688,875


Total Foreign Government Securities (identified cost $12,626,025)			$	12,233,820


U.S. Treasury Obligations — 1.2%

Security	Principal Amount (000’s omitted)		Value
U.S. Treasury Bill, 0.00%, 3/24/16⁽¹⁹⁾	$	3,000	$	2,998,869


Total U.S. Treasury Obligations (identified cost $2,999,892)			$	2,998,869


Other — 2.6%

Description	Interest (000’s omitted)		Value
Eaton Vance Cash Reserves Fund, LLC, 0.40%⁽²⁰⁾	$	6,956	$	6,955,703


Total Other (identified cost $6,955,703)			$	6,955,703



	Value
Total Short-Term Investments (identified cost $22,581,620)	$	22,188,392


Total Investments — 138.4% (identified cost $378,711,367)	$	366,055,280


Less Unfunded Loan Commitments — (0.0)%⁽¹⁶⁾	$	(9,574	)


Net Investments — 138.4% (identified cost $378,701,793)	$	366,045,706


Currency Options Written — (0.0)%⁽¹⁶⁾

Description

Counterparty

Principal
Amount of
Contracts
(000’s omitted)

Strike
Price

Expiration
Date

Value

Call INR/Put USD

Deutsche Bank AG

INR

100,664

INR

67.79

7/4/16

(13,463

)

Total Currency Options Written
(premiums received $27,383)

(13,463

)

Other Assets, Less Liabilities — (38.4)%

(101,629,005

)

Net Assets — 100.0%

264,403,238

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

*	In U.S. dollars unless otherwise indicated.

(1)

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

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

(3)	This Senior Loan will settle after January 31, 2016, at which time the interest rate will be determined.

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

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

(6)	Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at January 31, 2016.

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

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

(9)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At January 31, 2016, the aggregate value of these securities is $36,718,473 or 13.9% of the Fund’s net assets.

(10)	Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at January 31, 2016.

(11)	Variable rate security. The stated interest rate represents the rate in effect at January 31, 2016.

(12)	Adjustable rate mortgage security. Rate shown is the rate at January 31, 2016.

(13)	Principal amount is less than $500.

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

(15)

Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At January 31, 2016, the aggregate value of these securities is $8,162,396 or 3.1% of the Fund’s net assets.

(16)	Amount is less than 0.05% or (0.05)%, as applicable.

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

(18)	Non-income producing.

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

(20)

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, 2016. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended January 31, 2016 was $6,080.

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
EUR	5,745,474	USD	6,289,570	Goldman Sachs International		2/1/16	$	—	$	(65,496	)
USD	6,272,164	EUR	5,745,474	UBS AG		2/1/16		48,090		—
BRL	5,533,000	USD	1,368,606	Morgan Stanley & Co. International PLC		2/2/16		14,713		—
BRL	2,695,000	USD	666,617	Standard Chartered Bank		2/2/16		7,167		—
BRL	8,228,000	USD	2,172,581	Standard Chartered Bank		2/2/16		—		(115,478	)
USD	1,401,469	BRL	5,533,000	Morgan Stanley & Co. International PLC		2/2/16		18,150		—
USD	653,333	BRL	2,695,000	Standard Chartered Bank		2/2/16		—		(20,450	)
USD	2,035,223	BRL	8,228,000	Standard Chartered Bank		2/2/16		—		(21,880	)
EUR	958,180	PLN	4,115,000	BNP Paribas		2/3/16		29,439		—
EUR	754,042	PLN	3,290,000	BNP Paribas		2/3/16		10,498		—
EUR	600,202	PLN	2,622,821	BNP Paribas		2/3/16		7,364		—
PLN	20,717,732	EUR	4,817,293	BNP Paribas		2/3/16		—		(140,806	)
PHP	26,830,000	USD	565,342	Nomura International PLC		2/4/16		—		(2,620	)
IDR	19,000,000,000	USD	1,356,174	BNP Paribas		2/9/16		23,862		—
INR	376,547,000	USD	5,596,607	Standard Chartered Bank		2/9/16		—		(55,611	)
ZMW	4,497,800	USD	560,474	Citibank, N.A.		2/10/16		—		(164,604	)
CLP	2,859,666,290	USD	4,025,431	BNP Paribas		2/18/16		—		(24,560	)
MXN	51,115,000	USD	3,030,474	Standard Chartered Bank		2/19/16		—		(215,403	)
HKD	26,050,000	USD	3,341,757	Bank of America, N.A.		2/22/16		6,419		—
PHP	54,773,000	USD	1,151,129	Standard Chartered Bank		2/23/16		—		(6,744	)
EUR	950,000	USD	1,037,802	Deutsche Bank AG		2/29/16		—		(8,012	)
INR	55,269,000	USD	811,610	Bank of America, N.A.		2/29/16		—		(1,005	)
USD	2,484,387	EUR	2,325,900	State Street Bank and Trust Company		2/29/16		—		(36,864	)
EUR	1,323,000	USD	1,403,915	Goldman Sachs International		3/9/16		30,564		—
USD	3,685,229	EUR	3,474,736	Goldman Sachs International		3/9/16		—		(82,299	)
TRY	12,076,500	USD	4,048,305	BNP Paribas		3/10/16		—		(5,971	)
ZMW	2,310,000	USD	283,155	Standard Chartered Bank		3/10/16		—		(85,563	)
GTQ	16,231,000	USD	2,083,168	Citibank, N.A.		3/11/16		27,219		—
USD	1,062,455	EUR	967,000	Standard Chartered Bank		3/14/16		13,818		—
USD	265,143	EUR	242,945	Standard Chartered Bank		3/14/16		1,688		—
ZMW	2,213,000	USD	270,043	ICBC Standard Bank plc		3/14/16		—		(81,359	)
ZMW	9,415,000	USD	1,137,077	Standard Chartered Bank		3/14/16		—		(334,341	)
EUR	5,745,474	USD	6,232,173	Goldman Sachs International		3/16/16		—		(1,289	)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	6,295,890	EUR	5,745,474	Goldman Sachs International		3/16/16	$	65,007	$	—
NOK	23,669,000	EUR	2,475,046	Morgan Stanley & Co. International PLC		3/18/16		40,793		—
EUR	1,294,000	USD	1,392,437	Citibank, N.A.		3/22/16		11,134		—
GBP	1,817,000	USD	2,711,787	Standard Chartered Bank		3/22/16		—		(122,511	)
USD	1,403,921	EUR	1,294,000	Citibank, N.A.		3/22/16		350		—
USD	2,664,405	GBP	1,817,000	Standard Chartered Bank		3/22/16		75,129		—
USD	161,092	EUR	146,446	Goldman Sachs International		3/23/16		2,241		—
USD	6,220,145	EUR	5,654,600	Standard Chartered Bank		3/23/16		86,553		—
ZMW	4,253,900	USD	505,214	Barclays Bank PLC		3/24/16		—		(145,425	)
RON	15,151,472	EUR	3,344,105	BNP Paribas		3/29/16		—		(23,577	)
USD	1,425,964	GBP	962,257	Goldman Sachs International		3/31/16		54,687		—
MYR	11,525,000	USD	2,633,082	Citibank, N.A.		4/8/16		147,457		—
SAR	10,087,000	USD	2,672,761	BNP Paribas		4/14/16		7,012		—
MXN	15,141,060	USD	838,027	Morgan Stanley & Co. International PLC		4/19/16		—		(7,659	)
SEK	21,795,727	EUR	2,353,234	BNP Paribas		4/19/16		—		(9,026	)
SEK	23,356,000	EUR	2,517,679	Standard Chartered Bank		4/19/16		—		(5,314	)
UYU	17,500,000	USD	550,834	Citibank, N.A.		4/26/16		—		(2,845	)
KES	73,300,000	USD	668,491	ICBC Standard Bank plc		4/27/16		34,984		—
USD	951,131	EUR	870,278	Goldman Sachs International		4/29/16		6,086		—
KES	72,900,000	USD	670,345	Standard Chartered Bank		5/6/16		27,662		—
RSD	358,375,000	EUR	2,853,304	Deutsche Bank AG		7/28/16		6,225		—
RSD	36,670,000	EUR	288,241	Citibank, N.A.		8/25/16		1,217		—
USD	654,931	BRL	2,902,000	Standard Chartered Bank		10/5/16		—		(18,722	)
RSD	80,698,000	EUR	640,460	Citibank, N.A.		10/13/16		—		(19,082	)
ARS	49,718,000	USD	2,777,542	Citibank, N.A.		11/16/16		201,314		—
USD	2,793,665	BRL	12,700,000	Standard Chartered Bank		1/5/17		—		(73,914	)
USD	2,712,404	EUR	2,493,935	Standard Chartered Bank		1/9/17		—		(21,548	)

							$	1,006,842	$	(1,919,978	)

Credit Default Swaps — Buy Protection


Reference Entity	Counterparty	Notional Amount (000’s omitted)		Contract Annual Fixed Rate*			Termination Date		Market Value		Unamortized Upfront Payments Received (Paid)			Net Unrealized Depreciation
Lebanon	HSBC Bank USA, N.A.	$	1,250		1.00	%⁽¹⁾		12/20/17	$	52,711	$	(67,103	)	$	(14,392	)

									$	52,711	$	(67,103	)	$	(14,392	)

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

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

Abbreviations:



DIP	-	Debtor In Possession

PIK	-	Payment In Kind

Currency Abbreviations:



ARS	-	Argentine Peso

BDT	-	Bangladeshi Taka

BRL	-	Brazilian Real

CLP	-	Chilean Peso

CRC	-	Costa Rican Colon

CZK	-	Czech Koruna



DOP	-	Dominican Peso

EUR	-	Euro

GBP	-	British Pound Sterling

GEL	-	Georgian Lari

GTQ	-	Guatemalan Quetzal

HKD	-	Hong Kong Dollar

IDR	-	Indonesian Rupiah

INR	-	Indian Rupee

ISK	-	Icelandic Krona

KES	-	Kenyan Shilling

LBP	-	Lebanese Pound

LKR	-	Sri Lankan Rupee

MXN	-	Mexican Peso

MYR	-	Malaysian Ringgit

NOK	-	Norwegian Krone

PHP	-	Philippine Peso

PLN	-	Polish Zloty

RON	-	Romanian Leu

RSD	-	Serbian Dinar

SAR	-	Saudi Riyal

SEK	-	Swedish Krona

TRY	-	New Turkish Lira

USD	-	United States Dollar

UYU	-	Uruguayan Peso

VND	-	Vietnamese Dong

ZMW	-	Zambian Kwacha

Written options activity for the fiscal year to date ended January 31, 2016 was as follows:


	Principal Amount of Contracts (000’s omitted)		Principal Amount of Contracts (000’s omitted)			Premiums Received
Outstanding, beginning of period	INR	100,664	CNH	—		$	27,383
Options written	INR	—	CNH	17,658			9,450
Options exercised	INR	—	CNH	(17,658	)		(9,450	)

Outstanding, end of period	INR	100,664	CNH	—		$	27,383



INR	-	Indian Rupee

CNH	-	Yuan Renminbi Offshore

At January 31, 2016, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.

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

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

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

Interest Rate Risk: During the fiscal year to date ended January 31, 2016, the Fund utilized interest rate swaps to enhance total return and to seek to hedge against fluctuations in interest rates.

The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at January 31, 2016 was as follows:


		Fair Value
Risk	Derivative	Asset Derivative		Liability Derivative
Credit	Credit Default Swaps	$	52,711	$	—

Total		$	52,711	$	—


Foreign Exchange	Currency Options Purchased	$	108,423	$	—
Foreign Exchange	Currency Options Written		—		(13,463	)
Foreign Exchange	Forward Foreign Currency Exchange Contracts		1,006,842		(1,919,978	)

Total		$	1,115,265	$	(1,933,441	)

The cost and unrealized appreciation (depreciation) of investments of the Fund at January 31, 2016, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	380,632,336

Gross unrealized appreciation	$	6,759,690
Gross unrealized depreciation		(21,346,320	)

Net unrealized depreciation	$	(14,586,630	)

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

•

Level 1 — quoted prices in active markets for identical investments

•

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

•

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

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

At January 31, 2016, the hierarchy of inputs used in valuing the Fund’s investments and open derivative instruments, which are carried at value, were as follows:


Asset Description	Level 1		Level 2		Level 3*		Total
Senior Floating-Rate Loans (Less Unfunded Loan Commitments)	$	—	$	142,014,807	$	349,619	$	142,364,426
Collateralized Mortgage Obligations		—		68,829,008		—		68,829,008
Commercial Mortgage-Backed Securities		—		23,559,188		—		23,559,188
Mortgage Pass-Throughs		—		58,555,554		—		58,555,554
Asset-Backed Securities		—		12,603,433		—		12,603,433
U.S. Government Agency Obligations		—		1,549,108		—		1,549,108
Corporate Bonds & Notes		—		2,191,245		—		2,191,245
Foreign Corporate Bonds		—		601,386		—		601,386
Foreign Government Bonds		—		32,116,447		—		32,116,447
Common Stocks		—		—		1,364,820		1,364,820
Convertible Preferred Stocks		—		—		14,276		14,276
Currency Options Purchased		—		108,423		—		108,423
Short-Term Investments —
Foreign Government Securities		—		12,233,820		—		12,233,820
U.S. Treasury Obligations		—		2,998,869		—		2,998,869
Other		—		6,955,703		—		6,955,703
Total Investments	$	—	$	364,316,991	$	1,728,715	$	366,045,706


Asset Description	Level 1		Level 2			Level 3*		Total
Forward Foreign Currency Exchange Contracts	$	—	$	1,006,842		$	—	$	1,006,842
Swap Contracts		—		52,711			—		52,711
Total	$	—	$	365,376,544		$	1,728,715	$	367,105,259

Liability Description
Currency Options Written	$	—	$	(13,463	)	$	—	$	(13,463	)
Forward Foreign Currency Exchange Contracts		—		(1,919,978	)		—		(1,919,978	)
Total	$	—	$	(1,933,441	)	$	—	$	(1,933,441	)

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

Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the fiscal year to date ended January 31, 2016 is not presented. At January 31, 2016, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.

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

Item 2. Controls and Procedures

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

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

Signatures

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

Eaton Vance Short Duration Diversified Income Fund



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

Date:		March 28, 2016

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 28, 2016

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

Date:		March 28, 2016