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

July 31, 2016

Date of Reporting Period

Item 1. Schedule of Investments

Eaton Vance

Short Duration Diversified Income Fund

July 31, 2016

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Loans — 54.0%⁽¹⁾


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Aerospace and Defense — 0.7%
BE Aerospace, Inc.
Term Loan, 3.75%, Maturing December 16, 2021		188	$	189,630
Silver II US Holdings, LLC
Term Loan, 4.00%, Maturing December 13, 2019		358		333,193
TransDigm, Inc.
Term Loan, 3.75%, Maturing February 28, 2020		502		502,144
Term Loan, 3.75%, Maturing June 4, 2021		319		318,130
Term Loan, 3.75%, Maturing June 9, 2023		178		176,854
Term Loan, 3.75%, Maturing June 9, 2023		197		196,505
Term Loan, 3.75%, Maturing June 9, 2023		296		294,372

			$	2,010,828

Air Transport — 0.2%
Virgin America, Inc.
Term Loan, 4.50%, Maturing April 4, 2019		450	$	451,215

			$	451,215

Automotive — 2.0%
Allison Transmission, Inc.
Term Loan, 3.50%, Maturing August 23, 2019		415	$	415,980
CS Intermediate Holdco 2, LLC
Term Loan, 4.00%, Maturing April 4, 2021		564		565,261
Dayco Products, LLC
Term Loan, 5.25%, Maturing December 12, 2019		171		171,063
FCA US, LLC
Term Loan, 3.50%, Maturing May 24, 2017		515		516,633
Term Loan, 3.25%, Maturing December 31, 2018		216		216,225
Federal-Mogul Holdings Corporation
Term Loan, 4.75%, Maturing April 15, 2021		662		625,448
Goodyear Tire & Rubber Company (The)
Term Loan - Second Lien, 3.75%, Maturing April 30, 2019		575		577,034
Horizon Global Corporation
Term Loan, 7.00%, Maturing June 30, 2021		95		95,238
MPG Holdco I, Inc.
Term Loan, 3.75%, Maturing October 20, 2021		1,405		1,406,664
TI Group Automotive Systems, LLC
Term Loan, 4.50%, Maturing June 30, 2022		223		224,290
Tower Automotive Holdings USA, LLC
Term Loan, 4.00%, Maturing April 23, 2020		526		523,879
Visteon Corporation
Term Loan, 3.50%, Maturing April 9, 2021		102		102,051

			$	5,439,766

Beverage and Tobacco — 0.1%
Flavors Holdings, Inc.
Term Loan, 6.75%, Maturing April 3, 2020		371	$	329,129

			$	329,129

Brokerage/Securities Dealers/Investment Houses — 0.2%
Aretec Group, Inc.
Term Loan, 8.00%, Maturing May 25, 2023		65	$	65,134
Term Loan - Second Lien, 6.50%, (2.00% Cash, 4.50% PIK), Maturing May 23, 2021		262		197,592
Salient Partners L.P.
Term Loan, 9.50%, Maturing May 19, 2021		146		140,214

			$	402,940


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Building and Development — 1.3%
ABC Supply Co., Inc.
Term Loan, 3.50%, Maturing April 16, 2020		179	$	180,020
Auction.com, LLC
Term Loan, 6.00%, Maturing May 12, 2019		198		197,747
CPG International, Inc.
Term Loan, 4.75%, Maturing September 30, 2020		396		394,726
DTZ U.S. Borrower, LLC
Term Loan, 4.25%, Maturing November 4, 2021		470		468,310
Gates Global, Inc.
Term Loan, 4.25%, Maturing July 6, 2021		1,019		1,000,333
Ply Gem Industries, Inc.
Term Loan, 4.00%, Maturing February 1, 2021		455		455,857
Quikrete Holdings, Inc.
Term Loan, 4.00%, Maturing September 28, 2020		190		191,150
RE/MAX International, Inc.
Term Loan, 4.00%, Maturing July 31, 2020		329		326,814
Summit Materials Companies I, LLC
Term Loan, 4.00%, Maturing July 17, 2022		124		124,159
WireCo WorldGroup, Inc.
Term Loan, 6.00%, Maturing February 15, 2017		89		89,099

			$	3,428,215

Business Equipment and Services — 4.0%
Acosta Holdco, Inc.
Term Loan, 4.25%, Maturing September 26, 2021		539	$	529,824
AlixPartners, LLP
Term Loan, 4.50%, Maturing July 28, 2022		368		368,816
Altisource Solutions S.a.r.l.
Term Loan, 4.50%, Maturing December 9, 2020		124		105,776
Brickman Group Ltd., LLC
Term Loan, 4.00%, Maturing December 18, 2020		146		146,014
CCC Information Services, Inc.
Term Loan, 4.00%, Maturing December 20, 2019		846		849,318
Ceridian, LLC
Term Loan, 4.50%, Maturing September 15, 2020		605		585,013
Corporate Capital Trust, Inc.
Term Loan, 4.00%, Maturing May 20, 2019		1,061		1,060,819
CPM Holdings, Inc.
Term Loan, 6.00%, Maturing April 11, 2022		249		249,385
Education Management, LLC
Term Loan, 5.50%, Maturing July 2, 2020		80		22,732
Term Loan, 8.50%, (2.00% Cash, 6.50% PIK), Maturing July 2, 2020		147		8,800
EIG Investors Corp.
Term Loan, 6.48%, Maturing November 9, 2019		449		424,747
Emdeon Business Services, LLC
Term Loan, 3.75%, Maturing November 2, 2018		264		264,907
Extreme Reach, Inc.
Term Loan, 7.25%, Maturing February 7, 2020		118		117,819
Garda World Security Corporation
Term Loan, 4.00%, Maturing November 6, 2020		60		58,654
Term Loan, 4.00%, Maturing November 6, 2020		332		326,519
Global Payments, Inc.
Term Loan, 4.00%, Maturing April 22, 2023		125		126,276
IG Investment Holdings, LLC
Term Loan, 6.00%, Maturing October 29, 2021		365		366,703
IMS Health Incorporated
Term Loan, 3.50%, Maturing March 17, 2021		980		981,940
Information Resources, Inc.
Term Loan, 4.75%, Maturing September 30, 2020		217		217,532


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
ION Trading Finance Limited
Term Loan, 4.50%, Maturing June 10, 2021	EUR	164	$	184,498
J.D. Power and Associates
Term Loan, Maturing May 24, 2023⁽²⁾		125		125,469
KAR Auction Services, Inc.
Term Loan, 3.94%, Maturing March 11, 2021		536		538,514
Kronos Incorporated
Term Loan, 4.50%, Maturing October 30, 2019		431		433,339
Term Loan - Second Lien, 9.75%, Maturing April 30, 2020		200		204,271
MCS AMS Sub-Holdings, LLC
Term Loan, 7.50%, Maturing October 15, 2019		81		73,158
Monitronics International, Inc.
Term Loan, 4.25%, Maturing March 23, 2018		99		98,187
Term Loan, 4.50%, Maturing April 11, 2022		123		117,986
PGX Holdings, Inc.
Term Loan, 5.75%, Maturing September 29, 2020		369		368,524
Prime Security Services Borrower, LLC
Term Loan, 4.75%, Maturing May 2, 2022		200		201,583
Quintiles Transnational Corp.
Term Loan, 3.25%, Maturing May 12, 2022		248		248,016
Sensus USA, Inc.
Term Loan, 6.50%, Maturing March 16, 2023		225		225,469
ServiceMaster Company
Term Loan, 4.25%, Maturing July 1, 2021		766		769,974
Travelport Finance (Luxembourg) S.a.r.l.
Term Loan, 5.00%, Maturing September 2, 2021		222		222,516
WASH Multifamily Laundry Systems, LLC
Term Loan, 4.25%, Maturing May 14, 2022		212		210,828

			$	10,833,926

Cable and Satellite Television — 1.6%
Altice US Finance I Corporation
Term Loan, 4.25%, Maturing December 14, 2022		728	$	730,965
Atlantic Broadband Finance, LLC
Term Loan, 3.25%, Maturing November 30, 2019		129		129,618
CSC Holdings, LLC
Term Loan, 3.50%, Maturing January 24, 2023		374		376,300
MCC Iowa, LLC
Term Loan, 3.25%, Maturing January 29, 2021		170		169,989
Term Loan, 3.75%, Maturing June 30, 2021		147		147,252
Neptune Finco Corp.
Term Loan, 5.00%, Maturing October 9, 2022		698		704,622
Numericable Group SA
Term Loan, 4.56%, Maturing July 31, 2022		74		74,469
Term Loan, 4.00%, Maturing July 31, 2023	EUR	124		139,813
Numericable U.S., LLC
Term Loan, 5.00%, Maturing January 15, 2024		150		149,999
Telenet International Finance S.a.r.l.
Term Loan, 4.25%, Maturing June 30, 2024		150		150,562
Virgin Media Investment Holdings Limited
Term Loan, 3.65%, Maturing June 30, 2023		639		636,775
Term Loan, 4.25%, Maturing June 30, 2023	GBP	300		398,152
Ziggo B.V.
Term Loan, 3.75%, Maturing January 15, 2022	EUR	65		73,240
Term Loan, 3.75%, Maturing January 15, 2022	EUR	101		113,689
Term Loan, 3.75%, Maturing January 15, 2022	EUR	183		205,778

			$	4,201,223


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Chemicals and Plastics — 2.9%
Aruba Investments, Inc.
Term Loan, 4.50%, Maturing February 2, 2022		58	$	57,796
Axalta Coating Systems US Holdings, Inc.
Term Loan, 3.75%, Maturing February 1, 2020		462		463,709
Emerald Performance Materials, LLC
Term Loan, 4.50%, Maturing August 1, 2021		338		337,353
Term Loan - Second Lien, 7.75%, Maturing August 1, 2022		100		98,625
Flint Group GmbH
Term Loan, 4.50%, Maturing September 7, 2021		24		24,208
Flint Group US, LLC
Term Loan, 4.50%, Maturing September 7, 2021		148		146,255
Gemini HDPE, LLC
Term Loan, 4.75%, Maturing August 7, 2021		368		368,082
Huntsman International, LLC
Term Loan, 3.58%, Maturing April 19, 2019		1,278		1,275,797
Term Loan, 3.75%, Maturing October 1, 2021		369		369,218
Term Loan, 4.25%, Maturing April 1, 2023		100		100,311
Ineos US Finance, LLC
Term Loan, 3.75%, Maturing May 4, 2018		1,321		1,321,082
Term Loan, 4.25%, Maturing March 31, 2022		123		123,485
Kraton Polymers, LLC
Term Loan, 6.00%, Maturing January 6, 2022		250		248,906
Kronos Worldwide, Inc.
Term Loan, 4.00%, Maturing February 18, 2020		49		45,393
MacDermid, Inc.
Term Loan, 5.50%, Maturing June 7, 2020		99		99,302
Term Loan, 5.50%, Maturing June 7, 2020		123		122,927
Term Loan, 5.50%, Maturing June 7, 2020		244		243,855
Minerals Technologies, Inc.
Term Loan, 3.75%, Maturing May 9, 2021		199		200,012
Orion Engineered Carbons GmbH
Term Loan, 4.75%, Maturing July 25, 2021		85		84,750
Term Loan, 4.75%, Maturing July 25, 2021	EUR	174		196,900
OXEA Finance, LLC
Term Loan, 4.25%, Maturing January 15, 2020		122		116,700
PolyOne Corporation
Term Loan, 3.50%, Maturing November 11, 2022		100		99,998
PQ Corporation
Term Loan, 5.75%, Maturing November 4, 2022		225		226,989
Solenis International L.P.
Term Loan, 4.50%, Maturing July 31, 2021	EUR	172		193,608
Tata Chemicals North America, Inc.
Term Loan, 3.75%, Maturing August 7, 2020		176		175,329
Trinseo Materials Operating S.C.A.
Term Loan, 4.25%, Maturing November 5, 2021		50		49,649
Tronox Pigments (Netherlands) B.V.
Term Loan, 4.50%, Maturing March 19, 2020		387		380,570
Univar, Inc.
Term Loan, 4.25%, Maturing July 1, 2022		596		595,574
Zep, Inc.
Term Loan, 5.50%, Maturing June 27, 2022		74		74,575

			$	7,840,958

Clothing/Textiles — 0.1%
Ascena Retail Group, Inc.
Term Loan, 5.25%, Maturing August 21, 2022		298	$	290,890

			$	290,890

Conglomerates — 0.3%
RGIS Services, LLC
Term Loan, 5.50%, Maturing October 18, 2017		717	$	616,223


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Spectrum Brands, Inc.
Term Loan, 3.51%, Maturing June 23, 2022		304	$	306,029

			$	922,252

Containers and Glass Products — 2.1%
Berry Plastics Holding Corporation
Term Loan, 3.50%, Maturing February 8, 2020		411	$	412,772
Term Loan, 3.50%, Maturing January 6, 2021		797		800,248
Term Loan, 3.75%, Maturing October 3, 2022		180		181,317
Hilex Poly Co., LLC
Term Loan, 6.00%, Maturing December 5, 2021		790		798,133
Horizon Holdings III SAS
Term Loan, 4.50%, Maturing August 1, 2022	EUR	300		338,597
Libbey Glass, Inc.
Term Loan, 3.75%, Maturing April 9, 2021		48		47,894
Pelican Products, Inc.
Term Loan, 5.25%, Maturing April 10, 2020		421		414,650
Reynolds Group Holdings, Inc.
Term Loan, 4.50%, Maturing December 1, 2018		1,492		1,496,445
Term Loan, Maturing February 1, 2023⁽²⁾		75		75,201
SIG Combibloc Purchase Co. S.a.r.l.
Term Loan, 4.25%, Maturing March 13, 2022	EUR	395		446,223
SIG Combibloc US Acquisition, Inc.
Term Loan, 4.25%, Maturing March 13, 2022		222		223,001
TricorBraun, Inc.
Term Loan, 4.00%, Maturing May 3, 2018		389		390,244

			$	5,624,725

Cosmetics/Toiletries — 0.5%
Coty, Inc.
Term Loan, 3.75%, Maturing October 27, 2022		150	$	150,186
Galleria Co.
Term Loan, 3.75%, Maturing January 26, 2023		325		326,828
KIK Custom Products, Inc.
Term Loan, 6.00%, Maturing August 26, 2022		273		272,141
Revlon Consumer Products Corporation
Term Loan, 4.00%, Maturing October 8, 2019		212		212,055
Sun Products Corporation (The)
Term Loan, 5.50%, Maturing March 23, 2020		411		412,558

			$	1,373,768

Drugs — 1.5%
Alkermes, Inc.
Term Loan, 3.50%, Maturing September 25, 2019		72	$	72,459
AMAG Pharmaceuticals, Inc.
Term Loan, 4.75%, Maturing August 13, 2021		193		192,741
Arbor Pharmaceuticals, Inc.
Term Loan, 6.00%, Maturing June 28, 2023		250		247,500
DPx Holdings B.V.
Term Loan, 4.25%, Maturing March 11, 2021		541		539,209
Endo Luxembourg Finance Company I S.a.r.l.
Term Loan, 3.75%, Maturing September 26, 2022		498		493,191
Horizon Pharma, Inc.
Term Loan, 4.50%, Maturing May 7, 2021		446		439,931
Mallinckrodt International Finance S.A.
Term Loan, 3.25%, Maturing March 19, 2021		269		267,502
Term Loan, 3.50%, Maturing March 19, 2021		221		220,565
Valeant Pharmaceuticals International, Inc.
Term Loan, 4.75%, Maturing December 11, 2019		331		327,716
Term Loan, 4.75%, Maturing August 5, 2020		695		687,245
Term Loan, 5.00%, Maturing April 1, 2022		667		662,897

			$	4,150,956


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Ecological Services and Equipment — 0.3%
ADS Waste Holdings, Inc.
Term Loan, 3.75%, Maturing October 9, 2019		375	$	374,263
EnergySolutions, LLC
Term Loan, 6.75%, Maturing May 29, 2020		559		557,037

			$	931,300

Electronics/Electrical — 5.7%
Answers Corporation
Term Loan, 6.25%, Maturing October 3, 2021⁽³⁾		222	$	111,566
Avago Technologies Cayman Ltd.
Term Loan, 4.25%, Maturing February 1, 2023		1,519		1,524,652
Campaign Monitor Finance Pty. Limited
Term Loan, 6.25%, Maturing March 18, 2021		121		117,400
CommScope, Inc.
Term Loan, 3.54%, Maturing January 14, 2018		100		99,887
Term Loan, 3.75%, Maturing December 29, 2022		174		174,637
Cypress Semiconductor Corporation
Term Loan, 6.50%, Maturing June 3, 2021		200		201,292
Dell International, LLC
Term Loan, 4.00%, Maturing April 29, 2020		1,083		1,083,720
Dell, Inc.
Term Loan, 3.75%, Maturing October 29, 2018		80		79,998
Deltek, Inc.
Term Loan, 5.00%, Maturing June 25, 2022		350		351,750
Entegris, Inc.
Term Loan, 3.50%, Maturing April 30, 2021		46		46,482
Excelitas Technologies Corp.
Term Loan, 6.00%, Maturing October 31, 2020		144		135,849
Go Daddy Operating Company, LLC
Term Loan, 4.25%, Maturing May 13, 2021		642		643,764
Infor (US), Inc.
Term Loan, 3.75%, Maturing June 3, 2020		892		883,555
Informatica Corporation
Term Loan, 4.50%, Maturing August 5, 2022		422		416,464
Lattice Semiconductor Corporation
Term Loan, 5.25%, Maturing March 10, 2021		98		96,373
M/A-COM Technology Solutions Holdings, Inc.
Term Loan, 4.50%, Maturing May 7, 2021		98		98,123
MA FinanceCo., LLC
Term Loan, 4.50%, Maturing November 20, 2019		197		197,613
Term Loan, 5.25%, Maturing November 19, 2021		693		696,252
Magic Newco, LLC
Term Loan, 5.00%, Maturing December 12, 2018		265		265,896
MH Sub I, LLC
Term Loan, 4.75%, Maturing July 8, 2021		221		220,774
Microsemi Corporation
Term Loan, 3.75%, Maturing January 15, 2023		76		76,741
MTS Systems Corporation
Term Loan, 5.00%, Maturing July 5, 2023		250		251,875
NXP B.V.
Term Loan, 3.25%, Maturing January 11, 2020		340		341,332
Term Loan, 3.75%, Maturing December 7, 2020		173		174,671
ON Semiconductor Corporation
Term Loan, 5.25%, Maturing March 31, 2023		200		202,500
Renaissance Learning, Inc.
Term Loan, 4.50%, Maturing April 9, 2021		122		121,526
Rocket Software, Inc.
Term Loan, 5.75%, Maturing February 8, 2018		284		284,323
RP Crown Parent, LLC
Term Loan, 6.00%, Maturing December 21, 2018		880		855,500


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
SGS Cayman L.P.
Term Loan, 6.00%, Maturing April 23, 2021		37	$	37,058
SkillSoft Corporation
Term Loan, 5.75%, Maturing April 28, 2021		392		322,910
Smart Technologies ULC
Term Loan, 10.50%, Maturing January 31, 2018		98		96,816
Southwire Company
Term Loan, 3.00%, Maturing February 10, 2021		393		389,277
SS&C Technologies, Inc.
Term Loan, 4.00%, Maturing July 8, 2022		44		44,076
Term Loan, 4.00%, Maturing July 8, 2022		338		340,194
SunEdison Semiconductor B.V.
Term Loan, 6.50%, Maturing May 27, 2019		119		114,493
SurveyMonkey, Inc.
Term Loan, 6.25%, Maturing February 5, 2019		95		93,712
Sutherland Global Services, Inc.
Term Loan, 6.00%, Maturing April 23, 2021		159		159,197
Sybil Software, LLC
Term Loan, 4.25%, Maturing March 20, 2020		773		771,707
Uber Technologies
Term Loan, 5.00%, Maturing July 13, 2023		325		324,729
Vantiv, LLC
Term Loan, 3.50%, Maturing June 13, 2021		125		125,430
VeriFone, Inc.
Term Loan, 3.50%, Maturing July 8, 2021		490		488,367
Veritas US, Inc.
Term Loan, 6.63%, Maturing January 27, 2023		424		398,122
Vertafore, Inc.
Term Loan, 4.75%, Maturing June 30, 2023		425		426,480
Wall Street Systems Delaware, Inc.
Term Loan, 4.25%, Maturing April 30, 2021		492		491,883
Western Digital Corporation
Term Loan, 6.25%, Maturing April 29, 2023		525		531,169
Zebra Technologies Corporation
Term Loan, 4.00%, Maturing October 27, 2021		365		367,538

			$	15,277,673

Equipment Leasing — 0.3%
Delos Finance S.a.r.l.
Term Loan, 3.50%, Maturing March 6, 2021		425	$	427,338
Flying Fortress, Inc.
Term Loan, 3.50%, Maturing April 30, 2020		500		502,916

			$	930,254

Financial Intermediaries — 1.8%
Armor Holding II, LLC
Term Loan, 5.75%, Maturing June 26, 2020		415	$	407,845
Citco Funding, LLC
Term Loan, 4.25%, Maturing June 29, 2018		667		666,644
Clipper Acquisitions Corp.
Term Loan, 3.00%, Maturing February 6, 2020		97		96,100
First Data Corporation
Term Loan, 4.24%, Maturing July 8, 2022		525		527,461
Grosvenor Capital Management Holdings, LLP
Term Loan, 3.75%, Maturing January 4, 2021		600		596,622
Guggenheim Partners, LLC
Term Loan, 4.25%, Maturing July 22, 2020		244		244,622
Harbourvest Partners, LLC
Term Loan, 3.25%, Maturing February 4, 2021		115		113,847
LPL Holdings, Inc.
Term Loan, 4.25%, Maturing March 29, 2021		565		566,768


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Medley, LLC
Term Loan, 6.50%, Maturing June 15, 2019		86	$	88,307
NXT Capital, Inc.
Term Loan, 6.25%, Maturing September 4, 2018		123		123,568
Ocwen Financial Corporation
Term Loan, 5.50%, Maturing February 15, 2018		196		193,276
Sesac Holdco II, LLC
Term Loan, 5.25%, Maturing February 8, 2019		282		282,370
Starwood Property Trust, Inc.
Term Loan, 3.50%, Maturing April 17, 2020		122		121,672
Walker & Dunlop, Inc.
Term Loan, 5.25%, Maturing December 11, 2020		120		120,213
Walter Investment Management Corp.
Term Loan, 4.75%, Maturing December 19, 2020		699		575,456

			$	4,724,771

Food Products — 1.7%
AdvancePierre Foods, Inc.
Term Loan, 4.75%, Maturing June 2, 2023		442	$	444,422
Blue Buffalo Company Ltd.
Term Loan, 3.75%, Maturing August 8, 2019		241		241,852
Charger OpCo B.V.
Term Loan, 4.25%, Maturing July 2, 2022	EUR	56		63,566
Clearwater Seafoods Limited Partnership
Term Loan, 4.75%, Maturing June 26, 2019		157		157,421
Del Monte Foods, Inc.
Term Loan, 4.25%, Maturing February 18, 2021		122		113,140
Dole Food Company, Inc.
Term Loan, 4.50%, Maturing November 1, 2018		92		92,075
High Liner Foods Incorporated
Term Loan, 4.25%, Maturing April 24, 2021		134		133,377
JBS USA, LLC
Term Loan, 3.75%, Maturing May 25, 2018		866		868,000
Term Loan, 3.75%, Maturing September 18, 2020		292		292,662
Term Loan, 4.00%, Maturing October 30, 2022		124		124,492
Maple Holdings Acquisition Corp.
Term Loan, 5.25%, Maturing March 3, 2023		189		191,028
NBTY, Inc.
Term Loan, 5.00%, Maturing May 5, 2023		700		696,391
Oak Tea, Inc.
Term Loan, 4.25%, Maturing July 2, 2022		308		309,054
Pinnacle Foods Finance, LLC
Term Loan, 3.25%, Maturing April 29, 2020		122		121,879
Term Loan, 3.25%, Maturing April 29, 2020		605		606,982

			$	4,456,341

Food Service — 0.9%
1011778 B.C. Unlimited Liability Company
Term Loan, 3.75%, Maturing December 10, 2021		915	$	919,622
Landry’s, Inc.
Term Loan, 4.00%, Maturing April 24, 2018		388		388,979
Manitowoc Foodservice, Inc.
Term Loan, 5.75%, Maturing March 3, 2023		166		168,412
Weight Watchers International, Inc.
Term Loan, 4.00%, Maturing April 2, 2020		1,010		764,210
Yum! Brands, Inc.
Term Loan, 3.23%, Maturing June 16, 2023		175		175,930

			$	2,417,153


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Food/Drug Retailers — 1.0%
Albertsons, LLC
Term Loan, 4.50%, Maturing August 25, 2021		249	$	250,385
Term Loan, 4.75%, Maturing June 22, 2023		651		655,048
General Nutrition Centers, Inc.
Term Loan, 3.25%, Maturing March 4, 2019		743		727,032
Rite Aid Corporation
Term Loan - Second Lien, 5.75%, Maturing August 21, 2020		100		100,521
Supervalu, Inc.
Term Loan, 5.50%, Maturing March 21, 2019		913		913,567

			$	2,646,553

Health Care — 6.2%
ADMI Corp.
Term Loan, 5.25%, Maturing April 30, 2022		249	$	250,364
Akorn, Inc.
Term Loan, 5.25%, Maturing April 16, 2021		159		160,218
Albany Molecular Research, Inc.
Term Loan, 5.75%, Maturing July 16, 2021		622		622,777
Alere, Inc.
Term Loan, 4.50%, Maturing June 18, 2022		300		296,688
Alliance Healthcare Services, Inc.
Term Loan, 4.25%, Maturing June 3, 2019		216		206,071
Amneal Pharmaceuticals, LLC
Term Loan, 4.50%, Maturing November 1, 2019		638		635,464
AmSurg Corp.
Term Loan, 3.50%, Maturing July 16, 2021		98		98,214
Auris Luxembourg III S.a.r.l.
Term Loan, 4.25%, Maturing January 15, 2022		745		745,579
CareCore National, LLC
Term Loan, 5.50%, Maturing March 5, 2021		586		571,827
CHG Healthcare Services, Inc.
Term Loan, 4.75%, Maturing June 7, 2023		374		376,284
Community Health Systems, Inc.
Term Loan, 3.92%, Maturing December 31, 2018		325		322,609
Term Loan, 3.75%, Maturing December 31, 2019		498		490,737
Term Loan, 4.00%, Maturing January 27, 2021		916		906,014
Convatec, Inc.
Term Loan, 4.25%, Maturing June 15, 2020		88		88,267
CPI Buyer, LLC
Term Loan, 5.50%, Maturing August 18, 2021		194		189,893
DaVita HealthCare Partners, Inc.
Term Loan, 3.50%, Maturing June 24, 2021		539		542,032
DJO Finance, LLC
Term Loan, 4.25%, Maturing June 8, 2020		396		388,080
Envision Healthcare Corporation
Term Loan, 4.25%, Maturing May 25, 2018		393		393,395
Global Healthcare Exchange, LLC
Term Loan, 5.25%, Maturing August 15, 2022		199		198,999
Greatbatch Ltd.
Term Loan, 5.25%, Maturing October 27, 2022		174		174,152
Grifols Worldwide Operations USA, Inc.
Term Loan, 3.44%, Maturing February 27, 2021		806		810,595
Iasis Healthcare, LLC
Term Loan, 4.50%, Maturing May 3, 2018		308		308,201
Indivior Finance S.a.r.l.
Term Loan, 7.00%, Maturing December 19, 2019		185		185,694
inVentiv Health, Inc.
Term Loan, 7.75%, Maturing May 15, 2018		533		534,755
Jaguar Holding Company II
Term Loan, 4.25%, Maturing August 18, 2022		867		867,678


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Kindred Healthcare, Inc.
Term Loan, 4.25%, Maturing April 9, 2021		739	$	736,242
Kinetic Concepts, Inc.
Term Loan, 5.00%, Maturing November 4, 2020		910		912,420
KUEHG Corp.
Term Loan, 6.00%, Maturing August 13, 2022		199		197,756
MMM Holdings, Inc.
Term Loan, 9.75%, Maturing December 12, 2017		104		86,137
MPH Acquisition Holdings, LLC
Term Loan, 5.00%, Maturing June 7, 2023		450		454,641
MSO of Puerto Rico, Inc.
Term Loan, 9.75%, Maturing December 12, 2017		75		62,621
New Millennium Holdco, Inc.
Term Loan, 7.50%, Maturing December 21, 2020		294		208,950
Onex Carestream Finance L.P.
Term Loan, 5.00%, Maturing June 7, 2019		421		411,823
Opal Acquisition, Inc.
Term Loan, 5.00%, Maturing November 27, 2020		291		264,082
Ortho-Clinical Diagnostics, Inc.
Term Loan, 4.75%, Maturing June 30, 2021		539		523,504
PRA Holdings, Inc.
Term Loan, 4.50%, Maturing September 23, 2020		486		489,379
RadNet, Inc.
Term Loan, 4.77%, Maturing July 1, 2023		275		275,516
Select Medical Corporation
Term Loan, 6.00%, Maturing June 1, 2018		806		808,729
Sterigenics-Nordion Holdings, LLC
Term Loan, 4.25%, Maturing May 15, 2022		124		123,904
Steward Health Care System, LLC
Term Loan, 6.75%, Maturing April 12, 2020		392		388,000
Tecomet, Inc.
Term Loan, 5.75%, Maturing December 5, 2021		222		216,084

			$	16,524,375

Home Furnishings — 0.5%
Serta Simmons Holdings, LLC
Term Loan, 4.25%, Maturing October 1, 2019		1,255	$	1,260,774

			$	1,260,774

Industrial Equipment — 1.8%
Apex Tool Group, LLC
Term Loan, 4.50%, Maturing January 31, 2020		536	$	529,501
Blount International, Inc.
Term Loan, 7.25%, Maturing April 12, 2023		400		405,500
Delachaux S.A.
Term Loan, 4.50%, Maturing October 28, 2021		74		71,147
Doosan Infracore International, Inc.
Term Loan, 4.50%, Maturing May 28, 2021		162		162,559
Gardner Denver, Inc.
Term Loan, 4.25%, Maturing July 30, 2020		340		324,526
Generac Power Systems, Inc.
Term Loan, 3.50%, Maturing May 31, 2020		258		257,043
Husky Injection Molding Systems Ltd.
Term Loan, 4.25%, Maturing June 30, 2021		464		463,403
Term Loan - Second Lien, 7.25%, Maturing June 30, 2022		80		78,534
Milacron, LLC
Term Loan, 4.25%, Maturing September 28, 2020		215		216,198
Paladin Brands Holding, Inc.
Term Loan, 7.25%, Maturing August 16, 2019		382		335,807
Paternoster Holding IV GmbH
Term Loan, 6.63%, Maturing February 10, 2022	EUR	175		192,087


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Rexnord, LLC
Term Loan, 4.00%, Maturing August 21, 2020		785	$	784,670
Signode Industrial Group US, Inc.
Term Loan, 3.75%, Maturing May 1, 2021		150		149,813
STS Operating, Inc.
Term Loan, 4.75%, Maturing February 12, 2021		334		302,556
Tank Holding Corp.
Term Loan, 5.25%, Maturing March 16, 2022		147		141,113
Terex Corporation
Term Loan, 3.50%, Maturing August 13, 2021	EUR	295		329,201

			$	4,743,658

Insurance — 1.7%
Alliant Holdings I, Inc.
Term Loan, 4.50%, Maturing August 12, 2022		347	$	344,984
AmWINS Group, LLC
Term Loan, 4.75%, Maturing September 6, 2019		894		899,569
AssuredPartners, Inc.
Term Loan, 5.75%, Maturing October 21, 2022		149		149,873
Term Loan - Second Lien, 10.00%, Maturing October 20, 2023		125		123,789
Asurion, LLC
Term Loan, 5.00%, Maturing May 24, 2019		577		578,019
Term Loan, 5.00%, Maturing August 4, 2022		979		981,809
Term Loan - Second Lien, 8.50%, Maturing March 3, 2021		375		372,187
Cunningham Lindsey U.S., Inc.
Term Loan, 5.00%, Maturing December 10, 2019		166		134,107
Hub International Limited
Term Loan, 4.00%, Maturing October 2, 2020		511		509,558
USI, Inc.
Term Loan, 4.25%, Maturing December 27, 2019		459		458,508

			$	4,552,403

Leisure Goods/Activities/Movies — 2.4%
AMC Entertainment, Inc.
Term Loan, 4.00%, Maturing December 15, 2022		397	$	400,102
Ancestry.com, Inc.
Term Loan, 5.00%, Maturing August 17, 2022		273		273,989
Bombardier Recreational Products, Inc.
Term Loan, 3.75%, Maturing June 30, 2023		825		823,625
CDS U.S. Intermediate Holdings, Inc.
Term Loan, 5.00%, Maturing July 8, 2022		373		368,039
ClubCorp Club Operations, Inc.
Term Loan, 4.25%, Maturing December 15, 2022		350		351,860
Emerald Expositions Holding, Inc.
Term Loan, 4.75%, Maturing June 17, 2020		164		164,400
Kasima, LLC
Term Loan, 3.25%, Maturing May 17, 2021		95		95,369
Lindblad Expeditions, Inc.
Term Loan, 5.50%, Maturing May 8, 2021		45		45,370
Term Loan, 5.50%, Maturing May 8, 2021		351		351,620
Live Nation Entertainment, Inc.
Term Loan, 3.50%, Maturing August 16, 2020		494		497,144
LTF Merger Sub, Inc.
Term Loan, 4.25%, Maturing June 10, 2022		248		247,531
Match Group, Inc.
Term Loan, 5.50%, Maturing November 16, 2022		98		98,597
Nord Anglia Education Finance, LLC
Term Loan, 5.00%, Maturing March 31, 2021		640		636,776
Sabre, Inc.
Term Loan, 4.00%, Maturing February 19, 2019		180		180,808
SeaWorld Parks & Entertainment, Inc.
Term Loan, 3.00%, Maturing May 14, 2020		531		520,056


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
SRAM, LLC
Term Loan, 4.02%, Maturing April 10, 2020		313	$	281,659
Steinway Musical Instruments, Inc.
Term Loan, 4.75%, Maturing September 19, 2019		373		367,895
WMG Acquisition Corp.
Term Loan, 3.75%, Maturing July 1, 2020		131		130,498
Zuffa, LLC
Term Loan, 3.75%, Maturing February 25, 2020		555		554,953

			$	6,390,291

Lodging and Casinos — 2.2%
Amaya Holdings B.V.
Term Loan, 5.00%, Maturing August 1, 2021		640	$	633,720
Term Loan - Second Lien, 8.00%, Maturing August 1, 2022		539		536,510
Boyd Gaming Corporation
Term Loan, 4.00%, Maturing August 14, 2020		81		81,112
Caesars Entertainment Operating Company
Term Loan, 0.00%, Maturing March 1, 2017⁽⁴⁾		366		379,722
CityCenter Holdings, LLC
Term Loan, 4.25%, Maturing October 16, 2020		511		514,694
Four Seasons Holdings, Inc.
Term Loan, 5.25%, Maturing June 27, 2020		96		96,545
Term Loan - Second Lien, 7.75%, Maturing December 27, 2020		500		502,083
Golden Nugget, Inc.
Term Loan, 5.50%, Maturing November 21, 2019		104		104,796
Term Loan, 5.50%, Maturing November 21, 2019		243		244,525
Hilton Worldwide Finance, LLC
Term Loan, 3.50%, Maturing October 26, 2020		872		875,121
La Quinta Intermediate Holdings, LLC
Term Loan, 3.75%, Maturing April 14, 2021		563		559,370
MGM Growth Properties Operating Partnership L.P.
Term Loan, 4.00%, Maturing April 25, 2023		374		377,219
Playa Resorts Holding B.V.
Term Loan, 4.00%, Maturing August 9, 2019		97		96,855
RHP Hotel Properties L.P.
Term Loan, 3.50%, Maturing January 15, 2021		123		123,151
Scientific Games International, Inc.
Term Loan, 6.00%, Maturing October 18, 2020		634		634,278
Term Loan, 6.00%, Maturing October 1, 2021		172		172,281

			$	5,931,982

Nonferrous Metals/Minerals — 0.8%
Arch Coal, Inc.
DIP Loan, 5.00%, Maturing January 31, 2017⁽⁵⁾		125	$	124,687
Term Loan, 7.50%, Maturing May 16, 2018		555		251,899
Dynacast International, LLC
Term Loan, 4.50%, Maturing January 28, 2022		148		148,838
Fairmount Santrol, Inc.
Term Loan, 4.50%, Maturing September 5, 2019		365		322,293
Global Brass & Copper, Inc.
Term Loan, 5.25%, Maturing July 18, 2023		150		150,937
Murray Energy Corporation
Term Loan, 7.00%, Maturing April 16, 2017		49		43,401
Term Loan, 7.50%, Maturing April 16, 2020		346		259,749
Noranda Aluminum Acquisition Corporation
Term Loan, 5.75%, Maturing February 28, 2019		168		89,061


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Novelis, Inc.
Term Loan, 4.00%, Maturing June 2, 2022		495	$	495,000
Oxbow Carbon, LLC
Term Loan, 4.25%, Maturing July 19, 2019		19		19,247
Term Loan - Second Lien, 8.00%, Maturing January 17, 2020		150		144,750

			$	2,049,862

Oil and Gas — 1.4%
Ameriforge Group, Inc.
Term Loan, 5.00%, Maturing December 19, 2019		318	$	189,912
Bronco Midstream Funding, LLC
Term Loan, 5.00%, Maturing August 15, 2020		265		244,695
CITGO Holding, Inc.
Term Loan, 9.50%, Maturing May 12, 2018		152		154,152
CITGO Petroleum Corporation
Term Loan, 4.50%, Maturing July 29, 2021		197		195,190
Crestwood Holdings, LLC
Term Loan, 9.00%, Maturing June 19, 2019		164		146,839
Drillships Ocean Ventures, Inc.
Term Loan, 5.50%, Maturing July 25, 2021		196		116,783
Energy Transfer Equity L.P.
Term Loan, 4.00%, Maturing December 2, 2019		570		558,668
Fieldwood Energy, LLC
Term Loan, 3.88%, Maturing October 1, 2018		196		168,726
MEG Energy Corp.
Term Loan, 3.75%, Maturing March 31, 2020		1,020		937,633
Paragon Offshore Finance Company
Term Loan, 5.25%, Maturing July 18, 2021		148		39,376
Samson Investment Company
Term Loan - Second Lien, 0.00%, Maturing September 25, 2018⁽⁴⁾		175		28,875
Seadrill Partners Finco, LLC
Term Loan, 4.00%, Maturing February 21, 2021		556		251,752
Sheridan Investment Partners II L.P.
Term Loan, 4.25%, Maturing December 16, 2020		28		16,351
Term Loan, 4.25%, Maturing December 16, 2020		74		43,842
Term Loan, 4.25%, Maturing December 16, 2020		534		315,165
Sheridan Production Partners I, LLC
Term Loan, 4.25%, Maturing October 1, 2019		30		18,449
Term Loan, 4.25%, Maturing October 1, 2019		50		30,204
Term Loan, 4.25%, Maturing October 1, 2019		377		227,945
Tervita Corporation
Term Loan, 6.25%, Maturing May 15, 2018		106		101,351

			$	3,785,908

Publishing — 0.8%
Ascend Learning, LLC
Term Loan, 5.50%, Maturing July 31, 2019		219	$	220,038
Getty Images, Inc.
Term Loan, 4.75%, Maturing October 18, 2019		917		721,941
Laureate Education, Inc.
Term Loan, 5.00%, Maturing June 15, 2018		512		500,902
Merrill Communications, LLC
Term Loan, 6.25%, Maturing June 1, 2022		124		112,529
ProQuest, LLC
Term Loan, 5.75%, Maturing October 24, 2021		323		319,388
Springer Science+Business Media Deutschland GmbH
Term Loan, 4.50%, Maturing August 14, 2020		244		236,809

			$	2,111,607


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Radio and Television — 1.1%
AP NMT Acquisition B.V.
Term Loan, 6.75%, Maturing August 13, 2021		98	$	82,346
Block Communications, Inc.
Term Loan, 4.00%, Maturing November 7, 2021		199		199,615
Cumulus Media Holdings, Inc.
Term Loan, 4.25%, Maturing December 23, 2020		729		517,793
Hubbard Radio, LLC
Term Loan, 4.25%, Maturing May 27, 2022		110		107,455
iHeartCommunications, Inc.
Term Loan, 8.00%, Maturing July 30, 2019		450		348,750
MGOC, Inc.
Term Loan, 4.00%, Maturing July 31, 2020		255		255,325
Mission Broadcasting, Inc.
Term Loan, 3.75%, Maturing October 1, 2020		125		125,493
Nexstar Broadcasting, Inc.
Term Loan, 3.75%, Maturing October 1, 2020		142		142,311
Univision Communications, Inc.
Term Loan, 4.00%, Maturing March 1, 2020		1,126		1,126,669

			$	2,905,757

Retailers (Except Food and Drug) — 2.4%
Bass Pro Group, LLC
Term Loan, 4.00%, Maturing June 5, 2020		438	$	437,027
CDW, LLC
Term Loan, 3.25%, Maturing April 29, 2020		363		363,922
Coinamatic Canada, Inc.
Term Loan, 4.25%, Maturing May 14, 2022		37		36,922
David’s Bridal, Inc.
Term Loan, 5.25%, Maturing October 11, 2019		368		341,117
Dollar Tree, Inc.
Term Loan, 3.50%, Maturing July 6, 2022		384		386,607
Evergreen Acqco 1 L.P.
Term Loan, 5.00%, Maturing July 9, 2019		369		323,552
Harbor Freight Tools USA, Inc.
Term Loan, 4.75%, Maturing July 26, 2019		173		174,171
J. Crew Group, Inc.
Term Loan, 4.00%, Maturing March 5, 2021		538		384,265
Jo-Ann Stores, Inc.
Term Loan, 4.00%, Maturing March 16, 2018		314		312,289
Men’s Wearhouse, Inc. (The)
Term Loan, 4.50%, Maturing June 18, 2021		148		145,578
Michaels Stores, Inc.
Term Loan, 3.75%, Maturing January 28, 2020		965		969,090
Neiman Marcus Group, Inc. (The)
Term Loan, 4.25%, Maturing October 25, 2020		555		523,517
Party City Holdings, Inc.
Term Loan, 4.25%, Maturing August 19, 2022		496		496,843
PetSmart, Inc.
Term Loan, 4.25%, Maturing March 11, 2022		913		916,137
Pier 1 Imports (U.S.), Inc.
Term Loan, 4.50%, Maturing April 30, 2021		98		89,670
Spin Holdco, Inc.
Term Loan, 4.25%, Maturing November 14, 2019		622		616,420

			$	6,517,127


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Steel — 0.5%
FMG Resources (August 2006) Pty. Ltd.
Term Loan, 4.25%, Maturing June 30, 2019		1,057	$	1,037,633
Neenah Foundry Company
Term Loan, 6.75%, Maturing April 26, 2017		77		76,521
Zekelman Industries, Inc.
Term Loan, 6.00%, Maturing June 14, 2021		128		129,189

			$	1,243,343

Surface Transport — 0.2%
Hertz Corporation (The)
Term Loan, 3.50%, Maturing June 30, 2023		200	$	200,958
Kenan Advantage Group, Inc.
Term Loan, 1.50%, Maturing January 31, 2017⁽⁵⁾		9		9,124
Term Loan, 4.00%, Maturing July 31, 2022		22		22,140
Term Loan, 4.00%, Maturing July 31, 2022		68		68,015
Stena International S.a.r.l.
Term Loan, 4.00%, Maturing March 3, 2021		269		229,331

			$	529,568

Telecommunications — 1.0%
Intelsat Jackson Holdings S.A.
Term Loan, 3.75%, Maturing June 30, 2019		650	$	617,703
IPC Corp.
Term Loan, 5.50%, Maturing August 6, 2021		346		330,072
Mitel US Holdings, Inc.
Term Loan, 5.50%, Maturing April 29, 2022		134		135,026
SBA Senior Finance II, LLC
Term Loan, 3.25%, Maturing March 24, 2021		343		343,306
Syniverse Holdings, Inc.
Term Loan, 4.00%, Maturing April 23, 2019		237		191,558
Term Loan, 4.00%, Maturing April 23, 2019		328		265,500
Telesat Canada
Term Loan, 3.50%, Maturing March 28, 2019		648		648,064
Windstream Corporation
Term Loan, 3.50%, Maturing August 8, 2019		120		120,151

			$	2,651,380

Utilities — 1.8%
Calpine Construction Finance Company L.P.
Term Loan, 3.00%, Maturing May 3, 2020		194	$	191,636
Term Loan, 3.25%, Maturing January 31, 2022		73		71,937
Calpine Corporation
Term Loan, 3.50%, Maturing May 27, 2022		892		890,889
Dynegy Holdings, Inc.
Term Loan, 4.00%, Maturing April 23, 2020		1,161		1,160,024
Electrical Components International, Inc.
Term Loan, 5.75%, Maturing May 28, 2021		619		619,274
Energy Future Intermediate Holding Co., LLC
DIP Loan, 4.25%, Maturing December 19, 2016		300		300,844
EWT Holdings III Corp.
Term Loan, 4.75%, Maturing January 15, 2021		563		566,594
Term Loan, 5.50%, Maturing January 15, 2021		100		99,875
Granite Acquisition, Inc.
Term Loan, 5.00%, Maturing December 19, 2021		21		20,678
Term Loan, 5.00%, Maturing December 19, 2021		472		462,898
Invenergy Thermal Operating I, LLC
Term Loan, 6.50%, Maturing October 19, 2022		224		216,459


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Lonestar Generation, LLC
Term Loan, 5.25%, Maturing February 22, 2021		98	$	77,121
TPF II Power, LLC
Term Loan, 5.50%, Maturing October 2, 2021		258		259,674

			$	4,937,903


Total Senior Floating-Rate Loans (identified cost $148,239,233)			$	144,820,774


Collateralized Mortgage Obligations — 29.0%

Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
Series 2113, Class QG, 6.00%, 1/15/29	$	933	$	1,066,081
Series 2167, Class BZ, 7.00%, 6/15/29		692		805,456
Series 2182, Class ZB, 8.00%, 9/15/29		1,270		1,516,593
Series 2631, (Interest Only), Class DS, 6.619%, 6/15/33⁽⁶⁾⁽⁷⁾		1,753		266,494
Series 2770, (Interest Only), Class SH, 6.619%, 3/15/34⁽⁶⁾⁽⁷⁾		2,257		541,359
Series 2981, (Interest Only), Class CS, 6.239%, 5/15/35⁽⁶⁾⁽⁷⁾		1,252		252,682
Series 3114, (Interest Only), Class TS, 6.169%, 9/15/30⁽⁶⁾⁽⁷⁾		3,235		555,835
Series 3309, (Principal Only), Class DO, 0.00%, 4/15/37⁽⁸⁾		2,164		1,941,952
Series 3339, (Interest Only), Class JI, 6.109%, 7/15/37⁽⁶⁾⁽⁷⁾		2,534		556,471
Series 4109, (Interest Only), Class ES, 5.669%, 12/15/41⁽⁶⁾⁽⁷⁾		37		5,282
Series 4163, (Interest Only), Class GS, 5.719%, 11/15/32⁽⁶⁾⁽⁷⁾		5,437		1,181,221
Series 4169, (Interest Only), Class AS, 5.769%, 2/15/33⁽⁶⁾⁽⁷⁾		3,388		701,833
Series 4180, (Interest Only), Class GI, 3.50%, 8/15/26⁽⁷⁾		3,188		281,302
Series 4203, (Interest Only), Class QS, 5.769%, 5/15/43⁽⁶⁾⁽⁷⁾		3,436		621,367
Series 4212, (Interest Only), Class SA, 5.719%, 7/15/38⁽⁶⁾⁽⁷⁾		6,560		814,660
Series 4273, Class PU, 4.00%, 11/15/43		841		864,101
Series 4316, (Interest Only), Class JS, 5.619%, 1/15/44⁽⁶⁾⁽⁷⁾		2,575		320,998
Series 4326, Class TS, 12.267%, 4/15/44⁽⁶⁾		460		466,908
Series 4332, (Interest Only), Class KI, 4.00%, 9/15/43⁽⁷⁾		2,048		148,406
Series 4336, Class GU, 3.50%, 2/15/53		1,453		1,469,232
Series 4337, Class YT, 3.50%, 4/15/49		2,822		2,875,719
Series 4370, (Interest Only), Class IO, 3.50%, 9/15/41⁽⁷⁾		2,503		184,814
Series 4416, Class SU, 7.667%, 12/15/44⁽⁶⁾		3,870		4,020,822
Series 4452, Class ZJ, 3.00%, 11/15/44		1,439		1,418,532
Series 4478, (Principal Only), Class PO, 0.00%, 5/15/45⁽⁸⁾		1,792		1,668,672
Series 4497, (Interest Only), Class CS, 5.719%, 9/15/44⁽⁶⁾⁽⁷⁾		4,716		700,865
Series 4507, (Interest Only), Class EI, 4.00%, 8/15/44⁽⁷⁾		4,568		796,024
Series 4535, (Interest Only), Class JS, 5.619%, 11/15/43⁽⁶⁾⁽⁷⁾		6,824		724,566
Series 4548, (Interest Only), Class JS, 5.619%, 9/15/43⁽⁶⁾⁽⁷⁾		5,863		677,965
Series 4550, Class ZT, 2.00%, 1/15/45		740		739,946
Series 4584, Class PM, 3.00%, 5/15/46		2,221		2,299,646

			$	30,485,804

Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes:
Series 2015-DNA2, Class M3, 4.388%, 12/25/27⁽⁹⁾	$	2,000	$	2,123,012
Series 2016-DNA1, Class M3, 6.038%, 7/25/28⁽⁹⁾		2,000		2,172,204

			$	4,295,216

Federal National Mortgage Association:
Series G-33, Class PT, 7.00%, 10/25/21	$	124	$	131,590
Series 1989-89, Class H, 9.00%, 11/25/19		19		20,814
Series 1991-122, Class N, 7.50%, 9/25/21		139		151,641
Series 1994-42, Class K, 6.50%, 4/25/24		343		379,882
Series 1997-28, Class ZA, 7.50%, 4/20/27		430		513,349
Series 1997-38, Class N, 8.00%, 5/20/27		384		448,080


Security	Principal Amount (000’s omitted)		Value
Series 2004-46, (Interest Only), Class SI, 5.512%, 5/25/34⁽⁶⁾⁽⁷⁾	$	2,263	$	351,434
Series 2005-17, (Interest Only), Class SA, 6.212%, 3/25/35⁽⁶⁾⁽⁷⁾		1,714		405,284
Series 2006-8, (Principal Only), Class WQ, 0.00%, 3/25/36⁽⁸⁾		1,468		1,322,355
Series 2006-42, (Interest Only), Class PI, 6.102%, 6/25/36⁽⁶⁾⁽⁷⁾		2,918		603,130
Series 2006-44, (Interest Only), Class IS, 6.112%, 6/25/36⁽⁶⁾⁽⁷⁾		2,352		479,806
Series 2006-72, (Interest Only), Class GI, 6.092%, 8/25/36⁽⁶⁾⁽⁷⁾		4,253		869,862
Series 2007-50, (Interest Only), Class LS, 5.962%, 6/25/37⁽⁶⁾⁽⁷⁾		1,745		335,438
Series 2007-74, Class AC, 5.00%, 8/25/37		2,230		2,455,081
Series 2008-26, (Interest Only), Class SA, 5.712%, 4/25/38⁽⁶⁾⁽⁷⁾		2,940		571,093
Series 2008-29, (Interest Only), Class CI, 5.00%, 9/25/35⁽⁷⁾		1,017		26,685
Series 2008-61, (Interest Only), Class S, 5.612%, 7/25/38⁽⁶⁾⁽⁷⁾		3,973		801,705
Series 2010-99, (Interest Only), Class NS, 6.112%, 3/25/39⁽⁶⁾⁽⁷⁾		2,833		178,302
Series 2010-109, (Interest Only), Class PS, 6.112%, 10/25/40⁽⁶⁾⁽⁷⁾		4,633		866,688
Series 2010-119, (Interest Only), Class SK, 5.512%, 4/25/40⁽⁶⁾⁽⁷⁾		771		20,984
Series 2010-124, (Interest Only), Class SJ, 5.562%, 11/25/38⁽⁶⁾⁽⁷⁾		2,756		248,150
Series 2010-147, (Interest Only), Class KS, 5.462%, 1/25/41⁽⁶⁾⁽⁷⁾		5,869		1,040,116
Series 2010-150, (Interest Only), Class GS, 6.262%, 1/25/21⁽⁶⁾⁽⁷⁾		3,191		298,482
Series 2010-151, (Interest Only), Class PI, 4.00%, 5/25/28⁽⁷⁾		3,096		34,878
Series 2011-22, (Interest Only), Class IC, 3.50%, 12/25/25⁽⁷⁾		5,016		403,644
Series 2011-49, Class NT, 6.00%, 6/25/41⁽⁶⁾		764		851,146
Series 2012-52, (Interest Only), Class AI, 3.50%, 8/25/26⁽⁷⁾		5,903		399,411
Series 2012-56, (Interest Only), Class SU, 6.262%, 8/25/26⁽⁶⁾⁽⁷⁾		1,815		128,890
Series 2012-63, (Interest Only), Class EI, 3.50%, 8/25/40⁽⁷⁾		5,429		267,310
Series 2012-103, (Interest Only), Class GS, 5.612%, 2/25/40⁽⁶⁾⁽⁷⁾		6,366		676,488
Series 2012-134, Class ZT, 2.00%, 12/25/42		2,015		1,899,326
Series 2012-150, (Interest Only), Class PS, 5.662%, 1/25/43⁽⁶⁾⁽⁷⁾		6,787		1,355,562
Series 2012-150, (Interest Only), Class SK, 5.662%, 1/25/43⁽⁶⁾⁽⁷⁾		3,781		776,152
Series 2013-6, Class TA, 1.50%, 1/25/43		2,256		2,227,901
Series 2013-23, (Interest Only), Class CS, 5.762%, 3/25/33⁽⁶⁾⁽⁷⁾		3,325		704,750
Series 2013-52, Class MD, 1.25%, 6/25/43		2,670		2,599,949
Series 2013-54, (Interest Only), Class HS, 5.812%, 10/25/41⁽⁶⁾⁽⁷⁾		3,090		428,062
Series 2014-32, (Interest Only), Class EI, 4.00%, 6/25/44⁽⁷⁾		1,559		165,870
Series 2014-36, (Interest Only), Class ID, 4.00%, 6/25/44⁽⁷⁾		1,286		128,143
Series 2014-55, (Interest Only), Class IN, 3.50%, 7/25/44⁽⁷⁾		4,306		481,096
Series 2014-72, Class CS, 8.195%, 11/25/44⁽⁶⁾		272		274,890
Series 2014-80, (Interest Only), Class BI, 3.00%, 12/25/44⁽⁷⁾		7,344		768,601
Series 2014-89, (Interest Only), Class IO, 3.50%, 1/25/45⁽⁷⁾		3,364		410,934
Series 2015-14, (Interest Only), Class KI, 3.00%, 3/25/45⁽⁷⁾		7,290		737,476
Series 2015-17, (Interest Only), Class SA, 5.712%, 11/25/43⁽⁶⁾⁽⁷⁾		6,557		705,636
Series 2015-52, (Interest Only), Class MI, 3.50%, 7/25/45⁽⁷⁾		4,153		479,807
Series 2015-57, (Interest Only), Class IO, 3.00%, 8/25/45⁽⁷⁾		17,777		1,822,559
Series 2015-74, Class SL, 2.063%, 10/25/45⁽⁶⁾		2,179		2,093,142
Series 2015-89, Class ZB, 3.00%, 5/25/54		1,764		1,748,515
Series 2015-93, (Interest Only), Class BS, 5.662%, 8/25/45⁽⁶⁾⁽⁷⁾		5,756		849,707
Series 2015-95, (Interest Only), Class SB, 5.512%, 1/25/46⁽⁶⁾⁽⁷⁾		4,668		1,085,307

			$	37,025,103

Government National Mortgage Association:
Series 2011-156, Class GA, 2.00%, 12/16/41	$	860	$	837,856
Series 2013-131, Class GS, 3.034%, 6/20/43⁽⁶⁾		2,304		2,178,763
Series 2014-146, Class S, 5.42%, 10/20/44⁽⁶⁾		110		110,885
Series 2015-79, Class CS, 5.151%, 5/20/45⁽⁶⁾		648		653,730
Series 2016-75, Class WZ, 2.25%, 11/16/43		2,229		2,228,306

			$	6,009,540


Total Collateralized Mortgage Obligations (identified cost $80,815,113)			$	77,815,663


Commercial Mortgage-Backed Securities — 7.6%

Security	Principal Amount (000’s omitted)		Value
Citigroup Commercial Mortgage Trust
Series 2015-P1, Class D, 3.225%, 9/15/48^(10)(11)	$	4,000	$	3,102,054
COMM Mortgage Trust
Series 2014-LC17, Class D, 3.687%, 10/10/47⁽¹⁰⁾		1,065		844,311
JPMBB Commercial Mortgage Securities Trust
Series 2014-C19, Class D, 4.674%, 4/15/47^(10)(11)		1,425		1,254,119
Series 2014-C21, Class D, 4.661%, 8/15/47^(10)(11)		650		561,491
Series 2014-C22, Class D, 4.71%, 9/15/47^(10)(11)		1,850		1,523,417
Series 2014-C23, Class D, 3.959%, 9/15/47^(10)(11)		850		718,372
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2011-C5, Class D, 5.321%, 8/15/46^(10)(11)		1,850		1,926,212
UBS-Citigroup Commercial Mortgage Trust
Series 2011-C1, Class D, 5.888%, 1/10/45^(10)(11)		2,000		2,241,696
UBS Commercial Mortgage Trust
Series 2012-C1, Class D, 5.531%, 5/10/45^(10)(11)		2,000		2,069,717
Wells Fargo Commercial Mortgage Trust
Series 2010-C1, Class C, 5.612%, 11/15/43^(10)(11)		500		555,004
Series 2013-LC12, Class D, 4.297%, 7/15/46^(10)(11)		2,000		1,880,736
Series 2015-SG1, Class C, 4.471%, 12/15/47⁽¹¹⁾		1,399		1,455,173
WF-RBS Commercial Mortgage Trust
Series 2012-C9, Class D, 4.801%, 11/15/45^(10)(11)		1,250		1,244,275
Series 2014-LC14, Class D, 4.586%, 3/15/47^(10)(11)		1,150		987,729


Total Commercial Mortgage-Backed Securities (identified cost $20,300,519)			$	20,364,306


Mortgage Pass-Throughs — 17.4%

Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
2.876%, with maturity at 2035⁽¹²⁾	$	2,360	$	2,466,376
6.00%, with various maturities to 2029		1,875		2,144,333
6.15%, with maturity at 2027		627		715,411
6.50%, with various maturities to 2032		3,571		4,059,260
7.00%, with various maturities to 2036		3,195		3,799,227
7.50%, with maturity at 2024		946		1,069,348
8.00%, with various maturities to 2032		1,519		1,831,122
8.50%, with various maturities to 2031		870		1,008,099
9.00%, with maturity at 2031		160		193,602
9.50%, with various maturities to 2022		34		37,757

			$	17,324,535

Federal National Mortgage Association:
2.394%, with maturity at 2037⁽¹²⁾	$	693	$	721,722
5.00%, with various maturities to 2040		3,094		3,440,177
5.50%, with various maturities to 2033		2,101		2,394,918
6.00%, with maturity at 2023		1,239		1,369,137
6.318%, with maturity at 2032⁽¹²⁾		940		1,035,171
6.50%, with various maturities to 2036		4,448		5,153,082
7.00%, with various maturities to 2037		4,862		5,716,968
7.50%, with maturity at 2035		3,277		3,858,215
8.00%, with various maturities to 2034		847		989,042
8.50%, with various maturities to 2027		83		94,835
9.00%, with various maturities to 2029		357		413,635
10.00%, with various maturities to 2031		203		223,853

			$	25,410,755


Security	Principal Amount (000’s omitted)		Value
Government National Mortgage Association:
7.50%, with maturity at 2025	$	1,454	$	1,645,859
8.00%, with maturity at 2034		1,885		2,230,194
9.50%, with maturity at 2025		89		98,581
11.00%, with maturity at 2018		16		17,171

			$	3,991,805


Total Mortgage Pass-Throughs (identified cost $44,250,172)			$	46,727,095


Asset-Backed Securities — 4.0%

Security	Principal Amount (000’s omitted)		Value
American Homes 4 Rent
Series 2014-SFR1, Class C, 2.232%, 6/17/31^(9)(10)	$	200	$	196,367
Series 2014-SFR1, Class D, 3.182%, 6/17/31^(9)(10)		825		812,775
American Residential Properties Trust
Series 2014-SFR1, Class C, 2.832%, 9/17/31^(9)(10)		2,000		1,996,586
Centurion CDO IX Ltd.
Series 2005-9A, Class D1, 5.429%, 7/17/19^(9)(10)		500		500,123
Colony American Homes
Series 2014-1A, Class C, 2.332%, 5/17/31^(9)(10)		760		751,978
Ford Credit Auto Owner Trust
Series 2014-1, Class B, 2.41%, 11/15/25⁽¹⁰⁾		100		100,598
Invitation Homes Trust
Series 2013-SFR1, Class D, 2.637%, 12/17/30^(9)(10)		550		546,770
OneMain Financial Issuance Trust
Series 2014-1A, Class A, 2.43%, 6/18/24⁽¹⁰⁾		147		147,461
Series 2014-1A, Class B, 3.24%, 6/18/24⁽¹⁰⁾		800		801,132
Series 2015-1A, Class B, 3.85%, 3/18/26⁽¹⁰⁾		800		794,435
Sierra Receivables Funding Co., LLC
Series 2014-1A, Class B, 2.42%, 3/20/30⁽¹⁰⁾		170		169,402
Series 2015-1A, Class B, 3.05%, 3/22/32⁽¹⁰⁾		229		230,955
Silver Bay Realty Trust
Series 2014-1, Class C, 2.496%, 9/17/31^(9)(10)		2,000		1,984,250
SpringCastle Funding Trust
Series 2014-AA, Class B, 4.61%, 10/25/27⁽¹⁰⁾		1,640		1,640,196


Total Asset-Backed Securities (identified cost $10,703,580)			$	10,673,028


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	$	1,671,657


Total U.S. Government Agency Obligations (identified cost $1,470,404)			$	1,671,657


Corporate Bonds & Notes — 0.6%

Security	Principal Amount (000’s omitted)		Value
Energy — 0.0%⁽¹³⁾
Contura Energy, Inc.
10.00%, 8/1/21⁽¹⁰⁾	$	41	$	38,130

			$	38,130

Financial Intermediaries — 0.1%
First Data Corp.
6.75%, 11/1/20⁽¹⁰⁾	$	163	$	170,032

			$	170,032

Food Products — 0.1%
Iceland Bondco PLC
4.778%, 7/15/20^(9)(10)	GBP	250	$	297,776

			$	297,776

Health Care — 0.2%
CHS/Community Health Systems, Inc.
5.125%, 8/15/18	$	425	$	431,418

			$	431,418

Lodging and Casinos — 0.1%
Caesars Entertainment Operating Co., Inc.
8.50%, 2/15/20⁽⁴⁾	$	350	$	338,625

			$	338,625

Utilities — 0.1%
Calpine Corp.
7.875%, 1/15/23⁽¹⁰⁾	$	389	$	413,313

			$	413,313


Total Corporate Bonds & Notes (identified cost $1,792,796)			$	1,689,294


Foreign Government Bonds — 10.0%

Security	Principal Amount (000’s omitted)		Value
Bangladesh — 1.1%
Bangladesh Treasury Bond, 10.10%, 6/11/19	BDT	23,600	$	327,369
Bangladesh Treasury Bond, 11.50%, 8/8/17	BDT	107,500		1,445,377
Bangladesh Treasury Bond, 11.50%, 11/7/17	BDT	15,700		213,109
Bangladesh Treasury Bond, 11.52%, 12/5/17	BDT	20,000		272,436
Bangladesh Treasury Bond, 11.55%, 10/3/17	BDT	29,900		404,529
Bangladesh Treasury Bond, 11.72%, 2/6/18	BDT	8,400		115,488
Bangladesh Treasury Bond, 11.72%, 7/2/18	BDT	19,400		270,298

Total Bangladesh			$	3,048,606

Brazil — 1.7%
Letra do Tesouro Nacional, 0.00%, 10/1/16	BRL	2,902	$	874,637
Letra do Tesouro Nacional, 0.00%, 1/1/17	BRL	12,700		3,705,729

Total Brazil			$	4,580,366

Czech Republic — 1.5%
Czech Republic Government Bond, 0.00%, 11/9/17⁽¹⁴⁾	CZK	67,000	$	2,779,513
Czech Republic Government Bond, 0.00%, 1/22/18⁽¹⁴⁾	CZK	28,660		1,188,576

Total Czech Republic			$	3,968,089


Security	Principal Amount (000’s omitted)		Value
Dominican Republic — 2.0%
Dominican Republic International Bond, 10.40%, 5/10/19⁽¹⁴⁾	DOP	54,400	$	1,205,361
Dominican Republic International Bond, 13.50%, 8/4/17⁽¹⁴⁾	DOP	2,400		54,210
Dominican Republic International Bond, 14.00%, 6/8/18⁽¹⁴⁾	DOP	53,200		1,245,363
Dominican Republic International Bond, 16.00%, 2/10/17⁽¹⁴⁾	DOP	124,700		2,800,878

Total Dominican Republic			$	5,305,812

Georgia — 0.2%
Georgia Treasury Bond, 10.75%, 7/9/17	GEL	100	$	43,764
Georgia Treasury Bond, 13.375%, 3/10/18	GEL	960		442,556

Total Georgia			$	486,320

Iceland — 2.1%
Republic of Iceland, 6.25%, 2/5/20	ISK	231,085	$	1,290,134
Republic of Iceland, 7.25%, 10/26/22	ISK	427,092		2,516,506
Republic of Iceland, 8.75%, 2/26/19	ISK	329,709		1,937,243

Total Iceland			$	5,743,883

Serbia — 0.5%
Serbia Treasury Bond, 10.00%, 10/17/16	RSD	21,800	$	200,610
Serbia Treasury Bond, 10.00%, 4/1/17	RSD	46,800		442,943
Serbia Treasury Bond, 10.00%, 5/8/17	RSD	18,760		178,579
Serbia Treasury Bond, 10.00%, 1/24/18	RSD	22,180		218,039
Serbia Treasury Bond, 10.00%, 2/5/22	RSD	20,360		223,118

Total Serbia			$	1,263,289

Vietnam — 0.9%
Vietnam Government Bond, 7.20%, 1/15/17	VND	16,000,000	$	727,681
Vietnam Government Bond, 7.60%, 10/31/16	VND	41,000,000		1,854,127

Total Vietnam			$	2,581,808


Total Foreign Government Bonds (identified cost $27,665,642)			$	26,978,173


Common Stocks — 0.6%

Security	Shares		Value
Affinity Gaming, LLC^(15)(16)		23,498	$	328,973
Alpha National Resources Holdings, Inc., Class A, PFC Shares^(15)(16)		882		353
ANR, Inc., Class A, PFC Shares^(15)(16)		882		1,323
Contura Energy, Inc.^(15)(16)		1,187		17,805
Dayco Products, LLC^(15)(16)		8,898		298,083
Education Management Corp.^(3)(15)(16)		955,755		4,874
ION Media Networks, Inc.^(3)(15)(16)		1,357		769,826
MediaNews Group, Inc.^(3)(15)(16)		3,023		99,759
New Millennium Holdco, Inc.^(15)(16)		8,641		36,724
RCS Capital Corp.^(3)(15)(16)		2,777		20,828


Total Common Stocks (identified cost $461,014)			$	1,578,548


Convertible Preferred Stocks — 0.0%⁽¹³⁾

Security	Shares		Value
Education Management Corp., Series A-1, 7.50%^(3)(15)(16)		1,063	$	2,923


Total Convertible Preferred Stocks (identified cost $75,023)			$	2,923

Currency Options Purchased — 0.0%⁽¹³⁾

Description

Counterparty

Principal
Amount of

Contracts
(000’s omitted)

Strike
Price

Expiration
Date

Value

Call MXN/Put USD

Deutsche Bank AG

USD

1,313

MXN

18.33

1/11/17

25,093

Call SEK/Put EUR

Morgan Stanley & Co. International PLC

EUR

1,221

SEK

9.30

10/17/16

3,672

Total Currency Options Purchased
(identified cost $99,456)

28,765


Short-Term Investments — 9.1%

Foreign Government Securities — 5.0%

Security	Principal Amount (000’s omitted)		Value
Georgia — 1.1%
Georgia Treasury Bill, 0.00%, 8/18/16	GEL	7,073	$	2,998,730
Georgia Treasury Bill, 0.00%, 6/1/17	GEL	108		43,241

Total Georgia			$	3,041,971

Iceland — 0.2%
Iceland Treasury Bill, 0.00%, 10/17/16	ISK	21,233	$	116,993
Iceland Treasury Bill, 0.00%, 11/15/16	ISK	65,718		361,754

Total Iceland			$	478,747

Kazakhstan — 0.9%
National Bank of Kazakhstan Note, 0.00%, 8/10/16	KZT	439,605	$	1,241,764
National Bank of Kazakhstan Note, 0.00%, 1/20/17	KZT	478,815		1,278,529

Total Kazakhstan			$	2,520,293

Lebanon — 0.2%
Lebanon Treasury Bill, 0.00%, 2/16/17	LBP	630,200	$	407,365

Total Lebanon			$	407,365

Sri Lanka — 2.6%
Sri Lanka Treasury Bill, 0.00%, 4/7/17	LKR	395,400	$	2,542,465
Sri Lanka Treasury Bill, 0.00%, 4/14/17	LKR	474,790		3,047,141
Sri Lanka Treasury Bill, 0.00%, 5/5/17	LKR	193,630		1,235,568

Total Sri Lanka			$	6,825,174


Total Foreign Government Securities (identified cost $13,421,508)			$	13,273,550


U.S. Treasury Obligations — 1.1%

Security	Principal Amount (000’s omitted)		Value
U.S. Treasury Bill, 0.00%, 9/22/16⁽¹⁷⁾	$	3,000	$	2,999,031


Total U.S. Treasury Obligations (identified cost $2,998,102)			$	2,999,031


Other — 3.0%

Description	Interest (000’s omitted)		Value
Eaton Vance Cash Reserves Fund, LLC, 0.56%⁽¹⁸⁾	$	8,137	$	8,137,472


Total Other (identified cost $8,137,472)			$	8,137,472


Description	Value
Total Short-Term Investments (identified cost $24,557,082)	$	24,410,053


Total Investments — 132.9% (identified cost $360,430,034)	$	356,760,279


Less Unfunded Loan Commitments — (0.0)%⁽¹³⁾	$	(134,128	)


Net Investments — 132.9% (identified cost $360,295,906)	$	356,626,151

Currency Options Written — (0.0)%⁽¹³⁾

Description

Counterparty

Principal
Amount of
Contracts
(000’s omitted)

Strike
Price

Expiration
Date

Value

Call MXN/Put USD

Goldman Sachs International

USD

1,313

MXN

18.33

1/11/17

(25,093

)

Call SEK/Put EUR

Morgan Stanley & Co. International PLC

EUR

1,221

SEK

9.30

10/17/16

(3,672

)

Total Currency Options Written
(premiums received $88,119)

(28,765

)

Other Assets, Less Liabilities — (32.9)%

(88,202,314

)

Net Assets — 100.0%

268,395,072

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

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

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

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

(10)

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 July 31, 2016, the aggregate value of these securities is $30,501,412 or 11.4% of the Fund’s net assets.

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

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

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

(14)

Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At July 31, 2016, the aggregate value of these securities is $9,273,901 or 3.5% of the Fund’s net assets.

(15)	Non-income producing.

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

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

(18)

Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of July 31, 2016. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended July 31, 2016 was $26,040.

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
PLN	2,600,000	EUR	585,173	Deutsche Bank AG		8/4/16	$	12,888	$	—
PLN	12,973,911	EUR	2,931,024	Morgan Stanley & Co. International PLC		8/4/16		51,976		—
KES	72,900,000	USD	710,180	Citibank, N.A.		8/5/16		8,382		—
ARS	14,900,000	USD	980,263	Citibank, N.A.		8/9/16		7,980		—
INR	319,901,000	USD	4,740,229	BNP Paribas		8/9/16		34,999		—
INR	109,935,000	USD	1,629,137	Standard Chartered Bank		8/9/16		11,885		—
IDR	11,794,105,000	USD	868,273	Goldman Sachs International		8/11/16		31,146		—
MNT	2,729,000,000	USD	1,319,094	ICBC Standard Bank plc		8/11/16		—		(4,497	)
RUB	316,700,000	USD	4,760,974	Citibank, N.A.		8/12/16		25,930		—
CLP	2,712,466,290	USD	3,960,961	BNP Paribas		8/16/16		176,562		—
IDR	9,833,895,000	USD	728,653	BNP Paribas		8/16/16		20,820		—
IDR	9,461,259,000	USD	700,886	Standard Chartered Bank		8/16/16		20,187		—
MXN	32,441,060	USD	1,701,230	BNP Paribas		8/19/16		25,873		—
MXN	62,685,755	USD	3,384,522	Deutsche Bank AG		8/19/16		—		(47,247	)
PHP	156,930,297	USD	3,326,024	Bank of America, N.A.		8/22/16		5,985		—
RUB	44,297,300	USD	665,925	Citibank, N.A.		8/23/16		1,743		—
RUB	44,544,622	USD	670,076	JPMorgan Chase Bank, N.A.		8/23/16		1,320		—
RSD	36,670,000	EUR	288,241	Citibank, N.A.		8/25/16		9,318		—
USD	1,299,007	EUR	1,142,539	BNP Paribas		8/31/16		20,238		—
USD	1,498,813	EUR	1,335,936	State Street Bank and Trust Company		8/31/16		3,588		—
IDR	9,626,205,000	USD	706,148	BNP Paribas		9/7/16		25,410		—
IDR	7,219,475,000	USD	529,610	Deutsche Bank AG		9/7/16		19,044		—
IDR	5,296,106,000	USD	384,054	Deutsche Bank AG		9/7/16		18,431		—
IDR	2,434,440,000	USD	176,537	Deutsche Bank AG		9/7/16		8,472		—
IDR	2,430,910,000	USD	176,537	Standard Chartered Bank		9/7/16		8,204		—
SEK	5,353,000	EUR	565,534	Standard Chartered Bank		9/7/16		—		(6,511	)
SEK	50,731,727	EUR	5,367,015	Standard Chartered Bank		9/7/16		—		(69,889	)
USD	893,980	EUR	789,945	Deutsche Bank AG		9/7/16		9,572		—
IDR	3,927,682,195	USD	290,455	BNP Paribas		9/8/16		7,989		—
IDR	3,927,680,000	USD	291,317	Deutsche Bank AG		9/8/16		7,128		—
IDR	3,582,816,805	USD	264,805	Standard Chartered Bank		9/8/16		7,435		—


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
NOK	38,369,000		EUR	4,071,747	Standard Chartered Bank		9/20/16	$	—	$	(13,394	)
HKD	26,050,000		USD	3,360,510	Bank of America, N.A.		9/22/16		—		(752	)
USD	3,360,640		HKD	26,050,000	Bank of America, N.A.		9/22/16		882		—
KES	64,700,000		USD	622,115	ICBC Standard Bank plc		9/26/16		10,230		—
USD	167,278		EUR	146,446	Goldman Sachs International		9/28/16		3,159		—
USD	6,486,994		EUR	5,679,758	Standard Chartered Bank		9/28/16		121,809		—
USD	684,701		GBP	513,000	Goldman Sachs International		9/30/16		5,077		—
GBP	1,005,000		USD	1,350,694	Morgan Stanley & Co. International PLC		10/3/16		—		(19,190	)
NZD	1,980,000		USD	1,404,452	Standard Chartered Bank		10/3/16		21,544		—
BRL	2,902,000		USD	789,123	Standard Chartered Bank		10/5/16		87,905		—
USD	654,931		BRL	2,902,000	Standard Chartered Bank		10/5/16		—		(222,097	)
IDR	9,660,050,000		USD	729,060	Deutsche Bank AG		10/13/16		1,029		—
RSD	80,698,000		EUR	640,460	Citibank, N.A.		10/13/16		9,773		—
RSD	97,450,000		EUR	784,053	Citibank, N.A.		10/13/16		—		(131	)
MYR	2,656,000		USD	656,126	BNP Paribas		10/14/16		1,468		—
MYR	10,675,000		USD	2,721,271	BNP Paribas		10/14/16		—		(78,268	)
IDR	5,133,580,000		USD	387,938	Bank of America, N.A.		10/18/16		—		(256	)
RSD	358,375,000		EUR	2,877,358	Deutsche Bank AG		10/28/16		1,160		—
USD	971,123		EUR	880,071	Goldman Sachs International		10/31/16		—		(16,550	)
KES	18,997,000		USD	183,192	Citibank, N.A.		11/2/16		1,003		—
ARS	49,718,000		USD	2,777,542	Citibank, N.A.		11/16/16		331,722		—
BRL	12,700,000		USD	3,367,807	Standard Chartered Bank		1/5/17		365,836		—
USD	2,793,665		BRL	12,700,000	Standard Chartered Bank		1/5/17		—		(939,978	)
USD	1,200,645		EUR	1,062,424	Standard Chartered Bank		1/9/17		4,473		—
USD	2,712,404		EUR	2,493,935	Standard Chartered Bank		1/9/17		—		(95,492	)
EUR	132,100		RON	600,000	BNP Paribas		1/30/17		—		(2,377	)
RON	14,367,472		EUR	3,192,062	BNP Paribas		1/30/17		24,435		—
RON	1,400,000		EUR	310,731	BNP Paribas		2/3/17		2,696		—
RON	1,690,245		EUR	374,487	BNP Paribas		2/28/17		3,744		—
RON	575,000		EUR	127,128	BNP Paribas		2/28/17		1,575		—
RON	1,380,000		EUR	305,344	Deutsche Bank AG		3/2/17		3,497		—
RON	1,287,171		EUR	285,670	Bank of America, N.A.		3/6/17		2,253		—
RON	212,000		EUR	47,028	Bank of America, N.A.		3/6/17		397		—
RON	1,576,000		EUR	349,562	Deutsche Bank AG		3/7/17		2,985		—
RON	1,104,000		EUR	245,061	Deutsche Bank AG		3/7/17		1,876		—
RON	2,242,000		EUR	497,062	BNP Paribas		3/8/17		4,482		—
USD	407,194		BRL	1,449,000	BNP Paribas		4/5/17		—		(8,830	)

								$	1,597,515	$	(1,525,459	)

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	$	38,743	$	(49,352	)	$	(10,609	)

									$	38,743	$	(49,352	)	$	(10,609	)

*	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

PFC Shares	-	Preference Shares

Currency Abbreviations:



ARS	-	Argentine Peso

BDT	-	Bangladeshi Taka

BRL	-	Brazilian Real

CLP	-	Chilean Peso

CZK	-	Czech Koruna

DOP	-	Dominican Peso

EUR	-	Euro

GBP	-	British Pound Sterling

GEL	-	Georgian Lari

HKD	-	Hong Kong Dollar

IDR	-	Indonesian Rupiah

INR	-	Indian Rupee

ISK	-	Icelandic Krona

KES	-	Kenyan Shilling

KZT	-	Kazakhstani Tenge



LBP	-	Lebanese Pound

LKR	-	Sri Lankan Rupee

MNT	-	Mongolian Tugrik

MXN	-	Mexican Peso

MYR	-	Malaysian Ringgit

NOK	-	Norwegian Krone

NZD	-	New Zealand Dollar

PHP	-	Philippine Peso

PLN	-	Polish Zloty

RON	-	Romanian Leu

RSD	-	Serbian Dinar

RUB	-	Russian Ruble

SEK	-	Swedish Krona

USD	-	United States Dollar

VND	-	Vietnamese Dong

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


	Principal Amount of Contracts (000’s omitted)					Premiums Received
Currency	USD			EUR		USD
Outstanding, beginning of period		1,485			—		27,383
Options written		4,013			1,221		97,569
Options terminated in closing purchase transactions		(1,485	)		—		(27,383	)
Options exercised		(2,700	)		—		(9,450	)

Outstanding, end of period		1,313			1,221		88,119



EUR	-	Euro

USD	-	United States Dollar

At July 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 July 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 July 31, 2016 was as follows:


		Fair Value
Risk	Derivative	Asset Derivative		Liability Derivative
Credit	Credit Default Swaps	$	38,743	$	—

Total		$	38,743	$	—


Foreign Exchange	Currency Options Purchased	$	28,765	$	—
Foreign Exchange	Currency Options Written		—		(28,765	)
Foreign Exchange	Forward Foreign Currency Exchange Contracts		1,597,515		(1,525,459	)

Total		$	1,626,280	$	(1,554,224	)

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


Aggregate cost	$	362,079,727

Gross unrealized appreciation	$	9,776,671
Gross unrealized depreciation		(15,230,247	)

Net unrealized depreciation	$	(5,453,576	)

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

•

Level 1 — quoted prices in active markets for identical investments

•

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

•

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

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

At July 31, 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)	$	—	$	144,575,080		$	111,566	$	144,686,646
Collateralized Mortgage Obligations		—		77,815,663			—		77,815,663
Commercial Mortgage-Backed Securities		—		20,364,306			—		20,364,306
Mortgage Pass-Throughs		—		46,727,095			—		46,727,095
Asset-Backed Securities		—		10,673,028			—		10,673,028
U.S. Government Agency Obligations		—		1,671,657			—		1,671,657
Corporate Bonds & Notes		—		1,689,294			—		1,689,294
Foreign Government Bonds		—		26,978,173			—		26,978,173
Common Stocks		—		683,261			895,287		1,578,548
Convertible Preferred Stocks		—		—			2,923		2,923
Currency Options Purchased		—		28,765			—		28,765
Short-Term Investments -
Foreign Government Securities		—		13,273,550			—		13,273,550
U.S. Treasury Obligations		—		2,999,031			—		2,999,031
Other		—		8,137,472			—		8,137,472
Total Investments	$	—	$	355,616,375		$	1,009,776	$	356,626,151
Forward Foreign Currency Exchange Contracts	$	—	$	1,597,515		$	—	$	1,597,515
Swap Contracts		—		38,743			—		38,743
Total	$	—	$	357,252,633		$	1,009,776	$	358,262,409

Liability Description
Currency Options Written	$	—	$	(28,765	)	$	—	$	(28,765	)
Forward Foreign Currency Exchange Contracts		—		(1,525,459	)		—		(1,525,459	)
Total	$	—	$	(1,554,224	)	$	—	$	(1,554,224	)

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

Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the fiscal year to date ended July 31, 2016 is not presented. At July 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:		September 26, 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:		September 26, 2016



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

Date:		September 26, 2016