Edgar Filing: EATON VANCE LTD DURATION INCOME FUND

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number		811-21323
Eaton Vance Limited Duration Income Fund
(Exact Name of Registrant as Specified in Charter)
The Eaton Vance Building, 255 State Street, Boston, Massachusetts		02109
(Address of Principal Executive Offices)		(Zip code)
Alan R. Dynner, Esq.
Eaton Vance Management, 255 State Street, Boston, Massachusetts 02109
(Name and Address of Agent for Services)
Registrant’s Telephone Number, Including Area Code:		(617) 482-8260
Date of Fiscal Year End:		April 30
Date of Reporting Period:		July 31, 2005

Item 1. Schedule of Investments

Eaton Vance Limited Duration Income Fund as of July 31, 2005

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior, Floating Rate Interests — 48.9% (1)

Principal Amount		Borrower/Tranche Description	Value
		Aerospace and Defense — 0.7%
		Alliant Tech Systems, Inc.
$	760,500	Term Loan, 4.66%, Maturing March 31, 2009	$	763,352
		CACI International, Inc.
1,357,812		Term Loan, 4.96%, Maturing May 3, 2011	1,373,937
		Hexcel Corp.
1,299,111		Term Loan, 5.26%, Maturing March 1, 2012	1,316,365
		K&F Industries, Inc.
2,945,950		Term Loan, 6.04%, Maturing November 18, 2012	2,990,507
		Standard Aero Holdings, Inc.
677,308		Term Loan, 5.72%, Maturing August 24, 2012	686,621
		Transdigm, Inc.
5,233,750		Term Loan, 5.80%, Maturing July 22, 2010	5,318,798
		Vought Aircraft Industries, Inc.
1,323,741		Term Loan, 5.99%, Maturing December 22, 2011	1,346,245
		Wyle Laboratories, Inc.
314,213		Term Loan, 5.96%, Maturing January 28, 2011	319,417
			$	14,115,242
		Air Transport — 0.0%
		United Airlines, Inc.
990,438		DIP Loan, 7.96%, Maturing December 31, 2005	1,002,199
			$	1,002,199
		Automotive — 2.3%
		Accuride Corp.
2,700,086		Term Loan, 5.65%, Maturing January 31, 2012	2,726,245
		Affina Group, Inc.
1,202,955		Term Loan, 6.40%, Maturing November 30, 2011	1,209,346
		Collins & Aikman Products Co.
2,206,938		Term Loan, 7.94%, Maturing August 31, 2011	1,814,418
		CSA Acquisition Corp.
1,020,290		Term Loan, 5.50%, Maturing December 23, 2011	1,021,565
646,335		Term Loan, 5.50%, Maturing December 23, 2011	647,143
		Dayco Products, LLC
2,948,964		Term Loan, 6.43%, Maturing June 23, 2011	2,975,691
		Exide Technologies
661,643		Term Loan, 6.81%, Maturing May 5, 2010	651,718
661,643		Term Loan, 8.56%, Maturing May 5, 2010	663,711
		Federal-Mogul Corp.
5,626,706		Term Loan, 7.24%, Maturing December 31, 2005	5,640,773
		Goodyear Tire & Rubber Co.
950,000		Term Loan, 4.67%, Maturing April 30, 2010	957,464
3,185,000		Term Loan, 6.32%, Maturing April 30, 2010	3,214,363
1,000,000		Term Loan, 7.07%, Maturing March 1, 2011	996,339

		HLI Operating Co., Inc.
$	4,726,648	Term Loan, 6.77%, Maturing June 3, 2009	$	4,778,641
800,000		Term Loan, 8.92%, Maturing June 3, 2010	812,000
		Key Automotive Group
1,117,113		Term Loan, 6.34%, Maturing June 29, 2010	1,122,698
		Metaldyne Corp.
1,764,766		Term Loan, 8.02%, Maturing December 31, 2009	1,740,059
		Plastech Engineered Products, Inc.
853,448		Term Loan, 8.24%, Maturing March 31, 2010	812,483
		R.J. Tower Corp.
1,880,000		DIP Revolving Loan, 6.63%, Maturing February 2, 2007	1,905,654
		Tenneco Automotive, Inc.
1,861,375		Term Loan, 5.54%, Maturing December 12, 2009	1,887,745
817,670		Term Loan, 5.59%, Maturing December 12, 2010	829,254
		TI Automotive, Ltd.
1,371,884		Term Loan, 6.91%, Maturing June 30, 2011	1,344,446
		Trimas Corp.
4,695,547		Term Loan, 6.90%, Maturing December 31, 2009	4,736,633
		TRW Automotive, Inc.
1,990,000		Term Loan, 4.94%, Maturing October 31, 2010	2,004,427
2,314,109		Term Loan, 5.25%, Maturing June 30, 2012	2,340,383
		United Components, Inc.
1,446,667		Term Loan, 5.75%, Maturing June 30, 2010	1,470,628
			$	48,303,827
		Beverage and Tobacco — 0.7%
		Alliance One International, Inc.
962,588		Term Loan, 6.73%, Maturing May 13, 2010	981,238
		Constellation Brands, Inc.
5,669,283		Term Loan, 5.30%, Maturing November 30, 2011	5,764,164
		Culligan International Co.
1,200,000		Term Loan, 5.88%, Maturing September 30, 2011	1,217,250
		National Dairy Holdings, L.P.
329,175		Term Loan, 5.49%, Maturing March 15, 2012	333,907
		National Distribution Company
950,000		Term Loan, 9.96%, Maturing June 22, 2010	952,375
		Southern Wine & Spirits of America
4,330,144		Term Loan, 4.99%, Maturing May 31, 2012	4,368,933
		Sunny Delight Beverages Co.
444,706		Term Loan, 7.54%, Maturing August 20, 2010	448,041
			$	14,065,908
		Building and Development — 3.6%
		AIMCO Properties, L.P.
1,550,000		Term Loan, 5.16%, Maturing November 2, 2009	1,568,406
4,500,000		Term Loan, 5.21%, Maturing November 2, 2009	4,568,908

		Biomed Realty, L.P.
$	3,690,000	Term Loan, 5.59%, Maturing May 31, 2010	$	3,694,612
		Custom Building Products, Inc.
897,750		Term Loan, 5.74%, Maturing October 29, 2011	903,922
		DMB/CHII, LLC
632,999		Term Loan, 5.79%, Maturing March 3, 2007	634,582
		Formica Corp.
78,280		Term Loan, 8.43%, Maturing June 10, 2010	78,671
97,011		Term Loan, 8.43%, Maturing June 10, 2010	97,496
189,694		Term Loan, 8.43%, Maturing June 10, 2010	190,642
275,846		Term Loan, 8.44%, Maturing June 10, 2010	277,225
		FT-FIN Acquisition, LLC
1,424,157		Term Loan, 7.88%, Maturing November 17, 2007	1,427,718
		General Growth Properties, Inc.
9,957,600		Term Loan, 5.49%, Maturing November 12, 2008	10,099,078
		Hovstone Holdings, LLC
1,485,000		Term Loan, 5.59%, Maturing February 28, 2009	1,488,712
		Landsource Communities, LLC
1,002,000		Term Loan, 5.94%, Maturing March 31, 2010	1,007,324
		LNR Property Corp.
5,272,239		Term Loan, 6.21%, Maturing February 3, 2008	5,327,312
1,500,000		Term Loan, 6.21%, Maturing February 3, 2008	1,500,937
		LNR Property Holdings
1,045,000		Term Loan, 7.71%, Maturing February 3, 2008	1,041,734
		MAAX Corp.
920,700		Term Loan, 5.99%, Maturing June 4, 2011	923,002
		Mueller Group, Inc.
2,355,725		Term Loan, 6.21%, Maturing April 23, 2011	2,376,337
		NCI Building Systems, Inc.
846,563		Term Loan, 5.41%, Maturing June 18, 2010	856,615
		Newkirk Master, L.P.
403,667		Term Loan, 7.95%, Maturing November 24, 2006	403,919
		Newkirk Tender Holdings, LLC
1,798,216		Term Loan, 7.99%, Maturing May 25, 2006	1,802,712
2,833,333		Term Loan, 9.49%, Maturing May 25, 2006	2,840,417
		Nortek, Inc.
2,034,625		Term Loan, 5.92%, Maturing August 27, 2011	2,054,971
		Panolam Industries Holdings, Inc.
1,024,060		Term Loan, 6.56%, Maturing December 3, 2010	1,031,741
1,357,809		Term Loan, 10.81%, Maturing June 3, 2011	1,388,360
		Ply Gem Industries, Inc.
799,005		Term Loan, 5.60%, Maturing February 12, 2011	801,002
314,130		Term Loan, 6.16%, Maturing February 12, 2011	314,915
2,137,743		Term Loan, 6.16%, Maturing February 12, 2011	2,143,088
		South Edge, LLC
612,500		Term Loan, 5.31%, Maturing October 31, 2007	615,435
2,287,500		Term Loan, 5.56%, Maturing October 31, 2009	2,310,375

		St. Marys Cement, Inc.
$	1,974,950	Term Loan, 5.49%, Maturing December 4, 2010	$	1,993,465
		Stile Acquisition Corp.
979,210		Term Loan, 5.66%, Maturing April 6, 2013	982,882
		Stile U.S. Acquisition Corp.
980,878		Term Loan, 5.66%, Maturing April 6, 2013	984,556
		Sugarloaf Mills, L.P.
1,000,000		Term Loan, 5.19%, Maturing April 7, 2007	1,005,000
2,000,000		Term Loan, 6.34%, Maturing April 7, 2007	2,000,000
		The Macerich Partnership, L.P.
1,505,000		Term Loan, 4.89%, Maturing July 30, 2007	1,506,881
1,465,000		Term Loan, 6.75%, Maturing April 25, 2010	1,470,494
		The Woodlands Community Property Co.
1,174,000		Term Loan, 5.59%, Maturing November 30, 2007	1,181,337
367,000		Term Loan, 7.59%, Maturing November 30, 2007	372,505
		Tousa/Kolter, LLC
2,330,000		Term Loan, 5.78%, Maturing January 7, 2008 (2)	2,341,650
		Tower Financing, LLC
2,750,000		Term Loan, 6.94%, Maturing April 8, 2008	2,753,437
		Trustreet Properties, Inc.
1,025,000		Term Loan, 5.34%, Maturing April 8, 2010	1,033,328
		Whitehall Street Real Estate, L.P.
2,254,693		Term Loan, 7.24%, Maturing September 11, 2006 (3)	2,290,993
			$	73,686,696
		Business Equipment and Services — 1.1%
		Allied Security Holdings, LLC
812,560		Term Loan, 7.24%, Maturing June 30, 2010	826,779
		Baker & Taylor, Inc.
2,850,000		Term Loan, 10.16%, Maturing May 6, 2011	2,878,500
		DynCorp International, LLC
1,356,600		Term Loan, 6.06%, Maturing February 11, 2011	1,373,840
		Global Imaging Systems, Inc.
2,405,536		Term Loan, 4.92%, Maturing May 10, 2010	2,424,330
		Info USA, Inc.
756,875		Term Loan, 6.24%, Maturing June 9, 2010	758,767
		Iron Mountain, Inc.
2,662,649		Term Loan, 5.13%, Maturing April 2, 2011	2,691,605
1,990,000		Term Loan, 5.16%, Maturing April 2, 2011	2,012,801
		Language Line, Inc.
2,916,480		Term Loan, 7.90%, Maturing June 11, 2011	2,954,304
		Mitchell International, Inc.
422,510		Term Loan, 6.24%, Maturing August 13, 2011	429,244
990,000		Term Loan, 9.34%, Maturing August 15, 2012	1,014,750
		Protection One, Inc.
1,095,100		Term Loan, 6.35%, Maturing April 18, 2011	1,110,158

		Quintiles Transnational Corp.
$	1,246,573	Term Loan, 5.24%, Maturing September 25, 2009	$	1,253,585
		Transaction Network Services, Inc.
1,376,550		Term Loan, 5.41%, Maturing May 4, 2012	1,383,433
		Western Inventory Services
625,000		Term Loan, 10.23%, Maturing October 14, 2011	630,469
		Williams Scotsman, Inc.
1,000,000		Term Loan, 5.98%, Maturing June 27, 2010	1,013,125
			$	22,755,690
		Cable and Satellite Television — 3.2%
		Adelphia Communications Corp.
3,670,546		DIP Loan, 5.38%, Maturing March 31, 2006	3,684,883
		Atlantic Broadband Finance, LLC
1,935,000		Term Loan, 6.11%, Maturing September 1, 2011	1,966,444
		Bragg Communication, Inc.
2,171,100		Term Loan, 5.82%, Maturing August 31, 2011	2,196,882
		Bresnan Communications, LLC
6,500,000		Term Loan, 6.89%, Maturing September 30, 2010	6,616,187
		Canadian Cable Acquisition Co., Inc.
495,000		Term Loan, 6.49%, Maturing July 30, 2011	502,580
		Cebridge Connections, Inc.
1,580,000		Term Loan, 9.39%, Maturing February 23, 2010	1,581,975
		Charter Communications Operating, LLC
13,125,931		Term Loan, 6.93%, Maturing April 27, 2011	13,090,767
		Insight Midwest Holdings, LLC
11,327,500		Term Loan, 5.63%, Maturing December 31, 2009	11,485,383
		MCC Iowa, LLC
3,720,000		Term Loan, 4.72%, Maturing March 31, 2010	3,702,795
2,470,084		Term Loan, 5.44%, Maturing February 3, 2014	2,502,848
		Mediacom Illinois, LLC
4,875,500		Term Loan, 5.72%, Maturing March 31, 2013	4,948,969
		NTL, Inc.
2,600,000		Term Loan, 6.41%, Maturing April 13, 2012	2,626,109
		Rainbow National Services, LLC
3,120,841		Term Loan, 6.13%, Maturing March 31, 2012	3,153,610
		UGS Corp.
4,990,118		Term Loan, 5.49%, Maturing March 31, 2012	5,064,970
		UPC Broadband Holdings B.V.
2,560,000		Term Loan, 6.25%, Maturing September 30, 2012	2,581,332
			$	65,705,734
		Chemicals and Plastics — 2.2%
		Brenntag AG
2,475,000		Term Loan, 5.88%, Maturing December 9, 2011	2,506,432
		Carmeuse Lime, Inc.
740,625		Term Loan, 5.50%, Maturing May 2, 2011	746,180

		Celanese Holdings, LLC
$	4,990,574	Term Loan, 5.74%, Maturing April 6, 2011 (2)	$	5,082,590
		Hercules, Inc.
829,500		Term Loan, 5.31%, Maturing October 8, 2010	840,595
		Huntsman International, LLC
7,477,193		Term Loan, 5.75%, Maturing December 31, 2010	7,500,559
		Huntsman, LLC
2,092,657		Term Loan, 6.40%, Maturing March 31, 2010	2,100,505
		Innophos, Inc.
522,500		Term Loan, 5.55%, Maturing August 13, 2010	527,834
		Invista B.V.
4,441,024		Term Loan, 5.75%, Maturing April 29, 2011	4,515,966
1,926,813		Term Loan, 5.75%, Maturing April 29, 2011	1,959,328
		ISP Chemco, Inc.
1,481,250		Term Loan, 5.46%, Maturing March 27, 2011	1,499,766
		Kraton Polymer, LLC
2,676,696		Term Loan, 6.28%, Maturing December 23, 2010	2,720,192
		Mosaic Co.
1,556,100		Term Loan, 5.22%, Maturing February 21, 2012	1,577,739
		Nalco Co.
5,058,307		Term Loan, 5.65%, Maturing November 4, 2010	5,148,411
		Niagara Acquisition, Inc.
1,421,050		Term Loan, 5.50%, Maturing February 11, 2012	1,438,370
		Rockwood Specialties Group, Inc.
3,795,925		Term Loan, 5.93%, Maturing December 10, 2012	3,863,937
		Solo Cup Co.
3,422,837		Term Loan, 5.40%, Maturing February 27, 2011	3,466,478
		Wellman, Inc.
750,000		Term Loan, 7.21%, Maturing February 10, 2009	765,000
		Westlake Chemical Corp.
240,000		Term Loan, 5.85%, Maturing July 31, 2010	242,400
			$	46,502,282
		Clothing/Textiles — 0.2%
		Propex Fabrics, Inc.
390,000		Term Loan, 5.74%, Maturing December 31, 2011	390,487
		SI Corp.
1,811,313		Term Loan, 7.49%, Maturing December 9, 2009	1,824,897
		St. John Knits International, Inc.
1,860,338		Term Loan, 6.00%, Maturing March 23, 2012	1,882,429
		The William Carter Co.
1,110,000		Term Loan, 5.24%, Maturing July 14, 2012	1,126,997
			$	5,224,810
		Conglomerates — 1.4%
		Amsted Industries, Inc.
6,524,013		Term Loan, 6.12%, Maturing October 15, 2010	6,610,998

		Blount, Inc.
$	976,071	Term Loan, 5.98%, Maturing August 9, 2010	$	990,712
		Euramax International, Inc.
860,000		Term Loan, 5.88%, Maturing June 28, 2012	874,512
501,316		Term Loan, 10.55%, Maturing June 28, 2013	502,569
248,684		Term Loan, 10.55%, Maturing June 28, 2013	249,306
		Gentek, Inc.
638,400		Term Loan, 6.09%, Maturing February 25, 2011	640,874
875,000		Term Loan, 9.35%, Maturing February 25, 2012	835,187
		Goodman Global Holdings, Inc.
1,343,250		Term Loan, 5.88%, Maturing December 23, 2011	1,363,819
		Johnson Diversey, Inc.
2,420,747		Term Loan, 4.90%, Maturing November 30, 2009	2,445,332
1,275,000		Term Loan, 4.96%, Maturing November 30, 2009	1,288,547
		Penn Engineering & Manufacturing Corp.
625,000		Term Loan, 5.97%, Maturing May 25, 2011	631,250
		Polymer Group, Inc.
2,333,333		Term Loan, 6.73%, Maturing April 27, 2010	2,379,027
2,500,000		Term Loan, 9.73%, Maturing April 27, 2011	2,558,332
		PP Acquisition Corp.
4,552,267		Term Loan, 5.74%, Maturing November 12, 2011	4,584,510
		Rexnord Corp.
1,032,112		Term Loan, 6.80%, Maturing December 31, 2011	1,046,519
2,425,186		Term Loan, 6.80%, Maturing December 31, 2011	2,459,037
			$	29,460,531
		Containers and Glass Products — 2.2%
		Berry Plastics Corp.
4,265,709		Term Loan, 5.60%, Maturing June 30, 2010	4,337,160
		BWAY Corp.
2,408,700		Term Loan, 5.75%, Maturing June 30, 2011	2,445,960
		Consolidated Container Holding, LLC
1,237,500		Term Loan, 6.69%, Maturing December 15, 2008	1,253,742
		Dr. Pepper/Seven Up Bottling Group, Inc.
3,544,585		Term Loan, 5.35%, Maturing December 19, 2010	3,598,640
		Graham Packaging Holdings Co.
4,477,500		Term Loan, 6.03%, Maturing October 7, 2011	4,552,592
3,000,000		Term Loan, 7.75%, Maturing April 7, 2012	3,094,374
		Graphic Packaging International, Inc.
11,268,591		Term Loan, 6.03%, Maturing August 8, 2009	11,434,104
		IPG (US), Inc.
1,265,438		Term Loan, 5.72%, Maturing July 28, 2011	1,288,637
		Owens-Illinois, Inc.
3,689,555		Term Loan, 5.12%, Maturing April 1, 2007	3,721,839
		Smurfit-Stone Container Corp.
652,032		Term Loan, 3.09%, Maturing November 1, 2010	663,035
1,644,498		Term Loan, 5.38%, Maturing November 1, 2011	1,671,736

$	5,184,861	Term Loan, 5.47%, Maturing November 1, 2011	$	5,270,737
		U.S. Can Corp.
1,481,250		Term Loan, 7.65%, Maturing January 15, 2010	1,488,656
			$	44,821,212
		Cosmetics/Toiletries — 0.4%
		American Safety Razor Co.
997,500		Term Loan, 6.01%, Maturing February 28, 2012	1,009,969
		Church & Dwight Co., Inc.
4,023,657		Term Loan, 5.24%, Maturing May 30, 2011	4,070,601
		Prestige Brands, Inc.
1,752,813		Term Loan, 5.38%, Maturing April 7, 2011	1,771,801
		Revlon Consumer Products Corp.
1,461,250		Term Loan, 9.43%, Maturing July 9, 2010	1,514,220
			$	8,366,591
		Drugs — 0.2%
		Warner Chilcott Corp.
3,220,165		Term Loan, 6.07%, Maturing January 18, 2012	3,258,405
1,297,569		Term Loan, 6.18%, Maturing January 18, 2012	1,312,978
599,441		Term Loan, 6.18%, Maturing January 18, 2012	606,559
			$	5,177,942
		Ecological Services and Equipment — 0.7%
		Alderwoods Group, Inc.
645,365		Term Loan, 5.35%, Maturing September 29, 2009	654,037
		Allied Waste Industries, Inc.
1,614,394		Term Loan, 4.87%, Maturing January 15, 2010	1,626,200
4,229,611		Term Loan, 5.54%, Maturing January 15, 2012	4,263,537
		Envirocare of Utah, LLC
1,856,591		Term Loan, 6.11%, Maturing April 15, 2010	1,882,119
		Environmental Systems Products Holdings, Inc.
1,424,439		Term Loan, 6.94%, Maturing December 12, 2008	1,452,037
1,000,000		Term Loan, 13.50%, Maturing December 12, 2010	1,028,750
		IESI Corp.
1,764,706		Term Loan, 5.55%, Maturing January 20, 2012	1,791,177
		Sensus Metering Systems, Inc.
129,111		Term Loan, 6.02%, Maturing December 17, 2010	130,671
860,737		Term Loan, 6.02%, Maturing December 17, 2010	871,137
			$	13,699,665
		Electronics/Electrical — 1.4%
		AMI Semiconductor, Inc.
1,401,488		Term Loan, 4.99%, Maturing April 1, 2012	1,409,662
		Communications & Power, Inc.
1,777,778		Term Loan, 5.38%, Maturing July 23, 2010	1,807,778
		Enersys Capital, Inc.
1,559,250		Term Loan, 5.34%, Maturing March 17, 2011	1,569,970

		Fairchild Semiconductor Corp.
$	8,983,606	Term Loan, 5.35%, Maturing December 31, 2010	$	9,084,672
		Invensys International Holdings Ltd.
4,027,061		Term Loan, 6.88%, Maturing September 5, 2009	4,087,467
		Rayovac Corp.
4,189,500		Term Loan, 5.48%, Maturing February 7, 2012	4,248,853
		Security Co., Inc.
990,000		Term Loan, 7.50%, Maturing June 30, 2010	998,662
500,000		Term Loan, 11.25%, Maturing June 30, 2011	506,875
		Telcordia Technologies, Inc.
2,628,413		Term Loan, 6.07%, Maturing September 15, 2012	2,623,484
		United Online, Inc.
304,000		Term Loan, 6.73%, Maturing December 13, 2008	305,520
		Vertafore, Inc.
1,498,200		Term Loan, 6.06%, Maturing December 22, 2010	1,507,564
500,000		Term Loan, 9.51%, Maturing December 22, 2011	507,500
		Viasystems, Inc.
746,250		Term Loan, 7.64%, Maturing September 30, 2009	753,712
			$	29,411,719
		Equipment Leasing — 0.3%
		Ashtead Group, PLC
1,000,000		Term Loan, 5.56%, Maturing November 12, 2009	1,015,000
		Maxim Crane Works, L.P.
1,055,000		Term Loan, 8.94%, Maturing January 28, 2012	1,099,837
		United Rentals, Inc.
565,000		Term Loan, 3.34%, Maturing February 14, 2011	573,239
2,789,688		Term Loan, 5.73%, Maturing February 14, 2011	2,826,651
			$	5,514,727
		Farming/Agriculture — 0.0%
		Central Garden & Pet Co.
596,974		Term Loan, 5.19%, Maturing May 15, 2009	604,436
			$	604,436
		Financial Intermediaries — 0.7%
		Coinstar, Inc.
657,650		Term Loan, 5.55%, Maturing July 7, 2011	667,515
		Corrections Corp. of America
1,269,545		Term Loan, 5.35%, Maturing March 31, 2008	1,290,176
		Fidelity National Information Solutions, Inc.
7,788,000		Term Loan, 5.10%, Maturing March 9, 2013	7,813,031
		Refco Group Ltd., LLC
3,099,250		Term Loan, 5.48%, Maturing August 5, 2011	3,119,395
		Wackenhut Corrections Corp.
1,208,184		Term Loan, 5.98%, Maturing July 9, 2009	1,223,286
			$	14,113,403

		Food Products — 1.7%
		Acosta Sales Co., Inc.
$	1,588,000	Term Loan, 5.35%, Maturing August 13, 2010	$	1,610,332
		American Seafoods Holdings, LLC
2,328,649		Term Loan, 6.74%, Maturing March 31, 2009	2,345,387
		Atkins Nutritional, Inc.
1,825,000		Term Loan, 8.25%, Maturing November 26, 2009 (4)	1,168,000
		Chiquita Brands, LLC
1,325,000		Term Loan, 5.84%, Maturing June 28, 2012	1,347,359
		Del Monte Corp.
962,588		Term Loan, 5.18%, Maturing February 8, 2012	975,462
		Doane Pet Care Co.
2,615,238		Term Loan, 7.41%, Maturing November 5, 2009	2,665,364
		Dole Food Co., Inc.
1,295,316		Term Loan, 5.18%, Maturing April 18, 2012	1,311,305
		Herbalife International, Inc.
496,650		Term Loan, 5.37%, Maturing December 21, 2010	500,375
		Interstate Brands Corp.
625,000		Term Loan, 7.40%, Maturing July 19, 2006	621,875
3,884,640		Term Loan, 7.29%, Maturing July 19, 2007	3,867,159
		Merisant Co.
5,454,127		Term Loan, 6.93%, Maturing January 11, 2010	5,331,409
		Michael Foods, Inc.
1,146,673		Term Loan, 5.29%, Maturing November 21, 2010	1,166,740
3,000,000		Term Loan, 6.59%, Maturing November 21, 2011	3,076,875
		Pinnacle Foods Holdings Corp.
4,937,500		Term Loan, 6.76%, Maturing November 25, 2010	4,993,817
		Reddy Ice Group, Inc.
4,200,778		Term Loan, 5.99%, Maturing July 31, 2009	4,248,037
			$	35,229,496
		Food Service — 1.0%
		AFC Enterprises, Inc.
1,950,000		Term Loan, 5.75%, Maturing May 11, 2011	1,974,375
		Arby’s Restaurant Group, Inc.
385,000		Term Loan, 5.73%, Maturing July 25, 2012	390,254
		Buffets, Inc.
418,182		Term Loan, 3.39%, Maturing June 28, 2009	421,318
2,084,522		Term Loan, 7.16%, Maturing June 28, 2009	2,100,156
		Burger King Corp.
1,070,000		Term Loan, 5.19%, Maturing June 30, 2012	1,087,945
		Carrols Corp.
621,875		Term Loan, 6.00%, Maturing December 31, 2010	631,332
		CKE Restaurants, Inc.
1,544,710		Term Loan, 5.50%, Maturing May 1, 2010	1,560,157
		Denny’s, Inc.
532,327		Term Loan, 6.72%, Maturing September 21, 2009	546,634

		Domino’s, Inc.
$	6,978,878	Term Loan, 5.25%, Maturing June 25, 2010	$	7,090,107
		Gate Gourmet Borrower, LLC
992,515		Term Loan, 9.66%, Maturing December 31, 2008	981,350
		Jack in the Box, Inc.
1,477,500		Term Loan, 5.18%, Maturing January 8, 2011	1,496,432
		Maine Beverage Co., LLC
928,125		Term Loan, 5.24%, Maturing March 31, 2013	925,805
		Ruth’s Chris Steak House, Inc.
788,762		Term Loan, 6.50%, Maturing March 11, 2011	790,734
		Weight Watchers International, Inc.
942,875		Term Loan, 5.11%, Maturing March 31, 2010	953,482
			$	20,950,081
		Food/Drug Retailers — 0.7%
		Cumberland Farms, Inc.
4,101,099		Term Loan, 5.22%, Maturing September 8, 2008	4,124,168
1,735,977		Term Loan, 5.25%, Maturing September 8, 2008	1,740,317
		General Nutrition Centers, Inc.
1,018,317		Term Loan, 6.50%, Maturing December 7, 2009	1,029,348
		Rite Aid Corp.
1,960,188		Term Loan, 5.11%, Maturing September 22, 2009	1,978,972
		The Jean Coutu Group (PJC), Inc.
2,977,500		Term Loan, 5.94%, Maturing July 30, 2011	3,028,677
		The Pantry, Inc.
2,066,646		Term Loan, 5.74%, Maturing March 12, 2011	2,097,645
			$	13,999,127
		Forest Products — 0.9%
		Appleton Papers, Inc.
2,375,660		Term Loan, 5.64%, Maturing June 11, 2010	2,399,417
		Boise Cascade Holdings, LLC
5,045,696		Term Loan, 5.25%, Maturing October 29, 2011	5,128,006
		Escanaba Timber, LLC
700,000		Term Loan, 6.00%, Maturing May 2, 2008	713,125
		Koch Cellulose, LLC
551,114		Term Loan, 4.84%, Maturing May 7, 2011	558,348
1,789,160		Term Loan, 4.84%, Maturing May 7, 2011	1,812,643
		NewPage Corp.
3,100,000		Term Loan, 6.38%, Maturing May 2, 2011	3,162,000
		RLC Industries Co.
2,143,904		Term Loan, 4.99%, Maturing February 24, 2010	2,155,517
		Xerium Technologies, Inc.
2,335,000		Term Loan, 5.07%, Maturing May 18, 2012	2,370,756
			$	18,299,812

		Healthcare — 2.8%
		Accredo Health, Inc.
$	3,216,093	Term Loan, 5.24%, Maturing June 30, 2011	$	3,228,153
		Alliance Imaging, Inc.
2,274,402		Term Loan, 5.87%, Maturing December 29, 2011	2,308,518
		AMR HoldCo, Inc.
852,863		Term Loan, 5.67%, Maturing February 10, 2012	866,988
		Colgate Medical, Ltd.
697,980		Term Loan, 5.48%, Maturing December 30, 2008	705,396
		Community Health Systems, Inc.
11,764,119		Term Loan, 5.07%, Maturing August 19, 2011	11,936,910
		Concentra Operating Corp.
4,530,865		Term Loan, 6.01%, Maturing June 30, 2009	4,595,996
		Conmed Corp.
1,341,213		Term Loan, 5.71%, Maturing December 31, 2009	1,357,769
		Cross Country Healthcare, Inc.
929,299		Term Loan, 6.60%, Maturing June 5, 2009	936,268
		Encore Medical IHC, Inc.
1,608,750		Term Loan, 6.40%, Maturing October 4, 2010	1,631,876
		Envision Worldwide, Inc.
1,289,167		Term Loan, 8.56%, Maturing September 30, 2010	1,295,613
		FHC Health Systems, Inc.
1,857,143		Term Loan, 8.91%, Maturing December 18, 2009	1,875,714
1,300,000		Term Loan, 11.91%, Maturing December 18, 2009	1,313,000
		Hanger Orthopedic Group, Inc.
493,718		Term Loan, 6.99%, Maturing September 30, 2009	500,507
		Healthcare Partners, LLC
444,375		Term Loan, 5.82%, Maturing March 2, 2011	448,263
		Healthsouth Corp.
1,000,000		Term Loan, 5.98%, Maturing June 14, 2007	1,013,594
280,000		Term Loan, 3.09%, Maturing March 21, 2010	283,806
		Kinetic Concepts, Inc.
1,941,681		Term Loan, 5.24%, Maturing August 11, 2009	1,964,738
		Knowledge Learning Corp.
4,128,000		Term Loan, 5.99%, Maturing January 7, 2012	4,158,960
		Leiner Health Products, Inc.
1,113,750		Term Loan, 6.38%, Maturing May 27, 2011	1,131,848
		Lifepoint Hospitals, Inc.
4,425,300		Term Loan, 5.01%, Maturing April 15, 2012	4,470,345
		Magellan Health Services, Inc.
409,722		Term Loan, 5.86%, Maturing August 15, 2008	415,868
277,778		Term Loan, 6.06%, Maturing August 15, 2008	281,597
		Medcath Holdings Corp.
495,000		Term Loan, 5.50%, Maturing July 2, 2011	500,569
		National Mentor, Inc.
835,160		Term Loan, 5.73%, Maturing September 30, 2011	846,122

		Select Medical Holding Corp.
$	2,069,812	Term Loan, 5.04%, Maturing February 24, 2012	$	2,080,809
		Sunrise Medical Holdings, Inc.
1,999,773		Term Loan, 6.70%, Maturing May 13, 2010	2,002,273
		Talecris Biotherapeutics, Inc.
1,192,013		Term Loan, 6.54%, Maturing March 31, 2010	1,194,993
		Team Health, Inc.
1,731,125		Term Loan, 6.24%, Maturing March 23, 2011	1,731,125
		Vanguard Health Holding Co., LLC
1,265,438		Term Loan, 6.74%, Maturing September 23, 2011	1,287,583
		VWR International, Inc.
1,189,933		Term Loan, 6.14%, Maturing April 7, 2011	1,205,924
			$	57,571,125
		Home Furnishings — 1.2%
		General Binding Corp.
2,081,946		Term Loan, 7.92%, Maturing January 15, 2008	2,085,850
		Interline Brands, Inc.
3,406,793		Term Loan, 5.74%, Maturing December 31, 2010	3,449,378
		Jarden Corp.
3,369,112		Term Loan, 5.47%, Maturing January 24, 2012	3,401,301
		Juno Lighting, Inc.
768,000		Term Loan, 6.98%, Maturing November 21, 2010	771,840
		Knoll, Inc.
2,836,706		Term Loan, 6.44%, Maturing September 30, 2011	2,882,802
		Sealy Mattress Co.
2,888,053		Term Loan, 5.13%, Maturing April 6, 2012	2,916,934
		Simmons Co.
4,920,659		Term Loan, 5.82%, Maturing December 19, 2011	4,967,814
		Termpur-Pedic, Inc.
4,900,000		Term Loan, 5.74%, Maturing June 30, 2009	4,952,063
			$	25,427,982
		Industrial Equipment — 0.7%
		Alliance Laundry Holdings, LLC
570,375		Term Loan, 5.59%, Maturing January 27, 2012	579,644
		Chart Industries, Inc.
1,400,410		Term Loan, 6.94%, Maturing September 15, 2009	1,403,911
		Colfax Corp.
2,295,572		Term Loan, 5.75%, Maturing November 30, 2011	2,318,528
		Flowserve Corp.
1,994,185		Term Loan, 6.22%, Maturing June 30, 2009	2,007,480
		Gleason Corp.
508,728		Term Loan, 6.28%, Maturing July 27, 2011	514,239
1,243,750		Term Loan, 10.00%, Maturing January 31, 2012	1,265,516
		Itron, Inc.
367,913		Term Loan, 5.28%, Maturing December 17, 2010	372,282

		Mainline, L.P.
$	782,889	Term Loan, 5.82%, Maturing December 17, 2011	$	786,803
		MTD Products, Inc.
990,000		Term Loan, 5.13%, Maturing June 1, 2010	998,662
		National Waterworks, Inc.
3,719,388		Term Loan, 5.99%, Maturing November 22, 2009	3,770,529
		SPX Corp.
260,615		Term Loan, 5.50%, Maturing March 31, 2008	261,266
			$	14,278,860
		Insurance — 0.8%
		Alliant Resources Group, Inc.
1,584,000		Term Loan, 6.88%, Maturing August 31, 2011	1,595,880
		CCC Information Services Group
1,098,898		Term Loan, 6.24%, Maturing August 20, 2010	1,115,381
		Conseco, Inc.
5,850,496		Term Loan, 6.99%, Maturing June 22, 2010	5,907,784
		Hilb, Rogal & Hobbs Co.
1,964,874		Term Loan, 5.75%, Maturing December 15, 2011	1,980,838
		U.S.I. Holdings Corp.
5,880,000		Term Loan, 6.18%, Maturing August 11, 2008	5,905,725
			$	16,505,608
		Leisure Goods/Activities/Movies — 2.4%
		24 Hour Fitness Worldwide, Inc.
2,020,000		Term Loan, 6.78%, Maturing June 8, 2012	2,053,457
		Alliance Atlantis Communications, Inc.
716,205		Term Loan, 5.27%, Maturing December 20, 2011	727,396
		AMF Bowling Worldwide, Inc.
1,600,371		Term Loan, 6.58%, Maturing August 27, 2009	1,613,875
		Cinemark, Inc.
1,975,000		Term Loan, 5.18%, Maturing March 31, 2011	2,003,144
		Fender Musical Instruments Co.
830,000		Term Loan, 7.71%, Maturing March 30, 2012	840,375
		Loews Cineplex Entertainment Corp.
4,303,583		Term Loan, 5.64%, Maturing July 30, 2011	4,338,885
		Metro-Goldwyn-Mayer Holdings
10,875,000		Term Loan, 5.74%, Maturing April 8, 2012	11,005,500
		Regal Cinemas Corp.
9,065,863		Term Loan, 5.24%, Maturing November 10, 2010	9,173,520
		Six Flags Theme Parks, Inc.
8,254,718		Term Loan, 6.16%, Maturing June 30, 2008	8,378,539
		Universal City Development Partners, Ltd.
2,129,300		Term Loan, 5.46%, Maturing June 9, 2011	2,157,690
		WMG Acquisition Corp.
900,000		Revolving Loan, 0.00%, Maturing February 28, 2010 (2)	877,782
7,157,433		Term Loan, 5.45%, Maturing February 28, 2011	7,235,399

		Yankees Holdings & YankeeNets, LLC
$	455,714	Term Loan, 5.53%, Maturing June 25, 2007	$	459,132
			$	50,864,694
		Lodging and Casinos — 2.0%
		Alliance Gaming Corp.
5,893,429		Term Loan, 6.77%, Maturing September 5, 2009	5,907,243
		Ameristar Casinos, Inc.
579,251		Term Loan, 5.50%, Maturing December 20, 2006	586,974
2,569,723		Term Loan, 5.50%, Maturing December 31, 2006	2,603,985
		Argosy Gaming Co.
2,382,000		Term Loan, 6.75%, Maturing June 30, 2011	2,389,939
		Boyd Gaming Corp.
4,935,150		Term Loan, 4.94%, Maturing June 30, 2011	4,990,157
		CNL Hospitality Partners, L.P.
481,605		Term Loan, 5.85%, Maturing October 13, 2006	482,809
		CNL Resort Hotel, L.P.
1,790,000		Term Loan, 6.56%, Maturing August 18, 2006	1,794,475
		Globalcash Access, LLC
949,442		Term Loan, 5.74%, Maturing March 10, 2010	965,068
		Isle of Capri Casinos, Inc.
2,507,400		Term Loan, 5.19%, Maturing February 4, 2012	2,537,567
		Marina District Finance Co., Inc.
2,835,750		Term Loan, 4.99%, Maturing October 14, 2011	2,861,153
		Pinnacle Entertainment, Inc.
1,690,104		Term Loan, 0.00%, Maturing August 27, 2010 (2)	1,697,498
1,565,000		Term Loan, 6.49%, Maturing August 27, 2010	1,588,475
		Resorts International Holdings, LLC
1,762,315		Term Loan, 5.99%, Maturing April 26, 2012	1,785,446
1,059,675		Term Loan, 9.07%, Maturing April 26, 2013	1,067,788
		Seminole Tribe of Florida
650,000		Term Loan, 5.38%, Maturing September 30, 2011	660,562
		Venetian Casino Resort, LLC
846,241		Term Loan, 0.00%, Maturing June 15, 2011 (2)	855,761
4,104,268		Term Loan, 5.24%, Maturing June 15, 2011	4,159,967
		Wyndham International, Inc.
297,414		Term Loan, 3.58%, Maturing May 10, 2011	298,901
3,144,705		Term Loan, 6.63%, Maturing May 10, 2011	3,166,718
		Wynn Las Vegas, LLC
1,410,000		Term Loan, 5.62%, Maturing December 14, 2011	1,427,096
			$	41,827,582
		Nonferrous Metals/Minerals — 0.8%
		Compass Minerals Group, Inc.
679,346		Term Loan, 5.92%, Maturing November 28, 2009	686,140
		Foundation Coal Corp.
1,638,298		Term Loan, 5.54%, Maturing July 30, 2011	1,668,105

		ICG, LLC
$	1,488,750	Term Loan, 6.10%, Maturing November 5, 2010	$	1,512,321
		International Mill Service, Inc.
2,000,000		Term Loan, 9.24%, Maturing October 26, 2011	2,030,000
		Magnequench, Inc.
832,372		Term Loan, 10.88%, Maturing September 30, 2009	832,372
1,600,000		Term Loan, 14.38%, Maturing December 31, 2009	1,600,000
		Murray Energy Corp.
977,550		Term Loan, 6.49%, Maturing January 28, 2010	984,271
		Novelis, Inc.
1,624,519		Term Loan, 4.96%, Maturing January 6, 2012	1,647,872
2,824,038		Term Loan, 4.96%, Maturing January 6, 2012	2,864,634
		Trout Coal Holdings, LLC
498,750		Term Loan, 5.99%, Maturing March 23, 2011	500,075
1,600,000		Term Loan, 8.50%, Maturing March 23, 2012	1,608,501
			$	15,934,291
		Oil and Gas — 2.5%
		Coffeyville Resources, LLC
850,000		Term Loan, 10.31%, Maturing June 24, 2013	880,281
		Dresser Rand Group, Inc.
1,439,100		Term Loan, 5.45%, Maturing October 29, 2011	1,461,811
		Dresser, Inc.
1,631,252		Term Loan, 5.99%, Maturing March 31, 2007	1,648,923
		Dynegy Holdings, Inc.
4,405,500		Term Loan, 7.34%, Maturing May 28, 2010	4,441,753
		El Paso Corp.
3,269,875		Term Loan, 5.27%, Maturing November 23, 2009	3,302,829
3,737,728		Term Loan, 6.24%, Maturing November 23, 2009	3,787,660
		Energy Transfer Company, L.P.
1,940,000		Term Loan, 6.47%, Maturing June 16, 2012	1,967,645
		Getty Petroleum Marketing, Inc.
3,117,104		Term Loan, 6.49%, Maturing May 19, 2010	3,156,068
		Kerr-McGee Corp.
2,850,000		Term Loan, 5.71%, Maturing May 24, 2007	2,871,375
5,180,000		Term Loan, 5.79%, Maturing May 24, 2011	5,275,654
		LB Pacific, L.P.
1,092,263		Term Loan, 6.15%, Maturing March 3, 2012	1,107,964
		Lyondell-Citgo Refining, L.P.
2,962,581		Term Loan, 5.51%, Maturing May 21, 2007	3,008,872
		Sprague Energy Corp.
5,500,000		Revolving Loan, 5.68%, Maturing August 10, 2007 (2)	5,486,250
		Universal Compression, Inc.
1,165,000		Term Loan, 5.24%, Maturing February 15, 2012 (2)	1,181,200
		Williams Production RMT Co.
12,191,689		Term Loan, 5.64%, Maturing May 30, 2008	12,328,846
			$	51,907,131

		Publishing — 2.6%
		American Media Operations, Inc.
$	2,277,028	Term Loan, 6.25%, Maturing April 1, 2007	$	2,307,863
		CBD Media, LLC
1,608,129		Term Loan, 5.84%, Maturing December 31, 2009	1,633,256
		Dex Media East, LLC
4,430,212		Term Loan, 5.08%, Maturing May 8, 2009	4,494,450
		Dex Media West, LLC
7,896,018		Term Loan, 5.13%, Maturing March 9, 2010	8,014,909
		Freedom Communications Holdings, Inc.
2,076,863		Term Loan, 4.83%, Maturing May 18, 2012	2,102,045
		Herald Media, Inc.
306,900		Term Loan, 5.56%, Maturing July 22, 2011	309,585
625,000		Term Loan, 8.99%, Maturing January 22, 2012	631,641
		Lamar Media Corp.
925,000		Term Loan, 4.63%, Maturing March 7, 2009	930,011
1,492,500		Term Loan, 5.06%, Maturing June 30, 2010	1,510,970
		Liberty Group Operating, Inc.
1,452,921		Term Loan, 5.63%, Maturing February 28, 2012	1,467,753
		Merrill Communications, LLC
1,488,961		Term Loan, 5.99%, Maturing February 9, 2009	1,501,989
		Morris Publishing Group, LLC
2,925,000		Term Loan, 5.00%, Maturing September 30, 2010	2,955,166
4,477,500		Term Loan, 5.25%, Maturing March 31, 2011	4,532,072
		Nebraska Book Co., Inc.
948,000		Term Loan, 5.88%, Maturing March 4, 2011	961,035
		Newspaper Holdings, Inc.
2,300,000		Term Loan, 5.15%, Maturing August 24, 2011	2,307,907
		R.H. Donnelley Corp.
1,256,161		Term Loan, 5.21%, Maturing December 31, 2009	1,271,602
4,943,798		Term Loan, 5.20%, Maturing June 30, 2011	5,017,006
		Source Media, Inc.
1,922,824		Term Loan, 5.74%, Maturing August 30, 2012	1,952,868
250,000		Term Loan, 8.87%, Maturing August 30, 2012	254,297
		SP Newsprint Co.
1,305,204		Term Loan, 3.43%, Maturing January 9, 2010	1,315,809
554,712		Term Loan, 5.74%, Maturing January 9, 2010	563,379
		Sun Media Corp.
2,563,021		Term Loan, 5.68%, Maturing February 7, 2009	2,598,263
		Xerox Corp.
4,500,000		Term Loan, 5.24%, Maturing September 30, 2008	4,539,375
			$	53,173,251
		Radio and Television — 1.9%
		Adams Outdoor Advertising, L.P.
2,513,535		Term Loan, 5.64%, Maturing October 15, 2011	2,552,809

		ALM Media Holdings, Inc.
$	1,167,075	Term Loan, 5.99%, Maturing March 5, 2010	$	1,169,993
		Block Communications, Inc.
740,305		Term Loan, 5.74%, Maturing November 30, 2009	747,245
		CanWest Media, Inc.
2,500,020		Term Loan, 5.64%, Maturing August 15, 2009	2,535,438
		DirecTV Holdings, LLC
4,210,000		Term Loan, 4.91%, Maturing April 13, 2013	4,258,491
		Emmis Operating Co.
5,547,125		Term Loan, 5.13%, Maturing November 10, 2011	5,612,304
		Entravision Communications Co.
1,160,000		Term Loan, 4.84%, Maturing February 27, 2012	1,171,841
		Gray Television, Inc.
3,300,000		Term Loan, 5.01%, Maturing December 31, 2012	3,323,720
		NEP Supershooters, L.P.
1,648,008		Term Loan, 11.48%, Maturing August 3, 2011	1,631,528
		Nexstar Broadcasting, Inc.
2,167,263		Term Loan, 5.24%, Maturing October 1, 2012	2,183,518
2,287,737		Term Loan, 5.24%, Maturing October 1, 2012	2,309,660
		PanAmSat Corp.
5,714,914		Term Loan, 5.65%, Maturing August 20, 2011	5,810,879
		Raycom TV Broadcasting, Inc.
2,350,000		Term Loan, 5.50%, Maturing February 24, 2012	2,373,500
		Spanish Broadcasting System
1,500,000		Term Loan, 7.03%, Maturing June 10, 2013	1,521,563
		Susquehanna Media Co.
1,995,000		Term Loan, 5.30%, Maturing March 9, 2012	2,019,938
		Young Broadcasting, Inc.
890,000		Term Loan, 5.64%, Maturing November 3, 2012	899,271
			$	40,121,698
		Rail Industries — 0.3%
		Kansas City Southern Railway Co.
766,150		Term Loan, 5.16%, Maturing March 30, 2008	778,121
		Railamerica, Inc.
4,396,576		Term Loan, 5.56%, Maturing September 29, 2011	4,471,683
519,723		Term Loan, 5.56%, Maturing September 29, 2011	528,601
			$	5,778,405
		Retailers (Except Food and Drug) — 1.4%
		American Achievement Corp.
628,286		Term Loan, 6.00%, Maturing March 25, 2011	634,176
		Amscan Holdings, Inc.
980,100		Term Loan, 6.34%, Maturing April 30, 2012	989,901
		Coinmach Laundry Corp.
4,402,881		Term Loan, 6.40%, Maturing July 25, 2009	4,460,668

		FTD, Inc.
$	811,327	Term Loan, 5.74%, Maturing February 28, 2011	$	822,482
		Harbor Freight Tools USA, Inc.
2,332,379		Term Loan, 5.78%, Maturing July 15, 2010	2,362,699
		Home Interiors & Gifts, Inc.
1,104,384		Term Loan, 8.38%, Maturing March 31, 2011	1,054,226
		Josten’s Corp.
2,588,750		Term Loan, 5.94%, Maturing October 4, 2010	2,630,817
		Mapco Express, Inc.
735,000		Term Loan, 6.21%, Maturing April 28, 2011	747,863
		Movie Gallery, Inc.
1,285,000		Term Loan, 6.49%, Maturing April 27, 2011	1,298,252
		Oriental Trading Co., Inc.
5,117,596		Term Loan, 6.00%, Maturing August 4, 2010	5,149,581
		Rent-A-Center, Inc.
2,564,786		Term Loan, 5.34%, Maturing June 30, 2010	2,595,563
		Riddell Bell Holdings, Inc.
496,250		Term Loan, 5.99%, Maturing September 30, 2011	503,591
		Savers, Inc.
769,357		Term Loan, 6.41%, Maturing August 4, 2009	775,127
1,000,000		Term Loan, 10.48%, Maturing August 4, 2010	1,017,500
		Travelcenters of America, Inc.
3,710,000		Term Loan, 5.09%, Maturing November 30, 2008	3,756,954
			$	28,799,400
		Surface Transport — 0.3%
		Horizon Lines, LLC
975,150		Term Loan, 5.99%, Maturing July 7, 2011	989,371
		NFIL Holdings Corp.
523,810		Term Loan, 5.34%, Maturing February 27, 2010	531,667
1,333,161		Term Loan, 5.48%, Maturing February 27, 2010	1,351,492
		Sirva Worldwide, Inc.
2,441,176		Term Loan, 6.45%, Maturing December 1, 2010	2,359,805
			$	5,232,335
		Telecommunications — 2.3%
		Alaska Communications Systems Holdings, Inc.
2,100,000		Term Loan, 5.49%, Maturing February 1, 2011	2,131,718
		American Tower, L.P.
5,336,625		Term Loan, 4.96%, Maturing August 31, 2011	5,403,333
		Centennial Cellular Operating Co., LLC
3,806,837		Term Loan, 5.68%, Maturing February 9, 2011	3,869,037
		Consolidated Communications, Inc.
2,098,439		Term Loan, 5.77%, Maturing July 27, 2015	2,132,539
		Fairpoint Communications, Inc.
2,450,000		Term Loan, 5.55%, Maturing February 8, 2012	2,485,219

		Hawaiian Telcom Communications, Inc.
$	905,000	Term Loan, 5.73%, Maturing October 31, 2012	$	918,151
		Intelsat Ltd.
995,001		Term Loan, 5.25%, Maturing July 28, 2011	1,005,324
		Iowa Telecommunications Services, Inc.
2,458,000		Term Loan, 5.50%, Maturing November 23, 2011	2,495,253
		Metrocall, Inc. & Arch Wireless Operating
105,814		Term Loan, 5.93%, Maturing November 16, 2006	106,608
		NTelos, Inc.
1,810,900		Term Loan, 5.99%, Maturing February 18, 2011	1,817,012
		Qwest Corp.
5,000,000		Term Loan, 8.10%, Maturing June 4, 2007	5,171,485
		SBA Senior Finance, Inc.
2,768,909		Term Loan, 5.55%, Maturing October 31, 2008	2,813,327
		Spectrasite Communications, Inc.
3,579,015		Term Loan, 4.91%, Maturing May 19, 2012	3,616,670
		Stratos Global Corp.
1,646,000		Term Loan, 5.74%, Maturing December 3, 2010	1,664,004
		Triton PCS, Inc.
2,751,175		Term Loan, 6.74%, Maturing November 18, 2009	2,768,370
		Valor Telecom Enterprise, LLC
2,610,000		Term Loan, 5.49%, Maturing February 14, 2012	2,644,723
		Westcom Corp.
976,563		Term Loan, 6.43%, Maturing December 17, 2010	983,887
1,000,000		Term Loan, 10.68%, Maturing May 17, 2011	1,022,500
		Western Wireless Corp.
5,359,500		Term Loan, 6.90%, Maturing May 28, 2011	5,378,162
			$	48,427,322
		Utilities — 1.3%
		Allegheny Energy Supply Co., LLC
3,518,104		Term Loan, 5.18%, Maturing March 8, 2011	3,569,556
		Cellnet Technology, Inc.
710,000		Term Loan, 6.68%, Maturing April 26, 2012	710,000
		Cogentrix Delaware Holdings, Inc.
2,067,146		Term Loan, 5.24%, Maturing January 14, 2012	2,093,633
		Covanta Energy Corp.
1,263,252		Term Loan, 3.36%, Maturing June 24, 2012	1,282,990
1,021,748		Term Loan, 6.46%, Maturing June 24, 2012	1,039,629
875,000		Term Loan, 8.96%, Maturing June 24, 2013	876,641
		KGen, LLC
967,575		Term Loan, 6.12%, Maturing August 5, 2011	962,737
		NRG Energy, Inc.
2,091,996		Term Loan, 3.39%, Maturing December 24, 2011	2,118,332
2,647,450		Term Loan, 5.37%, Maturing December 24, 2011	2,680,779

		Pike Electric, Inc.
$	1,365,946	Term Loan, 5.63%, Maturing July 1, 2012	$	1,383,021
1,029,093		Term Loan, 5.69%, Maturing July 1, 2012	1,041,957
		Plains Resources, Inc.
1,347,515		Term Loan, 5.49%, Maturing December 17, 2010	1,362,674
		Reliant Energy, Inc.
1,783,905		Term Loan, 6.07%, Maturing December 22, 2010	1,806,343
		Texas Genco, LLC
1,593,089		Term Loan, 5.40%, Maturing December 14, 2011	1,618,835
3,837,669		Term Loan, 5.41%, Maturing December 14, 2011	3,899,689
			$	26,446,816
		Total Senior, Floating Rate Interests (identified cost $1,005,062,371)	$	1,013,307,630

Mortgage Pass-Throughs — 48.8%

Principal
Amount
(000’s omitted)		Security	Value
		Federal Home Loan Mortgage Corp.:
$	2,238	3.368%, with maturity at 2025 (5)	$	2,279,136
1,402		6.00%, with maturity at 2026	1,441,201
26,853		6.50%, with various maturities to 2025	27,994,932
160,271		7.00%, with various maturities to 2027	167,925,205
1,438		7.13%, with maturity at 2023	1,529,349
52,877		7.50%, with various maturities to 2028	56,574,675
1,941		7.65%, with maturity at 2022	2,091,111
497		7.70%, with maturity at 2022	537,170
27,478		8.00%, with various maturities to 2030	29,909,670
31,495		8.50%, with various maturities to 2031	34,494,326
265		8.75%, with maturity at 2010	278,400
10,275		9.00%, with various maturities to 2031	11,284,371
8,928		9.50%, with various maturities to 2025	9,990,561
4,278		10.00%, with various maturities to 2022	4,867,533
2,826		10.50%, with various maturities to 2021	3,225,106
160		11.00%, with maturity at 2015	178,783
273		11.50%, with various maturities to 2020	308,619
2,678		12.00%, with various maturities to 2020	3,087,437
1,041		12.50%, with various maturities to 2015	1,207,846
451		13.00%, with maturity at 2015	531,473
34		13.50%, with maturity at 2014	38,839
162		14.00%, with maturity at 2014	195,820
			$	359,971,563
		Federal National Mortgage Assn.:
11,408		3.669%, with maturity at 2036 (5)	11,528,276
9,210		4.796%, with maturity at 2022	9,573,134

$	1,135	6.00%, with maturity at 2023	$	1,168,129
101,128		6.50%, with various maturities to 2029 (6)	105,231,152
1,103		6.75%, with maturity at 2023	1,159,345
70,583		7.00%, with various maturities to 2028 (6)	74,591,513
19,423		7.50%, with various maturities to 2028	20,816,449
22,015		8.00%, with various maturities to 2029	23,843,119
144		8.25%, with maturity at 2018	156,857
6,138		8.416%, with maturity at 2027	6,762,758
14,367		8.50%, with various maturities to 2028	15,741,028
1,908		8.616%, with maturity at 2029	2,106,972
3,135		8.651%, with maturity at 2028	3,436,890
2,928		8.80%, with maturity at 2027	3,220,948
23,112		9.00%, with various maturities to 2026	25,530,857
1,316		9.296%, with maturity at 2024	1,448,850
9,756		9.50%, with various maturities to 2030	10,898,634
5,227		10.00%, with various maturities to 2021	5,963,812
3,539		10.272%, with maturity at 2025	4,039,436
3,917		10.305%, with maturity at 2019	4,414,405
5,135		10.50%, with various maturities to 2025	5,857,321
1,708		11.00%, with various maturities to 2020	1,954,336
146		11.25%, with maturity at 2016	166,258
4,350		11.50%, with various maturities to 2021	5,024,788
14		11.75%, with maturity at 2014	16,929
678		12.00%, with various maturities to 2016	792,489
527		12.50%, with various maturities to 2015	611,166
611		13.00%, with various maturities to 2015	719,573
196		13.50%, with various maturities to 2017	233,417
82		14.50%, with maturity at 2014	99,644
			$	347,108,485
		Government National Mortgage Assn.:
8,319		6.00%, with maturity at 2024 (6)	8,559,455
66,983		6.50%, with various maturities to 2024 (6)	69,849,564
12,597		7.00%, with various maturities to 2024	13,315,506
39,536		8.00%, with various maturities to 2025 (6)	42,773,489
3,661		8.50%, with various maturities to 2022	4,017,276
17,064		9.00%, with various maturities to 2026	18,909,207
23,868		9.50%, with various maturities to 2026 (6)	26,804,818
1,622		10.00%, with maturity at 2019	1,865,664
			$	186,094,979
		Collateralized Mortgage Obligations:
1,134		Federal Home Loan Mortgage Corp., 7.00%, 6/15/29	1,193,632
5,292		Federal Home Loan Mortgage Corp., Series 1497, Class K, 7.00%, 4/15/23	5,534,749
8,394		Federal Home Loan Mortgage Corp., Series 1529, Class Z, 7.00%, 6/15/23	8,779,964

$	6,634	Federal Home Loan Mortgage Corp., Series 1620, Class Z, 6.00%, 11/15/23	$	6,865,182
1,373		Federal Home Loan Mortgage Corp., Series 1720, Class PJ, 7.25%, 1/15/24	1,404,032
3,135		Federal Home Loan Mortgage Corp., Series 2198, Class ZA, 8.50%, 11/15/29	3,540,856
4,300		Federal Home Loan Mortgage Corp., Series 24, Class J, 6.25%, 11/25/23	4,436,738
1,014		Federal National Mortgage Assn., Series 1988-14, Class I, 9.20%, 6/25/18	1,106,366
986		Federal National Mortgage Assn., Series 1989-1, Class D, 10.30%, 1/25/19	1,090,421
1,996		Federal National Mortgage Assn., Series 1989-34, Class Y, 9.85%, 7/25/19	2,204,387
541		Federal National Mortgage Assn., Series 1990-27, Class Z, 9.00%, 3/25/20	591,329
457		Federal National Mortgage Assn., Series 1990-29, Class J, 9.00%, 3/25/20	498,956
2,199		Federal National Mortgage Assn., Series 1990-43, Class Z, 9.50%, 4/25/20	2,443,164
794		Federal National Mortgage Assn., Series 1991-98, Class J, 8.00%, 8/25/21	845,423
435		Federal National Mortgage Assn., Series 1992-103, Class Z, 7.50%, 6/25/22	459,024
802		Federal National Mortgage Assn., Series 1992-113, Class Z, 7.50%, 7/25/22	851,980
1,643		Federal National Mortgage Assn., Series 1992-185, Class ZB, 7.00%, 10/25/22	1,724,440
6,515		Federal National Mortgage Assn., Series 1992-77, Class ZA, 8.00%, 5/25/22	6,984,083
3,303		Federal National Mortgage Assn., Series 1993-16, Class Z, 7.50%, 2/25/23	3,512,574
3,108		Federal National Mortgage Assn., Series 1993-22, Class PM, 7.40%, 2/25/23	3,273,617
4,298		Federal National Mortgage Assn., Series 1993-25, Class J, 7.50%, 3/25/23	4,547,107
9,647		Federal National Mortgage Assn., Series 1993-30, Class PZ, 7.50%, 3/25/23	10,220,878
7,083		Federal National Mortgage Assn., Series 1994-89, Class ZQ, 8.00%, 7/25/24	7,618,565
7,343		Federal National Mortgage Assn., Series 1996-57, Class Z, 7.00%, 12/25/26	7,740,900
4,307		Federal National Mortgage Assn., Series 1997-77, Class Z, 7.00%, 11/18/27	4,559,527
5,728		Federal National Mortgage Assn., Series 2001-37, Class GA, 8.00%, 7/25/16	6,079,199

$	1,423	Federal National Mortgage Assn., Series G92-44, Class Z, 8.00%, 7/25/22	$	1,508,873
2,315		Federal National Mortgage Assn., Series G92-44, Class ZQ, 8.00%, 7/25/22	2,500,532
5,012		Federal National Mortgage Assn., Series G93-29, Class Z, 7.00%, 8/25/23	5,255,260
9,000		Government National Mortgage Assn., Series 2002-45, Class PG, 6.00%, 3/17/32	9,240,844
2,864		Merrill Lynch Trust, Series 45, Class Z, 9.10%, 9/20/20	2,889,639
			$	119,502,241
		Total Mortgage Pass-Throughs (identified cost $1,028,293,446)	$	1,012,677,268

Corporate Bonds & Notes — 50.1%

	Aerospace and Defense — 0.6%
	Argo Tech Corp., Sr. Notes
1,815	9.25%, 6/1/11	1,987,425
	Armor Holdings, Inc., Sr. Sub. Notes
1,895	8.25%, 8/15/13	2,060,812
	BE Aerospace, Sr. Sub. Notes, Series B
660	8.00%, 3/1/08	664,950
	Sequa Corp.
5,350	8.875%, 4/1/08	5,818,125
	Standard Aero Holdings, Inc., Sr. Sub. Notes
325	8.25%, 9/1/14 (7)	344,500
	Vought Aircraft Industries, Inc., Sr. Notes
1,000	8.00%, 7/15/11	995,000
		$	11,870,812
	Air Transport — 0.4%
	American Airlines
3,615	7.80%, 10/1/06	3,472,957
525	8.608%, 4/1/11	505,081
	AMR Corp.
2,935	9.00%, 8/1/12	2,362,675
	Delta Air Lines
199	7.779%, 11/18/05	71,764
2,171	9.50%, 11/18/08 (7)	1,725,945
	Northwest Airlines, Inc.
445	8.875%, 6/1/06	304,825
		$	8,443,247
	Automotive — 2.6%
	Altra Industrial Motion, Inc.
665	9.00%, 12/1/11 (7)	631,750

		Commercial Vehicle Group, Inc., Sr. Notes
$	1,100	8.00%, 7/1/13 (7)	$	1,155,000
		Dana Credit Corp.
1,125		8.375%, 8/15/07 (7)	1,164,324
		Delphi Corp.
4,630		6.55%, 6/15/06	4,566,337
		Ford Motor Credit Co.
13,520		7.875%, 6/15/10	13,659,472
		General Motors Acceptance Corp.
575		6.125%, 9/15/06	578,944
4,450		7.00%, 2/1/12	4,281,652
		Keystone Automotive Operations, Inc., Sr. Sub. Notes
1,080		9.75%, 11/1/13	1,107,000
		Metaldyne, Inc., Sr. Notes
2,790		10.00%, 11/1/13 (7)	2,469,150
		Tenneco Automotive, Global Shares, Series B
10,855		10.25%, 7/15/13	12,428,975
		Tenneco Automotive, Inc.
2,680		8.625%, 11/15/14	2,814,000
		TRW Automotive, Inc., Sr. Notes
2,230		9.375%, 2/15/13	2,508,750
		TRW Automotive, Inc., Sr. Sub. Notes
3,900		11.00%, 2/15/13	4,543,500
		United Components, Inc., Sr. Sub. Notes
990		9.375%, 6/15/13	1,024,650
		Visteon Corp., Sr. Notes
2,025		8.25%, 8/1/10	1,964,250
			$	54,897,754
		Brokers/Dealers/Investment Houses — 0.3%
		CB Richard Ellis Services, Inc., Sr. Notes
695		9.75%, 5/15/10	776,662
		CB Richard Ellis Services, Inc., Sr. Sub. Notes
2,600		11.25%, 6/15/11	2,905,500
		*ETrade Financial Corp., Sr. Notes**
3,035		8.00%, 6/15/11	3,239,862
			$	6,922,024
		Building and Development — 1.6%
		Coleman Cable, Inc., Sr. Notes
1,060		9.875%, 10/1/12 (7)	948,700
		Dayton Superior Corp., Sr. Notes
7,170		10.75%, 9/15/08	7,492,650
		MAAX Corp., Sr. Sub. Notes
1,150		9.75%, 6/15/12	1,098,250
		Mueller Group, Inc., Sr. Sub. Notes
2,625		10.00%, 5/1/12	2,821,875

		Mueller Holdings, Inc., Disc. Notes
$	1,440	14.75%, 4/15/14	$	1,058,400
		Nortek, Inc., Sr. Sub Notes
5,715		8.50%, 9/1/14	5,593,556
		NTK Holdings, Inc., Sr. Disc. Notes
2,575		10.75%, 3/1/14 (7)	1,480,625
		Ply Gem Industries, Inc., Sr. Sub. Notes
2,895		9.00%, 2/15/12	2,547,600
		RMCC Acquisition Co., Sr. Sub. Notes
3,495		9.50%, 11/1/12 (7)	3,477,525
		WCI Communities, Inc., Sr. Sub. Notes
6,000		7.875%, 10/1/13	6,142,500
			$	32,661,681
		Business Equipment and Services — 2.4%
		Aearo Co. I, Sr. Sub. Notes
1,665		8.25%, 4/15/12	1,681,650
		FTI Consulting, Sr. Notes
1,090		7.625%, 6/15/13 (7)	1,113,162
		Hydrochem Industrial Services, Inc., Sr. Sub Notes
2,430		9.25%, 2/15/13 (7)	2,296,350
		Muzak LLC/Muzak Finance, Sr. Notes
5,250		10.00%, 2/15/09	4,718,437
		Neff Rental/Neff Finance
3,080		11.25%, 6/15/12 (7)	3,203,200
		Norcross Safety Products LLC/Norcross Capital Corp., Sr. Sub. Notes, Series B
4,885		9.875%, 8/15/11	5,190,312
		NSP Holdings/NSP Holdings Capital Corp., Sr. Notes (PIK)
4,814		11.75%, 1/1/12	4,705,836
		Quintiles Transnational Corp., Sr. Sub. Notes
9,690		10.00%, 10/1/13	10,852,800
		Safety Products Holdings, Sr. Notes (PIK)
985		11.75%, 1/1/12 (7)	977,612
		Sungard Data Systems, Inc., Sr. Notes
7,220		9.125%, 8/15/13 (7)	7,535,875
		Sungard Data Systems, Inc., Sr. Sub. Notes
4,815		10.25%, 8/15/15 (7)	5,013,619
		Williams Scotsman, Inc., Sr. Notes
1,515		10.00%, 8/15/08	1,658,925
			$	48,947,778
		Cable and Satellite Television — 3.2%
		Adelphia Communications Corp.
2,500		10.25%, 6/15/11	2,265,625
		CCO Holdings LLC / CCO Capital Corp., Sr. Notes
2,000		8.75%, 11/15/13	2,010,000

		Charter Communications Holdings II, LLC, Sr. Notes
$	4,535	10.25%, 9/15/10	$	4,705,062
		Charter Communications Holdings, LLC, Sr. Disc. Notes
1,125		11.75%, 1/15/10	939,375
		Charter Communications Holdings, LLC, Sr. Notes
2,520		10.25%, 1/15/10	2,022,300
		Charter Communications Holdings, LLC/Charter Communications Holdings Capital Corp., Sr. Notes
2,605		11.125%, 1/15/11	2,090,512
		CSC Holdings, Inc., Sr. Notes
2,970		7.875%, 12/15/07	3,085,087
5,000		8.125%, 7/15/09	5,175,000
3,300		6.75%, 4/15/12 (7)	3,209,250
		CSC Holdings, Inc., Sr. Notes, Series B
1,140		7.625%, 4/1/11	1,154,250
		CSC Holdings, Inc., Sr. Sub. Notes
3,130		10.50%, 5/15/16	3,419,525
		Insight Communications, Sr. Disc. Notes
16,450		12.25%, 2/15/11	16,820,125
		Kabel Deutschland GMBH
4,965		10.625%, 7/1/14 (7)	5,511,150
		Rainbow National Services, LLC, Sr. Notes
1,805		8.75%, 9/1/12 (7)	1,990,012
		Rainbow National Services, LLC, Sr. Sub. Debs.
6,905		10.375%, 9/1/14 (7)	7,940,750
		UGS Corp.
3,130		10.00%, 6/1/12	3,489,950
			$	65,827,973
		Chemicals and Plastics — 3.2%
		Acetex Corp., Sr. Notes
3,000		10.875%, 8/1/09	3,180,000
		Avecia Investments Ltd.
121		11.00%, 7/1/09	124,479
		Aventine Renewable Energy Holdings, Inc., Variable Rate
1,385		9.41%, 12/15/11 (7)	1,364,225
		BCP Crystal Holdings Corp., Sr. Sub Notes
3,172		9.625%, 6/15/14	3,600,220
		Borden U.S. Finance/Nova Scotia Finance, Sr. Notes
1,765		9.00%, 7/15/14 (7)	1,833,394
		Crystal US Holdings/US Holdings 3, LLC, Sr. Disc. Notes, Series B
3,357		10.50%, 10/1/14	2,433,825
		Equistar Chemical, Sr. Notes
7,000		10.625%, 5/1/11	7,840,000
		Huntsman Advanced Materials, Sr. Notes
905		11.00%, 7/15/10	1,033,962

		Huntsman International
$	6,000	9.875%, 3/1/09	$	6,442,500
		Huntsman LLC
4,426		11.625%, 10/15/10	5,222,680
		Innophos, Inc., Sr. Sub. Notes
720		8.875%, 8/15/14 (7)	743,400
		Koppers, Inc.
1,835		9.875%, 10/15/13	2,009,325
		Lyondell Chemical Co.
995		11.125%, 7/15/12	1,133,056
		Lyondell Chemical Co., Sr. Notes
1,892		10.50%, 6/1/13	2,194,720
		Nalco Co., Sr. Sub. Notes
2,960		8.875%, 11/15/13 (7)	3,241,200
		OM Group, Inc.
11,180		9.25%, 12/15/11	11,459,500
		Polyone Corp., Sr. Notes
2,490		10.625%, 5/15/10	2,689,200
25		8.875%, 5/1/12	25,187
		Polypore, Inc., Sr. Sub Notes
390		8.75%, 5/15/12	379,275
		PQ Corp.
1,125		7.50%, 2/15/13 (7)	1,130,625
		Rhodia SA, Sr. Notes
3,945		10.25%, 6/1/10	4,270,462
		Rockwood Specialties Group, Sr. Sub. Notes
1,360		10.625%, 5/15/11	1,513,000
		Solo Cup Co., Sr. Sub. Notes
2,870		8.50%, 2/15/14	2,762,375
			$	66,626,610
		Clothing/Textiles — 1.8%
		GFSI, Inc., Sr. Sub. Notes, Series B
270		9.625%, 3/1/07	247,050
		Levi Strauss & Co., Sr. Notes
7,070		12.25%, 12/15/12	7,971,425
2,590		9.75%, 1/15/15	2,732,450
		Levi Strauss & Co., Sr. Notes, Variable Rate
2,575		8.254%, 4/1/12	2,587,875
		Oxford Industries, Inc., Sr. Notes
9,690		8.875%, 6/1/11	10,440,975
		Perry Ellis International, Inc., Sr. Sub. Notes
4,605		8.875%, 9/15/13	4,708,612
		Phillips Van-Heusen, Sr. Notes
1,700		7.25%, 2/15/11	1,797,750
2,500		8.125%, 5/1/13	2,718,750

		Quiksilver, Inc., Sr. Notes
$	3,500	6.875%, 4/15/15 (7)	$	3,543,750
			$	36,748,637
		Conglomerates — 0.6%
		Amsted Industries, Inc., Sr. Notes
7,150		10.25%, 10/15/11 (7)	7,757,750
		Goodman Global Holdings, Sr. Notes, Variable Rate
1,570		6.41%, 6/15/12 (7)	1,585,700
		Spectrum Brands, Inc.
2,765		7.375%, 2/1/15	2,744,262
			$	12,087,712
		Containers and Glass Products — 1.8%
		Anchor Glass Container Corp.
5,000		11.00%, 2/15/13	3,100,000
		Crown Euro Holdings SA
20,495		10.875%, 3/1/13	24,132,862
		Graphic Packaging International Corp., Sr. Sub. Notes
3,265		9.50%, 8/15/13	3,362,950
		Intertape Polymer US, Inc., Sr. Sub. Notes
3,235		8.50%, 8/1/14	3,186,993
		Pliant Corp. (PIK)
2,361		11.625%, 6/15/09 (7)	2,568,110
		Pliant Corp., Sr. Notes
940		11.125%, 9/1/09	911,800
		US Can Corp., Sr. Notes
820		10.875%, 7/15/10	877,400
			$	38,140,115
		Cosmetics/Toiletries — 0.1%
		Del Laboratories, Inc., Sr. Sub Notes
1,780		8.00%, 2/1/12	1,450,700
			$	1,450,700
		Ecological Services and Equipment — 0.4%
		Allied Waste North America, Series B
4,480		8.875%, 4/1/08	4,748,800
		Waste Services, Inc., Sr. Sub. Notes
3,530		9.50%, 4/15/14 (7)	3,547,650
			$	8,296,450
		Electronics/Electrical — 1.2%
		Advanced Micro Devices, Inc.
7,830		7.75%, 11/1/12	7,967,025
		Amkor Technologies, Inc., Sr. Notes
2,135		7.125%, 3/15/11	1,873,462
8,380		7.75%, 5/15/13	7,164,900

		CPI Holdco, Inc., Sr. Notes, Variable Rate
$	1,320	8.83%, 2/1/15	$	1,274,254
		L-3 Communications Corp., Sr. Sub. Notes
1,105		6.375%, 10/15/15 (7)	1,124,337
		Sanmina-SCI Corp., Sr. Notes
5,000		10.375%, 1/15/10	5,575,000
		Stratus Technologies, Inc., Sr. Notes
775		10.375%, 12/1/08	786,625
			$	25,765,603
		Equipment Leasing — 0.3%
		United Rentals North America, Inc.
745		6.50%, 2/15/12	728,237
		United Rentals North America, Inc., Sr. Sub. Notes
5,590		7.00%, 2/15/14	5,296,525
			$	6,024,762
		Farming/Agriculture — 0.6%
		IMC Global, Inc.
6,775		11.25%, 6/1/11	7,520,250
		UAP Holding Corp., Sr. Disc. Notes
5,535		10.75%, 7/15/12	4,760,100
			$	12,280,350
		Financial Intermediaries — 0.9%
		Alzette, Variable Rate
750		8.691%, 12/15/20 (7)	768,750
		Avalon Capital Ltd. 3, Series 1A, Class D, Variable Rate
760		5.24%, 2/24/19 (7)	762,736
		Babson Ltd., Series 2005-1A, Class C1, Variable Rate
1,000		5.315%, 4/15/19 (7)	1,000,000
		Bryant Park CDO Ltd., Series 2005-1A, Class C, Variable Rate
1,000		4.941%, 1/15/19 (7)	1,000,000
		Carlyle High Yield Partners, Series 2004-6A, Class C, Variable Rate
974		5.224%, 8/11/16 (7)	973,583
		Centurion CDO 8 Ltd., Series 2005 8A, Class D, Variable Rate
1,000		8.297%, 3/8/17	1,000,000
		Centurion CDO 9 Ltd., Series 2005-9A
500		0.00%, 7/17/19	500,000
		Dryden Leveraged Loan, Series 2004-6A, Class C1, Variable Rate
1,500		4.055%, 7/30/16 (7)	1,509,375
		Refco Finance Holdings
8,480		9.00%, 8/1/12	9,200,800
		Residential Capital Corp.
1,735		6.875%, 6/30/15 (7)	1,809,466
		Stanfield Vantage Ltd., Series 2005-1A, Class D, Variable Rate
1,000		5.337%, 3/21/17 (7)	1,000,000
			$	19,524,710

		Food Products — 0.6%
		American Seafood Group, LLC
$	440	10.125%, 4/15/10	$	474,100
		ASG Consolidated, LLC/ASG Finance, Inc., Sr. Disc. Notes
4,240		11.50%, 11/1/11	3,095,200
		Pierre Foods, Inc., Sr. Sub. Notes
3,225		9.875%, 7/15/12	3,394,312
		Pinnacle Foods Holdings Corp., Sr. Sub. Notes
4,160		8.25%, 12/1/13	3,806,400
		WH Holdings Ltd./WH Capital Corp., Sr. Notes
1,119		9.50%, 4/1/11	1,202,925
			$	11,972,937
		Food/Drug Retailers — 0.3%
		Rite Aid Corp.
3,730		7.125%, 1/15/07	3,767,300
2,170		8.125%, 5/1/10	2,248,662
			$	6,015,962
		Forest Products — 2.7%
		Caraustar Industries, Inc.
425		7.375%, 6/1/09	428,187
		Caraustar Industries, Inc., Sr. Sub. Notes
5,820		9.875%, 4/1/11	5,950,950
		Georgia-Pacific Corp.
15,225		9.50%, 12/1/11	18,346,125
		MDP Acquisitions/JSG Funding PLC, Sr. Notes
14,940		9.625%, 10/1/12	15,164,100
		Newark Group, Inc., Sr. Sub. Notes
2,795		9.75%, 3/15/14	2,585,375
		NewPage Corp.
7,855		10.00%, 5/1/12 (7)	8,012,100
		Norske Skog Canada Ltd., Sr. Notes, Series D
1,140		8.625%, 6/15/11	1,185,600
		Stone Container Corp., Sr. Notes
3,180		9.25%, 2/1/08	3,339,000
		Stone Container Finance Canada
1,150		7.375%, 7/15/14	1,101,125
			$	56,112,562
		Healthcare — 3.1%
		AMR HoldCo, Inc./EmCare HoldCo, Inc., Sr. Sub. Notes
3,470		10.00%, 2/15/15 (7)	3,730,250
		CDRV Investors, Inc., Sr. Disc. Notes
4,145		9.625%, 1/1/15	2,134,675
		Concentra Operating Corp., Sr. Notes
7,000		9.50%, 8/15/10	7,490,000

		Healthsouth Corp.
$	1,125	7.625%, 6/1/12	$	1,108,125
		Healthsouth Corp., Sr. Notes
3,125		7.375%, 10/1/06	3,187,500
		Inverness Medical Innovations, Inc., Sr. Sub. Notes
3,175		8.75%, 2/15/12	3,095,625
		Knowledge Learning Center, Sr. Sub. Notes
2,200		7.75%, 2/1/15 (7)	2,123,000
		Medical Device Manufacturing, Inc., Series B
2,645		10.00%, 7/15/12	2,856,600
		Medquest, Inc.
6,000		11.875%, 8/15/12	5,880,000
		National Mentor, Inc., Sr. Sub. Notes
2,470		9.625%, 12/1/12 (7)	2,624,375
		Rotech Healthcare, Inc.
3,675		9.50%, 4/1/12	3,969,000
		Service Corp. International, Sr. Notes
1,110		7.00%, 6/15/17 (7)	1,144,688
		Tenet Healthcare Corp., Sr. Notes
6,500		9.25%, 2/1/15 (7)	6,727,500
		US Oncology, Inc.
2,205		9.00%, 8/15/12	2,414,475
4,365		10.75%, 8/15/14	4,888,800
		Vanguard Health Holding Co. II LLC, Sr. Sub. Notes
4,730		9.00%, 10/1/14	5,167,525
		Ventas Realty L.P./Capital Corp., Sr. Notes
1,600		7.125%, 6/1/15 (7)	1,700,000
		VWR International, Inc., Sr. Sub. Notes
3,270		8.00%, 4/15/14	3,163,725
			$	63,405,863
		Home Furnishings — 0.1%
		Fedders North America, Inc.
2,585		9.875%, 3/1/14	1,848,275
			$	1,848,275
		Industrial Equipment — 1.5%
		Case New Holland, Inc., Sr. Notes
7,695		9.25%, 8/1/11	8,368,313
		General Cable Corp., Sr. Notes
2,110		9.50%, 11/15/10	2,204,950
		Manitowoc Co., Inc. (The)
975		10.50%, 8/1/12	1,106,625
		Milacron Escrow Corp.
2,630		11.50%, 5/15/11	2,682,600
		National Waterworks, Inc., Series B
1,500		10.50%, 12/1/12	1,762,500

		Terex Corp.
$	5,265	10.375%, 4/1/11	$	5,712,525
		Thermadyne Holdings Corp., Sr. Sub. Notes
4,575		9.25%, 2/1/14	4,369,125
		Wesco Distribution, Inc.
4,327		9.125%, 6/1/08	4,402,723
			$	30,609,361
		Leisure Goods/Activities/Movies — 2.0%
		Affinity Group, Inc., Sr. Sub. Notes
3,860		9.00%, 2/15/12	3,975,800
		AMC Entertainment, Inc., Sr. Sub. Notes
2,235		9.875%, 2/1/12	2,268,525
		LCE Acquisition Corp., Sr. Sub. Notes
7,895		9.00%, 8/1/14 (7)	7,737,100
		Marquee Holdings, Inc., Sr. Disc. Notes
5,965		12.00%, 8/15/14	3,698,300
		Samsonite Corp., Sr. Sub. Notes
3,680		8.875%, 6/1/11	3,983,600
		Universal City Development Partners, Sr. Notes
15,200		11.75%, 4/1/10	17,537,000
		Universal City Florida Holding, Sr. Notes
830		8.375%, 5/1/10	875,650
		Universal City Florida Holding, Sr. Notes, Variable Rate
1,845		7.96%, 5/1/10	1,937,250
			$	42,013,225
		Lodging and Casinos — 2.8%
		CCM Merger, Inc.
2,700		8.00%, 8/1/13 (7)	2,764,125
		Chukchansi EDA, Sr. Notes
800		14.50%, 6/15/09 (7)	982,000
		Host Marriot L.P., Series O
445		6.375%, 3/15/15	442,775
		Inn of the Mountain Gods, Sr. Notes
5,230		12.00%, 11/15/10	6,060,263
		John Q Hamons Hotels/Finance, Series B
3,500		8.875%, 5/15/12	3,854,375
		Majestic Star Casino LLC
5,555		9.50%, 10/15/10	5,728,594
		Meristar Hospitality Operations/Finance
4,955		10.50%, 6/15/09	5,314,238
		Mohegan Tribal Gaming Authority, Sr. Sub. Notes
1,335		8.00%, 4/1/12	1,433,456
		OED Corp./Diamond Jo LLC
3,830		8.75%, 4/15/12	3,729,463

		Premier Entertainment Biloxi, LLC/Premier Finance Biloxi Corp.
$	475	10.75%, 2/1/12	$	481,531
		Seneca Gaming Corp., Sr. Notes
2,840		7.25%, 5/1/12 (7)	2,960,700
		Station Casinos, Inc., Sr. Sub Notes
2,430		6.875%, 3/1/16 (7)	2,515,050
		Trump Entertainment Resorts, Inc.
11,720		8.50%, 6/1/15	11,954,400
		Waterford Gaming LLC, Sr. Notes
8,724		8.625%, 9/15/12 (7)	9,334,680
		Wynn Las Vegas LLC/Corp.
1,210		6.625%, 12/1/14	1,184,288
			$	58,739,938
		Nonferrous Metals/Minerals — 0.4%
		Aleris International, Inc.
2,008		9.00%, 11/15/14	2,113,420
		Aleris International, Inc., Sr. Notes
1,115		10.375%, 10/15/09	1,234,863
		Alpha Natural Resources, Sr. Notes
1,370		10.00%, 6/1/12	1,527,550
		Novelis, Inc., Sr. Notes
3,360		7.25%, 2/15/15 (7)	3,452,400
			$	8,328,233
		Oil and Gas — 3.0%
		Clayton Williams Energy, Inc., Sr. Notes
1,110		7.75%, 8/1/13 (7)	1,112,775
		Coastal Corp.
345		7.50%, 8/15/06	355,350
		Coastal Corp., Sr. Debs.
2,305		9.625%, 5/15/12	2,581,600
		Dresser, Inc.
13,145		9.375%, 4/15/11	13,867,975
		Dynegy Holdings, Inc.
3,725		7.625%, 10/15/26	3,650,500
		Dynegy Holdings, Inc., Sr. Notes
2,480		10.125%, 7/15/13 (7)	2,839,600
		El Paso Corp.
1,515		6.95%, 12/15/07	1,547,194
		El Paso Corp., Sr. Notes
2,180		7.625%, 8/16/07 (7)	2,245,400
		El Paso Production Holding Co.
500		7.75%, 6/1/13	533,125
		Giant Industries
850		8.00%, 5/15/14	896,750

		Hanover Compressor Co., Sr. Sub. Notes
$	6,755	0.00%, 3/31/07	$	6,113,275
		Hanover Equipment Trust, Series B
675		8.75%, 9/1/11	723,938
		Inergy L.P./ Finance, Sr. Notes
3,980		6.875%, 12/15/14 (7)	3,920,300
		Ocean Rig Norway AS, Sr. Notes
1,120		8.375%, 7/1/13 (7)	1,176,000
		Parker Drilling Co., Sr. Notes
1,930		9.625%, 10/1/13	2,200,200
		Premcor Refining Group, Sr. Sub. Notes
1,265		7.75%, 2/1/12	1,375,688
		Sonat, Inc.
5,000		7.625%, 7/15/11	5,175,000
		Transmontaigne, Inc., Sr. Sub. Notes
6,115		9.125%, 6/1/10	6,543,050
		United Refining Co., Sr. Notes
3,795		10.50%, 8/15/12	3,984,750
1,060		10.50%, 8/15/12 (7)	1,113,000
		Williams Cos., Inc. (The)
1,085		8.75%, 3/15/32	1,348,113
			$	63,303,583
		Publishing — 1.8%
		Advanstar Communications, Inc.
6,980		10.75%, 8/15/10	7,957,200
		American Media Operations, Inc.
1,040		8.875%, 1/15/11	1,006,200
		American Media Operations, Inc., Series B
7,375		10.25%, 5/1/09	7,504,063
		CBD Media, Inc., Sr. Sub. Notes
1,335		8.625%, 6/1/11	1,403,419
		Dex Media West LLC, Sr. Sub. Notes
4,565		9.875%, 8/15/13	5,226,925
		Houghton Mifflin Co., Sr. Disc. Notes
500		11.50%, 10/15/13 (7)	395,000
		Houghton Mifflin Co., Sr. Sub. Notes
3,805		9.875%, 2/1/13	4,166,475
		Jostens Holding Corp., Sr. Disc. Notes
1,250		10.25%, 12/1/13	906,250
		WDAC Subsidiary Corp., Sr. Notes
1,405		8.375%, 12/1/14 (7)	1,380,413
		Xerox Corp.
3,000		9.75%, 1/15/09	3,390,000
		Xerox Corp., Sr. Notes
1,855		7.125%, 6/15/10	1,966,300
1,485		7.625%, 6/15/13	1,592,663
			$	36,894,908

		Radio and Television — 1.7%
		CanWest Media, Inc.
$	2,156	8.00%, 9/15/12	$	2,299,018
		CanWest Media, Inc., Sr. Sub. Notes
11,000		10.625%, 5/15/11	12,045,000
		Echostar DBS Corp., Sr. Notes
10,000		6.754%, 10/1/08	10,275,000
		Emmis Communications Corp., Sr. Notes, Class A, Variable Rate
3,000		9.314%, 6/15/12 (7)	3,018,750
		Fisher Communications, Inc., Sr. Notes
385		8.625%, 9/15/14	418,688
		Nexstar Finance Holdings LLC, Inc., Sr. Disc. Notes
3,450		11.375%, 4/1/13	2,643,563
		Nextmedia Operating, Inc.
1,370		10.75%, 7/1/11	1,501,863
		PanAmSat Corp.
1,833		9.00%, 8/15/14	2,034,630
		XM Satellite Radio Holdings, Inc.
1,065		1.75%, 12/1/09	1,015,744
			$	35,252,256
		Rail Industries — 0.2%
		Greenbrier Cos., Inc. (The), Sr. Notes
4,295		8.375%, 5/15/15 (7)	4,499,013
			$	4,499,013
		Retailers (Except Food and Drug) — 0.2%
		Penny (JC) Co., Inc.
1,875		8.00%, 3/1/10	2,073,594
		Sonic Automotive, Inc., Sr. Sub. Notes
1,600		8.625%, 8/15/13	1,656,000
			$	3,729,594
		Steel — 0.3%
		AK Steel Corp.
2,000		7.75%, 6/15/12	1,870,000
		Ispat Inland ULC, Sr. Notes
2,102		9.75%, 4/1/14	2,490,870
		Oregon Steel Mills, Inc.
1,140		10.00%, 7/15/09	1,242,600
			$	5,603,470
		Surface Transport — 0.5%
		H-Lines Finance Holding, Sr. Disc. Notes
2,355		11.00%, 4/1/13 (7)	1,907,550
		Horizon Lines, LLC
5,035		9.00%, 11/1/12 (7)	5,425,213

		OMI Corp., Sr. Notes
$	1,105	7.625%, 12/1/13	$	1,131,244
		Quality Distribution LLC/QD Capital Corp.
775		9.00%, 11/15/10	717,844
		Quality Distribution LLC/QD Capital, Variable Rate
1,815		7.641%, 1/15/12 (7)	1,735,594
			$	10,917,445
		Telecommunications — 4.6%
		AirGate PCS, Inc., Variable Rate
1,080		7.349%, 10/15/11	1,128,600
		Alamosa Delaware, Inc., Sr. Disc. Notes
1,855		12.00%, 7/31/09	2,079,919
		Alamosa Delaware, Inc., Sr. Notes
6,230		11.00%, 7/31/10	7,133,350
		American Tower, L.P., Sr. Notes
858		9.375%, 2/1/09	907,335
		Centennial Cellular Operating Co./Centennial Communications Corp., Sr. Notes
7,100		10.125%, 6/15/13	8,031,875
		Digicel Ltd., Sr. Notes
1,100		9.25%, 9/1/12 (7)	1,135,750
		Inmarsat Finance PLC
2,493		7.625%, 6/30/12	2,651,663
		Intelsat Bermuda Ltd., Sr. Notes
7,665		5.25%, 11/1/08	7,300,913
2,800		8.25%, 1/15/13 (7)	2,940,000
		Intelsat Bermuda Ltd., Sr. Notes, Variable Rate
5,450		8.695%, 1/15/12 (7)	5,586,250
		IWO Escrow Co., Sr. Disc. Notes
2,230		10.75%, 1/15/15 (7)	1,605,600
		IWO Escrow Co., Variable Rate
575		7.349%, 1/15/12 (7)	589,375
		LCI International, Inc., Sr. Notes
4,695		7.25%, 6/15/07	4,624,575
		New Skies Satellites NV, Sr. Sub. Notes
550		9.125%, 11/1/12	569,250
		Paxson Communications Corp.
1,365		10.75%, 7/15/08	1,358,175
		Paxson Communications Corp., Variable Rate
3,000		6.349%, 1/15/10 (7)	3,015,000
		Qwest Capital Funding, Inc.
4,950		7.75%, 8/15/06	5,073,750
2,035		6.375%, 7/15/08	2,004,475
1,465		7.90%, 8/15/10	1,479,650
		Qwest Communications International, Inc.
1,370		7.25%, 2/15/11	1,342,600

		Qwest Communications International, Inc., Sr. Notes
$	9,010	7.50%, 2/15/14 (7)	$	8,739,700
		Qwest Corp.
2,000		8.875%, 3/15/12	2,200,000
		Qwest Corp., Sr. Notes
3,230		7.875%, 9/1/11	3,383,425
1,940		7.625%, 6/15/15 (7)	2,012,750
		Qwest Corp., Sr. Notes, Variable Rate
1,000		6.671%, 6/15/13 (7)	1,050,000
		Qwest Services Corp.
3,740		13.50%, 12/15/10	4,319,700
		Rogers Wireless, Inc.
490		7.50%, 3/15/15	537,775
		Rogers Wireless, Inc., Variable Rate
1,314		6.535%, 12/15/10	1,374,773
		Rural Cellular Corp., Variable Rate
2,000		7.51%, 3/15/10	2,085,000
		Telemig Celular SA/Amazonia Celular SA
1,755		8.75%, 1/20/09 (7)	1,827,394
		UbiquiTel Operating Co., Sr. Notes
3,995		9.875%, 3/1/11	4,479,394
		Western Wireless, Sr. Notes
3,290		9.25%, 7/15/13	3,767,050
			$	96,335,066
		Utilities — 2.3%
		AES Corp., Sr. Notes
4,500		8.75%, 6/15/08	4,860,000
6,000		9.50%, 6/1/09	6,720,000
4,005		8.75%, 5/15/13 (7)	4,455,563
945		9.00%, 5/15/15 (7)	1,058,400
		Calpine Corp., Sr. Notes
3,750		8.25%, 8/15/05	3,759,375
830		7.625%, 4/15/06	767,750
		Mission Energy Holding Co.
3,290		13.50%, 7/15/08	3,948,000
		NRG Energy, Inc., Sr. Notes
1,822		8.00%, 12/15/13	1,958,650
		Orion Power Holdings, Inc., Sr. Notes
12,415		12.00%, 5/1/10	14,960,075
		Reliant Energy, Inc.
1,770		9.25%, 7/15/10	1,947,000
2,800		9.50%, 7/15/13	3,129,000
			$	47,563,813
		Total Corporate Bonds & Notes (identified cost $1,002,813,099)	$	1,039,662,422

Convertible Bonds — 0.3%

Principal Amount (000’s omitted)		Security	Value
$	1,300	Amkor Technologies, Inc.	$	1,248,000
1,995		L-3 Communications Corp. (3)(7)	2,039,888
1,155		Nortel Networks Ltd.	1,084,256
2,100		XM Satellite Radio, Inc. (7)	2,002,875
		Total Convertible Bonds (identified cost, $6,459,993)	$	6,375,019

Common Stocks — 0.3%

Shares	Security	Value
1,061	Crown Castle International Corp. (8)	$	23,082
5,510,000	Trump Atlantic City (3)(8)	212,135
346,245	Trump Entertainment Resorts, Inc. (8)	6,547,493
	Total Common Stocks (identified cost, $4,859,953)	$	6,782,710

Convertible Preferred Stocks — 0.0%

10,058		Crown Castle International Corp., (PIK)		$	500,385
		Total Convertible Preferred Stocks (identified cost, $480,158)		$	500,385

Commercial Paper — 0.8%

Principal		Maturity
Amount		Date	Borrower	Rate		Amount
$	16,379,000	08/01/05	General Electric Capital Corp.	3.29	%	$	16,379,000
			Total Commercial Paper (at amortized cost)			$	16,379,000

Short-Term Investments — 0.2%

Principal		Maturity
Amount		Date	Borrower	Rate			Amount
$	4,000,000	08/01/05	Investors Bank and Trust Company Time Deposit		3.30	%		$	4,000,000
Total Short-Term Investments (at amortized cost)								$	4,000,000
Total Investments — 149.4% (identified cost $3,068,298,244)								$	3,099,684,434
Less Unfunded Loan Commitments — (0.3)%								$	(6,082,731	)
Net Investments — 149.1% (identified cost $3,062,215,513)								$	3,093,601,703
Other Assets, Less Liabilities — (10.5)%								$	(219,097,906	)
Auction Preferred Shares Plus Cumulative Unpaid Dividends — (38.6)%								$	(800,272,889	)
Net Assets Applicable to Common Shares — 100.0%								$	2,074,230,908

PIK	—	Payment In Kind.
(1)		Senior floating-rate interests often require prepayments from excess cash flows or permit the borrower to repay at its 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, it is anticipated that the senior floating-rate interests will have an expected average life of approximately two to three years. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility. Senior Loans typically have rates of interest which are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.
(2)		Unfunded loan commitments. The Fund may enter into certain credit agreements all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the Borrower’s discretion.
(3)		Security valued at fair value using methods determined in good faith by or at the direction of the Trustees.
(4)		Defaulted security.
(5)		Adjustable rate mortgage.
(6)		All or a portion of these securities were on loan at July 31, 2005.

(7)		Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2005, the aggregate value of the securities is $214,087,671 or 10.3% of the Fund’s net assets.
(8)		Non-income producing security.

A summary of financial instruments at July 31, 2005 is as follows:

Credit Default Swaps

Notional Amount	Expiration Date	Description		Net Unrealized (Depreciation)
2,000,000 USD	3/20/2010		Agreement with Lehman Brothers Special Financing Inc. dated 5/18/05 whereby the Fund will receive 2.4% per year times the notional amount. The Fund makes a payment of the notional amount only upon a default event on the reference entity, a Revolving Credit Agreement issued by Inergy, L.P.		$	(1,035	)

At July 31, 2005, the Fund had sufficient cash segregated to cover potential obligations arising from open swap contracts.

The cost and unrealized appreciation (depreciation) in value of the investments owned at July 31, 2005, as computed on a federal income tax basis, were as follows:

Aggregate cost	$	3,072,216,177
Gross unrealized appreciation	$	57,259,529
Gross unrealized depreciation	(29,791,272		)
Net unrealized appreciation	$	27,468,257

Item 2. Controls and Procedures

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

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

Signatures

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

Eaton Vance Limited Duration Income Fund

By:		/s/ Thomas E. Faust Jr.
		Thomas E. Faust Jr.
		President and Principal Executive Officer
Date:		September 27, 2005

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/ Thomas E. Faust Jr.
		Thomas E. Faust Jr.
		President and Principal Executive Officer
Date:		September 27, 2005
By:		/s/ James L. O’Connor
		James L. O’Connor
		Treasurer and Principal Financial Officer
Date:		September 27, 2005