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:		January 31, 2006

Item 1. Schedule of Investments

Eaton Vance Limited Duration Income Fund as of January 31, 2006

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating Rate Interests — 51.3% (1)

Principal
Amount		Borrower/Tranche Description	Value
Aerospace and Defense — 1.2%
		Alliant Techsystems, Inc.
$	721,500	Term Loan, 5.78%, Maturing March 31, 2009	$	725,107
		CACI International, Inc.
1,350,937		Term Loan, 5.79%, Maturing May 3, 2011	1,365,010
		Delta Air Lines, Inc.
2,000,000		Term Loan, 13.51%, Maturing March 16, 2008	2,066,250
		Dresser Rand Group, Inc.
1,888,646		Term Loan, 6.39%, Maturing October 29, 2011	1,922,289
		Hexcel Corp.
3,299,111		Term Loan, 6.30%, Maturing March 1, 2012	3,334,850
		IAP Worldwide Services, Inc.
2,250,000		Term Loan, 7.63%, Maturing December 30, 2012	2,276,719
		K&F Industries, Inc.
2,913,648		Term Loan, 6.87%, Maturing November 18, 2012	2,950,069
		Mid-Western Aircraft Systems, Inc.
1,578,322		Term Loan, 6.85%, Maturing December 31, 2011	1,601,504
		Standard Aero Holdings, Inc.
639,680		Term Loan, 6.89%, Maturing August 24, 2012	636,081
		Transdigm, Inc.
5,207,250		Term Loan, 6.58%, Maturing July 22, 2010	5,279,662
		Vought Aircraft Industries, Inc.
1,317,482		Term Loan, 7.07%, Maturing December 22, 2011	1,331,645
		Wyle Laboratories, Inc.
312,638		Term Loan, 7.02%, Maturing January 28, 2011	317,620
			$	23,806,806
Air Transport — 0.1%
		United Airlines, Inc.
900,000		DIP Loan, 0.00%, Maturing March 31, 2006 (2)	902,812
987,510		Term Loan, 8.62%, Maturing December 31, 2006	995,534
			$	1,898,346
Automotive — 2.4%
		Accuride Corp.
3,289,973		Term Loan, 6.55%, Maturing January 31, 2012	3,333,977
		Affina Group, Inc.
1,076,874		Term Loan, 7.67%, Maturing November 30, 2011	1,070,951
		Axletech International Holding, Inc.
1,950,000		Term Loan, 10.95%, Maturing April 21, 2013	1,963,812
		Collins & Aikman Products Co.
881,938		Term Loan, 11.00%, Maturing August 31, 2011	853,905
		CSA Acquisition Corp.
1,012,599		Term Loan, 6.56%, Maturing December 23, 2011	1,016,903

$	643,087	Term Loan, 6.56%, Maturing December 23, 2011	$	645,820
		Dayco Products, LLC
2,944,482		Term Loan, 7.30%, Maturing June 23, 2011	2,979,448
		Delphi Corp.
1,000,000		Term Loan, 7.38%, Maturing October 8, 2007	1,015,417
		Exide Technologies, Inc.
629,865		Term Loan, 9.38%, Maturing May 5, 2010	634,195
629,216		Term Loan, 9.39%, Maturing May 5, 2010	633,542
		Federal-Mogul Corp.
1,950,000		DIP Loan, 6.56%, Maturing December 9, 2006	1,959,750
5,626,706		Term Loan, 8.31%, Maturing December 9, 2006	5,640,773
		Goodyear Tire & Rubber Co.
950,000		Term Loan, 5.94%, Maturing April 30, 2010	959,161
3,185,000		Term Loan, 7.06%, Maturing April 30, 2010	3,221,162
1,000,000		Term Loan, 7.81%, Maturing March 1, 2011	1,004,500
		HLI Operating Co., Inc.
2,134,400		Term Loan, 7.65%, Maturing June 3, 2009	2,133,638
		Key Automotive Group
1,085,747		Term Loan, 7.39%, Maturing June 29, 2010	1,085,747
		Keystone Automotive Operations, Inc.
2,100,000		Term Loan, 7.06%, Maturing October 30, 2010	2,109,187
		R.J. Tower Corp.
1,880,000		DIP Revolving Loan, 7.25%, Maturing February 2, 2007	1,920,287
		Tenneco Automotive, Inc.
1,861,375		Term Loan, 6.63%, Maturing December 12, 2009	1,892,088
817,670		Term Loan, 6.64%, Maturing December 12, 2010	831,161
		TI Automotive, Ltd.
1,371,884		Term Loan, 7.94%, Maturing June 30, 2011	1,353,020
		Trimas Corp.
4,186,013		Term Loan, 8.38%, Maturing December 31, 2009	4,222,640
		TRW Automotive, Inc.
1,980,000		Term Loan, 6.00%, Maturing October 31, 2010	1,988,415
2,302,480		Term Loan, 6.25%, Maturing June 30, 2012	2,306,477
		United Components, Inc.
1,446,667		Term Loan, 6.81%, Maturing June 30, 2010	1,469,271
		Visteon Corp.
650,000		Term Loan, 9.18%, Maturing June 20, 2007	656,419
			$	48,901,666
Beverage and Tobacco — 0.8%
		Alliance One International, Inc.
957,763		Term Loan, 8.03%, Maturing May 13, 2010	961,354
		Constellation Brands, Inc.
5,341,371		Term Loan, 5.90%, Maturing November 30, 2011	5,410,477
		Culligan International Co.
1,188,000		Term Loan, 6.97%, Maturing September 30, 2011	1,204,582

		National Dairy Holdings, L.P.
$	2,307,538	Term Loan, 6.57%, Maturing March 15, 2012	$	2,320,517
		National Distribution Company
950,000		Term Loan, 11.06%, Maturing June 22, 2010	952,375
		Southern Wine & Spirits of America, Inc.
4,308,439		Term Loan, 6.03%, Maturing June 1, 2012	4,350,851
		Sunny Delight Beverages Co.
444,706		Term Loan, 8.46%, Maturing August 20, 2010	441,371
			$	15,641,527
Building and Development — 3.6%
		AP-Newkirk Holdings, LLC
2,550,000		Term Loan, 6.99%, Maturing December 21, 2007	2,572,312
		Biomed Realty, L.P.
3,690,000		Term Loan, 6.64%, Maturing May 31, 2010	3,699,225
		DMB / CH II LLC
492,800		Term Loan, 7.06%, Maturing September 9, 2009	494,032
		Epco / Fantome, LLC
1,975,000		Term Loan, 7.57%, Maturing November 23, 2010	1,977,469
		Formica Corp.
96,826		Term Loan, 9.50%, Maturing June 10, 2010	97,311
78,132		Term Loan, 9.50%, Maturing June 10, 2010	78,523
189,334		Term Loan, 9.51%, Maturing June 10, 2010	190,281
271,595		Term Loan, 9.51%, Maturing June 10, 2010	272,953
		FT-FIN Acquisition, LLC
1,413,217		Term Loan, 8.94%, Maturing November 17, 2007	1,416,750
		Gables GP, Inc.
1,877,289		Term Loan, 6.16%, Maturing September 30, 2006	1,889,413
		General Growth Properties, Inc.
9,919,300		Term Loan, 6.57%, Maturing November 12, 2008	9,948,849
		Hovstone Holdings, LLC
1,485,000		Term Loan, 6.78%, Maturing February 28, 2009	1,488,712
		Kyle Acquisition Group, LLC
802,819		Term Loan, 6.50%, Maturing July 20, 2010	808,338
		Landsource Communities, LLC
1,002,000		Term Loan, 7.00%, Maturing March 31, 2010	1,012,646
		LNR Property Corp.
4,272,239		Term Loan, 7.28%, Maturing February 3, 2008	4,308,954
1,399,850		Term Loan, 7.42%, Maturing February 3, 2008	1,408,599
		LNR Property Holdings
1,045,000		Term Loan, 8.77%, Maturing March 3, 2008	1,055,450
		MAAX Corp.
809,201		Term Loan, 7.51%, Maturing June 4, 2011	784,925
		Mueller Group, Inc.
3,915,188		Term Loan, 6.75%, Maturing October 3, 2012	3,966,574
		NCI Building Systems, Inc.
1,842,188		Term Loan, 5.85%, Maturing June 18, 2010	1,854,278

		Newkirk Master, L.P.
$	4,519,482	Term Loan, 6.14%, Maturing August 11, 2008	$	4,559,027
		Nortek, Inc.
4,024,375		Term Loan, 6.95%, Maturing August 27, 2011	4,060,848
		Panolam Industries Holdings, Inc.
723,188		Term Loan, 7.28%, Maturing September 30, 2012	734,035
		Ply Gem Industries, Inc.
799,005		Term Loan, 6.64%, Maturing February 12, 2011	804,997
1,808,169		Term Loan, 7.19%, Maturing February 12, 2011	1,821,731
312,539		Term Loan, 7.19%, Maturing February 12, 2011	314,883
		Shea Capital I, LLC
700,000		Term Loan, 6.26%, Maturing October 27, 2011	701,750
		South Edge, LLC
2,287,500		Term Loan, 6.57%, Maturing October 31, 2009	2,303,702
		St. Marys Cement, Inc.
1,964,925		Term Loan, 6.53%, Maturing December 4, 2010	1,994,399
		Stile Acquisition Corp.
974,301		Term Loan, 6.63%, Maturing April 6, 2013	951,669
		Stile U.S. Acquisition Corp.
975,961		Term Loan, 6.63%, Maturing April 6, 2013	953,291
		Sugarloaf Mills, L.P.
1,000,000		Term Loan, 6.26%, Maturing April 7, 2007	1,005,000
2,000,000		Term Loan, 7.42%, Maturing April 7, 2007	2,000,000
		TE / Tousa Senior, LLC
1,750,000		Term Loan, 7.19%, Maturing July 29, 2008	1,765,312
		The Woodlands Community Property Co.
1,174,000		Term Loan, 6.78%, Maturing November 30, 2007	1,182,805
367,000		Term Loan, 8.78%, Maturing November 30, 2007	372,505
		Tousa/Kolter, LLC
2,330,000		Term Loan, 5.88%, Maturing January 7, 2008 (2)	2,341,650
		Tru 2005 Re Holding Co.
5,325,000		Term Loan, 7.39%, Maturing December 9, 2008	5,303,924
		Trustreet Properties, Inc.
1,800,000		Term Loan, 6.39%, Maturing April 8, 2010	1,818,000
			$	74,315,122
Business Equipment and Services — 2.0%
		Acco Brands Corp.
2,240,550		Term Loan, 6.25%, Maturing August 17, 2012	2,270,236
		Affinion Group, Inc.
2,588,372		Term Loan, 7.10%, Maturing October 17, 2012	2,575,430
		Allied Security Holdings, LLC
782,202		Term Loan, 8.28%, Maturing June 30, 2010	791,980
		Baker & Taylor, Inc.
2,850,000		Term Loan, 11.00%, Maturing May 6, 2011	2,885,625
		DynCorp International, LLC
1,349,800		Term Loan, 7.13%, Maturing February 11, 2011	1,363,861

		Global Imaging Systems, Inc.
$	2,393,386	Term Loan, 5.99%, Maturing May 10, 2010	$	2,411,337
		Info USA, Inc.
433,125		Term Loan, 9.25%, Maturing June 4, 2010	434,208
		Iron Mountain, Inc.
2,649,201		Term Loan, 6.19%, Maturing April 2, 2011	2,673,624
1,980,000		Term Loan, 6.22%, Maturing April 2, 2011	1,996,087
		Language Line, Inc.
2,853,438		Term Loan, 8.88%, Maturing June 11, 2011	2,873,055
		Mitchell International, Inc.
838,600		Term Loan, 6.53%, Maturing August 15, 2011	851,179
		Protection One, Inc.
1,089,611		Term Loan, 7.44%, Maturing April 18, 2011	1,101,188
		Sungard Data Systems, Inc.
15,059,325		Term Loan, 6.81%, Maturing February 11, 2013	15,231,875
		Transaction Network Services, Inc.
948,834		Term Loan, 6.48%, Maturing May 4, 2012	951,206
		Western Inventory Services
625,000		Term Loan, 11.28%, Maturing October 14, 2011	629,687
		Williams Scotsman, Inc.
2,250,000		Term Loan, 6.91%, Maturing June 28, 2010	2,280,470
			$	41,321,048
Cable and Satellite Television — 3.1%
		Adelphia Communications Corp.
3,670,546		DIP Loan, 6.31%, Maturing March 31, 2006	3,688,898
		Atlantic Broadband Finance, LLC
1,935,000		Term Loan, 7.20%, Maturing September 1, 2011	1,969,468
		Bragg Communications, Inc.
2,160,162		Term Loan, 6.46%, Maturing August 31, 2011	2,183,114
		Brentagg Holding GmbH and Co. KG
650,000		Term Loan, 6.46%, Maturing December 23, 2015	650,000
		Bresnan Communications, LLC
6,500,000		Term Loan, 8.00%, Maturing September 30, 2010	6,593,438
		Canadian Cable Acquisition
492,500		Term Loan, 7.53%, Maturing July 30, 2011	499,580
		Cebridge Connections, Inc.
2,569,462		Term Loan, 10.43%, Maturing February 23, 2010	2,665,817
		Charter Communications Operating, LLC
1,000,000		Term Loan, 7.67%, Maturing April 27, 2010	1,005,331
14,026,492		Term Loan, 7.92%, Maturing April 27, 2011	14,140,458
		Insight Midwest Holdings, LLC
9,280,152		Term Loan, 6.56%, Maturing December 31, 2009	9,419,354
		MCC Iowa, LLC
3,520,000		Term Loan, 5.87%, Maturing March 31, 2010	3,520,943
2,457,703		Term Loan, 6.45%, Maturing February 3, 2014	2,493,608

		Mediacom Illinois, LLC
$	4,851,000	Term Loan, 6.64%, Maturing March 31, 2013	$	4,924,143
		NTL, Inc.
2,600,000		Term Loan, 7.44%, Maturing April 13, 2012	2,614,625
		UGS Corp.
4,738,802		Term Loan, 6.55%, Maturing March 31, 2012	4,803,960
		UPC Broadband Holdings B.V.
2,560,000		Term Loan, 7.28%, Maturing September 30, 2012	2,591,314
			$	63,764,051
Chemicals and Plastics — 2.3%
		Brenntag Holding GmbH and Co. KG
490,909		Term Loan, 6.92%, Maturing December 23, 2013	498,886
2,009,091		Term Loan, 6.92%, Maturing December 23, 2013	2,041,236
		Celanese Holdings, LLC
4,966,473		Term Loan, 6.53%, Maturing April 6, 2011 (2)	5,025,450
		Gentek, Inc.
602,642		Term Loan, 7.09%, Maturing February 25, 2011	608,443
875,000		Term Loan, 10.35%, Maturing February 25, 2012	873,359
		Hercules, Inc.
1,822,762		Term Loan, 6.31%, Maturing October 8, 2010	1,846,686
		Huntsman, LLC
6,655,927		Term Loan, 6.23%, Maturing August 16, 2012	6,699,610
		Innophos, Inc.
519,750		Term Loan, 6.80%, Maturing August 13, 2010	527,113
		Invista B.V.
3,269,128		Term Loan, 6.38%, Maturing April 29, 2011	3,308,629
1,661,803		Term Loan, 6.38%, Maturing April 29, 2011	1,681,882
		ISP Chemco, Inc.
1,473,750		Term Loan, 6.47%, Maturing March 27, 2011	1,492,172
		Kraton Polymer, LLC
2,663,109		Term Loan, 7.02%, Maturing December 23, 2010	2,703,055
		Mosaic Co.
1,548,300		Term Loan, 6.18%, Maturing February 21, 2012	1,565,138
		Nalco Co.
6,058,307		Term Loan, 6.56%, Maturing November 4, 2010	6,142,748
		PQ Corp.
1,413,927		Term Loan, 6.56%, Maturing February 11, 2012	1,432,485
		Rockwood Specialties Group, Inc.
3,776,850		Term Loan, 6.67%, Maturing December 10, 2012	3,827,305
		Solo Cup Co.
4,405,506		Term Loan, 7.03%, Maturing February 27, 2011	4,450,478
		Wellman, Inc.
1,250,000		Term Loan, 8.25%, Maturing February 10, 2009	1,268,750
			$	45,993,425

Clothing / Textiles — 0.1%
		St. John Knits International, Inc.
$	1,629,547	Term Loan, 7.06%, Maturing March 23, 2012	$	1,653,990
		The William Carter Co.
954,671		Term Loan, 6.49%, Maturing July 14, 2012	965,809
			$	2,619,799
Conglomerates — 1.6%
		Amsted Industries, Inc.
3,423,143		Term Loan, 7.10%, Maturing October 15, 2010	3,475,918
		Blount, Inc.
802,201		Term Loan, 7.00%, Maturing August 9, 2010	810,558
		Bushnell Performance Optics
997,561		Term Loan, 7.53%, Maturing August 19, 2011	1,007,953
		Euramax International, Inc.
827,206		Term Loan, 7.25%, Maturing June 28, 2012	824,449
501,316		Term Loan, 11.54%, Maturing June 28, 2013	473,743
248,684		Term Loan, 11.54%, Maturing June 28, 2013	235,007
		Goodman Global Holdings, Inc.
1,201,018		Term Loan, 6.94%, Maturing December 23, 2011	1,219,784
		Jarden Corp.
1,286,403		Term Loan, 6.28%, Maturing January 24, 2012	1,292,513
4,210,320		Term Loan, 6.53%, Maturing January 24, 2012	4,246,785
		Johnson Diversey, Inc.
5,018,813		Term Loan, 6.80%, Maturing December 16, 2011	5,070,256
		Polymer Group, Inc.
4,350,000		Term Loan, 6.77%, Maturing November 22, 2012	4,401,656
		PP Acquisition Corp.
4,318,041		Term Loan, 7.53%, Maturing November 12, 2011	4,298,251
		Rexnord Corp.
3,253,575		Term Loan, 6.49%, Maturing December 31, 2011	3,295,602
		US Investigations Services, Inc.
2,295,500		Term Loan, 7.00%, Maturing October 14, 2012	2,311,282
700,000		Term Loan, 7.04%, Maturing October 14, 2013	704,813
			$	33,668,570
Containers and Glass Products — 2.2%
		Berry Plastics Corp.
4,244,381		Term Loan, 6.45%, Maturing December 2, 2011	4,305,394
		BWAY Corp.
2,038,700		Term Loan, 6.56%, Maturing June 30, 2011	2,068,644
		Consolidated Container Holding, LLC
1,231,250		Term Loan, 7.50%, Maturing December 15, 2008	1,242,793
		Crown America, Inc.
700,000		Term Loan, 6.00%, Maturing November 15, 2012	705,469
		Dr. Pepper/Seven Up Bottling Group, Inc.
3,366,541		Term Loan, 6.48%, Maturing December 19, 2010	3,417,460

		Graham Packaging Holdings Co.
$	4,455,000	Term Loan, 6.84%, Maturing October 7, 2011	$	4,515,062
3,000,000		Term Loan, 8.81%, Maturing April 7, 2012	3,073,749
		Graphic Packaging International, Inc.
10,792,061		Term Loan, 6.98%, Maturing August 8, 2010	10,970,810
		IPG (US), Inc.
1,259,063		Term Loan, 6.74%, Maturing July 28, 2011	1,277,949
		Owens-Illinois, Inc.
4,189,555		Term Loan, 6.18%, Maturing April 1, 2007	4,207,885
		Smurfit-Stone Container Corp.
652,032		Term Loan, 4.29%, Maturing November 1, 2010	659,082
4,679,010		Term Loan, 6.71%, Maturing November 1, 2011	4,730,479
1,636,234		Term Loan, 6.73%, Maturing November 1, 2011	1,654,233
		U.S. Can Corp.
1,473,750		Term Loan, 8.31%, Maturing January 15, 2010	1,488,488
			$	44,317,497
Cosmetics / Toiletries — 0.3%
		American Safety Razor Co.
928,056		Term Loan, 7.15%, Maturing February 28, 2012	941,976
		Prestige Brands, Inc.
3,243,938		Term Loan, 6.31%, Maturing April 6, 2011	3,276,377
		Revlon Consumer Products Corp.
1,461,250		Term Loan, 10.23%, Maturing July 9, 2010	1,507,142
			$	5,725,495
Drugs — 0.3%
		Warner Chilcott Corp.
55,205		Term Loan, 7.36%, Maturing January 31, 2006	55,315
11,041		Term Loan, 1.38%, Maturing June 30, 2006 (2)	11,063
3,476,293		Term Loan, 7.14%, Maturing January 18, 2012	3,495,576
1,400,777		Term Loan, 7.28%, Maturing January 18, 2012	1,408,547
647,119		Term Loan, 7.28%, Maturing January 18, 2012	650,709
			$	5,621,210
Ecological Services and Equipment — 0.8%
		Alderwoods Group, Inc.
548,119		Term Loan, 6.36%, Maturing September 29, 2009	554,971
		Allied Waste Industries, Inc.
1,598,250		Term Loan, 2.31%, Maturing January 15, 2012	1,613,135
4,116,604		Term Loan, 6.35%, Maturing January 15, 2012	4,153,266
		Envirocare of Utah, LLC
4,015,665		Term Loan, 7.38%, Maturing April 15, 2010	4,069,206
		Environmental Systems, Inc.
1,195,791		Term Loan, 8.07%, Maturing December 12, 2008	1,218,586
1,000,000		Term Loan, 14.52%, Maturing December 12, 2010	1,020,000
		IESI Corp.
1,764,706		Term Loan, 6.56%, Maturing January 20, 2012	1,790,626

		Sensus Metering Systems, Inc.
$	106,709	Term Loan, 6.81%, Maturing December 17, 2010	$	107,877
825,425		Term Loan, 6.84%, Maturing December 17, 2010	834,453
			$	15,362,120
Electronics / Electrical — 1.6%
		AMI Semiconductor, Inc.
2,414,335		Term Loan, 6.06%, Maturing April 1, 2012	2,430,432
		Aspect Software, Inc.
3,725,000		Term Loan, 6.56%, Maturing September 22, 2010	3,759,922
		Communications & Power, Inc.
2,402,778		Term Loan, 6.72%, Maturing July 23, 2010	2,425,804
		Enersys Capital, Inc.
1,551,375		Term Loan, 6.40%, Maturing March 17, 2011	1,569,798
		Fairchild Semiconductor Corp.
8,938,463		Term Loan, 6.31%, Maturing December 31, 2010	9,061,367
		Invensys International Holdings Ltd.
2,296,819		Term Loan, 7.79%, Maturing September 4, 2009	2,325,530
		Rayovac Corp.
3,878,280		Term Loan, 6.91%, Maturing February 7, 2012	3,919,486
		Security Co., Inc.
985,011		Term Loan, 9.50%, Maturing June 30, 2010	992,398
500,000		Term Loan, 12.06%, Maturing June 30, 2011	506,875
		SSA Global Technologies, Inc.
497,500		Term Loan, 6.52%, Maturing September 22, 2011	501,231
		Telcordia Technologies, Inc.
3,562,851		Term Loan, 6.91%, Maturing September 15, 2012	3,524,995
		Vertafore, Inc.
500,000		Term Loan, 6.03%, Maturing December 22, 2011	505,000
		Viasystems, Inc.
1,739,981		Term Loan, 8.83%, Maturing September 30, 2009	1,759,556
			$	33,282,394
Equipment Leasing — 0.5%
		Ashtead Group, PLC
990,000		Term Loan, 6.13%, Maturing November 12, 2009	1,000,210
		Maxim Crane Works, L.P.
1,030,730		Term Loan, 9.94%, Maturing January 28, 2012	1,059,504
		The Hertz Corp.
612,044		Term Loan, 1.13%, Maturing December 21, 2012 (2)	620,418
522,222		Term Loan, 4.50%, Maturing December 21, 2012	530,234
3,565,733		Term Loan, 6.65%, Maturing December 21, 2012	3,620,435
		United Rentals, Inc.
565,000		Term Loan, 4.39%, Maturing February 14, 2011	572,062
2,775,563		Term Loan, 6.79%, Maturing February 14, 2011	2,810,257
			$	10,213,120

Farming / Agriculture — 0.0%
		Central Garden & Pet Co.
$	593,948	Term Loan, 6.28%, Maturing May 15, 2009	$	596,175
			$	596,175
Financial Intermediaries — 1.3%
		AIMCO Properties, L.P.
1,550,000		Term Loan, 6.35%, Maturing November 2, 2009	1,571,798
5,500,000		Term Loan, 6.42%, Maturing November 2, 2009	5,584,222
		Ameritrade Holding Corp.
5,125,000		Term Loan, 6.04%, Maturing December 31, 2012	5,157,672
		Coinstar, Inc.
654,329		Term Loan, 6.55%, Maturing July 7, 2011	661,281
		Fidelity National Information Solutions, Inc.
8,242,584		Term Loan, 6.19%, Maturing March 9, 2013	8,300,282
		LPL Holdings, Inc.
4,700,000		Term Loan, 7.88%, Maturing June 30, 2013	4,684,335
		The Macerich Partnership, L.P.
1,465,000		Term Loan, 5.94%, Maturing April 25, 2010	1,475,683
			$	27,435,273
Food Products — 1.1%
		Acosta, Inc.
1,625,000		Term Loan, 6.82%, Maturing December 6, 2012	1,643,281
		American Seafoods Group, LLC
1,481,250		Term Loan, 6.28%, Maturing September 30, 2011	1,502,543
		BF Bolthouse HoldCo, LLC
1,475,000		Term Loan, 9.92%, Maturing December 16, 2013	1,511,260
		Chiquita Brands, LLC
3,313,362		Term Loan, 6.56%, Maturing June 28, 2012	3,352,709
		Del Monte Corp.
957,763		Term Loan, 6.14%, Maturing February 8, 2012	972,129
		Doane Pet Care Co.
598,500		Term Loan, 6.77%, Maturing October 21, 2012	607,103
		Dole Food Company, Inc.
1,288,823		Term Loan, 6.06%, Maturing April 18, 2012	1,295,728
		Herbalife International, Inc.
289,519		Term Loan, 6.39%, Maturing December 21, 2010	292,293
		MafCo Worldwide Corp.
1,459,091		Term Loan, 6.50%, Maturing December 8, 2011	1,474,594
		Michael Foods, Inc.
1,771,673		Term Loan, 6.66%, Maturing November 21, 2010	1,796,402
		Pinnacle Foods Holdings Corp.
4,478,784		Term Loan, 7.78%, Maturing November 25, 2010	4,542,607
		Reddy Ice Group, Inc.
3,130,000		Term Loan, 6.32%, Maturing August 9, 2012	3,162,280
			$	22,152,929

Food Service — 1.0%
		AFC Enterprises, Inc.
$	1,934,120	Term Loan, 6.81%, Maturing May 11, 2011	$		1,958,296
		Buffets, Inc.
418,182		Term Loan, 3.60%, Maturing June 28, 2009	422,364
2,073,941		Term Loan, 8.18%, Maturing June 28, 2009	2,094,680
		Burger King Corp.
1,064,650		Term Loan, 6.31%, Maturing June 30, 2012	1,077,293
		Carrols Corp.
601,705		Term Loan, 7.00%, Maturing December 31, 2010	610,730
		CKE Restaurants, Inc.
1,245,093		Term Loan, 6.50%, Maturing May 1, 2010	1,259,100
		Denny’s, Inc.
529,655		Term Loan, 7.61%, Maturing September 30, 2009	540,138
		Domino’s, Inc.
8,088,339		Term Loan, 6.06%, Maturing June 25, 2010	8,184,388
		Gate Gourmet Borrower, LLC
963,491		Term Loan, 11.92%, Maturing December 31, 2008	965,900
		Jack in the Box, Inc.
1,470,000		Term Loan, 5.92%, Maturing January 8, 2011	1,485,618
		Maine Beverage Co., LLC
909,375		Term Loan, 6.28%, Maturing June 30, 2010	907,102
		Weight Watchers International, Inc.
938,125		Term Loan, 6.10%, Maturing March 31, 2010	949,460
			$		20,455,069
Food / Drug Retailers — 0.9%
		Cumberland Farms, Inc.
1,509,977		Term Loan, 6.79%, Maturing September 8, 2008		1,513,752
3,945,684		Term Loan, 6.88%, Maturing September 8, 2008		3,967,878
		General Nutrition Centers, Inc.
2,261,653		Term Loan, 7.49%, Maturing December 7, 2009		2,293,459
		Giant Eagle, Inc.
2,075,000		Term Loan, 5.98%, Maturing November 7, 2012		2,087,645
		Roundy’s Supermarkets, Inc.
3,800,000		Term Loan, 7.46%, Maturing November 3, 2011		3,790,500
		The Jean Coutu Group (PJC), Inc.
2,905,323		Term Loan, 6.94%, Maturing July 30, 2011		2,943,255
		The Pantry, Inc.
975,000		Term Loan, 6.14%, Maturing January 2, 2012		986,883
				$		17,583,372
Forest Products — 0.9%
		Appleton Papers, Inc.
2,299,215		Term Loan, 6.58%, Maturing June 11, 2010		2,324,794
		Boise Cascade Holdings, LLC
6,328,683		Term Loan, 6.29%, Maturing October 29, 2011		6,420,449

		Buckeye Technologies, Inc.
$	711,483	Term Loan, 6.28%, Maturing March 15, 2008	$	717,856
		NewPage Corp.
3,084,500		Term Loan, 7.56%, Maturing May 2, 2011	3,123,056
		RLC Industries Co.
2,035,352		Term Loan, 6.03%, Maturing February 24, 2010	2,046,801
		Xerium Technologies, Inc.
3,320,819		Term Loan, 6.53%, Maturing November 19, 2011	3,322,894
			$	17,955,850
Healthcare — 3.4%
		Accellent, Inc.
1,450,000		Term Loan, 6.39%, Maturing November 22, 2012	1,462,688
		Alliance Imaging, Inc.
2,274,402		Term Loan, 7.13%, Maturing December 29, 2011	2,280,372
		AMN Healthcare, Inc.
600,000		Term Loan, 6.53%, Maturing November 2, 2011	606,375
		AMR HoldCo, Inc.
1,319,289		Term Loan, 6.71%, Maturing February 10, 2012	1,335,780
		Colgate Medical, Ltd.
169,468		Term Loan, 6.60%, Maturing December 30, 2008	170,422
		Community Health Systems, Inc.
11,704,853		Term Loan, 6.16%, Maturing August 19, 2011	11,871,893
		Concentra Operating Corp.
5,214,438		Term Loan, 6.69%, Maturing September 30, 2011	5,285,051
		Conmed Corp.
1,323,754		Term Loan, 6.76%, Maturing December 31, 2007	1,339,749
		Davita, Inc.
8,354,063		Term Loan, 6.76%, Maturing October 5, 2012	8,483,175
		Encore Medical IHC, Inc.
1,490,949		Term Loan, 7.49%, Maturing October 4, 2010	1,507,722
		FHC Health Systems, Inc.
1,857,143		Term Loan, 10.41%, Maturing December 18, 2009	1,894,286
1,300,000		Term Loan, 12.41%, Maturing December 18, 2009	1,326,000
		Genoa Healthcare Group, LLC
453,976		Term Loan, 7.75%, Maturing August 12, 2012	458,091
		Hanger Orthopedic Group, Inc.
491,206		Term Loan, 8.27%, Maturing September 30, 2009	497,960
		Healthcare Partners, LLC
433,125		Term Loan, 6.89%, Maturing March 2, 2011	437,321
		Healthsouth Corp.
3,116,344		Term Loan, 7.07%, Maturing June 14, 2007	3,130,953
855,303		Term Loan, 2.50%, Maturing March 21, 2010	859,312
		Kinetic Concepts, Inc.
2,367,551		Term Loan, 6.28%, Maturing August 11, 2010	2,396,158
		Leiner Health Products, Inc.
1,108,125		Term Loan, 7.70%, Maturing May 27, 2011	1,125,786

		Lifecare Holdings, Inc.
$	972,563	Term Loan, 6.65%, Maturing August 11, 2012	$	881,182
		Lifepoint Hospitals, Inc.
4,692,103		Term Loan, 6.19%, Maturing April 15, 2012	4,725,989
		Magellan Health Services, Inc.
277,778		Term Loan, 4.28%, Maturing August 15, 2008	280,903
347,222		Term Loan, 6.74%, Maturing August 15, 2008	351,128
		Medcath Holdings Corp.
202,500		Term Loan, 7.11%, Maturing July 2, 2011	203,766
		National Mentor, Inc.
802,833		Term Loan, 6.81%, Maturing September 30, 2011	813,370
		PER-SE Technologies, Inc.
1,400,000		Term Loan, 6.79%, Maturing January 6, 2013	1,415,750
		Radiation Therapy Service, Inc.
1,675,000		Term Loan, 6.53%, Maturing December 15, 2012	1,686,516
		Renal Advantage, Inc.
399,000		Term Loan, 6.97%, Maturing October 5, 2012	403,738
		Select Medical Holding Corp.
2,059,437		Term Loan, 6.12%, Maturing February 24, 2012	2,042,276
		Sunrise Medical Holdings, Inc.
2,999,773		Term Loan, 7.65%, Maturing May 13, 2010	3,003,523
		Talecris Biotherapeutics, Inc.
1,186,038		Term Loan, 7.63%, Maturing March 31, 2010	1,183,072
		Vanguard Health Holding Co., LLC
2,259,774		Term Loan, 6.95%, Maturing September 23, 2011	2,291,316
		Ventiv Health, Inc.
997,500		Term Loan, 6.03%, Maturing October 5, 2011	1,004,358
		VWR International, Inc.
1,939,933		Term Loan, 7.12%, Maturing April 7, 2011	1,970,852
			$	68,726,833
Home Furnishings — 0.9%
		Interline Brands, Inc.
3,389,674		Term Loan, 6.78%, Maturing December 31, 2010	3,423,571
		Knoll, Inc.
1,925,175		Term Loan, 6.53%, Maturing October 3, 2012	1,953,752
		National Bedding Company, LLC
550,000		Term Loan, 9.53%, Maturing August 31, 2012	550,688
		Oreck Corp.
1,994,962		Term Loan, 7.28%, Maturing February 2, 2012	2,017,406
		Sealy Mattress Co.
4,879,203		Term Loan, 6.14%, Maturing April 6, 2012	4,938,671
		Simmons Co.
4,644,452		Term Loan, 7.35%, Maturing December 19, 2011	4,709,767
			$	17,593,855

Industrial Equipment — 0.5%
		Alliance Laundry Holdings, LLC
$	517,725	Term Loan, 6.73%, Maturing January 27, 2012	$	525,167
		Colfax Corp.
2,284,538		Term Loan, 6.56%, Maturing December 19, 2011	2,309,764
		Douglas Dynamics Holdings, Inc.
1,997,490		Term Loan, 6.28%, Maturing December 16, 2010	2,012,471
		Flowserve Corp.
2,365,183		Term Loan, 6.36%, Maturing August 10, 2012	2,397,336
		Gleason Corp.
456,303		Term Loan, 6.97%, Maturing July 27, 2011	462,006
1,243,750		Term Loan, 10.04%, Maturing January 31, 2012	1,265,516
		Itron, Inc.
202,771		Term Loan, 6.38%, Maturing December 17, 2010	204,039
		Mainline, L.P.
764,444		Term Loan, 6.88%, Maturing December 17, 2011	766,356
		MTD Products, Inc.
985,000		Term Loan, 6.19%, Maturing June 1, 2010	993,619
			$	10,936,274
Insurance — 0.7%
		ARG Holding, Inc.
2,375,000		Term Loan, 7.22%, Maturing November 30, 2011	2,403,203
		CCC Information Services Group, Inc.
1,098,898		Term Loan, 7.31%, Maturing August 20, 2010	1,101,645
		Conseco, Inc.
3,417,828		Term Loan, 6.47%, Maturing June 22, 2010	3,447,734
		Hilb, Rogal & Hobbs Co.
1,955,000		Term Loan, 6.81%, Maturing June 30, 2007	1,975,772
		U.S.I. Holdings Corp.
5,850,000		Term Loan, 7.07%, Maturing August 11, 2007	5,875,594
			$	14,803,948
Leisure Goods / Activities / Movies — 2.5%
		24 Hour Fitness Worldwide, Inc.
2,020,000		Term Loan, 7.62%, Maturing June 8, 2012	2,048,618
		Alliance Atlantis Communications, Inc.
712,615		Term Loan, 6.07%, Maturing December 20, 2011	719,296
		AMF Bowling Worldwide, Inc.
1,589,092		Term Loan, 7.52%, Maturing August 27, 2009	1,603,494
		Cinemark, Inc.
1,965,000		Term Loan, 6.53%, Maturing March 31, 2011	1,993,984
		Fender Musical Instruments Co.
1,330,000		Term Loan, 8.72%, Maturing March 30, 2012	1,336,650
		HEI Acquisition, LLC
725,000		Term Loan, 7.08%, Maturing December 31, 2011	733,156

		Metro-Goldwyn-Mayer Holdings, Inc.
$	10,875,000	Term Loan, 6.78%, Maturing April 8, 2012		$	10,999,812
		Regal Cinemas Corp.
9,768,056		Term Loan, 6.53%, Maturing November 10, 2010		9,891,378
		Riddell Bell Holdings, Inc.
493,750		Term Loan, 7.03%, Maturing September 30, 2011		501,979
		Six Flags Theme Parks, Inc.
8,213,028		Term Loan, 6.95%, Maturing June 30, 2009		8,318,902
		Southwest Sports Group, LLC
1,450,000		Term Loan, 7.06%, Maturing December 22, 2010		1,468,125
		Universal City Development Partners, Ltd.
3,116,081		Term Loan, 6.50%, Maturing June 9, 2011		3,155,680
		WMG Acquisition Corp.
900,000		Revolving Loan, 0.00%, Maturing February 28, 2010 (2)		875,925
7,115,298		Term Loan, 6.50%, Maturing February 28, 2011		7,191,453
		Yankees Holdings & YankeeNets, LLC
455,714		Term Loan, 6.85%, Maturing June 25, 2007		457,993
				$	51,296,445
Lodging and Casinos — 2.0%
		Alliance Gaming Corp.
5,860,675		Term Loan, 8.18%, Maturing September 4, 2009	5,869,836
		Boyd Gaming Corp.
4,910,225		Term Loan, 5.86%, Maturing June 30, 2011	4,966,486
		CCM Merger, Inc.
2,625,568		Term Loan, 6.49%, Maturing July 13, 2012	2,644,275
		Columbia Entertainment
1,710,000		Term Loan, 7.03%, Maturing October 24, 2011	1,723,360
		Globalcash Access, LLC
766,327		Term Loan, 6.82%, Maturing March 10, 2010	776,625
		Isle of Capri Casinos, Inc.
2,494,800		Term Loan, 6.29%, Maturing February 4, 2011	2,527,232
		Marina District Finance Co., Inc.
2,821,500		Term Loan, 6.31%, Maturing October 20, 2011	2,841,338
		Penn National Gaming, Inc.
7,905,188		Term Loan, 6.34%, Maturing October 3, 2012	8,018,825
		Pinnacle Entertainment, Inc.
925,000		Term Loan, 0.00%, Maturing December 14, 2011 (2)	929,047
1,800,000		Term Loan, 6.49%, Maturing December 14, 2011	1,817,626
		Resorts International Holdings, LLC
1,753,557		Term Loan, 7.53%, Maturing April 26, 2012	1,724,185
1,024,652		Term Loan, 12.03%, Maturing April 26, 2013	928,335
		Venetian Casino Resort, LLC
4,104,268		Term Loan, 6.28%, Maturing June 15, 2011	4,144,990
846,241		Term Loan, 6.28%, Maturing June 15, 2011	854,638

		Wynn Las Vegas, LLC
$	1,410,000	Term Loan, 6.69%, Maturing December 14, 2011	$	1,426,391
			$	41,193,189
Nonferrous Metals / Minerals — 0.8%
		Alpha Natural Resources, LLC
2,950,000		Term Loan, 6.32%, Maturing October 26, 2012	2,965,364
		Carmeuse Lime, Inc.
721,875		Term Loan, 6.43%, Maturing May 2, 2011	725,484
		Foundation Coal Corp.
1,425,532		Term Loan, 6.35%, Maturing July 30, 2011	1,451,468
		ICG, LLC
139,497		Term Loan, 7.41%, Maturing November 5, 2010	139,846
		International Mill Service, Inc.
2,000,000		Term Loan, 10.53%, Maturing October 26, 2011	2,030,000
		Magnequench International, Inc.
2,378,375		Term Loan, 8.00%, Maturing August 31, 2009	2,384,321
		Murray Energy Corp.
972,650		Term Loan, 7.56%, Maturing January 28, 2010	975,690
		Novelis, Inc.
1,350,156		Term Loan, 6.01%, Maturing January 6, 2012	1,367,666
2,347,090		Term Loan, 6.01%, Maturing January 6, 2012	2,377,529
		Trout Coal Holdings, LLC
496,250		Term Loan, 7.35%, Maturing March 23, 2011	490,357
1,600,000		Term Loan, 10.83%, Maturing March 23, 2012	1,600,000
			$	16,507,725
Oil and Gas — 2.2%
		Citgo Petroleum Corp.
2,150,000		Term Loan, 5.92%, Maturing November 15, 2012	2,172,844
		Coffeyville Resources, LLC
400,601		Term Loan, 3.87%, Maturing June 24, 2011	406,235
597,901		Term Loan, 7.07%, Maturing June 24, 2012	606,309
850,000		Term Loan, 11.31%, Maturing June 24, 2013	877,625
		Dresser, Inc.
579,524		Term Loan, 7.07%, Maturing March 31, 2007	589,665
		El Paso Corp.
4,769,875		Term Loan, 4.29%, Maturing November 23, 2009	4,795,713
3,707,463		Term Loan, 7.31%, Maturing November 23, 2009	3,737,070
		Epco Holdings, Inc.
3,796,650		Term Loan, 6.78%, Maturing August 18, 2010	3,852,711
		Key Energy Services, Inc.
1,000,000		Term Loan, 4.07%, Maturing June 30, 2012	1,014,792
1,380,000		Term Loan, 7.68%, Maturing June 30, 2012	1,401,275
		LB Pacific, L.P.
1,585,531		Term Loan, 7.09%, Maturing March 3, 2012	1,609,314
		Lyondell-Citgo Refining, L.P.
2,947,619		Term Loan, 6.53%, Maturing May 21, 2007	2,977,095

		Targa Resources, Inc.
$	1,885,000	Term Loan, 6.83%, Maturing October 31, 2007	$	1,892,069
1,409,032		Term Loan, 4.40%, Maturing October 31, 2012	1,424,884
2,524,640		Term Loan, 6.74%, Maturing October 31, 2012	2,553,043
		Universal Compression, Inc.
2,148,767		Term Loan, 6.03%, Maturing February 15, 2012	2,174,283
		Williams Production RMT Co.
12,129,803		Term Loan, 6.72%, Maturing May 30, 2008	12,273,844
			$	44,358,771
Publishing — 1.9%
		CBD Media, LLC
1,463,952		Term Loan, 6.99%, Maturing December 31, 2009	1,486,370
		Dex Media East, LLC
4,253,781		Term Loan, 6.19%, Maturing May 8, 2009	4,295,111
		Dex Media West, LLC
7,261,784		Term Loan, 6.25%, Maturing March 9, 2010	7,337,430
		Hanley-Wood, LLC
170,252		Term Loan, 1.13%, Maturing August 1, 2012 (2)	171,174
1,429,748		Term Loan, 6.56%, Maturing August 1, 2012	1,437,493
		Herald Media, Inc.
304,400		Term Loan, 7.28%, Maturing July 22, 2011	305,922
625,000		Term Loan, 10.28%, Maturing January 22, 2012	633,203
		Liberty Group Operating, Inc.
1,445,638		Term Loan, 6.69%, Maturing February 28, 2012	1,459,733
		Merrill Communications, LLC
1,481,602		Term Loan, 6.81%, Maturing May 5, 2011	1,500,353
		Nebraska Book Co., Inc.
943,200		Term Loan, 6.52%, Maturing March 4, 2011	947,327
		R.H. Donnelley Corp.
973,669		Term Loan, 6.27%, Maturing December 31, 2009	978,316
4,918,892		Term Loan, 6.26%, Maturing June 30, 2011	4,961,932
		SGS International, Inc.
925,000		Term Loan, 7.17%, Maturing December 30, 2011	936,563
		Source Media, Inc.
2,553,250		Term Loan, 6.85%, Maturing November 8, 2011	2,586,762
		SP Newsprint Co.
1,305,204		Term Loan, 4.56%, Maturing January 9, 2010	1,324,782
504,641		Term Loan, 6.81%, Maturing January 9, 2010	512,211
		Sun Media Corp.
2,548,228		Term Loan, 6.67%, Maturing February 7, 2009	2,585,389
		Xerox Corp.
4,500,000		Term Loan, 6.22%, Maturing September 30, 2008	4,543,313
			$	38,003,384
Radio and Television — 2.5%
		Adams Outdoor Advertising, L.P.
2,349,153		Term Loan, 6.62%, Maturing November 18, 2012	2,384,390

		ALM Media Holdings, Inc.
$	1,161,225	Term Loan, 7.03%, Maturing March 5, 2010	$	1,161,709
		Blockcommunications, Inc.
2,100,000		Term Loan, 6.53%, Maturing December 22, 2011	2,128,875
		DirecTV Holdings, LLC
4,210,000		Term Loan, 6.01%, Maturing April 13, 2013	4,258,348
		Emmis Operating Co.
3,723,778		Term Loan, 6.29%, Maturing November 10, 2011	3,747,342
		Entravision Communications Corp.
1,521,188		Term Loan, 6.03%, Maturing September 29, 2013	1,532,913
		Gray Television, Inc.
3,291,750		Term Loan, 6.03%, Maturing November 22, 2015	3,318,495
		HIT Entertainment, Inc.
1,990,000		Term Loan, 6.86%, Maturing March 20, 2012	1,999,701
		NEP Supershooters, L.P.
1,916,927		Term Loan, 12.53%, Maturing August 3, 2011	1,907,342
		Nexstar Broadcasting, Inc.
2,161,845		Term Loan, 6.28%, Maturing October 1, 2012	2,174,907
2,200,651		Term Loan, 6.28%, Maturing October 1, 2012	2,213,947
		NextMedia Operating, Inc.
138,115		Term Loan, 6.40%, Maturing November 15, 2012	139,180
310,760		Term Loan, 6.47%, Maturing November 15, 2012	313,155
		PanAmSat Corp.
6,200,692		Term Loan, 6.49%, Maturing August 20, 2011	6,281,301
		Patriot Media and Communications CNJ, LLC
600,000		Term Loan, 9.50%, Maturing October 6, 2013	613,125
		Paxson Communcations Corp.
3,250,000		Term Loan, 7.78%, Maturing January 15, 2012	3,260,156
		Rainbow National Services, LLC
3,105,198		Term Loan, 7.19%, Maturing March 31, 2012	3,144,659
		Raycom TV Broadcasting, Inc.
2,350,000		Term Loan, 6.56%, Maturing February 24, 2012	2,358,813
		SFX Entertainment
1,825,000		Term Loan, 6.76%, Maturing June 21, 2013	1,827,852
		Spanish Broadcasting System, Inc.
1,500,000		Term Loan, 8.02%, Maturing June 10, 2013	1,522,812
		Susquehana Media Co.
1,985,000		Term Loan, 6.01%, Maturing March 9, 2012	1,985,000
		Young Broadcasting, Inc.
2,381,791		Term Loan, 6.70%, Maturing November 3, 2012 (2)	2,387,374
			$	50,661,396
Rail Industries — 0.3%
		Kansas City Southern Industries, Inc.
762,300		Term Loan, 5.91%, Maturing March 30, 2008	766,827

		Railamerica, Inc.
$	4,103,419	Term Loan, 6.69%, Maturing September 29, 2011	$	4,168,388
485,069		Term Loan, 6.69%, Maturing September 29, 2011	492,749
			$	5,427,964
Retailers (Except Food and Drug) — 1.8%
		American Achievement Corp.
564,950		Term Loan, 6.95%, Maturing March 25, 2011	574,130
		Amscan Holdings, Inc.
1,850,000		Term Loan, 7.51%, Maturing December 23, 2012	1,832,271
		Coinmach Laundry Corp.
4,550,000		Term Loan, 3.58%, Maturing December 15, 2012 (2)	4,622,040
		FTD, Inc.
741,504		Term Loan, 6.90%, Maturing February 28, 2011	750,541
		Harbor Freight Tools USA, Inc.
2,140,605		Term Loan, 6.94%, Maturing July 15, 2010	2,165,221
		Home Interiors & Gifts, Inc.
1,077,338		Term Loan, 9.56%, Maturing March 31, 2011	994,741
		Josten’s Corp.
2,557,428		Term Loan, 6.78%, Maturing October 4, 2010	2,594,723
		Mapco Express, Inc.
2,713,844		Term Loan, 7.26%, Maturing April 28, 2011	2,749,463
		Movie Gallery, Inc.
1,278,575		Term Loan, 8.28%, Maturing April 27, 2011	1,223,779
		Neiman Marcus Group, Inc.
1,068,038		Term Loan, 6.95%, Maturing April 5, 2013	1,081,029
		Oriental Trading Co., Inc.
4,975,481		Term Loan, 6.81%, Maturing August 4, 2010	5,010,722
		Rent-A-Center, Inc.
2,551,833		Term Loan, 6.27%, Maturing June 30, 2010	2,581,179
		Savers, Inc.
741,592		Term Loan, 7.61%, Maturing August 4, 2009	749,472
1,000,000		Term Loan, 12.22%, Maturing August 4, 2010	1,021,250
		School Specialty, Inc.
5,725,000		Term Loan, 8.50%, Maturing April 12, 2006	5,732,156
		Travelcenters of America, Inc.
3,710,000		Term Loan, 6.28%, Maturing November 30, 2008	3,753,129
			$	37,435,846
Steel — 0.1%
		Gibraltar Industries, Inc.
1,125,000		Term Loan, 6.28%, Maturing December 8, 2010	1,133,438
			$	1,133,438

Surface Transport — 0.1%
		Horizon Lines, LLC
$	970,225	Term Loan, 6.78%, Maturing July 7, 2011	$		983,161
		Sirva Worldwide, Inc.
2,006,087		Term Loan, 8.52%, Maturing December 1, 2010	1,930,859
			$		2,914,020
Telecommunications — 2.1%
		AAT Communications Corp.
1,420,000		Term Loan, 7.16%, Maturing July 29, 2013		1,438,045
		Alaska Communications Systems Holdings, Inc.
2,100,000		Term Loan, 6.53%, Maturing February 11, 2012		2,123,888
		Ameristar Casinos, Inc.
1,200,000		Term Loan, 5.87%, Maturing November 10, 2012		1,211,063
		Cellular South, Inc.
2,244,304		Term Loan, 6.37%, Maturing May 4, 2011		2,272,358
		Centennial Cellular Operating Co., LLC
3,533,773		Term Loan, 6.62%, Maturing February 9, 2011		3,585,797
		Cincinnati Bell, Inc.
748,125		Term Loan, 5.90%, Maturing August 31, 2012		754,320
		Consolidated Communications, Inc.
2,648,439		Term Loan, 6.24%, Maturing April 14, 2011		2,681,545
		Fairpoint Communications, Inc.
3,200,000		Term Loan, 6.31%, Maturing February 8, 2012		3,211,200
		Hawaiian Telcom Communications, Inc.
1,105,000		Term Loan, 6.78%, Maturing October 31, 2012		1,115,705
		Intelsat, Ltd.
990,001		Term Loan, 6.31%, Maturing July 28, 2011		1,000,829
		Iowa Telecommunications Services
2,458,000		Term Loan, 6.30%, Maturing November 23, 2011		2,487,189
		IPC Acquisition Corp.
1,439,133		Term Loan, 7.27%, Maturing August 5, 2011		1,456,223
		Madison River Capital, LLC
1,310,310		Term Loan, 6.80%, Maturing July 31, 2012		1,323,823
		NTelos, Inc.
1,801,800		Term Loan, 7.07%, Maturing February 18, 2011		1,820,719
		Qwest Corp.
5,000,000		Term Loan, 9.22%, Maturing June 4, 2007		5,125,940
		Stratos Global Corp.
1,629,540		Term Loan, 6.81%, Maturing December 3, 2010		1,629,540
		Triton PCS, Inc.
4,552,791		Term Loan, 7.82%, Maturing November 18, 2009		4,577,831
		Valor Telecom Enterprise, LLC
3,110,000		Term Loan, 6.04%, Maturing February 14, 2012		3,124,334

		Westcom Corp.
$	929,688	Term Loan, 7.54%, Maturing December 17, 2010	$	931,431
1,000,000		Term Loan, 11.79%, Maturing May 17, 2011	1,017,500
			$	42,889,280
Utilities — 1.4%
		Allegheny Energy Supply Co., LLC
4,201,823		Term Loan, 5.63%, Maturing July 21, 2011	4,243,842
		Cellnet Technology, Inc.
706,450		Term Loan, 7.53%, Maturing April 26, 2012	717,047
		Cogentrix Delaware Holdings, Inc.
1,230,191		Term Loan, 6.28%, Maturing April 14, 2012	1,245,312
		Covanta Energy Corp.
1,263,252		Term Loan, 4.53%, Maturing June 24, 2012	1,283,780
851,998		Term Loan, 7.52%, Maturing June 24, 2012	865,843
875,000		Term Loan, 10.03%, Maturing June 24, 2013	891,953
		Energy Transfer Company, L.P.
1,925,450		Term Loan, 7.44%, Maturing June 16, 2012	1,932,070
		KGen, LLC
962,725		Term Loan, 7.15%, Maturing August 5, 2011	962,725
		La Paloma Generating Co., LLC
349,909		Term Loan, 6.28%, Maturing August 16, 2012	353,495
27,868		Term Loan, 6.28%, Maturing August 16, 2012	28,153
59,016		Term Loan, 6.32%, Maturing August 16, 2012	59,621
		Mirant North America, LLC
1,400,000		Term Loan, 8.25%, Maturing January 3, 2013	1,410,500
		NRG Energy, Inc.
2,091,996		Term Loan, 4.43%, Maturing December 24, 2011	2,099,623
		Pike Electric, Inc.
696,151		Term Loan, 6.25%, Maturing July 1, 2012	704,853
924,024		Term Loan, 6.25%, Maturing July 1, 2012	935,574
		Plains Resources, Inc.
2,067,333		Term Loan, 6.40%, Maturing August 12, 2011	2,094,467
		Reliant Energy, Inc.
1,637,809		Term Loan, 6.09%, Maturing December 22, 2010	1,636,657
		Texas Genco, LLC
3,818,384		Term Loan, 6.47%, Maturing December 14, 2011	3,825,544
1,581,141		Term Loan, 6.47%, Maturing December 14, 2011	1,584,106
		Wolf Hollow I LP
100,000		Term Loan, 6.68%, Maturing June 22, 2012	101,000
925,000		Term Loan, 6.68%, Maturing June 22, 2012	935,406
1,025,000		Term Loan, 6.75%, Maturing June 22, 2012	1,036,531
			$	28,948,102
Total Senior Floating Rate Interests (identified cost $1,037,561,204)			$	1,045,461,334

Mortgage Pass-Throughs — 51.5%

Principal
Amount
(000’s omitted)		Security	Value
		Federal Home Loan Mortgage Corp.:
$	1,755	4.007%, with maturity at 2025 (3)	$	1,772,930
1,335		6.00%, with maturity at 2026	1,362,294
23,566		6.50%, with various maturities to 2025	24,441,966
136,939		7.00%, with various maturities to 2027	141,897,864
1,231		7.13%, with maturity at 2023	1,301,233
63,678		7.50%, with various maturities to 2029	67,800,538
1,631		7.65%, with maturity at 2022	1,747,710
485		7.70%, with maturity at 2022	520,766
28,634		8.00%, with various maturities to 2030	30,946,426
27,073		8.50%, with various maturities to 2031	29,378,968
214		8.75%, with maturity at 2010	221,812
8,771		9.00%, with various maturities to 2031	9,584,632
7,819		9.50%, with various maturities to 2025	8,733,052
3,673		10.00%, with various maturities to 2022	4,124,887
2,408		10.50%, with various maturities to 2021	2,713,712
131		11.00%, with maturity at 2015	144,450
190		11.50%, with various maturities to 2020	212,366
2,221		12.00%, with various maturities to 2020	2,524,299
913		12.50%, with various maturities to 2015	1,044,137
373		13.00%, with maturity at 2015	434,528
31		13.50%, with maturity at 2014	34,640
113		14.00%, with maturity at 2014	136,244
			$	331,079,454
		Federal National Mortgage Assn.:
10,211		4.354%, with maturity at 2036 (3)	10,262,424
22,089		5.50%, with maturity at 2014 (4)	22,281,281
7,834		5.563%, with maturity at 2022 (3)	7,955,423
1,027		6.00%, with maturity at 2023	1,047,561
85,578		6.50%, with various maturities to 2029 (4)	88,294,908
1,015		6.75%, with maturity at 2023	1,056,623
108,390		7.00%, with various maturities to 2028	112,906,709
19,413		7.50%, with various maturities to 2031	20,669,761
21,700		8.00%, with various maturities to 2029	23,329,286
134		8.25%, with maturity at 2018	143,568
5,255		8.45%, with maturity at 2027 (3)	5,775,414
22,078		8.50%, with various maturities to 2028	24,076,007
2,627		8.651%, with maturity at 2028	2,877,040
1,620		8.761%, with maturity at 2029 (3)	1,790,508
2,447		8.783%, with maturity at 2027 (3)	2,688,520
22,836		9.00%, with various maturities to 2027	25,171,938
1,111		9.304%, with maturity at 2024 (3)	1,208,625
12,778		9.50%, with various maturities to 2030	14,254,184

$	4,667	10.00%, with various maturities to 2021	$	5,262,100
2,959		10.246%, with maturity at 2025 (3)	3,333,377
3,369		10.328%, with maturity at 2019 (3)	3,747,787
4,168		10.50%, with various maturities to 2025	4,707,711
1,359		11.00%, with various maturities to 2020	1,535,155
134		11.25%, with maturity at 2016	150,371
3,796		11.50%, with various maturities to 2021	4,328,348
14		11.75%, with maturity at 2014	14,988
592		12.00%, with various maturities to 2016	682,617
449		12.50%, with various maturities to 2015	513,152
556		13.00%, with various maturities to 2015	644,830
165		13.50%, with various maturities to 2017	194,729
78		14.50%, with maturity at 2014	93,195
			$	390,998,140
		Government National Mortgage Assn.:
6,873		6.00%, with maturity at 2024	7,023,626
56,644		6.50%, with various maturities to 2024 (4)	58,836,589
10,860		7.00%, with various maturities to 2024	11,422,009
12,648		7.50%, with various maturities to 2028	13,471,526
45,130		8.00%, with various maturities to 2027	48,637,428
1,895		8.30%, with maturity at 2020	2,063,174
3,074		8.50%, with various maturities to 2022	3,370,238
14,356		9.00%, with various maturities to 2026	15,896,896
20,698		9.50%, with various maturities to 2026	23,240,006
1,390		10.00%, with maturity at 2019	1,577,897
			$	185,539,389
		Collateralized Mortgage Obligations:
4,392		Federal Home Loan Mortgage Corp., Series 1497, Class K, 7.00%, 4/15/23	4,566,512
7,256		Federal Home Loan Mortgage Corp., Series 1529, Class Z, 7.00%, 6/15/23	7,521,229
5,882		Federal Home Loan Mortgage Corp., Series 1620, Class Z, 6.00%, 11/15/23	6,029,115
1,031		Federal Home Loan Mortgage Corp., Series 1720, Class PJ, 7.25%, 1/15/24	1,047,771
971		Federal Home Loan Mortgage Corp., Series 2167, Class BZ, 7.00%, 6/15/29	1,010,664
8,035		Federal Home Loan Mortgage Corp., Series 2182, Class ZB, 8.00%, 9/15/29	8,586,531
3,270		Federal Home Loan Mortgage Corp., Series 2198, Class ZA, 8.50%, 11/15/29	3,663,626
25,639		Federal Home Loan Mortgage Corp., Series 2245, Class A, 8.00%, 8/15/27 (4)	27,457,202
3,691		Federal Home Loan Mortgage Corp., Series 24, Class J, 6.25%, 11/25/23	3,787,494

$	843	Federal National Mortgage Assn., Series 1988-14, Class I, 9.20%, 6/25/18	$	910,611
852		Federal National Mortgage Assn., Series 1989-1, Class D, 10.30%, 1/25/19	944,093
1,685		Federal National Mortgage Assn., Series 1989-34, Class Y, 9.85%, 7/25/19	1,870,946
1,048		Federal National Mortgage Assn., Series 1990-17, Class G, 9.00%, 2/25/20	1,130,669
471		Federal National Mortgage Assn., Series 1990-27, Class Z, 9.00%, 3/25/20	514,693
401		Federal National Mortgage Assn., Series 1990-29, Class J, 9.00%, 3/25/20	436,628
2,006		Federal National Mortgage Assn., Series 1990-43, Class Z, 9.50%, 4/25/20	2,244,495
626		Federal National Mortgage Assn., Series 1991-98, Class J, 8.00%, 8/25/21	662,710
385		Federal National Mortgage Assn., Series 1992-103, Class Z, 7.50%, 6/25/22	405,183
719		Federal National Mortgage Assn., Series 1992-113, Class Z, 7.50%, 7/25/22	757,431
1,368		Federal National Mortgage Assn., Series 1992-185, Class ZB, 7.00%, 10/25/22	1,428,523
5,550		Federal National Mortgage Assn., Series 1992-77, Class ZA, 8.00%, 5/25/22	5,913,732
2,842		Federal National Mortgage Assn., Series 1993-16, Class Z, 7.50%, 2/25/23	3,009,562
2,641		Federal National Mortgage Assn., Series 1993-22, Class PM, 7.40%, 2/25/23	2,779,526
3,735		Federal National Mortgage Assn., Series 1993-25, Class J, 7.50%, 3/25/23	3,939,544
8,183		Federal National Mortgage Assn., Series 1993-30, Class PZ, 7.50%, 3/25/23	8,675,366
6,016		Federal National Mortgage Assn., Series 1994-89, Class ZQ, 8.00%, 7/25/24	6,462,298
6,213		Federal National Mortgage Assn., Series 1996-57, Class Z, 7.00%, 12/25/26	6,502,978
3,594		Federal National Mortgage Assn., Series 1997-77, Class Z, 7.00%, 11/18/27	3,763,794
4,143		Federal National Mortgage Assn., Series 2001-37, Class GA, 8.00%, 7/25/16	4,349,722
2,295		Federal National Mortgage Assn., Series 2002-1, Class G, 7.00%, 7/25/23	2,395,118
1,220		Federal National Mortgage Assn., Series G92-44, Class Z, 8.00%, 7/25/22	1,298,489
1,986		Federal National Mortgage Assn., Series G92-44, Class ZQ, 8.00%, 7/25/22	2,118,269

$	9,000	Government National Mortgage Assn., Series 2002-45, Class PG, 6.00%, 3/17/32	$	9,155,605
1,262		Government National Mortgage Assn., Series 2005-72, Class E, 12.00%, 11/16/15	1,464,697
2,543		Merrill Lynch Trust, Series 45, Class Z, 9.10%, 9/20/20	2,543,477
			$	139,348,303
Total Mortgage Pass-Throughs (identified cost $1,061,396,282)			$	1,046,965,286

Corporate Bonds & Notes — 49.5%

Principal Amount (000’s omitted)		Security	Value
Aerospace and Defense — 0.6%
		Argo Tech Corp., Sr. Notes
$	1,815	9.25%, 6/1/11	$	1,937,512
		Armor Holdings, Inc., Sr. Sub. Notes
1,895		8.25%, 8/15/13	2,056,075
		Delta Air Lines, Inc.
1,916		9.50%, 11/18/08 (5)(6)	1,705,240
		DRS Technologies, Inc., Sr. Sub. Notes
875		7.625%, 2/1/18	892,500
		Sequa Corp.
5,350		8.875%, 4/1/08	5,697,750
			$	12,289,077
Air Transport — 0.2%
		American Airlines
3,615		7.80%, 10/1/06	3,591,409
		AMR Corp.
1,216		9.00%, 8/1/12	1,114,160
			$	4,705,569
Automotive — 3.4%
		Altra Industrial Motion, Inc.
665		9.75%, 12/1/11 (6)	663,337
		Commercial Vehicle Group, Inc., Sr. Notes
1,100		8.00%, 7/1/13 (6)	1,116,500
		Dana Credit Corp.
1,125		8.375%, 8/15/07 (6)	1,057,500
		Ford Motor Credit Co.
2,190		6.50%, 1/25/07	2,166,944
9,165		7.375%, 10/28/09	8,581,529
4,355		7.875%, 6/15/10	4,101,648

		Ford Motor Credit Co., Variable Rate
$	10,995	7.26%, 11/2/07	$	10,780,059
		General Motors Acceptance Corp.
2,770		6.125%, 9/15/06	2,741,026
435		7.00%, 2/1/12	414,702
10,850		8.00%, 11/1/31	11,093,420
		Keystone Automotive Operations, Inc., Sr. Sub. Notes
1,080		9.75%, 11/1/13	939,600
		Metaldyne, Inc.
1,175		10.00%, 11/1/13	1,081,000
		Tenneco Automotive, Global Shares, Series B
10,855		10.25%, 7/15/13	12,211,875
		Tenneco Automotive, Inc., Sr. Sub. Notes
2,680		8.625%, 11/15/14	2,706,800
		TRW Automotive, Inc., Sr. Notes
2,230		9.375%, 2/15/13	2,436,275
		TRW Automotive, Inc., Sr. Sub. Notes
3,900		11.00%, 2/15/13	4,446,000
		United Components, Inc., Sr. Sub. Notes
990		9.375%, 6/15/13	992,475
		Visteon Corp., Sr. Notes
2,025		8.25%, 8/1/10	1,716,187
			$	69,246,877
Brokers / Dealers / Investment Houses — 0.1%
		*ETrade Financial Corp., Sr. Notes**
785		8.00%, 6/15/11	820,325
		Residential Capital Corp.
1,735		6.875%, 6/30/15 (6)	1,868,009
			$	2,688,334
Building and Development — 1.9%
		CB Richard Ellis Services, Inc., Sr. Notes
695		9.75%, 5/15/10	757,550
		CB Richard Ellis Services, Inc., Sr. Sub. Notes
2,600		11.25%, 6/15/11	2,808,000
		Coleman Cable, Inc., Sr. Notes
1,060		9.875%, 10/1/12 (6)	885,100
		Dayton Superior Corp., Sr. Notes
2,975		10.75%, 9/15/08	2,945,250
		General Cable Corp., Sr. Notes
2,520		9.50%, 11/15/10	2,696,400
		MAAX Corp., Sr. Sub. Notes
1,150		9.75%, 6/15/12	971,750
		Mueller Group, Inc., Sr. Sub. Notes
2,625		10.00%, 5/1/12	2,795,625
		Mueller Holdings, Inc., Disc. Notes
1,440		14.75%, 4/15/14	1,108,800

		Nortek, Inc., Sr. Sub Notes
$	5,715	8.50%, 9/1/14	$	5,586,412
		NTK Holdings, Inc., Sr. Disc. Notes
2,575		10.75%, 3/1/14 (6)	1,657,656
		Panolam Industries International, Sr. Sub. Notes
2,995		10.75%, 10/1/13 (6)	2,852,737
		Ply Gem Industries, Inc., Sr. Sub. Notes
590		9.00%, 2/15/12 (6)	513,300
		RMCC Acquisition Co., Sr. Sub. Notes
6,310		9.50%, 11/1/12 (6)	6,436,200
		Stanley-Martin Co.
870		9.75%, 8/15/15 (6)	809,100
		WCI Communities, Inc., Sr. Sub. Notes
6,000		7.875%, 10/1/13	5,880,000
			$	38,703,880
Business Equipment and Services — 2.4%
		Hydrochem Industrial Services, Inc., Sr. Sub Notes
2,430		9.25%, 2/15/13 (6)	2,369,250
		Knowledge Learning Center, Sr. Sub. Notes
2,200		7.75%, 2/1/15 (6)	2,112,000
		Muzak, LLC / Muzak Finance, Sr. Notes
5,250		10.00%, 2/15/09	4,672,500
		Norcross Safety Products, LLC / Norcross Capital Corp., Sr. Sub. Notes, Series B
5,100		9.875%, 8/15/11	5,316,750
		NSP Holdings / NSP Holdings Capital Corp., Sr. Notes (PIK)
5,097		11.75%, 1/1/12	5,160,697
		Quintiles Transnational Corp., Sr. Sub. Notes
9,690		10.00%, 10/1/13	10,804,350
		Safety Products Holdings, Sr. Notes (PIK)
1,043		11.75%, 1/1/12 (6)	1,055,904
		Sungard Data Systems, Inc., Sr. Notes
4,590		9.125%, 8/15/13 (6)	4,796,550
		Sungard Data Systems, Inc., Sr. Notes, Variable Rate
1,100		8.525%, 8/15/13 (6)	1,146,750
		Sungard Data Systems, Inc., Sr. Sub. Notes
10,420		10.25%, 8/15/15 (6)	10,524,200
			$	47,958,951
Cable and Satellite Television — 2.9%
		Adelphia Communications Corp.
2,500		10.25%, 6/15/11 (5)	1,756,250
		CCO Holdings, LLC / CCO Capital Corp., Sr. Notes
2,000		8.75%, 11/15/13	1,930,000
8,295		8.75%, 11/15/13 (6)	8,004,675

		CSC Holdings, Inc., Sr. Notes
$	2,970	7.875%, 12/15/07	$	3,029,400
5,000		8.125%, 7/15/09	5,100,000
		CSC Holdings, Inc., Sr. Notes, Series B
1,140		7.625%, 4/1/11	1,147,125
		CSC Holdings, Inc., Sr. Sub. Notes
3,130		10.50%, 5/15/16	3,345,187
		Insight Communications, Sr. Disc. Notes
16,450		12.25%, 2/15/11	17,395,875
		Kabel Deutschland GMBH
4,965		10.625%, 7/1/14 (6)	5,238,075
		Rainbow National Services, LLC, Sr. Notes
1,805		8.75%, 9/1/12 (6)	1,942,631
		Rainbow National Services, LLC, Sr. Sub. Debs.
6,490		10.375%, 9/1/14 (6)	7,301,250
		UGS Corp.
3,130		10.00%, 6/1/12	3,458,650
			$	59,649,118
Chemicals and Plastics — 3.7%
		BCP Crystal Holdings Corp., Sr. Sub. Notes
3,172		9.625%, 6/15/14	3,536,780
		Borden U.S. Finance / Nova Scotia Finance, Sr. Notes
1,765		9.00%, 7/15/14 (6)	1,800,300
		Crystal US Holdings / US Holdings 3, LLC, Sr. Disc. Notes, Series B
3,357		10.50%, 10/1/14	2,500,965
		Equistar Chemical, Sr. Notes
7,000		10.625%, 5/1/11	7,735,000
		Huntsman International
6,000		9.875%, 3/1/09	6,330,000
		Huntsman, LLC
4,426		11.625%, 10/15/10	5,089,900
		IMC Global, Inc.
6,775		11.25%, 6/1/11	7,317,000
		Ineos Group Holdings PLC
6,610		8.50%, 2/15/16 (6)	6,610,000
		Koppers, Inc.
1,835		9.875%, 10/15/13	2,000,150
		Lyondell Chemical Co.
995		11.125%, 7/15/12	1,121,862
		Lyondell Chemical Co., Sr. Notes
1,892		10.50%, 6/1/13	2,142,690
		Nalco Co., Sr. Sub. Notes
2,960		8.875%, 11/15/13 (6)	3,108,000
		Nova Chemicals Corp., Sr. Notes, Variable Rate
3,255		7.561%, 11/15/13 (6)	3,311,962

		OM Group, Inc.
$	11,180	9.25%, 12/15/11	$	11,235,900
		Polyone Corp., Sr. Notes
4,245		10.625%, 5/15/10	4,536,844
685		8.875%, 5/1/12	671,300
		PQ Corp.
1,125		7.50%, 2/15/13 (6)	1,065,937
		Rhodia SA, Sr. Notes
565		10.25%, 6/1/10	628,562
		Rockwood Specialties Group, Sr. Sub. Notes
991		10.625%, 5/15/11	1,087,622
		Solo Cup Co., Sr. Sub. Notes
3,105		8.50%, 2/15/14	2,755,687
			$	74,586,461
Clothing / Textiles — 1.9%
		Levi Strauss & Co., Sr. Notes
7,070		12.25%, 12/15/12	8,059,800
4,765		9.75%, 1/15/15	5,044,944
		Levi Strauss & Co., Sr. Notes, Variable Rate
2,575		9.28%, 4/1/12	2,652,250
		Oxford Industries, Inc., Sr. Notes
10,775		8.875%, 6/1/11	11,084,781
		Perry Ellis International, Inc., Sr. Sub. Notes
5,865		8.875%, 9/15/13	5,821,012
		Phillips Van-Heusen, Sr. Notes
1,700		7.25%, 2/15/11	1,742,500
2,500		8.125%, 5/1/13	2,650,000
		Quiksilver, Inc.
1,525		6.875%, 4/15/15	1,471,625
			$	38,526,912
Conglomerates — 0.5%
		Amsted Industries, Inc., Sr. Notes
7,150		10.25%, 10/15/11 (6)	7,722,000
		Goodman Global Holdings, Sr. Notes, Variable Rate
3,315		7.491%, 6/15/12 (6)	3,344,006
			$	11,066,006
Containers and Glass Products — 0.7%
		Anchor Glass Container Corp.
5,000		11.00%, 2/15/13 (5)	3,975,000
		Graphic Packaging International Corp., Sr. Sub. Notes
3,265		9.50%, 8/15/13	3,085,425
		Intertape Polymer US, Inc., Sr. Sub. Notes
3,235		8.50%, 8/1/14	3,202,650
		Pliant Corp. (PIK)
2,499		11.625%, 6/15/09 (6)	2,729,875

		US Can Corp., Sr. Notes
$	820	10.875%, 7/15/10	$	865,100
			$	13,858,050
Cosmetics / Toiletries — 0.3%
		Aearo Co. I, Sr. Sub. Notes
1,665		8.25%, 4/15/12	1,706,625
		Samsonite Corp., Sr. Sub. Notes
2,280		8.875%, 6/1/11	2,416,800
		WH Holdings Ltd./WH Capital Corp., Sr. Notes
1,119		9.50%, 4/1/11	1,211,317
			$	5,334,742
Ecological Services and Equipment — 0.5%
		Aleris International, Inc.
2,635		10.375%, 10/15/10	2,911,675
2,568		9.00%, 11/15/14	2,696,400
		Waste Services, Inc., Sr. Sub Notes
3,530		9.50%, 4/15/14 (6)	3,582,950
			$	9,191,025
Electronics / Electrical — 1.0%
		Advanced Micro Devices, Inc., Sr. Notes
6,625		7.75%, 11/1/12	7,005,937
		Amkor Technologies, Inc., Sr. Notes
1,680		7.125%, 3/15/11	1,495,200
5,455		7.75%, 5/15/13	4,827,675
		CPI Holdco, Inc., Sr. Notes, Variable Rate
1,320		9.672%, 2/1/15	1,359,600
		Sanmina-SCI Corp., Sr. Notes
5,000		10.375%, 1/15/10	5,506,250
		Stratus Technologies, Inc., Sr. Notes
775		10.375%, 12/1/08	809,875
			$	21,004,537
Equipment Leasing — 1.0%
		The Hertz Corp., Sr. Notes
8,645		8.875%, 1/1/14 (6)	8,969,187
		The Hertz Corp., Sr. Sub. Notes
5,315		10.50%, 1/1/16 (6)	5,580,750
		United Rentals North America, Inc.
745		6.50%, 2/15/12	737,550
		United Rentals North America, Inc., Sr. Sub. Notes
5,590		7.00%, 2/15/14	5,324,475
			$	20,611,962

Farming / Agriculture — 0.2%
		UAP Holding Corp., Sr. Disc. Notes
$	5,535	10.75%, 7/15/12	$	4,939,987
			$	4,939,987
Financial Intermediaries — 0.4%
		Alzette, Variable Rate
750		8.691%, 12/15/20 (6)	769,219
		Avalon Capital Ltd. 3, Series 1A, Class D, Variable Rate
760		6.344%, 2/24/19 (6)	760,722
		Babson Ltd., Series 2005-1A, Class C1, Variable Rate
1,000		6.55%, 4/15/19 (6)	1,000,000
		Bryant Park CDO Ltd., Series 2005-1A, Class C, Variable Rate
1,000		6.65%, 1/15/19 (6)	1,003,880
		Carlyle High Yield Partners, Series 2004-6A, Class C, Variable Rate
974		6.782%, 8/11/16 (6)	986,362
		Centurion CDO 8 Ltd., Series 2005 8A, Class D, Variable Rate
1,000		9.957%, 3/8/17	1,018,750
		Centurion CDO 9 Ltd., Series 2005-9A
500		8.30%, 7/17/19	497,150
		Dryden Leveraged Loan, Series 2004-6A, Class C1, Variable Rate
1,500		7.21%, 7/30/16 (6)	1,528,710
		Stanfield Vantage Ltd., Series 2005-1A, Class D, Variable Rate
1,000		6.55%, 3/21/17 (6)	1,003,100
			$	8,567,893
Food Products — 0.6%
		American Seafoods Group, LLC
440		10.125%, 4/15/10	465,300
		ASG Consolidated, LLC / ASG Finance, Inc., Sr. Disc. Notes
4,240		11.50%, 11/1/11	3,434,400
		Pierre Foods, Inc., Sr. Sub. Notes
3,225		9.875%, 7/15/12	3,305,625
		Pinnacle Foods Holdings Corp., Sr. Sub. Notes
4,380		8.25%, 12/1/13	4,237,650
			$	11,442,975
Food Service — 0.1%
		EPL Finance Corp., Sr. Notes
2,300		11.75%, 11/15/13 (6)	2,346,000
			$	2,346,000

Food / Drug Retailers — 0.5%
		Rite Aid Corp.
$	3,775	7.125%, 1/15/07	$	3,803,312
3,610		6.125%, 12/15/08 (6)	3,465,600
2,170		8.125%, 5/1/10	2,224,250
			$ 9,493,162
Forest Products — 2.9%
		Caraustar Industries, Inc., Sr. Sub. Notes
1,870		9.875%, 4/1/11	1,975,187
		Georgia-Pacific Corp.
15,225		9.50%, 12/1/11	16,404,937
		JSG Funding PLC, Sr. Notes
17,860		9.625%, 10/1/12	18,529,750
		Newark Group, Inc., Sr. Sub. Notes
2,100		9.75%, 3/15/14	1,869,000
		NewPage Corp.
7,180		10.00%, 5/1/12 (6)	7,287,700
		Stone Container Corp.
4,230		7.375%, 7/15/14	3,796,425
		Stone Container Corp., Sr. Notes
9,360		9.25%, 2/1/08	9,664,200
			$	59,527,199
Healthcare — 2.7%
		Accellent, Inc.
3,900		10.50%, 12/1/13 (6)	4,095,000
		AMR HoldCo, Inc./Emcare HoldCo, Inc., Sr. Sub. Notes
3,955		10.00%, 2/15/15	4,231,850
		CDRV Investors, Inc., Sr. Disc. Notes
4,580		9.625%, 1/1/15	2,988,450
		Concentra Operating Corp., Sr. Notes
7,000		9.50%, 8/15/10	7,297,500
		Healthsouth Corp., Sr. Notes
3,125		7.375%, 10/1/06	3,156,250
		Inverness Medical Innovations, Inc., Sr. Sub. Notes
3,175		8.75%, 2/15/12	3,159,125
		National Mentor, Inc.
2,470		9.625%, 12/1/12	2,630,550
		Res-Care, Inc., Sr. Notes
2,160		7.75%, 10/15/13 (6)	2,181,600
		Service Corp. International, Sr. Notes
1,110		7.50%, 6/15/17 (6)	1,132,200
		Tenet Healthcare Corp., Sr. Notes
6,500		9.25%, 2/1/15 (6)	6,402,500

		US Oncology, Inc.
$	2,205	9.00%, 8/15/12	$	2,353,837
4,365		10.75%, 8/15/14	4,845,150
		Vanguard Health Holding Co. II, LLC, Sr. Sub. Notes
4,730		9.00%, 10/1/14	5,013,800
		Ventas Realty L.P. / Capital Corp., Sr. Notes
1,600		7.125%, 6/1/15	1,682,000
		VWR International, Inc., Sr. Sub. Notes
4,125		8.00%, 4/15/14	4,109,531
			$	55,279,343
Home Furnishings — 0.1%
		Fedders North America, Inc.
2,585		9.875%, 3/1/14	1,589,775
			$	1,589,775
Industrial Equipment — 1.0%
		Case New Holland, Inc., Sr. Notes
7,695		9.25%, 8/1/11	8,272,125
		Chart Industries, Inc., Sr. Sub. Notes
2,170		9.125%, 10/15/15 (6)	2,251,375
		Manitowoc Co., Inc. (The)
975		10.50%, 8/1/12	1,087,125
		Milacron Escrow Corp.
1,635		11.50%, 5/15/11	1,483,762
		Terex Corp.
5,265		10.375%, 4/1/11	5,594,062
		Thermadyne Holdings Corp., Sr. Sub. Notes
2,825		9.25%, 2/1/14	2,500,125
			$	21,188,574
Leisure Goods / Activities / Movies — 1.7%
		AMC Entertainment, Inc.
2,165		11.00%, 2/1/16 (6)	2,175,825
		AMC Entertainment, Inc., Sr. Sub. Notes
2,235		9.875%, 2/1/12	2,134,425
		AMC Entertainment, Inc., Variable Rate
650		8.59%, 8/15/10	671,125
		Marquee Holdings, Inc., Sr. Disc. Notes
5,965		12.00%, 8/15/14 (6)	3,668,475
		Six Flags Theme Parks, Inc., Sr. Notes
2,325		8.875%, 2/1/10	2,371,500
		Universal City Development Partners, Sr. Notes
15,200		11.75%, 4/1/10	16,986,000
		Universal City Florida Holding, Sr. Notes, Variable Rate
6,690		9.00%, 5/1/10	6,756,900
			$	34,764,250

Lodging and Casinos — 3.0%
		CCM Merger, Inc.
$	1,350	8.00%, 8/1/13 (6)	$	1,323,000
		Chukchansi EDA, Sr. Notes, Variable Rate
3,080		8.06%, 11/15/12 (6)(7)	3,164,700
		Greektown Holdings, LLC, Sr. Notes
2,215		10.75%, 12/1/13 (6)	2,215,000
		Host Marriot L.P., Series O
445		6.375%, 3/15/15	441,662
		Inn of the Mountain Gods, Sr. Notes
4,655		12.00%, 11/15/10	4,573,537
		Majestic Star Casino, LLC
2,325		9.50%, 10/15/10	2,493,562
2,825		9.75%, 1/15/11 (6)	2,902,688
		Meristar Hospitality Corp.
1,810		9.00%, 1/15/08	1,882,400
1,380		9.125%, 1/15/11	1,500,750
		Meristar Hospitality Operations / Finance
4,910		10.50%, 6/15/09	5,180,050
		Mohegan Tribal Gaming Authority, Sr. Sub. Notes
1,335		8.00%, 4/1/12	1,413,431
		OED Corp./Diamond Jo, LLC
3,830		8.75%, 4/15/12	3,772,550
		San Pasqual Casino
3,405		8.00%, 9/15/13 (6)	3,464,588
		Trump Entertainment Resorts, Inc.
12,820		8.50%, 6/1/15	12,675,775
		Tunica-Biloxi Gaming Authority, Sr. Notes
2,670		9.00%, 11/15/15 (6)(7)	2,720,063
		Waterford Gaming, LLC, Sr. Notes
8,826		8.625%, 9/15/12 (6)	9,443,820
		Wynn Las Vegas, LLC
1,210		6.625%, 12/1/14	1,184,288
			$	60,351,864
Nonferrous Metals / Minerals — 0.3%
		Alpha Natural Resources, Sr. Notes
1,370		10.00%, 6/1/12	1,513,850
		Novelis, Inc., Sr. Notes
4,010		7.50%, 2/15/15 (6)	3,809,500
			$	5,323,350
Oil and Gas — 3.3%
		Allis-Chalmers Energy, Inc., Sr. Notes
2,840		9.00%, 1/15/14 (6)	2,868,400
		Aventine Renewable Energy Holdings, Inc., Variable Rate
2,490		10.491%, 12/15/11 (6)	2,602,050

		Clayton Williams Energy, Inc.
$	1,325	7.75%, 8/1/13 (6)	$	1,310,094
		Copano Energy, LLC, Sr. Sub. Notes
760		8.125%, 3/1/16 (6)	760,000
		Denbury Resources, Inc., Sr. Sub. Notes
1,085		7.50%, 12/15/15	1,131,113
		Dresser, Inc.
13,145		9.375%, 4/15/11	13,900,838
		El Paso Corp.
345		7.50%, 8/15/06 (6)	349,313
2,305		9.625%, 5/15/12 (6)	2,621,938
		El Paso Production Holding Co.
500		7.75%, 6/1/13	531,250
		Encore Acquisition Co., Sr. Sub. Notes
2,600		7.25%, 12/1/17	2,626,000
		Giant Industries
850		8.00%, 5/15/14	888,250
		Hanover Compressor Co., Sr. Sub. Notes
6,755		0.00%, 3/31/07	6,163,938
		Inergy L.P. / Finance, Sr. Notes
3,980		6.875%, 12/15/14 (6)	3,771,050
		Ocean Rig Norway AS, Sr. Notes
1,120		8.375%, 7/1/13 (6)	1,204,000
		Parker Drilling Co., Sr. Notes
1,930		9.625%, 10/1/13	2,176,075
		Semgroup L.P., Sr. Notes
2,890		8.75%, 11/15/15 (6)	2,991,150
		Sonat, Inc.
5,000		7.625%, 7/15/11	5,237,500
		Transmontaigne, Inc., Sr. Sub. Notes
6,115		9.125%, 6/1/10	6,267,875
		United Refining Co., Sr. Notes
4,855		10.50%, 8/15/12	5,219,125
		Verasun Energy Corp.
3,360		9.875%, 12/15/12 (6)	3,460,800
		Williams Cos., Inc. (The)
1,085		8.75%, 3/15/32	1,296,575
			$	67,377,334
Publishing — 2.0%
		American Media Operations, Inc.
1,040		8.875%, 1/15/11	889,200
		American Media Operations, Inc., Series B
7,375		10.25%, 5/1/09	6,785,000
		CBD Media, Inc., Sr. Sub. Notes
1,335		8.625%, 6/1/11	1,356,694

			Dex Media West, LLC, Sr. Sub. Notes
$	4,565		9.875%, 8/15/13	$	5,061,444
			Houghton Mifflin Co., Sr. Disc. Notes
500			11.50%, 10/15/13 (6)	411,250
			Houghton Mifflin Co., Sr. Sub. Notes
4,905			9.875%, 2/1/13	5,321,925
			Jostens Holding Corp., Sr. Disc. Notes
1,250			10.25%, 12/1/13	934,375
		R.H. Donnelley Corp., Sr. Disc. Notes
2,315		6.875%, 1/15/13 (6)		2,129,800
4,175		6.875%, 1/15/13 (6)		3,851,438
		R.H. Donnelley Corp., Sr. Notes
6,565		8.875%, 1/15/16 (6)		6,671,681
		WDAC Subsidiary Corp., Sr. Notes
1,405		8.375%, 12/1/14 (6)		1,373,388
		Xerox Corp.
3,000		9.75%, 1/15/09		3,333,750
		Xerox Corp., Sr. Notes
1,855		7.125%, 6/15/10		1,938,475
1,485		7.625%, 6/15/13		1,585,238
				$	41,643,658
Radio and Television — 1.6%
		Advanstar Communications, Inc.
6,980		10.75%, 8/15/10		7,669,275
		CanWest Media, Inc.
2,156		8.00%, 9/15/12		2,193,905
		Echostar DBS Corp., Sr. Notes, Variable Rate
10,000		7.78%, 10/1/08		10,275,000
		Emmis Communications Corp., Sr. Notes, Class A, Variable Rate
1,029		10.366%, 6/15/12		1,035,000
		LBI Media, Inc.
1,820		10.125%, 7/15/12		1,945,125
		Nexstar Finance Holdings, LLC, Inc., Sr. Disc. Notes
3,035		11.375%, 4/1/13		2,348,331
		Quebecor Media, Sr. Notes
330		7.75%, 3/15/16 (6)		338,250
		Sirius Satellite Radio, Sr. Notes
7,630		9.625%, 8/1/13		7,534,625
				$	33,339,511
Retailers (Except Food and Drug) — 1.5%
		Affinity Group, Inc., Sr. Sub. Notes
3,860		9.00%, 2/15/12		3,811,750
		GSC Holdings Corp.
10,305		8.00%, 10/1/12 (6)		10,060,256

			GSC Holdings Corp., Variable Rate
$	4,105		8.405%, 10/1/11 (6)	$	4,166,575
			Neiman Marcus Group, Inc., Sr. Notes
3,210			9.00%, 10/15/15 (6)	3,346,425
			Neiman Marcus Group, Inc., Sr. Sub. Notes
4,980			10.375%, 10/15/15 (6)	5,160,525
			Penny (JC) Co., Inc.
1,875			8.00%, 3/1/10	2,055,973
			Sonic Automotive, Inc., Sr. Sub. Notes
1,600			8.625%, 8/15/13	1,588,000
				$	30,189,504
Steel — 0.2%
		AK Steel Corp.
2,000		7.75%, 6/15/12		1,960,000
		Ispat Inland ULC, Sr. Notes
2,102		9.75%, 4/1/14		2,427,810
				$	4,387,810
Surface Transport — 0.4%
		H-Lines Finance Holding, Sr. Disc. Notes
1,531		11.00%, 4/1/13 (6)		1,278,385
		Horizon Lines, LLC
3,967		9.00%, 11/1/12 (6)		4,209,979
		Quality Distribution, LLC / QD Capital Corp., Variable Rate
1,815		9.10%, 1/15/12 (6)		1,731,056
				$	7,219,420
Telecommunications — 3.5%
		AirGate PCS, Inc., Variable Rate
1,080		8.35%, 10/15/11		1,123,200
		Alamosa Delaware, Inc., Sr. Notes
6,230		11.00%, 7/31/10		7,008,750
		Centennial Cellular Operating Co. / Centennial Communication Corp., Sr. Notes
2,820		10.125%, 6/15/13		3,102,000
		Centennial Communications Corp., Sr. Notes, Variable Rate
2,175		10.25%, 1/1/13 (6)		2,234,813
		Digicel Ltd., Sr. Notes
2,400		9.25%, 9/1/12 (6)		2,532,000
		Inmarsat Finance PLC
2,493		7.625%, 6/30/12		2,577,139
		Intelsat Bermuda Ltd., Sr. Notes
11,985		5.25%, 11/1/08		11,026,200
		Intelsat Bermuda Ltd., Sr. Notes, Variable Rate
6,455		9.609%, 1/15/12 (6)		6,600,238
		IWO Escrow Co., Sr. Disc. Notes
2,230		10.75%, 1/15/15 (6)		1,655,775

		IWO Escrow Co., Variable Rate
$	575	8.35%, 1/15/12 (6)	$	599,438
		LCI International, Inc., Sr. Notes
65		7.25%, 6/15/07	65,813
		New Skies Satellites NV, Sr. Sub. Notes
1,970		9.125%, 11/1/12	2,117,750
		Qwest Communications International, Inc.
1,370		7.25%, 2/15/11	1,383,700
		Qwest Communications International, Inc., Sr. Notes
9,010		7.50%, 2/15/14 (6)	9,145,150
		Qwest Corp.
2,000		8.875%, 3/15/12	2,225,000
		Qwest Corp., Sr. Notes
3,230		7.875%, 9/1/11	3,431,875
1,940		7.625%, 6/15/15 (6)	2,049,125
		Qwest Corp., Sr. Notes, Variable Rate
1,000		7.741%, 6/15/13 (6)	1,083,750
		Rogers Wireless, Inc.
490		7.50%, 3/15/15	534,100
		Rogers Wireless, Inc., Variable Rate
1,314		7.616%, 12/15/10	1,361,633
		Rural Cellular Corp., Variable Rate
2,000		8.991%, 3/15/10	2,065,000
		Telemig Celular SA/Amazonia Celular SA
1,755		8.75%, 1/20/09 (6)	1,873,463
		UbiquiTel Operating Co., Sr. Notes
3,995		9.875%, 3/1/11	4,404,488
			$	70,200,400
Utilities — 2.4%
		AES Corp., Sr. Notes
4,500		8.75%, 6/15/08	4,747,500
6,000		9.50%, 6/1/09	6,517,500
4,005		8.75%, 5/15/13 (6)	4,375,463
945		9.00%, 5/15/15 (6)	1,039,500
		Dynegy Holdings, Inc., Debs.
4,395		7.625%, 10/15/26	4,263,150
		Mirant North America, LLC, Sr. Notes
1,795		7.375%, 12/31/13 (6)	1,835,388
		Mission Energy Holding Co.
3,290		13.50%, 7/15/08	3,816,400
		NRG Energy, Inc.
1,505		8.00%, 12/15/13	1,685,600

		NRG Energy, Inc., Sr. Notes
$	6,495	7.375%, 2/1/16	$	6,641,138
		Orion Power Holdings, Inc., Sr. Notes
12,415		12.00%, 5/1/10	14,215,175
			$	49,136,814
Total Corporate Bonds & Notes (identified cost, $987,593,358)			$	1,007,730,324

Convertible Bonds — 0.4%

Principal
Amount	Security	Value
Aerospace and Defense — 0.2%
3,540,000	L-3 Communications Corp. (6)	$	3,655,050
		$	3,655,050
Electronics / Electrical — 0.1%
1,300,000	Amkor Technologies, Inc.	$	1,296,750
180,000	Nortel Networks Ltd.	171,675
		$	1,468,425
Radio and Television — 0.1%
1,065,000	XM Satellite Radio Holdings, Inc.	921,225
2,100,000	XM Satellite Radio, Inc. (6)	1,816,500
		$	2,737,725
Total Convertible Bonds (identified cost, $8,133,905)		$	7,861,200

Common Stocks — 0.3%

Shares	Security	Value
Lodging and Casinos — 0.3%
346,245	Trump Entertainment Resorts, Inc. (8)	$	6,791,596
		$	6,791,596
Telecommunications — 0.0%
1,061	Crown Castle International Corp. (8)	$	33,549
		$	33,549
Total Common Stocks (identified cost, $4,301,472)		$	6,825,145

Convertible Preferred Stocks — 0.0%

Shares	Security	Value
Telecommunications — 0.0%
10,058	Crown Castle International Corp., (PIK)	$	563,248
Total Convertible Preferred Stocks (identified cost, $480,158)		$	563,248

Miscellaneous — 0.0%

Shares	Security	Value
Lodging and Casinos — 0.0%
5,510,000	Trump Atlantic City (7)(8)	$	212,135
Total Miscellaneous (identified cost, $0)		$	212,135

Commercial Paper — 2.8%

Principal		Maturity
Amount		Date	Borrower	Rate		Amount
$	7,000,000	02/06/06	Barton Capital, LLC	4.33	%	$	6,995,790
22,000,000		02/01/06	General Electric Capital Corp.	4.48	%	22,000,000
25,290,000		02/01/06	HSBC Finance Corp.	4.50	%	25,290,000
3,038,000		02/01/06	UBS Finance Deleware, LLC	4.47	%	3,038,000
Total Commercial Paper (at amortized cost, $57,323,790)						$	57,323,790

Short-Term Investments — 0.3%

Principal		Maturity
Amount		Date	Borrower	Rate		Amount
$	5,505,000	02/01/06	Investors Bank and Trust Company Time Deposit	4.51	%	$	5,505,000
Total Short-Term Investments (at amortized cost, $5,505,000)						$	5,505,000
Total Investments — 156.1% (identified cost, $3,162,295,169)						$	3,178,447,462
Less Unfunded Loan Commitments — (0.3)%						$	(6,545,952	)
Net Investments — 155.8% (identified cost, $3,155,749,217)						$	3,171,901,510
Other Assets, Less Liabilities — (16.5)%						$	(334,975,360	)
Auction Preferred Shares Plus Cumulative Unpaid Dividends — (39.3)%						$	(800,281,985	)
Net Assets Applicable to Common Shares — 100.0%						$	2,036,644,165

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)		Adjustable rate mortgage.
(4)		All or a portion of these securities were on loan at January 31, 2006.
(5)		Defaulted security. Currently the issuer is in default with respect to interest payments.
(6)		Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2006, the aggregate value of the securities is $290,146,014 or 14.2% of the Fund’s net assets.

(7)		Security valued at fair value using methods determined in good faith by or at the direction of the Trustees.
(8)		Non-income producing security.

A summary of financial instruments at January 31, 2006 is as follows:

Credit Default Swaps

Notional Amount	Expiration Date	Description	Net Unrealized Depreciation
2,000,000	3/20/2010	Agreement with Lehman Brothers dated 5/18/05 to sell a credit default swap. The Fund will receive 2.4% per year, paid quarterly, 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.		$	(39	)

At January 31, 2006, the Fund had sufficient cash and/or securities segregated to cover potential obligations arising from open swap contracts.

The cost and unrealized appreciation (depreciation) in value of the investments owned at January 31, 2006, as computed on a federal income tax basis, were as follows:

Aggregate cost	$	3,165,351,381
Gross unrealized appreciation	$	40,543,066
Gross unrealized depreciation	(33,992,937		)
Net unrealized appreciation	$	6,550,129

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:		March 24, 2006

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:		March 24, 2006
By:		/s/ Barbara E. Campbell
		Barbara E. Campbell
		Treasurer and Principal Financial Officer
Date:		March 24, 2006