Edgar Filing: Eaton Vance Short Duration Diversified Income Fund

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number		811-21563
Eaton Vance Short Duration Diversified 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:		October 31
Date of Reporting Period:		January 31, 2007

Item 1. Schedule of Investments

Eaton Vance Short Duration Diversified Income Fund as of January 31, 2007

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior, Floating Rate Interests — 71.7% (1)

Principal Amount			Borrower/Tranche Description	Value
Aerospace and Defense — 1.9%
			Dresser Rand Group, Inc.
976,902		EUR	Term Loan, 5.88%, Maturing October 29, 2011	$	1,275,782
			Evergreen International Aviation
299,219			Term Loan, 8.86%, Maturing October 31, 2011	298,471
			Hexcel Corp.
719,104			Term Loan, 7.13%, Maturing March 1, 2012	720,902
			K&F Industries, Inc.
529,309			Term Loan, 7.32%, Maturing November 18, 2012	531,873
			Spirit Aerosystems, Inc.
1,569,576			Term Loan, 7.11%, Maturing December 31, 2011	1,577,423
			Standard Aero Holdings, Inc.
593,305			Term Loan, 7.61%, Maturing August 24, 2012	595,901
			Transdigm, Inc.
475,000			Term Loan, 7.37%, Maturing June 23, 2013	478,266
			Vought Aircraft Industries, Inc.
181,818			Term Loan, 7.33%, Maturing December 17, 2011	183,068
802,781			Term Loan, 7.88%, Maturing December 17, 2011	809,638
				$	6,471,324
Air Transport — 0.4%
			Delta Air Lines, Inc.
$	425,000		Term Loan, 12.87%, Maturing March 16, 2008	$	434,050
			Northwest Airlines, Inc.
600,000			DIP Loan, 7.85%, Maturing August 21, 2008	604,688
			United Airlines, Inc.
435,313			Term Loan, 9.12%, Maturing February 1, 2012	437,178
62,188			Term Loan, 11.00%, Maturing February 1, 2012	62,454
				$	1,538,370
Automotive — 4.8%
			AA Acquisitions Co., Ltd.
1,000,000		GBP	Term Loan, 9.83%, Maturing June 25, 2014	$	2,001,442
			Accuride Corp.
608,409			Term Loan, 7.38%, Maturing January 31, 2012	610,881
			Affina Group, Inc.
845,732			Term Loan, 8.36%, Maturing November 30, 2011	851,679
			Axletech International Holding, Inc.
425,000			Term Loan, 11.86%, Maturing April 21, 2013	428,896
			CSA Acquisition Corp.
275,794			Term Loan, 7.88%, Maturing December 23, 2011	277,431
587,665			Term Loan, 7.88%, Maturing December 23, 2011	591,155

			Dayco Europe S.R.I.
784,082		EUR	Term Loan, 6.14%, Maturing June 21, 2010	$	1,022,696
			Dayco Products, LLC
572,125			Term Loan, 7.87%, Maturing June 21, 2011	573,734
			Exide Technologies
949,088		EUR	Term Loan, 9.87%, Maturing May 5, 2010	1,294,957
			Federal-Mogul Corp.
500,000			DIP Loan, 7.32%, Maturing July 1, 2007	501,500
361,345			Term Loan, 7.57%, Maturing July 1, 2007	359,426
420,728			Term Loan, 7.82%, Maturing July 1, 2007	418,887
			Ford Motor Co.
500,000			Term Loan, 8.36%, Maturing December 15, 2013	507,118
			General Motors Corp.
425,000			Term Loan, 7.75%, Maturing November 29, 2013	430,286
			Goodyear Tire & Rubber Co.
635,000			Term Loan, 8.14%, Maturing April 30, 2010	643,070
500,000			Term Loan, 8.89%, Maturing March 1, 2011	507,396
			Insurance Auto Auctions, Inc.
211,427			Term Loan, 7.87%, Maturing May 19, 2012	212,286
			Keystone Automotive Operations, Inc.
250,000			Term Loan, 8.82%, Maturing January 12, 2012	251,250
			R.J. Tower Corp.
370,000			DIP Revolving Loan, 9.88%, Maturing August 2, 2007	366,608
			Tenneco Automotive, Inc.
963,141			Term Loan, 7.36%, Maturing December 12, 2009	970,726
418,922			Term Loan, 7.31%, Maturing December 12, 2010	422,221
			Teutates Vermogensverwaltung
500,000		EUR	Term Loan, 5.62%, Maturing March 11, 2014	654,750
500,000		EUR	Term Loan, 5.87%, Maturing March 11, 2015	657,796
			The Goodyear Dunlop Tires
990,000		EUR	Term Loan, 6.14%, Maturing April 30, 2010	1,293,088
			Trimas Corp.
70,313			Term Loan, 8.13%, Maturing August 2, 2011	71,279
303,926			Term Loan, 8.11%, Maturing August 2, 2013	308,105
			United Components, Inc.
408,333			Term Loan, 7.63%, Maturing June 30, 2010	410,375
				$	16,639,038
Beverage and Tobacco — 0.6%
			Alliance One International, Inc.
$	181,670		Term Loan, 8.82%, Maturing May 13, 2010	$	183,941
			Culligan International Co.
397,916			Term Loan, 7.07%, Maturing September 30, 2011	399,036
			Liberator Midco, Ltd.
250,000		EUR	Term Loan, 6.07%, Maturing October 27, 2013	329,776
250,000		EUR	Term Loan, 6.45%, Maturing October 27, 2014	331,157

			National Dairy Holdings, L.P.
$	456,964		Term Loan, 7.32%, Maturing March 15, 2012	$	457,821
			National Distribution Co.
220,000			Term Loan, 11.82%, Maturing June 22, 2010	220,550
				$	1,922,281
Building and Development — 3.3%
			Biomed Realty, L.P.
$	660,000		Term Loan, 7.58%, Maturing May 31, 2010	$	658,350
			Capital Automotive REIT
395,362			Term Loan, 7.08%, Maturing December 16, 2010	398,848
			Epco / Fantome, LLC
480,000			Term Loan, 7.99%, Maturing November 23, 2010	482,400
			Gables GP, Inc.
20,132			Term Loan, 7.07%, Maturing March 31, 2007	20,179
			Hovstone Holdings, LLC
225,250			Term Loan, 7.36%, Maturing February 28, 2009	221,871
			Lanoga Corp.
373,127			Term Loan, 7.11%, Maturing June 29, 2013	373,127
			LNR Property Corp.
800,000			Term Loan, 8.12%, Maturing July 3, 2011	805,571
			Mueller Group, Inc.
471,272			Term Loan, 7.36%, Maturing October 3, 2012	474,904
			Newkirk Master, L.P.
348,290			Term Loan, 7.08%, Maturing August 11, 2008	348,888
312,869			Term Loan, 7.08%, Maturing August 11, 2008	313,407
			Nortek, Inc.
982,412			Term Loan, 7.35%, Maturing August 27, 2011	985,237
			Panolam Industries Holdings, Inc.
174,336			Term Loan, 8.11%, Maturing September 30, 2012	174,881
			Ply Gem Industries, Inc.
32,566			Term Loan, 8.37%, Maturing August 15, 2011	32,963
488,496			Term Loan, 8.37%, Maturing August 15, 2011	494,450
			Ristretto Investissements SAS
308,150		EUR	Term Loan, 6.06%, Maturing September 30, 2013	405,683
130,995		GBP	Term Loan, 7.89%, Maturing September 30, 2013	259,401
308,150		EUR	Term Loan, 6.44%, Maturing September 30, 2014	407,685
130,995		GBP	Term Loan, 8.27%, Maturing September 30, 2014	260,470
			Rubicon GSA II, LLC
675,000			Term Loan, 8.10%, Maturing July 31, 2008	675,000
			Stile Acquisition Corp.
429,366			Term Loan, 7.38%, Maturing April 6, 2013	428,007
			Stile U.S. Acquisition Corp.
430,097			Term Loan, 7.38%, Maturing April 6, 2013	428,736
			TRU 2005 RE Holding Co.
1,325,000			Term Loan, 8.33%, Maturing December 9, 2008	1,338,457

					Trustreet Properties, Inc.
$	385,000				Term Loan, 7.33%, Maturing April 8, 2010	$	385,963
					United Subcontractors, Inc.
250,000					Term Loan, 12.62%, Maturing June 27, 2013	242,500
					Wintergames Acquisition ULC
900,000					Term Loan, 7.32%, Maturing October 26, 2007	900,563
						$	11,517,541
Business Equipment and Services — 5.7%
					Acco Brands Corp.
$	1,187,970				Term Loan, 7.12%, Maturing August 17, 2012	$	1,195,952
					Affiliated Computer Services
247,500					Term Loan, 7.35%, Maturing March 20, 2013	249,477
621,875					Term Loan, 7.36%, Maturing March 20, 2013	627,005
					Affinion Group, Inc.
491,628					Term Loan, 7.87%, Maturing October 17, 2012	496,790
					Allied Security Holdings, LLC
371,591					Term Loan, 8.37%, Maturing June 30, 2010	375,771
					Audatex North America, Inc.
		1,000,000		EUR	Term Loan, 9.13%, Maturing January 13, 2013	1,330,719
					BSG Clearing Solutions GmbH
		962,500		EUR	Term Loan, 6.16%, Maturing May 5, 2012	1,256,974
					Buhrmann US, Inc.
			1,974,684	EUR	Term Loan, 5.43%, Maturing December 23, 2010	2,601,285
					DynCorp International, LLC
491,250					Term Loan, 7.66%, Maturing February 11, 2011	495,344
					Education Management, LLC
447,750					Term Loan, 7.88%, Maturing June 1, 2013	452,339
					Gate Gourmet Borrower, LLC
		388,477		EUR	Term Loan, 6.44%, Maturing March 9, 2013	511,958
					Info USA, Inc.
198,000					Term Loan, 7.12%, Maturing February 14, 2012	198,248
					N.E.W. Holdings I, LLC
200,000					Term Loan, 12.36%, Maturing February 8, 2014	201,813
133,537					Term Loan, 8.11%, Maturing August 8, 2014	134,288
					Nielsen Finance, LLC
1,995,000					Term Loan, 7.63%, Maturing August 9, 2013	2,013,137
					Protection One, Inc.
194,446					Term Loan, 7.85%, Maturing March 31, 2012	195,540
					Quintiles Transnational Corp.
500,000					Term Loan, 9.36%, Maturing March 31, 2014	506,979
					SunGard Data Systems, Inc.
2,959,937					Term Loan, 7.88%, Maturing February 11, 2013	2,990,925

						TDS Investor Corp.
		997,500			EUR	Term Loan, 6.47%, Maturing August 23, 2013	$	1,302,450
						US Investigations Services, Inc.
665,954						Term Loan, 7.87%, Maturing October 14, 2012	670,116
						West Corp.
700,000						Term Loan, 8.09%, Maturing October 24, 2013	705,797
						Williams Scotsman, Inc.
930,000						Term Loan, 6.82%, Maturing June 27, 2010	930,000
						Worldspan, L.P.
400,000						Term Loan, 8.58%, Maturing December 7, 2013	402,500
							$	19,845,407
Cable and Satellite Television — 4.8%
						Cablecom Luxembourg SCA
	990,000				EUR	Term Loan, 6.39%, Maturing September 28, 2012	$	1,295,520
						Cequel Communications, LLC
475,000						Term Loan, 9.87%, Maturing May 5, 2014	485,650
883,783						Term Loan, 11.37%, Maturing May 5, 2014	906,799
						Charter Communications Operating, LLC
2,991,833						Term Loan, 7.99%, Maturing April 28, 2013	3,021,844
						CSC Holdings, Inc.
893,250						Term Loan, 7.11%, Maturing March 29, 2013	896,618
						Insight Midwest Holdings, LLC
1,525,000						Term Loan, 7.61%, Maturing April 6, 2014	1,538,821
						Kabel Deutschland GmbH
		1,000,000			EUR	Term Loan, 5.84%, Maturing March 31, 2012	1,305,639
						NTL Investment Holdings, Ltd.
	538,924				GBP	Term Loan, 7.45%, Maturing March 30, 2012	1,057,827
	461,076				GBP	Term Loan, 7.45%, Maturing March 30, 2012	905,022
						Persona Communications Corp.
250,000						Term Loan, 11.36%, Maturing April 12, 2014	252,344
						PKS Media (Netherlands) B.V.
				482,500	EUR	Term Loan, 5.84%, Maturing October 5, 2013	627,742
				500,000	EUR	Term Loan, 6.34%, Maturing October 5, 2013	651,857
				500,000	EUR	Term Loan, 6.84%, Maturing October 5, 2014	654,429
						UPC Broadband Holding B.V.
			662,500		EUR	Term Loan, 6.10%, Maturing March 31, 2013	867,236
			750,000		EUR	Term Loan, 6.10%, Maturing December 31, 2013	981,959
						Ypso Holding SA
			496,137		EUR	Term Loan, 6.12%, Maturing July 28, 2014	646,906
			191,468		EUR	Term Loan, 6.12%, Maturing July 28, 2014	249,652
			312,395		EUR	Term Loan, 6.12%, Maturing July 28, 2014	407,327
							$	16,753,192

Chemicals and Plastics — 6.0%
						Basell Af S.A.R.L.
$	208,333					Term Loan, 7.60%, Maturing August 1, 2013	$	210,775
41,667						Term Loan, 7.60%, Maturing August 1, 2013	42,155
208,333						Term Loan, 8.35%, Maturing August 1, 2014	210,840
41,667						Term Loan, 8.35%, Maturing August 1, 2014	42,168
						Brenntag Holding GmbH and Co.
			1,041,046		EUR	Term Loan, 12.88%, Maturing December 23, 2013	1,396,753
						Celanese Holdings, LLC
		1,841,864			EUR	Term Loan, 5.87%, Maturing April 6, 2011	2,407,371
						Gentek, Inc.
699,106						Term Loan, 7.35%, Maturing February 25, 2011	701,181
						Georgia Gulf Corp.
344,449						Term Loan, 7.32%, Maturing October 3, 2013	347,156
						Hexion Specialty Chemicals, Inc.
1,062,660						Term Loan, 7.88%, Maturing May 5, 2013	1,068,372
230,840						Term Loan, 7.88%, Maturing May 5, 2013	232,081
						Huntsman, LLC
1,020,245						Term Loan, 7.07%, Maturing August 16, 2012	1,027,004
						Ineos Group
495,000						Term Loan, 7.61%, Maturing December 14, 2013	501,394
495,000						Term Loan, 8.11%, Maturing December 14, 2014	501,394
						Innophos, Inc.
508,984						Term Loan, 7.57%, Maturing August 10, 2010	511,741
						ISP Chemo, Inc.
694,750						Term Loan, 7.38%, Maturing February 16, 2013	700,775
						Kraton Polymers, LLC
736,837						Term Loan, 7.38%, Maturing May 12, 2013	743,284
						Lucite International Group Holdings
64,886						Term Loan, 0.00%, Maturing July 7, 2013 (2)	65,595
184,189						Term Loan, 8.07%, Maturing July 7, 2013	186,204
						Lyondell Chemical Co.
1,097,250						Term Loan, 7.12%, Maturing August 16, 2013	1,106,393
						Momentive Performance Material
350,000						Term Loan, 7.63%, Maturing December 4, 2013	353,019
						Nalco Co.
1,685,460						Term Loan, 7.11%, Maturing November 4, 2010	1,698,263
						PQ Corp.
487,538						Term Loan, 7.37%, Maturing February 10, 2012	490,077
						Professional Paint, Inc.
199,000						Term Loan, 7.63%, Maturing May 31, 2012	199,373
						Propex Fabrics, Inc.
252,901						Term Loan, 8.32%, Maturing July 31, 2012	253,534
						Rockwood Specialties Group
				1,470,000	EUR	Term Loan, 6.53%, Maturing July 30, 2012	1,928,100

				Sigmakalon (BC) Holdco B.V.
		8,871	EUR	Term Loan, 6.22%, Maturing September 9, 2013	$	11,629
		173,632	EUR	Term Loan, 6.22%, Maturing September 9, 2013	227,620
		317,498	EUR	Term Loan, 6.22%, Maturing September 9, 2013	416,220
		107,857	EUR	Term Loan, 6.97%, Maturing September 9, 2014	141,965
		26,409	EUR	Term Loan, 6.97%, Maturing September 9, 2014	34,760
		335,513	EUR	Term Loan, 6.97%, Maturing September 9, 2014	441,615
		1,000,000	EUR	Term Loan, 9.22%, Maturing September 9, 2015	1,317,317
				Solo Cup Co.
930,465				Term Loan, 8.82%, Maturing February 27, 2011	946,384
200,000				Term Loan, 11.57%, Maturing March 31, 2012	204,875
					$	20,667,387
Clothing/Textiles — 0.3%
				Hanesbrands, Inc.
$	486,188			Term Loan, 7.61%, Maturing September 5, 2013	$	492,660
250,000				Term Loan, 9.11%, Maturing March 5, 2014	257,774
				St. John Knits International, Inc.
126,366				Term Loan, 9.38%, Maturing March 23, 2012	126,998
					$	877,432
Conglomerates — 1.5%
				Amsted Industries, Inc.
$	517,902			Term Loan, 7.36%, Maturing October 15, 2010	$	519,844
				Bushnell Performance Optics
493,899				Term Loan, 8.36%, Maturing August 19, 2011	497,398
				Euramax International, Inc.
167,105				Term Loan, 12.36%, Maturing June 28, 2013	165,016
82,895				Term Loan, 12.36%, Maturing June 28, 2013	81,859
				Goodman Global Holdings, Inc.
370,569				Term Loan, 7.13%, Maturing December 23, 2011	371,187
				Jarden Corp.
248,744				Term Loan, 7.11%, Maturing January 24, 2012	249,288
441,933				Term Loan, 7.36%, Maturing January 24, 2012	443,521
				Johnson Diversey, Inc.
730,329				Term Loan, 7.87%, Maturing December 16, 2011	738,202
				Polymer Group, Inc.
1,336,500				Term Loan, 7.61%, Maturing November 22, 2012	1,339,006
				Rexnord Corp.
386,885				Term Loan, 7.88%, Maturing July 19, 2013	388,417
				RGIS Holdings, LLC
346,526				Term Loan, 7.86%, Maturing February 15, 2013	346,959
					$	5,140,697
Containers and Glass Products — 3.6%
				Bluegrass Container Co.
$	108,847			Term Loan, 7.60%, Maturing June 30, 2013	$	110,167
363,778				Term Loan, 7.60%, Maturing June 30, 2013	368,189

$	84,848				Term Loan, 10.32%, Maturing December 30, 2013	$	86,344
265,152					Term Loan, 10.33%, Maturing December 30, 2013	269,825
					Crown Americas, Inc.
			990,000	EUR	Term Loan, 5.34%, Maturing November 15, 2012	1,286,456
					Graham Packaging Holdings Co.
1,225,000					Term Loan, 7.63%, Maturing October 7, 2011	1,236,704
357,143					Term Loan, 9.63%, Maturing April 7, 2012	361,518
					Graphic Packaging International, Inc.
2,277,695					Term Loan, 7.86%, Maturing August 8, 2010	2,306,522
					JSG Acquisitions
		1,250,000		EUR	Term Loan, 6.24%, Maturing December 31, 2014	1,638,701
		1,250,000		EUR	Term Loan, 6.75%, Maturing December 31, 2014	1,645,368
					Pregis Corp.
987,500					Term Loan, 7.61%, Maturing October 12, 2011	995,523
					Smurfit-Stone Container Corp.
428,496					Term Loan, 4.73%, Maturing November 1, 2011	432,903
862,091					Term Loan, 7.63%, Maturing November 1, 2011	870,957
818,689					Term Loan, 7.63%, Maturing November 1, 2011	826,830
						$	12,436,007
Cosmetics/Toiletries — 0.3%
					American Safety Razor Co.
$	300,000				Term Loan, 11.72%, Maturing July 31, 2014	$	305,250
					Prestige Brands, Inc.
701,018					Term Loan, 7.71%, Maturing April 7, 2011	707,006
						$	1,012,256
Drugs — 0.5%
					Patheon, Inc.
$	586,293				Term Loan, 9.57%, Maturing December 14, 2011	$	580,797
					Stiefel Laboratories, Inc.
162,520					Term Loan, 0.00%, Maturing December 28, 2013 (2)	164,348
212,480					Term Loan, 7.61%, Maturing December 28, 2013	214,870
					Warner Chilcott Corp.
187,050					Term Loan, 7.36%, Maturing January 18, 2012	188,153
681,298					Term Loan, 7.37%, Maturing January 18, 2012	685,313
						$	1,833,481
Ecological Services and Equipment — 0.7%
					Duratek, Inc.
$	171,594				Term Loan, 7.63%, Maturing June 7, 2013	$	173,149
					Energysolutions, LLC
18,082					Term Loan, 7.57%, Maturing June 7, 2013	18,246
378,936					Term Loan, 7.63%, Maturing June 7, 2013	382,370
					Environmental Systems, Inc.
478,520					Term Loan, 8.85%, Maturing December 12, 2008	480,912

					Sensus Metering Systems, Inc.
$	403,727				Term Loan, 7.39%, Maturing December 17, 2010	$	402,717
53,627					Term Loan, 7.41%, Maturing December 17, 2010	53,493
					Sulo GmbH
		625,000		EUR	Term Loan, 9.87%, Maturing January 19, 2016	827,384
					Synagro Technologies, Inc.
37,857					Term Loan, 7.63%, Maturing June 21, 2012	37,928
227,143					Term Loan, 7.63%, Maturing June 21, 2012	227,569
						$	2,603,768
Electronics/Electrical — 3.2%
					Advanced Micro Devices, Inc.
$	687,033				Term Loan, 7.62%, Maturing December 31, 2013	$	693,786
					Aspect Software, Inc.
573,563					Term Loan, 8.38%, Maturing July 11, 2011	576,670
500,000					Term Loan, 12.44%, Maturing July 11, 2013	502,084
					Freescale Semiconductor, Inc.
1,225,000					Term Loan, 7.37%, Maturing December 1, 2013	1,234,188
					Infor Enterprise Solutions Holdings
753,825					Term Loan, 9.12%, Maturing July 28, 2012	761,552
393,300					Term Loan, 9.12%, Maturing July 28, 2012	396,545
					Invensys International Holding
			650,000	EUR	Term Loan, 5.69%, Maturing December 15, 2010	849,658
					Network Solutions, LLC
297,000					Term Loan, 10.36%, Maturing January 9, 2012	300,713
					Spectrum Brands, Inc.
			1,860,755	EUR	Term Loan, 7.01%, Maturing February 7, 2012	2,416,070
					SS&C Technologies, Inc.
26,578					Term Loan, 7.86%, Maturing November 23, 2012	26,783
456,221					Term Loan, 7.86%, Maturing November 23, 2012	459,738
					Telcordia Technologies, Inc.
664,422					Term Loan, 8.12%, Maturing September 15, 2012	658,504
					UGS Corp.
1,629,021					Term Loan, 7.10%, Maturing March 31, 2012	1,633,093
					Vertafore, Inc.
275,000					Term Loan, 11.40%, Maturing January 31, 2013	279,354
						$	10,788,738
Equipment Leasing — 0.5%
					Awas Capital, Inc.
$	686,037				Term Loan, 11.38%, Maturing March 22, 2013	$	696,328
					Maxim Crane Works, L.P.
338,180					Term Loan, 7.32%, Maturing January 28, 2010	339,025
					Rental Service Corp.
325,000					Term Loan, 8.86%, Maturing November 30, 2013	331,246
					United Rentals, Inc.
84,034					Term Loan, 5.32%, Maturing February 14, 2011	84,962
185,098					Term Loan, 7.32%, Maturing February 14, 2011	187,142
						$	1,638,703

Farming/Agriculture — 0.1%
						BF Bolthouse HoldCo, LLC
$	375,000					Term Loan, 10.86%, Maturing December 16, 2013	$	379,610
							$	379,610
Food Products — 2.7%
						Acosta, Inc.
$	621,875					Term Loan, 8.07%, Maturing July 28, 2013	$	628,612
						American Seafoods Group, LLC
778,372						Term Loan, 7.11%, Maturing September 30, 2011	777,399
						BL Marketing, Ltd.
			300,000		GBP	Term Loan, 7.75%, Maturing December 20, 2013	596,262
			300,000		GBP	Term Loan, 8.25%, Maturing December 20, 2014	598,808
						Black Lion Beverages III B.V.
				1,000,000	EUR	Term Loan, 8.31%, Maturing January 24, 2016	1,327,114
						Charden International B.V.
			250,000		EUR	Term Loan, 6.07%, Maturing March 14, 2014	325,715
			250,000		EUR	Term Loan, 6.57%, Maturing March 14, 2015	327,015
						Chiquita Brands, LLC
903,127						Term Loan, 8.38%, Maturing June 28, 2012	917,990
						Michael Foods, Inc.
220,972						Term Loan, 7.35%, Maturing November 21, 2010	222,031
						Nash-Finch Co.
428,571						Term Loan, 7.88%, Maturing November 12, 2010	428,839
						Picard Surgeles S.A.
		500,000			EUR	Term Loan, 6.08%, Maturing June 4, 2014	655,798
						Pinnacle Foods Holdings Corp.
218,515						Term Loan, 7.36%, Maturing November 25, 2010	219,608
						QCE Finance, LLC
275,000						Term Loan, 11.11%, Maturing November 5, 2013	281,359
						Reddy Ice Group, Inc.
925,000						Term Loan, 7.11%, Maturing August 9, 2012	926,156
						Ruby Acquisitions, Ltd.
			500,000		GBP	Term Loan, 7.95%, Maturing January 5, 2015	983,594
							$	9,216,300
Food Service — 0.3%
						Buffets, Inc.
$	52,500					Term Loan, 5.27%, Maturing May 1, 2013	$	52,795
397,500						Term Loan, 8.36%, Maturing November 1, 2013	399,736
						Carrols Corp.
269,765						Term Loan, 7.88%, Maturing December 31, 2010	271,114
						Denny’s, Inc.
40,000						Term Loan, 7.52%, Maturing March 31, 2012	40,550
244,860						Term Loan, 7.61%, Maturing March 31, 2012	248,227
							$	1,012,422

Food/Drug Retailers — 0.6%
			General Nutrition Centers, Inc.
$	569,122		Term Loan, 8.07%, Maturing December 5, 2009	$	572,146
			The Jean Coutu Group (PJC), Inc.
1,348,711			Term Loan, 7.88%, Maturing July 30, 2011	1,352,407
				$	1,924,553
Forest Products — 2.0%
			Boise Cascade Holdings, LLC
$	2,021,668		Term Loan, 7.11%, Maturing October 29, 2011	$	2,033,925
			Buckeye Technologies, Inc.
331,972			Term Loan, 7.42%, Maturing April 15, 2010	332,317
			Georgia Pacific Corp.
1,732,500			Term Loan, 7.35%, Maturing December 20, 2012	1,749,825
			NewPage Corp.
672,661			Term Loan, 7.63%, Maturing May 2, 2011	681,069
			Xerium Technologies, Inc.
1,566,626		EUR	Term Loan, 5.97%, Maturing May 18, 2012	2,044,976
				$	6,842,112
Healthcare — 4.7%
			Accellent, Inc.
$	594,000		Term Loan, 7.37%, Maturing November 22, 2012	$	594,743
			Alliance Imaging, Inc.
470,769			Term Loan, 7.88%, Maturing December 29, 2011	473,476
			American Medical Systems
479,298			Term Loan, 7.81%, Maturing July 20, 2012	479,897
			AMR HoldCo, Inc.
323,532			Term Loan, 7.38%, Maturing February 10, 2012	324,947
			Community Health Systems, Inc.
979,950			Term Loan, 7.12%, Maturing August 19, 2011	982,859
598,500			Term Loan, 7.11%, Maturing February 29, 2012	600,277
			Concentra Operating Corp.
952,087			Term Loan, 7.38%, Maturing September 30, 2011	955,956
			Davita, Inc.
1,482,708			Term Loan, 7.40%, Maturing October 5, 2012	1,495,682
			Emdeon Business Services, LLC
496,689			Term Loan, 7.87%, Maturing November 16, 2013	499,690
			Encore Medical Finance, LLC
299,250			Term Loan, 7.87%, Maturing November 3, 2013	300,232
			FHC Health Systems, Inc.
125,329			Term Loan, 12.12%, Maturing December 18, 2009	129,089
87,730			Term Loan, 14.12%, Maturing December 18, 2009	90,362
			Graceway Pharmaceuticals, LLC
400,000			Term Loan, 7.84%, Maturing December 29, 2011	402,750
			HCA, Inc.
1,950,000			Term Loan, 8.11%, Maturing November 18, 2013	1,969,972

					Kinetic Concepts, Inc.
$	221,220				Term Loan, 7.12%, Maturing October 3, 2009	$	222,257
					Lifecare Holdings, Inc.
222,188					Term Loan, 7.57%, Maturing August 11, 2012	215,476
					Moon Acquisition Co. AB
			458,140	EUR	Term Loan, 6.22%, Maturing November 4, 2013	599,456
			500,000	EUR	Term Loan, 6.72%, Maturing November 4, 2014	656,422
					National Mentor Holdings, Inc.
16,800					Term Loan, 5.32%, Maturing June 29, 2013	16,900
281,784					Term Loan, 7.87%, Maturing June 29, 2013	283,457
					Nyco Holdings
		312,500		EUR	Term Loan, 6.10%, Maturing December 29, 2014	407,195
		312,500		EUR	Term Loan, 6.60%, Maturing December 29, 2015	409,022
					P&F Capital S.A.R.L.
			209,223	EUR	Term Loan, 6.30%, Maturing February 21, 2014	275,932
			65,049	EUR	Term Loan, 6.30%, Maturing February 21, 2014	85,789
			125,235	EUR	Term Loan, 6.30%, Maturing February 21, 2014	165,164
			100,494	EUR	Term Loan, 6.30%, Maturing February 21, 2014	132,535
			94,595	EUR	Term Loan, 6.80%, Maturing February 21, 2015	125,216
			35,135	EUR	Term Loan, 6.80%, Maturing February 21, 2015	46,509
			72,973	EUR	Term Loan, 6.80%, Maturing February 21, 2015	96,595
			297,297	EUR	Term Loan, 6.80%, Maturing February 21, 2015	393,536
					Select Medical Holding Corp.
491,250					Term Loan, 7.11%, Maturing February 24, 2012	490,594
					Vanguard Health Holding Co., LLC
736,959					Term Loan, 7.61%, Maturing September 23, 2011	744,329
					VWR International, Inc.
			1,274,423	EUR	Term Loan, 5.87%, Maturing April 7, 2011	1,669,848
						$	16,336,164
Home Furnishings — 0.5%
					Interline Brands, Inc.
$	281,196				Term Loan, 7.07%, Maturing June 23, 2013	$	281,723
194,565					Term Loan, 7.07%, Maturing June 23, 2013	194,930
					Oreck Corp.
452,963					Term Loan, 8.12%, Maturing February 2, 2012	443,904
					Simmons Co.
832,620					Term Loan, 7.41%, Maturing December 19, 2011	840,599
						$	1,761,156
Industrial Equipment — 1.7%
					Alliance Laundry Holdings, LLC
$	299,918				Term Loan, 7.60%, Maturing January 27, 2012	$	302,543
					Douglas Dynamics Holdings, Inc.
859,426					Term Loan, 7.11%, Maturing December 16, 2010	857,277
					Generac Acquisition Corp.
371,250					Term Loan, 7.86%, Maturing November 7, 2013	372,642

					Gleason Corp.
$	183,030				Term Loan, 7.88%, Maturing June 30, 2013	$	184,517
200,000					Term Loan, 10.88%, Maturing December 31, 2013	202,625
					John Maneely Co.
595,331					Term Loan, 8.62%, Maturing December 8, 2013	596,968
					MTD Products, Inc.
1,227,960					Term Loan, 6.88%, Maturing June 1, 2010	1,223,355
					PP Acquisition Corp.
1,050,195					Term Loan, 8.32%, Maturing November 12, 2011	1,058,071
					Prysmian S.R.L.
		400,000		EUR	Term Loan, 6.16%, Maturing August 22, 2014	522,705
		400,000		EUR	Term Loan, 6.66%, Maturing August 22, 2015	525,125
					TFS Acquisition Corp.
224,438					Term Loan, 8.92%, Maturing August 11, 2013	226,121
						$	6,071,949
Insurance — 0.5%
					ARG Holding, Inc.
$	400,000				Term Loan, 12.69%, Maturing November 30, 2012	$	404,500
					CCC Information Services Group
222,917					Term Loan, 7.87%, Maturing February 10, 2013	224,031
					Conseco, Inc.
798,000					Term Loan, 7.32%, Maturing October 10, 2013	802,489
					Crawford & Company
379,952					Term Loan, 7.86%, Maturing October 31, 2013	381,971
						$	1,812,991
Leisure Goods/Activities/Movies — 4.0%
					24 Hour Fitness Worldwide, Inc.
$	401,963				Term Loan, 7.86%, Maturing June 8, 2012	$	405,228
					AMC Entertainment, Inc.
569,250					Term Loan, 7.45%, Maturing January 26, 2013	575,136
					Augustus 2, Ltd.
			400,000	GBP	Term Loan, 7.94%, Maturing June 22, 2014	783,939
			400,000	GBP	Term Loan, 8.44%, Maturing June 22, 2015	787,854
					Bombardier Recreational Product
524,051					Term Loan, 7.89%, Maturing June 28, 2013	527,545
					Cedar Fair, L.P.
870,625					Term Loan, 7.82%, Maturing August 30, 2012	880,474
					Cinemark, Inc.
1,047,375					Term Loan, 7.38%, Maturing October 5, 2013	1,058,995
					Deluxe Entertainment Services
285,000					Term Loan, 8.36%, Maturing January 28, 2011	294,975
					Fender Musical Instruments Co.
250,000					Term Loan, 11.33%, Maturing October 1, 2012	252,344
					Metro-Goldwyn-Mayer Holdings, Inc.
2,148,763					Term Loan, 8.61%, Maturing April 8, 2012	2,155,896

						Red Football, Ltd.
				500,000	GBP	Term Loan, 7.58%, Maturing August 16, 2014	$	981,147
				500,000	GBP	Term Loan, 7.83%, Maturing August 16, 2015	985,225
						Revolution Studios
525,000						Term Loan, 9.07%, Maturing December 21, 2014	528,938
225,000						Term Loan, 12.35%, Maturing June 21, 2015	224,438
						Six Flags Theme Parks, Inc.
1,471,083						Term Loan, 8.61%, Maturing June 30, 2009	1,489,472
						Universal City Development Partners, Ltd.
925,455						Term Loan, 7.37%, Maturing June 9, 2011	930,082
						WMG Acquisition Corp.
982,348						Term Loan, 7.37%, Maturing February 28, 2011	988,672
							$	13,850,360
Lodging and Casinos — 2.7%
						Bally Technologies, Inc.
$	986,067					Term Loan, 8.61%, Maturing September 5, 2009	$	989,765
						Fairmont Hotels and Resorts, Inc.
150,065						Term Loan, 8.57%, Maturing May 12, 2011	151,378
						Gala Electric Casinos, Ltd.
		875,000			GBP	Term Loan, 7.94%, Maturing December 12, 2013	1,731,279
		875,000			GBP	Term Loan, 8.44%, Maturing December 12, 2014	1,738,358
						Isle of Capri Casinos, Inc.
962,545						Term Loan, 7.11%, Maturing February 4, 2012	967,357
						Penn National Gaming, Inc.
1,397,312						Term Loan, 7.12%, Maturing October 3, 2012	1,408,230
						Pinnacle Entertainment, Inc.
225,000						Term Loan, 0.00%, Maturing December 14, 2011 (2)	224,953
200,000						Term Loan, 7.32%, Maturing December 14, 2011	201,450
						Venetian Casino Resort, LLC
1,243,590						Term Loan, 7.12%, Maturing June 15, 2011	1,253,754
256,410						Term Loan, 7.12%, Maturing June 15, 2011	258,506
						VML US Finance, LLC
133,333						Term Loan, 0.00%, Maturing May 25, 2012 (2)	133,792
266,667						Term Loan, 8.12%, Maturing May 25, 2013	270,000
							$	9,328,822
Nonferrous Metals/Minerals — 0.8%
						Almatis Holdings 5 BV
			250,000		EUR	Term Loan, 6.34%, Maturing December 21, 2013	$	328,619
			250,000		EUR	Term Loan, 6.34%, Maturing December 21, 2014	330,040
						Longyear Global Holdings, Inc.
28,725						Term Loan, 8.61%, Maturing October 6, 2012	28,935
30,935						Term Loan, 8.61%, Maturing October 6, 2012	31,161
289,464						Term Loan, 8.61%, Maturing October 6, 2012	291,575
						Murray Energy Corp.
736,875						Term Loan, 8.37%, Maturing January 28, 2010	744,244

		Novelis, Inc.
$	298,491	Term Loan, 7.62%, Maturing January 6, 2012	$	299,770
518,432		Term Loan, 7.62%, Maturing January 6, 2012	520,654
		Thompson Creek Metals Co.
325,000		Term Loan, 10.13%, Maturing October 26, 2012	330,688
			$	2,905,686
Oil and Gas — 1.4%
		Concho Resources, Inc.
$	621,875	Term Loan, 9.36%, Maturing July 6, 2011 (3)	$	617,708
		El Paso Corp.
375,000		Term Loan, 5.23%, Maturing July 31, 2011	377,197
		Epco Holdings, Inc.
980,155		Term Loan, 7.36%, Maturing August 18, 2010	988,381
		Key Energy Services, Inc.
495,000		Term Loan, 7.84%, Maturing June 30, 2012	498,094
		Niska Gas Storage
72,727		Term Loan, 7.10%, Maturing May 13, 2011	72,909
50,782		Term Loan, 7.10%, Maturing May 13, 2011	50,909
75,791		Term Loan, 7.14%, Maturing May 13, 2011	75,921
397,136		Term Loan, 7.15%, Maturing May 12, 2013	397,819
		Petroleum Geo-Services ASA
222,129		Term Loan, 7.61%, Maturing December 16, 2012	223,850
		Primary Natural Resources, Inc.
496,250		Term Loan, 9.36%, Maturing July 28, 2010 (3)	492,925
		Targa Resources, Inc.
390,000		Term Loan, 7.60%, Maturing October 31, 2007	390,518
540,258		Term Loan, 7.61%, Maturing October 31, 2012	544,394
87,903		Term Loan, 7.62%, Maturing October 31, 2012	88,576
			$	4,819,201
Publishing — 3.9%
		American Media Operations, Inc.
$	1,000,000	Term Loan, 8.37%, Maturing January 31, 2013	$	1,007,083
		CBD Media, LLC
718,954		Term Loan, 7.70%, Maturing December 31, 2009	724,945
		Gatehouse Media Operating, Inc.
465,000		Term Loan, 7.57%, Maturing June 6, 2013	466,647
		Hanley-Wood, LLC
51,738		Term Loan, 7.61%, Maturing August 1, 2012	51,824
433,161		Term Loan, 7.62%, Maturing August 1, 2012	433,883
		Idearc, Inc.
1,850,000		Term Loan, 7.33%, Maturing November 17, 2014	1,866,014
		Medianews Group, Inc.
273,625		Term Loan, 7.07%, Maturing August 2, 2013	274,195
		Nebraska Book Co., Inc.
730,386		Term Loan, 7.88%, Maturing March 4, 2011	734,038

					Philadelphia Newspapers, LLC
$	223,875				Term Loan, 8.12%, Maturing June 29, 2013	$	224,248
					Riverdeep Interactive Learning USA, Inc.
350,000					Term Loan, 8.10%, Maturing December 20, 2013	354,156
					Seat Pagine Gialle Spa
		1,744,216		EUR	Term Loan, 5.88%, Maturing May 25, 2012	2,289,289
					SP Newsprint Co.
652,602					Term Loan, 5.35%, Maturing January 9, 2010	655,457
					World Directories ACQI Corp.
		1,500,000		EUR	Term Loan, 6.88%, Maturing November 29, 2013	1,977,194
					Xsys, Inc.
		1,000,000		EUR	Term Loan, 6.56%, Maturing September 27, 2014	1,320,648
					YBR Acquisition BV
		450,000		EUR	Term Loan, 6.34%, Maturing June 30, 2013	$	593,292
		450,000		EUR	Term Loan, 6.84%, Maturing June 30, 2014	595,188
						$	13,568,101
Radio and Television — 1.8%
					ALM Media Holdings, Inc.
$	487,533				Term Loan, 7.86%, Maturing March 4, 2010	$	488,904
					Block Communications, Inc.
272,250					Term Loan, 7.36%, Maturing December 22, 2011	272,760
					CMP KC, LLC
491,844					Term Loan, 9.38%, Maturing May 5, 2013	492,459
					Intelsat Subsuduary Holding Co.
299,250					Term Loan, 7.36%, Maturing July 3, 2013	302,878
					Nexstar Broadcasting, Inc.
389,122					Term Loan, 7.11%, Maturing October 1, 2012	388,758
368,727					Term Loan, 7.11%, Maturing October 1, 2012	368,381
					P7S1 Holding II S.A.R.L.
			1,000,000	EUR	Term Loan, 7.63%, Maturing July 18, 2011	1,300,939
					PanAmSat Corp.
698,250					Term Loan, 7.86%, Maturing January 3, 2014	706,154
					Paxson Communications Corp.
850,000					Term Loan, 8.61%, Maturing January 15, 2012	869,656
					SFX Entertainment
445,500					Term Loan, 8.10%, Maturing June 21, 2013	446,335
					Young Broadcasting, Inc.
246,250					Term Loan, 7.94%, Maturing November 3, 2012	247,097
496,250					Term Loan, 7.94%, Maturing November 3, 2012	497,956
						$	6,382,277
Rail Industries — 0.1%
					Railamerica, Inc.
$	463,496				Term Loan, 7.38%, Maturing September 29, 2011	$	464,944
						$	464,944

Retailers (Except Food and Drug) — 1.6%
			American Achievement Corp.
$	396,289		Term Loan, 7.58%, Maturing March 25, 2011	$	399,261
			Coinmach Laundry Corp.
1,120,461			Term Loan, 7.88%, Maturing December 19, 2012	1,131,490
			Josten’s Corp.
849,035			Term Loan, 7.37%, Maturing October 4, 2011	854,165
			Mapco Express, Inc.
446,275			Term Loan, 8.10%, Maturing April 28, 2011	450,180
			Mauser Werke GMBH & Co. KG
375,000			Term Loan, 8.10%, Maturing December 3, 2011	377,344
			Neiman Marcus Group, Inc.
215,190			Term Loan, 7.60%, Maturing April 5, 2013	217,703
			Oriental Trading Co., Inc.
300,000			Term Loan, 11.47%, Maturing January 31, 2013	301,031
472,625			Term Loan, 8.17%, Maturing July 31, 2013	475,284
			Rent-A-Center, Inc.
324,185			Term Loan, 7.12%, Maturing November 15, 2012	325,452
			Rover Acquisition Corp.
425,000			Term Loan, 8.10%, Maturing October 26, 2013	430,224
			Savers, Inc.
102,535			Term Loan, 8.11%, Maturing August 11, 2012	103,432
121,903			Term Loan, 8.11%, Maturing August 11, 2012	122,969
			Stewert Enterprises, Inc.
375,540			Term Loan, 7.18%, Maturing November 19, 2011	376,948
				$	5,565,483
Steel — 0.0%
			Gibraltar Industries, Inc.
$	161,543		Term Loan, 7.13%, Maturing December 8, 2010	$	161,443
				$	161,443
Surface Transport — 0.4%
			Oshkosh Truck Corp.
$	550,000		Term Loan, 7.35%, Maturing December 6, 2013	$	553,560
			Sirva Worldwide, Inc.
326,559			Term Loan, 11.60%, Maturing December 1, 2010	310,639
			Vanguard Car Rental USA
353,875			Term Loan, 8.35%, Maturing June 14, 2013	357,377
				$	1,221,576
Telecommunications — 2.6%
			Asurion Corp.
$	329,581		Term Loan, 8.32%, Maturing July 13, 2012	$	331,435
400,000			Term Loan, 11.57%, Maturing January 13, 2013	406,750
			BCM Luxembourg, Ltd.
375,000		EUR	Term Loan, 5.93%, Maturing September 30, 2014	488,033
375,000		EUR	Term Loan, 6.31%, Maturing September 30, 2015	492,675

		Cellular South, Inc.
$	987,342	Term Loan, 7.11%, Maturing May 4, 2011	$	988,268
		Centennial Cellular Operating Co., LLC
692,695		Term Loan, 7.61%, Maturing February 9, 2011	698,684
		Consolidated Communications, Inc.
1,000,000		Term Loan, 7.37%, Maturing July 27, 2015	1,005,313
		Fairpoint Communications, Inc.
1,000,000		Term Loan, 7.13%, Maturing February 8, 2012	1,003,438
		Hawaiian Telcom Communications, Inc.
496,667		Term Loan, 7.62%, Maturing October 31, 2012	497,701
		NTelos, Inc.
490,017		Term Loan, 7.57%, Maturing August 24, 2011	493,019
		Stratos Global Corp.
325,000		Term Loan, 8.11%, Maturing February 13, 2012	325,643
		Syniverse Holdings, Inc.
284,504		Term Loan, 7.12%, Maturing February 15, 2012	285,749
		Triton PCS, Inc.
736,842		Term Loan, 8.61%, Maturing November 18, 2009	743,136
		Windstream Corp.
1,200,000		Term Loan, 7.11%, Maturing July 17, 2013	1,210,781
			$	8,970,625
Utilities — 1.2%
		Astoria Generating Co.
$	375,000	Term Loan, 9.12%, Maturing August 23, 2013	$	380,703
		BRSP, LLC
550,000		Term Loan, 8.37%, Maturing July 13, 2009	552,750
		Covanta Energy Corp.
234,146		Term Loan, 5.31%, Maturing June 24, 2012	235,610
166,951		Term Loan, 7.60%, Maturing May 27, 2013	167,994
162,500		Term Loan, 10.82%, Maturing June 24, 2013	166,055
		La Paloma Generating Co., LLC
65,152		Term Loan, 7.07%, Maturing August 16, 2012	64,827
372,890		Term Loan, 7.11%, Maturing August 16, 2012	371,026
29,255		Term Loan, 7.11%, Maturing August 16, 2012	29,109
		LSP General Finance Co., LLC
11,895		Term Loan, 7.11%, Maturing April 14, 2013	11,939
276,477		Term Loan, 7.11%, Maturing April 14, 2013	277,514
		NRG Energy, Inc.
575,000		Term Loan, 7.36%, Maturing February 1, 2013	580,640
1,298,903		Term Loan, 7.36%, Maturing February 1, 2013	1,311,705
			$	4,149,872
Total Senior, Floating Rate Interests (identified cost $243,712,677)			$	248,431,269

Mortgage Pass-Throughs — 56.0%

Principal
Amount
(000’s omitted)		Security	Value
		Federal Home Loan Mortgage Corp.:
$	3,415	6.15%, with maturity at 2027	$	3,457,039
9,846		6.50%, with maturity at 2019 (4)	10,038,046
10,720		7.00%, with various maturities to 2013 (4)	10,962,410
6,254		7.50%, with maturity at 2024 (4)	6,617,442
17,056		8.00%, with various maturities to 2031 (4)	18,016,191
9,615		8.50%, with various maturities to 2031 (4)	10,343,524
1,044		9.00%, with maturity at 2031	1,130,307
1,077		9.50%, with various maturities to 2022	1,178,237
2,466		11.50%, with maturity at 2019 (5)	2,738,731
			$	64,481,927
		Federal National Mortgage Association:
$	4,786	6.395%, with maturity at 2032 (4)(6)	$	4,866,353
17,086		6.50%, with various maturities to 2028 (4)	17,479,177
2,462		7.00%, with maturity at 2014	2,526,059
19,538		7.50%, with various maturities to 2030 (4)	20,651,688
6,848		8.00%, with various maturities to 2029 (4)	7,291,104
1,564		8.50%, with maturity at 2027	1,679,358
1,469		9.00%, with various maturities to 2028	1,608,870
9,082		9.50%, with various maturities to 2031 (4)	10,054,889
3,755		10.00%, with various maturities to 2031	4,187,152
			$	70,344,650
		Government National Mortgage Association:
$	7,536	7.50%, with maturity at 2022 (4)	$	7,999,374
9,667		8.00%, with various maturities to 2027	10,285,851
5,078		9.00%, with maturity at 2026	5,665,826
930		9.50%, with maturity at 2025	1,011,486
1,401		11.00%, with maturity at 2018	1,562,695
			$	26,525,232
		Collateralized Mortgage Obligations:
$	4,017	Federal Home Loan Mortgage Corp., Series 2137, Class Z, 6.00%, 3/15/29 (4)	$	4,076,055
4,733		Federal Home Loan Mortgage Corp., Series 2167, Class BZ, 7.00%, 6/15/29 (4)	4,896,885
1,016		Federal Home Loan Mortgage Corp., Series 2214, Class NC, 11.055%, 8/15/21 (7)	1,114,887
6,263		Federal Home Loan Mortgage Corp., Series S 2182, Class ZB, 8.00%, 9/15/29 (4)	6,596,328
342		Federal National Mortgage Association, Series 1989-89, Class H, 9.00%, 11/25/19	370,984

$	906	Federal National Mortgage Association, Series 1991-122, Class N, 7.50%, 9/25/21	$	946,492
6,639		Federal National Mortgage Association, Series 1993-84, Class M, 7.50%, 6/25/23 (4)	7,031,078
2,105		Federal National Mortgage Association, Series 1997-28, Class ZA, 7.50%, 4/20/27	2,216,260
1,920		Federal National Mortgage Association, Series 1997-38, Class N, 8.00%, 5/20/27	2,031,964
3,435		Federal National Mortgage Association, Series G-33, Class PT, 7.00%, 10/25/21 (4)	3,538,956
			32,819,889
Total Mortgage Pass-Throughs (identified cost $196,406,024)			$	194,171,698

Corporate Bonds & Notes — 1.7%

Principal
Amount
(000’s omitted)				Security	Value
Building and Construction — 0.2%
				Grohe Holding, Variable Rate
		500	EUR	6.622%, 1/15/14	$	652,975
					$	652,975
Cable and Satellite Television — 0.7%
				Iesy Hessen & ISH NRW, Variable Rate
$	2,000			6.65%, 4/15/13 (6)	$	2,598,900
					$	2,598,900
Financial Intermediaries — 0.1%
				Centurion CDO 9 Ltd., Series 2005-9A
$	500			9.35%, 7/17/19	$	518,497
					$	518,497
Index Linked Notes — 0.6%
				JP Morgan Chilean Inflation Linked Note
$	2,000			7.433%, 11/17/15 (8)	$	2,081,380
					$	2,081,380
Telecommunications — 0.1%
				Qwest Corp., Sr. Notes, Variable Rate
$	200			8.61%, 6/15/13 (6)	$	219,000
					$	219,000
Total Corporate Bonds & Notes (identified cost $5,798,925)					$	6,070,752

Sovereign Issues — 8.4%

Principal
Amount
(000’s omitted)					Security	Value
					Egyptian Treasury Bill
			11,425	EGP	0.00%, 2/6/07	$	2,004,419
			7,800	EGP	0.00%, 2/13/07	1,366,013
			7,590	EGP	0.00%, 2/27/07	1,324,520
			4,000	EGP	0.00%, 3/13/07	695,559
			18,650	EGP	0.00%, 4/3/07	3,225,858
			8,175	EGP	0.00%, 4/10/07	1,411,518
			10,925	EGP	0.00%, 5/8/07	1,873,042
			12,900	EGP	0.00%, 5/15/07	2,207,673
			7,625	EGP	0.00%, 11/13/07	1,244,587
					Federal Republic of Brazil
		4,281		BRL	10.00%, 1/1/14	1,793,023
					Indonesia Government
	30,000,000			IDR	11.00%, 12/15/12	3,509,754
					Indonesia Recapitalization Bond
	35,000,000			IDR	12.25%, 7/15/07	3,930,770
					Kazakhstan Treasury Notes
	250,000			KZT	0.00%, 2/16/07	1,979,300
					Republic of Colombia
	5,060,000			COP	11.75%, 3/1/10	2,391,769
Total Sovereign Issues (identified cost $29,160,311)						$	28,957,805

Call Options Purchased — 0.0%

Contracts			Security	Value
	300,000	EUR	Euro Call Option, Expires 1/8/2009, Strike Price 1.3270 (3)	$	13,340
	300,000	EUR	Euro Call Option, Expires 10/02/2008, Strike Price 1.2738 (3)	20,404
	300,000	EUR	Euro Call Option, Expires 10/10/2008, Strike Price 1.2950 (3)	16,871
	300,000	EUR	Euro Call Option, Expires 10/16/2008, Strike Price 1.2990 (3)	16,312
	300,000	EUR	Euro Call Option, Expires 10/30/2008, Strike Price 1.3155 (3)	14,030
	300,000	EUR	Euro Call Option, Expires 11/13/2008, Strike Price 1.3195 (3)	13,652
	300,000	EUR	Euro Call Option, Expires 11/26/2008, Strike Price 1.3540 (3)	9,633

	300,000	EUR	Euro Call Option, Expires 12/11/2008, Strike Price 1.3506 (3)		$	10,159
					$	114,401

Put Options Purchased — 0.0%

Contracts			Security	Value
	300,000	EUR	Euro Put Option, Expires 1/08/2009, Strike Price 1.3270 (3)	$	13,170
	300,000	EUR	Euro Put Option, Expires 10/02/2008, Strike Price 1.2738 (3)	6,410
	300,000	EUR	Euro Put Option, Expires 10/10/2008, Strike Price 1.2950 (3)	8,637
	300,000	EUR	Euro Put Option, Expires 10/16/2008, Strike Price 1.2990 (3)	9,131
	300,000	EUR	Euro Put Option, Expires 10/30/2008, Strike Price 1.3155 (3)	11,258
	300,000	EUR	Euro Put Option, Expires 11/13/2008, Strike Price 1.3195 (3)	11,865
	300,000	EUR	Euro Put Option, Expires 11/26/2008, Strike Price 1.3540 (3)	17,122
	300,000	EUR	Euro Put Option, Expires 12/11/2008, Strike Price 1.3506 (3)	16,611
Total Put Options Purchased (identified cost, $124,310)				$	94,204

Short-Term Investments — 2.2%

Principal		Maturity
Amount		Date	Borrower	Rate		Amount
$	930,000	02/01/07	Investors Bank and Trust Company Time Deposit	5.28	%	$	930,000

Description	Interest (000’s omitted)	Value
Investment in Cash Management Portfolio, 4.73% (9)	6,651	$	6,651,279
Total Short-Term Investments (at amortized cost $7,581,279)		$	7,581,279
Gross Investments — 140.0% (identified cost $482,907,836)		$	485,421,408
Less Unfunded Loan Commitments — (0.2)%		$	(585,739	)
Net Investments — 139.8% (identified cost $482,322,097)		$	484,835,669
Other Assets, Less Liabilities — (39.8)%		$	(138,166,386	)
Net Assets — 100.0%		$	346,669,283

BRL	—	Brazilian Real
COP	—	Colombian Peso
EGP	—	Egyptian Pound
EUR	—	Euro
GBP	—	British Pound
IDR	—	Indonesian Rupiah
KZT	—	Kazakhstan Tenge

(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 or partially unfunded loan commitments. The Fund may enter into certain credit agreements whereby 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)	All or a portion of these securities were on loan at January 31, 2007.
(5)	Security (or a portion thereof) has been segregated to cover margin requirements on open financial futures contracts.
(6)	Adjustable rate securities. Rates shown are the rates at period end.
(7)	Rate shown is a weighted average coupon which resets monthly.
(8)	Security pays 3.8% coupon and accrues principal based on annual increases in the Chilean UF Rate, for an effective yield of 7.433%.
(9)	Affiliated investment investing in high quality, U.S. Dollar denominated money market instruments, and that is available to Eaton Vance portfolios and funds. The rate shown is the annualized seven-day yield as of January 31, 2007.

A summary of financial instruments at January 31, 2007 is as follows:

Futures Contracts

Expiration				Aggregate						Net Unrealized
Date	Contracts	Position		Cost			Value			Depreciation
03/07	21 Japan 10 Year Bond		Short	$	(23,300,347	)	$	(23,347,222	)		$	(46,875	)

Description of the underlying instruments to futures contracts: Japanese Government Bonds (JGB) having a maturity of 7 years or more but less than 11 years.

Forward Foreign Currency Exchange Contracts

Sales

			Net Unrealized
Settlement			Appreciation
Date(s)	Deliver	In exchange for	(Depreciation)
2/02/07	Brazilian Real 5,300,000	United States Dollar 2,494,470		$	646
2/28/07	Euro 50,625,000	United States Dollar 65,647,563		(217,477		)
2/28/07	Great British Pound 6,980,000	United States Dollar 13,666,491		4,164
2/28/07	Hungarian Forint 350,000,000	Euro 1,359,223		(6,209		)
2/05/07	Romanian Leu 18,000,000	Euro 5,294,273		7,818
				$	(211,058	)

Purchases

			Net Unrealized
Settlement			Appreciation
Date(s)	Acquire	In exchange for	(Depreciation)
2/09/07	Australian Dollar 4,500,000	New Zealand Dollar 5,120,280		$	(32,676	)
2/02/07	Brazilian Real 5,300,000	United States Dollar 2,457,002		36,822
4/03/07	Brazilian Real 2,727,000	United States Dollar 1,272,218		(40		)
2/09/07	Indonesian Rupiah 32,000,000,000	United States Dollar 3,518,030		(1,546		)
2/09/07	Indian Rupee 471,000,000	United States Dollar 10,581,892		75,694
2/08/07	Icelandic Kroner 211,144,000	Euro 2,272,076		126,675
2/22/07	Icelandic Kroner 118,000,000	Euro 1,290,323		36,604
2/28/07	Icelandic Kroner 376,674,800	Euro 4,196,934		5,158
2/28/07	Kazakhstan Tenge 143,700,000	United States Dollar 1,142,744		(1,627		)
8/03/07	Kazakhstan Tenge 66,000,000	United States Dollar 557,432		(31,075		)
2/06/07	Mexican Peso 19,000,000	United States Dollar 1,728,294		(7,766		)
2/12/07	Mexican Peso 38,328,000	United States Dollar 3,475,832		(6,192		)
2/22/07	Mexican Peso 18,600,000	United States Dollar 1,700,292		(17,431		)

2/09/07	Malaysian Ringgit 61,500,000	United States Dollar 17,541,046	31,279
2/08/07	Philippines Peso 517,000,000	United States Dollar 10,626,189	(52,503		)
2/28/07	Polish Zloty 10,050,000	Euro 2,554,295	17,442
2/19/07	Romanian Leu 2,575,000	Euro 759,632	(5,163		)
2/20/07	Romanian Leu 28,500,000	Euro 8,410,057	(60,373		)
2/22/07	Romanian Leu 18,000,000	Euro 5,302,383	(27,160		)
6/20/07	Romanian Leu 5,100,000	Euro 1,474,415	5,335
2/09/07	Serbian Dinar 102,000,000	Euro 1,295,238	(5,624		)
2/26/07	Serbian Dinar 53,500,000	Euro 678,323	(6,000		)
2/28/07	Serbian Dinar 161,000,000	Euro 2,046,315	(26,123		)
4/02/07	Serbian Dinar 46,600,000	Euro 586,311	(6,416		)
4/30/07	Serbian Dinar 102,000,000	Euro 1,283,826	(15,138		)
2/05/07	Turkish Lira 3,334,382	United States Dollar 2,326,529	32,339
2/14/07	Turkish Lira 4,124,500	United States Dollar 2,872,675	35,657
2/28/07	Turkish Lira 2,439,000	United States Dollar 1,687,682	23,480
			$	123,632

At January 31, 2007, the Fund had sufficient cash and/or securities to cover potential obligations arising from open futures and forward foreign currency exchange contracts, as well as margin requirements on open futures contracts.

Credit Default Swaps

The Fund has entered into credit default swaps whereby the Fund is buying or selling exposure to an increase in credit spreads for the underlying instrument. The maximum payouts are limited to the notional amount of each swap.

			Net Unrealized
Notional	Expiration		Appreciation
Amount	Date	Description	(Depreciation)
10,000,000 USD	3/20/2010	Agreement with Credit Suisse First Boston dated 3/05/2005 whereby the Fund will pay 2.01% per year times the notional amount. In exchange for that periodic payment, upon a credit event involving Turkish sovereign issues, Credit Suisse First Boston agrees to pay the Fund the notional amount of the swap. To receive that payment, the Fund must deliver a bond (with par value equal to the notional amount of the swap) issued by Turkey to Credit Suisse First Boston.		$	(274,575	)
5,000,000 USD	9/20/2011	Agreement with Credit Suisse First Boston dated 7/21/2006 whereby the Fund will pay 2.15% per year times the notional amount. In exchange for that periodic payment, upon a credit event involving Filipino sovereign issues, Credit Suisse First Boston agrees to pay the Fund the notional amount of the swap. To receive that payment, the Fund must deliver a bond (with par value equal to the notional amount of the swap) issued by the Philippines to Credit Suisse First Boston.		$	(202,811	)
10,000,000 USD	3/20/2010	Agreement with JP Morgan Chase Bank dated 3/05/2005 whereby the Fund will pay 2.00% per year times the notional amount. In exchange for that periodic payment, upon a credit event involving Turkish sovereign issues, JP Morgan Chase Bank agrees to pay the Fund the notional amount of the swap. To receive that payment, the Fund must deliver a bond (with par value equal to the notional amount of the swap) issued by Turkey to JP Morgan Chase Bank.		$	(271,732	)

10,000,000 USD	9/20/2011	Agreement with JP Morgan Chase Bank dated 7/21/2006 whereby the Fund will pay 2.09% per year times the notional amount. In exchange for that periodic payment, upon a credit event involving Indonesian sovereign issues, JP Morgan Chase Bank agrees to pay the Fund the notional amount of the swap. To receive that payment, the Fund must deliver a bond (with par value equal to the notional amount of the swap) issued by Indonesia to JP Morgan Chase Bank.	$	(381,987	)
5,000,000 USD	9/20/2011	Agreement with JP Morgan Chase Bank dated 7/21/2006 whereby the Fund will pay 2.17% per year times the notional amount. In exchange for that periodic payment, upon a credit event involving Filipino sovereign issues, JP Morgan Chase Bank agrees to pay the Fund the notional amount of the swap. To receive that payment, the Fund must deliver a bond (with par value equal to the notional amount of the swap) issued by the Philippines to JP Morgan Chase Bank.	$	(206,860	)
6,800,000 USD	12/20/2016	Agreement with Credit Suisse First Boston dated 10/19/2006 whereby the Fund will pay 0.20% per year times the notional amount. In exchange for that periodic payment, upon a credit event involving Italian sovereign issues, Credit Suisse First Boston agrees to pay the Fund the notional amount of the swap. To receive that payment , the Fund must deliver a bond (with par value equal to the notional amount of the swap) issued by Italy to Credit Suisse First Boston.	$	(19,703	)
5,000,000 USD	12/20/2016	Agreement with Lehman Brothers Bank dated 12/01/2006 he Fund will pay 2.36% per year times the notional amount. In exchange for that periodic payment, upon a credit event involving Venezuela sovereign issues, JP Morgan Chase Bank agrees to pay the Fund the notional amount of the swap. To receive that payment, the Fund must deliver a bond (with par value equal to the notional amount of the swap) issued by Venezuela to Lehman Brothers Bank.	$	56,307

2,500,000 USD		12/20/2016		Agreement with Lehman Brothers Bank dated 12/11/2006 whereby the Fund will pay 2.22% per year times the notional amount. In exchange for that periodic payment, upon a credit event involving Venezuela sovereign issues, JP Morgan Chase Bank agrees to pay the Fund the notional amount of the swap. To receive that payment, the Fund must deliver a bond (with par value equal to the notional amount of the swap) issued by the Venezuela to Lehman Brothers Bank.			$	51,762
							$	(1,249,599	)

Interest Rate Swaps

Notional
Amount

Expiration
Date

Description

Net Unrealized
Appreciation
(Depreciation)

38,000,000 MXN

1/18/2017

Agreement with JP Morgan Chase Bank dated 01/31/2007 whereby the Fund makes a payment every 28 days at a rate equal to the Mexican Interbank Equilibrium Interest Rate Index on the notional amount of 38,000,000 MXN. In exchange, the Fund receives payments every 28 days at a fixed rate equal to 8.40% on the same notional amount.

25,707

114,000,000 MXN

10/12/2007

Agreement with JP Morgan Chase Bank dated 10/13/2006 whereby the Fund makes payment every 28 days at a rate equal to the Mexican Interbank Equilibrium Interest Rate Index on the notional amount of 114,000,000 MXN. In exchange, the Fund receives payments every 28 days at a fixed rate equal to 7.62% on the same notional amount.

(7,745

)

7,387,274 BRL

01/02/2012

Agreement with JP Morgan Chase Bank dated 12/13/2006 whereby the Fund will accrue interest payable at a floating rate that resets daily equal to the Brazilian Interbank Deposit rate on the notional amount of 7,387,274 BRL, which accretes daily to a notional amount of 13,500,000 BRL at maturity date. In exchange the Fund will accrue interest receivable at a fixed rate of 12.73% on the same notional amount. On maturity date, the Fund will make or receive a payment equal to the net of the accrued interest payable or receivable.

60,405

78,367

The cost and unrealized appreciation (depreciation) in value of the investments owned by the Fund at January 31, 2007, as computed on a federal income tax basis, were as follows:

Aggregate cost	$	482,552,942
Gross unrealized appreciation	$	6,195,441
Gross unrealized depreciation	(3,912,714		)
Net unrealized appreciation	$	2,282,727

The unrealized depreciation on foreign currency, swap contracts, financial futures contracts and forward contracts at January 31, 2007 on a federal income tax basis was $1,271,718.

Item 2. Controls and Procedures

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

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

Signatures

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

Eaton Vance Short Duration Diversified Income Fund

By:		/s/ Thomas E. Faust Jr.
		Thomas E. Faust Jr.
		President
Date:		March 20, 2007

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
Date:		March 20, 2007
By:		/s/ Barbara E. Campbell
		Barbara E. Campbell
		Treasurer
Date:		March 20, 2007