Edgar Filing: Eaton Vance Short Duration Diversified Income Fund

Eaton Vance Short Duration Diversified Income Fund

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-21563

Investment Company Act File Number

Eaton Vance Short Duration Diversified Income Fund

(Exact Name of Registrant as Specified in Charter)

Two International Place, Boston, Massachusetts 02110

(Address of Principal Executive Offices)

Maureen A. Gemma

Two International Place, Boston, Massachusetts 02110

(Name and Address of Agent for Services)

(617) 482-8260

(Registrant’s Telephone Number, Including Area Code)

October 31

Date of Fiscal Year End

January 31, 2013

Date of Reporting Period

Item 1. Schedule of Investments

Eaton Vance

Short Duration Diversified Income Fund

January 31, 2013

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Interests — 47.5%⁽¹⁾


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Aerospace and Defense — 0.6%
Booz Allen Hamilton Inc.
Term Loan, 4.50%, Maturing July 31, 2019		175	$	177,072
DAE Aviation Holdings, Inc.
Term Loan, 6.25%, Maturing October 29, 2018		137		140,187
Term Loan, 6.25%, Maturing November 2, 2018		62		63,552
Sequa Corporation
Term Loan, 5.25%, Maturing June 19, 2017		325		330,417
Silver II US Holdings, LLC
Term Loan, 5.00%, Maturing December 13, 2019		400		404,900
TASC, Inc.
Term Loan, 4.50%, Maturing December 18, 2015		295		296,359
Transdigm, Inc.
Term Loan, 4.00%, Maturing February 14, 2017		198		200,896
Term Loan, 4.00%, Maturing February 14, 2017		441		445,741

			$	2,059,124

Air Transport — 0.2%
Orbitz Worldwide Inc.
Term Loan, 3.20%, Maturing July 25, 2014		712	$	705,790

			$	705,790

Automotive — 2.2%
Allison Transmission, Inc.
Term Loan, 2.71%, Maturing August 7, 2014		168	$	169,089
Term Loan, 4.25%, Maturing August 23, 2019		523		530,230
Autoparts Holdings Limited
Term Loan, 6.50%, Maturing July 28, 2017		297		301,076
Chrysler Group LLC
Term Loan, 6.00%, Maturing May 24, 2017		1,380		1,412,495
Delphi Corporation
Term Loan, 3.50%, Maturing March 31, 2017		366		370,048
Federal-Mogul Corporation
Term Loan, 2.15%, Maturing December 29, 2014		927		882,389
Term Loan, 2.14%, Maturing December 28, 2015		547		521,016
Goodyear Tire & Rubber Company (The)
Term Loan - Second Lien, 4.75%, Maturing April 30, 2019		1,150		1,166,835
HHI Holdings LLC
Term Loan, 6.00%, Maturing October 3, 2018		400		408,250
Metaldyne Company LLC
Term Loan, 6.00%, Maturing December 18, 2018		275		279,469
SRAM, LLC
Term Loan, 4.76%, Maturing June 7, 2018		194		196,243
Tomkins LLC
Term Loan, 3.75%, Maturing September 29, 2016		303		306,087
TriMas Corporation
Term Loan, 3.75%, Maturing October 10, 2019		175		174,999


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Veyance Technologies, Inc.
Term Loan, 2.46%, Maturing July 31, 2014		83	$	82,605
Term Loan, 2.46%, Maturing July 31, 2014		580		576,717
Term Loan - Second Lien, 5.96%, Maturing July 31, 2015		200		196,875

			$	7,574,423

Brokers, Dealers and Investment Houses — 0.0%⁽²⁾
Clipper Acquisitions Corp.
Term Loan, Maturing December 20, 2019⁽³⁾		100	$	101,375

			$	101,375

Building and Development — 0.2%
Preferred Proppants, LLC
Term Loan, 7.50%, Maturing December 15, 2016		124	$	112,613
RE/MAX International, Inc.
Term Loan, 5.50%, Maturing April 15, 2016		395		396,808

			$	509,421

Business Equipment and Services — 4.0%
ACCO Brands Corporation
Term Loan, 4.25%, Maturing April 30, 2019		73	$	73,610
Acosta, Inc.
Term Loan, 5.00%, Maturing March 2, 2018		369		374,856
Acxiom Corporation
Term Loan, 3.29%, Maturing March 15, 2015		252		254,293
Advantage Sales & Marketing, Inc.
Term Loan, 5.25%, Maturing December 18, 2017		368		371,726
Affinion Group, Inc.
Term Loan, 6.50%, Maturing July 16, 2015		523		501,180
Altegrity, Inc.
Term Loan, 2.95%, Maturing February 21, 2015		365		350,249
Altisource Solutions S.a.r.l.
Term Loan, 5.75%, Maturing November 27, 2019		150		152,813
Audio Visual Services Group, Inc.
Term Loan, 6.75%, Maturing November 9, 2018		224		224,157
Brand Energy & Infrastructure Services, Inc.
Term Loan, 5.75%, Maturing October 16, 2016		34		34,188
Term Loan, 6.25%, Maturing October 16, 2018		141		140,894
Brickman Group Holdings Inc.
Term Loan, 5.50%, Maturing October 14, 2016		289		293,734
ClientLogic Corporation
Term Loan, 7.06%, Maturing January 30, 2017		165		161,818
CPM Acquisition Corp.
Term Loan, 6.25%, Maturing August 29, 2017		100		100,623
Education Management LLC
Term Loan, 4.31%, Maturing June 1, 2016		248		206,641
Term Loan, 8.25%, Maturing March 29, 2018		372		323,445
EIG Investors Corp.
Term Loan, 6.25%, Maturing November 8, 2019		400		404,000
Expert Global Solutions, Inc.
Term Loan, 8.00%, Maturing April 3, 2018		346		349,853
Genesys Telecom Holdings, U.S., Inc.
Term Loan, 6.75%, Maturing January 31, 2019		124		125,381
Genpact International, Inc.
Term Loan, 4.25%, Maturing August 30, 2019		324		329,050


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Go Daddy Operating Company, LLC
Term Loan, 5.50%, Maturing December 17, 2018		520	$	522,536
IG Investment Holdings, LLC
Term Loan, 6.00%, Maturing October 31, 2019		150		151,875
KAR Auction Services, Inc.
Term Loan, 5.00%, Maturing May 19, 2017		566		574,514
Kronos Incorporated
Term Loan, 5.50%, Maturing October 25, 2019		300		303,250
Term Loan - Second Lien, 9.75%, Maturing April 30, 2020		175		178,208
Language Line, LLC
Term Loan, 6.25%, Maturing June 20, 2016		414		412,483
Mitchell International, Inc.
Term Loan, 2.31%, Maturing March 28, 2014		177		176,502
Monitronics International Inc.
Term Loan, 5.50%, Maturing March 23, 2018		149		150,736
Quintiles Transnational Corp.
Term Loan, 4.50%, Maturing June 8, 2018		837		849,111
Renaissance Learning, Inc.
Term Loan, 5.75%, Maturing November 13, 2018		125		126,246
Sabre, Inc.
Term Loan, 2.20%, Maturing September 30, 2014		314		314,448
Sensus USA Inc.
Term Loan, 4.75%, Maturing May 9, 2017		123		123,478
SunGard Data Systems, Inc.
Term Loan, 3.86%, Maturing February 26, 2016		1,598		1,615,925
Term Loan, 3.96%, Maturing February 28, 2017		57		57,181
Trans Union, LLC
Term Loan, 5.50%, Maturing February 12, 2018		982		996,928
Travelport LLC
Term Loan, 4.88%, Maturing August 21, 2015	EUR	370		476,425
West Corporation
Term Loan, 5.50%, Maturing July 15, 2016		336		341,259
Term Loan, 5.50%, Maturing July 15, 2016		955		969,666
Term Loan, 5.75%, Maturing June 29, 2018		224		227,513

			$	13,340,795

Cable and Satellite Television — 2.0%
Atlantic Broadband Finance, LLC
Term Loan, 4.50%, Maturing November 29, 2019		150	$	151,869
BBHI Acquisition LLC
Term Loan, 4.50%, Maturing December 14, 2017		221		222,814
Cequel Communications, LLC
Term Loan, 4.00%, Maturing February 14, 2019		794		802,366
Charter Communications Operating, LLC
Term Loan, 4.00%, Maturing May 15, 2019		496		504,128
CSC Holdings, Inc.
Term Loan, 1.95%, Maturing March 29, 2016		1,429		1,439,691
Lavena Holdings 4 GmbH
Term Loan, 2.62%, Maturing March 6, 2015	EUR	56		74,187
Term Loan, 3.00%, Maturing March 4, 2016	EUR	56		74,187
MCC Iowa LLC
Term Loan, 1.93%, Maturing January 30, 2015		1,409		1,413,464
UPC Broadband Holding B.V.
Term Loan, 3.86%, Maturing December 31, 2016	EUR	1,394		1,903,278

			$	6,585,984


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Chemicals and Plastics — 1.7%
Ashland, Inc.
Term Loan, 3.75%, Maturing August 23, 2018		295	$	298,931
AZ Chem US Inc.
Term Loan, 7.25%, Maturing December 22, 2017		196		200,102
Celanese U.S. Holdings LLC
Term Loan, 3.06%, Maturing October 31, 2016		256		258,857
Huntsman International, LLC
Term Loan, 2.75%, Maturing April 19, 2017		1,516		1,521,772
Ineos US Finance LLC
Term Loan, 6.50%, Maturing May 4, 2018		1,191		1,220,027
MacDermid, Inc.
Term Loan, 2.31%, Maturing April 11, 2014	EUR	300		406,671
PQ Corporation
Term Loan, 5.25%, Maturing May 8, 2017		225		228,328
Tronox Pigments (Netherlands) B.V.
Term Loan, 4.25%, Maturing February 8, 2018		32		32,350
Term Loan, 4.25%, Maturing February 8, 2018		117		118,538
U.S. Coatings Acquisition Inc.
Term Loan, Maturing February 3, 2020⁽³⁾		550		559,165
Univar Inc.
Term Loan, 5.00%, Maturing June 30, 2017		789		797,270

			$	5,642,011

Clothing/Textiles — 0.1%
Ascena Retail Group, Inc.
Term Loan, 4.75%, Maturing June 14, 2018		116	$	117,590
Wolverine Worldwide, Inc.
Term Loan, 4.00%, Maturing July 31, 2019		85		86,551

			$	204,141

Conglomerates — 1.3%
Jarden Corporation
Term Loan, 3.20%, Maturing March 30, 2018		520	$	524,458
Rexnord LLC
Term Loan, 4.50%, Maturing April 2, 2018		965		976,610
RGIS Services, LLC
Term Loan, 4.56%, Maturing October 18, 2016		750		755,689
Term Loan, 5.50%, Maturing October 18, 2017		273		277,373
Rocket Software, Inc.
Term Loan, 5.75%, Maturing February 8, 2018		297		299,475
Spectrum Brands, Inc.
Term Loan, 4.50%, Maturing December 17, 2019		650		658,085
Walter Energy, Inc.
Term Loan, 5.75%, Maturing April 2, 2018		785		793,648

			$	4,285,338

Containers and Glass Products — 0.8%
Berry Plastics Holding Corporation
Term Loan, 2.20%, Maturing April 3, 2015		763	$	764,483
BWAY Corporation
Term Loan, 4.50%, Maturing August 7, 2017		500		506,875


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Pelican Products, Inc.
Term Loan, 7.00%, Maturing July 11, 2018		249	$	249,372
Reynolds Group Holdings Inc.
Term Loan, 4.75%, Maturing September 28, 2018		798		810,718
TricorBraun, Inc.
Term Loan, 5.50%, Maturing May 3, 2018		423		427,985

			$	2,759,433

Cosmetics/Toiletries — 0.2%
Bausch & Lomb, Inc.
Term Loan, 5.25%, Maturing May 17, 2019		597	$	604,836

			$	604,836

Drugs — 0.4%
Aptalis Pharma, Inc.
Term Loan, 5.50%, Maturing February 10, 2017		247	$	250,362
Term Loan, 5.50%, Maturing February 10, 2017		248		251,330
Par Pharmaceutical Companies, Inc.
Term Loan, 5.00%, Maturing September 30, 2019		224		227,734
Warner Chilcott Company, LLC
Term Loan, 4.25%, Maturing March 15, 2018		86		86,857
Warner Chilcott Corporation
Term Loan, 4.25%, Maturing March 15, 2018		105		106,694
Term Loan, 4.25%, Maturing March 15, 2018		278		280,944
WC Luxco S.a.r.l.
Term Loan, 4.25%, Maturing March 15, 2018		191		193,149

			$	1,397,070

Ecological Services and Equipment — 0.1%
ADS Waste Holdings, Inc.
Term Loan, 5.25%, Maturing October 9, 2019		400	$	404,500

			$	404,500

Electronics/Electrical — 3.7%
Aeroflex Incorporated
Term Loan, Maturing May 9, 2018⁽³⁾		500	$	507,188
Aspect Software, Inc.
Term Loan, 7.00%, Maturing May 6, 2016		310		314,001
Attachmate Corporation
Term Loan, 7.25%, Maturing November 22, 2017		566		573,682
CommScope, Inc.
Term Loan, 4.25%, Maturing January 12, 2018		1,931		1,954,191
CompuCom Systems, Inc.
Term Loan, 6.50%, Maturing October 4, 2018		150		151,812
Dealer Computer Services, Inc.
Term Loan, 3.75%, Maturing April 20, 2018		276		278,423
DG FastChannel, Inc.
Term Loan, 5.75%, Maturing July 26, 2018		280		271,788
Eagle Parent, Inc.
Term Loan, 5.00%, Maturing May 16, 2018		517		522,296
Edwards (Cayman Islands II) Limited
Term Loan, 5.50%, Maturing May 31, 2016		187		187,913
Freescale Semiconductor, Inc.
Term Loan, 4.46%, Maturing December 1, 2016		433		434,408
Infor (US), Inc.
Term Loan, 5.25%, Maturing April 5, 2018		896		909,834


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Magic Newco LLC
Term Loan, 7.25%, Maturing December 12, 2018		274	$	279,284
Microsemi Corporation
Term Loan, 4.00%, Maturing February 2, 2018		268		270,554
NXP B.V.
Term Loan, 4.50%, Maturing March 3, 2017		540		549,156
Term Loan, 5.50%, Maturing March 3, 2017		198		201,882
Term Loan, 5.25%, Maturing March 19, 2019		298		302,030
Term Loan, 4.75%, Maturing January 11, 2020		175		177,570
Rovi Solutions Corporation
Term Loan, 4.00%, Maturing March 29, 2019		149		149,802
RP Crown Parent, LLC
Term Loan, 6.75%, Maturing December 21, 2018		525		530,833
Sensata Technologies Finance Company, LLC
Term Loan, 3.75%, Maturing May 11, 2018		690		698,478
Serena Software, Inc.
Term Loan, 4.21%, Maturing March 10, 2016		1,185		1,191,296
Shield Finance Co. S.A.R.L.
Term Loan, 6.50%, Maturing May 10, 2019		199		200,617
Sirius Computer Solutions, Inc.
Term Loan, 7.00%, Maturing November 30, 2018		123		123,822
Sophia, L.P.
Term Loan, 6.25%, Maturing July 19, 2018		242		244,310
Spansion LLC
Term Loan, 5.25%, Maturing December 11, 2018		150		150,738
SS&C Technologies Inc.
Term Loan, 5.00%, Maturing June 7, 2019		23		23,683
Term Loan, 5.00%, Maturing June 7, 2019		225		228,300
SumTotal Systems LLC
Term Loan, 6.25%, Maturing November 16, 2018		250		252,500
VeriFone Inc.
Term Loan, 4.25%, Maturing December 28, 2018		214		215,740
Wall Street Systems, Inc.
Term Loan, 5.75%, Maturing October 24, 2019		225		228,938
Web.com Group, Inc.
Term Loan, 5.50%, Maturing October 27, 2017		379		384,477

			$	12,509,546

Equipment Leasing — 0.2%
Delos Aircraft Inc.
Term Loan, 4.75%, Maturing April 12, 2016		225	$	227,250
Flying Fortress Inc.
Term Loan, 5.00%, Maturing June 30, 2017		600		604,500

			$	831,750

Financial Intermediaries — 1.9%
American Capital Holdings, Inc.
Term Loan, 5.50%, Maturing August 22, 2016		175	$	178,938
Asset Acceptance Capital Corp.
Term Loan, 8.75%, Maturing November 14, 2017		238		240,469
Citco Funding LLC
Term Loan, 5.50%, Maturing June 29, 2018		616		624,070


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
First Data Corporation
Term Loan, 2.95%, Maturing September 24, 2014		44	$	44,516
Term Loan, Maturing March 23, 2018⁽³⁾		500		496,836
Term Loan, 5.20%, Maturing September 24, 2018		250		250,651
Harbourvest Partners, LLC
Term Loan, 4.75%, Maturing November 21, 2017		168		169,386
LPL Holdings, Inc.
Term Loan, 2.70%, Maturing March 29, 2017		144		144,616
Term Loan, 4.00%, Maturing March 29, 2019		1,464		1,474,551
Mercury Payment Systems Canada, LLC
Term Loan, 5.50%, Maturing July 3, 2017		50		50,622
Nuveen Investments, Inc.
Term Loan, 5.77%, Maturing May 12, 2017		1,019		1,029,773
Term Loan, 5.76%, Maturing May 13, 2017		231		233,318
Ocwen Financial Corporation
Term Loan, Maturing January 22, 2018⁽³⁾		250		253,828
Oz Management LP
Term Loan, 1.70%, Maturing November 15, 2016		223		201,669
RPI Finance Trust
Term Loan, 3.50%, Maturing May 9, 2018		663		671,965
Term Loan, 4.00%, Maturing November 9, 2018		297		301,280
Walter Investment Management Corp.
Term Loan, Maturing November 28, 2017⁽³⁾		150		151,763

			$	6,518,251

Food Products — 1.5%
AdvancePierre Foods, Inc.
Term Loan, 5.75%, Maturing July 10, 2017		250	$	254,609
Blue Buffalo Company, Ltd.
Term Loan, 6.50%, Maturing August 8, 2019		249		253,552
Clearwater Seafoods Limited Partnership
Term Loan, 6.78%, Maturing June 6, 2018		199		199,995
Del Monte Foods Company
Term Loan, 4.50%, Maturing March 8, 2018		1,198		1,206,434
Dole Food Company Inc.
Term Loan, 5.03%, Maturing July 6, 2018		190		190,508
High Liner Foods Incorporated
Term Loan, 7.00%, Maturing December 19, 2017		248		249,361
JBS USA Holdings Inc.
Term Loan, 4.25%, Maturing May 25, 2018		990		999,849
NBTY, Inc.
Term Loan, 4.25%, Maturing October 2, 2017		388		393,670
Pinnacle Foods Finance LLC
Term Loan, 4.75%, Maturing October 17, 2018		920		933,359
Solvest Ltd.
Term Loan, 5.02%, Maturing July 6, 2018		339		340,909

			$	5,022,246

Food Service — 2.1%
Aramark Corporation
Term Loan, 3.40%, Maturing July 26, 2016		43	$	43,145
Term Loan, 3.40%, Maturing July 26, 2016		77		77,758
Term Loan, 3.45%, Maturing July 26, 2016		1,168		1,182,367
Term Loan, 3.52%, Maturing July 26, 2016		529		535,578
Term Loan, 3.89%, Maturing July 26, 2016	GBP	523		818,326


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Buffets, Inc.
Term Loan, 0.31%, Maturing April 22, 2015⁽⁴⁾		29	$	28,688
Burger King Corporation
Term Loan, 3.75%, Maturing September 27, 2019		574		580,730
DineEquity, Inc.
Term Loan, 5.25%, Maturing October 19, 2017		207		208,031
Dunkin’ Brands, Inc.
Term Loan, 4.00%, Maturing November 23, 2017		533		538,492
Landry’s, Inc.
Term Loan, 6.50%, Maturing April 24, 2018		248		251,970
OSI Restaurant Partners, LLC
Term Loan, 4.75%, Maturing October 24, 2019		515		521,988
US Foods, Inc.
Term Loan, 5.75%, Maturing March 31, 2017		590		598,204
Weight Watchers International, Inc.
Term Loan, 4.00%, Maturing March 15, 2019		1,260		1,276,947
Wendy’s International, Inc.
Term Loan, 4.75%, Maturing May 15, 2019		374		379,739

			$	7,041,963

Food/Drug Retailers — 1.6%
Alliance Boots Holdings Limited
Term Loan, 3.58%, Maturing July 10, 2017	EUR	1,000	$	1,355,255
Term Loan, 3.98%, Maturing July 10, 2017	GBP	300		469,258
General Nutrition Centers, Inc.
Term Loan, 3.75%, Maturing March 2, 2018		855		864,026
Rite Aid Corporation
Term Loan, 1.96%, Maturing June 4, 2014		945		944,891
Term Loan, 4.50%, Maturing March 2, 2018		1,402		1,405,865
Sprouts Farmers Markets Holdings, LLC
Term Loan, 6.00%, Maturing April 18, 2018		249		251,860

			$	5,291,155

Health Care — 5.5%
Alere, Inc.
Term Loan, 4.75%, Maturing June 30, 2017		767	$	774,743
Ardent Medical Services, Inc.
Term Loan, 6.75%, Maturing July 2, 2018		300		306,000
AssuraMed Holding, Inc.
Term Loan, 5.50%, Maturing October 24, 2019		175		177,844
Biomet Inc.
Term Loan, 4.00%, Maturing July 25, 2017		859		869,772
Catalent Pharma Solutions Inc.
Term Loan, 4.21%, Maturing September 15, 2016		402		405,390
CHG Buyer Corporation
Term Loan, 5.00%, Maturing November 22, 2019		125		126,402
Community Health Systems, Inc.
Term Loan, 3.81%, Maturing January 25, 2017		1,370		1,384,387
Convatec Inc.
Term Loan, 5.00%, Maturing December 22, 2016		100		101,563
DaVita, Inc.
Term Loan, 4.50%, Maturing October 20, 2016		637		645,958
Term Loan, 4.00%, Maturing November 1, 2019		625		632,924


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
DJO Finance LLC
Term Loan, 5.20%, Maturing November 1, 2016		343	$	347,225
Term Loan, 6.25%, Maturing September 15, 2017		99		100,491
Drumm Investors LLC
Term Loan, 5.00%, Maturing May 4, 2018		295		284,310
Emdeon, Inc.
Term Loan, 5.00%, Maturing November 2, 2018		149		151,480
Emergency Medical Services Corporation
Term Loan, 5.25%, Maturing May 25, 2018		407		409,448
Grifols Inc.
Term Loan, 4.25%, Maturing June 1, 2017		590		594,735
HCA, Inc.
Term Loan, 3.56%, Maturing March 31, 2017		1,091		1,100,731
Term Loan, 3.45%, Maturing May 1, 2018		1,155		1,165,105
Health Management Associates, Inc.
Term Loan, 4.50%, Maturing November 16, 2018		669		677,755
Hologic Inc.
Term Loan, 4.50%, Maturing August 1, 2019		373		378,755
Iasis Healthcare LLC
Term Loan, 5.00%, Maturing May 3, 2018		319		322,705
inVentiv Health, Inc.
Term Loan, 7.50%, Maturing August 4, 2016		533		528,596
Kindred Healthcare, Inc.
Term Loan, 5.25%, Maturing June 1, 2018		197		196,998
Kinetic Concepts, Inc.
Term Loan, 5.50%, Maturing May 4, 2018		842		856,226
MedAssets, Inc.
Term Loan, 4.00%, Maturing December 13, 2019		125		126,250
MMM Holdings, Inc.
Term Loan, 9.75%, Maturing October 9, 2017		145		145,822
MSO of Puerto Rico, Inc.
Term Loan, 9.75%, Maturing October 26, 2017		105		106,053
Multiplan, Inc.
Term Loan, 4.75%, Maturing August 26, 2017		407		409,914
MX USA, Inc.
Term Loan, 6.50%, Maturing April 28, 2017		99		99,746
One Call Medical, Inc.
Term Loan, 7.00%, Maturing August 16, 2019		175		176,163
Onex Carestream Finance LP
Term Loan, 5.00%, Maturing February 25, 2017		245		246,949
Pharmaceutical Product Development, Inc.
Term Loan, Maturing December 5, 2018⁽³⁾		350		350,000
Radnet Management, Inc.
Term Loan, 5.50%, Maturing September 30, 2018		299		303,084
Select Medical Corporation
Term Loan, 5.50%, Maturing June 1, 2018		591		599,619
Sheridan Holdings, Inc.
Term Loan, 6.00%, Maturing June 29, 2018		100		101,158
TriZetto Group, Inc. (The)
Term Loan, 4.75%, Maturing May 2, 2018		296		295,931
Truven Health Analytics Inc.
Term Loan, 5.75%, Maturing June 1, 2019		324		330,264
Universal Health Services, Inc.
Term Loan, 3.75%, Maturing November 15, 2016		516		519,463


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Valeant Pharmaceuticals International, Inc.
Term Loan, 4.25%, Maturing February 13, 2019		399	$	405,047
Term Loan, 4.25%, Maturing December 11, 2019		400		406,300
Vanguard Health Holding Company II, LLC
Term Loan, 5.00%, Maturing January 29, 2016		731		739,455
VWR Funding, Inc.
Term Loan, 4.45%, Maturing April 3, 2017		458		462,959
Term Loan, Maturing April 3, 2017⁽³⁾		325		327,641

			$	18,691,361

Home Furnishings — 0.2%
Oreck Corporation
Term Loan - Second Lien, 3.81%, Maturing March 19, 2016⁽⁴⁾		85	$	76,874
Serta Simmons Holdings, LLC
Term Loan, 5.00%, Maturing October 1, 2019		325		329,536
Tempur-Pedic International Inc.
Term Loan, Maturing December 12, 2019⁽³⁾		350		356,375

			$	762,785

Industrial Equipment — 1.3%
Ameriforge Group, Inc.
Term Loan, 5.00%, Maturing December 19, 2019		100	$	101,375
Apex Tool Group, LLC
Term Loan, Maturing January 28, 2020⁽³⁾		150		151,906
Colfax Corporation
Term Loan, 4.50%, Maturing January 11, 2019		1,240		1,247,602
Generac Power Systems, Inc.
Term Loan, 6.25%, Maturing May 30, 2018		299		305,963
Grede LLC
Term Loan, 7.00%, Maturing April 3, 2017		362		364,715
Husky Injection Molding Systems Ltd
Term Loan, 5.75%, Maturing June 29, 2018		466		473,549
Kion Group GMBH
Term Loan, 2.09%, Maturing December 23, 2014⁽⁵⁾	EUR	94		127,385
Term Loan, 2.59%, Maturing December 29, 2015⁽⁵⁾	EUR	203		274,849
Tank Holding Corp.
Term Loan, 5.50%, Maturing July 9, 2019		195		197,383
Terex Corporation
Term Loan, 4.50%, Maturing April 28, 2017		992		1,006,134

			$	4,250,861

Insurance — 1.6%
Alliant Holdings I, Inc.
Term Loan, 5.00%, Maturing December 20, 2019		400	$	404,500
AmWINS Group, Inc.
Term Loan, 5.75%, Maturing June 6, 2019		199		200,824
Term Loan - Second Lien, 9.25%, Maturing December 6, 2019		625		643,750
Applied Systems, Inc.
Term Loan, 5.50%, Maturing December 8, 2016		284		286,352
Asurion LLC
Term Loan, 5.50%, Maturing May 24, 2018		2,138		2,165,507
Term Loan - Second Lien, 9.00%, Maturing May 24, 2019		100		103,516
CNO Financial Group, Inc.
Term Loan, 4.25%, Maturing September 28, 2016		190		192,215


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Compass Investors Inc.
Term Loan, 5.25%, Maturing December 27, 2019		425	$	429,958
Cunningham Lindsey U.S. Inc.
Term Loan, 5.00%, Maturing October 29, 2019		125		127,344
Hub International Limited
Term Loan, 4.70%, Maturing June 13, 2017		686		694,916

			$	5,248,882

Leisure Goods/Activities/Movies — 2.3%
Alpha D2 Limited
Term Loan, 6.00%, Maturing April 30, 2019		372	$	380,218
AMC Entertainment, Inc.
Term Loan, 4.25%, Maturing December 15, 2016		1,903		1,925,409
Bombardier Recreational Products, Inc.
Term Loan, Maturing January 22, 2019⁽³⁾		850		860,549
ClubCorp Club Operations, Inc.
Term Loan, 5.00%, Maturing November 30, 2016		494		503,577
Equinox Fitness Clubs
Term Loan, Maturing November 16, 2019⁽³⁾		250		253,750
Live Nation Entertainment, Inc.
Term Loan, 4.50%, Maturing November 7, 2016		511		515,458
Regal Cinemas, Inc.
Term Loan, 3.24%, Maturing August 23, 2017		1,201		1,211,630
Revolution Studios Distribution Company, LLC
Term Loan, 3.96%, Maturing December 21, 2014⁽⁴⁾		214		175,850
Term Loan - Second Lien, 7.21%, Maturing June 21, 2015⁽⁴⁾		225		119,813
SeaWorld Parks & Entertainment, Inc.
Term Loan, 2.93%, Maturing February 17, 2016		234		235,210
Term Loan, 4.00%, Maturing August 17, 2017		339		342,636
Six Flags Theme Parks, Inc.
Term Loan, 4.00%, Maturing December 20, 2018		609		619,087
Town Sports International Inc.
Term Loan, 5.75%, Maturing May 11, 2018		170		172,413
WMG Acquisition Corp.
Term Loan, 5.25%, Maturing November 1, 2018		100		101,896
Zuffa LLC
Term Loan, 2.25%, Maturing June 19, 2015		473		470,138

			$	7,887,634

Lodging and Casinos — 1.2%
Affinity Gaming, LLC
Term Loan, 5.50%, Maturing November 9, 2017		496	$	504,624
Ameristar Casinos, Inc.
Term Loan, 4.00%, Maturing April 16, 2018		990		1,000,317
Caesars Entertainment Operating Company
Term Loan, 5.45%, Maturing January 26, 2018		1,174		1,092,963
Las Vegas Sands LLC
Term Loan, 2.76%, Maturing November 23, 2016		162		162,842
Term Loan, 2.76%, Maturing November 23, 2016		802		807,803
MGM Resorts International
Term Loan, 4.25%, Maturing December 20, 2019		500		508,698
Pinnacle Entertainment, Inc.
Term Loan, 4.00%, Maturing March 19, 2019		99		100,305

			$	4,177,552


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Nonferrous Metals/Minerals — 0.5%
Arch Coal Inc.
Term Loan, 5.75%, Maturing May 16, 2018		572	$	589,188
Fairmount Minerals LTD
Term Loan, 5.25%, Maturing March 15, 2017		425		425,445
Noranda Aluminum Acquisition Corporation
Term Loan, 5.75%, Maturing February 24, 2019		174		176,293
Novelis, Inc.
Term Loan, 4.00%, Maturing March 10, 2017		417		422,402
United Distribution Group, Inc.
Term Loan, 7.50%, Maturing October 9, 2018		221		215,325

			$	1,828,653

Oil and Gas — 1.5%
Citgo Petroleum Corporation
Term Loan, 9.00%, Maturing June 23, 2017		491	$	503,074
Crestwood Holdings LLC
Term Loan, 9.75%, Maturing March 26, 2018		192		195,374
Energy Transfer Equity, L.P.
Term Loan, 3.75%, Maturing March 24, 2017		475		480,146
Frac Tech International LLC
Term Loan, 8.50%, Maturing May 6, 2016		343		300,247
Gibson Energy ULC
Term Loan, 4.75%, Maturing June 15, 2018		447		454,860
MEG Energy Corp.
Term Loan, 4.00%, Maturing March 16, 2018		247		249,903
Obsidian Natural Gas Trust
Term Loan, 7.00%, Maturing November 2, 2015		865		878,351
Plains Exploration & Production
Term Loan, 4.00%, Maturing November 30, 2019		400		402,570
Samson Investment Company
Term Loan - Second Lien, 6.00%, Maturing September 25, 2018		175		177,406
Sheridan Production Partners I, LLC
Term Loan, 5.00%, Maturing September 14, 2019		390		398,278
Term Loan, 5.00%, Maturing September 25, 2019		32		32,236
Term Loan, 5.00%, Maturing September 25, 2019		52		52,775
Tallgrass Operations, LLC
Term Loan, 5.25%, Maturing November 13, 2018		425		432,084
Tervita Corporation
Term Loan, 3.21%, Maturing November 14, 2014		21		20,925
Term Loan, 3.21%, Maturing November 14, 2014		475		475,161

			$	5,053,390

Publishing — 1.6%
Ascend Learning, Inc.
Term Loan, 6.50%, Maturing May 23, 2017		347	$	346,602
Aster Zweite Beteiligungs GmbH
Term Loan, 5.48%, Maturing December 31, 2014	EUR	705		951,580
Cengage Learning Acquisitions, Inc.
Term Loan, 2.71%, Maturing July 3, 2014		476		380,111
GateHouse Media Operating, Inc.
Term Loan, 2.21%, Maturing August 28, 2014		305		114,633
Term Loan, 2.21%, Maturing August 28, 2014		726		272,553
Getty Images, Inc.
Term Loan, 4.75%, Maturing October 18, 2019		950		962,723


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Interactive Data Corporation
Term Loan, 4.50%, Maturing February 12, 2018		431	$	433,684
John Henry Holdings, Inc.
Term Loan, 6.00%, Maturing December 4, 2018		125		126,771
Laureate Education, Inc.
Term Loan, 5.25%, Maturing June 18, 2018		1,303		1,311,591
MediaNews Group
Term Loan, 8.50%, Maturing March 19, 2014		22		21,286
Tribune Company
Term Loan, 4.00%, Maturing December 31, 2019		350		353,500

			$	5,275,034

Radio and Television — 1.1%
Cumulus Media Holdings Inc.
Term Loan, 4.50%, Maturing September 17, 2018		816	$	823,246
Foxco Acquisition Sub, LLC
Term Loan, 5.50%, Maturing July 14, 2017		274		279,113
ION Media Networks, Inc.
Term Loan, 7.25%, Maturing July 31, 2018		175		176,750
Mission Broadcasting, Inc.
Term Loan, 4.50%, Maturing December 3, 2019		82		83,144
Nexstar Broadcasting, Inc.
Term Loan, 4.50%, Maturing December 3, 2019		193		196,668
Nine Entertainment Group Limited
Term Loan, Maturing January 17, 2020⁽³⁾		150		149,813
Tyrol Acquisitions 2 SAS
Term Loan, 4.12%, Maturing January 29, 2016	EUR	253		317,526
Term Loan, 4.12%, Maturing January 29, 2016	EUR	253		317,526
Univision Communications Inc.
Term Loan, 4.45%, Maturing March 31, 2017		1,164		1,169,650
Weather Channel
Term Loan, 4.25%, Maturing February 13, 2017		263		266,890

			$	3,780,326

Retailers (Except Food and Drug) — 1.9%
99 Cents Only Stores
Term Loan, 5.25%, Maturing January 11, 2019		246	$	249,196
Bass Pro Group, LLC
Term Loan, 4.00%, Maturing November 20, 2019		275		278,850
David’s Bridal, Inc.
Term Loan, 5.00%, Maturing October 11, 2019		125		126,602
Evergreen Acqco 1 LP
Term Loan, 5.00%, Maturing July 9, 2019		124		125,433
FTD, Inc.
Term Loan, 4.75%, Maturing June 11, 2018		186		187,058
Harbor Freight Tools USA, Inc.
Term Loan, 5.50%, Maturing November 14, 2017		199		202,333
J Crew Group, Inc.
Term Loan, 4.50%, Maturing March 7, 2018		344		347,179
Jo-Ann Stores, Inc.
Term Loan, 4.75%, Maturing March 16, 2018		337		338,770
Michaels Stores, Inc.
Term Loan, 3.75%, Maturing January 31, 2020		500		505,742
National Vision, Inc.
Term Loan, 7.00%, Maturing August 2, 2018		149		151,480


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Neiman Marcus Group, Inc. (The)
Term Loan, 4.75%, Maturing May 16, 2018		1,775	$	1,788,091
Ollie’s Bargain Outlet, Inc.
Term Loan, 6.25%, Maturing September 27, 2019		100		101,000
Petco Animal Supplies, Inc.
Term Loan, 4.50%, Maturing November 24, 2017		743		746,815
Pilot Travel Centers LLC
Term Loan, 3.75%, Maturing March 30, 2018		339		343,633
Term Loan, 4.25%, Maturing August 7, 2019		125		126,499
ServiceMaster Company
Term Loan, 4.46%, Maturing January 31, 2017		488		491,942
Visant Holding Corp.
Term Loan, 5.25%, Maturing December 22, 2016		254		244,739
Wilton Brands LLC
Term Loan, 7.50%, Maturing August 30, 2018		99		100,725

			$	6,456,087

Steel — 0.6%
Essar Steel Algoma, Inc.
Term Loan, 8.75%, Maturing September 19, 2014		200	$	202,493
FMG America Finance, Inc.
Term Loan, 5.25%, Maturing October 18, 2017		1,147		1,164,651
JMC Steel Group, Inc.
Term Loan, 4.75%, Maturing April 3, 2017		147		149,450
Patriot Coal Corporation
Term Loan, 9.25%, Maturing October 4, 2013		175		176,531
Waupaca Foundry, Inc.
Term Loan, 5.75%, Maturing June 29, 2017		122		123,875
WireCo WorldGroup, Inc.
Term Loan, 6.00%, Maturing February 15, 2017		100		100,997

			$	1,917,997

Surface Transport — 0.7%
Hertz Corporation (The)
Term Loan, 3.75%, Maturing March 9, 2018		1,430	$	1,444,751
Term Loan, 3.75%, Maturing March 11, 2018		350		353,500
Swift Transportation Co., Inc.
Term Loan, 3.96%, Maturing December 21, 2016		375		377,461
Term Loan, 5.00%, Maturing December 21, 2017		315		319,805

			$	2,495,517

Telecommunications — 1.8%
Crown Castle International Corporation
Term Loan, 4.00%, Maturing January 31, 2019		347	$	350,182
Intelsat Jackson Holdings Ltd.
Term Loan, 4.50%, Maturing April 2, 2018		2,118		2,149,584
IPC Systems, Inc.
Term Loan, 2.77%, Maturing May 31, 2014	GBP	194		301,808
Macquarie UK Broadcast Limited
Term Loan, 3.00%, Maturing December 1, 2014	GBP	219		344,116
MetroPCS Wireless, Inc.
Term Loan, 4.00%, Maturing March 16, 2018		1,426		1,435,782
SBA Finance
Term Loan, 3.75%, Maturing June 29, 2018		172		173,470


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Syniverse Holdings, Inc.
Term Loan, 5.00%, Maturing April 23, 2019		348	$	352,023
Telesat LLC
Term Loan, 4.25%, Maturing March 28, 2019		672		679,386
Windstream Corporation
Term Loan, 4.00%, Maturing August 8, 2019		124		125,567

			$	5,911,918

Utilities — 0.9%
AES Corporation
Term Loan, 4.25%, Maturing June 1, 2018		384	$	389,329
Calpine Corporation
Term Loan, 4.50%, Maturing April 2, 2018		197		199,572
Term Loan, 4.50%, Maturing April 2, 2018		540		547,164
Term Loan, 4.50%, Maturing October 9, 2019		175		176,944
LSP Madison Funding, LLC
Term Loan, 5.83%, Maturing June 28, 2019		214		216,115
NRG Energy, Inc.
Term Loan, 4.00%, Maturing July 2, 2018		862		873,008
Texas Competitive Electric Holdings Company, LLC
Term Loan, 4.74%, Maturing October 10, 2017		851		562,089

			$	2,964,221


Total Senior Floating-Rate Interests (identified cost $158,203,491)			$	160,091,370


Collateralized Mortgage Obligations — 14.0%

Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
Series 2113, Class QG, 6.00%, 1/15/29	$	2,351	$	2,570,712
Series 2167, Class BZ, 7.00%, 6/15/29		1,577		1,683,397
Series 2182, Class ZB, 8.00%, 9/15/29		2,317		2,671,338
Series 2631, (Interest Only), Class DS, 6.894%, 6/15/33⁽⁶⁾⁽⁷⁾		5,301		770,480
Series 2750, (Interest Only), Class SG, 6.894%, 2/15/34⁽⁶⁾⁽⁷⁾		7,803		1,355,597
Series 2770, (Interest Only), Class SH, 6.894%, 3/15/34⁽⁶⁾⁽⁷⁾		5,466		973,047
Series 2981, (Interest Only), Class CS, 6.514%, 5/15/35⁽⁶⁾⁽⁷⁾		3,111		582,411
Series 3114, (Interest Only), Class TS, 6.444%, 9/15/30⁽⁶⁾⁽⁷⁾		7,260		1,409,371
Series 3339, (Interest Only), Class JI, 6.384%, 7/15/37⁽⁶⁾⁽⁷⁾		6,866		1,227,862
Series 3423, (Interest Only), Class SN, 5.924%, 3/15/38⁽⁶⁾⁽⁷⁾		11,150		1,528,277
Series 3871, (Interest Only), Class MS, 6.994%, 6/15/41⁽⁶⁾⁽⁷⁾		4,006		749,980

			$	15,522,472

Federal National Mortgage Association:
Series 1989-89, Class H, 9.00%, 11/25/19	$	86	$	98,731
Series 1991-122, Class N, 7.50%, 9/25/21		312		354,441
Series 1993-84, Class M, 7.50%, 6/25/23		2,641		3,063,986
Series 1994-42, Class K, 6.50%, 4/25/24		812		929,596
Series 1997-28, Class ZA, 7.50%, 4/20/27		836		1,001,274



Security	Principal Amount (000’s omitted)		Value
Series 1997-38, Class N, 8.00%, 5/20/27	$	721	$	869,835
Series 2004-46, (Interest Only), Class SI, 5.796%, 5/25/34⁽⁶⁾⁽⁷⁾		5,245		837,285
Series 2005-17, (Interest Only), Class SA, 6.496%, 3/25/35⁽⁶⁾⁽⁷⁾		3,418		770,034
Series 2006-42, (Interest Only), Class PI, 6.386%, 6/25/36⁽⁶⁾⁽⁷⁾		7,600		1,173,129
Series 2006-44, (Interest Only), Class IS, 6.396%, 6/25/36⁽⁶⁾⁽⁷⁾		6,471		1,007,030
Series 2006-72, (Interest Only), Class GI, 6.376%, 8/25/36⁽⁶⁾⁽⁷⁾		11,329		1,730,690
Series 2007-50, (Interest Only), Class LS, 6.246%, 6/25/37⁽⁶⁾⁽⁷⁾		7,516		947,892
Series 2008-26, (Interest Only), Class SA, 5.996%, 4/25/38⁽⁶⁾⁽⁷⁾		8,075		1,250,226
Series 2008-29, (Interest Only), Class CI, 5.00%, 9/25/35⁽⁷⁾		7,697		455,651
Series 2008-61, (Interest Only), Class S, 5.896%, 7/25/38⁽⁶⁾⁽⁷⁾		8,658		1,506,503
Series 2010-54, (Interest Only), Class EI, 6.00%, 6/25/40⁽⁷⁾		6,522		1,099,820
Series 2010-67, (Interest Only), Class SC, 5.596%, 6/25/40⁽⁶⁾⁽⁷⁾		3,651		418,826
Series 2010-109, (Interest Only), Class PS, 6.396%, 10/25/40⁽⁶⁾⁽⁷⁾		14,049		2,008,953
Series 2010-147, (Interest Only), Class KS, 5.746%, 1/25/41⁽⁶⁾⁽⁷⁾		14,136		2,088,764
Series 2010-150, (Interest Only), Class GS, 6.546%, 1/25/21⁽⁶⁾⁽⁷⁾		10,779		1,496,830
Series 2012-150, (Interest Only), Class PS, 5.946%, 1/25/43⁽⁶⁾⁽⁷⁾		4,985		1,091,557
Series 2012-150, (Interest Only), Class SK, 5.946%, 1/25/43⁽⁶⁾⁽⁷⁾		5,554		1,198,947
Series G-33, Class PT, 7.00%, 10/25/21		867		953,408

			$	26,353,408

Government National Mortgage Association:
Series 2010-4, (Interest Only), Class SK, 5.995%, 5/20/35⁽⁶⁾⁽⁷⁾	$	2,868	$	550,652
Series 2010-59, (Principal Only), Class MO, 0.00%, 5/20/40⁽⁸⁾		2,366		2,271,106
Series 2010-89, (Principal Only), Class CO, 0.00%, 7/20/40⁽⁸⁾		1,676		1,577,296
Series 2012-50, (Principal Only), Class CO, 0.00%, 8/20/40⁽⁸⁾		1,041		959,026

			$	5,358,080


Total Collateralized Mortgage Obligations (identified cost $45,747,491)			$	47,233,960


Commercial Mortgage-Backed Securities — 2.4%

Security	Principal Amount (000’s omitted)		Value
CSFB, Series 2003-C3, Class D, 4.131%, 5/15/38	$	835	$	839,767
CSFB, Series 2004-C3, Class A5, 5.113%, 7/15/36⁽⁹⁾		595		626,369
GCCFC, Series 2003-C1, Class D, 4.29%, 7/5/35⁽¹⁰⁾		160		161,149
GECMC, Series 2004-C3, Class A4, 5.189%, 7/10/39⁽⁹⁾		1,148		1,208,936
GSMS, Series 2004-GG2, Class A6, 5.396%, 8/10/38⁽⁹⁾		1,250		1,315,785
JPMCC, Series 2010-C2, Class C, 5.526%, 11/15/43^(9)(10)		500		571,557
MLMT, Series 2004-BPC1, Class A4, 4.724%, 10/12/41⁽⁹⁾		202		201,714
MSC, Series 2003-IQ6, Class A4, 4.97%, 12/15/41		462		473,877
RBSCF, Series 2010-MB1, Class C, 4.68%, 4/15/24^(9)(10)		675		709,303
WBCMT, Series 2004-C12, Class A4, 5.308%, 7/15/41⁽⁹⁾		1,225		1,281,176
WFCM, Series 2010-C1, Class C, 5.585%, 11/15/43^(9)(10)		500		582,477


Total Commercial Mortgage-Backed Securities (identified cost $7,246,738)			$	7,972,110


Mortgage Pass-Throughs — 32.7%

Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
2.892%, with maturity at 2035⁽¹¹⁾	$	4,416	$	4,711,141
5.00%, with various maturities to 2023		5,077		5,440,687
6.00%, with various maturities to 2029		3,881		4,308,477
6.15%, with maturity at 2027		1,207		1,383,882
6.50%, with various maturities to 2032		12,376		14,080,239
7.00%, with various maturities to 2035		6,672		7,934,007
7.50%, with various maturities to 2035		3,072		3,647,952
8.00%, with various maturities to 2032		3,060		3,594,954
8.50%, with various maturities to 2031		3,614		4,464,486
9.00%, with maturity at 2031		327		422,012
9.50%, with various maturities to 2022		209		239,283
11.50%, with maturity at 2019		135		145,054

			$	50,372,174

Federal National Mortgage Association:
5.50%, with various maturities to 2033	$	4,855	$	5,428,878
6.00%, with maturity at 2023		3,162		3,500,146
6.325%, with maturity at 2032⁽¹¹⁾		1,913		2,119,069
6.50%, with various maturities to 2036		9,179		10,365,747
7.00%, with various maturities to 2033		11,180		13,120,769
7.50%, with various maturities to 2031		7,385		8,812,106
8.00%, with various maturities to 2029		1,892		2,283,851
8.50%, with various maturities to 2027		308		342,639
9.00%, with various maturities to 2029		1,017		1,243,409
9.50%, with maturity at 2014		6		6,805
10.00%, with various maturities to 2031		729		847,143

			$	48,070,562

Government National Mortgage Association:
7.50%, with maturity at 2025	$	3,297	$	3,900,912
8.00%, with various maturities to 2027		3,911		4,890,328
9.00%, with various maturities to 2026		1,892		2,413,823
9.50%, with maturity at 2025		279		336,504
11.00%, with maturity at 2018		184		206,653

			$	11,748,220


Total Mortgage Pass-Throughs (identified cost $102,458,344)			$	110,190,956


Asset-Backed Securities — 0.1%

Security	Principal Amount (000’s omitted)		Value
Centurion CDO 9 Ltd., Series 2005-9A, Class D1, 5.053%, 7/17/19⁽¹²⁾	$	500	$	501,801


Total Asset-Backed Securities (identified cost $500,000)			$	501,801


Corporate Bonds & Notes — 0.8%

Security	Principal Amount (000’s omitted)		Value
Chemicals and Plastics — 0.1%
Ineos Finance PLC, Sr. Notes
7.50%, 5/1/20⁽¹⁰⁾	$	150	$	162,375

			$	162,375

Financial Intermediaries — 0.1%
First Data Corp., Sr. Notes
6.75%, 11/1/20⁽¹⁰⁾	$	250	$	258,125

			$	258,125

Health Care — 0.1%
Community Health Systems, Inc., Sr. Notes
5.125%, 8/15/18	$	425	$	448,375

			$	448,375

Home Furnishings — 0.0%⁽²⁾
Libbey Glass, Inc., Sr. Notes
6.875%, 5/15/20	$	150	$	162,187

			$	162,187

Lodging and Casinos — 0.1%
Caesars Entertainment Operating Co., Inc., Sr. Notes
8.50%, 2/15/20	$	350	$	352,844

			$	352,844

Utilities — 0.4%
Calpine Corp., Sr. Notes
7.50%, 2/15/21⁽¹⁰⁾	$	517	$	563,530
7.875%, 1/15/23⁽¹⁰⁾		607		673,770

			$	1,237,300


Total Corporate Bonds & Notes (identified cost $2,447,070)			$	2,621,206


Foreign Corporate Bonds & Notes — 0.8%

Security	Principal Amount (000’s omitted)		Value
Chile — 0.8%
JPMorgan Chilean Inflation Linked Note
3.80%, 11/17/15⁽¹³⁾	$	2,543	$	2,615,138


Total Chile (identified cost $2,000,000)			$	2,615,138


Total Foreign Corporate Bonds & Notes (identified cost $2,000,000)			$	2,615,138


Foreign Government Bonds — 17.0%

Security	Principal Amount (000’s omitted)		Value
Albania — 0.4%
Republic of Albania, 7.50%, 11/4/15	EUR	1,000	$	1,407,157

Total Albania			$	1,407,157

Bermuda — 0.2%
Government of Bermuda, 5.603%, 7/20/20⁽¹⁰⁾	USD	619	$	719,155

Total Bermuda			$	719,155

Brazil — 1.0%
Nota do Tesouro Nacional, 6.00%, 5/15/15⁽¹³⁾	BRL	6,277	$	3,426,449

Total Brazil			$	3,426,449

Cyprus — 0.2%
Republic of Cyprus, 3.75%, 6/3/13	EUR	640	$	790,783

Total Cyprus			$	790,783

Dominican Republic — 0.2%
Dominican Republic “Bonos Internos” Total Return Linked Bond (Citibank NA), 13.00%, 2/25/13⁽¹⁴⁾	DOP	31,000	$	763,265

Total Dominican Republic			$	763,265

Georgia — 0.5%
Georgia Treasury Bond, 7.40%, 4/19/14	GEL	1,100	$	671,469
Georgia Treasury Bond, 9.10%, 12/8/13	GEL	200		123,494
Georgia Treasury Bond, 9.80%, 4/26/17	GEL	217		139,829
Georgia Treasury Bond, 11.30%, 1/26/17	GEL	900		605,582

Total Georgia			$	1,540,374

Germany — 1.0%
Bundesrepublik Deutschland, 4.75%, 7/4/34	EUR	1,700	$	3,262,104

Total Germany			$	3,262,104

Hungary — 0.6%
National Bank of Hungary, 8.875%, 11/1/13	USD	370	$	382,747
Republic of Hungary, 3.50%, 7/18/16	EUR	437		582,679
Republic of Hungary, 4.375%, 7/4/17	EUR	871		1,182,171

Total Hungary			$	2,147,597

Israel — 0.3%
State of Israel, 4.50%, 1/30/43	USD	923	$	914,740

Total Israel			$	914,740

Jordan — 0.2%
Jordan Government Bond, 7.387%, 8/30/14	JOD	400	$	558,493

Total Jordan			$	558,493

Mexico — 0.2%
Mexican Bonos, 7.00%, 6/19/14	MXN	9,645	$	787,892

Total Mexico			$	787,892

Mongolia — 0.1%
Mongolia Government International Bond, 4.125%, 1/5/18⁽¹⁰⁾	USD	280	$	275,747

Total Mongolia			$	275,747



Security	Principal Amount (000’s omitted)		Value
New Zealand — 3.9%
New Zealand Government Bond, 2.00%, 9/20/25⁽¹³⁾	NZD	1,512	$	1,353,541
New Zealand Government Bond, 5.00%, 3/15/19	NZD	860		793,359
New Zealand Government Bond, 5.50%, 4/15/23	NZD	3,906		3,776,863
New Zealand Government Bond, 6.00%, 12/15/17	NZD	860		818,947
New Zealand Government Bond, 6.00%, 5/15/21	NZD	6,440		6,356,004

Total New Zealand			$	13,098,714

Nigeria — 0.1%
Nigeria Treasury Bond, 16.39%, 1/27/22	NGN	38,359	$	314,546

Total Nigeria			$	314,546

Philippines — 1.0%
Republic of the Philippines, 6.25%, 1/14/36	PHP	98,000	$	3,083,200
Republic of the Philippines, 9.125%, 9/4/16	PHP	14,990		440,605

Total Philippines			$	3,523,805

Romania — 0.8%
Romania Government Bond, 5.80%, 10/26/15	RON	4,880	$	1,519,450
Romania Government Bond, 5.85%, 7/28/14	RON	1,340		416,492
Romania Government Bond, 5.90%, 7/26/17	RON	2,520		790,357
Romania Government Bond, 11.00%, 3/5/14	RON	250		81,723

Total Romania			$	2,808,022

Russia — 0.6%
Russia Government Bond, 6.88%, 7/15/15	RUB	4,910	$	167,119
Russia Government Bond, 7.00%, 6/3/15	RUB	4,910		167,716
Russia Government Bond, 7.10%, 3/13/14	RUB	30,380		1,027,913
Russia Government Bond, 12.00%, 8/20/14	RUB	20,290		739,275

Total Russia			$	2,102,023

Serbia — 1.7%
Serbia Treasury Bill, 0.00%, 3/28/13	RSD	24,850	$	298,383
Serbia Treasury Bill, 0.00%, 4/4/13	RSD	25,400		304,371
Serbia Treasury Bill, 0.00%, 4/11/13	RSD	18,870		225,661
Serbia Treasury Bill, 0.00%, 4/25/13	RSD	30,290		361,065
Serbia Treasury Bill, 0.00%, 11/8/13	RSD	76,000		853,126
Serbia Treasury Bill, 0.00%, 12/12/13	RSD	18,200		202,218
Serbia Treasury Bill, 0.00%, 3/6/14	RSD	195,000		2,117,527
Serbia Treasury Bill, 0.00%, 3/13/14	RSD	32,560		352,837
Serbia Treasury Bond, 10.00%, 4/27/15	RSD	60,770		716,713
Serbia Treasury Bond, 10.00%, 1/24/18	RSD	22,180		246,468

Total Serbia			$	5,678,369

Slovenia — 0.8%
Republic of Slovenia, 4.375%, 1/18/21⁽¹⁵⁾	EUR	1,380	$	1,810,713
Republic of Slovenia, 5.50%, 10/26/22⁽¹⁰⁾	USD	755		784,256

Total Slovenia			$	2,594,969



Security	Principal Amount (000’s omitted)		Value
Sri Lanka — 1.2%
Republic of Sri Lanka, 5.875%, 7/25/22⁽¹⁰⁾	USD	970	$	1,048,355
Republic of Sri Lanka, 6.25%, 10/4/20⁽¹⁵⁾	USD	390		423,150
Sri Lanka Government Bond, 9.00%, 5/1/21	LKR	254,080		1,742,450
Sri Lanka Government Bond, 10.50%, 4/1/13	LKR	44,530		352,554
Sri Lanka Government Bond, 11.75%, 4/1/14	LKR	55,290		442,047

Total Sri Lanka			$	4,008,556

Turkey — 1.8%
Turkey Government Bond, 0.00%, 2/20/13	TRY	3,220	$	1,827,184
Turkey Government Bond, 3.00%, 1/6/21⁽¹³⁾	TRY	6,370		4,212,558

Total Turkey			$	6,039,742

Uruguay — 0.2%
Monetary Regulation Bill, 0.00%, 8/15/13	UYU	12,600	$	625,701

Total Uruguay			$	625,701


Total Foreign Government Bonds (identified cost $53,849,415)			$	57,388,203


Common Stocks — 0.8%

Security	Shares		Value
Affinity Gaming, LLC^(16)(17)		23,498	$	286,383
Buffets Restaurants Holdings, Inc.^(4)(16)(17)		10,672		96,582
Dayco Products, LLC^(4)(16)(17)		8,898		266,940
Euramax International, Inc.^(4)(16)(17)		234		46,740
Ion Media Networks, Inc.^(4)(17)		1,357		863,052
MediaNews Group, Inc.^(4)(16)(17)		3,023		63,423
Metro-Goldwyn-Mayer Holdings, Inc.^(16)(17)		19,828		766,665
New Young Broadcasting Holding Co., Inc.^(16)(17)		116		426,300
Oreck Corp.^(4)(16)(17)		1,510		26,259
United Subcontractors, Inc.^(4)(16)(17)		162		6,767


Total Common Stocks (identified cost $1,598,838)			$	2,849,111


Precious Metals — 1.2%

Description	Troy Ounces		Value
Platinum⁽¹⁶⁾		2,364	$	3,969,519


Total Precious Metals (identified cost $4,149,190)			$	3,969,519

Currency Call Options Purchased — 0.2%

Description

Counterparty

Principal Amount of
Contracts
(000’s omitted)

Strike

Price

Expiration
Date

Value

Indian Rupee

Australia and New Zealand Banking Group Limited

INR

81,000

INR

54.00

8/12/13

31,610

Indian Rupee

Australia and New Zealand Banking Group Limited

INR

70,000

INR

54.00

8/12/13

27,317

Indian Rupee

Bank of America

INR

104,383

INR

52.00

5/6/13

12,479

Indian Rupee

Bank of America

INR

95,413

INR

52.00

5/6/13

11,407

Indian Rupee

Bank of America

INR

104,500

INR

55.00

7/1/13

59,170

Indian Rupee

Bank of America

INR

83,000

INR

54.00

8/12/13

32,390

Indian Rupee

Bank of America

INR

96,000

INR

55.00

8/16/13

53,030

Indian Rupee

Barclays Bank PLC

INR

104,530

INR

52.00

5/6/13

12,497

Indian Rupee

Barclays Bank PLC

INR

81,000

INR

54.00

8/12/13

31,610

Indian Rupee

Deutsche Bank

INR

82,700

INR

51.00

5/8/13

5,272

Indian Rupee

Deutsche Bank

INR

80,000

INR

54.00

8/12/13

31,219

Indian Rupee

Goldman Sachs International

INR

95,900

INR

51.00

5/8/13

6,114

Indian Rupee

Goldman Sachs International

INR

82,500

INR

55.00

7/1/13

46,713

Indian Rupee

Goldman Sachs International

INR

50,000

INR

54.00

8/12/13

19,512

Indian Rupee

Goldman Sachs International

INR

61,000

INR

55.00

8/19/13

33,906

Indian Rupee

HSBC Bank USA

INR

100,700

INR

53.00

7/3/13

25,401

Indian Rupee

JPMorgan Chase Bank

INR

84,800

INR

53.00

7/3/13

21,391

Indian Rupee

JPMorgan Chase Bank

INR

61,000

INR

54.00

8/12/13

23,805

Indian Rupee

JPMorgan Chase Bank

INR

55,000

INR

54.00

8/12/13

21,463

Indian Rupee

Standard Chartered Bank

INR

86,600

INR

52.00

5/6/13

10,353

Indian Rupee

Standard Chartered Bank

INR

58,300

INR

53.00

7/3/13

14,706

Total Currency Call Options Purchased
(identified cost $389,679)

531,365

Currency Put Options Purchased — 0.0%⁽²⁾

Description

Counterparty

Principal

Amount of
Contracts
(000’s omitted)

Strike

Price

Expiration
Date

Value

South Korean Won

Bank of America

KRW

4,480,000

KRW

1,120.00

6/14/13

53,402

South Korean Won

Deutsche Bank

KRW

2,487,520

KRW

1,120.00

6/18/13

30,332

South Korean Won

Goldman Sachs International

KRW

2,466,240

KRW

1,120.00

6/18/13

30,072

Yuan Offshore Renminbi

Barclays Bank PLC

CNH

11,603

CNH

6.50

5/20/13

265

Yuan Offshore Renminbi

Citibank NA

CNH

10,979

CNH

6.50

5/20/13

251

Yuan Offshore Renminbi

HSBC Bank USA

CNH

12,409

CNH

6.50

5/20/13

284

Yuan Offshore Renminbi

Standard Chartered Bank

CNH

10,394

CNH

6.50

5/20/13

238

Total Currency Put Options Purchased
(identified cost $152,311)

114,844

Put Options Purchased — 0.0%⁽²⁾

Description

Counterparty

Number of
Contracts

Strike
Price

Expiration
Date

Value

Brent Crude Oil Future 9/2013

Not Applicable

8/12/13

77,190

Total Put Options Purchased
(identified cost $219,480)

77,190


Short-Term Investments — 16.7%

Foreign Government Securities — 7.9%

Security	Principal Amount (000’s omitted)		Value
Croatia — 0.3%
Croatia Treasury Bill, 0.00%, 2/28/13	EUR	233	$	315,649
Croatia Treasury Bill, 0.00%, 3/14/13	EUR	239		323,401
Croatia Treasury Bill, 0.00%, 4/4/13	EUR	350		472,795

Total Croatia			$	1,111,845

Georgia — 0.2%
Georgia Treasury Bill, 0.00%, 5/23/13	GEL	360	$	213,451
Georgia Treasury Bill, 0.00%, 7/18/13	GEL	632		371,324

Total Georgia			$	584,775

Malaysia — 1.7%
Bank Negara Monetary Note, 0.00%, 2/26/13	MYR	1,736	$	557,613
Bank Negara Monetary Note, 0.00%, 3/28/13	MYR	4,511		1,445,506
Bank Negara Monetary Note, 0.00%, 4/30/13	MYR	6,950		2,221,116
Bank Negara Monetary Note, 0.00%, 5/2/13	MYR	4,505		1,439,489

Total Malaysia			$	5,663,724

Nigeria — 2.7%
Nigeria Treasury Bill, 0.00%, 2/7/13	NGN	69,400	$	440,714
Nigeria Treasury Bill, 0.00%, 2/21/13	NGN	150,288		950,750
Nigeria Treasury Bill, 0.00%, 3/7/13	NGN	107,000		673,842
Nigeria Treasury Bill, 0.00%, 3/28/13	NGN	71,400		446,776
Nigeria Treasury Bill, 0.00%, 4/4/13	NGN	233,700		1,458,450
Nigeria Treasury Bill, 0.00%, 4/11/13	NGN	60,000		373,393
Nigeria Treasury Bill, 0.00%, 4/25/13	NGN	52,700		326,636
Nigeria Treasury Bill, 0.00%, 5/9/13	NGN	113,600		701,342
Nigeria Treasury Bill, 0.00%, 9/5/13	NGN	613,000		3,662,378

Total Nigeria			$	9,034,281

Philippines — 0.9%
Philippine Treasury Bill, 0.00%, 2/6/13	PHP	16,420	$	403,578
Philippine Treasury Bill, 0.00%, 2/13/13	PHP	15,470		380,215
Philippine Treasury Bill, 0.00%, 2/20/13	PHP	19,480		478,755
Philippine Treasury Bill, 0.00%, 3/6/13	PHP	32,450		797,458
Philippine Treasury Bill, 0.00%, 5/15/13	PHP	16,570		407,086
Philippine Treasury Bill, 0.00%, 7/24/13	PHP	23,290		571,514

Total Philippines			$	3,038,606



Security	Principal Amount (000’s omitted)		Value
Romania — 0.3%
Romania Treasury Bill, 0.00%, 1/15/14	RON	3,500	$	1,026,935

Total Romania			$	1,026,935

Serbia — 0.9%
Serbia Treasury Bill, 0.00%, 5/23/13	RSD	50,410	$	595,370
Serbia Treasury Bill, 0.00%, 6/13/13	RSD	36,000		422,472
Serbia Treasury Bill, 0.00%, 9/13/13	RSD	182,800		2,086,759

Total Serbia			$	3,104,601

Sri Lanka — 0.9%
Sri Lanka Treasury Bill, 0.00%, 2/1/13	LKR	144,200	$	1,141,012
Sri Lanka Treasury Bill, 0.00%, 3/8/13	LKR	33,690		264,520
Sri Lanka Treasury Bill, 0.00%, 3/29/13	LKR	106,590		832,350
Sri Lanka Treasury Bill, 0.00%, 10/4/13	LKR	53,880		398,504
Sri Lanka Treasury Bill, 0.00%, 11/1/13	LKR	69,610		510,608

Total Sri Lanka			$	3,146,994


Total Foreign Government Securities (identified cost $26,069,354)			$	26,711,761


U.S. Treasury Obligations — 2.0%

Security	Principal Amount (000’s omitted)		Value
U.S. Treasury Bill, 0.00%, 2/7/13⁽¹⁸⁾	$	6,686	$	6,685,966


Total U.S. Treasury Obligations (identified cost $6,685,936)			$	6,685,966


Repurchase Agreements — 5.1%

Description	Principal Amount (000’s omitted)		Value
Bank of America:
Dated 1/10/13 with a maturity date of 2/15/13, an interest rate of 0.10% payable by the Fund and repurchase proceeds of EUR 2,986,093, collateralized by EUR 2,580,000 Government of France 3.75%, due 4/25/17 and a market value, including accrued interest, of $4,016,414.	EUR	2,986	$	4,054,869
Dated 1/18/13 with a maturity date of 2/25/13, an interest rate of 0.45% payable by the Fund and repurchase proceeds of EUR 458,816, collateralized by EUR 400,000 European Investment Bank 3.625%, due 1/15/21 and a market value, including accrued interest, of $617,424.	EUR	459		623,231
Dated 1/18/13 with a maturity date of 2/25/13, an interest rate of 0.45% payable by the Fund and repurchase proceeds of EUR 616,853, collateralized by EUR 510,000 European Investment Bank 4.25%, due 4/15/19 and a market value, including accrued interest, of $830,532.	EUR	617		837,899
Dated 1/18/13 with a maturity date of 2/25/13, an interest rate of 0.45% payable by the Fund and repurchase proceeds of EUR 623,501, collateralized by EUR 500,000 European Investment Bank 4.625%, due 4/15/20 and a market value, including accrued interest, of $840,634.	EUR	624		846,928


Description	Principal Amount (000’s omitted)		Value
Barclays Bank PLC:
Dated 1/16/13 with a maturity date of 2/21/13, an interest rate of 0.08% payable by the Fund and repurchase proceeds of EUR 1,687,892, collateralized by EUR 1,450,000 Government of France 4.00%, due 10/25/38 and a market value, including accrued interest, of $2,302,425.	EUR	1,688	$	2,291,980
Citibank NA:
Dated 1/24/13 with a maturity date of 2/28/13, an interest rate of 0.12% payable by the Fund and repurchase proceeds of EUR 2,191,176, collateralized by EUR 1,869,000 Government of France 4.00%, due 10/25/38 and a market value, including accrued interest, of $2,967,746.	EUR	2,191		2,975,488
Nomura International PLC:
Dated 12/7/12 with a maturity date of 2/11/13, an interest rate of 0.10% payable by the Fund and repurchase proceeds of EUR 1,799,099, collateralized by EUR 1,550,000 Belgium Kingdom Government Bond 3.75%, due 9/28/20 and a market value, including accrued interest, of $2,408,905.	EUR	1,799		2,443,232
Dated 1/2/13 with a maturity date of 2/6/13, an interest rate of 0.16% payable by the Fund and repurchase proceeds of EUR 1,390,286, collateralized by EUR 1,192,000 Government of France 3.75%, due 10/25/19 and a market value, including accrued interest, of $1,863,755.	EUR	1,390		1,887,983
Dated 1/23/13 with a maturity date of 2/28/13, an interest rate of 0.05% payable by the Fund and repurchase proceeds of EUR 805,409, collateralized by EUR 800,000 Bundesrepublik Deutschland 0.50%, due 4/7/17 and a market value, including accrued interest, of $1,086,631.	EUR	805		1,093,632


Total Repurchase Agreements (identified cost $16,627,168)			$	17,055,242


Other — 1.7%

Description	Interest (000’s omitted)		Value
Eaton Vance Cash Reserves Fund, LLC, 0.12%⁽¹⁹⁾	$	5,869	$	5,868,741


Total Other (identified cost $5,868,741)			$	5,868,741


Total Short-Term Investments (identified cost $55,251,199)			$	56,321,710


Total Investments — 134.2% (identified cost $434,213,246)			$	452,478,483


Currency Call Options Written — (0.1)%


Description	Counterparty	Principal Amount of Contracts (000’s omitted)		Strike Price		Expiration Date		Value
Indian Rupee	Bank of America	INR	111,888	INR	54.00		8/12/13	$	(43,663	)
Indian Rupee	Citibank NA	INR	106,380	INR	54.00		8/12/13		(41,514	)
Indian Rupee	Deutsche Bank	INR	57,234	INR	54.00		8/12/13		(22,335	)
Indian Rupee	Goldman Sachs International	INR	96,000	INR	55.00		8/16/13		(53,328	)
Indian Rupee	HSBC Bank USA	INR	116,100	INR	54.00		8/12/13		(45,307	)
Indian Rupee	JPMorgan Chase Bank	INR	61,000	INR	55.00		8/19/13		(33,907	)


Description	Counterparty	Principal Amount of Contracts (000’s omitted)		Strike Price		Expiration Date		Value
Indian Rupee	Nomura International PLC	INR	116,100	INR	54.00		8/12/13	$	(45,307	)
Indian Rupee	Standard Chartered Bank	INR	53,298	INR	54.00		8/12/13		(20,799	)


Total Currency Call Options Written (premiums received $522,533)								$	(306,160	)


Currency Put Options Written — (0.0)%⁽²⁾

Description	Counterparty	Principal Amount of Contracts (000’s omitted)		Strike Price		Expiration Date		Value
Indian Rupee	Bank of America	INR	61,750	INR	65.00		7/1/13	$	(948	)
Indian Rupee	Goldman Sachs International	INR	48,750	INR	65.00		7/1/13		(749	)
Indian Rupee	HSBC Bank USA	INR	60,800	INR	64.00		7/3/13		(1,273	)
Indian Rupee	JPMorgan Chase Bank	INR	51,200	INR	64.00		7/3/13		(1,072	)
Indian Rupee	Standard Chartered Bank	INR	35,200	INR	64.00		7/3/13		(737	)
South Korean Won	Bank of America	KRW	4,480,000	KRW	1,120.00		6/14/13		(53,402	)
South Korean Won	Citibank NA	KRW	2,487,520	KRW	1,120.00		6/18/13		(30,332	)
South Korean Won	Citibank NA	KRW	2,466,240	KRW	1,120.00		6/18/13		(30,073	)


Total Currency Put Options Written (premiums received $223,833)								$	(118,586	)


Other Assets, Less Liabilities — (34.1)%								$	(114,941,915	)


Net Assets — 100.0%								$	337,111,822

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



CSFB	-	Credit Suisse First Boston Mortgage Securities Corp.

GCCFC	-	Greenwich Capital Commercial Funding Corp.

GECMC	-	General Electric Commercial Mortgage Corp.

GSMS	-	Goldman Sachs Mortgage Securities Corp. II

JPMCC	-	JPMorgan Chase Commercial Mortgage Securities Corp.

MLMT	-	Merrill Lynch Mortgage Trust

MSC	-	Morgan Stanley Capital I

RBSCF	-	Royal Bank of Scotland Commercial Funding

WBCMT	-	Wachovia Bank Commercial Mortgage Trust

WFCM	-	Wells Fargo Commercial Mortgage Trust

BRL	-	Brazilian Real

CNH	-	Yuan Offshore Renminbi

DOP	-	Dominican Peso

EUR	-	Euro

GBP	-	British Pound Sterling

GEL	-	Georgian Lari

INR	-	Indian Rupee


JOD	-	Jordanian Dinar

KRW	-	South Korean Won

LKR	-	Sri Lankan Rupee

MXN	-	Mexican Peso

MYR	-	Malaysian Ringgit

NGN	-	Nigerian Naira

NZD	-	New Zealand Dollar

PHP	-	Philippine Peso

RON	-	Romanian Leu

RSD	-	Serbian Dinar

RUB	-	Russian Ruble

TRY	-	New Turkish Lira

USD	-	United States Dollar

UYU	-	Uruguayan Peso

*	In U.S. dollars unless otherwise indicated.

(1)

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

(2)	Amount is less than 0.05%.

(3)	This Senior Loan will settle after January 31, 2013, at which time the interest rate will be determined.

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

(5)	Represents a payment-in-kind security which may pay all or a portion of interest in additional par.

(6)	Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at January 31, 2013.

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

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

(9)	Weighted average fixed-rate coupon that changes/updates monthly.

(10)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At January 31, 2013, the aggregate value of these securities is $6,509,799 or 1.9% of the Fund’s net assets.

(11)	Adjustable rate mortgage security. Rate shown is the rate at January 31, 2013.

(12)	Variable rate security. The stated interest rate represents the rate in effect at January 31, 2013.

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

(14)	Represents a structured security whose market value and interest rate are linked to the performance of the underlying security.

(15)

Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At January 31, 2013, the aggregate value of these securities is $2,233,863 or 0.7% of the Fund’s net assets.

(16)	Non-income producing.

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

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

(19)

Affiliated investment company available to Eaton Vance portfolios and funds which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of January 31, 2013. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended January 31, 2013 was $2,333.


Securities Sold Short — (4.9)%

Foreign Government Bonds — (4.9)%

Security	Principal Amount (000’s omitted)			Value
Belgium — (0.7)%
Belgium Kingdom Government Bond, 3.75%, 9/28/20	EUR	(1,550	)	$	(2,381,661	)

Total Belgium				$	(2,381,661	)

France — (3.2)%
Government of France, 3.75%, 4/25/17	EUR	(2,580	)	$	(3,914,919	)
Government of France, 3.75%, 10/25/19	EUR	(1,192	)		(1,847,293	)
Government of France, 4.00%, 10/25/38	EUR	(3,319	)		(5,221,278	)

Total France				$	(10,983,490	)

Germany — (0.3)%
Bundesrepublik Deutschland, 0.50%, 4/7/17	EUR	(800	)	$	(1,082,167	)

Total Germany				$	(1,082,167	)

Supranational — (0.7)%
European Investment Bank, 3.625%, 1/15/21	EUR	(400	)	$	(616,507	)
European Investment Bank, 4.25%, 4/15/19	EUR	(510	)		(806,988	)
European Investment Bank, 4.625%, 4/15/20	EUR	(500	)		(815,515	)

Total Supranational				$	(2,239,010	)


Total Foreign Government Bonds (proceeds $15,357,405)				$	(16,686,328	)


Total Securities Sold Short (proceeds $15,357,405)				$	(16,686,328	)



EUR	-	Euro

Basis for Consolidation

The Fund seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance EVG Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Fund. The Fund may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at January 31, 2013 were $10,075,893 or 3.0% of the Fund’s consolidated net assets. The Consolidated Portfolio of Investments includes positions of the Fund and the Subsidiary.

A summary of open financial instruments at January 31, 2013 is as follows:

Forward Foreign Currency Exchange Contracts

Sales


Settlement Date	Deliver	In Exchange For	Counterparty	Net Unrealized Appreciation (Depreciation)
2/1/13	Hungarian Forint 444,200,000	Euro 1,497,387	JPMorgan Chase Bank	$	(28,669	)
2/12/13	Japanese Yen 212,844,000	United States Dollar 2,345,531	Goldman Sachs International		17,847
2/19/13	Australian Dollar 5,731,000	United States Dollar 6,023,166	Deutsche Bank		53,704
2/20/13	Euro 5,274,328	United States Dollar 6,803,494	Australia and New Zealand Banking Group Limited		(358,657	)
2/20/13	Euro 7,123,307	United States Dollar 9,120,632	Bank of America		(552,297	)
2/20/13	New Turkish Lira 690,000	United States Dollar 378,041	JPMorgan Chase Bank		(13,338	)
2/22/13	New Taiwan Dollar 93,127,000	United States Dollar 3,217,267	Australia and New Zealand Banking Group Limited		64,865
2/25/13	New Taiwan Dollar 45,348,000	United States Dollar 1,568,864	Australia and New Zealand Banking Group Limited		33,939
2/25/13	New Taiwan Dollar 47,616,000	United States Dollar 1,647,498	Barclays Bank PLC		35,807
2/28/13	British Pound Sterling 152,572	United States Dollar 243,572	Goldman Sachs International		1,626
2/28/13	Euro 5,167,485	United States Dollar 6,667,632	Citibank NA		(349,758	)
2/28/13	Euro 233,000	United States Dollar 312,063	Standard Chartered Bank		(4,349	)
2/28/13	Mexican Peso 28,760,000	United States Dollar 2,263,286	BNP Paribas SA		6,678
3/4/13	Brazilian Real 6,764,600	United States Dollar 3,383,992	BNP Paribas SA		(2,711	)
3/4/13	New Zealand Dollar 3,417,539	United States Dollar 2,800,332	BNP Paribas SA		(62,336	)
3/6/13	Chilean Peso 1,347,636,710	United States Dollar 2,771,489	BNP Paribas SA		(74,415	)
3/7/13	New Taiwan Dollar 63,571,000	United States Dollar 2,195,510	Barclays Bank PLC		43,958
3/8/13	New Taiwan Dollar 25,605,000	United States Dollar 885,435	Barclays Bank PLC		18,803
3/8/13	New Taiwan Dollar 26,885,000	United States Dollar 929,666	HSBC Bank USA		19,711


Settlement Date	Deliver	In Exchange For	Counterparty	Net Unrealized Appreciation (Depreciation)
3/8/13	South African Rand 16,942,000	United States Dollar 1,946,506	Standard Bank	$	60,697
3/8/13	South African Rand 16,488,886	United States Dollar 1,895,492	Standard Chartered Bank		60,119
3/8/13	Sri Lankan Rupee 33,690,000	United States Dollar 260,054	HSBC Bank USA		(4,375	)
3/11/13	Euro 2,697,672	United States Dollar 3,525,858	Bank of America		(137,778	)
3/11/13	Euro 6,653,000	United States Dollar 8,606,154	Goldman Sachs International		(429,104	)
3/11/13	South African Rand 2,200,000	United States Dollar 248,630	Credit Suisse International		3,848
3/14/13	Euro 239,000	United States Dollar 312,643	Deutsche Bank		(11,942	)
3/19/13	Euro 1,730,000	United States Dollar 2,278,695	Goldman Sachs International		(70,873	)
3/28/13	British Pound Sterling 411,560	United States Dollar 663,157	Citibank NA		10,608
3/28/13	New Zealand Dollar 1,597,920	United States Dollar 1,332,665	Bank of America		(3,688	)
3/28/13	New Zealand Dollar 10,906,236	United States Dollar 9,099,618	Goldman Sachs International		(21,352	)
4/4/13	Euro 350,000	United States Dollar 467,980	Barclays Bank PLC		(7,408	)
4/15/13	Hungarian Forint 229,200,000	Euro 763,542	JPMorgan Chase Bank		(17,426	)
4/15/13	Hungarian Forint 177,720,546	Euro 597,019	Standard Chartered Bank		(6,758	)
4/15/13	Japanese Yen 338,000,000	United States Dollar 3,835,679	Toronto-Dominion Bank		137,666
4/16/13	Philippine Peso 17,676,308	United States Dollar 438,020	Barclays Bank PLC		3,398
4/30/13	British Pound Sterling 655,634	United States Dollar 1,032,774	HSBC Bank USA		(6,593	)

				$	(1,590,553	)

Purchases


Settlement Date	In Exchange For	Deliver	Counterparty	Net Unrealized Appreciation (Depreciation)
2/1/13	Hungarian Forint 444,200,000	Euro 1,501,346	Credit Suisse International	$	23,294
2/11/13	Swedish Krona 26,970,400	Euro 3,142,462	Credit Suisse International		(25,590	)
2/14/13	Serbian Dinar 30,433,591	Euro 270,497	Deutsche Bank		2,915
2/19/13	Australian Dollar 1,900,000	United States Dollar 1,984,645	JPMorgan Chase Bank		(5,588	)
2/19/13	Indian Rupee 34,176,000	United States Dollar 636,306	Bank of America		4,189


Settlement Date	In Exchange For	Deliver	Counterparty	Net Unrealized Appreciation (Depreciation)
2/19/13	Indian Rupee 47,566,000	United States Dollar 885,773	Citibank NA	$	5,665
2/19/13	South Korean Won 1,361,568,000	United States Dollar 1,262,933	Standard Chartered Bank		(13,216	)
2/20/13	Euro 216,758	United States Dollar 289,853	Goldman Sachs International		4,489
2/20/13	New Turkish Lira 7,963,569	United States Dollar 4,452,155	Bank of America		64,906
2/20/13	Yuan Offshore Renminbi 13,031,000	United States Dollar 2,073,019	Bank of America		23,236
2/20/13	Yuan Offshore Renminbi 25,094,000	United States Dollar 3,991,403	Barclays Bank PLC		45,390
2/22/13	Malaysian Ringgit 13,714,000	United States Dollar 4,544,521	Nomura International PLC		(135,786	)
2/22/13	New Taiwan Dollar 31,629,676	United States Dollar 1,067,849	Deutsche Bank		2,834
2/22/13	New Taiwan Dollar 67,430,000	United States Dollar 2,332,814	Standard Chartered Bank		(50,271	)
2/22/13	New Taiwan Dollar 30,354,324	United States Dollar 1,025,484	Standard Chartered Bank		2,027
2/22/13	Singapore Dollar 2,686,000	United States Dollar 2,191,893	Deutsche Bank		(21,707	)
2/22/13	Singapore Dollar 2,631,000	United States Dollar 2,146,835	Nomura International PLC		(21,087	)
2/22/13	South Korean Won 528,663,000	United States Dollar 498,993	Barclays Bank PLC		(13,810	)
2/22/13	South Korean Won 508,587,000	United States Dollar 480,057	Nomura International PLC		(13,299	)
2/26/13	South Korean Won 1,037,182,000	United States Dollar 963,834	Bank of America		(12,090	)
2/28/13	Mexican Peso 102,294,067	United States Dollar 7,841,751	Toronto-Dominion Bank		184,595
2/28/13	Yuan Renminbi 12,824,981	United States Dollar 2,041,024	JPMorgan Chase Bank		3,039
2/28/13	Yuan Renminbi 12,824,982	United States Dollar 2,040,375	Standard Chartered Bank		3,689
3/13/13	Hong Kong Dollar 50,198,000	United States Dollar 6,476,576	HSBC Bank USA		(3,046	)
3/19/13	Mexican Peso 6,100,000	United States Dollar 474,788	BNP Paribas SA		2,923
3/22/13	Indian Rupee 60,761,000	United States Dollar 1,116,079	JPMorgan Chase Bank		16,095
3/22/13	Indian Rupee 73,197,000	United States Dollar 1,344,384	Nomura International PLC		19,512
3/22/13	Indian Rupee 60,249,000	United States Dollar 1,106,573	Standard Chartered Bank		16,061
3/28/13	Indian Rupee 24,100,000	United States Dollar 443,859	Citibank NA		4,748


Settlement Date	In Exchange For	Deliver	Counterparty	Net Unrealized Appreciation (Depreciation)
3/28/13	Indian Rupee 25,800,000	United States Dollar 474,994	Deutsche Bank	$	5,258
4/15/13	Indian Rupee 156,053,000	United States Dollar 2,811,234	Nomura International PLC		85,006
4/15/13	South Korean Won 2,986,630,000	United States Dollar 2,795,554	Bank of America		(61,445	)
4/15/13	South Korean Won 2,633,570,000	United States Dollar 2,464,390	Nomura International PLC		(53,489	)
4/17/13	Peruvian New Sol 5,000,000	United States Dollar 1,965,409	Toronto-Dominion Bank		(28,845	)
4/30/13	Norwegian Krone 11,476,150	Euro 1,541,085	BNP Paribas SA		110
4/30/13	Norwegian Krone 11,476,150	Euro 1,541,043	Deutsche Bank		166
4/30/13	Peruvian New Sol 3,675,730	United States Dollar 1,436,393	Deutsche Bank		(13,172	)
5/2/13	Peruvian New Sol 1,630,140	United States Dollar 637,895	Standard Chartered Bank		(6,744	)
6/14/13	Russian Ruble 10,622,000	United States Dollar 336,699	Bank of America		10,023
6/14/13	Russian Ruble 10,178,000	United States Dollar 322,753	Citibank NA		9,476
9/16/13	Russian Ruble 15,431,000	United States Dollar 482,369	HSBC Bank USA		14,406
9/16/13	Russian Ruble 5,369,000	United States Dollar 167,860	JPMorgan Chase Bank		4,986
12/16/13	Russian Ruble 11,549,000	United States Dollar 356,506	Credit Suisse International		10,292
12/16/13	Russian Ruble 9,351,000	United States Dollar 288,856	Goldman Sachs International		8,133

				$	98,278

Futures Contracts


Expiration Month/Year	Contracts	Position	Aggregate Cost			Value			Net Unrealized Appreciation
2/13	18 Gold	Short	$	(3,083,743	)	$	(2,989,080	)	$	94,663
3/13	61 Euro-Bobl	Short		(10,532,964	)		(10,409,553	)		123,411
3/13	8 Euro-Bund	Short		(1,572,551	)		(1,541,376	)		31,175
3/13	2 Euro-Schatz	Short		(300,848	)		(299,382	)		1,466
3/13	4 Japan 10-Year Bond	Short		(6,331,237	)		(6,311,990	)		19,247
3/13	2 U.S. 10-Year Deliverable Interest Rate Swap	Short		(205,469	)		(198,156	)		7,313
4/13	14 Platinum	Long		1,138,367			1,172,780			34,413

									$	311,688

Euro-Bobl: Medium-term debt securities issued by the Federal Republic of Germany with a term to maturity of 4.5 to 5 years.

Euro-Bund: Long-term debt securities issued by the Federal Republic of Germany with a term to maturity of 8.5 to 10.5 years.

Euro-Schatz: Short-term debt securities issued by the Federal Republic of Germany with a term to maturity of 1.75 to 2.25 years.

Japan 10-Year Bond: Japanese Government Bonds (JGB) having a maturity of 7 years or more but less than 11 years.

Interest Rate Swaps

Counterparty

Notional
Amount
(000’s omitted)

Fund
Pays/Receives
Floating Rate

Floating

Rate Index

Annual
Fixed Rate

Termination
Date

Net Unrealized
Appreciation
(Depreciation)

Bank of America

HUF

139,000

Pays

6-month HUF BUBOR

5.13

12/21/16

1,403

Bank of America

HUF

117,000

Pays

6-month HUF BUBOR

6.95

1/17/17

36,275

Bank of America

HUF

117,000

Receives

6-month HUF BUBOR

7.91

1/17/17

(54,789

)

Bank of America

PLN

838

Pays

6-month PLN WIBOR

4.34

7/30/17

15,581

Bank of America

PLN

1,666

Pays

6-month PLN WIBOR

4.31

8/10/17

16,940

Bank of America

PLN

1,650

Pays

6-month PLN WIBOR

4.35

8/23/17

17,863

Bank of America

PLN

1,570

Pays

6-month PLN WIBOR

4.30

9/18/17

16,406

Bank of America

PLN

2,560

Pays

6-month PLN WIBOR

3.83

11/14/17

10,756

Bank of America

PLN

2,900

Receives

6-month PLN WIBOR

3.52

11/16/17

(2,363

)

Barclays Bank PLC

PLN

1,934

Pays

6-month PLN WIBOR

4.32

8/2/17

19,739

Barclays Bank PLC

PLN

1,100

Pays

6-month PLN WIBOR

4.35

8/27/17

11,943

Barclays Bank PLC

PLN

2,900

Pays

6-month PLN WIBOR

3.81

11/16/17

11,380

Barclays Bank PLC

PLN

4,890

Pays

6-month PLN WIBOR

3.82

11/19/17

20,253

Barclays Bank PLC

PLN

2,800

Pays

6-month PLN WIBOR

3.80

11/20/17

10,585

BNP Paribas SA

PLN

2,147

Pays

6-month PLN WIBOR

4.25

8/7/17

19,757

BNP Paribas SA

PLN

400

Pays

6-month PLN WIBOR

3.85

11/13/17

1,770

Citibank NA

PLN

1,610

Pays

6-month PLN WIBOR

4.33

7/30/17

29,874

Citibank NA

PLN

1,206

Pays

6-month PLN WIBOR

4.31

8/2/17

12,219

Citibank NA

PLN

700

Pays

6-month PLN WIBOR

4.40

8/20/17

8,180

Citibank NA

PLN

900

Pays

6-month PLN WIBOR

3.81

11/13/17

3,516

Citibank NA

PLN

710

Pays

6-month PLN WIBOR

3.82

11/14/17

2,879

Citibank NA

PLN

2,130

Pays

6-month PLN WIBOR

3.82

11/19/17

8,525

Credit Suisse International

HUF

46,530

Pays

6-month HUF BUBOR

6.93

12/16/16

13,878

Credit Suisse International

HUF

46,530

Receives

6-month HUF BUBOR

7.32

12/16/16

(16,879

)

Credit Suisse International

HUF

80,000

Pays

6-month HUF BUBOR

5.12

1/16/17

665

Credit Suisse International

HUF

80,000

Receives

6-month HUF BUBOR

7.63

1/16/17

(33,769

)

Credit Suisse International

HUF

67,000

Pays

6-month HUF BUBOR

5.87

1/20/17

8,840

Credit Suisse International

HUF

67,000

Receives

6-month HUF BUBOR

7.75

1/20/17

(29,610

)

Credit Suisse International

PLN

890

Pays

6-month PLN WIBOR

4.40

8/20/17

10,401

Credit Suisse International

USD

184

Receives

3-month USD-LIBOR-BBA

1.81

10/23/22

2,541

Credit Suisse International

USD

276

Receives

3-month USD-LIBOR-BBA

1.75

11/6/22

5,776

Deutsche Bank

HUF

69,250

Pays

6-month HUF BUBOR

7.01

1/19/17

22,143

Deutsche Bank

HUF

69,250

Receives

6-month HUF BUBOR

7.98

1/19/17

(33,258

)

Deutsche Bank

PLN

952

Pays

6-month PLN WIBOR

4.34

7/30/17

17,770

Deutsche Bank

PLN

3,380

Pays

6-month PLN WIBOR

4.36

8/1/17

36,563

Deutsche Bank

PLN

1,790

Pays

6-month PLN WIBOR

4.28

8/6/17

17,261

Deutsche Bank

PLN

1,183

Pays

6-month PLN WIBOR

4.24

8/7/17

10,798

Deutsche Bank

PLN

990

Pays

6-month PLN WIBOR

4.33

8/17/17

10,324

Deutsche Bank

PLN

550

Pays

6-month PLN WIBOR

3.79

11/16/17

1,996

JPMorgan Chase Bank

HUF

173,000

Pays

6-month HUF BUBOR

6.93

12/19/16

51,635

JPMorgan Chase Bank

HUF

173,000

Receives

6-month HUF BUBOR

7.26

12/19/16

(61,077

)

JPMorgan Chase Bank

HUF

103,000

Pays

6-month HUF BUBOR

6.94

12/20/16

30,915


Counterparty	Notional Amount (000’s omitted)		Fund Pays/Receives Floating Rate	Floating Rate Index	Annual Fixed Rate			Termination Date	Net Unrealized Appreciation (Depreciation)
JPMorgan Chase Bank	HUF	103,000	Receives	6-month HUF BUBOR		7.34	%	12/20/16	$	(37,766	)
JPMorgan Chase Bank	HUF	139,000	Receives	6-month HUF BUBOR		7.36		12/21/16		(52,243	)
JPMorgan Chase Bank	HUF	80,000	Pays	6-month HUF BUBOR		6.99		12/22/16		25,281
JPMorgan Chase Bank	HUF	80,000	Receives	6-month HUF BUBOR		7.30		12/22/16		(29,232	)
JPMorgan Chase Bank	HUF	78,000	Pays	6-month HUF BUBOR		5.10		12/27/16		436
JPMorgan Chase Bank	HUF	78,000	Receives	6-month HUF BUBOR		7.37		12/27/16		(29,431	)
JPMorgan Chase Bank	HUF	82,000	Pays	6-month HUF BUBOR		5.09		1/20/17		308
JPMorgan Chase Bank	HUF	82,000	Receives	6-month HUF BUBOR		7.75		1/20/17		(36,222	)
JPMorgan Chase Bank	MXN	965,600	Receives	Mexico Interbank TIIE 28 Day		4.69		1/28/14		(30,615	)
JPMorgan Chase Bank	PLN	770	Pays	6-month PLN WIBOR		4.33		8/17/17		8,030
Morgan Stanley & Co. International PLC	HUF	72,000	Pays	6-month HUF BUBOR		6.94		12/19/16		21,549
Morgan Stanley & Co. International PLC	HUF	72,000	Receives	6-month HUF BUBOR		7.26		12/19/16		(25,419	)

									$	100,281



HUF	-	Hungarian Forint

MXN	-	Mexican Peso

PLN	-	Polish Zloty

USD	-	United States Dollar

Credit Default Swaps — Sell Protection


Reference Entity	Counterparty	Notional Amount* (000’s omitted)		Contract Annual Fixed Rate**			Termination Date		Current Market Annual Fixed Rate***			Market Value			Upfront Payments Received (Paid)			Net Unrealized Appreciation (Depreciation)
Argentina	Bank of America	$	738		5.00	%⁽¹⁾		6/20/13		43.10	%	$	(92,869	)	$	(790	)	$	(93,659	)
Argentina	Bank of America		833		5.00	⁽¹⁾		6/20/13		43.10			(104,811	)		(2,033	)		(106,844	)
Argentina	Credit Suisse International		442		5.00	⁽¹⁾		6/20/13		43.10			(55,620	)		(1,114	)		(56,734	)
Argentina	Deutsche Bank		172		5.00	⁽¹⁾		6/20/13		43.10			(21,644	)		(403	)		(22,047	)
Argentina	Deutsche Bank		279		5.00	⁽¹⁾		6/20/13		43.10			(35,134	)		(703	)		(35,837	)
Argentina	Deutsche Bank		442		5.00	⁽¹⁾		6/20/13		43.10			(55,557	)		(1,512	)		(57,069	)
South Africa	Bank of America		200		1.00	⁽¹⁾		12/20/15		1.16			(670	)		930			260
South Africa	Bank of America		55		1.00	⁽¹⁾		12/20/15		1.16			(184	)		268			84
South Africa	Bank of America		550		1.00	⁽¹⁾		9/20/17		1.61			(14,306	)		8,713			(5,593	)
South Africa	Bank of America		480		1.00	⁽¹⁾		9/20/17		1.61			(12,485	)		6,778			(5,707	)
South Africa	Bank of America		1,320		1.00	⁽¹⁾		9/20/17		1.61			(34,334	)		15,744			(18,590	)
South Africa	Barclays Bank PLC		145		1.00	⁽¹⁾		12/20/15		1.16			(485	)		791			306
South Africa	Barclays Bank PLC		80		1.00	⁽¹⁾		12/20/15		1.16			(268	)		433			165
South Africa	Barclays Bank PLC		640		1.00	⁽¹⁾		9/20/17		1.61			(16,647	)		15,082			(1,565	)
South Africa	BNP Paribas SA		800		1.00	⁽¹⁾		9/20/17		1.61			(20,808	)		22,607			1,799
South Africa	BNP Paribas SA		1,060		1.00	⁽¹⁾		9/20/17		1.61			(27,571	)		25,887			(1,684	)
South Africa	BNP Paribas SA		620		1.00	⁽¹⁾		9/20/17		1.61			(16,127	)		12,811			(3,316	)
South Africa	Citibank NA		400		1.00	⁽¹⁾		6/20/17		1.55			(8,771	)		11,685			2,914
South Africa	Credit Suisse International		200		1.00	⁽¹⁾		12/20/15		1.16			(670	)		1,093			423


Reference Entity	Counterparty	Notional Amount* (000’s omitted)		Contract Annual Fixed Rate**			Termination Date		Current Market Annual Fixed Rate***			Market Value			Upfront Payments Received (Paid)		Net Unrealized Appreciation (Depreciation)
South Africa	Credit Suisse International	$	85		1.00	%⁽¹⁾		12/20/15		1.16	%	$	(285	)	$	506	$	221
South Africa	Deutsche Bank		155		1.00	⁽¹⁾		12/20/15		1.16			(519	)		846		327
South Africa	Deutsche Bank		440		1.00	⁽¹⁾		9/20/17		1.61			(11,445	)		14,848		3,403
South Africa	Deutsche Bank		800		1.00	⁽¹⁾		9/20/17		1.61			(20,808	)		18,852		(1,956	)
South Africa	Goldman Sachs International		205		1.00	⁽¹⁾		12/20/15		1.16			(686	)		1,174		488
South Africa	Goldman Sachs International		90		1.00	⁽¹⁾		12/20/15		1.16			(301	)		535		234
South Africa	Goldman Sachs International		280		1.00	⁽¹⁾		9/20/17		1.61			(7,283	)		8,976		1,693
South Africa	HSBC Bank USA		800		1.00	⁽¹⁾		9/20/17		1.61			(20,808	)		25,988		5,180
South Africa	HSBC Bank USA		854		1.00	⁽¹⁾		9/20/17		1.61			(22,213	)		20,125		(2,088	)
South Africa	HSBC Bank USA		200		1.00	⁽¹⁾		12/20/17		1.67			(5,998	)		4,813		(1,185	)
South Africa	HSBC Bank USA		320		1.00	⁽¹⁾		12/20/17		1.67			(9,596	)		6,688		(2,908	)
South Africa	JPMorgan Chase Bank		800		1.00	⁽¹⁾		9/20/17		1.61			(20,809	)		21,927		1,118
South Africa	Morgan Stanley & Co. International PLC		600		1.00	⁽¹⁾		6/20/17		1.55			(13,156	)		17,286		4,130
South Africa	Morgan Stanley & Co. International PLC		800		1.00	⁽¹⁾		9/20/17		1.61			(20,808	)		21,586		778
South Africa	Nomura International PLC		700		1.00	⁽¹⁾		9/20/17		1.61			(18,207	)		12,668		(5,539	)
South Africa	Nomura International PLC		361		1.00	⁽¹⁾		12/20/17		1.67			(10,826	)		8,523		(2,303	)
Turkey	Bank of America		4,700		1.00	⁽¹⁾		12/20/17		1.31			(62,554	)		108,981		46,427
Markit CDX North America High Yield Index	Citibank NA		1,040		5.00	⁽¹⁾		12/20/17		4.46			29,839			607		30,446
Markit CDX North America High Yield Index	Deutsche Bank		1,000		5.00	⁽¹⁾		12/20/17		4.46			28,691			27,253		55,944
Markit CDX North America High Yield Index	Deutsche Bank		1,160		5.00	⁽¹⁾		12/20/17		4.46			33,282			1,354		34,636
Markit CDX North America High Yield Index	JPMorgan Chase Bank		850		5.00	⁽¹⁾		12/20/17		4.46			24,387			1,985		26,372

Total		$	25,696									$	(649,064	)	$	441,788	$	(207,276	)

Credit Default Swaps — Buy Protection


Reference Entity	Counterparty	Notional Amount (000’s omitted)		Contract Annual Fixed Rate**			Termination Date		Market Value			Upfront Payments Received (Paid)			Net Unrealized Appreciation (Depreciation)
Austria	Barclays Bank PLC	$	2,200		0.44	%		12/20/13	$	(7,875	)	$	—		$	(7,875	)
Austria	Barclays Bank PLC		1,000		1.42			3/20/14		(16,736	)		—			(16,736	)
Brazil	Bank of America		1,000		1.00	⁽¹⁾		6/20/20		27,854			(27,070	)		784
Brazil	Bank of America		625		1.00	⁽¹⁾		6/20/20		17,409			(21,348	)		(3,939	)
Brazil	Bank of America		300		1.00	⁽¹⁾		12/20/20		9,520			(8,621	)		899
Brazil	Bank of America		100		1.00	⁽¹⁾		12/20/20		3,173			(2,749	)		424
Brazil	Bank of America		80		1.00	⁽¹⁾		12/20/20		2,538			(2,350	)		188
Brazil	Barclays Bank PLC		2,300		1.65			9/20/19		(54,498	)		—			(54,498	)
Brazil	Barclays Bank PLC		630		1.00	⁽¹⁾		12/20/20		19,992			(18,941	)		1,051


Reference Entity	Counterparty	Notional Amount (000’s omitted)		Contract Annual Fixed Rate**			Termination Date		Market Value			Upfront Payments Received (Paid)			Net Unrealized Appreciation (Depreciation)
Brazil	Citibank NA	$	100		1.00	%⁽¹⁾		12/20/20	$	3,173		$	(2,781	)	$	392
Brazil	Credit Suisse International		775		1.00	⁽¹⁾		6/20/20		21,588			(31,281	)		(9,693	)
Brazil	Deutsche Bank		170		1.00	⁽¹⁾		12/20/20		5,394			(5,274	)		120
Brazil	HSBC Bank USA		775		1.00	⁽¹⁾		6/20/20		21,588			(29,976	)		(8,388	)
Brazil	HSBC Bank USA		130		1.00	⁽¹⁾		12/20/20		4,125			(3,616	)		509
Brazil	Standard Chartered Bank		130		1.00	⁽¹⁾		12/20/20		4,125			(3,616	)		509
China	Bank of America		500		1.00	⁽¹⁾		3/20/17		(10,235	)		(12,335	)		(22,570	)
China	Barclays Bank PLC		863		1.00	⁽¹⁾		3/20/17		(17,666	)		(19,375	)		(37,041	)
China	Deutsche Bank		316		1.00	⁽¹⁾		3/20/17		(6,469	)		(6,742	)		(13,211	)
China	Deutsche Bank		369		1.00	⁽¹⁾		3/20/17		(7,554	)		(7,873	)		(15,427	)
Colombia	Bank of America		410		1.00	⁽¹⁾		9/20/21		8,643			(15,896	)		(7,253	)
Colombia	Citibank NA		300		1.00	⁽¹⁾		6/20/22		7,718			(22,271	)		(14,553	)
Colombia	Deutsche Bank		600		1.00	⁽¹⁾		6/20/22		15,435			(37,440	)		(22,005	)
Colombia	Goldman Sachs International		840		1.00	⁽¹⁾		6/20/17		(6,934	)		(24,172	)		(31,106	)
Colombia	Goldman Sachs International		310		1.00	⁽¹⁾		9/20/21		6,535			(11,808	)		(5,273	)
Colombia	Goldman Sachs International		300		1.00	⁽¹⁾		6/20/22		7,718			(22,271	)		(14,553	)
Colombia	HSBC Bank USA		460		1.00	⁽¹⁾		6/20/17		(3,797	)		(13,422	)		(17,219	)
Colombia	HSBC Bank USA		900		1.00	⁽¹⁾		9/20/21		18,971			(33,513	)		(14,542	)
Colombia	Morgan Stanley & Co. International PLC		460		1.00	⁽¹⁾		9/20/21		9,697			(17,835	)		(8,138	)
Colombia	Morgan Stanley & Co. International PLC		300		1.00	⁽¹⁾		6/20/22		7,718			(18,222	)		(10,504	)
Croatia	BNP Paribas SA		870		1.00	⁽¹⁾		12/20/17		65,857			(57,226	)		8,631
Croatia	Citibank NA		1,500		1.00	⁽¹⁾		12/20/17		113,546			(97,485	)		16,061
Egypt	Bank of America		1,400		1.00	⁽¹⁾		9/20/15		128,546			(35,293	)		93,253
Egypt	Citibank NA		300		1.00	⁽¹⁾		6/20/20		74,886			(24,555	)		50,331
Egypt	Deutsche Bank		350		1.00	⁽¹⁾		6/20/20		87,368			(28,784	)		58,584
Egypt	Deutsche Bank		300		1.00	⁽¹⁾		6/20/20		74,886			(21,833	)		53,053
Egypt	Deutsche Bank		300		1.00	⁽¹⁾		6/20/20		74,886			(24,705	)		50,181
Guatemala	Citibank NA		1,286		1.00	⁽¹⁾		9/20/20		94,862			(75,389	)		19,473
Hungary	Barclays Bank PLC		400		1.00	⁽¹⁾		3/20/17		26,498			(59,513	)		(33,015	)
Hungary	Deutsche Bank		300		1.00	⁽¹⁾		3/20/17		19,873			(44,277	)		(24,404	)
Hungary	Goldman Sachs International		600		1.00	⁽¹⁾		3/20/17		39,747			(88,230	)		(48,483	)
Lebanon	Barclays Bank PLC		500		1.00	⁽¹⁾		12/20/14		16,216			(14,489	)		1,727
Lebanon	Barclays Bank PLC		300		1.00	⁽¹⁾		3/20/15		11,723			(9,021	)		2,702
Lebanon	Barclays Bank PLC		100		1.00	⁽¹⁾		3/20/15		3,908			(3,061	)		847
Lebanon	Barclays Bank PLC		100		1.00	⁽¹⁾		3/20/15		3,908			(3,501	)		407
Lebanon	Citibank NA		1,200		3.30			9/20/14		(26,972	)		—			(26,972	)
Lebanon	Citibank NA		1,000		1.00	⁽¹⁾		12/20/14		32,432			(29,415	)		3,017
Lebanon	Citibank NA		500		1.00	⁽¹⁾		12/20/14		16,216			(14,489	)		1,727
Lebanon	Citibank NA		350		1.00	⁽¹⁾		12/20/14		11,352			(9,939	)		1,413
Lebanon	Citibank NA		300		1.00	⁽¹⁾		3/20/15		11,723			(8,036	)		3,687
Lebanon	Credit Suisse International		800		1.00	⁽¹⁾		3/20/15		31,262			(24,042	)		7,220
Lebanon	Credit Suisse International		200		1.00	⁽¹⁾		3/20/15		7,816			(6,046	)		1,770
Lebanon	Credit Suisse International		100		1.00	⁽¹⁾		6/20/15		4,794			(3,147	)		1,647
Lebanon	Deutsche Bank		200		1.00	⁽¹⁾		3/20/15		7,816			(5,581	)		2,235
Lebanon	Deutsche Bank		100		1.00	⁽¹⁾		6/20/15		4,794			(3,147	)		1,647
Lebanon	HSBC Bank USA		1,250		1.00	⁽¹⁾		12/20/17		170,519			(173,903	)		(3,384	)
Mexico	Bank of America		400		1.00	⁽¹⁾		6/20/22		10,297			(24,298	)		(14,001	)
Mexico	Bank of America		670		1.00	⁽¹⁾		6/20/22		17,247			(46,242	)		(28,995	)
Mexico	Deutsche Bank		400		1.00	⁽¹⁾		6/20/22		10,297			(25,560	)		(15,263	)
Mexico	Deutsche Bank		540		1.00	⁽¹⁾		6/20/22		13,900			(39,849	)		(25,949	)
Philippines	Barclays Bank PLC		1,100		1.85			12/20/14		(33,477	)		—			(33,477	)
Philippines	Barclays Bank PLC		655		1.00	⁽¹⁾		3/20/15		(9,376	)		(8,106	)		(17,482	)


Reference Entity	Counterparty	Notional Amount (000’s omitted)		Contract Annual Fixed Rate**			Termination Date		Market Value			Upfront Payments Received (Paid)			Net Unrealized Appreciation (Depreciation)
Philippines	Citibank NA	$	800		1.84	%		12/20/14	$	(24,186	)	$	—		$	(24,186	)
Philippines	JPMorgan Chase Bank		656		1.00	⁽¹⁾		3/20/15		(9,390	)		(8,118	)		(17,508	)
Russia	Bank of America		430		1.00	⁽¹⁾		9/20/17		6,561			(14,940	)		(8,379	)
Russia	Bank of America		1,420		1.00	⁽¹⁾		9/20/17		21,664			(69,939	)		(48,275	)
Russia	Barclays Bank PLC		500		1.00	⁽¹⁾		9/20/17		7,629			(26,252	)		(18,623	)
Russia	Citibank NA		510		1.00	⁽¹⁾		9/20/17		7,781			(16,439	)		(8,658	)
Russia	Credit Suisse International		800		1.00	⁽¹⁾		9/20/17		12,205			(39,727	)		(27,522	)
Russia	Deutsche Bank		200		1.00	⁽¹⁾		9/20/17		3,052			(10,501	)		(7,449	)
Russia	JPMorgan Chase Bank		500		1.00	⁽¹⁾		9/20/17		7,629			(16,122	)		(8,493	)
Russia	Morgan Stanley & Co. International PLC		340		1.00	⁽¹⁾		9/20/17		5,188			(11,248	)		(6,060	)
South Africa	Bank of America		1,200		1.00	⁽¹⁾		12/20/19		74,707			(38,311	)		36,396
South Africa	Bank of America		200		1.00	⁽¹⁾		12/20/20		15,518			(6,074	)		9,444
South Africa	Bank of America		55		1.00	⁽¹⁾		12/20/20		4,267			(1,832	)		2,435
South Africa	Bank of America		1,320		1.00	⁽¹⁾		9/20/22		134,675			(90,092	)		44,583
South Africa	Bank of America		480		1.00	⁽¹⁾		9/20/22		48,972			(34,641	)		14,331
South Africa	Bank of America		550		1.00	⁽¹⁾		9/20/22		56,115			(41,573	)		14,542
South Africa	Barclays Bank PLC		1,200		1.00	⁽¹⁾		12/20/19		74,707			(44,286	)		30,421
South Africa	Barclays Bank PLC		500		1.00	⁽¹⁾		3/20/20		33,007			(14,247	)		18,760
South Africa	Barclays Bank PLC		145		1.00	⁽¹⁾		12/20/20		11,250			(4,387	)		6,863
South Africa	Barclays Bank PLC		80		1.00	⁽¹⁾		12/20/20		6,208			(2,566	)		3,642
South Africa	Barclays Bank PLC		550		1.00	⁽¹⁾		9/20/22		56,115			(44,911	)		11,204
South Africa	BNP Paribas SA		620		1.00	⁽¹⁾		9/20/22		63,256			(51,201	)		12,055
South Africa	BNP Paribas SA		550		1.00	⁽¹⁾		9/20/22		56,115			(46,144	)		9,971
South Africa	Citibank NA		655		1.00	⁽¹⁾		12/20/19		40,777			(27,483	)		13,294
South Africa	Citibank NA		400		1.00	⁽¹⁾		3/20/20		26,406			(18,360	)		8,046
South Africa	Citibank NA		200		1.00	⁽¹⁾		3/20/20		13,202			(8,894	)		4,308
South Africa	Credit Suisse International		400		1.00	⁽¹⁾		3/20/20		26,405			(12,499	)		13,906
South Africa	Credit Suisse International		200		1.00	⁽¹⁾		3/20/20		13,202			(7,603	)		5,599
South Africa	Credit Suisse International		200		1.00	⁽¹⁾		12/20/20		15,518			(6,458	)		9,060
South Africa	Credit Suisse International		85		1.00	⁽¹⁾		12/20/20		6,595			(2,884	)		3,711
South Africa	Deutsche Bank		155		1.00	⁽¹⁾		12/20/20		12,026			(4,887	)		7,139
South Africa	Deutsche Bank		440		1.00	⁽¹⁾		9/20/22		44,891			(41,766	)		3,125
South Africa	Goldman Sachs International		205		1.00	⁽¹⁾		12/20/20		15,906			(6,595	)		9,311
South Africa	Goldman Sachs International		90		1.00	⁽¹⁾		12/20/20		6,983			(2,942	)		4,041
South Africa	Goldman Sachs International		280		1.00	⁽¹⁾		9/20/22		28,568			(25,758	)		2,810
South Africa	HSBC Bank USA		320		1.00	⁽¹⁾		12/20/22		33,677			(27,990	)		5,687
South Africa	HSBC Bank USA		200		1.00	⁽¹⁾		12/20/22		21,048			(18,435	)		2,613
South Africa	JPMorgan Chase Bank		600		1.00	⁽¹⁾		12/20/19		37,353			(26,252	)		11,101
South Africa	JPMorgan Chase Bank		310		1.00	⁽¹⁾		12/20/19		19,299			(16,278	)		3,021
South Africa	JPMorgan Chase Bank		400		1.00	⁽¹⁾		3/20/20		26,405			(12,719	)		13,686
South Africa	JPMorgan Chase Bank		300		1.00	⁽¹⁾		3/20/20		19,804			(9,210	)		10,594
South Africa	JPMorgan Chase Bank		200		1.00	⁽¹⁾		3/20/20		13,202			(8,788	)		4,414
South Africa	Nomura International PLC		700		1.00	⁽¹⁾		9/20/22		71,419			(56,710	)		14,709
South Africa	Nomura International PLC		361		1.00	⁽¹⁾		12/20/22		37,992			(34,101	)		3,891
Spain	Barclays Bank PLC		300		1.00	⁽¹⁾		3/20/20		34,044			(2,568	)		31,476
Spain	Barclays Bank PLC		1,080		1.00	⁽¹⁾		12/20/20		134,013			(88,296	)		45,717
Spain	Citibank NA		1,200		1.00	⁽¹⁾		3/20/20		136,178			(48,310	)		87,868
Spain	Citibank NA		800		1.00	⁽¹⁾		3/20/20		90,785			(15,639	)		75,146


Reference Entity	Counterparty	Notional Amount (000’s omitted)		Contract Annual Fixed Rate**			Termination Date		Market Value			Upfront Payments Received (Paid)			Net Unrealized Appreciation (Depreciation)
Spain	Deutsche Bank	$	1,200		1.00	%⁽¹⁾		3/20/20	$	136,178		$	(48,310	)	$	87,868
Spain	Deutsche Bank		500		1.00	⁽¹⁾		3/20/20		56,741			(9,230	)		47,511
Spain	Deutsche Bank		500		1.00	⁽¹⁾		6/20/20		58,554			(26,147	)		32,407
Spain	Deutsche Bank		845		1.00	⁽¹⁾		12/20/20		104,852			(69,083	)		35,769
Thailand	Barclays Bank PLC		1,900		0.97			9/20/19		22,611			—			22,611
Thailand	Citibank NA		1,600		0.86			12/20/14		(17,196	)		—			(17,196	)
Thailand	Citibank NA		900		0.95			9/20/19		11,852			—			11,852
Thailand	JPMorgan Chase Bank		800		0.87			12/20/14		(8,759	)		—			(8,759	)
Tunisia	Barclays Bank PLC		350		1.00	⁽¹⁾		9/20/17		33,050			(29,806	)		3,244
Tunisia	Citibank NA		360		1.00	⁽¹⁾		9/20/17		33,994			(32,128	)		1,866
Tunisia	Deutsche Bank		500		1.00	⁽¹⁾		6/20/17		44,324			(34,694	)		9,630
Tunisia	Goldman Sachs International		300		1.00	⁽¹⁾		9/20/17		28,687			(22,552	)		6,135
Tunisia	Nomura International PLC		400		1.00	⁽¹⁾		12/20/17		40,017			(39,976	)		41
Uruguay	Citibank NA		300		1.00	⁽¹⁾		6/20/20		10,834			(16,903	)		(6,069	)
Uruguay	Deutsche Bank		600		1.00	⁽¹⁾		6/20/20		21,667			(33,013	)		(11,346	)
iTraxx Europe Senior Financials 5-Year Index	Barclays Bank PLC	EUR	1,260		1.00	⁽¹⁾		12/20/17		33,333			(64,662	)		(31,329	)
iTraxx Europe Subordinated Financials 5-Year Index	Barclays Bank PLC	EUR	840		5.00	⁽¹⁾		12/20/17		(136,175	)		83,766			(52,409	)

									$	3,281,807		$	(2,937,674	)	$	344,133

If the Fund is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Fund could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At January 31, 2013, such maximum potential amount for all open credit default swaps in which the Fund is the seller was $25,696,000.

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

***

Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity.

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



EUR	-	Euro

Total Return Swaps

Counterparty

Portfolio

Receives

Portfolio

Pays

Termination
Date

Net Unrealized
Appreciation

Citibank NA

Total return on GTQ 2,350,000

Banco de Guatemala, 0%, due

12/3/13

3-month USD-LIBOR-BBA+50

bp on $290,020 (Notional Amount)

plus Notional Amount at

termination date

12/5/13

407



GTQ	-	Guatemalan Quetzal


Cross-Currency Swaps
Counterparty	Notional Amount on Fixed Rate (Currency Received) (000’s omitted)		Notional Amount on Floating Rate (Currency Delivered) (000’s omitted)		Floating Rate	Fixed Rate			Termination Date		Net Unrealized Depreciation
Citibank NA	TRY	1,163	$	729	3-month USD- LIBOR-BBA		8.23	%		2/25/21	$	(82,849	)
Credit Suisse International	TRY	512		288	3-month USD- LIBOR-BBA		6.90			8/18/21		(31,811	)
Deutsche Bank	TRY	4,266		2,680	3-month USD- LIBOR-BBA		8.20			2/24/21		(292,231	)
Deutsche Bank	TRY	679		381	3-month USD- LIBOR-BBA		7.00			8/18/21		(45,118	)

											$	(452,009	)



TRY	-	New Turkish Lira

The Fund pays interest on the currency received and receives interest on the currency delivered. At the termination date, the notional amount of the currency received will be exchanged for the notional amount of the currency delivered.

Written options activity for the fiscal year to date ended January 31, 2013 was as follows:

Principal Amount
of Contracts
(000’s omitted)

Premiums
Received

Outstanding, beginning of period

INR

975,700

KRW

—

629,303

Options written

—

9,433,760

117,063

Outstanding, end of period

INR

975,700

KRW

9,433,760

746,366



INR	-	Indian Rupee

KRW	-	South Korean Won

At January 31, 2013, the Fund had sufficient cash and/or securities to cover commitments under these contracts.

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

Commodity Risk: The Fund invests in commodities-linked derivative investments, including commodity futures contracts and options thereon and forward commodity contracts, that provide exposure to the investment returns of certain commodities. Commodities-linked derivative investments are used to enhance total return and/or as a substitute for the purchase or sale of commodities.

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

Foreign Exchange Risk: The Fund engages in forward foreign currency exchange contracts, options on currencies, total return swaps and cross-currency swaps to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies. It also enters into forward foreign currency exchange contracts to hedge the currency risks of investments it anticipates purchasing.

Interest Rate Risk: The Fund utilizes various interest rate derivatives including futures, interest rate swaps and cross-currency swaps to enhance total return, to seek to hedge against fluctuations in interest rates, and/or to change the effective duration of its portfolio.

The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at January 31, 2013 was as follows:


		Fair Value
Risk	Derivative	Asset Derivative		Liability Derivative
Commodity	Futures Contracts*	$	129,076	$	—
Commodity	Options Purchased		77,190		—

		$	206,266	$	—

Credit	Credit Default Swaps	$	3,795,301	$	(1,162,558	)

		$	3,795,301	$	(1,162,558	)

Foreign Exchange	Currency Options Purchased	$	646,209	$	—
Foreign Exchange	Currency Options Written		—		(424,746	)
Foreign Exchange	Forward Foreign Currency Exchange Contracts		1,150,737		(2,643,012	)
Foreign Exchange	Total Return Swaps		407		—

		$	1,797,353	$	(3,067,758	)

Interest Rate	Cross-Currency Swaps	$	—	$	(452,009	)
Interest Rate	Futures Contracts*		182,612		—
Interest Rate	Interest Rate Swaps		572,954		(472,673	)

		$	755,566	$	(924,682	)

*	Amount represents cumulative unrealized appreciation or (depreciation) on futures contracts in the Futures Contracts table above.

The cost and unrealized appreciation (depreciation) of investments of the Fund at January 31, 2013, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	437,310,567

Gross unrealized appreciation	$	18,087,647
Gross unrealized depreciation		(2,919,731	)

Net unrealized appreciation	$	15,167,916

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

•

Level 1 — quoted prices in active markets for identical investments

•

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

•

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

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

At January 31, 2013, the hierarchy of inputs used in valuing the Fund’s investments and open derivative instruments, which are carried at value, were as follows:


Asset Description	Level 1		Level 2		Level 3*		Total
Senior Floating-Rate Interests	$	—	$	159,690,145	$	401,225	$	160,091,370
Collateralized Mortgage Obligations		—		47,233,960		—		47,233,960
Commercial Mortgage-Backed Securities		—		7,972,110		—		7,972,110


Asset Description	Level 1		Level 2			Level 3*		Total
Mortgage Pass-Throughs	$	—	$	110,190,956		$	—	$	110,190,956
Asset-Backed Securities		—		501,801			—		501,801
Corporate Bonds & Notes		—		2,621,206			—		2,621,206
Foreign Corporate Bonds & Notes		—		2,615,138			—		2,615,138
Foreign Government Bonds		—		57,388,203			—		57,388,203
Common Stocks		—		1,479,348			1,369,763		2,849,111
Precious Metals		3,969,519		—			—		3,969,519
Currency Call Options Purchased		—		531,365			—		531,365
Currency Put Options Purchased		—		114,844			—		114,844
Put Options Purchased		77,190		—			—		77,190
Short-Term Investments -
Foreign Government Securities		—		26,711,761			—		26,711,761
U.S. Treasury Obligations		—		6,685,966			—		6,685,966
Repurchase Agreements		—		17,055,242			—		17,055,242
Other		—		5,868,741			—		5,868,741
Total Investments	$	4,046,709	$	446,660,786		$	1,770,988	$	452,478,483
Forward Foreign Currency Exchange Contracts	$	—	$	1,150,737		$	—	$	1,150,737
Futures Contracts		311,688		—			—		311,688
Swap Contracts		—		4,368,662			—		4,368,662
Total	$	4,358,397	$	452,180,185		$	1,770,988	$	458,309,570

Liability Description
Currency Call Options Written	$	—	$	(306,160	)	$	—	$	(306,160	)
Currency Put Options Written		—		(118,586	)		—		(118,586	)
Securities Sold Short		—		(16,686,328	)		—		(16,686,328	)
Forward Foreign Currency Exchange Contracts		—		(2,643,012	)		—		(2,643,012	)
Swap Contracts		—		(2,087,240	)		—		(2,087,240	)
Total	$	—	$	(21,841,326	)	$	—	$	(21,841,326	)

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

Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the fiscal year to date ended January 31, 2013 is not presented.

At January 31, 2013, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.

Total return swaps are valued by obtaining the value of the underlying index or instrument and reference interest rate from a third party pricing service.

In a total return swap, the buyer receives a periodic return equal to the total return of a specified security, securities or index for a specified period of time. In return, the buyer pays the counterparty a variable stream of payments, typically based upon short-term interest rates, possibly plus or minus an agreed upon spread. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains and losses. Periodic payments received or made are recorded as realized gains or losses. The Fund is exposed to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of exchange rates, interest rates, securities, or the index.

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

Item 2. Controls and Procedures

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

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

Signatures

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

Eaton Vance Short Duration Diversified Income Fund



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

Date:		March 25, 2013

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.



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

Date:		March 25, 2013



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

Date:		March 25, 2013